Manning & Napier Fund, Inc.

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Beginning on June 25, 2021, as permitted by Securities and Exchange Commission regulations, paper copies of the Series’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary or, if you are a direct investor, by visiting www.manning-napier.com or calling 1-800-466-3863.

You may elect to receive all future annual and semi-annual reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by visiting www.manning-napier.com or calling 1-800-466-3863. Your election to receive reports in paper will apply to all funds held with your financial intermediary if you invest through a financial intermediary or all series of the Fund if you invest directly with the Fund.

To provide long-term growth of capital by investing primarily in common stocks. The Series may invest in large-, mid- and small-size companies within the US.

US equity markets posted positive returns for the twelve-month period ending October 31, 2019 and have experienced the second strongest year-to-date start in two decades. Over the one year period, large-cap stocks outperformed small- and mid-cap stocks, while growth stocks outperformed their value counterparts.

The Equity Series Class S delivered positive returns during the year and outperformed the Russell 3000^® Index, returning 16.9% and 13.5%, respectively.

Outperformance was primarily driven by stock selection, led by decisions in Information Technology, Consumer Discretionary, Real Estate, and Materials. Sector positioning was also positive, though to a lesser degree. Specifically, an underweight to Energy benefitted relative returns (i.e., returns compared to the benchmark); however, selection within the sector was a detractor.

We believe the global economy is showing signs of moving into the later stages of the economic cycle. When this occurs, it is common to see strong stock market gains. While these rallies may give investors the feeling of missing out, it is exactly in these moments that risk management can be most valuable.

Given our outlook, the portfolio is focused on higher quality businesses and reasonably priced growth companies. We prefer businesses with strong management and solid balance sheets who have historically provided some degree of downside protection in adverse markets.

This view has led to meaningful positions in areas such as Consumer Staples and Health Care. In contrast, the portfolio is less exposed to sectors highly dependent on strong and above average economic growth such as Industrials and Energy.

Please see the next page for additional performance information as of October 31, 2019.

Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than that quoted; investors can obtain the most recent month-end performance at www.manning-napier.com or by calling (800) 466-3863.

Commentary prepared using data provided by FactSet. Analysis Manning & Napier. Commentary presented is relative to the Russell 3000^® Index. Additional information and associated disclosures can be found on the Performance Update page of this report.

The following graph compares the value of a $10,000 investment in the Equity Series - Class S for the ten years ended October 31, 2019 to the Russell 3000^® Index.

¹The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, the net expense ratio was 1.05% for Class S and 0.05% for Class W. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.29% for Class S and 1.05% for Class W for the year ended October 31, 2019.

³For periods through March 1, 2019 (the inception date of the Class W shares), performance for the Class W shares is based on the historical performance of the Class S shares. Because the Class W shares invest in the same portfolio of securities as the Class S shares, performance will be different only to the extent that the Class S shares have a higher expense ratio.

⁴The Russell 3000^® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. The Index returns do not reflect any fees or expenses. Index returns provided by Bloomberg.

¹Expenses are equal to the Series’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data. The Class’ total return would have been lower had certain expenses not been waived during the period.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of S&P Global Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁴Includes litigation proceeds. Excluding this amount, the Series’ total return is 21.48%.

³Represents aggregate total return for the period indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the period. Periods less than one year are not annualized.

Equity Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

The Series is authorized to issue two classes of shares (Class S and Class W). Class W shares of the Series were issued on March 1, 2019. Each class of shares is substantially the same, except that Class S shares bear shareholder servicing fees.

The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2019, 10 billion shares have been designated in total among 34 series, of which 200 million have been designated as Equity Series Class S common stock and 100 million have been designated as Equity Series Class W common stock.

The following is a summary of significant accounting policies followed by the Series. The Series is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 - Investment Companies, which is part of accounting principles generally accepted in the United States of America (“GAAP”).

Portfolio securities, including domestic equities, listed on an exchange other than the NASDAQ Stock Market are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ Stock Market are valued in accordance with the NASDAQ Official Closing Price.

Short-term investments that mature in sixty days or less may be valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at their net asset value per share on valuation date.

Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measures fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.

Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both

individually and in aggregate that is significant to the fair value measurement. 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 valuation levels used for major security types as of October 31, 2019 in valuing the Series’ assets or liabilities carried at fair value:


DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities:
Communication Services	$	6,440,460	$	6,440,460	$	—	$	—
Consumer Discretionary		8,339,610		8,339,610		—		—
Consumer Staples		8,101,285		8,101,285		—		—
Energy		886,820		886,820		—		—
Financials		9,159,297		9,159,297		—		—
Health Care		7,115,100		7,115,100		—		—
Industrials		2,560,312		2,560,312		—		—
Information Technology		12,221,363		12,221,363		—		—
Materials		3,693,429		3,693,429		—		—
Real Estate		2,885,687		2,885,687		—		—
Short-Term Investment		2,770,713		2,770,713		—		—


Total assets	$	64,174,076	$	64,174,076	$	—	$	—

There were no Level 2 or Level 3 securities held by the Series as of October 31, 2018 or October 31, 2019.

Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Series is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income, including amortization of premium and accretion of discounts using the effective interest method, is earned from settlement date and accrued daily.

The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.

The Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income tax or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.

Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2019, the Series has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2016 through October 31, 2019. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Distributions to shareholders of net investment income and net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.

The Fund’s organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates.

The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 0.75% of the Series’ average daily net assets.

Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended plus a fee for each committee meeting attended and are reimbursed for travel and other out-of-pocket expenses incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, Governance & Nominating Committee Chair and Lead Independent Director who each receive an additional annual stipend for these roles.

The Class S shares of the Series are subject to a shareholder services fee in accordance with a shareholder services plan adopted by the Board. The shareholder services fee is intended to compensate financial intermediaries, including affiliates of the Fund, in connection with the provision of direct client service, personal services, maintenance of shareholder accounts and reporting services. For these services, Class S of the Series pay a fee, computed daily and payable monthly, at an annual rate of 0.25% of the average daily net assets of Class S shares. The Fund has a Shareholder Services Agreement with the Advisor, for which the Advisor receives the shareholder services fee as stated above.

Effective, March 1, 2019, the Advisor has contractually agreed to waive the management fee for the Class W shares. In addition, pursuant to a separate expense limitation agreement, the Advisor has contractually agreed to limit its fees and reimburse expenses to the extent necessary so that the total direct annual fund operating expenses, exclusive of the shareholder services fee and waived Class W management fees (collectively, “excluded expenses”), to 0.80% of the average daily net assets of the Class S shares and 0.05% of the average daily net assets of the Class W shares. These contractual waivers are expected to continue indefinitely, and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor may receive from a Class the difference between the Class’s total direct annual fund operating expenses, not including excluded expenses, and the Class’s contractual expense limit to recoup all or a portion of its prior fee waivers (other than Class W management fee waivers) or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, not including excluded expenses, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment.

Pursuant to the advisory fee waiver, the Advisor waived $1,839 in management fees for Class W shares for the year ended October 31, 2019. In addition, pursuant to the separate expense limitation agreement, the Advisor waived or reimbursed expenses of $154,347 and $612 for Class S and Class W shares, respectively, for the year ended October 31, 2019. These amounts are included as a reduction of expenses on the Statement of Operations. At October 31, 2019, the Advisor is eligible to recoup $109,525. For the year ended October 31, 2019, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The services of Manning & Napier Investor Services, Inc. are provided at no additional cost to the Series.

Pursuant to a master services agreement dated March 1, 2017, the Fund pays the Advisor an annual fee related to fund accounting and administration of 0.0085% on the first $25 billion of average daily net assets (excluding Target Series and Income Series); 0.0075% on the next $15 billion of average daily net assets (excluding Target Series and Income Series); and 0.0065% of average daily net assets in excess of $40 billion (excluding Target Series and Income Series); plus a base fee of $30,400 per series. Additionally, certain transaction and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent.

For the year ended October 31, 2019, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $30,596,597 and $45,954,201, respectively. There were no purchases or sales of U.S. Government securities.


CLASS S	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
CLASS S	SHARES			AMOUNT			SHARES			AMOUNT
Sold		269,984		$	3,457,862			282,300		$	4,076,767
Reinvested		943,883			10,628,123			426,205			5,860,318
Repurchased		(1,499,648	)		(19,117,104	)		(1,680,674	)		(24,536,632	)

Total		(285,781	)	$	(5,031,119	)		(972,169	)	$	(14,599,547	)


CLASS W	FOR THE PERIOD 3/1/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT
Sold		28,317		$	356,802
Reinvested		—			—
Repurchased		(1,924	)		(26,114	)

Total		26,393		$	330,688

The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk, which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of October 31, 2019.

Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in securities of domestic companies and the U.S. Government. These risks include revaluation of currencies and future adverse political and economic developments. Moreover, securities of foreign companies and foreign governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the U.S. Government.

The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments in the timing of the recognition of net investment income or gains and losses, including losses deferred due to wash sales, the use of equalization and investments in real estate investment trusts. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. For the year ended October 31, 2019, amounts were reclassified within the capital accounts to increase Additional Paid in Capital by $469,409 and decrease Total Distributable Earnings (Loss) by $469,409. Any such reclassifications are not reflected in the financial highlights.

At October 31, 2019, the tax basis of components of distributable earnings and the net unrealized appreciation based on the identified cost of investments for federal income tax purposes were as follows:

To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Equity Series

We have audited the accompanying statement of assets and liabilities, including the investment portfolio, of Equity Series (one of the series constituting Manning & Napier Fund, Inc., referred to hereafter as the “Fund”) as of October 31, 2019, the related statement of operations for the year ended October 31, 2019, the statement of changes in net assets for each of the two years in the period ended October 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2019 by correspondence with the custodian. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more investment companies in Manning & Napier Mutual Funds since 1992.

All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.

For federal income tax purposes, the Series reports for the current fiscal year $676,482 or, if different, the maximum amount allowable under the tax law, as qualified dividend income.

For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends received deduction for the current fiscal year is 21.05%.

The Series designates $6,005,383 as Long-Term Capital Gain dividends pursuant to Section 852(b) of the Code for the fiscal year ended October 31, 2019.

The Statement of Additional Information provides additional information about the Fund’s directors and officers and can be obtained without charge by calling 1-800-466-3863, at www.manning-napier.com, or on the EDGAR Database on the SEC Internet web site (http://www.sec.gov). The following chart shows certain information about the Fund’s directors and officers, including their principal occupations during the last five years. Unless specific dates are provided, the individuals have held the listed positions for longer than five years.

*Interested Director, within the meaning of the 1940 Act by reason of his positions with the Fund’s Advisor, Manning & Napier Advisors, LLC, and Distributor, Manning & Napier Investor Services, Inc.

¹The term of office of all officers shall be one year and until their respective successors are chosen and qualified, or his or her earlier resignation or removal as provided in the Fund’s By-Laws.

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:

The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

For more information about any of the Manning & Napier Fund, Inc. Series, you may obtain a prospectus and SAI at www.manning-napier.com or by calling (800) 466-3863. Before investing, carefully consider the objectives, risks, charges and expenses of the investment and read the prospectus carefully as it contains this and other information about the investment company. In addition, this information can be found on the SEC’s web site, http://www.sec.gov.

The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.

The Manning & Napier Fund, Inc. is managed by Manning & Napier Advisors, LLC. Manning & Napier Investor Services, Inc., an affiliate of Manning & Napier Advisors, LLC, is the distributor of the Fund shares.

1-800-466-3863. Your election to receive reports in paper will apply to all funds held with your financial intermediary if you invest through a financial intermediary or all series of the Fund if you invest directly with the Fund.

The Blended Asset Series are strategically allocated across stocks, bonds, and cash to balance growth, capital preservation, and income to fit a range of investor risk management priorities.

Global equity and fixed income markets posted strong positive returns for the twelve-month period ending October 31, 2019. Over the one year period, equities outperformed fixed income markets, and within stocks, US equities outperformed international markets. With respect to equities, large-cap stocks outperformed small-and mid-cap stocks, while growth stocks outperformed their value counterparts. On the fixed income side, corporate bonds experienced the highest returns from a sector perspective, while longer dated bonds were the highest returning segment of the market from a maturity perspective as a result of falling interest rates.

Each of the Blended Asset Series delivered positive returns over the period, and, with the exception of Moderate Series, outperformed their respective blended benchmarks.

Among the largest contributors to relative returns (i.e., returns compared to the benchmark) was stock selection in Materials, Health Care, Consumer Staples, Information Technology, and Real Estate, as well as from an overweight to Real Estate and underweight to Energy. Additionally, selection within Consumer Discretionary was a large contributor to outperformance for the Maximum Series. Underperformance for the Moderate Series was largely attributable to positioning within the fixed income portion of the portfolio when compared to the benchmark. Specifically, a shorter duration in a period where interest rates generally fell.

Given our outlook, the portfolios are focused on higher quality businesses and reasonably priced growth companies. We prefer businesses with strong management and solid balance sheets who have historically provided some degree of downside protection in adverse markets.

This view has led to meaningful positions in areas such as Consumer Staples and Health Care. In contrast, the portfolios are less exposed to sectors that are highly dependent on strong and above average economic growth such as Industrials and Energy. On the fixed income side, we are seeing opportunities in select corporate bonds and shorter duration, higher-quality securitized credit.

Please see the next page for additional performance information as of October 31, 2019.

Commentary prepared using data provided by FactSet. Analysis Manning & Napier. Commentary presented is relative to each Series’ respective blended benchmark. Additional information and associated disclosures can be found on the Performance Update pages contained in this report.

All investments involve risks, including possible loss of principal. Because the fund invests in both stocks and bonds, the value of your investment will fluctuate in response to stock market movements and changes in interest rates. Investing in the fund will also involve a number of other risks, including issuer-specific risk, foreign investment risk, and small-cap/mid-cap risk. Investments in options and futures, like all derivatives, can be highly volatile and involve risks in addition to the risks of the underlying instrument on which the derivative is based, such as counterparty, correlation and liquidity risk. Also, the use of leverage increases exposure to the market and may magnify potential losses.

Performance Update as of October 31, 2019 - Blended Asset Conservative Series

The following graph compares the value of a $10,000 investment in the Blended Asset Conservative Series - Class R6 from its inception² (October 13, 2017) to present (October 31, 2019) to the Bloomberg Barclays U.S. Intermediate Aggregate Bond Index and Conservative Term Composite Benchmark.

²Performance numbers for the Series and Indices are calculated from October 13, 2017, the Series’ inception date.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class R6. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.64% for Class R6 for the year ended October 31, 2019.

⁴The Bloomberg Barclays U.S Intermediate Aggregate Bond Index is an unmanaged, market-value weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities greater than one year but less than ten years. Index returns do not reflect any fees or expenses. Index returns provided by Interactive Data.

⁵The Conservative Term Composite Benchmark is a blend of the Russell 3000^® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Bloomberg Barclays U.S. Intermediate Aggregate Bond Index (BIAB) in the following weightings: 15% Russell 3000, 5% ACWIxUS, and 80% BIAB through 05/31/2012; and 22% Russell 3000, 8% ACWIxUS, and 70% BIAB beginning 06/01/2012. Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BIAB is an unmanaged, market value-weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed, and mortgage-backed securities with maturities of greater than one year but less than ten years. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the fund’s asset allocation will vary over time, the composition of the fund’s portfolio may not match the composition of the Conservative Term Composite Benchmark.

*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.45%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data. The Series’ total return would have been lower had certain expenses not been waived during the period.



BLENDED ASSET CONSERVATIVE SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS - 26.3%

Communication Services - 3.0%
Diversified Telecommunication Services - 0.1%
AT&T, Inc.		1,255	$	48,305
Verizon Communications, Inc.		1,205		72,866


				121,171

Entertainment - 1.4%
Activision Blizzard, Inc.¹		4,530		253,816
Electronic Arts, Inc.*¹		2,310		222,684
Nexon Co. Ltd. (Japan)*		25,800		298,977
Sea Ltd. - ADR (Taiwan)*¹		8,840		263,078
The Walt Disney Co.		320		41,574


				1,080,129

Interactive Media & Services - 1.3%
Alphabet, Inc. - Class A*¹		175		220,290
Alphabet, Inc. - Class C*¹		180		226,820
Facebook, Inc. - Class A*		1,580		302,807
Tencent Holdings Ltd. - Class H (China)		7,040		285,563


				1,035,480

Media - 0.2%
Quebecor, Inc. - Class B (Canada)		3,140		72,999
Shaw Communications, Inc. - Class B (Canada)		3,830		78,165


				151,164


Total Communication Services				2,387,944


Consumer Discretionary - 2.2%
Automobiles - 0.0%##
Honda Motor Co. Ltd. - ADR (Japan)		1,451		39,133

Distributors - 0.1%
Genuine Parts Co.		545		55,906

Hotels, Restaurants & Leisure - 0.0%##
Hilton Worldwide Holdings, Inc.		130		12,605
McDonald’s Corp.		95		18,686


				31,291

Household Durables - 0.4%
Sony Corp. - ADR (Japan)		4,900		298,067

Internet & Direct Marketing Retail - 0.6%
Amazon.com, Inc.*¹		160		284,266
Booking Holdings, Inc.*¹		75		153,658


				437,924

Multiline Retail - 0.2%
B&M European Value Retail S.A. (United Kingdom)		5,390		25,858
Dollar General Corp.		382		61,250




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Multiline Retail (continued)
Target Corp.		365	$	39,022


				126,130

Specialty Retail - 0.5%
The Home Depot, Inc.		505		118,463
Industria de Diseno Textil S.A. (Spain)		8,040		250,533
O’Reilly Automotive, Inc.*		76		33,099


				402,095

Textiles, Apparel & Luxury Goods - 0.4%
lululemon athletica, Inc.*		1,520		310,490
VF Corp.		358		29,460


				339,950


Total Consumer Discretionary				1,730,496


Consumer Staples - 3.2%
Beverages - 1.4%
Ambev S.A. - ADR (Brazil)¹		15,360		66,202
Anheuser-Busch InBev S.A./N.V. (Belgium)		3,210		259,103
The Coca-Cola Co.		5,340		290,656
Diageo plc (United Kingdom)		3,995		163,520
PepsiCo, Inc.		2,565		351,841


				1,131,322

Food & Staples Retailing - 0.2%
Walgreens Boots Alliance, Inc.		700		38,346
Walmart, Inc.		1,188		139,305


				177,651

Food Products - 1.0%
J&J Snack Foods Corp.		255		48,644
Mondelez International, Inc. - Class A		7,512		394,004
Nestle S.A. (Switzerland)		2,770		296,338


				738,986

Household Products - 0.2%
Colgate-Palmolive Co.		1,246		85,476
Kimberly-Clark Corp.		256		34,017
The Procter & Gamble Co.		475		59,142


				178,635

Personal Products - 0.4%
Unilever plc - ADR (United Kingdom)		5,582		335,534


Total Consumer Staples				2,562,128



BLENDED ASSET CONSERVATIVE SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Energy - 1.2%
Energy Equipment & Services - 0.4%
Halliburton Co.		9,340	$	179,795
Schlumberger Ltd.¹		3,400		111,146
Transocean Ltd.*¹		12,610		59,898


				350,839

Oil, Gas & Consumable Fuels - 0.8%
BP plc - ADR (United Kingdom)¹		970		36,773
Chevron Corp.¹		1,335		155,047
China Petroleum & Chemical Corp. - ADR (China)¹		899		50,784
ConocoPhillips		350		19,320
Equinor ASA - ADR (Norway)		1,729		32,004
Exxon Mobil Corp.		1,635		110,477
Marathon Petroleum Corp.		665		42,527
Occidental Petroleum Corp.		1,010		40,905
Petroleo Brasileiro S.A. - ADR (Brazil)		3,061		46,190
Royal Dutch Shell plc - Class B - ADR (Netherlands)		210		12,241
TOTAL S.A. - ADR (France)		1,016		53,472
Valero Energy Corp.		379		36,755


				636,495


Total Energy				987,334


Financials - 3.2%
Banks - 1.2%
Bank of America Corp.¹		7,172		224,268
Citigroup, Inc.¹		2,248		161,541
JPMorgan Chase & Co.		2,253		281,445
KeyCorp.		1,135		20,396
The PNC Financial Services Group, Inc.		175		25,673
Regions Financial Corp.		1,160		18,676
U.S. Bancorp.		1,005		57,305
Wells Fargo & Co.		3,296		170,172


				959,476

Capital Markets - 1.2%
Ares Management Corp. - Class A¹		1,195		35,336
BlackRock, Inc.¹		245		113,117
The Blackstone Group, Inc. - Class A¹		835		44,389
Cboe Global Markets, Inc.¹		1,310		150,847
CME Group, Inc.¹		720		148,140
The Goldman Sachs Group, Inc.		90		19,204
Intercontinental Exchange, Inc.		1,660		156,571
Moody’s Corp.		680		150,069
Morgan Stanley		225		10,361




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Capital Markets (continued)
S&P Global, Inc.		600	$	154,794


				982,828

Diversified Financial Services - 0.5%
Berkshire Hathaway, Inc. - Class B*¹		1,765		375,204

Insurance - 0.3%
The Allstate Corp.¹		280		29,798
American International Group, Inc.		520		27,539
Arthur J. Gallagher & Co.		470		42,873
Assurant, Inc.		180		22,693
Chubb Ltd.¹		217		33,075
Fidelity National Financial, Inc.		465		21,316
Lincoln National Corp.		300		16,944
Principal Financial Group, Inc.		335		17,882


				212,120


Total Financials				2,529,628


Health Care - 4.4%
Biotechnology - 0.9%
AbbVie, Inc.¹		881		70,084
Amgen, Inc.¹		385		82,101
BioMarin Pharmaceutical, Inc.*¹		2,450		179,365
Gilead Sciences, Inc.		862		54,918
Incyte Corp.*		1,220		102,382
Seattle Genetics, Inc.*		1,220		131,028
Vertex Pharmaceuticals, Inc.*		520		101,650


				721,528

Health Care Equipment & Supplies - 1.0%
Alcon, Inc. (Switzerland)*		2,400		142,248
Medtronic plc¹		5,841		636,085


				778,333

Health Care Providers & Services - 0.1%
CVS Health Corp.¹		817		54,241

Pharmaceuticals - 2.4%
Bristol-Myers Squibb Co.¹		1,565		89,784
GlaxoSmithKline plc (United Kingdom)		940		21,531
Johnson & Johnson		5,080		670,763
Merck & Co., Inc.		2,381		206,337
Merck KGaA (Germany)		2,560		305,322
Novartis AG - ADR (Switzerland)		5,230		457,311
Pfizer, Inc.		3,727		143,005



BLENDED ASSET CONSERVATIVE SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Health Care (continued)
Pharmaceuticals (continued)
Sanofi (France)		365	$	33,648


				1,927,701


Total Health Care				3,481,803


Industrials - 1.3%
Aerospace & Defense - 0.3%
The Boeing Co.¹		279		94,835
Lockheed Martin Corp.		159		59,892
United Technologies Corp.		544		78,107


				232,834

Air Freight & Logistics - 0.1%
United Parcel Service, Inc. - Class B		1,037		119,431

Airlines - 0.0%##
Delta Air Lines, Inc.		335		18,452

Building Products - 0.1%
Johnson Controls International plc¹		1,445		62,612

Commercial Services & Supplies - 0.2%
Covanta Holding Corp.		2,525		36,461
Republic Services, Inc.		525		45,943
Waste Management, Inc.		812		91,115


				173,519

Electrical Equipment - 0.1%
Eaton Corp. plc		374		32,579
Emerson Electric Co.		548		38,442


				71,021

Industrial Conglomerates - 0.2%
3M Co.		398		65,666
Honeywell International, Inc.		398		68,746


				134,412

Machinery - 0.1%
Caterpillar, Inc.¹		359		49,470
Illinois Tool Works, Inc.		224		37,762


				87,232

Road & Rail - 0.2%
Kansas City Southern		420		59,128
Union Pacific Corp.		410		67,839


				126,967


Total Industrials				1,026,480


Information Technology - 4.1%
Communications Equipment - 0.1%
Cisco Systems, Inc.¹		1,860		88,369




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Information Technology (continued)
Electronic Equipment, Instruments & Components - 0.1%
Cognex Corp.		1,510	$	77,750

IT Services - 1.6%
International Business Machines Corp.		526		70,342
InterXion Holding N.V. (Netherlands)*¹		3,390		299,066
Mastercard, Inc. - Class A		1,755		485,801
Visa, Inc. - Class A		2,450		438,207


				1,293,416

Semiconductors & Semiconductor Equipment - 1.2%
Broadcom, Inc.¹		223		65,306
Intel Corp.		4,008		226,572
Micron Technology, Inc.*		9,560		454,578
NVIDIA Corp.		840		168,857
Texas Instruments, Inc.		561		66,192


				981,505

Software - 1.1%
Microsoft Corp.		3,616		518,426
ServiceNow, Inc.*¹		1,260		311,547


				829,973


Total Information Technology				3,271,013


Materials - 0.4%
Chemicals - 0.2%
Dow, Inc.		775		39,130
FMC Corp.		450		41,175
RPM International, Inc.		735		53,236


				133,541

Containers & Packaging - 0.1%
Graphic Packaging Holding Co.		3,750		58,725
Sealed Air Corp.		1,050		43,858


				102,583

Metals & Mining - 0.1%
BHP Group Ltd. - ADR (Australia)¹		1,181		57,763
Rio Tinto plc - ADR (Australia)		902		46,913


				104,676


Total Materials				340,800


Real Estate - 3.1%
Equity Real Estate Investment Trusts (REITS) - 3.1%
Acadia Realty Trust¹		295		8,254
Agree Realty Corp.¹		175		13,785
Alexandria Real Estate Equities, Inc.¹		70		11,113



BLENDED ASSET CONSERVATIVE SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
American Campus Communities, Inc.¹		490	$	24,490
American Homes 4 Rent - Class A¹		1,675		44,337
American Tower Corp.¹		650		141,752
Americold Realty Trust¹		915		36,682
Apartment Investment & Management Co. - Class A¹		799		43,849
AvalonBay Communities, Inc.¹		395		85,976
Boston Properties, Inc.¹		251		34,437
Brandywine Realty Trust¹		2,235		34,151
Camden Property Trust¹		290		33,167
Community Healthcare Trust, Inc.		1,160		56,167
Cousins Properties, Inc.		1,551		62,241
Crown Castle International Corp.		465		64,537
CubeSmart		260		8,242
Digital Realty Trust, Inc.		240		30,490
Douglas Emmett, Inc.		650		28,158
Equinix, Inc.		615		348,570
Equity LifeStyle Properties, Inc.		360		25,178
Equity Residential		495		43,887
Essential Properties Realty Trust, Inc.		1,094		28,072
Essex Property Trust, Inc.		109		35,657
Extra Space Storage, Inc.		95		10,666
Federal Realty Investment Trust		65		8,841
First Industrial Realty Trust, Inc.		430		18,107
Getty Realty Corp.		505		16,938
Healthcare Realty Trust, Inc.		1,395		48,504
Healthcare Trust of America, Inc. - Class A		1,030		31,930
Healthpeak Properties, Inc.		1,175		44,204
Hibernia REIT plc (Ireland)		8,800		13,701
Host Hotels & Resorts, Inc.		955		15,652
Independence Realty Trust, Inc.		3,330		51,282
Invitation Homes, Inc.		1,857		57,177
Jernigan Capital, Inc.		1,805		34,277
Kilroy Realty Corp.		115		9,652
Lexington Realty Trust		1,115		12,131
Liberty Property Trust		455		26,877
Life Storage, Inc.		125		13,615
Mid-America Apartment Communities, Inc.		140		19,459
National Retail Properties, Inc.		490		28,866
National Storage Affiliates Trust		475		16,231
Omega Healthcare Investors, Inc.		450		19,818
Physicians Realty Trust		2,765		51,623




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Plymouth Industrial REIT, Inc.		1,450	$	27,347
Prologis, Inc.		1,055		92,587
Public Storage		175		39,000
Realty Income Corp.		140		11,451
SBA Communications Corp.		590		141,984
Simon Property Group, Inc.		425		64,039
STAG Industrial, Inc.		1,350		41,904
STORE Capital Corp.		410		16,605
Sun Communities, Inc.		255		41,476
Sunstone Hotel Investors, Inc.		795		10,740
UDR, Inc.		681		34,220
UMH Properties, Inc.		615		9,182
Urban Edge Properties		1,115		23,538
Ventas, Inc.		500		32,550
VEREIT, Inc.		3,025		29,766
Vornado Realty Trust		175		11,485
Weingarten Realty Investors		725		23,004
Welltower, Inc.		458		41,536


Total Real Estate				2,485,157


Utilities - 0.2%
Electric Utilities - 0.0%##
Exelon Corp.		625		28,431

Independent Power and Renewable Electricity Producers - 0.1%
Boralex, Inc. - Class A (Canada)		1,185		19,613
Innergex Renewable Energy, Inc. (Canada)		1,975		24,652
Northland Power, Inc. (Canada)		1,195		23,862
Pattern Energy Group, Inc. - Class A		789		22,116


				90,243


Multi-Utilities - 0.1%
CMS Energy Corp.¹		890		56,889


Total Utilities				175,563


TOTAL COMMON STOCKS (Identified Cost $18,778,110)				20,978,346



BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS - 19.2%

Non-Convertible Corporate Bonds - 19.2%
Communication Services - 3.8%
Diversified Telecommunication Services - 1.9%
AT&T, Inc.¹, 4.25%, 3/1/2027		520,000	$	571,119
CenturyLink, Inc., 5.625%, 4/1/2020		5,000		5,062
Verizon Communications, Inc., 5.25%, 3/16/2037		720,000		906,896


				1,483,077

Interactive Media & Services - 0.5%
Tencent Holdings Ltd. (China)³, 3.975%, 4/11/2029		410,000		441,250

Media - 1.4%
Cablevision Systems Corp., 8.00%, 4/15/2020		5,000		5,125
Comcast Corp., 3.25%, 11/1/2039		450,000		456,217
Diamond Sports Group LLC - Diamond Sports Finance Co.³, 6.625%, 8/15/2027		10,000		10,300
Discovery Communications LLC, 5.20%, 9/20/2047		550,000		601,456
Entercom Media Corp.³, 7.25%, 11/1/2024		5,000		5,213
Townsquare Media, Inc.³, 6.50%, 4/1/2023		5,000		4,950


				1,083,261

Wireless Telecommunication Services - 0.0%##
Sprint Communications, Inc., 7.00%, 8/15/2020		15,000		15,453
Sprint Corp., 7.25%, 9/15/2021		5,000		5,335
Sprint Corp., 7.125%, 6/15/2024		5,000		5,425


				26,213


Total Communication Services				3,033,801


Consumer Discretionary - 2.5%
Auto Components - 0.0%##
American Axle & Manufacturing, Inc., 6.25%, 4/1/2025		5,000		4,819
Techniplas LLC³, 10.00%, 5/1/2020		10,000		8,450


				13,269

Automobiles - 0.7%
General Motors Financial Co., Inc., 3.15%, 1/15/2020		560,000		560,757

Diversified Consumer Services - 0.0%##
GEMS MENASA Cayman Ltd. - GEMS Education Delaware LLC (United Arab Emirates)³, 7.125%, 7/31/2026		30,000		31,088




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Household Durables - 0.1%
Ashton Woods USA LLC - Ashton Woods Finance Co.³, 6.75%, 8/1/2025		10,000	$	10,050
LGI Homes, Inc.³, 6.875%, 7/15/2026		15,000		15,525
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		15,000		15,225


				40,800

Internet & Direct Marketing Retail - 1.7%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		440,000		457,011
Booking Holdings, Inc., 3.60%, 6/1/2026		790,000		855,299
Photo Holdings Merger Sub, Inc.³, 8.50%, 10/1/2026		10,000		8,801


				1,321,111

Specialty Retail - 0.0%##
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.³, 12.25%, 11/15/2026		10,000		10,051
Staples, Inc.³, 7.50%, 4/15/2026		10,000		10,402


				20,453


Total Consumer Discretionary				1,987,478


Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.³, 8.625%, 10/15/2026		10,000		10,256


Energy - 3.6%
Energy Equipment & Services - 0.0%##
Nabors Industries, Inc., 5.50%, 1/15/2023		10,000		8,450
Shelf Drilling Holdings Ltd. (United Arab Emirates)³, 8.25%, 2/15/2025		10,000		8,400


				16,850

Oil, Gas & Consumable Fuels - 3.6%
Antero Midstream Partners LP - Antero Midstream Finance Corp.³, 5.75%, 3/1/2027		10,000		7,437
Antero Midstream Partners LP - Antero Midstream Finance Corp.³, 5.75%, 1/15/2028		10,000		7,550
Bruin E&P Partners LLC^1,3, 8.875%, 8/1/2023		10,000		6,600



BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Calumet Specialty Products Partners LP - Calumet Finance Corp.³, 11.00%, 4/15/2025		10,000	$	10,025
Energy Transfer Operating LP, 6.50%, 2/1/2042		390,000		467,104
Jonah Energy LLC - Jonah Energy Finance Corp.³, 7.25%, 10/15/2025		15,000		4,200
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		460,000		594,652
Kinder Morgan, Inc., 3.05%, 12/1/2019		560,000		560,382
Lonestar Resources America, Inc.³, 11.25%, 1/1/2023		10,000		7,000
Moss Creek Resources Holdings, Inc.³, 10.50%, 5/15/2027		5,000		3,862
NuStar Logistics LP, 6.75%, 2/1/2021		10,000		10,362
Rockies Express Pipeline LLC³, 5.625%, 4/15/2020		10,000		10,168
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		650,000		746,364
Southwestern Energy Co.⁴, 6.20%, 1/23/2025		10,000		8,800
W&T Offshore, Inc.³, 9.75%, 11/1/2023		5,000		4,688
The Williams Companies, Inc., 3.75%, 6/15/2027		400,000		417,058


				2,866,252


Total Energy				2,883,102


Financials - 4.0%
Banks - 3.5%
Bank of America Corp.¹, 4.00%, 1/22/2025		780,000		831,963
Citigroup, Inc.¹, 8.125%, 7/15/2039		270,000		444,168
Credit Suisse AG (Switzerland), 5.40%, 1/14/2020		550,000		553,564
JPMorgan Chase & Co.⁵, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		380,000		405,763
Santander Holdings USA, Inc., 4.50%, 7/17/2025		520,000		560,351


				2,795,809

Capital Markets - 0.4%
AG Merger Sub II, Inc.³, 10.75%, 8/1/2027		10,000		9,900




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Financials (continued)
Capital Markets (continued)
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		15,000	$	15,600
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025		260,000		280,059


				305,559

Consumer Finance - 0.0%##
Navient Corp., 5.00%, 10/26/2020		10,000		10,184
SLM Corp., 5.125%, 4/5/2022		15,000		15,488


				25,672

Diversified Financial Services - 0.0%##
Fidelity & Guaranty Life Holdings, Inc.³, 5.50%, 5/1/2025		5,000		5,338
Global Aircraft Leasing Co. Ltd. (Cayman Islands)^3,6, 6.50%, 9/15/2024		10,000		10,235
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)³, 10.50%, 6/1/2024		10,000		9,725


				25,298

Thrifts & Mortgage Finance - 0.1%
Acrisure LLC - Acrisure Finance, Inc.³, 7.00%, 11/15/2025		15,000		13,725
Radian Group, Inc., 4.875%, 3/15/2027		15,000		15,563


				29,288


Total Financials				3,181,626


Health Care - 0.6%
Health Care Providers & Services - 0.6%
HCA, Inc., 4.125%, 6/15/2029		440,000		466,138


Industrials - 2.2%
Commercial Services & Supplies - 0.0%##
The ADT Security Corp., 6.25%, 10/15/2021		5,000		5,331
Prime Security Services Borrower LLC - Prime Finance, Inc.³, 5.75%, 4/15/2026		5,000		5,124
Stericycle, Inc.³, 5.375%, 7/15/2024		15,000		15,600


				26,055

Construction & Engineering - 0.0%##
HC2 Holdings, Inc.³, 11.50%, 12/1/2021		5,000		4,556
Tutor Perini Corp.³, 6.875%, 5/1/2025		15,000		14,960


				19,516



BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Industrial Conglomerates - 0.6%
General Electric Co.^5,7, (3 mo. LIBOR US + 3.330%), 5.00%		500,000	$	481,875

Marine - 0.1%
American Tanker, Inc. (Norway)³, 9.25%, 2/22/2022		20,000		20,112
Borealis Finance LLC³, 7.50%, 11/16/2022		15,000		14,100


				34,212

Trading Companies & Distributors - 1.5%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland)¹, 4.45%, 10/1/2025		530,000		575,092
Air Lease Corp., 3.625%, 4/1/2027		570,000		594,606
Fortress Transportation & Infrastructure Investors LLC³, 6.50%, 10/1/2025		10,000		10,100


				1,179,798


Total Industrials				1,741,456


Information Technology - 0.0%##
Communications Equipment - 0.0%##
Hughes Satellite Systems Corp., 5.25%, 8/1/2026		15,000		16,069

Materials - 0.9%
Chemicals - 0.0%##
CF Industries, Inc., 7.125%, 5/1/2020		5,000		5,120
Olin Corp., 5.625%, 8/1/2029		10,000		10,383


				15,503

Containers & Packaging - 0.1%
ARD Securities Finance S.A.R.L (Luxembourg)^3,6, 8.75%, 1/31/2023		5,218		5,427
Berry Global, Inc.³, 4.50%, 2/15/2026		5,000		5,031
Mauser Packaging Solutions Holding Co.³, 7.25%, 4/15/2025		10,000		9,563


				20,021

Metals & Mining - 0.8%
Infrabuild Australia Pty Ltd. (Australia)³, 12.00%, 10/1/2024		10,000		10,191
Mountain Province Diamonds, Inc. (Canada)³, 8.00%, 12/15/2022		15,000		14,550
Northwest Acquisitions ULC - Dominion Finco, Inc.³, 7.125%, 11/1/2022		15,000		7,500



	PRINCIPAL
	AMOUNT²/ SHARES		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Materials (continued)
Metals & Mining (continued)
Southern Copper Corp. (Peru), 5.375%, 4/16/2020		580,000	$	587,155
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.³, 7.50%, 6/15/2025		5,000		4,250


				623,646


Total Materials				659,170


Real Estate - 1.6%
Equity Real Estate Investment Trusts (REITS) - 1.6%
American Tower Corp., 3.80%, 8/15/2029		550,000		587,968
Crown Castle International Corp., 3.10%, 11/15/2029		580,000		589,365
GTP Acquisition Partners I LLC³, 2.35%, 6/15/2020		95,000		95,033


				1,272,366

Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.³, 7.875%, 11/15/2025		10,000		9,452
Forestar Group, Inc.³, 8.00%, 4/15/2024		5,000		5,375


				14,827


Total Real Estate				1,287,193


TOTAL CORPORATE BONDS (Identified Cost $14,663,626)				15,266,289


MUTUAL FUNDS - 0.4%

iShares Russell 1000 Value ETF		1,360		176,895
Schwab U.S. Dividend Equity ETF		2,296		127,474


TOTAL MUTUAL FUNDS (Identified Cost $293,497)				304,369


U.S. TREASURY SECURITIES - 24.3%

U.S. Treasury Bonds - 1.5%
U.S. Treasury Bond, 3.00%, 5/15/2047		655,000		766,964
U.S. Treasury Inflation Indexed Bond, 0.75%, 2/15/2042		377,410		396,578


Total U.S. Treasury Bonds (Identified Cost $1,145,879)				1,163,542


U.S. Treasury Notes - 22.8%
U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020		3,154,446		3,137,565



BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		1,525,875	$	1,545,935
U.S. Treasury Note, 2.625%, 5/15/2021		1,535,000		1,558,984
U.S. Treasury Note, 2.50%, 8/15/2023		4,705,000		4,872,615
U.S. Treasury Note, 2.50%, 5/15/2024		2,265,000		2,360,555
U.S. Treasury Note, 2.125%, 5/15/2025		2,280,000		2,346,708
U.S. Treasury Note, 1.625%, 5/15/2026		2,360,000		2,363,780


Total U.S. Treasury Notes (Identified Cost $17,925,501)				18,186,142


TOTAL U.S. TREASURY SECURITIES
(Identified Cost $19,071,380)				19,349,684


ASSET-BACKED SECURITIES - 4.5%

Cazenovia Creek Funding II LLC, Series 2018-1A, Class A^1,3, 3.561%, 7/15/2030		196,831		198,260
Invitation Homes Trust, Series 2017-SFR2, Class A^3,8, (1 mo. LIBOR US + 0.850%), 2.739%, 12/17/2036		75,114		75,008
Invitation Homes Trust, Series 2017-SFR2, Class B^3,8, (1 mo. LIBOR US + 1.150%), 3.039%, 12/17/2036		60,000		60,056
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A1³, 2.82%, 2/15/2068		229,384		231,631
Navient Student Loan Trust, Series 2019-2A, Class A2^3,8, (1 mo. LIBOR US + 1.000%), 2.823%, 2/27/2068		550,000		554,778
Progress Residential Trust, Series 2017-SFR2, Class A³, 2.897%, 12/17/2034		150,000		150,747
Progress Residential Trust, Series 2019-SFR2, Class A³, 3.147%, 5/17/2036		280,000		284,860
SBA Small Business Investment Companies, Series 2015-10A, Class 1, 2.517%, 3/10/2025		78,558		79,881
SoFi Consumer Loan Program LLC, Series 2016-5, Class A³, 3.06%, 9/25/2028		79,136		79,542




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

ASSET-BACKED SECURITIES (continued)

SoFi Consumer Loan Program Trust, Series 2019-2, Class A³, 3.01%, 4/25/2028		180,040	$	181,450
SoFi Consumer Loan Program Trust, Series 2019-3, Class A³, 2.90%, 5/25/2028		225,082		226,684
SoFi Professional Loan Program LLC, Series 2015-D, Class A2³, 2.72%, 10/27/2036		71,664		72,317
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B³, 2.74%, 10/25/2032		56,954		57,329
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B³, 2.49%, 1/25/2036		208,359		209,168
SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX³, 2.05%, 1/25/2041		24,678		24,676
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX³, 2.84%, 1/25/2041		75,000		76,114
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A³, 2.39%, 2/25/2042		64,349		64,473
Towd Point Mortgage Trust, Series 2016-5, Class A1^3,9, 2.50%, 10/25/2056		181,145		181,837
Towd Point Mortgage Trust, Series 2017-1, Class A1^3,9, 2.75%, 10/25/2056		168,109		170,099
Towd Point Mortgage Trust, Series 2019-HY1, Class A1^3,8, (1 mo. LIBOR US + 1.000%), 2.823%, 10/25/2048		159,112		159,961
Tricon American Homes Trust, Series 2016-SFR1, Class A³, 2.589%, 11/17/2033		215,065		215,019
Tricon American Homes Trust, Series 2017-SFR2, Class A³, 2.928%, 1/17/2036		199,434		202,425


TOTAL ASSET-BACKED SECURITIES (Identified Cost $3,520,556)				3,556,315


COMMERCIAL MORTGAGE-BACKED SECURITIES - 7.5%

Caesars Palace Las Vegas Trust, Series 2017-VICI, Class A^1,3, 3.531%, 10/15/2034		260,000		270,384
CIM Trust, Series 2019-INV1, Class A1^3,9, 4.00%, 2/25/2049		96,616		98,725



BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A1^1,3,9, 2.50%, 5/25/2043		131,921	$	130,533
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A1^3,9, 2.13%, 2/25/2043		86,872		84,957
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		306,075		319,526
Fannie Mae-Aces, Series 2017-M15, Class A1⁹, 2.959%, 9/25/2027		270,390		283,325
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		311,481		315,690
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		282,102		287,994
FREMF Mortgage Trust, Series 2011-K13, Class B^3,9, 4.612%, 1/25/2048		321,504		329,791
FREMF Mortgage Trust, Series 2014-K41, Class B^3,9, 3.832%, 11/25/2047		273,000		286,566
FREMF Mortgage Trust, Series 2014-K716, Class B^3,9, 3.948%, 8/25/2047		451,000		463,061
Government National Mortgage Association, Series 2012-113, Class PY, 2.50%, 9/20/2042		250,000		249,724
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		318,011		320,674
JP Morgan Mortgage Trust, Series 2013-2, Class A2^3,9, 3.50%, 5/25/2043		74,717		76,175
JP Morgan Mortgage Trust, Series 2014-2, Class 1A1^3,9, 3.00%, 6/25/2029		94,122		95,598
JP Morgan Mortgage Trust, Series 2017-2, Class A5^3,9, 3.50%, 5/25/2047		273,289		276,890
JP Morgan Mortgage Trust, Series 2017-2, Class A6^3,9, 3.00%, 5/25/2047		293,533		295,111
JP Morgan Mortgage Trust, Series 2017-3, Class 1A3^3,9, 3.50%, 8/25/2047		271,999		276,628
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX3^3,9, 3.75%, 11/25/2054		79,286		82,476
New Residential Mortgage Loan Trust, Series 2015-2A, Class A1^3,9, 3.75%, 8/25/2055		89,819		93,640




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

New Residential Mortgage Loan Trust, Series 2016-4A, Class A1^3,9, 3.75%, 11/25/2056		120,081	$	125,246
Sequoia Mortgage Trust, Series 2013-8, Class A1⁹, 3.00%, 6/25/2043		108,522		109,747
Starwood Retail Property Trust, Series 2014-STAR, Class A^3,8, (1 mo. LIBOR US + 1.220%), 3.134%, 11/15/2027		252,607		252,153
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A^3,9, 2.86%, 12/25/2035		258,030		259,500
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A^3,8, (1 mo. LIBOR US + 1.050%), 2.971%, 12/15/2033		175,000		175,109
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A4^3,9, 4.869%, 2/15/2044		336,149		344,053
WinWater Mortgage Loan Trust, Series 2015-3, Class A5^3,9, 3.50%, 3/20/2045		68,254		68,409


TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Identified Cost $5,902,016)				5,971,685


FOREIGN GOVERNMENT BONDS - 1.4%

Canadian Government Bond (Canada), 2.75%, 6/1/2022	CAD	33,000		25,841
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020		1,000,000		1,005,745
Mexican Government Bond (Mexico), 8.00%, 6/11/2020	MXN	733,000		38,376
Mexican Government Bond (Mexico), 6.50%, 6/10/2021	MXN	275,000		14,264
Mexican Government Bond (Mexico), 6.50%, 6/9/2022	MXN	504,000		26,169
Mexican Government Bond (Mexico), 7.75%, 5/29/2031	MXN	92,000		5,115


TOTAL FOREIGN GOVERNMENT BONDS (Identified Cost $1,111,932)				1,115,510



BLENDED ASSET CONSERVATIVE SERIES
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES - 13.8%

Mortgage-Backed Securities - 13.8%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021		7,547	$	7,656
Fannie Mae, Pool #888810, 5.50%, 11/1/2022		9,093		9,213
Fannie Mae, Pool #AL9409, 3.50%, 11/1/2031		251,519		261,396
Fannie Mae, Pool #MA3463, 4.00%, 9/1/2033		276,267		288,459
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034		70,879		76,178
Fannie Mae, Pool #MA1903, 4.50%, 5/1/2034		82,337		88,493
Fannie Mae, Pool #FM1158, 3.50%, 6/1/2034		303,324		314,249
Fannie Mae, Pool #MA3412, 3.50%, 7/1/2038		419,062		434,279
Fannie Mae, Pool #890294, 5.50%, 1/1/2039		73,079		82,091
Fannie Mae, Pool #AD0307, 5.50%, 1/1/2039		38,363		43,088
Fannie Mae, Pool #AE0604, 6.00%, 7/1/2039		44,395		51,086
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		96,898		104,971
Fannie Mae, Pool #890326, 5.50%, 1/1/2040		77,985		87,621
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040		75,080		86,304
Fannie Mae, Pool #AL7729, 4.00%, 6/1/2043		68,356		73,132
Fannie Mae, Pool #AS3622, 3.50%, 10/1/2044		617,335		650,098
Fannie Mae, Pool #AZ2001, 3.50%, 5/1/2045		297,762		311,117
Fannie Mae, Pool #AZ9215, 4.00%, 10/1/2045		90,482		95,284
Fannie Mae, Pool #MA2705, 3.00%, 8/1/2046		290,006		297,652
Fannie Mae, Pool #BD6997, 4.00%, 10/1/2046		95,533		100,401
Fannie Mae, Pool #BE7845, 4.50%, 2/1/2047		91,035		96,124
Fannie Mae, Pool #CA1720, 5.00%, 5/1/2048		548,616		605,882
Fannie Mae, Pool #CA2056, 4.50%, 7/1/2048		582,693		615,028
Fannie Mae, Pool #MA3443, 4.00%, 8/1/2048		254,120		263,580
Fannie Mae, Pool #BK9366, 4.50%, 8/1/2048		110,483		116,292




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Fannie Mae, Pool #CA2219, 5.00%, 8/1/2048		516,096	$	553,277
Fannie Mae, Pool #MA3521, 4.00%, 11/1/2048		837,924		869,879
Fannie Mae, Pool #MA3527, 5.00%, 11/1/2048		453,056		483,907
Fannie Mae, Pool #BN0622, 4.50%, 1/1/2049		259,812		273,417
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		135,638		152,686
Fannie Mae, Pool #MA3692, 3.50%, 7/1/2049		586,520		601,712
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		106,417		114,435
Freddie Mac, Pool #QN0349, 3.00%, 8/1/2034		317,062		324,848
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		34,297		39,452
Freddie Mac, Pool #G05196, 5.50%, 10/1/2038		33,093		37,165
Freddie Mac, Pool #G05409, 5.50%, 3/1/2039		29,735		33,409
Freddie Mac, Pool #A92889, 4.50%, 7/1/2040		123,626		132,882
Freddie Mac, Pool #A93451, 4.50%, 8/1/2040		140,390		152,266
Freddie Mac, Pool #G60334, 4.50%, 10/1/2041		112,317		121,799
Freddie Mac, Pool #Q24752, 3.50%, 2/1/2044		162,561		170,689
Freddie Mac, Pool #G60183, 4.00%, 12/1/2044		95,299		100,050
Freddie Mac, Pool #Q37592, 4.00%, 12/1/2045		205,140		217,547
Freddie Mac, Pool #Q45878, 3.00%, 12/1/2046		290,931		298,323
Freddie Mac, Pool #ZM2525, 3.00%, 12/1/2046		296,318		303,667
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		180,504		190,107
Freddie Mac, Pool #G61887, 5.00%, 2/1/2049		244,639		261,745
Freddie Mac, Pool #ZN4802, 4.00%, 4/1/2049		355,664		369,830


TOTAL U.S. GOVERNMENT AGENCIES (Identified Cost $10,772,476)				10,962,766

¹A portion of this security is designated as collateral for options contracts written. As of October 31, 2019, the total value of such securities was $7,527,611.

³Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid under the Fund’s Liquidity Risk Management Program. These securities amount to $8,497,552, or 10.7% of the Series’ net assets as of October 31, 2019 (see Note 2 to the financial statements).

⁴Step coupon rate security - Rate steps up/down by 25 basis points upon rating downgrade/upgrade by Moody’s and S&P rating agencies (Subject to a maximum of 100 basis points per agency, 200 basis points maximum).

⁵Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of October 31, 2019.

⁸Floating rate security. Rate shown is the rate in effect as of October 31, 2019.

⁹Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of October 31, 2019.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

The following graph compares the value of a $10,000 investment in the Blended Asset Moderate Series - Class R6 from its inception² (October 13, 2017) to present (October 31, 2019) to the Bloomberg Barclays U.S. Aggregate Bond Index and the 30/10/60 Blended Index.

²Performance numbers for the Series and Indices are calculated from October 13, 2017, the Series’ inception date.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.50% for Class R6. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.70% for Class R for the year ended October 31, 2019.

⁴The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market-value weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of one year or more. Index returns do not reflect any fees or expenses. Index returns provided by Interactive Data.

⁵The 30/10/60 Blended Index is 30% Russell 3000^® Index (Russell 3000), 10% MSCI ACWI ex USA Index (ACWIxUS), and 60% Bloomberg Barclays U.S. Aggregate Bond Index (BAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB is an unmanaged, market value-weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities with maturities of one year or more. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the fund’s asset allocation will vary over time, the composition of the fund’s portfolio may not match the composition of the comparative Indices. Mid-month performance may not be available for all indices within the blended index. Where applicable, performance for those indices is included from the first of the month following the corresponding Fund’s inception date.

*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.50%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data. The Series’ total return would have been lower had certain expenses not been waived during the period.



BLENDED ASSET MODERATE SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS - 37.6%

Communication Services - 5.8%
Diversified Telecommunication Services - 0.1%
Elisa OYJ (Finland)		508	$	27,745
Orange S.A. (France)		560		9,013
Telefonica Brasil S.A. (Brazil)		400		5,293


				42,051

Entertainment - 2.6%
Activision Blizzard, Inc.¹		12,730		713,262
Electronic Arts, Inc.*¹		4,900		472,360
Nexon Co. Ltd. (Japan)*		57,330		664,354
Sea Ltd. - ADR (Taiwan)*¹		20,715		616,478
Toho Co. Ltd. - Tokyo (Japan)		500		20,193
Viacom, Inc. - Class B		84		1,811
Vivendi S.A. (France)		285		7,937


				2,496,395

Interactive Media & Services - 2.7%
Alphabet, Inc. - Class A*¹		425		534,990
Alphabet, Inc. - Class C*¹		425		535,547
Autohome, Inc. - ADR (China)*		215		18,180
Facebook, Inc. - Class A*		3,520		674,608
Kakao Corp. (South Korea)		225		27,304
Tencent Holdings Ltd. - Class H (China)		17,903		726,198


				2,516,827

Media - 0.4%
Informa plc (United Kingdom)		2,410		24,224
Quebecor, Inc. - Class B (Canada)		7,555		175,639
Shaw Communications, Inc. - Class B (Canada)		9,995		203,983


				403,846

Wireless Telecommunication Services - 0.0%##
Globe Telecom, Inc. (Philippines)		175		6,290


Total Communication Services				5,465,409


Consumer Discretionary - 3.9%
Auto Components - 0.0%##
Cie Generale des Etablissements Michelin SCA (France)		50		6,088

Automobiles - 0.0%##
Peugeot S.A. (France)		160		4,052

Distributors - 0.0%##
Genuine Parts Co.		33		3,385

Diversified Consumer Services - 0.1%
Fu Shou Yuan International Group Ltd. (China)		13,000		11,474




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Diversified Consumer Services (continued)
New Oriental Education & Technology Group, Inc. - ADR (China)*		230	$	28,074
TAL Education Group - ADR (China)*		565		24,188


				63,736

Hotels, Restaurants & Leisure - 0.1%
Basic-Fit N.V. (Netherlands)*²		610		18,657
Galaxy Entertainment Group Ltd. (Macau)		2,000		13,771
Hilton Worldwide Holdings, Inc.		120		11,635
Melco Resorts & Entertainment Ltd. - ADR (Hong Kong)		535		11,524
MGM China Holdings Ltd. (Macau)		7,200		11,401
Restaurant Brands International, Inc. (Canada)		240		15,706
Sands China Ltd. (Macau)		3,600		17,732
Wynn Macau Ltd. (Macau)		8,000		17,361


				117,787

Household Durables - 0.9%
Barratt Developments plc (United Kingdom)		1,595		13,044
The Berkeley Group Holdings plc (United Kingdom)		240		13,680
Persimmon plc (United Kingdom)		485		14,306
Sony Corp. - ADR (Japan)		12,145		738,780
Sony Corp. (Japan)		500		30,434
Taylor Wimpey plc (United Kingdom)		6,275		13,458


				823,702

Internet & Direct Marketing Retail - 1.1%
Alibaba Group Holding Ltd. - ADR (China)*¹		245		43,284
Amazon.com, Inc.*¹		365		648,481
Booking Holdings, Inc.*¹		180		368,779
Farfetch Ltd. - Class A (United Kingdom)*		685		6,117


				1,066,661

Leisure Products - 0.0%##
Technogym S.p.A. (Italy)²		1,945		21,459

Multiline Retail - 0.0%##
B&M European Value Retail S.A. (United Kingdom)		2,810		13,481
Kohl’s Corp.		45		2,307
Lojas Renner S.A. (Brazil)		600		7,613



BLENDED ASSET MODERATE SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Multiline Retail (continued)
Magazine Luiza S.A. (Brazil)		500	$	5,535


				28,936

Specialty Retail - 0.7%
Best Buy Co., Inc.		53		3,807
The Gap, Inc.		97		1,577
The Home Depot, Inc.		100		23,458
Industria de Diseno Textil S.A. (Spain)		21,205		660,765


				689,607

Textiles, Apparel & Luxury Goods - 1.0%
EssilorLuxottica S.A. (France)		65		9,925
Hermes International (France)		5		3,602
Kering S.A. (France)		20		11,380
Kontoor Brands, Inc.		8		304
lululemon athletica, Inc.*		4,050		827,292
LVMH Moet Hennessy Louis Vuitton SE (France)		65		27,759
Shenzhou International Group Holdings Ltd. (China)		1,500		20,728
VF Corp.		62		5,102


				906,092


Total Consumer Discretionary				3,731,505


Consumer Staples - 5.7%
Beverages - 3.0%
Ambev S.A. - ADR (Brazil)¹		38,535		166,086
Ambev S.A. (Brazil)		3,800		16,449
Anheuser-Busch InBev S.A./N.V. (Belgium)		8,130		656,233
The Coca-Cola Co.		13,740		747,868
Coca-Cola European Partners plc (United Kingdom)¹		440		23,544
Diageo plc (United Kingdom)		9,290		380,250
Heineken N.V. (Netherlands)		225		22,977
Molson Coors Brewing Co. - Class B		41		2,162
PepsiCo, Inc.		5,770		791,471
Pernod Ricard S.A. (France)		135		24,939


				2,831,979

Food & Staples Retailing - 0.1%
Alimentation Couche-Tard, Inc. - Class B (Canada)		800		23,992
ICA Gruppen AB (Sweden)		530		23,453
The Kroger Co.		108		2,661
Loblaw Companies Ltd. (Canada)		465		24,798




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Food & Staples Retailing (continued)
Puregold Price Club, Inc. (Philippines)		4,700	$	3,780
Raia Drogasil S.A. (Brazil)		200		5,484
Robinsons Retail Holdings, Inc. (Philippines)		2,800		4,185
Sysco Corp.		80		6,390
Walgreens Boots Alliance, Inc.		119		6,519
Walmart, Inc.		225		26,384


				127,646

Food Products - 1.7%
Archer-Daniels-Midland Co.		77		3,237
Barry Callebaut AG (Switzerland)		5		10,567
Conagra Brands, Inc.		87		2,353
Danone S.A. (France)		665		55,089
General Mills, Inc.		103		5,239
The Hershey Co.		35		5,140
The J.M. Smucker Co.		25		2,642
Kellogg Co.		58		3,685
Kerry Group plc - Class A (Ireland)		210		25,428
Mondelez International, Inc. - Class A		12,914		677,339
Mowi ASA (Norway)		1,045		25,511
Nestle S.A. (Switzerland)		7,535		806,104
Tyson Foods, Inc. - Class A		46		3,808
Universal Robina Corp. (Philippines)		2,650		7,873


				1,634,015

Household Products - 0.1%
Colgate-Palmolive Co.		114		7,820
Essity AB - Class B (Sweden)		820		25,617
Henkel AG & Co. KGaA (Germany)		245		25,449
Kimberly-Clark Corp.		51		6,777
Reckitt Benckiser Group plc (United Kingdom)		300		23,215


				88,878

Personal Products - 0.8%
Beiersdorf AG (Germany)		140		16,574
LG Household & Health Care Ltd.
(South Korea)		20		21,642
L’Oreal S.A. (France)		70		20,444
Unilever plc - ADR (United Kingdom)		11,165		671,128


				729,788

Tobacco - 0.0%##
British American Tobacco plc - ADR (United Kingdom)¹		320		11,187



BLENDED ASSET MODERATE SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Tobacco (continued)
British American Tobacco plc (United Kingdom)		735	$	25,707


				36,894


Total Consumer Staples				5,449,200


Energy - 1.2%
Energy Equipment & Services - 0.9%
Baker Hughes Co.		134		2,868
Core Laboratories N.V.		260		11,450
Halliburton Co.		22,544		433,972
Schlumberger Ltd.¹		8,555		279,663
Transocean Ltd.*¹		30,290		143,877


				871,830

Oil, Gas & Consumable Fuels - 0.3%
Cameco Corp. (Canada)		1,795		16,029
Chevron Corp.		127		14,750
Eni S.p.A. (Italy)		1,570		23,818
Equinor ASA (Norway)		1,370		25,435
Galp Energia SGPS S.A. (Portugal)		1,585		25,352
Marathon Petroleum Corp.		107		6,843
Occidental Petroleum Corp.		89		3,604
Phillips 66		51		5,958
Repsol S.A. (Spain)		1,744		28,741
Royal Dutch Shell plc - Class B - ADR (Netherlands)		695		40,512
Suncor Energy, Inc. (Canada)		635		18,880
TOTAL S.A. (France)		520		27,491
Valero Energy Corp.		67		6,498


				243,911


Total Energy				1,115,741


Financials - 3.7%
Banks - 0.3%
Banco Bradesco S.A. (Brazil)		3,300		29,022
Banco do Brasil S.A. (Brazil)		1,000		11,971
Banco Santander Brasil S.A. (Brazil)		400		4,730
Bank of America Corp.		537		16,792
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		525		17,299
Bank of the Philippine Islands (Philippines)		4,820		9,209
Barclays plc (United Kingdom)		6,755		14,652
BB&T Corp.		82		4,350
BDO Unibank, Inc. (Philippines)		3,950		12,050
BNP Paribas S.A. (France)		325		16,984
Citigroup, Inc.		157		11,282




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Banks (continued)
Credit Agricole S.A. (France)		355	$	4,632
Fifth Third Bancorp		126		3,664
FinecoBank Banca Fineco S.p.A. (Italy)		1,930		21,758
Itau Unibanco Holding S.A. (Brazil)		3,700		33,453
Itausa - Investimentos Itau S.A. (Brazil)		4,100		14,006
JPMorgan Chase & Co. KeyCorp		210 172		26,233 3,091
Lloyds Banking Group plc (United Kingdom)		18,800		13,830
Metropolitan Bank & Trust Co. (Philippines)		7,068		9,409
Regions Financial Corp.		153		2,463
Royal Bank of Scotland Group plc (United Kingdom)		4,915		13,586
SunTrust Banks, Inc.		64		4,374
U.S. Bancorp		186		10,606
Wells Fargo & Co.		402		20,755


				330,201

Capital Markets - 2.4%
B3 S.A. - Brasil Bolsa Balcao (Brazil)		1,400		16,899
BlackRock, Inc.¹		390		180,063
Cboe Global Markets, Inc.¹		3,550		408,782
CME Group, Inc.¹		1,800		370,350
Deutsche Boerse AG (Germany)		165		25,552
Hargreaves Lansdown plc (United Kingdom)		490		11,252
Intercontinental Exchange, Inc.		4,440		418,781
Julius Baer Group Ltd. (Switzerland).		310		13,728
London Stock Exchange Group plc (United Kingdom)		135		12,166
Moody’s Corp.		1,800		397,242
S&P Global, Inc.		1,580		407,624


				2,262,439

Diversified Financial Services - 0.9%
Berkshire Hathaway, Inc. - Class B*¹		4,150		882,207

Insurance - 0.1%
Admiral Group plc (United Kingdom).		830		21,723
The Allstate Corp.		39		4,150
AXA S.A. (France)		555		14,692
BB Seguridade Participacoes S.A. (Brazil)		700		5,926
Chubb Ltd.		42		6,402



BLENDED ASSET MODERATE SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Insurance (continued)
The Hartford Financial Services Group, Inc.		51	$	2,911
Ping An Insurance Group Co. of China Ltd. - Class H (China)		1,500		17,313
The Travelers Companies, Inc.		30		3,932


				77,049


Total Financials				3,551,896


Health Care - 6.8%
Biotechnology - 1.3%
AbbVie, Inc.		164		13,046
Amgen, Inc.		73		15,567
BioMarin Pharmaceutical, Inc.*¹		6,060		443,653
Gilead Sciences, Inc.		161		10,257
Incyte Corp.*		2,730		229,102
Seattle Genetics, Inc.*		2,960		317,904
Vertex Pharmaceuticals, Inc.*		1,250		244,350


				1,273,879

Health Care Equipment & Supplies - 1.8%
Alcon, Inc. (Switzerland)*		6,169		365,637
Alcon, Inc. (Switzerland)*		207		12,242
Getinge AB - Class B (Sweden)		1,080		18,464
Hoya Corp. (Japan)		300		26,513
Koninklijke Philips N.V. (Netherlands) Medtronic plc¹		550 10,832		24,131 1,179,605
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		12,000		13,776
Smith & Nephew plc (United Kingdom)		1,085		23,291


				1,663,659

Health Care Providers & Services - 0.0%##
CVS Health Corp.		149		9,892
Quest Diagnostics, Inc.		26		2,632
Sonic Healthcare Ltd. (Australia)		1,310		25,800


				38,324

Life Sciences Tools & Services - 0.1%
Gerresheimer AG (Germany)		230		18,548
QIAGEN N.V.*¹		370		11,030
QIAGEN N.V.*		635		19,100
Tecan Group AG (Switzerland)		20		4,732


				53,410

Pharmaceuticals - 3.6%
Bristol-Myers Squibb Co.		181		10,384




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Health Care (continued)
Pharmaceuticals (continued)
Johnson & Johnson		7,735	$	1,021,329
Merck & Co., Inc.		2,850		246,981
Merck KGaA (Germany)		6,610		788,352
Novartis AG - ADR (Switzerland)		13,285		1,161,640
Novartis AG (Switzerland)		310		27,086
Perrigo Co. plc¹		380		20,148
Pfizer, Inc.		518		19,876
Recordati S.p.A. (Italy)		575		24,164
Roche Holding AG (Switzerland)		140		42,134
Sanofi (France)		305		28,117


				3,390,211


Total Health Care				6,419,483


Industrials - 0.5%
Aerospace & Defense - 0.1%
Airbus SE (France)		155		22,236
BAE Systems plc (United Kingdom)		3,640		27,190
The Boeing Co.		50		16,995
General Dynamics Corp.		29		5,127
Lockheed Martin Corp.		31		11,677
Safran S.A. (France)		90		14,255
Thales S.A. (France)		20		1,955
United Technologies Corp.		88		12,635


				112,070

Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.		36		2,723
United Parcel Service, Inc. - Class B		110		12,669


				15,392

Airlines - 0.0%##
Ryanair Holdings plc - ADR (Ireland)*		220		16,421

Building Products - 0.0%##
Cie de Saint-Gobain (France)		135		5,498
Johnson Controls International plc		129		5,590


				11,088

Commercial Services & Supplies - 0.0%##
Waste Management, Inc.		61		6,845

Construction & Engineering - 0.0%##
Vinci S.A. (France)		230		25,805

Electrical Equipment - 0.1%
Eaton Corp. plc		68		5,923
Emerson Electric Co.		94		6,594
Legrand S.A. (France)		70		5,469
Rockwell Automation, Inc.		17		2,924



BLENDED ASSET MODERATE SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Industrials (continued)
Electrical Equipment (continued)
Schneider Electric SE (France)		150	$	13,941
WEG S.A. (Brazil)		800		5,131


				39,982

Industrial Conglomerates - 0.1%
3M Co.		69		11,384
Honeywell International, Inc.		74		12,782
LT Group, Inc. (Philippines)		13,500		3,549
SM Investments Corp. (Philippines)		610		12,366


				40,081

Machinery - 0.1%
Caterpillar, Inc.		62		8,544
Cummins, Inc.		28		4,829
Daifuku Co. Ltd. (Japan)		200		10,612
FANUC Corp. (Japan)		100		19,725
Harmonic Drive Systems, Inc. (Japan)		300		13,913
Illinois Tool Works, Inc.		41		6,912
KION Group AG (Germany)		260		17,300
Nabtesco Corp. (Japan)		400		12,734
The Weir Group plc (United Kingdom)		1,240		21,659


				116,228

Road & Rail - 0.0%##
Localiza Rent a Car S.A. (Brazil)		400		4,289
Rumo S.A. (Brazil)*		1,100		6,276
Union Pacific Corp.		75		12,409


				22,974

Trading Companies & Distributors - 0.0%##
Fastenal Co.		108		3,882

Transportation Infrastructure - 0.1%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)		1,700		11,797
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		80		8,361
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		70		11,462


				31,620


Total Industrials				442,388


Information Technology - 6.8%
Communications Equipment - 0.0%##
Cisco Systems, Inc.		374		17,769

Electronic Equipment, Instruments & Components - 0.2%
Cognex Corp.		3,745		192,830




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Information Technology (continued)
Electronic Equipment, Instruments & Components (continued)
Halma plc (United Kingdom)		590	$	14,317
Hexagon AB - Class B (Sweden)		290		14,847


				221,994

IT Services - 3.1%
Capgemini SE (France)		40		4,509
International Business Machines Corp.		96		12,838
InterXion Holding N.V. (Netherlands)*¹		7,640		674,001
Keywords Studios plc (Ireland)		365		5,260
Mastercard, Inc. - Class A		4,180		1,157,066
Visa, Inc. - Class A		5,810		1,039,177


				2,892,851

Semiconductors & Semiconductor Equipment - 1.6%
Applied Materials, Inc.		109		5,914
Broadcom, Inc.		40		11,714
Intel Corp.		423		23,912
KLA Corp.		32		5,409
Lam Research Corp.		19		5,150
Maxim Integrated Products, Inc.		50		2,933
Micron Technology, Inc.*		21,205		1,008,298
NVIDIA Corp.		2,010		404,050
Texas Instruments, Inc.		104		12,271


				1,479,651

Software - 1.9%
Dassault Systemes SE (France)		40		6,075
Microsoft Corp.		7,535		1,080,293
ServiceNow, Inc.*¹		2,990		739,307


				1,825,675

Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		37		2,067
Western Digital Corp.		61		3,151


				5,218


Total Information Technology				6,443,158


Materials - 0.1%
Chemicals - 0.1%
Air Liquide S.A. (France)		121		16,088
Akzo Nobel N.V. (Netherlands)		180		16,595
Dow, Inc.		86		4,342
Eastman Chemical Co.		34		2,585
LyondellBasell Industries N.V. - Class A		63		5,651



BLENDED ASSET MODERATE SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Materials (continued)
Chemicals (continued)
OCI N.V. (Netherlands)*		230	$	5,171
Orbia Advance Corp. S.A.B. de C.V. (Mexico)		6,800		14,720
Solvay S.A. (Belgium)		280		30,443


				95,595

Containers & Packaging - 0.0%##
International Paper Co.		61		2,664

Metals & Mining - 0.0%##
First Quantum Minerals Ltd. (Zambia)		650		5,493
Lundin Mining Corp. (Chile)		1,085		5,478
Nucor Corp.		66		3,554


				14,525


Total Materials				112,784


Real Estate - 3.1%
Equity Real Estate Investment Trusts (REITS) - 3.1%
Acadia Realty Trust¹		280		7,834
Agree Realty Corp.¹		180		14,178
Alexandria Real Estate Equities, Inc.¹		60		9,525
American Campus Communities, Inc.¹		455		22,741
American Homes 4 Rent - Class A¹		1,550		41,028
American Tower Corp.¹		1,660		362,013
Americold Realty Trust¹		855		34,277
Apartment Investment & Management Co. - Class A¹		744		40,831
AvalonBay Communities, Inc.¹		265		57,680
Boston Properties, Inc.¹		234		32,105
Brandywine Realty Trust¹		2,375		36,290
The British Land Co. plc (United Kingdom)		1,755		14,110
Camden Property Trust¹		270		30,880
Community Healthcare Trust, Inc.		505		24,452
Cousins Properties, Inc.		1,400		56,182
Crown Castle International Corp.		195		27,064
CubeSmart		240		7,608
Digital Realty Trust, Inc.		225		28,584
Douglas Emmett, Inc.		600		25,992
Equinix, Inc.		1,080		612,122
Equity LifeStyle Properties, Inc.		370		25,878
Equity Residential		460		40,784
Essential Properties Realty Trust, Inc.		1,019		26,147
Essex Property Trust, Inc.		101		33,040
Extra Space Storage, Inc.		90		10,104




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Federal Realty Investment Trust		60	$	8,161
First Industrial Realty Trust, Inc.		420		17,686
Getty Realty Corp.		495		16,602
Healthcare Realty Trust, Inc.		745		25,904
Healthcare Trust of America, Inc. - Class A		455		14,105
Healthpeak Properties, Inc.		1,095		41,194
Hibernia REIT plc (Ireland)		8,735		13,600
Host Hotels & Resorts, Inc.		890		14,587
Independence Realty Trust, Inc.		1,220		18,788
Invitation Homes, Inc.		1,720		52,959
Jernigan Capital, Inc.		815		15,477
Kilroy Realty Corp.		107		8,980
Land Securities Group plc (United Kingdom)		1,175		14,312
Liberty Property Trust		420		24,809
Life Storage, Inc.		115		12,526
Mid-America Apartment Communities, Inc.		130		18,069
National Retail Properties, Inc.		445		26,215
National Storage Affiliates Trust		435		14,864
Omega Healthcare Investors, Inc.		420		18,497
Physicians Realty Trust		1,515		28,285
Plymouth Industrial REIT, Inc.		550		10,373
Prologis, Inc.		985		86,444
Public Storage		165		36,772
Realty Income Corp.		130		10,633
SBA Communications Corp.		1,530		368,194
Simon Property Group, Inc.		390		58,765
STAG Industrial, Inc.		515		15,986
STORE Capital Corp.		380		15,390
Sun Communities, Inc.		235		38,223
Sunstone Hotel Investors, Inc.		735		9,930
UDR, Inc.		635		31,909
UMH Properties, Inc.		575		8,585
Urban Edge Properties		1,255		26,493
Ventas, Inc.		467		30,402
VEREIT, Inc.		2,960		29,126
Vornado Realty Trust		160		10,501
Weingarten Realty Investors		710		22,528
Welltower, Inc.		426		38,634


				2,875,957

Real Estate Management & Development - 0.0%##
Ayala Land, Inc. (Philippines)		12,500		11,945



BLENDED ASSET MODERATE SERIES	SHARES/ PRINCIPAL AMOUNT³
	SHARES/ PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Real Estate Management & Development (continued)
SM Prime Holdings, Inc. (Philippines)		20,360	$	15,633


				27,578


Total Real Estate				2,903,535


Utilities - 0.0%##
Electric Utilities - 0.0%##
Manila Electric Co. (Philippines)		1,020		6,802

Independent Power and Renewable Electricity Producers - 0.0%##
Aboitiz Power Corp. (Philippines)		10,700		8,424

Multi-Utilities - 0.0%##
Engie S.A. (France)		530		8,874
Veolia Environnement S.A. (France) .		160		4,212


				13,086


Total Utilities				28,312


TOTAL COMMON STOCKS
(Identified Cost $31,762,156)				35,663,411


CORPORATE BONDS - 13.9%

Non-Convertible Corporate Bonds - 13.9%
Communication Services - 3.1%
Diversified Telecommunication Services - 1.5%
AT&T, Inc.¹, 4.25%, 3/1/2027		530,000		582,102
CenturyLink, Inc., 5.625%, 4/1/2020 .		10,000		10,125
Verizon Communications, Inc., 5.25%, 3/16/2037		680,000		856,513


				1,448,740

Interactive Media & Services - 0.4%
Tencent Holdings Ltd. (China)², 3.975%, 4/11/2029		390,000		419,726

Media - 1.1%
Cablevision Systems Corp., 8.00%, 4/15/2020		10,000		10,250
Comcast Corp., 3.25%, 11/1/2039		420,000		425,803
Diamond Sports Group LLC - Diamond Sports Finance Co.², 6.625%, 8/15/2027		15,000		15,450
Discovery Communications LLC, 5.20%, 9/20/2047		550,000		601,456
Entercom Media Corp.², 7.25%, 11/1/2024		5,000		5,212
Townsquare Media, Inc.², 6.50%, 4/1/2023		5,000		4,950


				1,063,121



	PRINCIPAL AMOUNT³
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Communication Services (continued)
Wireless Telecommunication Services - 0.1%
Sprint Communications, Inc., 7.00%, 8/15/2020		20,000	$	20,603
Sprint Corp., 7.25%, 9/15/2021		10,000		10,671
Sprint Corp., 7.125%, 6/15/2024		10,000		10,850


				42,124


Total Communication Services				2,973,711


Consumer Discretionary - 2.0%
Auto Components - 0.0%##
American Axle & Manufacturing, Inc., 6.25%, 4/1/2025		5,000		4,819
Techniplas LLC², 10.00%, 5/1/2020		10,000		8,450


				13,269

Automobiles - 0.5%
General Motors Financial Co., Inc., 3.15%, 1/15/2020		440,000		440,595

Diversified Consumer Services - 0.0%##
GEMS MENASA Cayman Ltd. - GEMS Education Delaware LLC (United Arab Emirates)², 7.125%, 7/31/2026		35,000		36,268

Household Durables - 0.1%
Ashton Woods USA LLC - Ashton Woods Finance Co.², 6.75%, 8/1/2025		10,000		10,050
LGI Homes, Inc.², 6.875%, 7/15/2026		20,000		20,700
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		20,000		20,300


				51,050

Internet & Direct Marketing Retail - 1.4%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		420,000		436,238
Booking Holdings, Inc., 3.60%, 6/1/2026		800,000		866,126
Photo Holdings Merger Sub, Inc.², 8.50%, 10/1/2026		15,000		13,202


				1,315,566

Specialty Retail - 0.0%##
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.², 12.25%, 11/15/2026		15,000		15,077



BLENDED ASSET MODERATE SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Specialty Retail (continued)
Staples, Inc.², 7.50%, 4/15/2026		15,000	$	15,603


				30,680


Total Consumer Discretionary				1,887,428


Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.², 8.625%, 10/15/2026		10,000		10,256


Energy - 2.4%
Energy Equipment & Services - 0.0%##
Nabors Industries, Inc., 5.50%, 1/15/2023		10,000		8,450
Shelf Drilling Holdings Ltd. (United Arab Emirates)², 8.25%, 2/15/2025		10,000		8,400


				16,850

Oil, Gas & Consumable Fuels - 2.4%
Antero Midstream Partners LP - Antero Midstream Finance Corp.², 5.75%, 3/1/2027		10,000		7,438
Antero Midstream Partners LP - Antero Midstream Finance Corp.², 5.75%, 1/15/2028		10,000		7,550
Bruin E&P Partners LLC^1,2, 8.875%, 8/1/2023		10,000		6,600
Calumet Specialty Products Partners LP - Calumet Finance Corp.², 11.00%, 4/15/2025		15,000		15,037
Energy Transfer Operating LP, 6.50%, 2/1/2042		360,000		431,173
Jonah Energy LLC - Jonah Energy Finance Corp.², 7.25%, 10/15/2025		20,000		5,600
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		430,000		555,871
Lonestar Resources America, Inc.², 11.25%, 1/1/2023		10,000		7,000
Moss Creek Resources Holdings, Inc.², 10.50%, 5/15/2027		5,000		3,862
NuStar Logistics LP, 6.75%, 2/1/2021		10,000		10,362
Rockies Express Pipeline LLC², 5.625%, 4/15/2020		15,000		15,252
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		670,000		769,329
Southwestern Energy Co.⁴, 6.20%, 1/23/2025		10,000		8,800




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
W&T Offshore, Inc.², 9.75%, 11/1/2023		5,000	$	4,687
The Williams Companies, Inc., 3.75%, 6/15/2027		410,000		427,484


				2,276,045


Total Energy				2,292,895


Financials - 3.3%
Banks - 2.8%
Bank of America Corp.¹, 4.00%, 1/22/2025		800,000		853,295
Citigroup, Inc.¹, 8.125%, 7/15/2039		260,000		427,718
Credit Suisse AG (Switzerland), 5.40%, 1/14/2020		420,000		422,722
JPMorgan Chase & Co.⁵, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		390,000		416,441
Santander Holdings USA, Inc., 4.50%, 7/17/2025		520,000		560,351


				2,680,527


Capital Markets - 0.3%
AG Merger Sub II, Inc.², 10.75%, 8/1/2027		10,000		9,900
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		20,000		20,800
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025		240,000		258,516


				289,216


Consumer Finance - 0.1%
Navient Corp., 5.00%, 10/26/2020		15,000		15,277
SLM Corp., 5.125%, 4/5/2022		20,000		20,650


				35,927


Diversified Financial Services - 0.1%
Fidelity & Guaranty Life Holdings, Inc.², 5.50%, 5/1/2025		10,000		10,675
Global Aircraft Leasing Co. Ltd. (Cayman Islands)^2,6, 6.50%, 9/15/2024		20,000		20,469
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)², 10.50%, 6/1/2024		15,000		14,587


				45,731


Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.², 7.00%, 11/15/2025		15,000		13,725



BLENDED ASSET MODERATE SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Financials (continued)
Thrifts & Mortgage Finance (continued)
Radian Group, Inc., 4.875%, 3/15/2027		20,000	$	20,750


				34,475


Total Financials				3,085,876


Health Care - 0.5%
Health Care Providers & Services - 0.5%
HCA, Inc., 4.125%, 6/15/2029		410,000		434,356


Industrials - 1.2%
Commercial Services & Supplies - 0.0%##
The ADT Security Corp., 6.25%, 10/15/2021		10,000		10,663
Prime Security Services Borrower LLC - Prime Finance, Inc.², 5.75%, 4/15/2026		10,000		10,247
Stericycle, Inc.², 5.375%, 7/15/2024 .		20,000		20,800


				41,710

Construction & Engineering - 0.0%##
HC2 Holdings, Inc.², 11.50%, 12/1/2021		5,000		4,556
Tutor Perini Corp.², 6.875%, 5/1/2025		20,000		19,947


				24,503


Industrial Conglomerates - 0.5%
General Electric Co.^5,7, (3 mo. LIBOR US + 3.330%), 5.00%		460,000		443,325


Marine - 0.1%
American Tanker, Inc. (Norway)², 9.25%, 2/22/2022		25,000		25,140
Borealis Finance LLC², 7.50%, 11/16/2022		20,000		18,800


				43,940


Trading Companies & Distributors - 0.6%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland)¹, 4.45%, 10/1/2025		530,000		575,091




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Trading Companies & Distributors (continued)
Fortress Transportation & Infrastructure Investors LLC², 6.50%, 10/1/2025		15,000	$	15,150


				590,241


Total Industrials				1,143,719


Information Technology - 0.0%##
Communications Equipment - 0.0%##
Hughes Satellite Systems Corp., 5.25%, 8/1/2026		20,000		21,425


Materials - 0.7%
Chemicals - 0.0%##
CF Industries, Inc., 7.125%, 5/1/2020		10,000		10,240
Olin Corp., 5.625%, 8/1/2029		10,000		10,383


				20,623

Containers & Packaging - 0.0%##
ARD Securities Finance S.A.R.L (Luxembourg)^2,6, 8.75%, 1/31/2023		5,218		5,427
Berry Global, Inc.², 4.50%, 2/15/2026		5,000		5,031
Mauser Packaging Solutions Holding Co.², 7.25%, 4/15/2025		10,000		9,562


				20,020

Metals & Mining - 0.7%
Infrabuild Australia Pty Ltd. (Australia)², 12.00%, 10/1/2024		15,000		15,287
Mountain Province Diamonds, Inc. (Canada)², 8.00%, 12/15/2022		20,000		19,400
Northwest Acquisitions ULC - Dominion Finco, Inc.², 7.125%, 11/1/2022		20,000		10,000
Southern Copper Corp. (Peru), 5.375%, 4/16/2020		560,000		566,909
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.², 7.50%, 6/15/2025		5,000		4,250


				615,846


Total Materials				656,489


Real Estate - 0.7%
Equity Real Estate Investment Trusts (REITS) - 0.7%
American Tower Corp., 3.80%, 8/15/2029		520,000		555,897



BLENDED ASSET MODERATE SERIES	PRINCIPAL
	AMOUNT³/ SHARES		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
GTP Acquisition Partners I LLC², 2.35%, 6/15/2020		92,000	$	92,032


				647,929


Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.², 7.875%, 11/15/2025		15,000		14,178
Forestar Group, Inc.², 8.00%, 4/15/2024		10,000		10,750


				24,928


Total Real Estate				672,857


TOTAL CORPORATE BONDS (Identified Cost $12,633,291)				13,179,012


MUTUAL FUNDS - 0.3%
iShares MSCI India ETF		2,270		78,655
SPDR Gold Shares*		786		111,950
VanEck Vectors Gold Miners ETF		2,088		58,777


TOTAL MUTUAL FUNDS (Identified Cost $229,412)				249,382


U.S. TREASURY SECURITIES - 22.7%

U.S. Treasury Bonds - 6.5%
U.S. Treasury Bond, 4.75%, 2/15/2037		1,281,000		1,822,523
U.S. Treasury Bond, 2.50%, 2/15/2045		1,862,000		1,980,848
U.S. Treasury Bond, 3.00%, 5/15/2047		1,547,000		1,811,440
U.S. Treasury Inflation Indexed Bond, 0.75%, 2/15/2042		502,646		528,174


Total U.S. Treasury Bonds (Identified Cost $5,272,923)				6,142,985


U.S. Treasury Notes - 16.2%
U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020		2,757,963		2,743,204
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		1,363,115		1,381,035
U.S. Treasury Note, 2.625%, 5/15/2021		915,000		929,297
U.S. Treasury Note, 1.75%, 5/15/2023		1,860,000		1,874,095
U.S. Treasury Note, 2.50%, 8/15/2023		2,725,000		2,822,078
U.S. Treasury Note, 2.375%, 8/15/2024		1,800,000		1,868,906




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)
U.S. Treasury Note, 2.125%, 5/15/2025		1,827,000	$	1,880,454
U.S. Treasury Note, 1.625%, 5/15/2026		1,828,000		1,830,928

Total U.S. Treasury Notes (Identified Cost $15,136,472)				15,329,997


TOTAL U.S. TREASURY SECURITIES (Identified Cost $20,409,395)				21,472,982


ASSET-BACKED SECURITIES - 4.6%

Cazenovia Creek Funding II LLC, Series 2018-1A, Class A^1,2, 3.561%, 7/15/2030		181,292		182,608
CCG Receivables Trust, Series 2019-1, Class A2², 2.80%, 9/14/2026		570,000		575,306
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (Canada)^1,2, 2.12%, 11/15/2029		340,393		340,398
Enterprise Fleet Financing LLC, Series 2018-2, Class A2², 3.14%, 2/20/2024		407,114		410,768
Invitation Homes Trust, Series 2017-SFR2, Class A^2,8, (1 mo. LIBOR US + 0.850%), 2.739%, 12/17/2036		84,504		84,385
Invitation Homes Trust, Series 2017-SFR2, Class B^2,8, (1 mo. LIBOR US + 1.150%), 3.039%, 12/17/2036		65,000		65,061
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A1², 2.82%, 2/15/2068		237,576		239,904
Progress Residential Trust, Series 2019-SFR2, Class A², 3.147%, 5/17/2036		285,000		289,946
SoFi Consumer Loan Program LLC, Series 2016-1, Class A², 3.26%, 8/25/2025		118,651		119,960
SoFi Consumer Loan Program LLC, Series 2016-5, Class A², 3.06%, 9/25/2028		85,730		86,170
SoFi Consumer Loan Program Trust, Series 2019-2, Class A², 3.01%, 4/25/2028		187,542		189,010
SoFi Consumer Loan Program Trust, Series 2019-3, Class A², 2.90%, 5/25/2028		233,121		234,780



BLENDED ASSET MODERATE SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

ASSET-BACKED SECURITIES (continued)

SoFi Professional Loan Program LLC, Series 2016-E, Class A2B², 2.49%, 1/25/2036		319,979	$	321,222
SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX², 2.05%, 1/25/2041		24,678		24,676
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX², 2.84%, 1/25/2041		75,000		76,114
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A², 2.39%, 2/25/2042		73,541		73,683
Towd Point Mortgage Trust, Series 2016-5, Class A1^2,9, 2.50%, 10/25/2056		202,606		203,380
Towd Point Mortgage Trust, Series 2017-1, Class A1^2,9, 2.75%, 10/25/2056		197,935		200,277
Towd Point Mortgage Trust, Series 2019-HY1, Class A1^2,8, (1 mo. LIBOR US + 1.000%), 2.823%, 10/25/2048		179,000		179,957
Tricon American Homes Trust, Series 2016-SFR1, Class A², 2.589%, 11/17/2033		223,823		223,776
Tricon American Homes Trust, Series 2017-SFR2, Class A², 2.928%, 1/17/2036		239,321		242,910


TOTAL ASSET-BACKED SECURITIES (Identified Cost $4,319,589)				4,364,291


COMMERCIAL MORTGAGE-BACKED SECURITIES - 4.7%

Caesars Palace Las Vegas Trust, Series 2017-VICI, Class A^1,2, 3.531%, 10/15/2034		300,000		311,982
CIM Trust, Series 2019-INV1, Class A1^2,9, 4.00%, 2/25/2049		112,075		114,521
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A1^1,2,9, 2.50%, 5/25/2043		159,438		157,761
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A1^2,9, 2.13%, 2/25/2043		109,413		107,001
Credit Suisse Mortgage Capital Trust, Series 2014-IVR3, Class A1^1,2,9, 3.50%, 7/25/2044		254,580		258,560
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		231,875		242,065
Fannie Mae-Aces, Series 2017-M15, Class A1⁹, 2.959%, 9/25/2027		283,910		297,492




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)⁹, 1.26%, 8/25/2020		2,381,917	$	17,102
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)⁹, 1.428%, 6/25/2022		1,852,243		59,606
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)⁹, 0.188%, 4/25/2023		9,614,031		58,029
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		234,332		237,498
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		212,369		216,804
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)², 0.10%, 6/25/2046		23,856,684		63,926
FREMF Mortgage Trust, Series 2014-K37, Class B^2,9, 4.559%, 1/25/2047		320,000		348,121
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		299,839		302,350
JP Morgan Mortgage Trust, Series 2013-2, Class A2^2,9, 3.50%, 5/25/2043		90,156		91,916
JP Morgan Mortgage Trust, Series 2014-2, Class 1A1^2,9, 3.00%, 6/25/2029		112,766		114,535
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX3^2,9, 3.75%, 11/25/2054		87,976		91,515
New Residential Mortgage Loan Trust, Series 2015-2A, Class A1^2,9, 3.75%, 8/25/2055		116,327		121,276
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1^2,9, 3.75%, 11/25/2056		124,297		129,644
Sequoia Mortgage Trust, Series 2013-2, Class A⁹, 1.874%, 2/25/2043		102,226		98,561
Sequoia Mortgage Trust, Series 2013-8, Class A1⁹, 3.00%, 6/25/2043		130,507		131,980
Starwood Retail Property Trust, Series 2014-STAR, Class A^2,8, (1 mo. LIBOR US + 1.220%), 3.134%, 11/15/2027		303,129		302,583
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A^2,9, 2.86%, 12/25/2035		267,245		268,768



BLENDED ASSET MODERATE SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

Waikiki Beach Hotel Trust, Series 2019-WBM, Class A^2,8, (1 mo. LIBOR US + 1.050%), 2.971%, 12/15/2033		205,000	$	205,127
WinWater Mortgage Loan Trust, Series 2015-3, Class A5^2,9, 3.50%, 3/20/2045		82,748		82,936


TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Identified Cost $4,348,083)				4,431,659


FOREIGN GOVERNMENT BONDS - 0.7%

Canadian Government Bond (Canada), 2.75%, 6/1/2022	CAD	67,000		52,466
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020		500,000		502,873
Mexican Government Bond (Mexico), 8.00%, 6/11/2020	MXN	1,338,000		70,050
Mexican Government Bond (Mexico), 6.50%, 6/10/2021	MXN	540,000		28,009
Mexican Government Bond (Mexico), 6.50%, 6/9/2022	MXN	879,000		45,641
Mexican Government Bond (Mexico), 7.75%, 5/29/2031	MXN	169,000		9,395


TOTAL FOREIGN GOVERNMENT BONDS (Identified Cost $709,503)				708,434


U.S. GOVERNMENT AGENCIES - 11.9%

Mortgage-Backed Securities - 11.9%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021		12,565		12,747
Fannie Mae, Pool #888810, 5.50%, 11/1/2022		15,231		15,432
Fannie Mae, Pool #AL9409, 3.50%, 11/1/2031		248,595		258,356
Fannie Mae, Pool #MA3463, 4.00%, 9/1/2033		254,165		265,383
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034		93,639		100,639
Fannie Mae, Pool #MA1903, 4.50%, 5/1/2034		87,523		94,067
Fannie Mae, Pool #FM1158, 3.50%, 6/1/2034		413,813		428,718
Fannie Mae, Pool #745418, 5.50%, 4/1/2036		74,722		84,126
Fannie Mae, Pool #MA3412, 3.50%, 7/1/2038		414,913		429,979
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		130,140		140,982




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040		106,295	$	122,184
Fannie Mae, Pool #AL0241, 4.00%, 4/1/2041		158,684		169,812
Fannie Mae, Pool #AL1410, 4.50%, 12/1/2041		228,472		247,696
Fannie Mae, Pool #AL7068, 4.50%, 9/1/2042		257,590		278,867
Fannie Mae, Pool #AL7729, 4.00%, 6/1/2043		130,846		139,988
Fannie Mae, Pool #AS3622, 3.50%, 10/1/2044		569,848		600,090
Fannie Mae, Pool #BD1381, 3.50%, 6/1/2046		131,592		136,891
Fannie Mae, Pool #MA2705, 3.00%, 8/1/2046		207,147		212,609
Fannie Mae, Pool #BJ1323, 3.50%, 11/1/2047		546,424		570,549
Fannie Mae, Pool #CA1720, 5.00%, 5/1/2048		330,623		365,134
Fannie Mae, Pool #CA2056, 4.50%, 7/1/2048		353,500		373,117
Fannie Mae, Pool #MA3443, 4.00%, 8/1/2048		246,419		255,593
Fannie Mae, Pool #BK9366, 4.50%, 8/1/2048		105,480		111,025
Fannie Mae, Pool #CA2219, 5.00%, 8/1/2048		195,890		210,003
Fannie Mae, Pool #MA3521, 4.00%, 11/1/2048		517,774		537,520
Fannie Mae, Pool #MA3527, 5.00%, 11/1/2048		418,093		446,564
Fannie Mae, Pool #BN0622, 4.50%, 1/1/2049		310,223		326,468
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		279,407		314,527
Fannie Mae, Pool #MA3692, 3.50%, 7/1/2049		605,909		621,604
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		115,607		124,318
Freddie Mac, Pool #QN0349, 3.00%, 8/1/2034		312,108		319,772
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		31,869		36,659
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		32,842		36,908
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		41,040		46,058
Freddie Mac, Pool #G60480, 4.50%, 11/1/2045		589,894		635,388



BLENDED ASSET MODERATE SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Freddie Mac, Pool #Q37592, 4.00%, 12/1/2045		273,058	$	289,571
Freddie Mac, Pool #Q45878, 3.00%, 12/1/2046		408,688		419,072
Freddie Mac, Pool #ZM2525, 3.00%, 12/1/2046		288,622		295,780
Freddie Mac, Pool #G08772, 4.50%, 7/1/2047		263,133		278,155
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		196,200		206,638
Freddie Mac, Pool #G61887, 5.00%, 2/1/2049		284,097		303,962
Freddie Mac, Pool #ZN4802, 4.00%, 4/1/2049		424,950		441,875


TOTAL U.S. GOVERNMENT AGENCIES (Identified Cost $11,081,957)				11,304,826


U.S. GOVERNMENT SECURITIES - 3.0%

U.S. Treasury Bill - 3.0%
U.S. Treasury Bill¹⁰, 1.57%, 5/21/2020 (Identified Cost $2,831,062)		2,856,000		2,831,401




	SHARES		VALUE (NOTE 2)

SHORT-TERM INVESTMENT - 1.2%

Dreyfus Government Cash Management, Institutional Shares, 1.73%¹¹ (Identified Cost $1,119,310)		1,119,310	$	1,119,310


TOTAL INVESTMENTS IN SECURITIES - 100.6% (Identified Cost $89,443,758)				95,324,708


TOTAL OPTIONS WRITTEN — 0.0%##
(Premiums Received $16,023)				(26,520	)


TOTAL INVESTMENTS - 100.6%				95,298,188

LIABILITIES, LESS OTHER ASSETS - (0.6%)				(531,300	)


NET ASSETS - 100%			$	94,766,888

ADR - American Depositary Receipt

CAD - Canadian Dollar

ETF - Exchange-traded fund

IO - Interest only

LIBOR - London Interbank Offered Rate

MXN - Mexican Peso

¹A portion of this security is designated as collateral for options contracts written. As of October 31, 2019, the total value of such securities was $10,650,425.

²Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid under the Fund’s Liquidity Risk Management Program. These securities amount to $8,200,862, or 8.7% of the Series’ net assets as of October 31, 2019 (see Note 2 to the financial statements).

⁵Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of October 31, 2019.

⁸Floating rate security. Rate shown is the rate in effect as of October 31, 2019.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard &Poor, a division of S&P Global Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

⁴Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain periods. Periods less than one year are not annualized.

The following graph compares the value of a $10,000 investment in the Blended Asset Extended Series - Class R6 from its inception² (October 13, 2017) to present (October 31, 2019) to the Bloomberg Barclays U.S. Aggregate Bond Index and the 40/15/45 Blended Index.

²Performance numbers for the Series and Indices are calculated from October 13, 2017, the Series’ inception date.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.55% for Class R6. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.66% for Class R6 for the year ended October 31, 2019.

⁵The 40/15/45 Blended Index is 40% Russell 3000^® Index (Russell 3000), 15% MSCI ACWI ex USA Index (ACWIxUS), and 45% Bloomberg Barclays U.S. Aggregate Bond Index (BAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. Index returns provided by Bloomberg. BAB is an unmanaged, market value-weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities with maturities of one year or more. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the fund’s asset allocation will vary over time, the composition of the fund’s portfolio may not match the composition of the comparative Indices. Mid-month performance may not be available for all indices within the blended index. Where applicable, performance for those indices is included from the first of the month following the corresponding Fund’s inception date.

*Expenses are equal to the Series’ annualized expense ratio (for the six-month period) of 0.55%, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data. The Series’ total return would have been lower had certain expenses not been waived during the period.



BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS - 50.2%

Communication Services - 7.9%
Diversified Telecommunication Services - 0.1%
Elisa OYJ (Finland)		1,199	$	65,485
Orange S.A. (France)		1,280		20,601
Telefonica Brasil S.A. (Brazil)		1,000		13,233


				99,319

Entertainment - 3.7%
Activision Blizzard, Inc.¹		29,635		1,660,449
Electronic Arts, Inc.*¹		12,880		1,241,632
Nexon Co. Ltd. (Japan)*		150,032		1,738,608
Sea Ltd. - ADR (Taiwan)*¹		49,615		1,476,542
Toho Co. Ltd. - Tokyo (Japan)		1,300		52,501
Viacom, Inc. - Class B		193		4,161
Vivendi S.A. (France)		650		18,101


				6,191,994

Interactive Media & Services - 3.6%
Alphabet, Inc. - Class A*		1,000		1,258,800
Alphabet, Inc. - Class C*		1,005		1,266,411
Autohome, Inc. - ADR (China)*		495		41,857
Facebook, Inc. - Class A*		8,270		1,584,945
Kakao Corp. (South Korea)		510		61,890
Tencent Holdings Ltd. - Class H (China)		41,958		1,701,939


				5,915,842

Media - 0.5%
Informa plc (United Kingdom)		5,480		55,081
Quebecor, Inc. - Class B (Canada)		17,375		403,935
Shaw Communications, Inc. - Class B (Canada)		20,390		416,129


				875,145

Wireless Telecommunication Services - 0.0%##
Globe Telecom, Inc. (Philippines)		405		14,557


Total Communication Services				13,096,857


Consumer Discretionary - 5.3%
Auto Components - 0.0%##
Cie Generale des Etablissements Michelin SCA (France)		120		14,611

Automobiles - 0.0%##
Peugeot S.A. (France)		370		9,371

Distributors - 0.0%##
Genuine Parts Co.		76		7,796

Diversified Consumer Services - 0.1%
Fu Shou Yuan International Group Ltd. (China)		31,000		27,361




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Diversified Consumer Services (continued)
New Oriental Education & Technology Group, Inc. - ADR (China)*		495	$	60,420
TAL Education Group - ADR (China)*		1,325		56,723


				144,504

Hotels, Restaurants & Leisure - 0.2%
Basic-Fit N.V. (Netherlands)*²		1,435		43,889
Galaxy Entertainment Group Ltd. (Macau)		6,000		41,314
Hilton Worldwide Holdings, Inc.		235		22,786
Melco Resorts & Entertainment Ltd. - ADR (Hong Kong)		1,230		26,494
MGM China Holdings Ltd. (Macau)		16,800		26,603
Restaurant Brands International, Inc. (Canada)		565		36,974
Sands China Ltd. (Macau)		8,400		41,375
Wynn Macau Ltd. (Macau)		18,400		39,929


				279,364

Household Durables - 1.2%
Barratt Developments plc (United Kingdom)		3,770		30,830
The Berkeley Group Holdings plc (United Kingdom)		570		32,490
Persimmon plc (United Kingdom)		1,150		33,921
Sony Corp. - ADR (Japan)		28,555		1,737,001
Sony Corp. (Japan)		1,100		66,956
Taylor Wimpey plc (United Kingdom)		14,825		31,795


				1,932,993

Internet & Direct Marketing Retail - 1.5%
Alibaba Group Holding Ltd. - ADR (China)*		575		101,585
Amazon.com, Inc.*		855		1,519,044
Booking Holdings, Inc.*		430		880,971
Farfetch Ltd. - Class A (United Kingdom)*		1,630		14,556


				2,516,156

Leisure Products - 0.0%##
Technogym S.p.A. (Italy)²		4,570		50,420

Multiline Retail - 0.0%##
B&M European Value Retail S.A. (United Kingdom)		6,665		31,975
Kohl’s Corp.		104		5,331
Lojas Renner S.A. (Brazil)		1,400		17,765



BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Multiline Retail (continued)
Magazine Luiza S.A. (Brazil)		1,200	$	13,285


				68,356

Specialty Retail - 1.0%
Best Buy Co., Inc.		122		8,763
The Gap, Inc.		222		3,610
The Home Depot, Inc.		229		53,719
Industria de Diseno Textil S.A. (Spain)		49,340		1,537,474


				1,603,566

Textiles, Apparel & Luxury Goods - 1.3%
EssilorLuxottica S.A. (France)		160		24,431
Hermes International (France)		20		14,407
Kering S.A. (France)		50		28,450
Kontoor Brands, Inc.		20		760
lululemon athletica, Inc.*		9,435		1,927,287
LVMH Moet Hennessy Louis Vuitton SE (France)		155		66,194
Shenzhou International Group Holdings Ltd. (China)		3,500		48,365
VF Corp.		143		11,767


				2,121,661


Total Consumer Discretionary				8,748,798


Consumer Staples - 7.7%
Beverages - 3.9%
Ambev S.A. - ADR (Brazil)		89,010		383,633
Ambev S.A. (Brazil)		8,900		38,525
Anheuser-Busch InBev S.A./N.V. (Belgium)		18,905		1,525,963
The Coca-Cola Co.		30,470		1,658,482
Coca-Cola European Partners plc (United Kingdom)¹		1,015		54,313
Diageo plc (United Kingdom)		21,835		893,730
Heineken N.V. (Netherlands)		520		53,102
Molson Coors Brewing Co. - Class B		93		4,903
PepsiCo, Inc.		13,250		1,817,503
Pernod Ricard S.A. (France)		325		60,038


				6,490,192

Food & Staples Retailing - 0.2%
Alimentation Couche-Tard, Inc. - Class B (Canada)		1,840		55,182
ICA Gruppen AB (Sweden)		1,252		55,403
The Kroger Co.		248		6,111
Loblaw Companies Ltd. (Canada)		1,100		58,662




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Food & Staples Retailing (continued)
Puregold Price Club, Inc. (Philippines)		9,100	$	7,320
Raia Drogasil S.A. (Brazil)		500		13,709
Robinsons Retail Holdings, Inc. (Philippines)		5,670		8,475
Sysco Corp.		184		14,696
Walgreens Boots Alliance, Inc.		272		14,900
Walmart, Inc.		515		60,389


				294,847

Food Products - 2.4%
Archer-Daniels-Midland Co.		175		7,357
Barry Callebaut AG (Switzerland)		10		21,133
Chocoladefabriken Lindt & Spruengli AG (Switzerland)		2		14,861
Conagra Brands, Inc.		200		5,410
Danone S.A. (France)		1,565		129,647
General Mills, Inc.		236		12,003
The Hershey Co.		81		11,896
The J.M. Smucker Co.		57		6,024
Kellogg Co.		133		8,450
Kerry Group plc - Class A (Ireland)		485		58,726
Mondelez International, Inc. - Class A		31,996		1,678,190
Mowi ASA (Norway)		2,460		60,053
Nestle S.A. (Switzerland)		18,740		2,004,830
Tyson Foods, Inc. - Class A		106		8,776
Universal Robina Corp. (Philippines).		6,110		18,152


				4,045,508

Household Products - 0.1%
Colgate-Palmolive Co.		260		17,836
Essity AB - Class B (Sweden)		1,895		59,201
Henkel AG & Co. KGaA (Germany)		575		59,727
Kimberly-Clark Corp.		116		15,414
Reckitt Benckiser Group plc (United Kingdom)		715		55,328


				207,506

Personal Products - 1.0%
Beiersdorf AG (Germany)		335		39,660
LG Household & Health Care Ltd. (South Korea)		50		54,105
L’Oreal S.A. (France)		165		48,190
Unilever plc - ADR (United Kingdom)		24,675		1,483,214


				1,625,169



BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Tobacco - 0.1%
British American Tobacco plc - ADR (United Kingdom)		755	$	26,395
British American Tobacco plc (United Kingdom)		1,735		60,683


				87,078


Total Consumer Staples				12,750,300


Energy - 1.6%
Energy Equipment & Services - 1.3%
Baker Hughes Co.		307		6,570
Core Laboratories N.V		620		27,305
Halliburton Co.		52,435		1,009,374
Schlumberger Ltd.¹		23,130		756,120
Transocean Ltd.*¹		70,240		333,640


				2,133,009

Oil, Gas & Consumable Fuels - 0.3%
Cameco Corp. (Canada)¹		4,255		37,997
Chevron Corp.		291		33,797
Eni S.p.A. (Italy)		3,680		55,829
Equinor ASA (Norway)		3,205		59,503
Galp Energia SGPS S.A. (Portugal) .		3,520		56,301
Marathon Petroleum Corp.		245		15,668
Occidental Petroleum Corp.		203		8,221
Phillips 66		116		13,551
Repsol S.A. (Spain)		4,097		67,517
Royal Dutch Shell plc - Class B - ADR (Netherlands)¹		1,630		95,013
Suncor Energy, Inc. (Canada)		1,485		44,152
TOTAL S.A. (France)		1,220		64,499
Valero Energy Corp.		154		14,935


				566,983


Total Energy				2,699,992


Financials - 4.8%
Banks - 0.5%
Banco Bradesco S.A. (Brazil)		7,800		68,596
Banco do Brasil S.A. (Brazil)		2,500		29,928
Banco Santander Brasil S.A. (Brazil)		1,100		13,006
Bank of America Corp.		1,231		38,493
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		1,225		40,364
Bank of the Philippine Islands (Philippines)		11,090		21,187
Barclays plc (United Kingdom)		15,960		34,619
BB&T Corp.		188		9,973
BDO Unibank, Inc. (Philippines)		9,100		27,760




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Banks (continued)
BNP Paribas S.A. (France)		755	$	39,456
Citigroup, Inc.		360		25,870
Credit Agricole S.A. (France)		680		8,873
Fifth Third Bancorp		289		8,404
FinecoBank Banca Fineco S.p.A. (Italy)		4,440		50,054
Itau Unibanco Holding S.A. (Brazil)		8,800		79,563
Itausa - Investimentos Itau S.A. (Brazil)		9,600		32,794
JPMorgan Chase & Co.		482		60,211
KeyCorp		394		7,080
Lloyds Banking Group plc (United Kingdom)		44,420		32,676
Metropolitan Bank & Trust Co. (Philippines)		16,272		21,661
Regions Financial Corp.		352		5,667
Royal Bank of Scotland Group plc (United Kingdom)		11,615		32,107
SunTrust Banks, Inc.		146		9,978
U.S. Bancorp		426		24,291
Wells Fargo & Co.		922		47,603


				770,214

Capital Markets - 3.0%
B3 S.A. - Brasil Bolsa Balcao (Brazil)		3,400		41,041
BlackRock, Inc.		910		420,147
Cboe Global Markets, Inc.		7,410		853,262
CME Group, Inc.		3,990		820,942
Deutsche Boerse AG (Germany)		395		61,170
Hargreaves Lansdown plc (United Kingdom)		1,165		26,752
Intercontinental Exchange, Inc.		10,020		945,086
Julius Baer Group Ltd. (Switzerland).		735		32,548
London Stock Exchange Group plc (United Kingdom)		320		28,838
Moody’s Corp.		4,035		890,484
S&P Global, Inc.		3,545		914,575


				5,034,845

Diversified Financial Services - 1.2%
Berkshire Hathaway, Inc. - Class B*		9,445		2,007,818

Insurance - 0.1%
Admiral Group plc (United Kingdom).		1,970		51,559
The Allstate Corp.		89		9,471
AXA S.A. (France)		1,275		33,751
BB Seguridade Participacoes S.A. (Brazil)		1,800		15,238



BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Insurance (continued)
Chubb Ltd.		96	$	14,632
The Hartford Financial Services Group, Inc.		117		6,678
Ping An Insurance Group Co. of China Ltd. - Class H (China)		4,000		46,167
The Travelers Companies, Inc.		68		8,912


				186,408


Total Financials				7,999,285


Health Care - 9.2%
Biotechnology - 1.8%
AbbVie, Inc.		376		29,911
Amgen, Inc.		166		35,400
BioMarin Pharmaceutical, Inc.*		14,270		1,044,707
Gilead Sciences, Inc.		369		23,509
Incyte Corp.*		6,380		535,410
Seattle Genetics, Inc.*		6,960		747,504
Vertex Pharmaceuticals, Inc.*¹		2,930		572,756


				2,989,197

Health Care Equipment & Supplies - 2.4%
Alcon, Inc. (Switzerland)*		14,703		871,447
Alcon, Inc. (Switzerland)*		475		28,091
Getinge AB - Class B (Sweden)		2,125		36,330
Hoya Corp. (Japan)		700		61,864
Koninklijke Philips N.V. (Netherlands)		1,290		56,598
Medtronic plc¹		25,577		2,785,335
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		28,000		32,145
Smith & Nephew plc (United Kingdom)		2,550		54,740


				3,926,550

Health Care Providers & Services - 0.0%##
CVS Health Corp.		342		22,705
Quest Diagnostics, Inc.		59		5,974
Sonic Healthcare Ltd. (Australia)		3,035		59,774


				88,453

Life Sciences Tools & Services - 0.1%
Gerresheimer AG (Germany)		550		44,355
QIAGEN N.V.*¹		880		26,233
QIAGEN N.V.*		1,505		45,269
Tecan Group AG (Switzerland)		55		13,012


				128,869




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Health Care (continued)
Pharmaceuticals - 4.9%
Bristol-Myers Squibb Co.		414	$	23,751
Johnson & Johnson		19,412		2,563,160
Merck & Co., Inc.		6,650		576,289
Merck KGaA (Germany)		16,115		1,921,980
Novartis AG - ADR (Switzerland)		30,335		2,652,492
Novartis AG (Switzerland)		720		62,910
Perrigo Co. plc¹		885		46,923
Pfizer, Inc.		1,186		45,507
Recordati S.p.A. (Italy)		1,325		55,682
Roche Holding AG (Switzerland)		315		94,801
Sanofi (France)		715		65,914


				8,109,409


Total Health Care				15,242,478


Industrials - 0.6%
Aerospace & Defense - 0.2%
Airbus SE (France)		360		51,645
BAE Systems plc (United Kingdom) .		8,365		62,484
The Boeing Co.		115		39,090
General Dynamics Corp.		66		11,669
Lockheed Martin Corp.		71		26,744
Safran S.A. (France)		210		33,262
Thales S.A. (France)		45		4,399
United Technologies Corp.		201		28,860


				258,153

Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.		82		6,202
United Parcel Service, Inc. - Class B		251		28,908


				35,110


Airlines - 0.0%##
Ryanair Holdings plc - ADR (Ireland)*		520		38,813


Building Products - 0.0%##
Cie de Saint-Gobain (France)		310		12,626
Johnson Controls International plc		297		12,869


				25,495

Commercial Services & Supplies - 0.0%##
Waste Management, Inc.		140		15,709


Construction & Engineering - 0.0%##
Vinci S.A. (France)		540		60,586


Electrical Equipment - 0.1%
Eaton Corp. plc		156		13,589
Emerson Electric Co.		215		15,082
Legrand S.A. (France)		165		12,890



BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Industrials (continued)
Electrical Equipment (continued)
Rockwell Automation, Inc.		39	$	6,708
Schneider Electric SE (France)		345		32,064
WEG S.A. (Brazil)		2,100		13,468


				93,801

Industrial Conglomerates - 0.1%
3M Co.		158		26,068
Honeywell International, Inc.		171		29,537
LT Group, Inc. (Philippines)		28,000		7,361
SM Investments Corp. (Philippines)		1,400		28,381


				91,347

Machinery - 0.2%
Caterpillar, Inc.		142		19,568
Cummins, Inc.		63		10,866
Daifuku Co. Ltd. (Japan)		600		31,837
FANUC Corp. (Japan)		300		59,175
Harmonic Drive Systems, Inc. (Japan)		800		37,101
Illinois Tool Works, Inc.		95		16,015
KION Group AG (Germany)		615		40,921
Nabtesco Corp. (Japan)		1,100		35,018
The Weir Group plc (United Kingdom)		2,840		49,607


				300,108

Professional Services - 0.0%##
SGS S.A. (Switzerland)		10		26,081

Road & Rail - 0.0%##
Localiza Rent a Car S.A. (Brazil)		1,000		10,722
Rumo S.A. (Brazil)*		2,600		14,833
Union Pacific Corp.		171		28,294


				53,849

Trading Companies & Distributors - 0.0%##
Fastenal Co.		246		8,841

Transportation Infrastructure - 0.0%##
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)		3,800		26,370
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		195		20,379
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		165		27,019


				73,768


Total Industrials				1,081,661


Information Technology - 9.2%
Communications Equipment - 0.0%##
Cisco Systems, Inc.		858		40,763



BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Information Technology (continued)
Electronic Equipment, Instruments & Components - 0.4%
Cognex Corp.		8,610	$	443,329
Halma plc (United Kingdom)		1,370		33,244
Hexagon AB - Class B (Sweden)		685		35,070
Keyence Corp. (Japan)		100		63,230


				574,873

IT Services - 4.1%
Capgemini SE (France)		100		11,273
International Business Machines Corp.		220		29,421
InterXion Holding N.V. (Netherlands)*¹		19,010		1,677,062
Keywords Studios plc (Ireland)		870		12,537
Mastercard, Inc. - Class A		9,750		2,698,897
Visa, Inc. - Class A		13,635		2,438,756


				6,867,946

Semiconductors & Semiconductor Equipment - 2.1%
Applied Materials, Inc.		251		13,619
Broadcom, Inc.		92		26,942
Intel Corp.		969		54,777
KLA Corp.		74		12,509
Lam Research Corp.		43		11,655
Maxim Integrated Products, Inc.		115		6,746
Micron Technology, Inc.*		50,185		2,386,297
NVIDIA Corp.		4,815		967,911
Texas Instruments, Inc.		237		27,964


				3,508,420

Software - 2.6%
Dassault Systemes SE (France)		95		14,428
Microsoft Corp.		17,810		2,553,420
ServiceNow, Inc.*¹		6,930		1,713,512


				4,281,360

Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		86		4,806
Western Digital Corp.		140		7,231


				12,037


Total Information Technology				15,285,399


Materials - 0.2%
Chemicals - 0.2%
Air Liquide S.A. (France)		286		38,027
Akzo Nobel N.V. (Netherlands)		426		39,274
Dow, Inc.		198		9,997
Eastman Chemical Co.		77		5,855



BLENDED ASSET EXTENDED SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Materials (continued)
Chemicals (continued)
Givaudan S.A. (Switzerland)		10	$	29,379
LyondellBasell Industries N.V. - Class A		144		12,917
OCI N.V. (Netherlands)*		550		12,367
Orbia Advance Corp. S.A.B. de C.V. (Mexico)		16,800		36,366
Solvay S.A. (Belgium)		670		72,846


				257,028

Containers & Packaging - 0.0%##
International Paper Co.		139		6,072

Metals & Mining - 0.0%##
First Quantum Minerals Ltd. (Zambia)		1,550		13,098
Lundin Mining Corp. (Chile)		2,605		13,153
Nucor Corp.		152		8,185


				34,436


Total Materials				297,536


Real Estate - 3.7%
Equity Real Estate Investment Trusts (REITS) - 3.7%
Acadia Realty Trust¹		570		15,949
Agree Realty Corp.¹		335		26,388
Alexandria Real Estate Equities, Inc.		130		20,638
American Campus Communities, Inc.		920		45,982
American Homes 4 Rent - Class A		3,150		83,381
American Tower Corp.		4,040		881,043
Americold Realty Trust		1,725		69,155
Apartment Investment & Management Co. - Class A		1,509		82,814
AvalonBay Communities, Inc.		540		117,536
Boston Properties, Inc.		472		64,758
Brandywine Realty Trust		4,325		66,086
The British Land Co. plc (United Kingdom)		4,150		33,367
Camden Property Trust		545		62,332
Community Healthcare Trust, Inc.		1,025		49,631
Cousins Properties, Inc.		2,761		110,799
Crown Castle International Corp.		385		53,434
CubeSmart		485		15,374
Digital Realty Trust, Inc.		430		54,627
Douglas Emmett, Inc.		1,210		52,417
Equinix, Inc.		2,430		1,377,275
Equity LifeStyle Properties, Inc.		720		50,357
Equity Residential		925		82,010




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Essential Properties Realty Trust, Inc.		2,065	$	52,988
Essex Property Trust, Inc.		205		67,062
Extra Space Storage, Inc.		180		20,209
Federal Realty Investment Trust		125		17,001
First Industrial Realty Trust, Inc.		845		35,583
Getty Realty Corp.		965		32,366
Healthcare Realty Trust, Inc.		1,475		51,286
Healthcare Trust of America, Inc. - Class A		920		28,520
Healthpeak Properties, Inc.		2,210		83,140
Hibernia REIT plc (Ireland)		16,880		26,281
Host Hotels & Resorts, Inc.		1,795		29,420
Independence Realty Trust, Inc.		2,465		37,961
Invitation Homes, Inc.		3,487		107,365
Jernigan Capital, Inc.		1,615		30,669
Kilroy Realty Corp.		217		18,213
Land Securities Group plc (United Kingdom)		2,780		33,862
Liberty Property Trust		830		49,028
Life Storage, Inc.		240		26,141
Mid-America Apartment Communities, Inc.		260		36,137
National Retail Properties, Inc.		900		53,019
National Storage Affiliates Trust		885		30,240
Omega Healthcare Investors, Inc.		850		37,434
Physicians Realty Trust		3,060		57,130
Plymouth Industrial REIT, Inc.		1,108		20,897
Prologis, Inc.		1,950		171,132
Public Storage		320		71,315
Realty Income Corp.		270		22,083
SBA Communications Corp.		3,500		842,275
Simon Property Group, Inc.		765		115,270
STAG Industrial, Inc.		1,015		31,506
STORE Capital Corp.		770		31,185
Sun Communities, Inc.		475		77,259
Sunstone Hotel Investors, Inc.		1,480		19,995
UDR, Inc.		1,282		64,420
UMH Properties, Inc.		1,180		17,617
Urban Edge Properties		2,165		45,703
Ventas, Inc.		931		60,608
VEREIT, Inc.		5,870		57,761
Vornado Realty Trust¹		325		21,330
Weingarten Realty Investors¹		1,390		44,105
Welltower, Inc.¹		861		78,084


				6,168,953



BLENDED ASSET EXTENDED SERIES	SHARES/
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Real Estate Management & Development - 0.0%##
Ayala Land, Inc. (Philippines)		28,200	$	26,949
SM Prime Holdings, Inc. (Philippines)		46,975		36,068


				63,017


Total Real Estate				6,231,970

Utilities - 0.0%##
Electric Utilities - 0.0%##
Manila Electric Co. (Philippines)		2,350		15,671

Independent Power and Renewable Electricity Producers - 0.0%##
Aboitiz Power Corp. (Philippines)		24,600		19,367

Multi-Utilities - 0.0%##
Engie S.A. (France)		1,215		20,345
Veolia Environnement S.A. (France)		370		9,740


				30,085


Total Utilities				65,123

TOTAL COMMON STOCKS (Identified Cost $74,769,507)				83,499,399

CORPORATE BONDS - 10.2%

Non-Convertible Corporate Bonds - 10.2%
Communication Services - 2.3%
Diversified Telecommunication Services - 1.1%
AT&T, Inc.¹, 4.25%, 3/1/2027		610,000		669,966
CenturyLink, Inc., 5.625%, 4/1/2020 .		15,000		15,188
Verizon Communications, Inc., 5.25%, 3/16/2037		900,000		1,133,620


				1,818,774

Interactive Media & Services - 0.3%
Tencent Holdings Ltd. (China)², 3.975%, 4/11/2029		520,000		559,634

Media - 0.8%
Cablevision Systems Corp., 8.00%, 4/15/2020		15,000		15,375
Comcast Corp., 3.25%, 11/1/2039		560,000		567,737
Diamond Sports Group LLC - Diamond Sports Finance Co.², 6.625%, 8/15/2027		25,000		25,750
Discovery Communications LLC, 5.20%, 9/20/2047		650,000		710,812
Entercom Media Corp.², 7.25%, 11/1/2024		10,000		10,425




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Communication Services (continued)
Media (continued)
Townsquare Media, Inc.², 6.50%, 4/1/2023		10,000	$	9,900


				1,339,999

Wireless Telecommunication Services - 0.1%
Sprint Communications, Inc., 7.00%, 8/15/2020		35,000		36,056
Sprint Corp., 7.25%, 9/15/2021		15,000		16,006
Sprint Corp., 7.125%, 6/15/2024		15,000		16,275


				68,337


Total Communication Services				3,786,744


Consumer Discretionary - 1.5%
Auto Components - 0.0%##
American Axle & Manufacturing, Inc., 6.25%, 4/1/2025		10,000		9,637
Techniplas LLC², 10.00%, 5/1/2020		20,000		16,900


				26,537

Automobiles - 0.5%
General Motors Financial Co., Inc., 3.15%, 1/15/2020		750,000		751,014

Diversified Consumer Services - 0.0%##
GEMS MENASA Cayman Ltd. - GEMS Education Delaware LLC (United Arab Emirates)², 7.125%, 7/31/2026		60,000		62,175

Household Durables - 0.0%##
Ashton Woods USA LLC - Ashton Woods Finance Co.², 6.75%, 8/1/2025		15,000		15,075
LGI Homes, Inc.², 6.875%, 7/15/2026		30,000		31,050
Weekley Homes LLC - Weekley Finance Corp.¹, 6.625%, 8/15/2025		35,000		35,525


				81,650

Internet & Direct Marketing Retail - 1.0%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		550,000		571,264
Booking Holdings, Inc., 3.60%, 6/1/2026		930,000		1,006,871
Photo Holdings Merger Sub, Inc.², 8.50%, 10/1/2026		25,000		22,003


				1,600,138



BLENDED ASSET EXTENDED SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Specialty Retail - 0.0%##
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.², 12.25%, 11/15/2026		25,000	$	25,128
Staples, Inc.², 7.50%, 4/15/2026		25,000		26,005


				51,133


Total Consumer Discretionary				2,572,647

Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.², 8.625%, 10/15/2026		25,000		25,641

Energy - 1.7%
Energy Equipment & Services - 0.0%##
Nabors Industries, Inc., 5.50%, 1/15/2023		15,000		12,675
Shelf Drilling Holdings Ltd. (United Arab Emirates)², 8.25%, 2/15/2025		15,000		12,600


				25,275

Oil, Gas & Consumable Fuels - 1.7%
Antero Midstream Partners LP - Antero Midstream Finance Corp.², 5.75%, 3/1/2027		15,000		11,156
Antero Midstream Partners LP - Antero Midstream Finance Corp.², 5.75%, 1/15/2028		15,000		11,325
Bruin E&P Partners LLC², 8.875%, 8/1/2023		15,000		9,900
Calumet Specialty Products Partners LP - Calumet Finance Corp.², 11.00%, 4/15/2025		25,000		25,063
Energy Transfer Operating LP, 6.50%, 2/1/2042		470,000		562,920
Jonah Energy LLC - Jonah Energy Finance Corp.², 7.25%, 10/15/2025		30,000		8,400
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		570,000		736,852
Lonestar Resources America, Inc.², 11.25%, 1/1/2023		15,000		10,500
Moss Creek Resources Holdings, Inc.², 10.50%, 5/15/2027		5,000		3,862
NuStar Logistics LP, 6.75%, 2/1/2021		15,000		15,543
Rockies Express Pipeline LLC², 5.625%, 4/15/2020		25,000		25,420




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		790,000	$	907,119
Southwestern Energy Co.⁴, 6.20%, 1/23/2025		15,000		13,200
W&T Offshore, Inc.^1,2, 9.75%, 11/1/2023		10,000		9,375
The Williams Companies, Inc.¹, 3.75%, 6/15/2027		480,000		500,469


				2,851,104


Total Energy				2,876,379

Financials - 2.4%
Banks - 2.0%
Bank of America Corp., 4.00%, 1/22/2025		920,000		981,290
Citigroup, Inc., 8.125%, 7/15/2039		320,000		526,422
Credit Suisse AG (Switzerland), 5.40%, 1/14/2020		710,000		714,601
JPMorgan Chase & Co.⁵,(3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		450,000		480,509
Santander Holdings USA, Inc., 4.50%, 7/17/2025		610,000		657,335


				3,360,157

Capital Markets - 0.2%
AG Merger Sub II, Inc.², 10.75%, 8/1/2027		15,000		14,850
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		30,000		31,200
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025		310,000		333,917


				379,967

Consumer Finance - 0.1%
Navient Corp., 5.00%, 10/26/2020		25,000		25,461
SLM Corp., 5.125%, 4/5/2022		30,000		30,975


				56,436

Diversified Financial Services - 0.1%
Fidelity & Guaranty Life Holdings, Inc.², 5.50%, 5/1/2025		15,000		16,012
Global Aircraft Leasing Co. Ltd. (Cayman Islands)^2,6, 6.50%, 9/15/2024		25,000		25,586
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)², 10.50%, 6/1/2024		25,000		24,312


				65,910



BLENDED ASSET EXTENDED SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Financials (continued)
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.², 7.00%, 11/15/2025		25,000	$	22,875
Radian Group, Inc., 4.875%, 3/15/2027		30,000		31,125


				54,000


Total Financials				3,916,470


Health Care - 0.3%
Health Care Providers & Services - 0.3%
HCA, Inc., 4.125%, 6/15/2029		520,000		550,891

Industrials - 0.9%
Commercial Services & Supplies - 0.0%##
The ADT Security Corp., 6.25%, 10/15/2021		15,000		15,994
Prime Security Services Borrower LLC - Prime Finance, Inc.², 5.75%, 4/15/2026		15,000		15,370
Stericycle, Inc.², 5.375%, 7/15/2024		35,000		36,400


				67,764

Construction & Engineering - 0.0%##
HC2 Holdings, Inc.², 11.50%, 12/1/2021		10,000		9,113
Tutor Perini Corp.², 6.875%, 5/1/2025		30,000		29,920


				39,033

Industrial Conglomerates - 0.4%
General Electric Co.^5,7, (3 mo. LIBOR US + 3.330%), 5.00%		620,000		597,525

Marine - 0.1%
American Tanker, Inc. (Norway)², 9.25%, 2/22/2022		40,000		40,224
Borealis Finance LLC², 7.50%, 11/16/2022		35,000		32,900


				73,124

Trading Companies & Distributors - 0.4%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland)¹, 4.45%, 10/1/2025		620,000		672,748
Fortress Transportation & Infrastructure Investors LLC², 6.50%, 10/1/2025		25,000		25,250


				697,998


Total Industrials				1,475,444




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Information Technology - 0.0%##
Communications Equipment - 0.0%##
Hughes Satellite Systems Corp., 5.25%, 8/1/2026		30,000	$	32,138

Materials - 0.6%
Chemicals - 0.0%##
CF Industries, Inc., 7.125%, 5/1/2020		15,000		15,360
Olin Corp., 5.625%, 8/1/2029		15,000		15,574


				30,934

Containers & Packaging - 0.1%
ARD Securities Finance S.A.R.L (Luxembourg)^2,6, 8.75%, 1/31/2023		10,437		10,854
Berry Global, Inc.², 4.50%, 2/15/2026		15,000		15,094
Mauser Packaging Solutions Holding Co.², 7.25%, 4/15/2025		15,000		14,344


				40,292

Metals & Mining - 0.5%
Infrabuild Australia Pty Ltd. (Australia)², 12.00%, 10/1/2024		25,000		25,478
Mountain Province Diamonds, Inc. (Canada)², 8.00%, 12/15/2022		35,000		33,950
Northwest Acquisitions ULC - Dominion Finco, Inc.², 7.125%, 11/1/2022		30,000		15,000
Southern Copper Corp. (Peru), 5.375%, 4/16/2020		750,000		759,253
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.², 7.50%, 6/15/2025.		10,000		8,500


				842,181


Total Materials				913,407

Real Estate - 0.5%
Equity Real Estate Investment Trusts (REITS) - 0.5%
American Tower Corp., 3.80%, 8/15/2029		690,000		737,633
GTP Acquisition Partners I LLC², 2.35%, 6/15/2020		123,000		123,043


				860,676

Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.², 7.875%, 11/15/2025		25,000		23,629



BLENDED ASSET EXTENDED SERIES	PRINCIPAL AMOUNT³/ SHARES		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Real Estate (continued)
Real Estate Management & Development (continued)
Forestar Group, Inc.², 8.00%, 4/15/2024		15,000	$	16,125


				39,754


Total Real Estate				900,430

TOTAL CORPORATE BONDS
(Identified Cost $16,371,131)				17,050,191


MUTUAL FUNDS - 0.3%

iShares MSCI India ETF		5,355		185,551
SPDR Gold Shares*		1,845		262,783
VanEck Vectors Gold Miners ETF		4,908		138,160

TOTAL MUTUAL FUNDS
(Identified Cost $540,439)				586,494


U.S. TREASURY SECURITIES - 21.7%

U.S. Treasury Bonds - 7.6%
U.S. Treasury Bond, 4.75%, 2/15/2037		2,361,000		3,359,076
U.S. Treasury Bond, 2.50%, 2/15/2045		3,162,000		3,363,824
U.S. Treasury Bond, 3.00%, 5/15/2047		4,260,000		4,988,194
U.S. Treasury Inflation Indexed Bond, 0.75%, 2/15/2042		935,351		982,854


Total U.S. Treasury Bonds
(Identified Cost $11,262,683)				12,693,948


U.S. Treasury Notes - 14.1%

U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020		3,317,246		3,299,494
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		1,597,083		1,618,079
U.S. Treasury Note, 2.625%, 5/15/2021		1,615,000		1,640,234
U.S. Treasury Note, 2.50%, 5/15/2024		3,136,000		3,268,300
U.S. Treasury Note, 2.00%, 8/15/2025		10,125,000		10,360,327
U.S. Treasury Note, 1.625%, 5/15/2026		3,221,000		3,226,159


Total U.S. Treasury Notes
(Identified Cost $23,070,065)				23,412,593


TOTAL U.S. TREASURY SECURITIES
(Identified Cost $34,332,748)				36,106,541




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

ASSET-BACKED SECURITIES - 3.4%

Cazenovia Creek Funding II LLC, Series 2018-1A, Class A², 3.561%, 7/15/2030		266,758	$	268,695
CCG Receivables Trust, Series 2019-1, Class A2², 2.80%, 9/14/2026		760,000		767,075
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (Canada)², 2.12%, 11/15/2029		284,107		284,111
Invitation Homes Trust, Series 2017-SFR2, Class A^2,8, (1 mo. LIBOR US + 0.850%), 2.739%, 12/17/2036		154,923		154,705
Invitation Homes Trust, Series 2017-SFR2, Class B^2,8, (1 mo. LIBOR US + 1.150%), 3.039%, 12/17/2036		120,000		120,113
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A1², 2.82%, 2/15/2068		327,691		330,902
Oxford Finance Funding LLC, Series 2019-1A, Class A2², 4.459%, 2/15/2027		600,000		615,396
Progress Residential Trust, Series 2019-SFR2, Class A², 3.147%, 5/17/2036		380,000		386,595
SoFi Consumer Loan Program LLC, Series 2016-2, Class A², 3.09%, 10/27/2025		100,629		100,947
SoFi Consumer Loan Program Trust, Series 2019-2, Class A², 3.01%, 4/25/2028		247,555		249,493
SoFi Consumer Loan Program Trust, Series 2019-3, Class A², 2.90%, 5/25/2028		329,584		331,930
SoFi Professional Loan Program LLC, Series 2017-C, Class A2A², 1.75%, 7/25/2040		90,055		90,007
SoFi Professional Loan Program Trust, Series 2018-C, Class A1FX², 3.08%, 1/25/2048		398,677		401,174
Tax Ease Funding LLC, Series 2016-1A, Class A², 3.131%, 6/15/2028		56,526		56,513
Towd Point Mortgage Trust, Series 2016-5, Class A1^2,9, 2.50%, 10/25/2056		303,363		304,523
Towd Point Mortgage Trust, Series 2017-1, Class A1^2,9, 2.75%, 10/25/2056		333,508		337,454
Towd Point Mortgage Trust, Series 2019-HY1, Class A1^2,8, (1 mo. LIBOR US + 1.000%), 2.823%, 10/25/2048		302,312		303,927



BLENDED ASSET EXTENDED SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

ASSET-BACKED SECURITIES (continued)

Tricon American Homes Trust, Series 2016-SFR1, Class A², 2.589%, 11/17/2033		314,326	$	314,259
Tricon American Homes Trust, Series 2017-SFR2, Class A², 2.928%, 1/17/2036		299,151		303,637


TOTAL ASSET-BACKED SECURITIES (Identified Cost $5,656,735)				5,721,456


COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.5%

CIM Trust, Series 2019-INV1, Class A1^2,9, 4.00%, 2/25/2049		142,992		146,113
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A1^2,9, 2.50%, 5/25/2043		187,256		185,286
Credit Suisse Mortgage Capital Trust, Series 2014-IVR3, Class A1^2,9, 3.50%, 7/25/2044		332,912		338,117
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		287,525		300,160
Fannie Mae-Aces, Series 2017-M15, Class A1⁹, 2.959%, 9/25/2027		387,560		406,100
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)⁹, 1.298%, 12/25/2021		5,697,707		126,508
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		297,060		301,074
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		266,254		271,814
FREMF Mortgage Trust, Series 2014-K41, Class B^2,9, 3.832%, 11/25/2047		485,000		509,100
FREMF Mortgage Trust, Series 2014-K715, Class B^2,9, 3.971%, 2/25/2046		471,000		480,099
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		481,560		485,592
JP Morgan Mortgage Trust, Series 2013-2, Class A2^2,9, 3.50%, 5/25/2043		106,136		108,208
JP Morgan Mortgage Trust, Series 2014-2, Class 1A1^2,9, 3.00%, 6/25/2029		166,355		168,964
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX3^2,9, 3.75%, 11/25/2054		116,917		121,620
New Residential Mortgage Loan Trust, Series 2015-2A, Class A1^2,9, 3.75%, 8/25/2055		182,029		189,774




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

New Residential Mortgage Loan Trust, Series 2016-4A, Class A1^2,9, 3.75%, 11/25/2056		188,417	$	196,522
Sequoia Mortgage Trust, Series 2013-2, Class A⁹, 1.874%, 2/25/2043		134,502		129,680
Sequoia Mortgage Trust, Series 2013-8, Class A1⁹, 3.00%, 6/25/2043		155,485		157,241
Starwood Retail Property Trust, Series 2014-STAR, Class A^2,8, (1 mo. LIBOR US + 1.220%), 3.134%, 11/15/2027		358,082		357,438
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A^2,9, 2.86%, 12/25/2035		377,829		379,982
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A^2,8, (1 mo. LIBOR US + 1.050%), 2.971%, 12/15/2033		345,000		345,214
WinWater Mortgage Loan Trust, Series 2015-3, Class A5^2,9, 3.50%, 3/20/2045		96,484		96,703


TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $5,667,001)				5,801,309


FOREIGN GOVERNMENT BONDS - 0.5%

Canadian Government Bond (Canada), 2.75%, 6/1/2022	CAD	102,000		79,874
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020		500,000		502,873
Mexican Government Bond (Mexico), 8.00%, 6/11/2020	MXN	2,087,000		109,263
Mexican Government Bond (Mexico), 6.50%, 6/10/2021	MXN	888,000		46,059
Mexican Government Bond (Mexico), 6.50%, 6/9/2022	MXN	1,443,000		74,926
Mexican Government Bond (Mexico), 7.75%, 5/29/2031	MXN	278,000		15,455


TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $831,572)				828,450

U.S. GOVERNMENT AGENCIES - 9.2%

Mortgage-Backed Securities - 9.2%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021		16,028		16,260
Fannie Mae, Pool #888810, 5.50%, 11/1/2022		19,434		19,691
Fannie Mae, Pool #AL9409, 3.50%, 11/1/2031		339,259		352,580



BLENDED ASSET EXTENDED SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034		209,510	$	225,173
Fannie Mae, Pool #FM1158, 3.50%, 6/1/2034		660,130		683,907
Fannie Mae, Pool #MA3412, 3.50%, 7/1/2038		622,370		644,969
Fannie Mae, Pool #AD0207, 6.00%, 10/1/2038		180,222		207,148
Fannie Mae, Pool #AD0307, 5.50%, 1/1/2039		113,371		127,332
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		153,642		166,442
Fannie Mae, Pool #AL0241, 4.00%, 4/1/2041		265,965		284,617
Fannie Mae, Pool #AL1410, 4.50%, 12/1/2041		379,541		411,476
Fannie Mae, Pool #AL7729, 4.00%, 6/1/2043		216,138		231,238
Fannie Mae, Pool #AS3622, 3.50%, 10/1/2044		997,234		1,050,158
Fannie Mae, Pool #AS4103, 4.50%, 12/1/2044		221,315		238,162
Fannie Mae, Pool #MA2705, 3.00%, 8/1/2046		290,006		297,652
Fannie Mae, Pool #BJ1323, 3.50%, 11/1/2047		952,646		994,707
Fannie Mae, Pool #CA1720, 5.00%, 5/1/2048		439,619		485,508
Fannie Mae, Pool #CA1922, 5.00%, 6/1/2048		436,019		467,440
Fannie Mae, Pool #CA2056, 4.50%, 7/1/2048		466,154		492,023
Fannie Mae, Pool #MA3443, 4.00%, 8/1/2048		335,746		348,245
Fannie Mae, Pool #BK9366, 4.50%, 8/1/2048		188,356		198,259
Fannie Mae, Pool #CA2219, 5.00%, 8/1/2048		342,808		367,505
Fannie Mae, Pool #MA3521, 4.00%, 11/1/2048		743,065		771,402
Fannie Mae, Pool #MA3527, 5.00%, 11/1/2048		731,299		781,097
Fannie Mae, Pool #BN0622, 4.50%, 1/1/2049		523,501		550,915
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		444,373		500,228
Fannie Mae, Pool #MA3692, 3.50%, 7/1/2049		901,592		924,946
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		143,856		154,695



	PRINCIPAL AMOUNT³/ SHARES		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Freddie Mac, Pool #C91771, 4.50%, 6/1/2034		117,313	$	126,017
Freddie Mac, Pool #C91780, 4.50%, 7/1/2034		162,415		174,654
Freddie Mac, Pool #QN0349, 3.00%, 8/1/2034		426,052		436,514
Freddie Mac, Pool #G04601, 5.50%, 7/1/2038		160,787		180,104
Freddie Mac, Pool #G04587, 5.50%, 8/1/2038		155,952		175,068
Freddie Mac, Pool #Q33778, 4.00%, 6/1/2045		229,343		242,616
Freddie Mac, Pool #ZM2525, 3.00%, 12/1/2046		396,374		406,204
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		313,919		330,621
Freddie Mac, Pool #G61887, 5.00%, 2/1/2049		363,013		388,396
Freddie Mac, Pool #ZN4802, 4.00%, 4/1/2049		752,900		782,887

TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $14,968,588)				15,236,856


U.S. GOVERNMENT SECURITIES - 1.0%

U.S. Treasury Bill - 1.0%
U.S. Treasury Bill¹⁰, 1.62%, 5/21/2020
(Identified Cost $1,679,783)		1,695,000		1,680,401


SHORT-TERM INVESTMENT - 1.6%

Dreyfus Government Cash Management, Institutional Shares, 1.73%¹¹
(Identified Cost $2,656,669)		2,656,669		2,656,669

TOTAL INVESTMENTS IN SECURITIES - 101.6%
(Identified Cost $157,474,173)				169,167,766


TOTAL OPTIONS WRITTEN — 0.0%##
(Premiums Received $38,697)				(64,104	)

TOTAL INVESTMENTS - 101.6%				169,103,662
LIABILITIES, LESS OTHER ASSETS - (1.6%)				(2,631,395	)

NET ASSETS - 100%			$	166,472,267

¹A portion of this security is designated as collateral for options contracts written. As of October 31, 2019, the total value of such securities was $10,080,156.

²Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid under the Fund’s Liquidity Risk Management Program. These securities amount to $10,975,021, or 6.6% of the Series’ net assets as of October 31, 2019 (see Note 2 to the financial statements).

⁵Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of October 31, 2019.

⁸Floating rate security. Rate shown is the rate in effect as of October 31, 2019.

The following graph compares the value of a $10,000 investment in the Blended Asset Maximum Series - Class R6 from its inception² (October 13, 2017) to present (October 31, 2019) to the Russell 3000^® Index and the 65/20/15 Blended Index.

²Performance numbers for the Series and Indices are calculated from October 13, 2017, the Series’ inception date.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.55% for Class R6. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.68% for Class R6 for the year ended October 31, 2019.

⁵The 65/20/15 Blended Index is 65% Russell 3000^® Index (Russell 3000), 20% MSCI ACWI ex USA Index (ACWIxUS), and 15% Bloomberg Barclays U.S. Aggregate Bond Index (BAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB is an unmanaged, market value-weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed, and mortgage-backed securities with maturities of one year or more. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the fund’s asset allocation will vary over time, the composition of the fund’s portfolio may not match the composition of the comparative Indices.



BLENDED ASSET MAXIMUM SERIES

	SHARES		VALUE (NOTE 2)

COMMON STOCKS - 82.0%

Communication Services - 10.4%
Diversified Telecommunication Services - 0.1%
Elisa OYJ (Finland)		915	$	49,974
Orange S.A. (France)		975		15,692
Telefonica Brasil S.A. (Brazil)		800		10,586



				76,252


Entertainment - 4.7%
Activision Blizzard, Inc.		22,630		1,267,959
Electronic Arts, Inc.*		18,705		1,803,162
Nexon Co. Ltd. (Japan)*		99,174		1,149,253
Sea Ltd. - ADR (Taiwan)*		59,685		1,776,226
Toho Co. Ltd. - Tokyo (Japan)		1,000		40,385
Viacom, Inc. - Class B		159		3,428
Vivendi S.A. (France)		495		13,785



				6,054,198


Interactive Media & Services - 4.3%
Alphabet, Inc. - Class A*		860		1,082,568
Alphabet, Inc. - Class C*		860		1,083,695
Autohome, Inc. - ADR (China)*		380		32,133
Facebook, Inc. - Class A*		8,575		1,643,399
Kakao Corp. (South Korea)		390		47,327
Tencent Holdings Ltd. - Class H (China)		39,159		1,588,403



				5,477,525


Media - 1.3%
Informa plc (United Kingdom)		4,165		41,863
Quebecor, Inc. - Class B (Canada)		33,980		789,968
Shaw Communications, Inc. - Class B (Canada)		39,770		811,645



				1,643,476


Wireless Telecommunication Services - 0.0%##
Globe Telecom, Inc. (Philippines)		310		11,143



Total Communication Services				13,262,594



Consumer Discretionary - 12.0%
Auto Components - 0.0%##
Cie Generale des Etablissements Michelin SCA (France)		90		10,958


Automobiles - 0.0%##
Peugeot S.A. (France)		280		7,091


Distributors - 0.0%##
Genuine Parts Co.		63		6,463


Diversified Consumer Services - 0.1%
Fu Shou Yuan International Group Ltd. (China)		23,000		20,300





	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Diversified Consumer Services (continued)
New Oriental Education & Technology Group, Inc. - ADR (China)*		355	$	43,331
TAL Education Group - ADR (China)*		1,040		44,522


				108,153

Hotels, Restaurants & Leisure - 0.2%
Basic-Fit N.V. (Netherlands)*¹		1,095		33,491
Galaxy Entertainment Group Ltd. (Macau)		4,000		27,543
Hilton Worldwide Holdings, Inc.		95		9,211
Melco Resorts & Entertainment Ltd. - ADR (Hong Kong)		945		20,355
MGM China Holdings Ltd. (Macau)		12,800		20,269
Restaurant Brands International, Inc. (Canada)		460		30,102
Sands China Ltd. (Macau)		6,400		31,524
Wynn Macau Ltd. (Macau)		14,000		30,381


				202,876

Household Durables - 1.4%
Barratt Developments plc (United Kingdom)		2,955		24,165
The Berkeley Group Holdings plc (United Kingdom)		445		25,365
Persimmon plc (United Kingdom)		900		26,547
Sony Corp. - ADR (Japan)		27,685		1,684,079
Sony Corp. (Japan)		900		54,782
Taylor Wimpey plc (United Kingdom)		11,625		24,932


				1,839,870

Internet & Direct Marketing Retail - 1.8%
Alibaba Group Holding Ltd. - ADR (China)*		460		81,268
Amazon.com, Inc.*		770		1,368,028
Booking Holdings, Inc.*		405		829,752
Farfetch Ltd. - Class A (United Kingdom)*		1,330		11,877


				2,290,925

Leisure Products - 0.0%##
Technogym S.p.A. (Italy)¹		3,495		38,559

Multiline Retail - 3.0%
B&M European Value Retail S.A. (United Kingdom)		5,480		26,290
Dollar General Corp.		11,015		1,766,145
Dollar Tree, Inc.*		17,730		1,957,392
Kohl’s Corp.		78		3,998



BLENDED ASSET MAXIMUM SERIES

	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Multiline Retail (continued)
Lojas Renner S.A. (Brazil)		1,000	$	12,689
Magazine Luiza S.A. (Brazil)		900		9,964


				3,776,478

Specialty Retail - 2.3%
Advance Auto Parts, Inc.		6,860		1,114,613
AutoZone, Inc.*		810		926,948
Best Buy Co., Inc.		98		7,039
The Gap, Inc.		167		2,715
The Home Depot, Inc.		186		43,632
Industria de Diseno Textil S.A. (Spain)		26,645		830,280


				2,925,227

Textiles, Apparel & Luxury Goods - 3.2%
EssilorLuxottica S.A. (France)		125		19,087
Hermes International (France)		15		10,805
Kering S.A. (France)		40		22,760
Kontoor Brands, Inc.		15		570
lululemon athletica, Inc.*		9,855		2,013,081
LVMH Moet Hennessy Louis Vuitton SE (France)		120		51,247
NIKE, Inc. - Class B		21,010		1,881,446
Shenzhou International Group Holdings Ltd. (China)		2,700		37,310
VF Corp.		126		10,369


				4,046,675


Total Consumer Discretionary				15,253,275


Consumer Staples - 13.4%
Beverages - 5.7%
Ambev S.A. - ADR (Brazil)		225,110		970,224
Ambev S.A. (Brazil)		6,800		29,435
Anheuser-Busch InBev S.A./N.V. (Belgium)		11,475		926,233
The Coca-Cola Co.		49,400		2,688,842
Coca-Cola European Partners plc (United Kingdom)		780		41,738
Diageo plc (United Kingdom)		20,310		831,310
Heineken N.V. (Netherlands)		395		40,337
Molson Coors Brewing Co. - Class B		75		3,954
PepsiCo, Inc.		12,055		1,653,584
Pernod Ricard S.A. (France)		255		47,107


				7,232,764

Food & Staples Retailing - 0.2%
Alimentation Couche-Tard, Inc. - Class B (Canada)		1,420		42,586





	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Food & Staples Retailing (continued)
ICA Gruppen AB (Sweden)		982	$	43,455
The Kroger Co.		187		4,608
Loblaw Companies Ltd. (Canada)		840		44,797
Puregold Price Club, Inc. (Philippines)		6,500		5,228
Raia Drogasil S.A. (Brazil)		400		10,967
Robinsons Retail Holdings, Inc. (Philippines)		4,110		6,143
Sysco Corp.		151		12,060
Walgreens Boots Alliance, Inc.		224		12,271
Walmart, Inc.		427		50,070


				232,185

Food Products - 3.1%
Archer-Daniels-Midland Co.		132		5,549
Barry Callebaut AG (Switzerland)		10		21,133
Conagra Brands, Inc.		159		4,301
Danone S.A. (France)		1,240		102,723
General Mills, Inc.		200		10,172
The Hershey Co.		71		10,428
The J.M. Smucker Co.		46		4,861
Kellogg Co.		109		6,925
Kerry Group plc - Class A (Ireland)		370		44,801
Mondelez International, Inc. - Class A		45,903		2,407,612
Mowi ASA (Norway)		1,880		45,895
Nestle S.A. (Switzerland)		11,705		1,252,217
Tyson Foods, Inc. - Class A		90		7,451
Universal Robina Corp. (Philippines).		4,700		13,963


				3,938,031

Household Products - 0.7%
Colgate-Palmolive Co.		11,305		775,523
Essity AB - Class B (Sweden)		1,450		45,299
Henkel AG & Co. KGaA (Germany)		440		45,704
Kimberly-Clark Corp.		98		13,022
Reckitt Benckiser Group plc (United Kingdom)		560		43,334


				922,882

Personal Products - 2.0%
Beiersdorf AG (Germany)		9,645		1,141,863
LG Household & Health Care Ltd. (South Korea)		40		43,284
L’Oreal S.A. (France)		125		36,508
Unilever plc - ADR (United Kingdom)		21,995		1,322,119


				2,543,774



BLENDED ASSET MAXIMUM SERIES

	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Tobacco - 1.7%
Altria Group, Inc.		16,125	$	722,239
British American Tobacco plc - ADR (United Kingdom)		615		21,500
British American Tobacco plc (United Kingdom)		1,325		46,343
Philip Morris International, Inc.		16,905		1,376,743


				2,166,825


Total Consumer Staples				17,036,461


Energy - 3.2%
Energy Equipment & Services - 2.9%
Baker Hughes Co.		244		5,222
Core Laboratories N.V		21,395		942,236
Diamond Offshore Drilling, Inc.*		53,145		281,137
Halliburton Co.		59,644		1,148,147
Schlumberger Ltd.		21,975		718,363
Transocean Ltd.*		112,670		535,182


				3,630,287

Oil, Gas & Consumable Fuels - 0.3%
Cameco Corp. (Canada)		3,340		29,826
Chevron Corp.		229		26,596
Eni S.p.A. (Italy)		2,880		43,692
Equinor ASA (Norway)		2,510		46,600
Galp Energia SGPS S.A. (Portugal)		2,555		40,867
Marathon Petroleum Corp.		196		12,534
Occidental Petroleum Corp.		153		6,196
Phillips 66		89		10,397
Repsol S.A. (Spain)		3,133		51,631
Royal Dutch Shell plc - Class B - ADR (Netherlands)		1,245		72,571
Suncor Energy, Inc. (Canada)		1,160		34,489
TOTAL S.A. (France)		935		49,432
Valero Energy Corp.		116		11,250


				436,081


Total Energy				4,066,368


Financials - 10.3%
Banks - 0.9%
Banco Bradesco S.A. (Brazil)		6,000		52,766
Banco do Brasil S.A. (Brazil)		1,900		22,745
Banco Santander Brasil S.A. (Brazil)		800		9,459
Bank of America Corp.		963		30,113
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		1,010		33,280
Bank of the Philippine Islands (Philippines)		8,530		16,296





	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Banks (continued)
Barclays plc (United Kingdom)		12,510	$	27,135
BB&T Corp.		154		8,170
BDO Unibank, Inc. (Philippines)		7,000		21,354
BNP Paribas S.A. (France)		570		29,788
Citigroup, Inc.		279		20,049
Credit Agricole S.A. (France)		495		6,459
Fifth Third Bancorp		217		6,310
FinecoBank Banca Fineco S.p.A. (Italy)		55,165		621,894
Itau Unibanco Holding S.A. (Brazil)		6,700		60,576
Itausa - Investimentos Itau S.A. (Brazil)		7,300		24,937
JPMorgan Chase & Co.		375		46,845
KeyCorp		314		5,643
Lloyds Banking Group plc (United Kingdom)		34,825		25,618
Metropolitan Bank & Trust Co. (Philippines)		12,503		16,644
Regions Financial Corp.		277		4,460
Royal Bank of Scotland Group plc (United Kingdom)		9,105		25,168
SunTrust Banks, Inc.		120		8,201
U.S. Bancorp		339		19,330
Wells Fargo & Co.		736		38,000


				1,181,240

Capital Markets - 7.4%
B3 S.A. - Brasil Bolsa Balcao (Brazil)		2,600		31,384
BlackRock, Inc.		3,850		1,777,545
Cboe Global Markets, Inc.		9,645		1,110,622
CME Group, Inc.		5,490		1,129,568
Deutsche Boerse AG (Germany)		7,895		1,222,617
Hargreaves Lansdown plc (United Kingdom)		915		21,011
Intercontinental Exchange, Inc.		11,925		1,124,766
Julius Baer Group Ltd. (Switzerland)		14,115		625,063
London Stock Exchange Group plc (United Kingdom)		250		22,530
Moody’s Corp.		5,235		1,155,312
S&P Global, Inc.		4,470		1,153,215


				9,373,633

Diversified Financial Services - 1.9%
Berkshire Hathaway, Inc. - Class B*		11,240		2,389,399

Insurance - 0.1%
Admiral Group plc (United Kingdom)		1,620		42,398



BLENDED ASSET MAXIMUM SERIES

	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Insurance (continued)
The Allstate Corp.		75	$	7,982
AXA S.A. (France)		965		25,545
BB Seguridade Participacoes S.A. (Brazil)		1,400		11,851
Chubb Ltd.		81		12,346
The Hartford Financial Services Group, Inc.		98		5,594
Ping An Insurance Group Co. of China Ltd. - Class H (China)		2,500		28,854
The Travelers Companies, Inc.		60		7,864


				142,434


Total Financials				13,086,706


Health Care - 11.2%
Biotechnology - 1.8%
AbbVie, Inc.		311		24,740
Amgen, Inc.		136		29,002
BioMarin Pharmaceutical, Inc.*		11,585		848,138
Gilead Sciences, Inc.		309		19,686
Incyte Corp.*		4,825		404,914
Seattle Genetics, Inc.*		5,180		556,332
Vertex Pharmaceuticals, Inc.*		2,195		429,079


				2,311,891

Health Care Equipment & Supplies - 3.3%
Alcon, Inc. (Switzerland)*		9,579		567,747
Alcon, Inc. (Switzerland)*		363		21,467
Boston Scientific Corp.*		20,065		836,711
Getinge AB - Class B (Sweden)		1,815		31,030
Hoya Corp. (Japan)		500		44,189
Intuitive Surgical, Inc.*		765		423,007
Koninklijke Philips N.V. (Netherlands)		985		43,216
Medtronic plc		20,400		2,221,560
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		24,000		27,553
Smith & Nephew plc (United Kingdom)		1,950		41,860


				4,258,340

Health Care Providers & Services - 0.7%
CVS Health Corp.		284		18,855
Quest Diagnostics, Inc.		49		4,961
Sonic Healthcare Ltd. (Australia)		2,330		45,889
UnitedHealth Group, Inc.		3,260		823,802


				893,507





	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Health Care (continued)
Life Sciences Tools & Services - 1.4%
Gerresheimer AG (Germany)		450	$	36,290
QIAGEN N.V.*		29,120		868,067
QIAGEN N.V.*		1,225		36,847
Tecan Group AG (Switzerland)		40		9,463
Thermo Fisher Scientific, Inc.		2,640		797,227


				1,747,894

Pharmaceuticals - 4.0%
Bristol-Myers Squibb Co.		332		19,047
Johnson & Johnson		18,163		2,398,243
Merck & Co., Inc.		5,121		443,786
Merck KGaA (Germany)		8,055		960,692
Novartis AG - ADR (Switzerland)		11,620		1,016,053
Novartis AG (Switzerland)		555		48,493
Perrigo Co. plc		705		37,379
Pfizer, Inc.		964		36,989
Recordati S.p.A. (Italy)		1,015		42,654
Roche Holding AG (Switzerland)		240		72,229
Sanofi (France)		550		50,703


				5,126,268


Total Health Care				14,337,900


Industrials - 1.4%
Aerospace & Defense - 0.2%
Airbus SE (France)		275		39,451
BAE Systems plc (United Kingdom) .		6,900		51,541
The Boeing Co.		94		31,951
General Dynamics Corp.		53		9,370
Lockheed Martin Corp.		58		21,847
Safran S.A. (France)		160		25,342
Thales S.A. (France)		30		2,933
United Technologies Corp.		159		22,829


				205,264

Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.		62		4,690
United Parcel Service, Inc. - Class B		206		23,725


				28,415

Airlines - 0.0%##
Ryanair Holdings plc - ADR (Ireland)*		430		32,095

Building Products - 0.0%##
Cie de Saint-Gobain (France)		235		9,571
Johnson Controls International plc		240		10,399


				19,970



BLENDED ASSET MAXIMUM SERIES

	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Industrials (continued)
Commercial Services & Supplies - 0.0%##
Waste Management, Inc.		119	$	13,353

Construction & Engineering - 0.0%##
Vinci S.A. (France)		425		47,683

Electrical Equipment - 0.1%
Eaton Corp. plc		125		10,889
Emerson Electric Co.		171		11,996
Legrand S.A. (France)		125		9,766
Rockwell Automation, Inc.		31		5,332
Schneider Electric SE (France)		265		24,629
WEG S.A. (Brazil)		1,600		10,261


				72,873

Industrial Conglomerates - 0.1%
3M Co.		130		21,449
Honeywell International, Inc.		134		23,146
LT Group, Inc. (Philippines)		20,000		5,258
SM Investments Corp. (Philippines)		1,080		21,894


				71,747

Machinery - 0.2%
Caterpillar, Inc.		111		15,296
Cummins, Inc.		51		8,796
Daifuku Co. Ltd. (Japan)		500		26,531
FANUC Corp. (Japan)		300		59,175
Harmonic Drive Systems, Inc. (Japan)		600		27,826
Illinois Tool Works, Inc.		74		12,475
KION Group AG (Germany)		470		31,273
Nabtesco Corp. (Japan)		800		25,468
The Weir Group plc (United Kingdom)		2,410		42,096


				248,936

Professional Services - 0.0%##
SGS S.A. (Switzerland)		5		13,040

Road & Rail - 0.8%
JB Hunt Transport Services, Inc.		7,810		918,144
Localiza Rent a Car S.A. (Brazil)		700		7,505
Rumo S.A. (Brazil)*		1,900		10,840
Union Pacific Corp.		133		22,006


				958,495

Trading Companies & Distributors - 0.0%##
Fastenal Co.		186		6,685

Transportation Infrastructure - 0.0%##
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)		3,300		22,900





	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Industrials (continued)
Transportation Infrastructure (continued)
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		155	$	16,199
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		135		22,106


				61,205


Total Industrials				1,779,761


Information Technology - 11.8%
Communications Equipment - 0.0%##
Cisco Systems, Inc.		695		33,019

Electronic Equipment, Instruments & Components - 1.0%
Cognex Corp.		11,465		590,333
Halma plc (United Kingdom)		1,050		25,479
Hexagon AB - Class B (Sweden)		525		26,879
Keyence Corp. (Japan)		995		629,135


				1,271,826

IT Services - 4.6%
Capgemini SE (France)		75		8,455
International Business Machines Corp.		181		24,205
InterXion Holding N.V. (Netherlands)*		495		43,669
Keywords Studios plc (Ireland)		710		10,231
Mastercard, Inc. - Class A		7,905		2,188,183
Verra Mobility Corp.*		123,890		1,777,822
Visa, Inc. - Class A		9,925		1,775,186


				5,827,751

Semiconductors & Semiconductor Equipment - 2.5%
Applied Materials, Inc.		189		10,255
Broadcom, Inc.		70		20,500
Intel Corp.		730		41,267
KLA Corp.		56		9,466
Lam Research Corp.		32		8,673
Maxim Integrated Products, Inc.		95		5,573
Micron Technology, Inc.*		45,575		2,167,091
NVIDIA Corp.		4,665		937,758
Texas Instruments, Inc.		211		24,896


				3,225,479

Software - 3.7%
Dassault Systemes SE (France)		70		10,631
Microsoft Corp.		13,175		1,888,900
ServiceNow, Inc.*		11,280		2,789,093


				4,688,624

Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		65		3,632



BLENDED ASSET MAXIMUM SERIES

	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Information Technology (continued)
Technology Hardware, Storage & Peripherals (continued)
Western Digital Corp.		105	$	5,423


				9,055


Total Information Technology				15,055,754


Materials - 4.2%
Chemicals - 2.2%
Air Liquide S.A. (France)		220		29,251
Akzo Nobel N.V. (Netherlands)		10,883		1,003,341
Axalta Coating Systems Ltd.*		22,725		670,160
CF Industries Holdings, Inc.		20,695		938,518
Dow, Inc.		149		7,523
Eastman Chemical Co.		62		4,714
Givaudan S.A. (Switzerland)		5		14,690
LyondellBasell Industries N.V. - Class A		114		10,226
OCI N.V. (Netherlands)*		450		10,118
Orbia Advance Corp. S.A.B. de C.V. (Mexico)		14,400		31,171
Solvay S.A. (Belgium)		545		59,256


				2,778,968

Containers & Packaging - 0.8%
Crown Holdings, Inc.*		13,045		950,198
International Paper Co.		108		4,717


				954,915

Metals & Mining - 1.2%
First Quantum Minerals Ltd. (Zambia)		1,280		10,817
Freeport-McMoRan, Inc.		54,420		534,404
Lundin Mining Corp. (Chile)		57,415		289,887
Nucor Corp.		114		6,139
Southern Copper Corp. (Peru)		21,025		748,070


				1,589,317


Total Materials				5,323,200


Real Estate - 4.1%
Equity Real Estate Investment Trusts (REITS) - 4.1%
Acadia Realty Trust		215		6,016
Agree Realty Corp.		130		10,240
Alexandria Real Estate Equities, Inc.		50		7,936
American Campus Communities, Inc.		370		18,493
American Homes 4 Rent - Class A		1,280		33,882
American Tower Corp.		6,055		1,320,474
Americold Realty Trust		690		27,662
Apartment Investment & Management Co. - Class A		619		33,971





	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
AvalonBay Communities, Inc.		220	$	47,885
Boston Properties, Inc.		194		26,617
Brandywine Realty Trust		1,605		24,524
The British Land Co. plc (United Kingdom)		3,250		26,130
Camden Property Trust		220		25,161
Community Healthcare Trust, Inc.		415		20,094
Cousins Properties, Inc.		1,102		44,223
Crown Castle International Corp.		145		20,125
CubeSmart		195		6,182
Digital Realty Trust, Inc.		170		21,597
Douglas Emmett, Inc.		490		21,227
Equinix, Inc.		2,295		1,300,760
Equity LifeStyle Properties, Inc.		270		18,884
Equity Residential		380		33,691
Essential Properties Realty Trust, Inc.		847		21,734
Essex Property Trust, Inc.		84		27,479
Extra Space Storage, Inc.		75		8,420
Federal Realty Investment Trust		50		6,800
First Industrial Realty Trust, Inc.		310		13,054
Getty Realty Corp.		365		12,242
Healthcare Realty Trust, Inc.		545		18,950
Healthcare Trust of America, Inc. - Class A		370		11,470
Healthpeak Properties, Inc.		910		34,234
Hibernia REIT plc (Ireland)		6,400		9,965
Host Hotels & Resorts, Inc.		725		11,883
Independence Realty Trust, Inc.		1,000		15,400
Invitation Homes, Inc.		1,434		44,153
Jernigan Capital, Inc.		740		14,053
Kilroy Realty Corp.		89		7,470
Land Securities Group plc (United Kingdom)		2,180		26,554
Liberty Property Trust		330		19,493
Life Storage, Inc.		95		10,347
Mid-America Apartment Communities, Inc.		105		14,594
National Retail Properties, Inc.		365		21,502
National Storage Affiliates Trust		355		12,130
Omega Healthcare Investors, Inc.		345		15,194
Physicians Realty Trust		1,230		22,964
Plymouth Industrial REIT, Inc.		450		8,487
Prologis, Inc.		755		66,259
Public Storage		120		26,743
Realty Income Corp.		105		8,588
SBA Communications Corp.		5,665		1,363,282



BLENDED ASSET MAXIMUM SERIES	SHARES/
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Simon Property Group, Inc.		305	$	45,957
STAG Industrial, Inc.		405		12,571
STORE Capital Corp.		315		12,758
Sun Communities, Inc.		190		30,904
Sunstone Hotel Investors, Inc.		600		8,106
UDR, Inc.		527		26,482
UMH Properties, Inc.		440		6,569
Urban Edge Properties		800		16,888
Ventas, Inc.		388		25,259
VEREIT, Inc.		2,170		21,353
Vornado Realty Trust		130		8,532
Weingarten Realty Investors		525		16,658
Welltower, Inc.		354		32,104


				5,233,359

Real Estate Management & Development - 0.0%##
Ayala Land, Inc. (Philippines)		21,700		20,737
SM Prime Holdings, Inc. (Philippines)		36,055		27,683


				48,420


Total Real Estate				5,281,779


Utilities - 0.0%##
Electric Utilities - 0.0%##
Manila Electric Co. (Philippines)		1,810		12,070

Independent Power and Renewable Electricity Producers - 0.0%##
Aboitiz Power Corp. (Philippines)		18,900		14,879

Multi-Utilities - 0.0%##
Engie S.A. (France)		920		15,405
Veolia Environnement S.A. (France)		280		7,371


				22,776


Total Utilities				49,725


TOTAL COMMON STOCKS (Identified Cost $93,922,278)				104,533,523


CORPORATE BONDS - 2.6%

Non-Convertible Corporate Bonds - 2.6%
Communication Services - 0.6%
Diversified Telecommunication Services - 0.3%
AT&T, Inc., 4.25%, 3/1/2027		110,000		120,814
CenturyLink, Inc., 5.625%, 4/1/2020		5,000		5,062
Verizon Communications, Inc., 5.25%, 3/16/2037		150,000		188,937


				314,813




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Communication Services (continued)
Interactive Media & Services - 0.1%
Tencent Holdings Ltd. (China)¹, 3.975%, 4/11/2029		90,000	$	96,860

Media - 0.2%
Cablevision Systems Corp., 8.00%, 4/15/2020		5,000		5,125
Comcast Corp., 3.25%, 11/1/2039		100,000		101,382
Diamond Sports Group LLC - Diamond Sports Finance Co.¹, 6.625%, 8/15/2027		10,000		10,300
Discovery Communications LLC, 5.20%, 9/20/2047		120,000		131,227
Entercom Media Corp.¹, 7.25%, 11/1/2024		5,000		5,212
Townsquare Media, Inc.¹, 6.50%, 4/1/2023		5,000		4,950


				258,196

Wireless Telecommunication Services - 0.0%##
Sprint Communications, Inc., 7.00%, 8/15/2020		15,000		15,452
Sprint Corp., 7.25%, 9/15/2021		5,000		5,335
Sprint Corp., 7.125%, 6/15/2024		5,000		5,425


				26,212


Total Communication Services				696,081


Consumer Discretionary - 0.4%
Auto Components - 0.0%##
American Axle & Manufacturing, Inc., 6.25%, 4/1/2025		5,000		4,819
Techniplas LLC¹, 10.00%, 5/1/2020		5,000		4,225


				9,044

Diversified Consumer Services - 0.1%
GEMS MENASA Cayman Ltd. - GEMS Education Delaware LLC (United Arab Emirates)¹, 7.125%, 7/31/2026		25,000		25,906

Household Durables - 0.0%##
Ashton Woods USA LLC - Ashton Woods Finance Co.¹, 6.75%, 8/1/2025		5,000		5,025
LGI Homes, Inc.¹, 6.875%, 7/15/2026		10,000		10,350
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		10,000		10,150


				25,525



BLENDED ASSET MAXIMUM SERIES
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Internet & Direct Marketing Retail - 0.3%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		200,000	$	207,732
Booking Holdings, Inc., 3.60%, 6/1/2026		170,000		184,052
Photo Holdings Merger Sub, Inc.¹, 8.50%, 10/1/2026		10,000		8,801


				400,585

Specialty Retail - 0.0%##
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.¹, 12.25%, 11/15/2026		10,000		10,051
Staples, Inc.¹, 7.50%, 4/15/2026		10,000		10,402


				20,453


Total Consumer Discretionary				481,513


Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%## KeHE Distributors LLC - KeHE Finance Corp.¹, 8.625%, 10/15/2026		10,000		10,256


Energy - 0.4%
Energy Equipment & Services - 0.0%##
Nabors Industries, Inc., 5.50%, 1/15/2023		5,000		4,225
Shelf Drilling Holdings Ltd. (United Arab Emirates)¹, 8.25%, 2/15/2025		5,000		4,200


				8,425

Oil, Gas & Consumable Fuels - 0.4%
Antero Midstream Partners LP - Antero Midstream Finance Corp.¹, 5.75%, 3/1/2027		5,000		3,719
Antero Midstream Partners LP - Antero Midstream Finance Corp.¹, 5.75%, 1/15/2028		5,000		3,775
Bruin E&P Partners LLC¹, 8.875%, 8/1/2023		5,000		3,300
Calumet Specialty Products Partners LP - Calumet Finance Corp.¹, 11.00%, 4/15/2025		10,000		10,025
Energy Transfer Operating LP, 6.50%, 2/1/2042		80,000		95,816
Jonah Energy LLC - Jonah Energy Finance Corp.¹, 7.25%, 10/15/2025		10,000		2,800
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		90,000		116,345




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Lonestar Resources America, Inc.¹, 11.25%, 1/1/2023		5,000	$	3,500
NuStar Logistics LP, 6.75%, 2/1/2021		5,000		5,181
Rockies Express Pipeline LLC¹, 5.625%, 4/15/2020		10,000		10,168
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		130,000		149,272
Southwestern Energy Co.³, 6.20%, 1/23/2025		5,000		4,400
W&T Offshore, Inc.¹, 9.75%, 11/1/2023		5,000		4,688
The Williams Companies, Inc., 3.75%, 6/15/2027		80,000		83,412


				496,401


Total Energy				504,826


Financials - 0.6%
Banks - 0.5%
Bank of America Corp., 4.00%, 1/22/2025		160,000		170,659
Citigroup, Inc., 8.125%, 7/15/2039		60,000		98,704
Credit Suisse AG (Switzerland), 5.40%, 1/14/2020		160,000		161,037
JPMorgan Chase & Co.⁴, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		80,000		85,424
Santander Holdings USA, Inc., 4.50%, 7/17/2025		110,000		118,536


				634,360

Capital Markets - 0.1%
AG Merger Sub II, Inc.¹, 10.75%, 8/1/2027		5,000		4,950
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		10,000		10,400
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025		50,000		53,858


				69,208

Consumer Finance - 0.0%##
Navient Corp., 5.00%, 10/26/2020		10,000		10,185
SLM Corp., 5.125%, 4/5/2022		10,000		10,325


				20,510

Diversified Financial Services - 0.0%##
Fidelity & Guaranty Life Holdings, Inc.¹, 5.50%, 5/1/2025		5,000		5,338



BLENDED ASSET MAXIMUM SERIES
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Financials (continued)
Diversified Financial Services (continued)
Global Aircraft Leasing Co. Ltd. (Cayman Islands)^1,5, 6.50%, 9/15/2024		15,000	$	15,352
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)¹, 10.50%, 6/1/2024		10,000		9,725


				30,415

Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.¹, 7.00%, 11/15/2025		10,000		9,150
Radian Group, Inc., 4.875%, 3/15/2027		10,000		10,375


				19,525


Total Financials				774,018


Health Care - 0.1%
Health Care Providers & Services - 0.1%
HCA, Inc., 4.125%, 6/15/2029		80,000		84,752

Industrials - 0.2%
Commercial Services & Supplies - 0.0%##
The ADT Security Corp., 6.25%, 10/15/2021		5,000		5,331
Prime Security Services Borrower LLC - Prime Finance, Inc.¹, 5.75%, 4/15/2026		5,000		5,124
Stericycle, Inc.¹, 5.375%, 7/15/2024		10,000		10,400


				20,855

Construction & Engineering - 0.0%##
HC2 Holdings, Inc.¹, 11.50%, 12/1/2021		5,000		4,556
Tutor Perini Corp.¹, 6.875%, 5/1/2025		10,000		9,974


				14,530

Industrial Conglomerates - 0.1%
General Electric Co.^4,6, (3 mo. LIBOR US + 3.330%), 5.00%		110,000		106,012

Marine - 0.0%##
American Tanker, Inc. (Norway)¹, 9.25%, 2/22/2022		15,000		15,084
Borealis Finance LLC¹, 7.50%, 11/16/2022		15,000		14,100


				29,184




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Trading Companies & Distributors - 0.1%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 4.45%, 10/1/2025		110,000	$	119,359
Fortress Transportation & Infrastructure Investors LLC¹, 6.50%, 10/1/2025		10,000		10,100


				129,459


Total Industrials				300,040


Information Technology - 0.0%##
Communications Equipment - 0.0%##
Hughes Satellite Systems Corp., 5.25%, 8/1/2026		10,000		10,712


Materials - 0.1%
Chemicals - 0.0%##
CF Industries, Inc., 7.125%, 5/1/2020		5,000		5,120
Olin Corp., 5.625%, 8/1/2029		5,000		5,191


				10,311

Containers & Packaging - 0.0%##
ARD Securities Finance S.A.R.L (Luxembourg)^1,5, 8.75%, 1/31/2023		5,218		5,427
Berry Global, Inc.¹, 4.50%, 2/15/2026		5,000		5,031
Mauser Packaging Solutions Holding Co.¹, 7.25%, 4/15/2025		5,000		4,781


				15,239

Metals & Mining - 0.1%
Infrabuild Australia Pty Ltd. (Australia)¹, 12.00%, 10/1/2024		10,000		10,191
Mountain Province Diamonds, Inc. (Canada)¹, 8.00%, 12/15/2022		10,000		9,700
Northwest Acquisitions ULC - Dominion Finco, Inc.¹, 7.125%, 11/1/2022		10,000		5,000
Southern Copper Corp. (Peru), 5.375%, 4/16/2020		120,000		121,481
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.¹, 7.50%, 6/15/2025 .		5,000		4,250


				150,622


Total Materials				176,172



BLENDED ASSET MAXIMUM SERIES	PRINCIPAL AMOUNT²/		VALUE
	SHARES		(NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Real Estate - 0.2%
Equity Real Estate Investment Trusts (REITS) - 0.2%
American Tower Corp., 3.80%, 8/15/2029		120,000	$	128,284
Crown Castle International Corp., 3.10%, 11/15/2029		120,000		121,938


				250,222

Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.¹, 7.875%, 11/15/2025		10,000		9,452
Forestar Group, Inc.¹, 8.00%, 4/15/2024		5,000		5,375


				14,827


Total Real Estate				265,049


TOTAL CORPORATE BONDS (Identified Cost $3,195,466)				3,303,419


MUTUAL FUNDS - 0.3%

iShares MSCI India ETF		4,115		142,585
SPDR Gold Shares*		1,430		203,675
VanEck Vectors Gold Miners ETF		3,766		106,013


TOTAL MUTUAL FUNDS (Identified Cost $418,406)				452,273


U.S. TREASURY SECURITIES - 13.2%

U.S. Treasury Bonds - 1.6%
U.S. Treasury Bond, 2.50%, 2/15/2045		825,000		877,658
U.S. Treasury Bond, 3.00%, 5/15/2047		785,000		919,186
U.S. Treasury Inflation Indexed Bond, 0.75%, 2/15/2042		252,288		265,101


Total U.S. Treasury Bonds (Identified Cost $1,969,744)				2,061,945

ADR - American Depositary Receipt

ETF - Exchange-traded fund

LIBOR - London Interbank Offered Rate



	PRINCIPAL AMOUNT²/		VALUE
	SHARES		(NOTE 2)

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes - 11.6%
U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020		1,138,287	$	1,132,195
U.S. Treasury Note, 2.625%, 5/15/2021		1,210,000		1,228,906
U.S. Treasury Note, 2.50%, 5/15/2024		2,245,000		2,339,711
U.S. Treasury Note, 2.00%, 8/15/2025		6,198,000		6,342,055
U.S. Treasury Note, 1.625%, 5/15/2026		2,480,000		2,483,972
U.S. Treasury Note, 2.375%, 5/15/2027		1,143,000		1,205,061


Total U.S. Treasury Notes (Identified Cost $14,465,485)				14,731,900


TOTAL U.S. TREASURY SECURITIES (Identified Cost $16,435,229)				16,793,845


U.S. GOVERNMENT SECURITIES - 1.0%

U.S. Treasury Bill - 1.0%
U.S. Treasury Bill⁷, 1.62%, 5/21/2020 (Identified Cost $1,248,688)		1,260,000		1,249,148


SHORT-TERM INVESTMENT - 1.1%

Dreyfus Government Cash Management, Institutional Shares, 1.73%⁸ (Identified Cost $1,374,909)		1,374,909		1,374,909


TOTAL INVESTMENTS - 100.2% (Identified Cost $116,594,976)				127,707,117
LIABILITIES, LESS OTHER ASSETS - (0.2%)				(198,417	)


NET ASSETS - 100%			$	127,508,700

Blended Asset Conservative Series, Blended Asset Moderate Series, Blended Asset Extended Series and Blended Asset Maximum Series (each the “Series”) are no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company.

The Series are asset allocation funds. Each invests in a combination of stocks, bonds and cash and is managed according to specific objectives. The objectives are as follows: Blended Asset Conservative Series - primary objective is to provide current income and its secondary objectives are to provide preservation of capital and long-term growth of capital; secondary objective is to provide income and long-term growth of capital. Blended Asset Moderate Series - equal emphasis on long-term growth of capital and preservation of capital. Blended Asset Extended Series - primary objective is long-term growth of capital; secondary objective is preservation of capital. Blended Asset Maximum Series - primary objective is long-term growth of capital.

The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). The Series are offered exclusively to other funds managed by the Advisor. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2019, 10 billion shares have been designated in total among 34 series, of which 100 million have been designated in each of the Series for Class R6 common stock.

The following is a summary of significant accounting policies followed by the Series. Each Series is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 - Investment Companies, which is part of accounting principles generally accepted in the United States of America (“GAAP”).

Portfolio securities, including domestic equities, foreign equities, warrants and options, listed on an exchange other than the NASDAQ Stock Market are valued at the latest quoted sales price of the exchange on which the security is primarily traded. Securities not traded on valuation date or securities not listed on an exchange are valued at the latest quoted bid price provided by the Fund’s pricing service. Securities listed on the NASDAQ Stock Market are valued in accordance with the NASDAQ Official Closing Price.

Debt securities, including government bonds, foreign bonds, asset-backed securities, structured notes, supranational obligations, sovereign bonds, corporate bonds and mortgage-backed securities will normally be valued on the basis of evaluated bid prices provided directly by an independent pricing service. The pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated defaulted rates, coupon rates, anticipated timing of principal repayments, underlying collateral and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Certain investments in securities held by the Series may be valued on a basis of a price provided directly by a principal market maker. These prices may differ from the value that would have been used had a broader market for securities existed.

Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measure fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively

thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.

Securities for which representative valuations or prices are not available from the Series’ pricing service may be valued at fair value as determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”). Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. In accordance with the procedures approved by the Board, the values of certain securities trading outside the U.S. were adjusted following the close of local trading using a factor from a third party vendor. The third party vendor uses statistical analyses and quantitative models, which consider among other things subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, to determine the factors which are used to adjust local market prices. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities. It is the Fund’s policy to classify each foreign equity security where a factor from a third party vendor is provided as a Level 2 security.

The following is a summary of the valuation levels used for major security types as of October 31, 2019 in valuing the Series’ assets or liabilities carried at fair value:


	BLENDED ASSET CONSERVATIVE SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Financials	$	3,181,626		$	—		$	3,181,626		$	—
Health Care		466,138			—			466,138			—
Industrials		1,741,456			—			1,741,456			—
Information Technology		16,069			—			16,069			—
Materials		659,170			—			659,170			—
Real Estate		1,287,193			—			1,287,193			—
Asset-backed securities		3,556,315			—			3,556,315			—
Commercial mortgage-backed securities		5,971,685			—			5,971,685			—
Foreign government bonds		1,115,510			—			1,115,510			—
Mutual funds		304,369			304,369			—			—
Short-Term Investment		843,815			843,815			—			—

Total assets		79,934,998			20,172,436			59,762,562			—

Liabilities:
Other financial instruments*:
Equity contracts		(12,928	)		(12,728	)		(200	)		—


Total liabilities		(12,928	)		(12,728	)		(200	)		—

Total	$	79,922,070		$	20,159,708		$	59,762,362		$	—


	BLENDED ASSET MODERATE SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Assets:
Equity securities:
Communication Services	$	5,465,409		$	3,952,151		$	1,513,258		$	—
Consumer Discretionary		3,731,505			2,776,948			954,557			—
Consumer Staples		5,449,200			3,244,163			2,205,037			—
Energy		1,115,741			984,904			130,837			—
Financials		3,551,896			3,319,360			232,536			—
Health Care		6,419,483			5,323,033			1,096,450			—
Industrials		442,388			214,181			228,207			—
Information Technology		6,443,158			6,398,150			45,008			—
Materials		112,784			44,487			68,297			—
Real Estate		2,903,535			2,833,935			69,600			—
Utilities		28,312			—			28,312			—
Debt securities:
U.S. Treasury and other U.S. Government agencies		35,609,209			—			35,609,209			—
Corporate debt:
Communication Services		2,973,711			—			2,973,711			—
Consumer Discretionary		1,887,428			—			1,887,428			—
Consumer Staples		10,256			—			10,256			—
Energy		2,292,895			—			2,292,895			—
Financials		3,085,876			—			3,085,876			—
Health Care		434,356			—			434,356			—
Industrials		1,143,719			—			1,143,719			—
Information Technology		21,425			—			21,425			—
Materials		656,489			—			656,489			—
Real Estate		672,857			—			672,857			—
Asset-backed securities		4,364,291			—			4,364,291			—
Commercial mortgage-backed securities		4,431,659			—			4,431,659			—


	BLENDED ASSET MODERATE SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Foreign government bonds	$	708,434		$	—		$	708,434		$	—
Mutual funds		249,382			249,382			—			—
Short-Term Investment		1,119,310			1,119,310			—			—

Total assets		95,324,708			30,460,004			64,864,704			—

Liabilities:
Other financial instruments*:
Equity contracts		(26,520	)		(26,080	)		(440	)		—


Total liabilities		(26,520	)		(26,080	)		(440	)		—


Total	$	95,298,188		$	30,433,924		$	64,864,264		$	—


	BLENDED ASSET EXTENDED SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Assets:
Equity securities:
Communication Services	$	13,096,857		$	9,368,094		$	3,728,763		$	—
Consumer Discretionary		8,748,798			6,506,637			2,242,161			—
Consumer Staples		12,750,300			7,461,973			5,288,327			—
Energy		2,699,992			2,396,343			303,649			—
Financials		7,999,285			7,450,107			549,178			—
Health Care		15,242,478			12,609,013			2,633,465			—
Industrials		1,081,661			496,223			585,438			—
Information Technology		15,285,399			15,115,617			169,782			—
Materials		297,536			105,643			191,893			—
Real Estate		6,231,970			6,075,443			156,527			—
Utilities		65,123			—			65,123			—
Debt securities:
U.S. Treasury and other U.S. Government agencies		53,023,798			—			53,023,798			—
Corporate debt:
Communication Services		3,786,744			—			3,786,744			—
Consumer Discretionary		2,572,647			—			2,572,647			—
Consumer Staples		25,641			—			25,641			—
Energy		2,876,379			—			2,876,379			—
Financials		3,916,470			—			3,916,470			—
Health Care		550,891			—			550,891			—
Industrials		1,475,444			—			1,475,444			—
Information Technology		32,138			—			32,138			—
Materials		913,407			—			913,407			—
Real Estate		900,430			—			900,430			—
Asset-backed securities		5,721,456			—			5,721,456			—
Commercial mortgage-backed securities		5,801,309			—			5,801,309			—
Foreign government bonds		828,450			—			828,450			—
Mutual funds		586,494			586,494			—			—
Short-Term Investment		2,656,669			2,656,669			—			—

Total assets	$	169,167,766		$	70,828,256		$	98,339,510		$	—


	BLENDED ASSET EXTENDED SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Liabilities:
Other financial instruments*:
Equity contracts	$	(64,104	)	$	(63,024	)	$	(1,080	)	$	—


Total liabilities		(64,104	)		(63,024	)		(1,080	)		—


Total	$	169,103,662		$	70,765,232		$	98,338,430		$	—


	BLENDED ASSET MAXIMUM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Assets:
Equity securities:
Communication Services	$	13,262,594		$	10,304,769		$	2,957,825		$	—
Consumer Discretionary		15,253,275			13,879,589			1,373,686			—
Consumer Staples		17,036,461			12,253,581			4,782,880			—
Energy		4,066,368			3,834,146			232,222			—
Financials		13,086,706			10,308,332			2,778,374			—
Health Care		14,337,900			12,825,325			1,512,575			—
Industrials		1,779,761			1,316,284			463,477			—
Information Technology		15,055,754			14,344,944			710,810			—
Materials		5,323,200			4,206,544			1,116,656			—
Real Estate		5,281,779			5,170,710			111,069			—
Utilities		49,725			—			49,725			—
Debt securities:
U.S. Treasury and other U.S. Government agencies		18,042,993			—			18,042,993			—
Corporate debt:
Communication Services		696,081			—			696,081			—
Consumer Discretionary		481,513			—			481,513			—
Consumer Staples		10,256			—			10,256			—
Energy		504,826			—			504,826			—
Financials		774,018			—			774,018			—
Health Care		84,752			—			84,752			—
Industrials		300,040			—			300,040			—
Information Technology		10,712			—			10,712			—
Materials		176,172			—			176,172			—
Real Estate		265,049			—			265,049			—
Mutual funds		452,273			452,273			—			—
Short-Term Investment		1,374,909			1,374,909			—			—

Total assets	$	127,707,117		$	90,271,406		$	37,435,711		$	—

^#Includes certain foreign equity securities for which a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading.

There were no Level 3 securities held by any of the Blended Asset Series as of October 31, 2018 and October 31, 2019.

rather than the contractual maturity date. The Series will adopt and apply ASU 2017-08 on a modified retrospective basis through a cumulative-effect adjustment on November 1, 2019. As a result of the adoption of ASU 2017-08, the amortized cost basis of investments will be reduced and unrealized appreciation of investments will be increased by immaterial amounts, and there will be no impact on net assets or overall results of operations.

Income, expenses (other than class specific expenses), and realized and unrealized gains and losses are prorated among the classes based on the relative net assets of each class. Class specific expenses are directly charged to that Class.

The Series use the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.

The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series do not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the fair value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.

The Series may write (sell) or buy call or put options on securities and other financial instruments. When a Series writes a call, the Series gives the purchaser the right to buy the underlying security from the Series at the price specified in the option contract (the “exercise price”) at any time during the option period. When a Series writes a put option, the Series gives the purchaser the right to sell to the Series the underlying security at the exercise price at any time during the option period. The Series will only write options on a “covered basis.” This means that the Series will own the underlying security when the Series writes a call or the Series will put aside cash, U.S. Government securities, or other liquid assets in an amount not less than the exercise price at all times the put option is outstanding.

When a Series writes an option, an amount equal to the premium received is reflected as a liability and is subsequently marked-to-market to reflect the current market value of the option. The Series, as a writer of an option, has no control over whether the underlying security or financial instrument may be sold (call) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the security or financial instrument underlying the written option. There is a risk that the Series may not be able to enter into a closing transaction because of an illiquid market.

investment and subsequently marked-to-market to reflect the current market value of the option. The risk associated with purchasing options is limited to the premium paid.

When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires (or a Series enters into a closing transaction), the Series realizes a gain or loss on the option to the extent of the premium received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premium paid or received).

The measurement of the risks associated with option contracts is meaningful only when all related and offsetting transactions are considered. The counterparty for the Series’ written options contracts outstanding during the year ended October 31, 2019 is Pershing LLC, a BNY Mellon Company.

The following table presents the present value of derivatives held at October 31, 2019 as reflected on the Statement of Assets and Liabilities, and the effect of the derivative instruments on the Statement of Operations:


BLENDED ASSET MODERATE SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location

Equity contracts	Options written, at value	$ (26,520	)

STATEMENT OF OPERATIONS
Derivative	Location of Gain or (Loss) on Derivatives	Realized Gain (Loss) on Derivatives

Equity contracts	Net realized gain (loss) on options written	$ 145,547
Derivative	Location of Appreciation (Depreciation) on Derivatives	Unrealized Appreciation (Depreciation) on Derivatives

Equity contracts	Net change in unrealized appreciation (depreciation) on options written	$ 3,613

BLENDED ASSET EXTENDED SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location

Equity contracts	Options written, at value	$ (64,104	)

STATEMENT OF OPERATIONS
Derivative	Location of Gain or (Loss) on Derivatives	Realized Gain (Loss) on Derivatives

Equity contracts	Net realized gain (loss) on options written	$ 358,796
Derivative	Location of Appreciation (Depreciation) on Derivatives	Unrealized Appreciation (Depreciation) on Derivatives

Equity contracts	Net change in unrealized appreciation (depreciation) on options written	$ 8,856

The average month-end balances for the year ended October 31, 2019, the period in which such derivatives were outstanding, were as follows:

Each Series may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of

a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e. loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a Series may subsequently have to reinvest the proceeds at lower interest rates. If a Series has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

Each Series may invest in mortgage-backed securities (“MBS” or pass-through certificates) that represent an interest in a pool of specific underlying mortgage loans and entitle a Series to the periodic payments of principal and interest from those mortgages. MBS may be issued by government agencies or corporations, or private issuers. Most MBS issued by government agencies are guaranteed; however, the degree of protection differs based on the issuer. For MBS there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury. Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Each Series may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.

Each Series may purchase securities on a when-issued basis or forward commitment. These transactions involve a commitment by the Series to purchase securities for a predetermined price with payment and delivery taking place beyond the customary settlement period. When such purchases are outstanding, the Series will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining their net asset value. The Series may sell the when-issued securities before they are delivered, which may result in a capital gain or loss. No such investments were held by the Series on October 31, 2019.

In connection with their ability to purchase or sell securities on a forward commitment basis, the Series may enter into forward roll transactions principally using To Be Announced (TBA) securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement to repurchase substantially similar (same type, coupon and maturity) securities on a specified future date. Risks of entering into forward roll transactions include the potential inability of the

Securities Purchased on a When-Issued Basis or Forward Commitment (continued)

counterparty to meet the terms of the agreement; the potential of the Series to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-backed pools. During the roll period, the Series forgoes principal and interest paid on the securities. The Series accounts for such dollar rolls as purchases and sales. No such investments were held by the Series on October 31, 2019.

The Series may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Series may not fully recoup its initial investment in IOs.

Restricted securities are purchased in private placement transactions, are not registered under the Securities Act of 1933, as amended, and may have contractual restrictions on resale. Information regarding restricted securities is included at the end of each applicable Series’ Investment Portfolio.

A security may be considered illiquid if so deemed in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board. Securities that are illiquid are marked with the applicable footnote at the end of each applicable Series’ Investment Portfolio. No such investments were held by the Series on October 31, 2019.

Each Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series are not subject to federal income tax or excise tax to the extent that each Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.

Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2019, the Series have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

The Series file income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the period ended October 31, 2017 and the years ended October 31, 2018 and October 31, 2019. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which they invest, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax.

Distributions to shareholders of net investment income are made semi-annually. Distributions of net realized gains are made annually. An additional distribution may be necessary to avoid taxation of a Series. Distributions are recorded on the ex-dividend date.

The Advisor has contractually agreed to waive its management fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series, at no more than the amounts presented in the following table, of average daily net assets each year.

For the year ended October 31, 2019, the Advisor waived the following amounts which are included as a reduction of expenses on the Statements of Operations:

Effective March 1, 2019, these contractual waivers are expected to continue indefinitely and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor’s agreement to limit the Series’ operating expenses is limited to direct operating expenses and, therefore, does not apply to acquired fund fees and expenses, which are indirect expenses incurred by the Series through their investments in other investment companies. The Advisor may receive from a Series the difference between the Series’ total direct annual fund operating expenses and the Series’ contractual expense limit to recoup all or a portion of its prior fee waivers or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment. At October 31, 2019, the Advisor is eligible to recoup $112,080, $135,813, $129,515, and $108,804 from Blended Asset Conservative Series, Blended Asset Moderate Series, Blended Asset Extended Series and Blended Asset Maximum Series, respectively. For the year ended October 31, 2019, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

For the year ended ended October 31, 2019, purchases and sales of securities, including paydowns and other than short-term securities, were as follows:


BLENDED CONSERVATIVE SERIES CLASS R6:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		988,490		$	10,772,756			3,757,705		$	40,809,799
Repurchased		(5,987,749	)		(63,006,339	)		(1,142,825	)		(12,463,628	)


Total		(4,999,259	)	$	(52,233,583	)		2,614,880		$	28,346,171


BLENDED ASSET MODERATE SERIES CLASS R6:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		2,049,197		$	21,783,539			4,058,746		$	43,857,457
Repurchased		(4,805,589	)		(49,928,608	)		(3,865,514	)		(42,051,831	)


Total		(2,756,392	)	$	(28,145,069	)		193,232		$	1,805,626


BLENDED ASSET EXTENDED SERIES CLASS R6:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		3,645,933		$	37,740,778			8,029,832		$	83,952,516
Repurchased		(9,056,132	)		(90,140,575	)		(7,806,382)			(82,399,822	)


Total		(5,410,199	)	$	(52,399,797	)		223,450		$	1,552,694


BLENDED ASSET MAXIMUM SERIES CLASS R6:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		3,226,874		$	37,659,088			4,814,424		$	58,687,962
Repurchased		(5,081,020	)		(55,088,236	)		(5,871,326	)		(72,807,968	)


Total		(1,854,146	)	$	(17,429,148	)		(1,056,902	)	$	(14,120,006	)

At October 31, 2019, the Target Income Series, another series of the Fund, owned 98.7% of Blended Asset Conservative Series. The Target 2020 Series and Target 2025 Series, other series of the Fund, owned 56.5%, and 43.3%, respectively, of Blended Asset Moderate Series. The Target 2025 Series, The Target 2030 Series, Target 2035 Series, and Target 2040 Series, other series of the Fund, owned 16.7%, 44.9%, 19.9% and 13.7%, respectively, of Blended Asset Extended Series. The Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series, and Target 2060 Series, other series of the Fund, owned 11.6%, 22.8%, 16.6%, 25.3%, and, 10.4%, respectively, of Blended Asset Maximum Series. Investment activities of these shareholders may have a material effect on the respective Series.

The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. At October 31, 2019, Blended Asset Conservative Series, Blended Asset Moderate Series and Blended Asset Extended Series invested in options contracts (equity risk).

The Series may invest in a loan assignment of all or a portion of the loans. A Series has direct rights against the borrower on a loan when it purchases an assignment; however, the Series’ rights may be more limited than the lender from which it acquired the assignment and the Series may be able to enforce its rights only through an administrative agent. Loan assignments are vulnerable to market conditions and may become illiquid due to economic conditions or other events may reduce the demand for loan assignments and certain loan assignments which were liquid when purchased may become illiquid. At October 31, 2019, none of the Series held any loan assignments.

The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments in the timing of the recognition on net investment income or gains and losses, including foreign currency gains and losses, losses deferred due to wash sales, investments in passive foreign investment companies (PFICs) and real estate investment trusts. Each Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. Any such reclassifications are not reflected in the financial highlights.

At October 31, 2019, Blended Asset Conservative Series, Blended Asset Moderate Series, Blended Asset Extended Series and Blended Asset Maximum Series had net short-term capital loss carryforwards of $806,654, $0, $7,906 and $1,656,726 and long-term capital loss carryforwards of $734,995, $887,050, $1,581,128 and $868,737, respectively, which may be carried forward indefinitely.

To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Blended Asset Conservative Series, Blended Asset Moderate Series, Blended Asset Extended Series and Blended Asset Maximum Series

We have audited the accompanying statements of assets and liabilities, including the investment portfolios, of Blended Asset Conservative Series, Blended Asset Moderate Series, Blended Asset Extended Series and Blended Asset Maximum Series (four of the series constituting Manning & Napier Fund, Inc., hereafter collectively referred to as the “Funds”) as of October 31, 2019, the related statements of operations for the year ended October 31, 2019, the statements of changes in net assets for each of the two years in the period ended October 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

We have served as the auditor of one or more investment companies in Manning & Napier Mutual Funds since 1992.

All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.

For federal income tax purposes, each of the Series reports for the current fiscal year the amount disclosed below or, if different, the maximum amount allowable under the tax law as qualified dividend income (“QDI”).

For corporate shareholders, the percentage of investment income (dividend income plus short-term gain, if any) that qualifies for the dividends received deduction (DRD) for the current fiscal year is as follows:

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30^th is available, without charge, upon request:

The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or quarterly statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.

To provide capital growth and manage risk for investors planning to retire (or meet another investment goal) in or around the year indicated in the fund’s name.

The Target Series include eleven distinct mutual funds, each of which is managed to a designated target date. The portfolios of each Series are strategically allocated to become increasingly conservative as the specified target date approaches.

Global equity and fixed income markets posted strong positive returns for the twelve-month period ending October 31, 2019. Over the one year period, equities outperformed fixed income markets, and within stocks, US equities outperformed international markets. With respect to equities, large-cap stocks outperformed small- and mid-cap stocks, while growth stocks outperformed their value counterparts. On the fixed income side, corporate bonds experienced the highest returns from a sector perspective, while longer dated bonds were the highest returning segment of the market from a maturity perspective as a result of falling interest rates.

Each of the Target Date Series Class K shares delivered positive returns over the period, and, with the exception of the Income through 2025 vintages, outperformed their respective blended benchmarks.

Among the largest contributors to relative returns (i.e., returns compared to the benchmark) was stock selection in Materials, Health Care, Consumer Staples, Information Technology, and Real Estate, as well as from an overweight to Real Estate and underweight to Energy. Additionally, selection within Consumer Discretionary was a large contributor to outperformance for the more equity-oriented vintages. Underperformance for the more fixed-income oriented vintages was largely attributable to positioning within the fixed income portion of the portfolio when compared to the benchmark. Specifically, a shorter duration in a period where interest rates generally fell.

Each Manning & Napier Fund, Inc. Target Series is invested in one or two of four proprietary risk-based funds based on the Target Series becoming increasingly conservative over time. Because the underlying funds invest in both stocks and bonds, the value of your investment will fluctuate in response to stock market movements and changes in interest rates. Investing in target date funds will also involve a number of other risks, including issuer-specific risk, foreign investment risk, and small-cap/mid-cap risk, as the underlying investments change over time. Investments in options and futures, like all derivatives, can be highly volatile and involve risks in addition to the risks of the underlying instrument on which the derivative is based, such as counterparty, correlation and liquidity risk. Also, the use of leverage increases exposure to the market and may magnify potential losses. Principal value is not guaranteed at any time, including at the target date (the approximate year when an investor plans to stop contributions and start periodic withdrawals).

The following graph compares the value of a $10,000 investment in the Target Income Series - Class K for the ten years ended October 31, 2019 to the S&P Target Date Retirement Income Index and the Income Composite Benchmark.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.57% for Class K, 0.79% for Class R and 0.44% for Class I for the year ended October 31, 2019.

³The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. Index returns assume daily reinvestment of dividends. Beginning 06/ 01/2017, the asset class exposure for each index is represented by indices and returns do not reflect any fees or expenses. Prior to 06/01/2017, the asset class exposure for each index is represented by exchange traded funds (ETFs) and returns are net of ETF expenses. Index returns provided by Bloomberg. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. All such content Copyright © 2017 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

⁴The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000^® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Bloomberg Barclays U.S. Aggregate Bond Index (BAB) and/or Bloomberg Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS

is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the Composite Benchmark. Performance shown is from the first of the month following the corresponding Fund’s inception date.

The following graph compares the value of a $10,000 investment in the Target 2015 Series - Class K from its inception² (6/25/12) to present (10/31/19) to the S&P Target Date 2015 Index and the 2015 Composite Benchmark.

²Performance numbers for the Series and the S&P Target Date Index are calculated from June 25, 2012, the Series’ inception date. Performance numbers for the Target Composite Benchmark are calculated from June 30, 2012.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 11.05% for Class K, 11.32% for Class R and 10.82% for Class I for the year ended October 31, 2019.

⁴The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. Index returns assume daily reinvestment of dividends. Beginning 06/01/2017, the asset class exposure for each index is represented by indices and returns do not reflect any fees or expenses. Prior to 06/01/2017, the asset class exposure for each index is represented by exchange traded funds (ETFs) and returns are net of ETF expenses. Index returns provided by Bloomberg. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. All such content Copyright © 2017 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

MSCI ACWI ex USA Index (ACWIxUS), and Bloomberg Barclays U.S. Aggregate Bond Index (BAB) and/or Bloomberg Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the Composite Benchmark. Performance shown is from the first of the month following the corresponding Fund’s inception date.

The following graph compares the value of a $10,000 investment in the Target 2020 Series - Class K for the ten years ended October 31, 2019 to the S&P Target Date 2020 Index and the 2020 Composite Benchmark.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.67% for Class K, 0.87% for Class R and 0.52% for Class I for the year ended October 31, 2019.

³The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. Index returns assume daily reinvestment of dividends. Beginning 06/01/2017, the asset class exposure for each index is represented by indices and returns do not reflect any fees or expenses. Prior to 06/01/2017, the asset class exposure for each index is represented by exchange traded funds (ETFs) and returns are net of ETF expenses. Index returns provided by Bloomberg. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. All such content Copyright © 2017 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

The following graph compares the value of a $10,000 investment in the Target 2025 Series - Class K from its inception² (6/25/12) to present (10/31/19) to the 2025 Composite Benchmark, and S&P Target Date 2025 Index.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.66% for Class K, 0.90% for Class R and 0.54% for Class I for the year ended October 31, 2019.

⁴The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. Index returns assume daily reinvestment of dividends. Beginning 06/ 01/2017, the asset class exposure for each index is represented by indices and returns do not reflect any fees or expenses. Prior to 06/01/2017, the asset class exposure for each index is represented by exchange traded funds (ETFs) and returns are net of ETF expenses. Index returns provided by Bloomberg. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. All such content Copyright ^© 2017 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

The following graph compares the value of a $10,000 investment in the Target 2030 Series - Class K for the ten years ended October 31, 2019 to the 2030 Composite Benchmark and S&P Target Date 2030 Index.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.65% for Class K, 0.83% for Class R and 0.47% for Class I for the year ended October 31, 2019.

The following graph compares the value of a $10,000 investment in the Target 2035 Series - Class K from its inception² (6/25/12) to present (10/31/19) to the 2035 Composite Benchmark and S&P Target Date 2035 Index.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.86% for Class K, 1.08% for Class R and 0.72% for Class I for the year ended October 31, 2019.

⁴The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. Index returns assume daily reinvestment of dividends. Beginning 06/ 01/2017, the asset class exposure for each index is represented by indices and returns do not reflect any fees or expenses. Prior to 06/01/2017, the asset class exposure for each index is represented by exchange traded funds (ETFs) and returns are net of ETF expenses. Index returns provided by Bloomberg. S&P Dow Jones Indices LLC, a subsidiary of the McGraw Hill Financial, Inc., is the publisher of various index based data products and services and has licensed certain of its products and services for use by Manning & Napier. All such content Copyright © 2017 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

MSCI ACWI ex USA Index (ACWIxUS), and Bloomberg Barclays U.S. Aggregate Bond Index (BAB) and/or Bloomberg Barclays U.S. Intermediate Aggregate Bond Index (BIAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 24 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the Composite Benchmark. Performance shown is from the first of the month following the corresponding Fund’s inception date.

The following graph compares the value of a $10,000 investment in the Target 2040 Series - Class K for the ten years ended October 31, 2019 to the S&P Target Date 2040 Index and the 2040 Composite Benchmark.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.81% for Class K, 0.99% for Class R and 0.61% for Class I for the year ended October 31, 2019.

The following graph compares the value of a $10,000 investment in the Target 2045 Series - Class K from its inception² (6/25/12) to present (10/31/19) to the S&P Target Date 2045 Index and the 2045 Composite Benchmark.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.27% for Class K, 1.48% for Class R and 1.12% for Class I for the year ended October 31, 2019.

⁴The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. Index returns assume daily reinvestment of dividends. Beginning 06/01/2017, the asset class exposure for each index is represented by indices and returns do not reflect any fees or expenses. Prior to 06/01/2017, the asset class exposure for each index is represented by exchange traded funds (ETFs) and returns are net of ETF expenses. Index returns provided by Bloomberg. S&P Dow Jones Indices LLC, a division of S&P Global Inc., is the publisher of various index based data products and services, certain of which have been licensed for use to Manning & Napier. All such content Copyright ^© 2019 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Data provided is not a representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

⁵The Target Composite Benchmark represents the performance of the target date fund’s asset classes according to their respective weightings, as adjusted over time to reflect the target date fund’s increasingly conservative asset allocations. The following indices are used to calculate the Target Composite Benchmarks: Russell 3000^® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Bloomberg Barclays U.S. Aggregate Bond Index (BAB) and/or Bloomberg Barclays U.S. Intermediate Aggregate Bond Index (BIAB).

Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB and BIAB are both unmanaged, market value-weighted indices of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities. BAB includes maturities of one year or more; BIAB includes maturities of greater than one year but less than ten years. BAB and BIAB returns provided by Interactive Data. Indices returns do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the target date fund’s asset allocation will vary over time, the composition of the target date portfolio may not match the composition of the comparative Target Composite Benchmark. Mid-month performance is not available for the Composite Benchmark. Performance shown is from the first of the month following the corresponding Fund’s inception date.

The following graph compares the value of a $10,000 investment in the Target 2050 Series - Class K for the ten years ended October 31, 2019 to the S&P Target Date 2050 Index and the 2050 Composite Benchmark.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.15% for Class K, 1.32% for Class R and 0.95% for Class I for the year ended October 31, 2019.

³The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. Historical returns for the S&P Target Date 2050 Index prior to 05/31/2011 (the index launch date) are identical to the returns of the S&P Target Date 2045 Index, the closest dated target date index as of the launch date. Index returns assume daily reinvestment of dividends. Beginning 06/01/2017, the asset class exposure for each index is represented by indices and returns do not reflect any fees or expenses. Prior to 06/01/2017, the asset class exposure for each index is represented by exchange traded funds (ETFs) and returns are net of ETF expenses. Index returns provided by Bloomberg. S&P Dow Jones Indices LLC, a division of S&P Global Inc., is the publisher of various index based data products and services, certain of which have been licensed for use to Manning & Napier. All such content Copyright ^© 2019 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Data provided is not a representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

The following graph compares the value of a $10,000 investment in the Target 2055 Series - Class K from its inception² (6/25/12) to present (10/31/19) to the S&P Target Date 2055 Index and the 2055 Composite Benchmark.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 2.17% for Class K, 2.35% for Class R and 1.98% for Class I for the year ended October 31, 2019.

⁴The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. Index returns assume daily reinvestment of dividends. Beginning 06/01/2017, the asset class exposure for each index is represented by indices and returns do not reflect any fees or expenses. Prior to 06/01/2017, the asset class exposure for each index is represented by exchange traded funds (ETFs) and returns are net of ETF expenses. Index returns provided by Bloomberg. S&P Dow Jones Indices LLC, a division of S&P Global Inc., is the publisher of various index based data products and services, certain of which have been licensed for use to Manning & Napier. All such content Copyright ^© 2019 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Data provided is not a representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

The following graph compares the value of a $10,000 investment in the Target 2060 Series - Class K from its inception² (9/21/15) to present (10/31/19) to the S&P Target Date 2060+ Index and the 2060 Composite Benchmark.

²Performance numbers for the Series and the S&P Target Date Index are calculated from September 21, 2015, the Series’ inception date. Performance numbers for the Target Composite Benchmark are calculated from September 30, 2015.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.45% for Class K, 0.70% for Class R and 0.20% for Class I. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 2.50% for Class K, 2.72% for Class R and 2.32% for Class I for the year ended October 31, 2019.

⁴The S&P Target Date Index Series is a series of unmanaged indices that reflect the market consensus for asset allocations for different target date horizons. Asset class weights are established annually and rebalanced monthly. Prior to 02/26/2010, the indices were rebalanced annually. Index returns assume daily reinvestment of dividends. Beginning 06/01/2017, the asset class exposure for each index is represented by indices and returns do not reflect any fees or expenses. Prior to 06/01/2017, the asset class exposure for each index is represented by exchange traded funds (ETFs) and returns are net of ETF expenses. Index returns provided by Bloomberg. S&P Dow Jones Indices LLC, a division of S&P Global Inc., is the publisher of various index based data products and services, certain of which have been licensed for use to Manning & Napier. All such content Copyright ^© 2019 by S&P Dow Jones Indices LLC and/or its affiliates. All rights reserved. Data provided is not a representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and none of these parties shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.

¹Expenses are equal to each Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data. The Class’ total return would have been lower had certain expenses not been waived or reimbursed during the period.

²Expense ratios of the Class do not include fees and expenses indirectly incurred by the underlying funds. If these expenses were included, the expense ratios would have been higher.

¹ Represents portfolio composition of the underlying investment(s) for each Series as a percentage of net assets.

² A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.

³ A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

⁴ A U.S. Treasury Bill is a short-term obligation of the U.S. Treasury issued with a maturity of less than one year.

¹ Represents portfolio composition of the underlying investment(s) for each Series as a percentage of net assets.

² A U.S. Treasury Bond is a long-term obligation of the U.S. Treasury issued with a maturity period of more than ten years.

³ A U.S. Treasury Note is an intermediate-term obligation of the U.S. Treasury issued with a maturity period between one and ten years.

⁴ A U.S. Treasury Bill is a short-term obligation of the U.S. Treasury issued with a maturity of less than one year.

¹The net asset value of the Class R Shares of the Manning & Napier Target 2015 Series net asset value was calculated using unrounded net assets of $147.35 divided by the unrounded shares outstanding of 12.232.

²Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁴Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.67% for Manning & Napier Pro-Blend^® Conservative Term Series - Class I and 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The average expense ratio of the Underlying Series was 0.67%.

⁷Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.68%.

⁸Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The average expense ratio of the Underlying Series was 0.67%.

⁷Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.68%.

⁸Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁴Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.67% for Manning & Napier Pro-Blend^® Conservative Term Series - Class I, 0.83% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I, 0.45% for Manning & Napier Blended Asset Conservative Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.67% for Manning & Napier Pro-Blend^® Conservative Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I.

⁷Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I.

⁸Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁸Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁴Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.83% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series -Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I.

⁸Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.83% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁸Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.83% for Manning & Napier Pro-Blend^® Moderate Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.50% for Manning & Napier Blended Asset Moderate Series - Class R6.

⁷Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁸Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁸Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁴Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁷Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁷Reflects activity of the Series and does not include the activity of the Underlying Series.

⁴Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series were 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁸Reflects activity of the Series and does not include the activity of the Underlying Series.

⁹Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.81% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.82% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁷Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the years.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁷Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁷Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

⁷Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%. ⁸Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.83% for Manning & Napier Pro-Blend^® Extended Term Series - Class I, 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I, 0.55% for Manning & Napier Blended Asset Extended Series - Class R6 and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratios of the Underlying Series were 0.82% for Manning & Napier Pro-Blend^® Extended Term Series - Class I and 0.83% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I.

³Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁴Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.55%.

⁵Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%. ⁷Reflects activity of the Series and does not include the activity of the Underlying Series.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁴Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.55%.

³Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁴Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.55%.

³Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed.

⁴Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.55%.

³Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net

⁵Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been reimbursed during the periods. Periods less than one year are not annualized.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.55%.

⁷Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.85% for Manning & Napier Pro-Blend^® Maximum Term Series - Class I and 0.55% for Manning & Napier Blended Asset Maximum Series - Class R6.

⁸Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.84%. ⁹Annualized.

¹⁰Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.

¹¹Reflects activity of the Series and does not include the activity of the Underlying Series.

¹²The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

³Net investment income is affected by the timing of distributions from the Underlying Series in which the Series invest. The ratios do not include net investment income of the Underlying Series in which the Series invests.

⁶Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.55%.

⁸Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.84%. ⁹Annualized.

¹⁰Expense ratios do not include expenses of the Underlying Series in which the Series invests. The expense ratio of the Underlying Series was 0.83%.

¹¹Reflects activity of the Series and does not include the activity of the Underlying Series.

¹²The increase to the expense ratios (to average net assets) is largely due to the small net assets in each class.

Target Income Series, Target 2015 Series, Target 2020 Series, Target 2025 Series, Target 2030 Series, Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series, Target 2055 Series and Target 2060 Series (each the “Series”) are no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company.

Each Series seeks to achieve its investment objectives by investing in a combination of other Manning & Napier mutual funds (the “Underlying Series”) according to a target asset allocation strategy. The Series are designed to provide single investment portfolios that adjust over time to meet the changing risk and return objectives of investors over their expected investment horizon. As the target retirement date approaches, the Series’ portfolios become more conservative with a larger fixed-income investment component. The financial statements of the Underlying Series should be read in conjunction with the Series’ financial statements.

Each Series is authorized to issue three classes of shares (Class K, R, and I). Each class of shares is substantially the same, except that class-specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate. Class R6 shares of the Target Series were liquidated by March 1, 2019.

Investments in the Underlying Series are valued at their net asset value per share on valuation date. In the absence of the availability of a net asset value per share on the Underlying Series, security valuations may be determined in good faith by the Advisor under procedures approved by and under the general supervision and responsibility of the Fund’s Board of Directors (the “Board”).

Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measure fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.

The following is a summary of the valuation levels used for major security types as of October 31, 2019 in valuing the Series’ assets or liabilities carried at fair value:


	TARGET INCOME SERIES
DESCRIPTION		TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual fund	$	78,646,562	$	78,646,562	$	—	$	—

Total assets	$	78,646,562	$	78,646,562	$	—	$	—


	TARGET 2015 SERIES
DESCRIPTION		TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	1,260,183	$	1,260,183	$	—	$	—

Total assets	$	1,260,183	$	1,260,183	$	—	$	—


	TARGET 2020 SERIES
DESCRIPTION		TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	56,410,300	$	56,410,300	$	—	$	—

Total assets	$	56,410,300	$	56,410,300	$	—	$	—


	TARGET 2025 SERIES
DESCRIPTION		TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	68,867,511	$	68,867,511	$	—	$	—

Total assets	$	68,867,511	$	68,867,511	$	—	$	—


	TARGET 2030 SERIES
DESCRIPTION		TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	78,889,258	$	78,889,258	$	—	$	—

Total assets	$	78,889,258	$	78,889,258	$	—	$	—


	TARGET 2035 SERIES
DESCRIPTION		TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Mutual funds	$	47,947,257	$	47,947,257	$	—	$	—

Total assets	$	47,947,257	$	47,947,257	$	—	$	—


	TARGET 2040 SERIES
DESCRIPTION	TOTAL	LEVEL 1	LEVEL 2	LEVEL 3
Assets:
Mutual funds	$ 51,881,012	$ 51,881,012	$ —	$ —

Total assets	$ 51,881,012	$ 51,881,012	$ —	$ —


	TARGET 2045 SERIES
DESCRIPTION	TOTAL	LEVEL 1	LEVEL 2	LEVEL 3
Assets:
Mutual funds	$ 26,295,175	$ 26,295,175	$ —	$ —

Total assets	$ 26,295,175	$ 26,295,175	$ —	$ —


	TARGET 2050 SERIES
DESCRIPTION	TOTAL	LEVEL 1	LEVEL 2	LEVEL 3
Assets:
Mutual fund	$ 32,204,079	$ 32,204,079	$ —	$ —

Total assets	$ 32,204,079	$ 32,204,079	$ —	$ —


	TARGET 2055 SERIES
DESCRIPTION	TOTAL	LEVEL 1	LEVEL 2	LEVEL 3
Assets:
Mutual fund	$ 12,732,553	$ 12,732,553	$ —	$ —

Total assets	$ 12,732,553	$ 12,732,553	$ —	$ —


	TARGET 2060 SERIES
DESCRIPTION	TOTAL	LEVEL 1	LEVEL 2	LEVEL 3
Assets:
Mutual fund	$ 13,234,661	$ 13,234,661	$ —	$ —

Total assets	$ 13,234,661	$ 13,234,661	$ —	$ —

There were no Level 2 or Level 3 securities held by any of the Series as of October 31, 2018 or October 31, 2019.

Security transactions are accounted for on trade date. Dividend income is recorded on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Income and capital gains distributions from the Underlying Series, if any, are recorded on the ex-dividend date.

Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense. Expenses included in the accompanying statements of operations do not include any expense of the Underlying Series.

The Series use the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.

Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2019, the Series have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

The Series file income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2016 through October 31, 2019. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Advisor does not receive a fee for the services it performs for the Series. However, the Advisor is entitled to receive the management fee from each of the Underlying Series in which the Series invest.

incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, Governance & Nominating Committee Chair and Lead Independent Director who each receive an additional annual stipend for these roles.

The Fund may enter into agreements with financial intermediaries pursuant to which the Fund may pay financial intermediaries for non-distribution related sub-transfer agency, administrative, sub-accounting, and other shareholder services in an amount not to exceed 0.15% of the average daily net assets of the Class K, Class R and Class I shares. Payments made pursuant to such agreements are generally based on the current assets and/or number of accounts of the Series attributable to the financial intermediary. Any payments made pursuant to such agreements may be in addition to, rather than in lieu of, any Distribution and Shareholder Services Fee payable under the Rule 12b-1 plan of the Fund.

The Advisor has contractually agreed to limit its fees and reimburse expenses to the extent necessary so that the total direct annual fund operating expenses of each Class, exclusive of Distribution and Service (12b-1) Fees, do not exceed 0.20% of the average daily net assets of the Class I, Class K, and Class R shares. Effective March 1, 2019, this contractual limitation is expected to continue indefinitely and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor’s agreement to limit each class’s operating expenses is limited to direct operating expenses and, therefore, does not apply to acquired fund fees and expenses (AFFE), which are indirect expenses incurred by the Series through their investments in the underlying funds. The Advisor may receive from a class the difference between the class’s total direct annual fund operating expenses, exclusive of Rule 12b-1 Fees, and the class’s contractual expense limit to recoup all or a portion of its prior fee waivers or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, exclusive of Rule 12b-1 Fees, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment. The Advisor’s agreement to limit each class’ operating expenses is limited to direct operating expenses and, therefore, does not apply to the indirect expenses incurred by the Series through their investments in the Underlying Series. For the year ended October 31, 2019, the Advisor reimbursed expenses of $95,277 for Target Income Series, $149,526 for Target 2015 Series, $131,598 for Target 2020 Series, $135,554 for Target 2025 Series, $154,337 for Target 2030 Series, $168,910 Target 2035 Series, $179,821 for Target 2040 Series, $187,700 for Target 2045 Series, $195,491 for Target 2050 Series, $195,620 for Target 2055 series and $225,968 for Target 2060 Series, which is included as a reduction of expenses on the Statements of Operations. At October 31, 2019, the Advisor is eligible to recoup $62,617 for Target Income Series, $104,573 for Target 2015 Series, $88,785 for Target 2020 Series, $97,230 for Target 2025 Series, $106,172 for Target 2030 Series, $122,438 Target 2035 Series, $127,646 for Target 2040 Series, $135,478 for Target 2045 Series, $141,519 for Target 2050 Series, $140,899 for Target 2055 series and $167,640 for Target 2060 Series. For the year ended October 31, 2019, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. Each Series compensates the distributor for distributing and servicing the Series’ Class K and Class R shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, each Series pays distribution and service fees to the distributor at an annual rate of 0.25% of average daily net assets attributable to Class K shares and 0.50% of average daily net assets attributable to Class R shares. There are no distribution and service fees on Class I shares of each Series. The fees are accrued daily and paid monthly.

Pursuant to a master services agreement dated March 1, 2017, the Fund pays the Advisor an annual fee related to fund accounting and administration of 0.00225% of average daily net assets of the Target Series with an annual base fee of $40,000 per Target series. Additionally, certain transaction and out-of-pocket expenses, including charges for reporting relating to the Fund’s compliance program, are charged. The Advisor has agreements with BNY Mellon Investment Servicing (U.S.) Inc. (“BNY”) under which BNY serves as sub-accountant services agent.

For the year ended October 31, 2019, purchases and sales of Underlying Series were as follows:

A summary of the Series’ transactions in the shares of affiliated issuers of Manning & Napier during the year ended October 31, 2019 is set forth below:


TARGET INCOME SERIES	VALUE AT 10/31/18		PURCHASE COST		SALES PROCEEDS		VALUE AT 10/31/19		SHARES HELD AT 10/31/19		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS			CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Conservative Series - Class R6		$125,824,382		$10,273,168		$62,137,461		$78,646,562		6,815,127		$2,509,324		$(2,085,634	)		$6,772,108

TARGET 2015 SERIES	VALUE AT 10/31/18		PURCHASE COST		SALES PROCEEDS		VALUE AT 10/31/19		SHARES HELD AT 10/31/19		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS			CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Conservative Series - Class R6		$1,279,950		$499,588		$ 868,878		$1,001,322		86,770		$20,951		$ (1,127	)		$ 91,789

Blended Asset Moderate Series - Class R6		844,809		75,687		688,957		258,861		22,373		8,960		(10,203	)		37,525

		$2,124,759		$575,275		$1,557,835		$1,260,183				$29,911		$(11,330	)		$129,314


TARGET 2020 SERIES	VALUE AT 10/31/18		PURCHASE COST		SALES PROCEEDS		VALUE AT 10/31/19		SHARES HELD AT 10/31/19		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS			CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Extended Series - Class R6		$ 9,358,378		$ 606,849		$ 7,176,634		$ 2,892,293		257,551		$ 119,387		$ (296,696	)		$ 430,988
Blended Asset Moderate Series - Class R6		84,363,708		10,240,028		45,184,685		53,518,007		4,625,584		1,464,941		(1,786,664	)		5,885,619

		$93,722,086		$10,846,877		$52,361,319		$56,410,300				$1,584,328		$(2,083,360	)		$6,316,607


TARGET 2025 SERIES	VALUE AT 10/31/18		PURCHASE COST		SALES PROCEEDS		VALUE AT 10/31/19		SHARES HELD AT 10/31/19		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS			CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Extended Series - Class R6		$29,628,989		$ 4,373,759		$ 8,827,835		$27,855,379		2,480,443		$ 488,391		$(53,635	)		$2,830,556
Blended Asset Moderate Series - Class R6		29,756,456		11,467,825		4,054,965		41,012,132		3,544,696		663,757		65,765			3,777,051

		$59,385,445		$15,841,584		$12,882,800		$68,867,511				$1,152,148		$ 12,130			$6,607,607


TARGET 2030 SERIES	VALUE AT 10/31/18		PURCHASE COST		SALES PROCEEDS		VALUE AT 10/31/19		SHARES HELD AT 10/31/19		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS			CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Extended Series - Class R6		$109,347,539		$15,690,628		$56,145,368		$74,706,530		6,652,407		$1,654,819		$(2,067,805	)		$8,242,496
Blended Asset Maximum Series - Class R6		12,222,962		975,401		8,389,017		4,182,728		330,389		95,850		(109,287	)		91,271

		$121,570,501		$16,666,029		$64,534,385		$78,889,258				$1,750,669		$(2,177,092	)		$8,333,767


TARGET 2035 SERIES	VALUE AT 10/31/18		PURCHASE COST		SALES PROCEEDS		VALUE AT 10/31/19		SHARES HELD AT 10/31/19		DIVIDEND INCOME		DISTRIBUTIONS AND NET REALIZED GAIN OR LOSS			CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)
Blended Asset Extended Series - Class R6		$24,251,400		$ 8,834,927		$3,101,631		$33,120,822		2,949,316		$458,538		$135,073			$3,081,434
Blended Asset Maximum Series - Class R6		13,074,707		3,527,977		2,650,034		14,826,435		1,171,124		149,699		601,786			926,053

		$37,326,107		$12,362,904		$5,751,665		$47,947,257				$608,237		$736,859			$4,007,487

The following table represents instances at October 31, 2019, where a shareholder account owned greater than 10% of a Series:

At October 31, 2019, the Advisor and its affiliates owned 1.8% of the Target 2060 Series and less than 0.1% of Target 2015 Series, Target 2025 Series, Target 2035 Series, Target 2045 Series and Target 2055 Series. Investment activities of these shareholders may have a material effect on the Series.

The Underlying Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Underlying Series may be subject to various elements of risk which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. No such investments were directly held by the Series as of October 31, 2019.

The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. The differences are primarily due to differing book and tax treatment in the timing and recognition on net investment income or gains and losses, including losses deferred due to wash sales. Each Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. For the fiscal year ended October 31, 2019, $903 was reclassified within the capital accounts from Additional Paid in Capital to the Total Distributable Earnings (Loss) for the Target 2060 Series. Any such reclassifications are not reflected in the financial highlights.

At October 31, 2019, Target 2015 Series had net short-term capital loss carryforwards of $4,988 and Target Income Series, Target 2015 Series, Target 2020 Series, Target 2030 Series, Target 2040 Series, Target 2050 Series, and Target 2060 Series had net long-term capital loss carryforwards of $2,237,945, $440,643, $3,372,013, $2,698,747, $1,856,872, $586,436, and $224,104, respectively, which may be carried forward indefinitely.

To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Target Income Series, Target 2015 Series, Target 2020 Series, Target 2025 Series, Target 2030 Series, Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series, Target 2055 Series and Target 2060 Series

We have audited the accompanying statements of assets and liabilities, including the investment portfolios, of Target Income Series, Target 2015 Series, Target 2020 Series, Target 2025 Series, Target 2030 Series, Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series, Target 2055 Series and Target 2060 Series (eleven of the series constituting Manning & Napier Fund, Inc., hereafter collectively referred to as the “Funds”) as of October 31, 2019, the related statements of operations for the year ended October 31, 2019, the statements of changes in net assets for each of the two years in the period ended October 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2019 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinions.

We have served as the auditor of one or more investment companies in Manning & Napier Mutual Funds since 1992.

All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.

The Series designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Code for the fiscal year ended October 31, 2019 as follows:

^*Interested Director, within the meaning of the 1940 Act by reason of his positions with the Fund’s Advisor, Manning & Napier Advisors, LLC, and Distributor, Manning & Napier Investor Services, Inc.

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30^th is available, without charge, upon request:

The Series’ complete schedule of portfolio holdings for the 1^st and 3^rd quarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

To provide competitive returns consistent with the broad equity market while also providing a level of capital protection during market downturns. The Series is designed to offer a diversified portfolio of dividend-paying US equity securities. Using a systematic process with a focus on mid- to large-capitalization US companies, securities are selected based on factors such as free cash flow generation and earnings power, minimum dividend yield, dividend sustainability, and financial health.

US equity markets posted positive returns for the twelve-month period ending October 31, 2019 and have experienced the second strongest year-to-date start in the past two decades. Over the one year period, large-cap stocks outperformed small- and mid-cap stocks, while growth stocks outperformed their value counterparts.

The Disciplined Value Series Class S slightly underperformed the Russell 1000^® Value Index, returning 11.1% and 11.2%, respectively, with underperformance occurring in the first and second quarter of 2019.

The specific equities owned in the portfolio detracted from relative returns versus the benchmark and was the primary driver of slight underperformance, while positioning across sectors contributed to relative returns. More specifically, selection decisions within and an underweight to Energy along with an overweight to Industrials and Information Technology were the largest contributors to relative returns. In contrast, an underweight to Utilities and Real Estate as well as selection within Industrials, Consumer Staples, Health Care, and Materials detracted from relative returns.

From a factor perspective, growth stocks outperformed during the first half of the year as macro-economic concerns, such as the US-China trade war, subsided. Small cap outperformed mega-cap companies, serving as a headwind for the Series. Given the Series’ valuation emphasis, the portfolio has generally steered away from the more expensive areas of the market.

Within the Series, we pursue opportunities for shareholders through our disciplined screening process. Our goal is to generate stable income with the potential for capital growth. Importantly, this approach will continue to emphasize risk management as a critical component in managing the Series.

Please see the next page for additional performance information as of October 31, 2019.

Commentary prepared using data provided by FactSet. Analysis Manning & Napier. Commentary presented is relative to the Russell 1000^® Value Index. Additional information and associated disclosures can be found on the Performance Update page of this report.

All investments involve risks, including possible loss of principal. As with any stock fund, the value of your investment will fluctuate in response to stock market movements. Investing in the Series will also involve a number of other risks, including issuer-specific risk and mid-cap risk. The Series invests primarily in dividend-paying equity securities, with a focus on mid- to large- cap companies. There is no assurance or guarantee that such companies will declare, continue to pay, or increase dividends. Stocks of mid-cap companies tend to be more volatile than those of large-cap companies, as mid-cap companies tend to be more susceptible to adverse business or economic events than larger, more established companies. In addition, because the Advisor manages the Series using a disciplined screening process, the Series is subject to the additional risk that the investment approach may not be successful. Further, the Advisor does not intend to make frequent changes to the Series’ portfolio in response to market movements.

The following graph compares the value of a $1,000,000 investment in the Disciplined Value Series - Class I for the ten years ended October 31, 2019 to the Russell 1000^® Value Index.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.82% for Class S, 0.58% for Class I, 0.15% for Class W and 0.45% for Class Z. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.82% for Class S, 0.58% for Class I, 0.47% for Class W and 0.47% for Class Z for the year ended October 31, 2019.

³For periods through the inception of Class S on September 21, 2018 the performance is hypothetical and is based on the historical performance of Class I shares adjusted for Class S shares’ charges and expenses. For periods through March, 1, 2019 (the inception date of the Class W and Class Z shares), performance for the Class W and Class Z shares is based on the historical performance of the Class I shares. Because the Class W and Class Z shares invest in the same portfolio of securities as the Class I shares, performance for the respective shares will be different only to the extent that the Class I shares have a higher expense ratio.

⁴The Russell 1000^® Value Index is an unmanaged, market capitalization-weighted index consisting of those Russell 1000^® companies with lower price-to-book ratios and lower forecasted growth values. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. The Index returns do not reflect any fees or expenses. Index returns provided by Bloomberg.

The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.

²Represents aggregate total return for the year indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain years.

Disciplined Value Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

The Series’ investment objective is to provide competitive returns consistent with the broad equity market while providing a level of capital protection during market downturns.

The Series is authorized to issue four classes of shares (Class S, I, W, and Z). Class W and Z shares of the Series were issued on March 1, 2019. Each class of shares is substantially the same, except that class-specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate.

The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2019, 10 billion shares have been designated in total among 34 series, of which 100 million have been designated as Disciplined Value Series Class I common stock, Disciplined Value Series Class S common stock, Disciplined Value Series Class W common stock, and Disciplined Value Series Class Z common stock.

The following is a summary of the valuation levels used for major security types as of October 31, 2019 in valuing the Series’ assets or liabilities carried at fair value:


DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2		LEVEL 3
Assets:
Equity Securities:
Communication Services	$	800,135	$	800,135	$	—	$	—
Consumer Discretionary		17,087,562		17,087,562		—		—
Consumer Staples		41,154,859		41,154,859		—		—
Energy		18,488,310		18,488,310		—		—
Financials		53,736,914		53,736,914		—		—
Health Care		61,407,669		61,407,669		—		—
Industrials		66,302,658		66,302,658		—		—
Information Technology		43,498,512		43,498,512		—		—
Materials		8,125,226		8,125,226		—		—
Short-Term Investment		4,074,225		4,074,225		—		—


Total assets	$	314,676,070	$	314,676,070	$	—	$	—

There were no Level 2 or Level 3 securities held by the Series as of October 31, 2018 or October 31, 2019.

Expenses are recorded on an accrual basis. Most expenses of the Fund can be attributed to a specific series. Expenses which cannot be directly attributed are apportioned among the series in the Fund in such a manner as deemed equitable by the Fund’s Board, taking into consideration, among other things, the nature and type of expense. Income, expenses (other than class specific expenses), and realized and unrealized gains and losses are prorated among the classes based on the relative net assets of each class. Class specific expenses are directly charged to that class.

The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.

The Series’ policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. The Series is not subject to federal income or excise tax to the extent that the Series distributes to shareholders each year its taxable income, including any net realized gains on investments, in accordance with requirements of the Internal Revenue Code. Accordingly, no provision for federal income tax or excise tax has been made in the financial statements.

Distributions to shareholders of net investment income are made quarterly. Distributions of net realized gains are made annually. An additional distribution may be necessary to avoid taxation of the Series. Distributions are recorded on the ex-dividend date.

The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 0.30% of the Series’ average daily net assets. Prior to March 1, 2019, the management fee for the Series was 0.45%.

Effective March 1, 2019, the Fund may enter into agreements with financial intermediaries pursuant to which the Fund may pay financial intermediaries for non-distribution related sub-transfer agency, administrative, sub-accounting, and other shareholder services in an amount not to exceed 0.15% of the average daily net assets of the Class S and Class I shares. Payments made pursuant to such agreements are generally based on the current assets and/or number of accounts of the Series attributable to the financial intermediary. Any payments made pursuant to such agreements may be in addition to, rather than in lieu of, any Distribution and Shareholder Services Fee payable under the Rule 12b-1 plan of the Fund.

Prior to March 1, 2019, the Class S shares of the Series were subject to a shareholder services fee in accordance with a shareholder services plan adopted by the Fund’s Board. The shareholder services fee was intended to compensate financial intermediaries, including affiliates of the Fund, in connection with the provision of direct client service, personal services, maintenance of shareholder accounts and reporting services. For these services, the Class S shares of the Series paid a fee, computed daily and payable monthly, at an annual rate of 0.25% of the average daily net assets of Class S. The Fund had a Shareholder Services Agreement with the Advisor, for which the Advisor received the shareholder services fee as stated above.

Effective March 1, 2019, the Advisor has contractually agreed to waive the management fee for the Class W shares. In addition, pursuant to a separate expense limitation agreement, the Advisor has contractually agreed to limit its fees and reimburse expenses to the extent necessary so that the total direct annual fund operating expenses, exclusive of the shareholder services fee and/or distribution and service (12b-1) fees and waived Class W management fees (collectively, “excluded expenses”), to 0.60% of the average daily net assets of the Class I and Class S shares, 0.45% of the average daily net assets of the Class Z shares, and 0.15% of the average daily net assets of the Class W shares. These contractual waivers are expected to continue indefinitely, and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor may receive from a Class the difference between the Class’s total direct annual fund operating expenses, not including excluded expenses, and the Class’s contractual expense limit to recoup all or a portion of its prior fee waivers (other than Class W management fee waivers) or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, not including excluded expenses, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment.

Pursuant to the advisory fee waiver, the Advisor waived $94,435 in management fees for Class W shares for the year ended October 31, 2019. In addition, pursuant to the separate expense limitation agreement, the Advisor waived or reimbursed expenses of $5,197 and $2,152 for Class W and Class Z shares, respectively, for the year ended October 31, 2019. These amounts are included as a reduction of expenses on the Statement of Operations. At October 31, 2019, the Advisor is eligible to recoup $7,349. For the year ended October 31, 2019, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. Effective March 1, 2019, the Series compensates the distributor for distributing and servicing the Series’ Class S shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, the Series pays distribution and service fees to the distributor at an annual rate of 0.25% of average daily net assets attributable to Class S shares. There are no distribution and service fees on the Class I, Class W or Class Z shares. The fees are accrued daily and paid monthly.

For the year ended October 31, 2019, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $214,882,029 and $86,123,596, respectively. There were no purchases or sales of U.S. Government securities.

Transactions in Class S, Class I, Class W, and Class Z shares of Disciplined Value Series were:


CLASS S	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		7,454,001		$	55,765,138			9,688,588		$	88,377,970
Reinvested		2,522,364			17,068,654			1,204,163			10,575,138
Repurchased		(7,335,152	)		(51,979,899	)		(5,379,786	)		(47,861,945	)


Total		2,641,213		$	20,853,893			5,512,965		$	51,091,163



CLASS I	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		7,644,103		$	100,547,027			4,156,876		$	63,107,551
Reinvested		908,285			11,256,166			525,788			7,609,244
Repurchased		(4,933,483	)		(66,396,088	)		(5,577,192	)		(92,209,368	)


Total		3,618,905		$	45,407,105			(894,528	)	$	(21,492,573	)



CLASS W	FOR THE PERIOD 3/1/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT
Sold		10,277,841		$	74,540,349
Reinvested		137,393			1,023,018
Repurchased		(486,655	)		(3,569,394	)


Total		9,928,579		$	71,993,973



CLASS Z	FOR THE PERIOD 3/1/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT
Sold		1,813,117		$	24,404,587
Reinvested		8,784			119,095
Repurchased		(515,135	)		(7,054,251	)


Total		1,306,766		$	17,469,431

redemptions and other short-term liquidity purposes. The Fund pays an annual fee on the unused commitment amount, payable quarterly, and is allocated among all the series of the Fund and included in miscellaneous expenses in the Statement of Operations for each series. The line of credit expires in August 2020 unless extended or renewed. Borrowings under this arrangement bear interest at a floating rate equal to the higher of the (i) Federal Funds rate in effect on such day plus 125 basis points or (ii) the 30 day LIBOR plus 125 basis points in effect on that day. This amount, if any, would be included in “Interest expense” in the Statement of Operations. During the year ended October 31, 2019, the Disciplined Value Series average daily amount of borrowings outstanding under the line of credit was $19,178 with a weighted average interest rate of 3.35%. As of October 31, 2019, there was no borrowing outstanding.

The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of October 31, 2019.

The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatment in the timing of recognition of net investment income, or gains and losses, including losses deferred due to wash sales and the use of equalization. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. Any such reclassifications are not reflected in the financial highlights.

In preparing these financial statements, management of the Series has evaluated events and transactions for recognition or disclosure through December 16, 2019, the date the financial statements were issued, and the following item was noted:

Effective after the close of trading on December 5, 2019, the total outstanding shares of Class I and Z of the Disciplined Value Series split on a 1.75-for-1 basis as of record date December 4, 2019. The impact of the stock split increased the number of shares outstanding by a factor of 1.75, while decreasing the NAV per share and market price per share by a factor of 1.75, resulting in no effect on fund net assets or on the total value of a shareholder’s investment.

To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Disciplined Value Series

We have audited the accompanying statement of assets and liabilities, including the investment portfolio, of Disciplined Value Series (one of the series constituting Manning & Napier Fund, Inc., referred to hereafter as the “Fund”) as of October 31, 2019, the related statement of operations for the year ended October 31, 2019, the statement of changes in net assets for each of the two years in the period ended October 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

We have served as the auditor of one or more investment companies in Manning & Napier Mutual Funds since 1992.

All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.

For federal income tax purposes, the Series reports for the current fiscal year $6,382,949 or, if different, the maximum amount allowable under the tax law, as qualified dividend income.

The Series designates $8,887,530 as Long-Term Capital Gain dividends pursuant to Section 852(b) of the Code for the fiscal year ended October 31, 2019.

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:

The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

To maximize long-term growth by investing principally in the common stocks of companies located around the world. The Series invests primarily in foreign companies, including those in developed and emerging markets.

International equity markets posted positive returns for the twelve-month period ending October 31, 2019. During the period, international large-cap stocks outperformed small- and mid-cap stocks, while international growth stocks outperformed their value counterparts. On a regional basis, emerging markets modestly outperformed developed markets.

The Overseas Series Class S delivered positive returns but underperformed the MSCI ACWI ex USA Index, returning 9.9% and 11.3%, respectively.

Underperformance was generally driven by stock selection, most notably within Energy and Health Care. Alternatively, the Series benefitted from stock selection within Communication Services and Consumer Staples, as well as from an underweight to Financials and overweight to Consumer Staples.

On a country basis, the Series benefitted from an overweight to the Netherlands; however, stock selection within the country was the largest detractor to relative returns (i.e., returns compared to the benchmark).

Please see the next page for additional performance information as of October 31, 2019.

Commentary prepared using data provided by FactSet. Analysis Manning & Napier. Commentary presented is relative to the MSCI ACWI ex USA Index. Additional information and associated disclosures can be found on the Performance Update page of this report.

All investments involve risks, including possible loss of principal. Funds whose investments are concentrated in foreign countries may be subject to fluctuating currency values, different accounting standards, and economic and political instability. The value of the Series may be affected by changes in exchange rates between foreign currencies and the U.S. dollar. Investments in emerging markets may be more volatile than investments in more developed markets.

The following graph compares the value of a $1,000,000 investment in the Overseas Series - Class I for the ten years ended October 31, 2019 to the MSCI ACWI ex USA Index.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 1.05% for Class S, 0.75% for Class I, 0.05% for Class W and 0.65% for Class Z. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.09% for Class S, 0.80% for Class I, 0.72% for Class W and 0.72% for Class Z for the year ended October 31, 2019.

³For periods through September 21, 2018 (the inception date of the Class S shares), performance for the Class S shares is hypothetical and is based on the historical performance of the Class I shares adjusted for the Class S shares’ charges and expenses.

⁴For periods through March 1, 2019 (the inception date of the Class W shares), performance for the Class W shares is based on the historical performance of the Class I shares. Because the Class W shares invest in the same portfolio of securities as the Class I shares, performance will be different only to the extent that the Class I shares have a higher expense ratio.

⁵For periods through May 1, 2018 (the inception date of the Class Z shares), performance for the Class Z shares is based on the historical performance of the Class I shares. Because the Class Z shares invest in the same portfolio of securities as the Class I shares, performance will be different only to the extent that the Class I shares have a higher expense ratio.

⁶The MSCI ACWI ex USA Index (ACWIxUS) is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index returns do not reflect any fees or expenses. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg.

¹ Expenses are equal to the Series’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data. The Class’ total return would have been lower had certain expenses not been waived during the period.

The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following countries:

³Includes litigation proceeds. Excluding this amount, the Series’ total return is 20.10%.

Overseas Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

The Series is authorized to issue four classes of shares (Class I, S, W, and Z). Class W shares of the Series were issued on March 1, 2019. Each class of shares is substantially the same, except that class-specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate.

The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2019, 10 billion shares have been designated in total among 34 series, of which 200 million have been designated as Overseas Series Class I common stock, 400 million have been designated as Overseas Series Class S common stock, 75 million have been designated as Overseas Series Class W common stock and 100 million have been designated as Overseas Series Class Z common stock.

On September 18, 2018, the shareholders of World Opportunities Series approved the reorganization of World Opportunities Series into Overseas Series, each a series of the Fund, pursuant to which Overseas Series acquired substantially all of the assets and assumed certain stated liabilities of World Opportunities Series in exchange for an equal aggregate value of Overseas Series shares. For U.S. GAAP purposes, the transaction was treated as a merger. The merger took place after the close of business on September 21, 2018.

Each shareholder of World Opportunities Series received shares of Overseas Series with the same class designation and an aggregate Net Asset Value of such shareholder’s World Opportunities Series shares, as determined at the close of business on September 21, 2018.

The reorganization was accomplished by a tax-free exchange of shares of Overseas Series in the following amount and at the following conversion ratio:

World Opportunities Series’ net assets and composition of net assets on September 21, 2018, the date of the reorganization, were as follows:

For financial reporting purposes, assets received and shares issued by Overseas Series were recorded at fair value; however, the cost basis of the investments received from World Opportunities Series was carried forward to align ongoing reporting of Overseas Series’ realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The aggregate net assets of Overseas Series immediately prior to, and after the acquisition, amounted to $310,629,139 and $900,305,402, respectively. World Opportunities Series’ fair value and cost of investments on September 21, 2018 were $583,171,966 and $558,177,803, respectively.

The purpose of the transaction was to combine two funds managed by the Advisor, the investment advisor to both Overseas Series and World Opportunities Series, with the same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions.

Assuming the acquisition had been completed on November 1, 2017, the beginning of the annual reporting period for Overseas Series, the pro forma results of operations for the year ended October 31, 2018, are as follows:

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of World Opportunities Series that have been included in the Overseas Series’ Statement of Operations since September 21, 2018.

Reorganization costs incurred by Overseas Series in connection with the reorganization were paid by the Advisor.

responsibility of the Fund’s Board of Directors (the “Board”). Due to the inherent uncertainty of valuations of such securities, the fair value may differ significantly from the values that would have been used had a ready market for such securities existed. If trading or events occurring after the close of the principal market in which securities are traded are expected to materially affect the value of those securities, then they may be valued at their fair value, taking this trading or these events into account. In accordance with the procedures approved by the Board, the values of certain securities trading outside the U.S. were adjusted following the close of local trading using a factor from a third party vendor. The third party vendor uses statistical analyses and quantitative models, which consider among other things subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, to determine the factors which are used to adjust local market prices. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities. It is the Fund’s policy to classify each foreign equity security where a factor from a third party vendor is provided as a Level 2 security.

The following is a summary of the valuation levels used for major security types as of October 31, 2019 in valuing the Series’ assets or liabilities carried at fair value:


DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2^#		LEVEL 3
Assets:
Equity Securities:
Communication Services	$	45,819,614	$	23,883,788	$	21,935,826	$	—
Consumer Discretionary		61,688,681		32,394,858		29,293,823		—
Consumer Staples		85,587,714		25,864,422		59,723,292		—
Energy		27,772,871		27,772,871		—		—
Financials		44,536,278		7,696,626		36,839,652		—
Health Care		80,994,868		45,249,931		35,744,937		—
Industrials		57,298,268		22,469,446		34,828,822		—
Information Technology		30,022,290		—		30,022,290		—
Materials		35,233,874		10,913,605		24,320,269		—
Short-Term Investment		19,463,979		19,463,979		—		—

Total assets	$	488,418,437	$	215,709,526	$	272,708,911	$	—

^#Includes certain equity foreign securities for which a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading.

There were no Level 3 securities held by the Series as of October 31, 2018 or October 31, 2019.

The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.

The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series does not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the fair value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.

The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 0.60% of the Series’ average daily net assets.

The Fund may enter into agreements with financial intermediaries pursuant to which the Fund may pay financial intermediaries for non-distribution related sub-transfer agency, administrative, sub-accounting, and other shareholder services in an annual amount not to exceed 0.15% of the average daily net assets of the Class I and Class S shares of the Series. Payments made pursuant to such agreements are generally based on the current assets and/or number of accounts of the Series attributable to the financial intermediary. Any payments made pursuant to such agreements may be in addition to, rather than in lieu of, any Distribution and Shareholder Services Fee payable under the Rule 12b-1 plan of the Fund.

Effective March 1, 2019, the Advisor has contractually agreed to waive the management fee for the Class W shares. In addition, pursuant to a separate expense limitation agreement, the Advisor has contractually agreed to limit its fees and reimburse expenses to the extent necessary so that the total direct annual fund operating expenses, exclusive of distribution and service (12b-1) fees and waived Class W management fees (collectively, “excluded expenses”), to 0.75% of the average daily net assets of the Class I shares, 0.80% of the average daily net assets of the Class S shares, 0.65% of the average daily net assets of the Class Z shares, and 0.05% of the average daily net assets of the Class W shares. These contractual waivers are expected to continue indefinitely, and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor may receive from a Class the difference between the Class’s total direct annual fund operating expenses, not including excluded expenses, and the Class’s contractual expense limit to recoup all or a portion of its prior fee waivers (other than Class W management fee waivers) or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, not including excluded expenses, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment.

Pursuant to the advisory fee waiver, the Advisor waived $402,141 in management fees for Class W shares for the year ended October 31, 2019. In addition, pursuant to the separate expense limitation agreement, the Advisor waived or reimbursed expenses of $148,567, $43,628, $45,443, and $45,738 and for Class S, Class I, Class W, and Class Z shares, respectively, for the year ended October 31, 2019. These amounts are included as a reduction of expenses on the Statement of Operations. At October 31, 2019, the Advisor is eligible to recoup $216,157. For the year ended October 31, 2019, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. The Series compensates the distributor for distributing and servicing the Series’ Class S shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, the Series pays distribution and service fees to the distributor at an annual rate of 0.25% of average daily net assets attributable to Class S shares. There are no distribution and service fees on the Class I, Class W or Class Z shares. The fees are accrued daily and paid monthly.

For the year ended October 31, 2019, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $250,123,119 and $517,797,466, respectively. There were no purchases or sales of U.S. Government securities.

Transactions in Class S, Class I, Class W and Class Z shares of Overseas Series were:


CLASS S	FOR THE YEAR ENDED 10/31/19						FOR THE PERIOD 9/21/18 (COMMENCEMENT OF OPERATIONS) TO 10/31/18
CLASS S	SHARES			AMOUNT			SHARES			AMOUNT
Sold		869,816		$	19,478,947			190,967		$	4,553,940
Shares issued in reorganization¹		—			—			23,854,078			589,676,263
Reinvested		192,957			3,994,201			—			—
Repurchased		(12,359,269	)		(283,363,765	)		(1,450,734	)		(33,687,813	)

Total		(11,296,496	)	$	(259,890,617	)		22,594,311		$	560,542,390


CLASS I	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
CLASS I	SHARES			AMOUNT			SHARES			AMOUNT
Sold		730,015		$	16,835,516			1,392,938		$	34,946,149
Reinvested		43,918			909,540			418,319			10,324,113
Repurchased		(4,048,251	)		(91,847,425	)		(26,019,153	)		(645,877,161	)

Total		(3,274,318	)	$	(74,102,369	)		(24,207,896	)	$	(600,606,899	)


CLASS W	FOR THE PERIOD 3/1/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT
Sold		4,947,620		$	114,167,181
Reinvested		—			—
Repurchased		(538,188	)		(12,608,460	)

Total		4,409,432		$	101,558,721



CLASS Z	FOR THE YEAR ENDED 10/31/19						FOR THE PERIOD 5/1/18 (COMMENCEMENT OF OPERATIONS) TO 10/31/18
CLASS Z	SHARES			AMOUNT			SHARES			AMOUNT
Sold		183,003		$	4,382,553			5,468,547		$	135,889,148
Reinvested		46,562			963,827			—			—
Repurchased		(2,854,771	)		(66,762,026	)		(757,033	)		(18,820,922	)

Total		(2,625,206	)	$	(61,415,646	)		4,711,514		$	117,068,226

The Fund has entered into a 364-day, $25 million credit agreement (the “line of credit”) with Bank of New York Mellon. Each series of the Fund may borrow under the line of credit for temporary or emergency purposes, including funding shareholder redemptions and other short-term liquidity purposes. The Fund pays an annual fee on the unused commitment amount, payable quarterly, and is allocated among all the series of the Fund and included in miscellaneous expenses in the Statement of Operations for each series. The line of credit expires in August 2020 unless extended or renewed. Borrowings under this arrangement bear interest at a floating rate equal to the higher of the (i) Federal Funds rate in effect on such day plus 125 basis points or (ii) the 30 day LIBOR plus 125 basis points in effect on that day. This amount, if any, would be included in “Interest expense” in the Statement of Operations. During the year ended October 31, 2019, the Overseas Series average daily amount of borrowings outstanding under the line of credit was $127,397 with a weighted average interest rate of 3.77%. As of October 31, 2019, there was no borrowing outstanding.

governments and their markets may be less liquid and their prices more volatile than those of comparable domestic companies and the U.S. Government.

The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments in the timing of the recognition of net investment income or gains and losses, including losses deferred due to wash sales and foreign currency gains and losses. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. Any such reclassifications are not reflected in the financial highlights.

At October 31, 2019, the tax basis of components of distributable earnings and the net unrealized depreciation based on the identified cost of investments for federal income tax purposes were as follows:

At October 31, 2019, the Series had net short-term capital loss carryforwards of $53,306,525 and net long-term capital loss carryforwards of $439,507,914, which may be carried forward indefinitely.

To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Overseas Series

We have audited the accompanying statement of assets and liabilities, including the investment portfolio, of Overseas Series (one of the series constituting Manning & Napier Fund, Inc., referred to hereafter as the “Fund”) as of October 31, 2019, the related statement of operations for the year ended October 31, 2019, the statement of changes in net assets for each of the two years in the period ended October 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

We have served as the auditor of one or more investment companies in Manning & Napier Mutual Funds since 1992.

All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.

For federal income tax purposes, the Series reports for the current fiscal year $6,127,852 or, if different, the maximum amount allowable under the tax law, as qualified dividend income.

The Series has elected to pass through to its shareholders, foreign source income of $16,528,942 and foreign taxes paid of $1,470,718 for the year ended October 31, 2019.

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30^th is available, without charge, upon request:

The Series’ complete schedule of portfolio holdings for the 1^st and 3^rd quarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

The Pro-Blend^® Series are strategically allocated across stocks, bonds, and cash to balance growth, capital preservation, and income to fit a range of investor risk management priorities.

Each of the Pro-Blend Series Class S shares delivered positive returns over the period, and, with the exception of Moderate Term, outperformed their respective blended benchmarks.

Among the largest contributors to relative returns (i.e., returns compared to the benchmark) was stock selection in Materials, Health Care, Consumer Staples, Information Technology, and Real Estate, as well as from an overweight to Real Estate and underweight to Energy. Additionally, selection within Consumer Discretionary was a large contributor to outperformance for the Maximum Term Series. Underperformance for the Moderate Term Series was largely attributable to positioning within the fixed income portion of the portfolio when compared to the benchmark. Specifically, a shorter duration in a period where interest rates generally fell.

Performance Update as of October 31, 2019 - Pro-Blend^® Conservative Term Series

The following graph compares the value of a $10,000 investment in the Pro-Blend^® Conservative Term Series - Class S for the ten years ended October 31, 2019 to the Bloomberg Barclays U.S. Intermediate Aggregate Bond Index and Conservative Term Composite Benchmark.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 0.87% for Class S, 0.64% for Class I, 1.10% for Class R, 1.59% for Class L and 0.08% for Class W. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 0.87% for Class S, 0.64% for Class I, 1.10% for Class R, 1.59% for Class L and 0.48% for Class W for the year ended October 31, 2019.

³For periods through the inception of Class L on January 4, 2010 and Class R on June 30, 2010, the performance is hypothetical and is based on the historical performance of the Class S shares adjusted for the respective class’ charges and expenses.

⁴For periods through April 1, 2019 (the inception date of the Class W shares), performance for the Class W shares is based on the historical performance of the Class S shares. Because the Class W shares invest in the same portfolio of securities as the Class S shares, performance will be different only to the extent that the Class S shares have a higher expense ratio.

⁵The Bloomberg Barclays U.S Intermediate Aggregate Bond Index is an unmanaged, market-value weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities greater than one year but less than ten years. Index returns do not reflect any fees or expenses. Index returns provided by Interactive Data.

⁶The Conservative Term Composite Benchmark is a blend of the Russell 3000^® Index (Russell 3000), MSCI ACWI ex USA Index (ACWIxUS), and Bloomberg Barclays U.S. Intermediate Aggregate Bond Index (BIAB) in the following weightings: 15% Russell 3000, 5% ACWIxUS, and 80% BIAB through 05/31/2012; and 22% Russell 3000, 8% ACWIxUS, and 70% BIAB beginning 06/01/2012. Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They

Performance Update as of October 31, 2019 - Pro-Blend^® Conservative Term Series

assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BIAB is an unmanaged, market value-weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed, and mortgage-backed securities with maturities of greater than one year but less than ten years. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the fund’s asset allocation will vary over time, the composition of the fund’s portfolio may not match the composition of the Conservative Term Composite Benchmark.

¹Expenses are equal to the Class’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data. The Class’ total return would have been lower had certain expenses not been waived during the period.



PRO-BLEND^®CONSERVATIVE TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS - 26.4%

Communication Services - 2.9%
Diversified Telecommunication Services - 0.1%
AT&T, Inc.		14,790	$	569,268
Verizon Communications, Inc.		14,370		868,954


				1,438,222

Entertainment - 1.3%
Activision Blizzard, Inc.¹		62,530		3,503,556
Electronic Arts, Inc.*¹		25,200		2,429,280
Nexon Co. Ltd. (Japan)*		265,300		3,074,362
Sea Ltd. - ADR (Taiwan)*¹		69,280		2,061,773
The Walt Disney Co.		3,770		489,798


				11,558,769

Interactive Media & Services - 1.3%
Alphabet, Inc. - Class A*		2,025		2,549,070
Alphabet, Inc. - Class C*		2,030		2,558,023
Facebook, Inc. - Class A*		17,060		3,269,549
Tencent Holdings Ltd. - Class H (China)		81,400		3,301,821


				11,678,463

Media - 0.2%
Quebecor, Inc. - Class B (Canada)		35,310		820,888
Shaw Communications, Inc. - Class B (Canada)		40,835		833,380


				1,654,268


Total Communication Services				26,329,722

Consumer Discretionary - 2.2%
Automobiles - 0.0%##
Honda Motor Co. Ltd. - ADR (Japan)		16,763		452,098

Distributors - 0.1%
Genuine Parts Co.		6,465		663,180

Hotels, Restaurants & Leisure - 0.0%##
Hilton Worldwide Holdings, Inc.		1,515		146,894
McDonald’s Corp.		1,115		219,320


				366,214

Household Durables - 0.4%
Sony Corp. - ADR (Japan)		58,870		3,581,062

Internet & Direct Marketing Retail - 0.5%
Amazon.com, Inc.*		1,770		3,144,688
Booking Holdings, Inc.*		870		1,782,430


				4,927,118

Multiline Retail - 0.2%
B&M European Value Retail S.A. (United Kingdom)		61,690		295,952
Dollar General Corp.		4,409		706,939




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Multiline Retail (continued)
Target Corp.		4,245	$	453,833


				1,456,724

Specialty Retail - 0.5%
The Home Depot, Inc.		5,840		1,369,947
Industria de Diseno Textil S.A. (Spain)		100,695		3,137,738
O’Reilly Automotive, Inc.*		881		383,684


				4,891,369

Textiles, Apparel & Luxury Goods - 0.5%
lululemon athletica, Inc.*		18,570		3,793,294
VF Corp.		4,133		340,105


				4,133,399


Total Consumer Discretionary				20,471,164


Consumer Staples - 3.3%
Beverages - 1.5%
Ambev S.A. - ADR (Brazil)		166,325		716,860
Anheuser-Busch InBev S.A./N.V. (Belgium)		37,825		3,053,137
The Coca-Cola Co.		65,615		3,571,424
Diageo plc (United Kingdom)		46,306		1,895,355
PepsiCo, Inc.		32,825		4,502,605


				13,739,381

Food & Staples Retailing - 0.2%
Walgreens Boots Alliance, Inc.		8,091		443,225
Walmart, Inc.		13,766		1,614,201


				2,057,426

Food Products - 0.9%
J&J Snack Foods Corp.		2,932		559,308
Mondelez International, Inc. - Class A		83,351		4,371,760
Nestle S.A. (Switzerland)		32,550		3,482,243


				8,413,311

Household Products - 0.3%
Colgate-Palmolive Co.		14,536		997,170
Kimberly-Clark Corp.		2,957		392,926
The Procter & Gamble Co.		5,560		692,276


				2,082,372

Personal Products - 0.4%
Unilever plc - ADR (United Kingdom)		61,915		3,721,711


Total Consumer Staples				30,014,201



PRO-BLEND^®CONSERVATIVE TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Energy - 1.2%
Energy Equipment & Services - 0.4%
Halliburton Co.		88,090	$	1,695,732
Schlumberger Ltd.		35,130		1,148,400
Transocean Ltd.*		82,610		392,398


				3,236,530

Oil, Gas & Consumable Fuels - 0.8%
BP plc - ADR (United Kingdom)		11,244		426,259
Chevron Corp.		15,435		1,792,621
China Petroleum & Chemical Corp. - ADR (China)		10,382		586,479
ConocoPhillips		4,105		226,596
Equinor ASA - ADR (Norway)		19,974		369,719
Exxon Mobil Corp.		19,228		1,299,236
Marathon Petroleum Corp.		7,828		500,601
Occidental Petroleum Corp.		11,730		475,065
Petroleo Brasileiro S.A. - ADR (Brazil)		35,369		533,718
Royal Dutch Shell plc - Class B - ADR (Netherlands)		2,485		144,851
TOTAL S.A. - ADR (France)		11,736		617,666
Valero Energy Corp.		4,381		424,869


				7,397,680


Total Energy				10,634,210

Financials - 3.3%
Banks - 1.2%
Bank of America Corp.		82,813		2,589,562
Citigroup, Inc.		25,944		1,864,336
JPMorgan Chase & Co.		26,469		3,306,507
KeyCorp		13,023		234,023
The PNC Financial Services Group, Inc.		2,019		296,187
Regions Financial Corp.		13,670		220,087
U.S. Bancorp		11,608		661,888
Wells Fargo & Co.		38,144		1,969,375


				11,141,965

Capital Markets - 1.3%
Ares Management Corp. - Class A		14,065		415,903
BlackRock, Inc.		2,895		1,336,621
The Blackstone Group, Inc. - Class A		9,740		517,778
Cboe Global Markets, Inc.¹		15,630		1,799,794
CME Group, Inc.		8,730		1,796,197
The Goldman Sachs Group, Inc.		1,090		232,584
Intercontinental Exchange, Inc.		20,730		1,955,254
Moody’s Corp.		8,745		1,929,934
Morgan Stanley		2,665		122,723




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Capital Markets (continued)
S&P Global, Inc.		7,680	$	1,981,363


				12,088,151

Diversified Financial Services - 0.5%
Berkshire Hathaway, Inc. - Class B*		20,835		4,429,104

Insurance - 0.3%
The Allstate Corp.		3,280		349,059
American International Group, Inc.		6,010		318,291
Arthur J. Gallagher & Co.		5,460		498,061
Assurant, Inc.		2,100		264,748
Chubb Ltd.		2,503		381,507
Fidelity National Financial, Inc.		5,395		247,307
Lincoln National Corp.		3,505		197,962
Principal Financial Group, Inc.		3,896		207,968


				2,464,903


Total Financials				30,124,123

Health Care - 4.3%
Biotechnology - 0.9%
AbbVie, Inc.		10,180		809,819
Amgen, Inc.		4,450		948,962
BioMarin Pharmaceutical, Inc.*		28,160		2,061,594
Gilead Sciences, Inc		9,956		634,297
Incyte Corp.*		13,170		1,105,226
Seattle Genetics, Inc.*		14,230		1,528,302
Vertex Pharmaceuticals, Inc.*		6,010		1,174,835


				8,263,035

Health Care Equipment & Supplies - 1.0%
Alcon, Inc. (Switzerland)*		27,893		1,653,218
Medtronic plc		65,995		7,186,856


				8,840,074

Health Care Providers & Services - 0.1%
CVS Health Corp.		9,438		626,589

Pharmaceuticals - 2.3%
Bristol-Myers Squibb Co.¹		18,492		1,060,886
GlaxoSmithKline plc (United Kingdom)		11,075		253,673
Johnson & Johnson		54,891		7,247,808
Merck & Co., Inc.		26,893		2,330,547
Merck KGaA (Germany)		31,150		3,715,153
Novartis AG - ADR (Switzerland)		56,360		4,928,118
Pfizer, Inc.		43,135		1,655,090



PRO-BLEND^® CONSERVATIVE TERM SERIES			VALUE
	SHARES		(NOTE 2)

COMMON STOCKS (continued)

Health Care (continued)
Pharmaceuticals (continued)
Sanofi (France)		4,233	$	390,228


				21,581,503


Total Health Care				39,311,201


Industrials - 1.3%
Aerospace & Defense - 0.3%
The Boeing Co.		3,225		1,096,211
Lockheed Martin Corp.		1,838		692,338
United Technologies Corp.		6,291		903,262


				2,691,811

Air Freight & Logistics - 0.1%
United Parcel Service, Inc. - Class B		12,020		1,384,343

Airlines - 0.0%##
Delta Air Lines, Inc.		3,940		217,015

Building Products - 0.1%
Johnson Controls International plc		16,810		728,377

Commercial Services & Supplies - 0.2%
Covanta Holding Corp.		29,245		422,298
Republic Services, Inc.		6,085		532,498
Waste Management, Inc.		9,401		1,054,886


				2,009,682

Electrical Equipment - 0.1%
Eaton Corp. plc		4,321		376,402
Emerson Electric Co.		6,331		444,120


				820,522

Industrial Conglomerates - 0.2%
3M Co.		4,601		759,119
Honeywell International, Inc.		4,593		793,349


				1,552,468

Machinery - 0.1%
Caterpillar, Inc.		4,149		571,732
Illinois Tool Works, Inc.		2,586		435,948


				1,007,680

Road & Rail - 0.2%
Kansas City Southern		4,844		681,938
Union Pacific Corp.		4,742		784,611


				1,466,549


Total Industrials				11,878,447


Information Technology - 4.1%
Communications Equipment - 0.1%
Cisco Systems, Inc.		21,490		1,020,990



			VALUE
	SHARES		(NOTE 2)

COMMON STOCKS (continued)

Information Technology (continued)
Electronic Equipment, Instruments & Components - 0.1%
Cognex Corp.		17,385	$	895,154

IT Services - 1.7%
International Business Machines Corp.		6,072		812,009
InterXion Holding N.V. (Netherlands)*		44,910		3,961,960
Mastercard, Inc. - Class A		20,210		5,594,330
Visa, Inc. - Class A¹		28,235		5,050,112


				15,418,411

Semiconductors & Semiconductor Equipment - 1.2%
Broadcom, Inc.		2,571		752,918
Intel Corp.		46,248		2,614,399
Micron Technology, Inc.*		101,880		4,844,394
NVIDIA Corp.		9,715		1,952,909
Texas Instruments, Inc.		6,488		765,519


				10,930,139

Software - 1.0%
Microsoft Corp.		41,955		6,015,088
ServiceNow, Inc.*¹		12,240		3,026,462


				9,041,550


Total Information Technology				37,306,244


Materials - 0.4%
Chemicals - 0.2%
Dow, Inc.		8,820		445,322
FMC Corp.		5,155		471,682
RPM International, Inc.		8,500		615,655


				1,532,659

Containers & Packaging - 0.1%
Graphic Packaging Holding Co.		43,591		682,635
Sealed Air Corp.		12,205		509,803


				1,192,438

Metals & Mining - 0.1%
BHP Group Ltd. - ADR (Australia)		13,649		667,573
Rio Tinto plc - ADR (Australia)		10,425		542,204


				1,209,777


Total Materials				3,934,874


Real Estate - 3.2%
Equity Real Estate Investment Trusts (REITS) - 3.2%
Acadia Realty Trust		3,435		96,110
Agree Realty Corp.		2,150		169,354
Alexandria Real Estate Equities, Inc.		770		122,237



PRO-BLEND^® CONSERVATIVE TERM SERIES			VALUE
	SHARES		(NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
American Campus Communities, Inc.		5,700	$	284,886
American Homes 4 Rent - Class A		19,370		512,724
American Tower Corp.		7,920		1,727,194
Americold Realty Trust		10,650		426,958
Apartment Investment & Management Co. - Class A		9,252		507,750
AvalonBay Communities, Inc.		4,935		1,074,152
Boston Properties, Inc.		2,896		397,331
Brandywine Realty Trust		27,195		415,540
Camden Property Trust		3,355		383,711
Community Healthcare Trust, Inc.		13,692		662,967
Cousins Properties, Inc.		17,646		708,134
Crown Castle International Corp.		5,428		753,352
CubeSmart		3,030		96,051
Digital Realty Trust, Inc.		2,840		360,794
Douglas Emmett, Inc.		7,525		325,983
Equinix, Inc.		7,645		4,333,033
Equity LifeStyle Properties, Inc.		4,350		304,239
Equity Residential		5,810		515,115
Essential Properties Realty Trust, Inc.		12,607		323,496
Essex Property Trust, Inc.		1,259		411,857
Extra Space Storage, Inc.		1,110		124,620
Federal Realty Investment Trust		775		105,408
First Industrial Realty Trust, Inc.		5,085		214,129
Getty Realty Corp.		6,000		201,240
Healthcare Realty Trust, Inc.		16,550		575,444
Healthcare Trust of America, Inc. - Class A		11,975		371,225
Healthpeak Properties, Inc.		13,535		509,187
Hibernia REIT plc (Ireland)		105,835		164,781
Host Hotels & Resorts, Inc.		11,150		182,748
Independence Realty Trust, Inc.		38,675		595,595
Invitation Homes, Inc.		21,450		660,446
Jernigan Capital, Inc.		21,250		403,538
Kilroy Realty Corp.		1,331		111,711
Lexington Realty Trust		13,005		141,494
Liberty Property Trust		5,255		310,413
Life Storage, Inc.		1,495		162,835
Mid-America Apartment Communities, Inc.		1,605		223,079
National Retail Properties, Inc.		5,600		329,896
National Storage Affiliates Trust		5,490		187,593
Omega Healthcare Investors, Inc.		5,305		233,632
Physicians Realty Trust		32,350		603,974



	SHARES/
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Plymouth Industrial REIT, Inc.		16,859	$	317,961
Prologis, Inc.		12,340		1,082,958
Public Storage		2,125		473,578
Realty Income Corp.		1,640		134,136
SBA Communications Corp.		7,290		1,754,338
Simon Property Group, Inc.		4,885		736,072
STAG Industrial, Inc.		15,820		491,053
STORE Capital Corp.		4,710		190,755
Sun Communities, Inc.		2,965		482,257
Sunstone Hotel Investors, Inc.		9,220		124,562
UDR, Inc.		7,858		394,864
UMH Properties, Inc.		7,070		105,555
Urban Edge Properties		13,135		277,280
Ventas, Inc.		5,717		372,177
VEREIT, Inc.		35,665		350,944
Vornado Realty Trust		2,025		132,901
Weingarten Realty Investors		8,610		273,195
Welltower, Inc.		5,279		478,753


Total Real Estate				29,499,295


Utilities - 0.2%
Electric Utilities - 0.0%##
Exelon Corp.		7,455		339,128


Independent Power and Renewable Electricity Producers - 0.1%
Boralex, Inc. - Class A (Canada)		14,085		233,128
Innergex Renewable Energy, Inc. (Canada)		23,430		292,453
Northland Power, Inc. (Canada)		14,100		281,550
Pattern Energy Group, Inc. - Class A		9,091		254,821


				1,061,952

Multi-Utilities - 0.1%
CMS Energy Corp.¹		10,611		678,255


Total Utilities				2,079,335


TOTAL COMMON STOCKS (Identified Cost $203,636,364)				241,582,816


CORPORATE BONDS - 20.2%

Non-Convertible Corporate Bonds - 20.2%
Communication Services - 4.0%
Diversified Telecommunication Services - 2.0%
AT&T, Inc., 4.25%, 3/1/2027		6,620,000		7,270,783
CenturyLink, Inc., 5.625%, 4/1/2020		85,000		86,062



PRO-BLEND^® CONSERVATIVE
TERM SERIES	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Communication Services (continued)
Diversified Telecommunication Services (continued)
Verizon Communications, Inc., 5.25%, 3/16/2037		8,320,000	$	10,479,690


				17,836,535

Interactive Media & Services - 0.6%
Tencent Holdings Ltd. (China)³, 3.975%, 4/11/2029		4,790,000		5,155,092

Media - 1.4%
Cablevision Systems Corp., 8.00%, 4/15/2020		85,000		87,125
Comcast Corp., 3.25%, 11/1/2039		5,180,000		5,251,567
Diamond Sports Group LLC - Diamond Sports Finance Co.³, 6.625%, 8/15/2027		130,000		133,900
Discovery Communications LLC, 5.20%, 9/20/2047		6,640,000		7,261,212
Entercom Media Corp.³, 7.25%, 11/1/2024		45,000		46,912
Townsquare Media, Inc.³, 6.50%, 4/1/2023		90,000		89,100


				12,869,816

Wireless Telecommunication Services - 0.0%##
Sprint Communications, Inc., 7.00%, 8/15/2020		205,000		211,185
Sprint Corp., 7.25%, 9/15/2021		85,000		90,700
Sprint Corp., 7.125%, 6/15/2024		85,000		92,225


				394,110


Total Communication Services				36,255,553


Consumer Discretionary - 2.6%
Auto Components - 0.0%##
American Axle & Manufacturing, Inc., 6.25%, 4/1/2025		45,000		43,369
Techniplas LLC³, 10.00%, 5/1/2020		110,000		92,950


				136,319

Automobiles - 0.7%
General Motors Financial Co., Inc., 3.15%, 1/15/2020		6,700,000		6,709,058

Diversified Consumer Services - 0.0%##
GEMS MENASA Cayman Ltd. - GEMS Education Delaware LLC (United Arab Emirates)³, 7.125%, 7/31/2026		140,000		145,075

Household Durables - 0.1%
Ashton Woods USA LLC - Ashton Woods Finance Co.³, 6.75%, 8/1/2025		90,000		90,450




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Household Durables (continued)
LGI Homes, Inc^.3, 6.875%, 7/15/2026		175,000	$	181,125
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		180,000		182,700


				454,275

Internet & Direct Marketing Retail - 1.8%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027 5,140,000				5,338,720
Booking Holdings, Inc., 3.60%, 6/1/2026		10,080,000		10,913,187
Photo Holdings Merger Sub, Inc.³, 8.50%, 10/1/2026		135,000		118,818


				16,370,725

Specialty Retail - 0.0%##
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.³, 12.25%, 11/15/2026 130,000				130,663
Staples, Inc.³, 7.50%, 4/15/2026		135,000		140,427


				271,090


Total Consumer Discretionary				24,086,542


Consumer Staples - 0.2%
Beverages - 0.2%
Constellation Brands, Inc., 2.00%, 11/7/2019		2,000,000		1,999,953

Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE
Finance Corp.³, 8.625%, 10/15/2026		125,000		128,203


Total Consumer Staples				2,128,156


Energy - 3.8%
Energy Equipment & Services - 0.0%##
Nabors Industries, Inc., 5.50%, 1/15/2023		90,000		76,050
Shelf Drilling Holdings Ltd. (United
Arab Emirates)³, 8.25%, 2/15/2025		90,000		75,600


				151,650

Oil, Gas & Consumable Fuels - 3.8%
Antero Midstream Partners LP - Antero Midstream Finance Corp.³, 5.75%, 3/1/2027		90,000		66,937
Antero Midstream Partners LP - Antero Midstream Finance Corp.³, 5.75%, 1/15/2028		90,000		67,950



PRO-BLEND^® CONSERVATIVE
TERM SERIES	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Bruin E&P Partners LLC³, 8.875%, 8/1/2023		90,000	$	59,400
Calumet Specialty Products Partners LP - Calumet Finance Corp.³, 11.00%, 4/15/2025		135,000		135,338
Energy Transfer Operating LP, 6.50%, 2/1/2042		4,570,000		5,473,502
Jonah Energy LLC - Jonah Energy Finance Corp.³, 7.25%, 10/15/2025		180,000		50,400
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		5,550,000		7,174,610
Kinder Morgan, Inc., 3.05%, 12/1/2019		6,670,000		6,674,551
Lonestar Resources America, Inc.³, 11.25%, 1/1/2023		90,000		63,000
Moss Creek Resources Holdings, Inc.³, 10.50%, 5/15/2027		30,000		23,175
NuStar Logistics LP, 6.75%, 2/1/2021		85,000		88,075
Rockies Express Pipeline LLC³, 5.625%, 4/15/2020		130,000		132,184
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		7,640,000		8,772,642
Southwestern Energy Co.⁴, 6.20%, 1/23/2025		90,000		79,200
W&T Offshore, Inc.³, 9.75%, 11/1/2023		45,000		42,188
The Williams Companies, Inc., 3.75%, 6/15/2027		5,150,000		5,369,619


				34,272,771


Total Energy				34,424,421

Financials - 4.3%
Banks - 3.8%
Bank of America Corp., 4.00%, 1/22/2025		10,060,000		10,730,188
Citigroup, Inc., 8.125%, 7/15/2039		3,240,000		5,330,021
Credit Suisse AG (Switzerland), 5.40%, 1/14/2020		6,550,000		6,592,444
JPMorgan Chase & Co.⁵, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		4,560,000		4,869,158
Santander Holdings USA, Inc., 4.50%, 7/17/2025		6,590,000		7,101,374


				34,623,185




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Financials (continued)
Capital Markets - 0.4%
AG Merger Sub II, Inc.³, 10.75%, 8/1/2027		90,000	$	89,100
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		175,000		182,000
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025		3,180,000		3,425,340


				3,696,440

Consumer Finance - 0.0%##
Navient Corp., 5.00%, 10/26/2020		135,000		137,491
SLM Corp., 5.125%, 4/5/2022		175,000		180,688


				318,179

Diversified Financial Services - 0.1%
Fidelity & Guaranty Life Holdings, Inc.³, 5.50%, 5/1/2025		85,000		90,738
Global Aircraft Leasing Co. Ltd. (Cayman Islands)^3,6, 6.50%, 9/15/2024		135,000		138,166
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)³, 10.50%, 6/1/2024		135,000		131,288


				360,192

Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.³, 7.00%, 11/15/2025		150,000		137,249
Radian Group, Inc., 4.875%, 3/15/2027		180,000		186,750


				323,999


Total Financials				39,321,995

Health Care - 0.6%
Health Care Providers & Services - 0.6%
HCA, Inc., 4.125%, 6/15/2029		5,100,000		5,402,965

Industrials - 2.3%
Commercial Services & Supplies - 0.1%
The ADT Security Corp., 6.25%, 10/15/2021		85,000		90,631
Prime Security Services Borrower LLC - Prime Finance, Inc.³, 5.75%, 4/15/2026		85,000		87,100
Stericycle, Inc.³, 5.375%, 7/15/2024		180,000		187,200


				364,931

Construction & Engineering - 0.0%##
HC2 Holdings, Inc.³, 11.50%, 12/1/2021		45,000		41,006



PRO-BLEND^® CONSERVATIVE
TERM SERIES	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Construction & Engineering (continued)
Tutor Perini Corp.³, 6.875%, 5/1/2025		180,000	$	179,523


				220,529


Industrial Conglomerates - 0.6%
General Electric Co.^5,7, (3 mo. LIBOR US + 3.330%), 5.00%		5,550,000		5,348,812


Marine - 0.1%
American Tanker, Inc. (Norway)³, 9.25%, 2/22/2022		225,000		226,262
Borealis Finance LLC³, 7.50%, 11/16/2022		190,000		178,600
Global Ship Lease, Inc. (United Kingdom)³, 9.875%, 11/15/2022		200,000		207,500


				612,362


Trading Companies & Distributors - 1.5%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 4.45%, 10/1/2025		6,440,000		6,987,903
Air Lease Corp., 3.625%, 4/1/2027		6,600,000		6,884,908
Fortress Transportation & Infrastructure Investors LLC³, 6.50%, 10/1/2025		135,000		136,350


				14,009,161


Total Industrials				20,555,795


Information Technology - 0.0%##

Communications Equipment - 0.0%##
Hughes Satellite Systems Corp., 5.25%, 8/1/2026		170,000		182,113


Materials - 0.8%

Chemicals - 0.0%##
CF Industries, Inc., 7.125%, 5/1/2020		85,000		87,043
Olin Corp., 5.625%, 8/1/2029		90,000		93,444


				180,487


Containers & Packaging - 0.0%##
ARD Securities Finance S.A.R.L (Luxembourg)^3,6, 8.75%, 1/31/2023		52,187		54,275
Berry Global, Inc.³, 4.50%, 2/15/2026		65,000		65,406
Mauser Packaging Solutions Holding Co.³, 7.25%, 4/15/2025		95,000		90,844


				210,525


	PRINCIPAL AMOUNT²/ SHARES		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)

Materials (continued)

Metals & Mining - 0.8%
Infrabuild Australia Pty Ltd. (Australia)³, 12.00%, 10/1/2024		135,000	$	137,581
Mountain Province Diamonds, Inc. (Canada)³, 8.00%, 12/15/2022		180,000		174,600
Northwest Acquisitions ULC - Dominion Finco, Inc.³, 7.125%, 11/1/2022		180,000		90,000
Southern Copper Corp. (Peru), 5.375%, 4/16/2020		6,740,000		6,823,149
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.³, 7.50%, 6/15/2025		45,000		38,250


				7,263,580


Total Materials				7,654,592


Real Estate - 1.6%

Equity Real Estate Investment Trusts (REITS) - 1.6%
American Tower Corp., 3.80%, 8/15/2029		6,410,000		6,852,501
Crown Castle International Corp., 3.10%, 11/15/2029		6,780,000		6,889,476
GTP Acquisition Partners I LLC³, 2.35%, 6/15/2020		945,000		945,330


				14,687,307


Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.³, 7.875%, 11/15/2025		135,000		127,598
Forestar Group, Inc.³, 8.00%, 4/15/2024		85,000		91,375


				218,973


Total Real Estate				14,906,280


TOTAL CORPORATE BONDS
(Identified Cost $177,718,518)				184,918,412


MUTUAL FUNDS - 0.4%
iShares Russell 1000 Value ETF		15,780		2,052,504
Schwab U.S. Dividend Equity ETF		26,461		1,469,115


TOTAL MUTUAL FUNDS
(Identified Cost $3,395,953)				3,521,619



PRO-BLEND^® CONSERVATIVE
TERM SERIES	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

U.S. TREASURY SECURITIES - 21.5%

U.S. Treasury Bonds - 1.5%
U.S. Treasury Bond, 3.00%, 5/15/2047		7,645,000	$	8,951,817
U.S. Treasury Inflation Indexed Bond, 0.75%, 2/15/2042		4,853,424		5,099,916

Total U.S. Treasury Bonds
(Identified Cost $13,641,527)				14,051,733


U.S. Treasury Notes - 20.0%
U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020		36,867,128		36,669,831
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		17,725,581		17,958,612
U.S. Treasury Note, 2.625%, 5/15/2021		17,785,000		18,062,891
U.S. Treasury Note, 2.50%, 8/15/2023		26,540,000		27,485,488
U.S. Treasury Note, 2.50%, 5/15/2024		26,140,000		27,242,781
U.S. Treasury Note, 2.125%, 5/15/2025		26,365,000		27,136,382
U.S. Treasury Note, 1.625%, 5/15/2026		27,785,000		27,829,499

Total U.S. Treasury Notes
(Identified Cost $179,503,338)				182,385,484


TOTAL U.S. TREASURY SECURITIES
(Identified Cost $193,144,865)				196,437,217


ASSET-BACKED SECURITIES - 6.2%

CarMax Auto Owner Trust, Series 2017-3, Class A3, 1.97%, 4/15/2022		1,613,153		1,612,780
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A³, 2.00%, 12/10/2023		13,919		13,912
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A³, 3.561%, 7/15/2030		1,346,738		1,356,517
Chesapeake Funding II LLC, Series 2017-2A, Class A1 (Canada)³, 1.99%, 5/15/2029		3,735,757		3,734,598
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (Canada)³, 2.12%, 11/15/2029		1,216,837		1,216,854
Commonbond Student Loan Trust, Series 2019-AGS, Class A1³, 2.54%, 1/25/2047		2,500,000		2,499,146
Credit Acceptance Auto Loan Trust, Series 2017-1A, Class A³, 2.56%, 10/15/2025		288,082		288,197




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

ASSET-BACKED SECURITIES (continued)

Enterprise Fleet Financing LLC, Series 2016-2, Class A3³, 2.04%, 2/22/2022		827,711	$	827,336
Home Partners of America Trust, Series 2019-1, Class A³, 2.908%, 9/17/2039		3,040,520		3,101,331
Hyundai Auto Lease Securitization Trust, Series 2017-B, Class A3³, 1.97%, 7/15/2020		402,139		402,114
Invitation Homes Trust, Series 2017-SFR2, Class A^3,8, (1 mo. LIBOR US + 0.850%), 2.739%, 12/17/2036		722,974		721,958
Invitation Homes Trust, Series 2017-SFR2, Class B^3,8, (1 mo. LIBOR US + 1.150%), 3.039%, 12/17/2036		570,000		570,535
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A1³, 2.82%, 2/15/2068		2,678,876		2,705,124
Navient Private Education Refi Loan Trust, Series 2019-EA, Class A2A³, 2.64%, 5/15/2068		3,000,000		3,035,420
Navient Student Loan Trust, Series 2019-2A, Class A2^3,8, (1 mo. LIBOR US + 1.000%), 2.823%, 2/27/2068		6,500,000		6,556,466
Progress Residential Trust, Series 2017-SFR2, Class A³, 2.897%, 12/17/2034		1,500,000		1,507,470
Progress Residential Trust, Series 2019-SFR2, Class A³, 3.147%, 5/17/2036		3,250,000		3,306,407
Progress Residential Trust, Series 2019-SFR4, Class A³, 2.687%, 10/17/2036		4,200,000		4,217,940
SBA Small Business Investment Companies, Series 2015-10A, Class 1, 2.517%, 3/10/2025		655,038		666,065
SoFi Consumer Loan Program LLC, Series 2017-4, Class A³, 2.50%, 5/26/2026		306,112		306,920
SoFi Consumer Loan Program Trust, Series 2019-2, Class A³, 3.01%, 4/25/2028		2,100,469		2,116,913
SoFi Consumer Loan Program Trust, Series 2019-3, Class A³, 2.90%, 5/25/2028		2,636,675		2,655,438
SoFi Professional Loan Program LLC, Series 2017-C, Class A2A³, 1.75%, 7/25/2040		13,930		13,923
SoFi Professional Loan Program LLC, Series 2017-D, Class A2FX³, 2.65%, 9/25/2040		1,388,318		1,399,998



PRO-BLEND^® CONSERVATIVE
TERM SERIES	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

ASSET-BACKED SECURITIES (continued)

SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX³, 2.05%, 1/25/2041		166,574	$	166,562
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX³, 2.84%, 1/25/2041		500,000		507,425
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A³, 2.39%, 2/25/2042		551,560		552,623
SoFi Professional Loan Program Trust, Series 2018-C, Class A1FX³, 3.08%, 1/25/2048		1,708,614		1,719,318
Tax Ease Funding LLC, Series 2016-1A, Class A³, 3.131%, 6/15/2028		297,823		297,756
Towd Point Mortgage Trust, Series 2016-5, Class A1^3,9, 2.50%, 10/25/2056		1,507,669		1,513,435
Towd Point Mortgage Trust, Series 2017-1, Class A1^3,9, 2.75%, 10/25/2056		2,014,602		2,038,440
Towd Point Mortgage Trust, Series 2019-HY1, Class A1^3,8, (1 mo. LIBOR US + 1.000%), 2.823%, 10/25/2048		1,829,783		1,839,557
Tricon American Homes Trust, Series 2016-SFR1, Class A³, 2.589%, 11/17/2033		1,760,418		1,760,046
Tricon American Homes Trust, Series 2017-SFR2, Class A³, 2.928%, 1/17/2036		1,839,781		1,867,369


TOTAL ASSET-BACKED SECURITIES
(Identified Cost $56,606,723)				57,095,893


COMMERCIAL MORTGAGE-BACKED SECURITIES - 6.8%
Americold LLC Trust, Series 2010-ARTA, Class A1³, 3.847%, 1/14/2029		76,832		77,599
BWAY Mortgage Trust, Series 2015-1740, Class A³, 2.917%, 1/10/2035		4,633,000		4,745,620
Caesars Palace Las Vegas Trust, Series 2017-VICI, Class A³, 3.531%, 10/15/2034		2,520,000		2,620,647
CIM Trust, Series 2019-INV1, Class A1^3,9, 4.00%, 2/25/2049		1,155,530		1,180,747
Commercial Mortgage Pass-Through Certificates, Series 2015-3BP, Class A³, 3.178%, 2/10/2035		500,000		524,534




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

Commercial Mortgage Pass-Through Certificates, Series 2015-DC1, Class A5, 3.35%, 2/10/2048		4,455,000	$	4,684,451
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A1^3,9, 2.50%, 5/25/2043		1,091,056		1,079,578
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A1^3,9, 2.13%, 2/25/2043		726,263		710,253
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		2,318,747		2,420,648
Fannie Mae-Aces, Series 2017-M15, Class A1⁹, 2.959%, 9/25/2027		3,177,088		3,329,073
FDIC Trust, Series 2011-R1, Class A³, 2.672%, 7/25/2026		10,004		9,986
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)⁹, 1.26%, 8/25/2020		19,443,659		139,605
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)⁹, 1.149%, 4/25/2021		2,565,927		35,809
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)⁹, 1.478%, 10/25/2021		6,013,692		148,831
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)⁹, 1.298%, 12/25/2021		7,716,962		171,343
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)⁹, 1.428%, 6/25/2022		14,611,508		470,207
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)⁹, 0.188%, 4/25/2023		73,512,046		443,711
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class X1 (IO)⁹, 0.098%, 5/25/2023		45,556,865		177,813
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		2,444,259		2,477,287
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		2,123,692		2,168,042
FREMF Mortgage Trust, Series 2011-K13, Class B^3,9, 4.612%, 1/25/2048		2,255,000		2,313,123
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)³, 0.10%, 6/25/2046		194,709,611		521,744



PRO-BLEND^® CONSERVATIVE
TERM SERIES	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

FREMF Mortgage Trust, Series 2013-K712, Class B^3,9, 3.263%, 5/25/2045		1,025,000	$	1,023,983
FREMF Mortgage Trust, Series 2014-K41, Class B^3,9, 3.832%, 11/25/2047		2,227,000		2,337,662
FREMF Mortgage Trust, Series 2014-K716, Class B^3,9, 3.948%, 8/25/2047		2,624,000		2,694,173
FREMF Mortgage Trust, Series 2015-K42, Class B^3,9, 3.851%, 12/25/2024		490,000		513,346
FREMF Mortgage Trust, Series 2015-K43, Class B^3,9, 3.734%, 2/25/2048		500,000		520,356
FREMF Mortgage Trust, Series 2015-K720, Class B^3,9, 3.391%, 7/25/2022		270,000		275,836
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		2,389,628		2,409,638
GS Mortgage Securities Trust, Series 2010-C2, Class A1³, 3.849%, 12/10/2043		36,448		36,662
JP Morgan Mortgage Trust, Series 2013-1, Class 1A2^3,9, 3.00%, 3/25/2043		578,583		584,246
JP Morgan Mortgage Trust, Series 2013-2, Class A2^3,9, 3.50%, 5/25/2043		619,755		631,853
JP Morgan Mortgage Trust, Series 2014-2, Class 1A1^3,9, 3.00%, 6/25/2029		789,400		801,782
JP Morgan Mortgage Trust, Series 2017-3, Class 1A5^3,9, 3.50%, 8/25/2047		2,121,321		2,146,677
JP Morgan Mortgage Trust, Series 2017-6, Class A3^3,9, 3.50%, 12/25/2048		1,182,482		1,202,608
JP Morgan Mortgage Trust, Series 2017-6, Class A5^3,9, 3.50%, 12/25/2048		1,764,964		1,789,282
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX3^3,9, 3.75%, 11/25/2054		668,970		695,885
New Residential Mortgage Loan Trust, Series 2015-2A, Class A1^3,9, 3.75%, 8/25/2055		751,219		783,183
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1^3,9, 3.75%, 11/25/2056		1,002,427		1,045,546
Sequoia Mortgage Trust, Series 2013-2, Class A⁹, 1.874%, 2/25/2043		728,243		702,135




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

Sequoia Mortgage Trust, Series 2013-7, Class A2⁹, 3.00%, 6/25/2043		737,943	$	743,317
Sequoia Mortgage Trust, Series 2013-8, Class A1⁹, 3.00%, 6/25/2043		909,336		919,602
Starwood Retail Property Trust, Series 2014-STAR, Class A^3,8, (1 mo. LIBOR US + 1.220%), 3.134%, 11/15/2027		2,065,176		2,061,460
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A^3,9, 2.86%, 12/25/2035		3,013,416		3,030,591
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX³, 4.004%, 9/13/2028		155,000		156,087
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A^3,8, (1 mo. LIBOR US + 1.050%), 2.971%, 12/15/2033		2,125,000		2,126,318
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2³, 4.393%, 11/15/2043		265,000		268,503
WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class A4^3,9, 4.869%, 2/15/2044		810,878		829,944
WinWater Mortgage Loan Trust, Series 2015-1, Class A1^3,9, 3.50%, 1/20/2045		835,583		850,891
WinWater Mortgage Loan Trust, Series 2015-3, Class A5^3,9, 3.50%, 3/20/2045		578,792		580,106


TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $61,166,964)				62,212,323


FOREIGN GOVERNMENT BONDS - 1.1%

Canadian Government Bond (Canada), 2.75%, 6/1/2022	CAD	327,000		256,066
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020		8,725,000		8,775,126
Mexican Government Bond (Mexico), 8.00%, 6/11/2020	MXN	7,267,000		380,457
Mexican Government Bond (Mexico), 6.50%, 6/10/2021	MXN	2,725,000		141,342
Mexican Government Bond (Mexico), 6.50%, 6/9/2022	MXN	4,996,000		259,411
Mexican Government Bond (Mexico), 7.75%, 5/29/2031	MXN	908,000		50,479

TOTAL FOREIGN GOVERNMENT
BONDS
(Identified Cost $10,242,524)				9,862,881



PRO-BLEND^® CONSERVATIVE
TERM SERIES	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES - 14.9%

Mortgage-Backed Securities - 14.9%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021		61,917	$	62,812
Fannie Mae, Pool #995233, 5.50%, 10/1/2021		2,437		2,460
Fannie Mae, Pool #888017, 6.00%, 11/1/2021		12,554		12,824
Fannie Mae, Pool #995329, 5.50%, 12/1/2021		46,999		47,723
Fannie Mae, Pool #888136, 6.00%, 12/1/2021		14,109		14,436
Fannie Mae, Pool #888815, 4.50%, 11/1/2022		9,178		9,460
Fannie Mae, Pool #888810, 5.50%, 11/1/2022		74,608		75,595
Fannie Mae, Pool #AA1563, 4.50%, 2/1/2024		12,070		12,437
Fannie Mae, Pool #AC1557, 4.50%, 9/1/2024		38,154		39,735
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024		15,943		16,739
Fannie Mae, Pool #AL9409, 3.50%, 11/1/2031		2,942,191		3,057,720
Fannie Mae, Pool #MA3463, 4.00%, 9/1/2033		3,134,706		3,273,053
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034		581,652		625,137
Fannie Mae, Pool #MA1903, 4.50%, 5/1/2034		675,564		726,074
Fannie Mae, Pool #FM1158, 3.50%, 6/1/2034		4,350,570		4,507,275
Fannie Mae, Pool #745418, 5.50%, 4/1/2036		380,132		427,970
Fannie Mae, Pool #886904, 6.50%, 9/1/2036		51,122		57,907
Fannie Mae, Pool #909786, 5.50%, 3/1/2037		123,118		137,938
Fannie Mae, Pool #918516, 5.50%, 6/1/2037		46,536		52,154
Fannie Mae, Pool #933521, 5.00%, 1/1/2038		10,173		11,194
Fannie Mae, Pool #889260, 5.00%, 4/1/2038		15,659		17,244
Fannie Mae, Pool #889576, 6.00%, 4/1/2038		352,281		405,366
Fannie Mae, Pool #912948, 5.00%, 5/1/2038		8,386		8,961
Fannie Mae, Pool #975840, 5.00%, 5/1/2038		33,490		35,766
Fannie Mae, Pool #889624, 5.50%, 5/1/2038		307,154		345,109




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Fannie Mae, Pool #MA3412, 3.50%, 7/1/2038		5,352,382	$	5,546,731
Fannie Mae, Pool #995196, 6.00%, 7/1/2038		471,689		542,790
Fannie Mae, Pool #986458, 6.00%, 8/1/2038		8,972		10,264
Fannie Mae, Pool #987831, 6.00%, 9/1/2038		9,734		10,751
Fannie Mae, Pool #990897, 6.00%, 9/1/2038		26,470		29,244
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038		58,897		67,759
Fannie Mae, Pool #993920, 6.00%, 11/1/2038		76,384		84,362
Fannie Mae, Pool #257497, 6.00%, 12/1/2038		15,788		18,116
Fannie Mae, Pool #971022, 5.00%, 1/1/2039		29,091		32,050
Fannie Mae, Pool #AA1810, 5.00%, 1/1/2039		79,932		88,130
Fannie Mae, Pool #890294, 5.50%, 1/1/2039		599,611		673,560
Fannie Mae, Pool #AD0307, 5.50%, 1/1/2039		314,769		353,531
Fannie Mae, Pool #983686, 5.00%, 2/1/2039		29,492		31,514
Fannie Mae, Pool #AE0604, 6.00%, 7/1/2039		364,249		419,141
Fannie Mae, Pool #AA6788, 6.00%, 8/1/2039		123,714		137,079
Fannie Mae, Pool #AC0463, 5.00%, 11/1/2039		49,586		54,728
Fannie Mae, Pool #AC5111, 5.00%, 11/1/2039		82,655		90,470
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		795,072		861,310
Fannie Mae, Pool #MA0259, 5.00%, 12/1/2039		44,870		49,593
Fannie Mae, Pool #AC8573, 5.00%, 1/1/2040		70,666		78,007
Fannie Mae, Pool #890326, 5.50%, 1/1/2040		639,835		718,900
Fannie Mae, Pool #AL1595, 6.00%, 1/1/2040		450,251		518,135
Fannie Mae, Pool #AE0061, 6.00%, 2/1/2040		183,773		211,330
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040		616,013		708,099
Fannie Mae, Pool #AI5172, 4.00%, 8/1/2041		421,679		451,276



PRO-BLEND^® CONSERVATIVE
TERM SERIES	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AL1410, 4.50%, 12/1/2041		977,318	$	1,059,550
Fannie Mae, Pool #AB4300, 3.50%, 1/1/2042		244,922		257,034
Fannie Mae, Pool #AL7729, 4.00%, 6/1/2043		560,804		599,985
Fannie Mae, Pool #AS3622, 3.50%, 10/1/2044		12,760,123		13,437,317
Fannie Mae, Pool #AX5234, 4.50%, 11/1/2044		737,553		782,973
Fannie Mae, Pool #AS4103, 4.50%, 12/1/2044		817,040		879,233
Fannie Mae, Pool #AZ2001, 3.50%, 5/1/2045		2,443,217		2,552,805
Fannie Mae, Pool #AZ9215, 4.00%, 10/1/2045		742,464		781,873
Fannie Mae, Pool #BC3490, 3.50%, 2/1/2046		1,868,408		1,947,748
Fannie Mae, Pool #AS6613, 4.00%, 2/1/2046		4,951,225		5,228,340
Fannie Mae, Pool #BC6764, 3.50%, 4/1/2046		1,373,737		1,431,509
Fannie Mae, Pool #BC8677, 4.00%, 5/1/2046		441,522		465,168
Fannie Mae, Pool #BC2098, 4.00%, 6/1/2046		929,306		978,697
Fannie Mae, Pool #MA2670, 3.00%, 7/1/2046		2,093,009		2,150,541
Fannie Mae, Pool #BD2179, 4.00%, 7/1/2046		191,848		202,142
Fannie Mae, Pool #MA2705, 3.00%, 8/1/2046		2,402,906		2,466,259
Fannie Mae, Pool #BD6987, 4.00%, 10/1/2046		1,144,869		1,202,922
Fannie Mae, Pool #BD6997, 4.00%, 10/1/2046		783,656		823,596
Fannie Mae, Pool #BE3812, 4.00%, 12/1/2046		675,144		709,250
Fannie Mae, Pool #BE7845, 4.50%, 2/1/2047		747,110		788,873
Fannie Mae, Pool #MA3184, 4.50%, 11/1/2047		2,519,262		2,658,009
Fannie Mae, Pool #CA1922, 5.00%, 6/1/2048		2,938,389		3,150,139
Fannie Mae, Pool #CA2056, 4.50%, 7/1/2048		1,705,347		1,799,983
Fannie Mae, Pool #MA3443, 4.00%, 8/1/2048		2,930,532		3,039,627
Fannie Mae, Pool #BK9366, 4.50%, 8/1/2048		2,172,880		2,287,120




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Fannie Mae, Pool #BK9598, 4.50%, 8/1/2048		2,334,294	$	2,461,041
Fannie Mae, Pool #CA2219, 5.00%, 8/1/2048		1,454,110		1,558,867
Fannie Mae, Pool #CA2373, 5.00%, 9/1/2048		5,413,446		5,803,321
Fannie Mae, Pool #MA3521, 4.00%, 11/1/2048		5,849,658		6,072,743
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		1,112,858		1,252,737
Fannie Mae, Pool #MA3692, 3.50%, 7/1/2049		6,684,384		6,857,530
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		1,066		1,069
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		17,953		18,398
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		12,330		12,677
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		18,133		18,742
Freddie Mac, Pool #C91746, 4.50%, 12/1/2033		105,461		113,374
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		894,620		962,026
Freddie Mac, Pool #QN0349, 3.00%, 8/1/2034		3,701,041		3,791,929
Freddie Mac, Pool #G07655, 5.50%, 12/1/2035		99,369		111,761
Freddie Mac, Pool #G08216, 5.50%, 8/1/2037		258,836		290,464
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		287,826		331,083
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		218,125		245,128
Freddie Mac, Pool #G04176, 5.50%, 5/1/2038		97,973		110,188
Freddie Mac, Pool #A78227, 5.50%, 6/1/2038		99,763		110,233
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		272,527		305,850
Freddie Mac, Pool #G04471, 5.50%, 7/1/2038		34,835		39,158
Freddie Mac, Pool #G04776, 5.50%, 7/1/2038		230,132		258,625
Freddie Mac, Pool #G05196, 5.50%, 10/1/2038		281,190		315,789
Freddie Mac, Pool #G05409, 5.50%, 3/1/2039		249,889		280,770
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		53,244		59,679



PRO-BLEND^® CONSERVATIVE
TERM SERIES	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G07104, 5.50%, 5/1/2040		180,610	$	196,714
Freddie Mac, Pool #G06789, 6.00%, 5/1/2040		238,702		274,358
Freddie Mac, Pool #A92889, 4.50%, 7/1/2040		1,038,856		1,116,642
Freddie Mac, Pool #A93451, 4.50%, 8/1/2040		1,177,938		1,277,579
Freddie Mac, Pool #G60334, 4.50%, 10/1/2041		940,389		1,019,771
Freddie Mac, Pool #Q17513, 3.50%, 4/1/2043		1,826,286		1,917,842
Freddie Mac, Pool #Q24752, 3.50%, 2/1/2044		1,362,740		1,430,870
Freddie Mac, Pool #G60183, 4.00%, 12/1/2044		802,180		842,168
Freddie Mac, Pool #Q37592, 4.00%, 12/1/2045		1,738,528		1,843,668
Freddie Mac, Pool #G60636, 4.00%, 1/1/2046		1,372,849		1,451,499
Freddie Mac, Pool #Q38388, 4.00%, 1/1/2046		292,546		310,536
Freddie Mac, Pool #Q42596, 3.50%, 8/1/2046		1,969,046		2,049,974
Freddie Mac, Pool #ZM2525, 3.00%, 12/1/2046		3,436,627		3,521,860
Freddie Mac, Pool #Q51334, 4.00%, 10/1/2047		2,911,778		3,055,826
Freddie Mac, Pool #G08786, 4.50%, 10/1/2047		1,568,860		1,662,946
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		2,064,019		2,173,831
Freddie Mac, Pool #Q60730, 4.00%, 1/1/2049		3,323,013		3,458,031

ADR - American Depositary Receipt

CAD - Canadian Dollar

ETF - Exchange-traded fund

IO - Interest only

LIBOR - London Interbank Offered Rate

MXN - Mexican Peso


	PRINCIPAL AMOUNT²/ SHARES		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Ginnie Mae, Pool #671161, 5.50%, 11/15/2037		29,015	$	31,175


TOTAL U.S. GOVERNMENT AGENCIES (Identified Cost $133,824,080)				136,469,124


U.S. GOVERNMENT SECURITIES - 2.0%

U.S. Treasury Bill - 2.0%
U.S. Treasury Bill¹⁰, 1.59%, 5/21/2020 (Identified Cost $18,202,689)		18,365,000		18,206,821


SHORT-TERM INVESTMENT - 0.7%

Dreyfus Government Cash Management, Institutional Shares, 1.73%¹¹ (Identified Cost $6,082,021)		6,082,021		6,082,021


TOTAL INVESTMENTS IN SECURITIES - 100.2% (Identified Cost $864,020,701)				916,389,127


TOTAL OPTIONS
WRITTEN — 0.0%## (Premiums Received $44,720)				(46,180	)

TOTAL INVESTMENTS - 100.2%				916,342,947
LIABILITIES, LESS OTHER ASSETS - (0.2%)				(1,796,960	)

NET ASSETS - 100%			$	914,545,987

¹A portion of this security is designated as collateral for options contracts written. As of October 31, 2019, the total value of such securities was $12,428,355.

³Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid under the Fund’s Liquidity Risk Management Program. These securities amount to $106,402,087, or 11.6% of the Series’ net assets as of October 31, 2019 (see Note 2 to the financial statements).

⁵Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of October 31, 2019.

⁸Floating rate security. Rate shown is the rate in effect as of October 31, 2019.

²Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.

*Effective March 1, 2019, Class R2 shares of the Series have been redesignated as Class L Shares.

²Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions.

⁴Represents aggregate total return for the period indicated. Total return would have been lower had certain expenses not been waived or reimbursed during the period. Periods less than one year are not annualized.

Performance Update as of October 31, 2019 - Pro-Blend^® Moderate Term Series

The following graph compares the value of a $10,000 investment in the Pro-Blend^® Moderate Term Series - Class S for the ten years ended October 31, 2019 to the Bloomberg Barclays U.S. Aggregate Bond Index and the 30/10/60 Blended Index.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 1.09% for Class S, 0.85% for Class I, 1.35% for Class R, 1.80% for Class L and 0.10% for Class W. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.09% for Class S, 0.87% for Class I, 1.38% for Class R, 1.81% for Class L and 0.74% for Class W for the year ended October 31, 2019.

⁵The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged, market-value weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of one year or more. Index returns do not reflect any fees or expenses. Index returns provided by Interactive Data.

⁶The 30/10/60 Blended Index is 30% Russell 3000^® Index (Russell 3000), 10% MSCI ACWI ex USA Index (ACWIxUS), and 60% Bloomberg Barclays U.S. Aggregate Bond Index (BAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily

Performance Update as of October 31, 2019 - Pro-Blend^® Moderate Term Series

reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB is an unmanaged, market value-weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities with maturities of one year or more. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the fund’s asset allocation will vary over time, the composition of the fund’s portfolio may not match the composition of the comparative Indices. Mid-month performance may not be available for all indices within the blended index. Where applicable, performance for those indices is included from the first of the month following the corresponding Fund’s inception date.



PRO-BLEND^® MODERATE TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS - 38.2%

Communication Services - 5.9%
Diversified Telecommunication Services - 0.0%##
Elisa OYJ (Finland)		2,211	$	120,756
Orange S.A. (France)		2,515		40,478
Telefonica Brasil S.A. (Brazil)		2,000		26,466


				187,700

Entertainment - 2.6%
Activision Blizzard, Inc.¹		47,460		2,659,184
Electronic Arts, Inc.*¹		23,425		2,258,170
Nexon Co. Ltd. (Japan)*		250,300		2,900,538
Sea Ltd. - ADR (Taiwan)*¹		75,735		2,253,874
Toho Co. Ltd. - Tokyo (Japan)		2,500		100,964
Viacom, Inc. - Class B		378		8,150
Vivendi S.A. (France)		1,280		35,645


				10,216,525

Interactive Media & Services - 2.8%
Alphabet, Inc. - Class A*¹		1,865		2,347,662
Alphabet, Inc. - Class C*		1,870		2,356,406
Autohome, Inc. - ADR (China)*		955		80,755
Facebook, Inc. - Class A*		15,475		2,965,784
Kakao Corp. (South Korea)		985		119,532
Tencent Holdings Ltd. - Class H (China)		77,636		3,149,143


				11,019,282

Media - 0.5%
Informa plc (United Kingdom)		10,330		103,830
Quebecor, Inc. - Class B (Canada)		33,585		780,786
Shaw Communications, Inc. - Class B (Canada)		43,130		880,217


				1,764,833

Wireless Telecommunication Services - 0.0%##
Globe Telecom, Inc. (Philippines)		780		28,037


Total Communication Services				23,216,377

Consumer Discretionary - 4.0%
Auto Components - 0.0%##
Cie Generale des Etablissements Michelin SCA (France)		235		28,613

Automobiles - 0.0%##
Peugeot S.A. (France)		725		18,361

Distributors - 0.0%##
Genuine Parts Co.		150		15,387

Diversified Consumer Services - 0.1%
Fu Shou Yuan International Group Ltd. (China)		56,640		49,990




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Diversified Consumer Services (continued)
New Oriental Education & Technology Group, Inc. - ADR (China)*		1,010	$	123,281
TAL Education Group - ADR (China)*		2,510		107,453


				280,724

Hotels, Restaurants & Leisure - 0.2%
Basic-Fit N.V. (Netherlands)*²		2,645		80,897
Galaxy Entertainment Group Ltd. (Macau)		11,000		75,742
Hilton Worldwide Holdings, Inc.		530		51,389
Melco Resorts & Entertainment Ltd. - ADR (Hong Kong)		2,360		50,834
MGM China Holdings Ltd. (Macau)		32,400		51,305
Restaurant Brands International, Inc. (Canada)		985		64,458
Sands China Ltd. (Macau)		16,000		78,810
Wynn Macau Ltd. (Macau)		35,200		76,387


				529,822

Household Durables - 0.9%
Barratt Developments plc (United Kingdom)		6,875		56,223
The Berkeley Group Holdings plc (United Kingdom)		1,040		59,280
Persimmon plc (United Kingdom)		2,100		61,942
Sony Corp. - ADR (Japan)		53,405		3,248,626
Sony Corp. (Japan)		2,000		121,738
Taylor Wimpey plc (United Kingdom)		27,045		58,004


				3,605,813

Internet & Direct Marketing Retail - 1.2%
Alibaba Group Holding Ltd. - ADR (China)*¹		1,085		191,687
Amazon.com, Inc.*¹		1,605		2,851,539
Booking Holdings, Inc.*		785		1,608,284
Farfetch Ltd. - Class A (United Kingdom)*		2,920		26,076


				4,677,586

Leisure Products - 0.0%##
Technogym S.p.A. (Italy)²		8,420		92,896

Multiline Retail - 0.0%##
B&M European Value Retail S.A. (United Kingdom)		12,075		57,929
Kohl’s Corp.		203		10,406
Lojas Renner S.A. (Brazil)		2,600		32,992



PRO-BLEND^® MODERATE TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Multiline Retail (continued)
Magazine Luiza S.A. (Brazil)		2,300	$	25,463


				126,790

Specialty Retail - 0.7%
Best Buy Co., Inc.		239		17,167
The Gap, Inc.		436		7,089
The Home Depot, Inc.		448		105,092
Industria de Diseno Textil S.A. (Spain)		83,360		2,597,565


				2,726,913

Textiles, Apparel & Luxury Goods - 0.9%
EssilorLuxottica S.A. (France)		300		45,808
Hermes International (France)		40		28,814
Kering S.A. (France)		105		59,745
Kontoor Brands, Inc.		40		1,520
lululemon athletica, Inc.*		15,315		3,128,395
LVMH Moet Hennessy Louis Vuitton SE (France)		300		128,117
Shenzhou International Group
Holdings Ltd. (China)		6,900		95,349
VF Corp.		280		23,041


				3,510,789


Total Consumer Discretionary				15,613,694

Consumer Staples - 5.9%
Beverages - 3.0%
Ambev S.A. - ADR (Brazil)		168,061		724,343
Ambev S.A. (Brazil)		16,400		70,990
Anheuser-Busch InBev S.A./N.V. (Belgium)		35,640		2,876,769
The Coca-Cola Co.		60,530		3,294,648
Coca-Cola European Partners plc (United Kingdom)¹		1,950		104,344
Diageo plc (United Kingdom)		40,513		1,658,241
Heineken N.V. (Netherlands)		1,000		102,120
Molson Coors Brewing Co. - Class B		183		9,648
PepsiCo, Inc.		21,420		2,938,181
Pernod Ricard S.A. (France)		595		109,916


				11,889,200

Food & Staples Retailing - 0.2%
Alimentation Couche-Tard, Inc. - Class B (Canada)		3,530		105,865
ICA Gruppen AB (Sweden)		2,284		101,071
The Kroger Co.		486		11,975
Loblaw Companies Ltd. (Canada)		2,030		108,258




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Food & Staples Retailing (continued)
Puregold Price Club, Inc. (Philippines)		19,700	$	15,846
Raia Drogasil S.A. (Brazil)		900		24,676
Robinsons Retail Holdings, Inc. (Philippines)		11,560		17,279
Sysco Corp.		361		28,833
Walgreens Boots Alliance, Inc.		534		29,253
Walmart, Inc.		1,010		118,433


				561,489

Food Products - 1.8%
Archer-Daniels-Midland Co.		344		14,462
Barry Callebaut AG (Switzerland)		25		52,832
Chocoladefabriken Lindt & Spruengli AG (Switzerland)		5		37,152
Conagra Brands, Inc.		392		10,604
Danone S.A. (France)		2,851		236,180
General Mills, Inc.		462		23,497
The Hershey Co.		159		23,352
The J.M. Smucker Co.		111		11,730
Kellogg Co.		261		16,581
Kerry Group plc - Class A (Ireland)		930		112,609
Mondelez International, Inc. - Class A		57,136		2,996,783
Mowi ASA (Norway)		4,540		110,830
Nestle S.A. (Switzerland)		32,534		3,480,531
Tyson Foods, Inc. - Class A		207		17,138
Universal Robina Corp. (Philippines)		11,720		34,818


				7,179,099

Household Products - 0.1%
Colgate-Palmolive Co.		510		34,986
Essity AB - Class B (Sweden)		3,590		112,154
Henkel AG & Co. KGaA (Germany)		1,065		110,624
Kimberly-Clark Corp.		228		30,297
Reckitt Benckiser Group plc (United Kingdom)		1,305		100,983


				389,044

Personal Products - 0.8%
Beiersdorf AG (Germany)		560		66,298
LG Household & Health Care Ltd. (South Korea)		95		102,799
L’Oreal S.A. (France)		320		93,460
Unilever plc - ADR (United Kingdom)		44,679		2,685,655


				2,948,212



PRO-BLEND^® MODERATE TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Tobacco - 0.0%##
British American Tobacco plc - ADR (United Kingdom)¹		1,350	$	47,196
British American Tobacco plc (United Kingdom)		3,195		111,748


				158,944


Total Consumer Staples				23,125,988

Energy - 1.1%
Energy Equipment & Services - 0.8%
Baker Hughes Co.		601		12,861
Core Laboratories N.V		1,110		48,884
Halliburton Co.		85,517		1,646,202
Schlumberger Ltd.		34,368		1,123,490
Transocean Ltd.*		91,500		434,625


				3,266,062

Oil, Gas & Consumable Fuels - 0.3%
Cameco Corp. (Canada)		7,619		68,038
Chevron Corp.		569		66,084
Eni S.p.A. (Italy)		6,955		105,514
Equinor ASA (Norway)		6,060		112,508
Galp Energia SGPS S.A. (Portugal)		7,045		112,683
Marathon Petroleum Corp.		479		30,632
Occidental Petroleum Corp.		398		16,119
Phillips 66		227		26,518
Repsol S.A. (Spain)		7,547		124,372
Royal Dutch Shell plc - Class B - ADR (Netherlands)		3,005		175,161
Suncor Energy, Inc. (Canada)		2,805		83,398
TOTAL S.A. (France)		2,250		118,954
Valero Energy Corp.		300		29,094


				1,069,075


Total Energy				4,335,137

Financials - 3.8%
Banks - 0.4%
Banco Bradesco S.A. (Brazil)		14,500		127,519
Banco do Brasil S.A. (Brazil)		4,700		56,264
Banco Santander Brasil S.A. (Brazil)		2,000		23,648
Bank of America Corp.		2,411		75,392
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		2,155		71,007
Bank of the Philippine Islands (Philippines)		21,280		40,655
Barclays plc (United Kingdom)		29,110		63,142
BB&T Corp.		368		19,522
BDO Unibank, Inc. (Philippines)		17,450		53,231




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Banks (continued)
BNP Paribas S.A. (France)		1,480	$	77,344
Citigroup, Inc.		705		50,661
Credit Agricole S.A. (France)		1,450		18,920
Fifth Third Bancorp		566		16,459
FinecoBank Banca Fineco S.p.A. (Italy)		7,995		90,130
Itau Unibanco Holding S.A. (Brazil)		16,200		146,469
Itausa - Investimentos Itau S.A. (Brazil)		17,800		60,805
JPMorgan Chase & Co.		943		117,800
KeyCorp		771		13,855
Lloyds Banking Group plc (United Kingdom)		81,025		59,603
Metropolitan Bank & Trust Co. (Philippines)		31,199		41,532
Regions Financial Corp.		690		11,109
Royal Bank of Scotland Group plc (United Kingdom)		21,190		58,574
SunTrust Banks, Inc.		286		19,545
U.S. Bancorp		836		47,669
Wells Fargo & Co.		1,805		93,192


				1,454,047

Capital Markets - 2.3%
B3 S.A. - Brasil Bolsa Balcao (Brazil)		6,300		76,046
BlackRock, Inc.¹		1,610		743,337
Cboe Global Markets, Inc.		13,770		1,585,616
CME Group, Inc.		7,080		1,456,710
Deutsche Boerse AG (Germany)		720		111,499
Hargreaves Lansdown plc (United Kingdom)		2,125		48,797
Intercontinental Exchange, Inc.		16,280		1,535,530
Julius Baer Group Ltd. (Switzerland)		1,315		58,233
London Stock Exchange Group plc (United Kingdom)		590		53,170
Moody’s Corp.		7,160		1,580,140
S&P Global, Inc.		6,360		1,640,816


				8,889,894

Diversified Financial Services - 1.0%
Berkshire Hathaway, Inc. - Class B*¹		19,375		4,118,738

Insurance - 0.1%
Admiral Group plc (United Kingdom)		3,570		93,433
The Allstate Corp.		175		18,624
AXA S.A. (France)		2,495		66,046
BB Seguridade Participacoes S.A. (Brazil)		3,300		27,935



PRO-BLEND^® MODERATE TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Insurance (continued)
Chubb Ltd.		188	$	28,655
The Hartford Financial Services Group, Inc.		228		13,014
Ping An Insurance Group Co. of China Ltd. - Class H (China)		7,500		86,563
The Travelers Companies, Inc.		132		17,300


				351,570


Total Financials				14,814,249

Health Care - 6.8%
Biotechnology - 1.3%
AbbVie, Inc.		735		58,469
Amgen, Inc.		326		69,520
BioMarin Pharmaceutical, Inc.*		25,150		1,841,232
Gilead Sciences, Inc.		723		46,062
Incyte Corp.*		11,890		997,809
Seattle Genetics, Inc.*		9,360		1,005,264
Vertex Pharmaceuticals, Inc.*		5,430		1,061,456


				5,079,812

Health Care Equipment & Supplies - 1.8%
Alcon, Inc. (Switzerland)*		26,655		1,579,842
Alcon, Inc. (Switzerland)*		920		54,407
Getinge AB - Class B (Sweden)		4,200		71,806
Hoya Corp. (Japan)		1,300		114,890
Koninklijke Philips N.V. (Netherlands)		2,380		104,420
Medtronic plc		46,306		5,042,723
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		48,000		55,106
Smith & Nephew plc (United Kingdom)		4,695		100,785


				7,123,979

Health Care Providers & Services - 0.0%##
CVS Health Corp.		670		44,481
Quest Diagnostics, Inc.		115		11,644
Sonic Healthcare Ltd. (Australia)		5,675		111,769


				167,894

Life Sciences Tools & Services - 0.1%
Gerresheimer AG (Germany)		995		80,242
QIAGEN N.V.*¹		1,581		47,130
QIAGEN N.V.*		2,692		80,973
Tecan Group AG (Switzerland)		105		24,841


				233,186




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Health Care (continued)
Pharmaceuticals - 3.6%
Bristol-Myers Squibb Co.		811	$	46,527
Johnson & Johnson		33,937		4,481,041
Merck & Co., Inc.		12,407		1,075,191
Merck KGaA (Germany)		27,310		3,257,169
Novartis AG - ADR (Switzerland)		53,310		4,661,426
Novartis AG (Switzerland)		1,385		121,015
Perrigo Co. plc		1,695		89,869
Pfizer, Inc.		2,324		89,172
Recordati S.p.A. (Italy)		2,525		106,111
Roche Holding AG (Switzerland)		610		183,583
Sanofi (France)		1,325		122,148


				14,233,252


Total Health Care				26,838,123

Industrials - 0.5%
Aerospace & Defense - 0.1%
Airbus SE (France)		690		98,986
BAE Systems plc (United Kingdom)		16,175		120,823
The Boeing Co.		225		76,480
General Dynamics Corp.		129		22,807
Lockheed Martin Corp.		139		52,359
Safran S.A. (France)		385		60,980
Thales S.A. (France)		95		9,287
United Technologies Corp.		394		56,571


				498,293

Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.		160		12,102
United Parcel Service, Inc. - Class B		492		56,664


				68,766

Airlines - 0.0%##
Ryanair Holdings plc - ADR (Ireland)*		949		70,833

Building Products - 0.0%##
Cie de Saint-Gobain (France)		605		24,640
Johnson Controls International plc		581		25,175


				49,815

Commercial Services & Supplies - 0.0%##
Waste Management, Inc.		275		30,858

Construction & Engineering - 0.0%##
Vinci S.A. (France)		1,030		115,562

Electrical Equipment - 0.1%
Eaton Corp. plc		306		26,656
Emerson Electric Co.		421		29,533
Legrand S.A. (France)		325		25,390



PRO-BLEND^® MODERATE TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Industrials (continued)
Electrical Equipment (continued)
Rockwell Automation, Inc.		76	$	13,071
Schneider Electric SE (France)		680		63,199
WEG S.A. (Brazil)		3,800		24,370


				182,219

Industrial Conglomerates - 0.1%
3M Co.		310		51,147
Honeywell International, Inc.		334		57,692
LT Group, Inc. (Philippines)		54,800		14,406
SM Investments Corp. (Philippines)		2,690		54,533


				177,778

Machinery - 0.2%
Caterpillar, Inc.		278		38,308
Cummins, Inc.		124		21,388
Daifuku Co. Ltd. (Japan)		1,200		63,674
FANUC Corp. (Japan)		700		138,075
Harmonic Drive Systems, Inc. (Japan)		1,500		69,565
Illinois Tool Works, Inc.		186		31,356
KION Group AG (Germany)		1,140		75,853
Nabtesco Corp. (Japan)		2,100		66,853
The Weir Group plc (United Kingdom)		5,275		92,139


				597,211

Professional Services - 0.0%##
SGS S.A. (Switzerland)		20		52,162

Road & Rail - 0.0%##
Localiza Rent a Car S.A. (Brazil)		1,800		19,299
Rumo S.A. (Brazil)*		4,800		27,384
Union Pacific Corp.		335		55,429


				102,112

Trading Companies & Distributors - 0.0%##
Fastenal Co.		482		17,323

Transportation Infrastructure - 0.0%##
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)		7,900		54,821
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		340		35,533
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		295		48,306


				138,660


Total Industrials				2,101,592

Information Technology - 6.9%
Cisco Systems, Inc.		1,680		79,817




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Information Technology (continued)
Electronic Equipment, Instruments & Components - 0.3%
Cognex Corp.		14,020	$	721,890
Halma plc (United Kingdom)		2,535		61,513
Hexagon AB - Class B (Sweden)		1,270		65,021
Keyence Corp. (Japan)		306		193,483


				1,041,907

IT Services - 3.1%
Capgemini SE (France)		195		21,982
International Business Machines Corp.		430		57,504
InterXion Holding N.V. (Netherlands)*		28,720		2,533,678
Keywords Studios plc (Ireland)		1,557		22,436
Mastercard, Inc. - Class A		18,260		5,054,551
Visa, Inc. - Class A		25,390		4,541,255


				12,231,406

Semiconductors & Semiconductor Equipment - 1.6%
Applied Materials, Inc.		492		26,696
Broadcom, Inc.		181		53,006
Intel Corp.		1,898		107,294
KLA Corp.		146		24,680
Lam Research Corp.		84		22,767
Maxim Integrated Products, Inc.		226		13,257
Micron Technology, Inc.*		91,235		4,338,224
NVIDIA Corp.		8,625		1,733,798
Texas Instruments, Inc.		465		54,865


				6,374,587

Software - 1.9%
Dassault Systemes SE (France)		185		28,097
Microsoft Corp.		32,920		4,719,740
ServiceNow, Inc.*¹		11,170		2,761,894


				7,509,731

Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		168		9,388
Western Digital Corp.		274		14,152


				23,540


Total Information Technology				27,260,988

Materials - 0.2%
Chemicals - 0.2%
Air Liquide S.A. (France)		533		70,868
Akzo Nobel N.V. (Netherlands)		763		70,344
Dow, Inc.		387		19,540
Eastman Chemical Co.		151		11,482



PRO-BLEND^® MODERATE TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Materials (continued)
Chemicals (continued)
Givaudan S.A. (Switzerland)		20	$	58,759
LyondellBasell Industries N.V. - Class A		281		25,206
OCI N.V. (Netherlands)*		985		22,147
Orbia Advance Corp. S.A.B. de C.V. (Mexico)		26,400		57,146
Solvay S.A. (Belgium)		1,180		128,297


				463,789

Containers & Packaging - 0.0%##
International Paper Co.		273		11,925

Metals & Mining - 0.0%##
First Quantum Minerals Ltd. (Zambia)		2,745		23,196
Lundin Mining Corp. (Chile)		4,265		21,534
Nucor Corp.		297		15,993


				60,723


Total Materials				536,437

Real Estate - 3.1%
Equity Real Estate Investment Trusts (REITS) - 3.1%
Acadia Realty Trust¹		1,195		33,436
Agree Realty Corp.¹		750		59,078
Alexandria Real Estate Equities, Inc.¹		275		43,656
American Campus Communities, Inc.¹		1,970		98,461
American Homes 4 Rent - Class A¹		6,640		175,761
American Tower Corp.		7,340		1,600,707
Americold Realty Trust¹		3,690		147,932
Apartment Investment & Management Co. - Class A¹		3,216		176,494
AvalonBay Communities, Inc.¹		1,130		245,956
Boston Properties, Inc.		979		134,319
Brandywine Realty Trust¹		9,585		146,459
The British Land Co. plc (United Kingdom)		7,570		60,864
Camden Property Trust¹		1,160		132,669
Community Healthcare Trust, Inc.		2,150		104,103
Cousins Properties, Inc.¹		6,007		241,061
Crown Castle International Corp.¹		825		114,502
CubeSmart		1,055		33,444
Digital Realty Trust, Inc.		960		121,958
Douglas Emmett, Inc.		2,545		110,249
Equinix, Inc.		4,220		2,391,812
Equity LifeStyle Properties, Inc.		1,550		108,407
Equity Residential		1,990		176,433




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Essential Properties Realty Trust, Inc.		4,260	$	109,312
Essex Property Trust, Inc.		425		139,030
Extra Space Storage, Inc.		385		43,224
Federal Realty Investment Trust		270		36,723
First Industrial Realty Trust, Inc.		1,810		76,219
Getty Realty Corp.		2,075		69,596
Healthcare Realty Trust, Inc.		3,185		110,742
Healthcare Trust of America, Inc. - Class A		1,965		60,915
Healthpeak Properties, Inc.		4,575		172,112
Hibernia REIT plc (Ireland)		37,110		57,779
Host Hotels & Resorts, Inc.		3,720		60,971
Independence Realty Trust, Inc.		5,145		79,233
Invitation Homes, Inc.		7,349		226,276
Jernigan Capital, Inc.		3,870		73,491
Kilroy Realty Corp.		450		37,768
Land Securities Group plc (United Kingdom)		5,075		61,816
Liberty Property Trust		1,795		106,031
Life Storage, Inc.		505		55,005
Mid-America Apartment Communities, Inc.		555		77,139
National Retail Properties, Inc.		1,890		111,340
National Storage Affiliates Trust		1,870		63,898
Omega Healthcare Investors, Inc.		1,785		78,611
Physicians Realty Trust		6,530		121,915
Plymouth Industrial REIT, Inc.		2,351		44,340
Prologis, Inc.		4,325		379,562
Public Storage		710		158,231
Realty Income Corp.		575		47,029
SBA Communications Corp.		6,180		1,487,217
Simon Property Group, Inc.		1,655		249,375
STAG Industrial, Inc.		2,260		70,150
STORE Capital Corp.		1,590		64,395
Sun Communities, Inc.		1,030		167,530
Sunstone Hotel Investors, Inc.		3,115		42,084
UDR, Inc.		2,656		133,464
UMH Properties, Inc.		2,515		37,549
Urban Edge Properties		4,670		98,584
Ventas, Inc.		1,913		124,536
VEREIT, Inc.		12,555		123,541
Vornado Realty Trust		680		44,628
Weingarten Realty Investors		3,000		95,190
Welltower, Inc.		1,784		161,791


				12,016,103



PRO-BLEND^® MODERATE TERM SERIES	SHARES/
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Real Estate Management & Development - 0.0%##
Ayala Land, Inc. (Philippines)		54,200	$	51,795
SM Prime Holdings, Inc. (Philippines)		90,075		69,160


				120,955


Total Real Estate				12,137,058

Utilities - 0.0%##
Electric Utilities - 0.0%##
Manila Electric Co. (Philippines)		4,520		30,142

Independent Power and Renewable Electricity Producers - 0.0%##
Aboitiz Power Corp. (Philippines)		47,200		37,159

Multi-Utilities - 0.0%##
Engie S.A. (France)		2,380		39,853
Veolia Environnement S.A. (France)		725		19,085


				58,938


Total Utilities				126,239

TOTAL COMMON STOCKS
(Identified Cost $131,311,370)				150,105,882


CORPORATE BONDS - 14.9%

Non-Convertible Corporate Bonds - 14.9%
Communication Services - 3.2%
Diversified Telecommunication Services - 1.6%
AT&T, Inc., 4.25%, 3/1/2027		2,350,000		2,581,018
CenturyLink, Inc., 5.625%, 4/1/2020		40,000		40,500
Verizon Communications, Inc., 5.25%, 3/16/2037		2,830,000		3,564,606


				6,186,124

Interactive Media & Services - 0.5%
Tencent Holdings Ltd. (China)², 3.975%, 4/11/2029		1,690,000		1,818,811

Media - 1.1%
Cablevision Systems Corp., 8.00%, 4/15/2020		40,000		41,000
Comcast Corp., 3.25%, 11/1/2039		1,760,000		1,784,316
Diamond Sports Group LLC - Diamond Sports Finance Co.², 6.625%, 8/15/2027		60,000		61,800
Discovery Communications LLC, 5.20%, 9/20/2047		2,160,000		2,362,081
Entercom Media Corp.², 7.25%, 11/1/2024		20,000		20,850




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)

Communication Services (continued)
Media (continued)
Townsquare Media, Inc.², 6.50%, 4/1/2023		40,000	$	39,600


				4,309,647

Wireless Telecommunication Services - 0.0%##
Sprint Communications, Inc., 7.00%, 8/15/2020		90,000		92,715
Sprint Corp., 7.25%, 9/15/2021		40,000		42,682
Sprint Corp., 7.125%, 6/15/2024		35,000		37,975


				173,372


Total Communication Services				12,487,954

Consumer Discretionary - 2.1%
Auto Components - 0.0%##
American Axle & Manufacturing, Inc., 6.25%, 4/1/2025		20,000		19,275
Techniplas LLC², 10.00%, 5/1/2020		50,000		42,250


				61,525

Automobiles - 0.5%
General Motors Financial Co., Inc., 3.15%, 1/15/2020		2,120,000		2,122,866

Diversified Consumer Services - 0.0%##
GEMS MENASA Cayman Ltd. - GEMS Education Delaware LLC (United Arab Emirates)², 7.125%, 7/31/2026		155,000		160,619

Household Durables - 0.1%
Ashton Woods USA LLC - Ashton Woods Finance Co.², 6.75%, 8/1/2025		30,000		30,150
LGI Homes, Inc.², 6.875%, 7/15/2026		80,000		82,800
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		80,000		81,200


				194,150

Internet & Direct Marketing Retail - 1.5%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		1,800,000		1,869,591
Booking Holdings, Inc., 3.60%, 6/1/2026		3,600,000		3,897,567
Photo Holdings Merger Sub, Inc.², 8.50%, 10/1/2026		60,000		52,808


				5,819,966



PRO-BLEND^® MODERATE TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Specialty Retail - 0.0%##
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.², 12.25%, 11/15/2026		60,000	$	60,306
Staples, Inc.², 7.50%, 4/15/2026		60,000		62,412


				122,718


Total Consumer Discretionary				8,481,844

Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.², 8.625%, 10/15/2026		60,000		61,538

Energy - 2.5%
Energy Equipment & Services - 0.0%##
Nabors Industries, Inc., 5.50%, 1/15/2023		40,000		33,800
Shelf Drilling Holdings Ltd. (United Arab Emirates)², 8.25%, 2/15/2025		40,000		33,600


				67,400

Oil, Gas & Consumable Fuels - 2.5%
Antero Midstream Partners LP - Antero Midstream Finance Corp.², 5.75%, 3/1/2027		40,000		29,750
Antero Midstream Partners LP - Antero Midstream Finance Corp.², 5.75%, 1/15/2028		40,000		30,200
Bruin E&P Partners LLC², 8.875%, 8/1/2023		40,000		26,400
Calumet Specialty Products Partners LP - Calumet Finance Corp.², 11.00%, 4/15/2025		60,000		60,150
Energy Transfer Operating LP, 6.50%, 2/1/2042		1,620,000		1,940,279
Jonah Energy LLC - Jonah Energy Finance Corp.², 7.25%, 10/15/2025		80,000		22,400
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		1,910,000		2,469,100
Lonestar Resources America, Inc.², 11.25%, 1/1/2023		40,000		28,000
Moss Creek Resources Holdings, Inc.², 10.50%, 5/15/2027		15,000		11,588
NuStar Logistics LP, 6.75%, 2/1/2021		40,000		41,447
Rockies Express Pipeline LLC², 5.625%, 4/15/2020		60,000		61,008




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		2,690,000	$	3,088,797
Southwestern Energy Co.⁴, 6.20%, 1/23/2025		40,000		35,200
W&T Offshore, Inc.², 9.75%, 11/1/2023		20,000		18,750
The Williams Companies, Inc., 3.75%, 6/15/2027		1,840,000		1,918,466


				9,781,535


Total Energy				9,848,935

Financials - 3.7%
Banks - 3.2%
Bank of America Corp., 4.00%, 1/22/2025		3,530,000		3,765,165
Citigroup, Inc., 8.125%, 7/15/2039		1,080,000		1,776,674
Credit Suisse AG (Switzerland), 5.40%, 1/14/2020		2,620,000		2,636,978
JPMorgan Chase & Co.⁵, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		1,730,000		1,847,290
Santander Holdings USA, Inc., 4.50%, 7/17/2025		2,320,000		2,500,029


				12,526,136

Capital Markets - 0.4%
AG Merger Sub II, Inc.², 10.75%, 8/1/2027		40,000		39,600
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		75,000		78,000
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025		1,200,000		1,292,581


				1,410,181

Consumer Finance - 0.0%##
Navient Corp., 5.00%, 10/26/2020		60,000		61,107
SLM Corp., 5.125%, 4/5/2022		80,000		82,600


				143,707

Diversified Financial Services - 0.1%
Fidelity & Guaranty Life Holdings, Inc.², 5.50%, 5/1/2025		40,000		42,700
Global Aircraft Leasing Co. Ltd. (Cayman Islands)^2,6, 6.50%, 9/15/2024		60,000		61,407
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)², 10.50%, 6/1/2024		60,000		58,350


				162,457



PRO-BLEND^® MODERATE TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Financials (continued)
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.², 7.00%, 11/15/2025		65,000	$	59,475
Radian Group, Inc., 4.875%, 3/15/2027		80,000		83,000


				142,475


Total Financials				14,384,956

Health Care - 0.5%
Health Care Providers & Services - 0.5%
HCA, Inc., 4.125%, 6/15/2029		1,810,000		1,917,523

Industrials - 1.4%
Commercial Services & Supplies - 0.0%##
The ADT Security Corp., 6.25%, 10/15/2021		40,000		42,650
Prime Security Services Borrower LLC - Prime Finance, Inc.², 5.75%, 4/15/2026		40,000		40,988
Stericycle, Inc.², 5.375%, 7/15/2024		80,000		83,200


				166,838

Construction & Engineering - 0.0%##
HC2 Holdings, Inc.², 11.50%, 12/1/2021		20,000		18,225
Tutor Perini Corp.², 6.875%, 5/1/2025		80,000		79,788


				98,013

Industrial Conglomerates - 0.5%
General Electric Co.^5,7, (3 mo. LIBOR US + 3.330%), 5.00%		1,910,000		1,840,763

Marine - 0.1%
American Tanker, Inc. (Norway)², 9.25%, 2/22/2022		100,000		100,561
Borealis Finance LLC², 7.50%, 11/16/2022		85,000		79,900
Global Ship Lease, Inc. (United Kingdom)², 9.875%, 11/15/2022		130,000		134,875


				315,336

Trading Companies & Distributors - 0.8%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 4.45%, 10/1/2025		2,430,000		2,636,740
Air Lease Corp., 3.625%, 4/1/2027		535,000		558,095




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Trading Companies & Distributors (continued)
Fortress Transportation & Infrastructure Investors LLC², 6.50%, 10/1/2025		60,000	$	60,600


				3,255,435


Total Industrials				5,676,385

Information Technology - 0.0%##
Communications Equipment - 0.0%##
Hughes Satellite Systems Corp., 5.25%, 8/1/2026		75,000		80,344

Materials - 0.7%
Chemicals - 0.0%##
CF Industries, Inc., 7.125%, 5/1/2020		40,000		40,961
Olin Corp., 5.625%, 8/1/2029		40,000		41,531


				82,492

Containers & Packaging - 0.0%##
ARD Securities Finance S.A.R.L (Luxembourg)^2,6, 8.75%, 1/31/2023		20,875		21,710
Berry Global, Inc.², 4.50%, 2/15/2026		25,000		25,156
Mauser Packaging Solutions Holding Co.², 7.25%, 4/15/2025		40,000		38,250


				85,116

Metals & Mining - 0.7%
Infrabuild Australia Pty Ltd. (Australia)², 12.00%, 10/1/2024		60,000		61,147
Mountain Province Diamonds, Inc. (Canada)², 8.00%, 12/15/2022		80,000		77,600
Northwest Acquisitions ULC - Dominion Finco, Inc.², 7.125%, 11/1/2022		80,000		40,000
Southern Copper Corp. (Peru), 5.375%, 4/16/2020		2,270,000		2,298,004
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.², 7.50%, 6/15/2025		20,000		17,000


				2,493,751


Total Materials				2,661,359

Real Estate - 0.8%
Equity Real Estate Investment Trusts (REITS) - 0.8%
American Tower Corp., 3.80%, 8/15/2029		2,260,000		2,416,014


PRO-BLEND^® MODERATE TERM SERIES	PRINCIPAL
	AMOUNT³/ SHARES		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
GTP Acquisition Partners I LLC², 2.35%, 6/15/2020		589,000	$	589,206


				3,005,220

Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.², 7.875%, 11/15/2025		60,000		56,710
Forestar Group, Inc.², 8.00%, 4/15/2024		35,000		37,625


				94,335


Total Real Estate				3,099,555

TOTAL CORPORATE BONDS
(Identified Cost $56,252,211)				58,700,393

MUTUAL FUNDS - 0.3%
iShares MSCI India ETF		9,845		341,129
SPDR Gold Shares*		3,419		486,968
VanEck Vectors Gold Miners ETF		9,071		255,349

TOTAL MUTUAL FUNDS
(Identified Cost $992,760)				1,083,446


U.S. TREASURY SECURITIES - 20.2%

U.S. Treasury Bonds - 6.6%
U.S. Treasury Bond, 4.75%, 2/15/2037		5,409,000		7,695,570
U.S. Treasury Bond, 2.50%, 2/15/2045		7,418,000		7,891,477
U.S. Treasury Bond, 3.00%, 5/15/2047		6,720,000		7,868,700
U.S. Treasury Inflation Indexed Bond, 0.75%, 2/15/2042		2,245,046		2,359,066

Total U.S. Treasury Bonds
(Identified Cost $22,054,065)				25,814,813

U.S. Treasury Notes - 13.6%
U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020		12,289,773		12,224,004
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		5,966,171		6,044,606
U.S. Treasury Note, 1.75%, 5/15/2023		7,505,000		7,561,874
U.S. Treasury Note, 2.375%, 8/15/2024		10,720,000		11,130,375
U.S. Treasury Note, 2.125%, 5/15/2025		8,035,000		8,270,086



	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
U.S. Treasury Note, 1.625%, 5/15/2026		8,177,000	$	8,190,096

Total U.S. Treasury Notes
(Identified Cost $52,778,930)				53,421,041

TOTAL U.S. TREASURY SECURITIES
(Identified Cost $74,832,995)				79,235,854


ASSET-BACKED SECURITIES - 4.9%

Cazenovia Creek Funding I LLC, Series 2015-1A, Class A², 2.00%, 12/10/2023		12,557		12,550
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A², 3.561%, 7/15/2030		885,739		892,171
Chesapeake Funding II LLC, Series 2017-2A, Class A1 (Canada)², 1.99%, 5/15/2029		2,439,323		2,438,566
Commonbond Student Loan Trust, Series 2019-AGS, Class A1², 2.54%, 1/25/2047		1,750,000		1,749,403
Invitation Homes Trust, Series 2017-SFR2, Class A^2,8, (1 mo. LIBOR US + 0.850%), 2.739%, 12/17/2036		507,021		506,308
Invitation Homes Trust, Series 2017-SFR2, Class B^2,8, (1 mo. LIBOR US + 1.150%), 3.039%, 12/17/2036		400,000		400,375
Navient Private Education Refi Loan Trust, Series 2019-CA, Class A1², 2.82%, 2/15/2068		1,048,612		1,058,886
Navient Student Loan Trust, Series 2019-2A, Class A2^2,8, (1 mo. LIBOR US + 1.000%), 2.823%, 2/27/2068		2,590,000		2,612,499
Progress Residential Trust, Series 2019-SFR2, Class A², 3.147%, 5/17/2036		1,285,000		1,307,302
SoFi Consumer Loan Program Trust, Series 2019-2, Class A², 3.01%, 4/25/2028		832,686		839,205
SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX², 2.05%, 1/25/2041		123,388		123,379
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX², 2.84%, 1/25/2041		300,000		304,455
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A², 2.39%, 2/25/2042		367,707		368,416



PRO-BLEND^®MODERATE TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

ASSET-BACKED SECURITIES (continued)

SoFi Professional Loan Program Trust, Series 2018-C, Class A1FX², 3.08%, 1/25/2048		1,139,076	$	1,146,212
Tax Ease Funding LLC, Series 2016-1A, Class A², 3.131%, 6/15/2028		238,562		238,509
Towd Point Mortgage Trust, Series 2016-5, Class A1^2,9, 2.50%, 10/25/2056		1,132,856		1,137,189
Towd Point Mortgage Trust, Series 2017-1, Class A1^2,9, 2.75%, 10/25/2056		905,622		916,338
Towd Point Mortgage Trust, Series 2019-HY1, Class A1^2,8, (1 mo. LIBOR US + 1.000%), 2.823%, 10/25/2048		835,335		839,798
Tricon American Homes Trust, Series 2016-SFR1, Class A², 2.589%, 11/17/2033		1,158,042		1,157,797
Tricon American Homes Trust, Series 2017-SFR2, Class A², 2.928%, 1/17/2036		1,246,464		1,265,155

TOTAL ASSET-BACKED SECURITIES
(Identified Cost $19,167,138)				19,314,513


COMMERCIAL MORTGAGE-BACKED SECURITIES - 7.0%
Americold LLC Trust, Series 2010-ARTA, Class A1², 3.847%, 1/14/2029		63,771		64,408
Caesars Palace Las Vegas Trust, Series 2017-VICI, Class A², 3.531%, 10/15/2034		1,850,000		1,923,888
CIM Trust, Series 2019-INV1, Class A1^2,9, 4.00%, 2/25/2049		517,863		529,165
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A1^2,9, 2.50%, 5/25/2043		885,606		876,289
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A1^2,9, 2.13%, 2/25/2043		614,517		600,970
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		1,205,748		1,258,737
Fannie Mae-Aces, Series 2017-M15, Class A1⁹, 2.959%, 9/25/2027		1,257,315		1,317,463
FDIC Trust, Series 2011-R1, Class A², 2.672%, 7/25/2026		10,583		10,564
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)⁹, 1.26%, 8/25/2020		12,380,324		88,891




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)⁹, 1.149%, 4/25/2021		7,718,921	$	107,721
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)⁹, 1.478%, 10/25/2021		4,960,943		122,777
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)⁹, 1.298%, 12/25/2021		7,688,628		170,714
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)⁹, 1.428%, 6/25/2022		9,628,489		309,851
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)⁹, 0.188%, 4/25/2023		49,970,046		301,614
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class X1 (IO)⁹, 0.098%, 5/25/2023		37,581,738		146,685
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		1,281,253		1,298,566
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		1,109,391		1,132,559
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)², 0.10%, 6/25/2046		123,973,007		332,198
FREMF Mortgage Trust, Series 2013-K713, Class B^2,9, 3.152%, 4/25/2046		1,350,000		1,352,180
FREMF Mortgage Trust, Series 2014-K37, Class B^2,9, 4.559%, 1/25/2047		1,657,000		1,802,614
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		1,499,196		1,511,750
GS Mortgage Securities Trust, Series 2010-C2, Class A1², 3.849%, 12/10/2043		34,220		34,421
JP Morgan Mortgage Trust, Series 2013-1, Class 1A2^2,9, 3.00%, 3/25/2043		515,109		520,152
JP Morgan Mortgage Trust, Series 2013-2, Class A2^2,9, 3.50%, 5/25/2043		502,339		512,144
JP Morgan Mortgage Trust, Series 2014-2, Class 1A1^2,9, 3.00%, 6/25/2029		635,523		645,491



PRO-BLEND^®MODERATE TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

JP Morgan Mortgage Trust, Series 2017-3, Class 1A5^2,9, 3.50%, 8/25/2047		1,146,660	$	1,160,366
JP Morgan Mortgage Trust, Series 2017-6, Class A5^2,9, 3.50%, 12/25/2048		1,250,183		1,267,408
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX3^2,9, 3.75%, 11/25/2054		499,042		519,120
New Residential Mortgage Loan Trust, Series 2015-2A, Class A1^2,9, 3.75%, 8/25/2055		653,780		681,598
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1^2,9, 3.75%, 11/25/2056		697,050		727,033
OBP Depositor LLC Trust, Series 2010-OBP, Class A², 4.646%, 7/15/2045		115,000		115,451
Sequoia Mortgage Trust, Series 2013-2, Class A⁹, 1.874%, 2/25/2043		571,642		551,148
Sequoia Mortgage Trust, Series 2013-7, Class A2⁹, 3.00%, 6/25/2043		630,521		635,113
Sequoia Mortgage Trust, Series 2013-8, Class A1⁹, 3.00%, 6/25/2043		734,860		743,156
Starwood Retail Property Trust, Series 2014-STAR, Class A^2,8, (1 mo. LIBOR US + 1.220%), 3.134%, 11/15/2027		1,572,370		1,569,541
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX², 4.004%, 9/13/2028		350,000		352,455
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A^2,8, (1 mo. LIBOR US + 1.050%), 2.971%, 12/15/2033		965,000		965,598
WinWater Mortgage Loan Trust, Series 2015-1, Class A1^2,9, 3.50%, 1/20/2045		688,279		700,889
WinWater Mortgage Loan Trust, Series 2015-3, Class A5^2,9, 3.50%, 3/20/2045		471,863		472,934

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $26,851,649)				27,433,622


FOREIGN GOVERNMENT BONDS - 1.3%

Canadian Government Bond (Canada), 2.75%, 6/1/2022 CAD		433,000		339,072




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

FOREIGN GOVERNMENT BONDS (continued)

Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020		3,700,000	$	3,721,257
Mexican Government Bond (Mexico), 8.00%, 6/11/2020		MXN 8,562,000		448,256
Mexican Government Bond (Mexico), 6.50%, 6/10/2021		MXN 3,460,000		179,465
Mexican Government Bond (Mexico), 6.50%, 6/9/2022		MXN 5,621,000		291,863
Mexican Government Bond (Mexico), 7.75%, 5/29/2031		MXN 1,081,000		60,097

TOTAL FOREIGN GOVERNMENT
BONDS
(Identified Cost $5,528,743)				5,040,010


U.S. GOVERNMENT AGENCIES - 10.6%

Mortgage-Backed Securities - 10.6%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021		69,206		70,206
Fannie Mae, Pool #995233, 5.50%, 10/1/2021		2,292		2,313
Fannie Mae, Pool #888017, 6.00%, 11/1/2021		11,707		11,959
Fannie Mae, Pool #995329, 5.50%, 12/1/2021		55,630		56,487
Fannie Mae, Pool #888136, 6.00%, 12/1/2021		13,134		13,439
Fannie Mae, Pool #888810, 5.50%, 11/1/2022		83,884		84,993
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024		14,885		15,628
Fannie Mae, Pool #AL9409, 3.50%, 11/1/2031		1,047,022		1,088,135
Fannie Mae, Pool #MA3463, 4.00%, 9/1/2033		2,084,893		2,176,907
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034		515,720		554,276
Fannie Mae, Pool #MA1903, 4.50%, 5/1/2034		482,098		518,143
Fannie Mae, Pool #FM1158, 3.50%, 6/1/2034		1,587,268		1,644,440
Fannie Mae, Pool #745418, 5.50%, 4/1/2036		411,548		463,338
Fannie Mae, Pool #889576, 6.00%, 4/1/2038		352,600		405,733
Fannie Mae, Pool #MA3412, 3.50%, 7/1/2038		1,560,074		1,616,721
Fannie Mae, Pool #995196, 6.00%, 7/1/2038		787,450		906,148
Fannie Mae, Pool #AD0207, 6.00%, 10/1/2038		117,514		135,071



PRO-BLEND^®MODERATE TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038		38,910	$	44,765
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		716,780		776,495
Fannie Mae, Pool #AL1595, 6.00%, 1/1/2040		505,584		581,810
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040		585,425		672,938
Fannie Mae, Pool #AS3622, 3.50%, 10/1/2044		2,106,202		2,217,981
Fannie Mae, Pool #AX5234, 4.50%, 11/1/2044		735,281		780,562
Fannie Mae, Pool #AZ9215, 4.00%, 10/1/2045		588,367		619,596
Fannie Mae, Pool #BC3490, 3.50%, 2/1/2046		1,951,414		2,034,279
Fannie Mae, Pool #MA2705, 3.00%, 8/1/2046		1,491,459		1,530,782
Fannie Mae, Pool #BE7845, 4.50%, 2/1/2047		374,126		395,039
Fannie Mae, Pool #CA1922, 5.00%, 6/1/2048		1,812,322		1,942,924
Fannie Mae, Pool #CA2056, 4.50%, 7/1/2048		1,717,001		1,812,283
Fannie Mae, Pool #MA3443, 4.00%, 8/1/2048		1,039,581		1,078,282
Fannie Mae, Pool #BK9598, 4.50%, 8/1/2048		526,106		554,673
Fannie Mae, Pool #CA2219, 5.00%, 8/1/2048		968,151		1,037,899
Fannie Mae, Pool #CA2373, 5.00%, 9/1/2048		1,545,001		1,656,272
Fannie Mae, Pool #MA3521, 4.00%, 11/1/2048		1,644,228		1,706,933
Fannie Mae, Pool #BN0622, 4.50%, 1/1/2049		1,410,234		1,484,083
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		1,538,854		1,732,277
Fannie Mae, Pool #MA3692, 3.50%, 7/1/2049		2,064,937		2,118,425
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		1,258		1,262
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		16,735		17,149
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		11,509		11,832
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023		10,119		10,494
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		16,914		17,482



	PRINCIPAL
	AMOUNT³/ SHARES		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023		8,323	$	8,631
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		636,747		684,724
Freddie Mac, Pool #QN0349, 3.00%, 8/1/2034		1,317,788		1,350,149
Freddie Mac, Pool #G03696, 5.50%, 1/1/2038		1,185		1,332
Freddie Mac, Pool #G03781, 6.00%, 1/1/2038		170,868		193,909
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		175,520		201,900
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		180,886		203,279
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		226,038		253,677
Freddie Mac, Pool #G05900, 6.00%, 3/1/2040		97,357		109,932
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		123,770		138,727
Freddie Mac, Pool #A92889, 4.50%, 7/1/2040		1,333,877		1,433,753
Freddie Mac, Pool #G60183, 4.00%, 12/1/2044		632,989		664,543
Freddie Mac, Pool #ZM2525, 3.00%, 12/1/2046		1,219,907		1,250,162
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		753,406		793,490


TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $41,043,664)				41,888,662


U.S. GOVERNMENT SECURITIES - 1.9%

U.S. Treasury Bill - 1.9%
U.S. Treasury Bill¹⁰, 1.58%, 5/21/2020
(Identified Cost $7,531,492)		7,598,000		7,532,558


SHORT-TERM INVESTMENT - 0.9%

Dreyfus Government Cash Management, Institutional Shares, 1.73%¹¹
(Identified Cost $3,758,324)		3,758,324		3,758,324


TOTAL INVESTMENTS IN SECURITIES - 100.2%
(Identified Cost $367,270,346)				394,093,264

¹A portion of this security is designated as collateral for options contracts written. As of October 31, 2019, the total value of such securities was $11,789,998.

²Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid under the Fund’s Liquidity Risk Management Program. These securities amount to $41,865,046, or 10.7% of the Series’ net assets as of October 31, 2019 (see Note 2 to the financial statements).

⁵Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of October 31, 2019.

⁸Floating rate security. Rate shown is the rate in effect as of October 31, 2019.

²Represents aggregate total return for the years indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during certain years.

Performance Update as of October 31, 2019 - Pro-Blend^® Extended Term Series

The following graph compares the value of a $10,000 investment in the Pro-Blend^® Extended Term Series - Class S for the ten years ended October 31, 2019 to the Bloomberg Barclays U.S. Aggregate Bond Index and the 40/15/45 Blended Index.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 1.05% for Class S, 0.85% for Class I, 1.35% for Class R, 1.80% for Class L and 0.10% for Class W. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.06% for Class S, 0.86% for Class I, 1.37% for Class R, 1.80% for Class L and 0.72% for Class W for the year ended October 31, 2019.

⁶The 40/15/45 Blended Index is 40% Russell 3000^® Index (Russell 3000), 15% MSCI ACWI ex USA Index (ACWIxUS), and 45% Bloomberg Barclays U.S. Aggregate Bond Index (BAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. Index returns are based on a market capitalization weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily

Performance Update as of October 31, 2019 - Pro-Blend^® Extended Term Series

reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. Index returns provided by Bloomberg. BAB is an unmanaged, market value-weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities with maturities of one year or more. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the fund’s asset allocation will vary over time, the composition of the fund’s portfolio may not match the composition of the comparative Indices. Mid-month performance may not be available for all indices within the blended index. Where applicable, performance for those indices is included from the first of the month following the corresponding Fund’s inception date.



PRO-BLEND^®EXTENDED TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS - 50.6%

Communication Services - 8.1%
Diversified Telecommunication Services - 0.1%
Elisa OYJ (Finland)		3,746	$	204,592
Orange S.A. (France)		4,370		70,333
Telefonica Brasil S.A. (Brazil)		3,400		44,991


				319,916

Entertainment - 3.6%
Activision Blizzard, Inc.¹		77,580		4,346,807
Electronic Arts, Inc.*¹		39,435		3,801,534
Nexon Co. Ltd. (Japan)*		434,200		5,031,617
Sea Ltd. - ADR (Taiwan)*¹		152,950		4,551,792
Toho Co. Ltd. - Tokyo (Japan)		4,400		177,696
Viacom, Inc. - Class B		657		14,165
Vivendi S.A. (France)		2,225		61,961


				17,985,572

Interactive Media & Services - 3.8%
Alphabet, Inc. - Class A*¹		3,270		4,116,276
Alphabet, Inc. - Class C*		3,280		4,133,161
Autohome, Inc. - ADR (China)*		1,660		140,370
Facebook, Inc. - Class A*		27,075		5,188,924
Kakao Corp. (South Korea)		1,670		202,658
Tencent Holdings Ltd. - Class H (China)		135,379		5,491,367


				19,272,756

Media - 0.6%
Informa plc (United Kingdom)		18,015		181,074
Quebecor, Inc. - Class B (Canada)		61,865		1,438,240
Shaw Communications, Inc. - Class B (Canada)		72,150		1,472,471


				3,091,785

Wireless Telecommunication Services - 0.0%##
Globe Telecom, Inc. (Philippines)		1,355		48,705


Total Communication Services				40,718,734


Consumer Discretionary - 5.3%
Auto Components - 0.0%##
Cie Generale des Etablissements Michelin SCA (France)		405		49,312

Automobiles - 0.0%##
Peugeot S.A. (France)		1,260		31,911

Distributors - 0.0%##
Genuine Parts Co.		260		26,671

Diversified Consumer Services - 0.1%
Fu Shou Yuan International Group Ltd. (China)		97,000		85,612




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Diversified Consumer Services (continued)
New Oriental Education & Technology Group, Inc. - ADR (China)*		1,710	$	208,723
TAL Education Group - ADR (China)*		4,370		187,080


				481,415

Hotels, Restaurants & Leisure - 0.2%
Basic-Fit N.V. (Netherlands)*²		4,485		137,174
Galaxy Entertainment Group Ltd. (Macau)		20,000		137,713
Hilton Worldwide Holdings, Inc.		765		74,174
Melco Resorts & Entertainment Ltd. - ADR (Hong Kong)		4,095		88,206
MGM China Holdings Ltd. (Macau)		56,000		88,675
Restaurant Brands International, Inc. (Canada)		1,720		112,557
Sands China Ltd. (Macau)		28,000		137,917
Wynn Macau Ltd. (Macau)		61,200		132,809


				909,225

Household Durables - 1.3%
Barratt Developments plc (United Kingdom)		11,660		95,354
The Berkeley Group Holdings plc (United Kingdom)		1,765		100,604
Persimmon plc (United Kingdom)		3,560		105,007
Sony Corp. - ADR (Japan)		93,435		5,683,651
Sony Corp. (Japan)		3,400		206,955
Taylor Wimpey plc (United Kingdom)		45,855		98,346


				6,289,917

Internet & Direct Marketing Retail - 1.6%
Alibaba Group Holding Ltd. - ADR (China)*		1,870		330,373
Amazon.com, Inc.*		2,810		4,992,415
Booking Holdings, Inc.*		1,240		2,540,475
Farfetch Ltd. - Class A (United Kingdom)*		1,825		16,297


				7,879,560

Leisure Products - 0.0%##
Technogym S.p.A. (Italy)²		14,270		157,437

Multiline Retail - 0.1%
B&M European Value Retail S.A. (United Kingdom)		20,650		99,066
Kohl’s Corp.		354		18,146
Lojas Renner S.A. (Brazil)		4,400		55,832



PRO-BLEND^®EXTENDED TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Multiline Retail (continued)
Magazine Luiza S.A. (Brazil)		4,000	$	44,284


				217,328

Specialty Retail - 0.9%
Best Buy Co., Inc.		415		29,809
The Gap, Inc.		758		12,325
The Home Depot, Inc.		780		182,972
Industria de Diseno Textil S.A. (Spain)		141,940		4,422,966


				4,648,072

Textiles, Apparel & Luxury Goods - 1.1%
EssilorLuxottica S.A. (France)		510		77,874
Hermes International (France)		70		50,425
Kering S.A. (France)		180		102,419
Kontoor Brands, Inc.		69		2,622
lululemon athletica, Inc.*		24,439		4,992,155
LVMH Moet Hennessy Louis Vuitton SE (France)		520		222,069
Shenzhou International Group Holdings Ltd. (China)		12,000		165,824
VF Corp.		486		39,993


				5,653,381


Total Consumer Discretionary				26,344,229


Consumer Staples - 7.8%
Beverages - 4.0%
Ambev S.A. - ADR (Brazil)		291,188		1,255,020
Ambev S.A. (Brazil)		27,900		120,769
Anheuser-Busch InBev S.A./N.V. (Belgium)		62,299		5,028,615
The Coca-Cola Co.		94,220		5,128,395
Coca-Cola European Partners plc (United Kingdom)		3,390		181,399
Diageo plc (United Kingdom)		71,251		2,916,381
Heineken N.V. (Netherlands)		1,745		178,199
Molson Coors Brewing Co. - Class B		318		16,765
PepsiCo, Inc.		38,050		5,219,318
Pernod Ricard S.A. (France)		1,010		186,581


				20,231,442

Food & Staples Retailing - 0.2%
Alimentation Couche-Tard, Inc. - Class B (Canada)		6,150		184,439
ICA Gruppen AB (Sweden)		3,873		171,387
The Kroger Co.		845		20,821
Loblaw Companies Ltd. (Canada)		3,440		183,453




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Food & Staples Retailing (continued)
Puregold Price Club, Inc. (Philippines)		32,900	$	26,463
Raia Drogasil S.A. (Brazil)		1,600		43,869
Robinsons Retail Holdings, Inc. (Philippines)		19,570		29,252
Sysco Corp.		628		50,158
Walgreens Boots Alliance, Inc.		929		50,891
Walmart, Inc.		1,755		205,791


				966,524

Food Products - 2.4%
Archer-Daniels-Midland Co.		599		25,182
Barry Callebaut AG (Switzerland)		45		95,098
Chocoladefabriken Lindt & Spruengli AG (Switzerland)		10		74,303
Conagra Brands, Inc.		681		18,421
Danone S.A. (France)		4,983		412,798
General Mills, Inc.		804		40,891
The Hershey Co.		276		40,536
The J.M. Smucker Co.		193		20,396
Kellogg Co.		454		28,843
Kerry Group plc - Class A (Ireland)		1,620		196,158
Mondelez International, Inc. - Class A		98,821		5,183,161
Mowi ASA (Norway)		7,700		187,972
Nestle S.A. (Switzerland)		51,676		5,528,368
Tyson Foods, Inc. - Class A		361		29,887
Universal Robina Corp. (Philippines).		20,320		60,367


				11,942,381

Household Products - 0.1%
Colgate-Palmolive Co.		887		60,848
Essity AB - Class B (Sweden)		6,080		189,944
Henkel AG & Co. KGaA (Germany)		1,805		187,490
Kimberly-Clark Corp.		397		52,753
Reckitt Benckiser Group plc (United Kingdom)		2,210		171,014


				662,049

Personal Products - 1.0%
Beiersdorf AG (Germany)		975		115,429
LG Household & Health Care Ltd. (South Korea)		160		173,136
L’Oreal S.A. (France)		540		157,713
Unilever plc - ADR (United Kingdom)		79,043		4,751,275


				5,197,553



PRO-BLEND^®EXTENDED TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Tobacco - 0.1%
British American Tobacco plc - ADR (United Kingdom)		1,995	$	69,745
British American Tobacco plc (United Kingdom)		5,420		189,570


				259,315


Total Consumer Staples				39,259,264


Energy - 1.3%
Energy Equipment & Services - 1.0%
Baker Hughes Co.		1,046		22,384
Core Laboratories N.V		1,410		62,096
Halliburton Co.		107,810		2,075,342
Schlumberger Ltd		64,793		2,118,083
Transocean Ltd.*		127,930		607,668


				4,885,573

Oil, Gas & Consumable Fuels - 0.3%
Cameco Corp. (Canada)		10,681		95,381
Chevron Corp.		991		115,095
Eni S.p.A. (Italy)		12,115		183,796
Equinor ASA (Norway)		10,555		195,961
Galp Energia SGPS S.A. (Portugal)		11,600		185,539
Marathon Petroleum Corp.		835		53,398
Occidental Petroleum Corp.		692		28,026
Phillips 66		395		46,144
Repsol S.A. (Spain)		12,791		210,792
Royal Dutch Shell plc - Class B - ADR (Netherlands)		5,095		296,988
Suncor Energy, Inc. (Canada)		4,890		145,389
TOTAL S.A. (France)		3,820		201,957
Valero Energy Corp.		523		50,721


				1,809,187


Total Energy				6,694,760


Financials - 4.8%
Banks - 0.5%
Banco Bradesco S.A. (Brazil)		24,700		217,222
Banco do Brasil S.A. (Brazil)		8,000		95,769
Banco Santander Brasil S.A. (Brazil)		3,400		40,201
Bank of America Corp.		4,194		131,146
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		3,680		121,256
Bank of the Philippine Islands (Philippines)		36,890		70,478
Barclays plc (United Kingdom)		49,365		107,077
BB&T Corp.		640		33,952
BDO Unibank, Inc. (Philippines)		30,270		92,339




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Banks (continued)
BNP Paribas S.A. (France)		2,570	$	134,307
Citigroup, Inc.		1,225		88,028
Credit Agricole S.A. (France)		2,415		31,512
Fifth Third Bancorp		984		28,615
FinecoBank Banca Fineco S.p.A. (Italy)		14,000		157,827
Itau Unibanco Holding S.A. (Brazil)		27,500		248,635
Itausa - Investimentos Itau S.A. (Brazil)		30,200		103,164
JPMorgan Chase & Co.		1,641		204,994
KeyCorp		1,342		24,116
Lloyds Banking Group plc (United Kingdom)		137,380		101,058
Metropolitan Bank & Trust Co. (Philippines)		54,087		72,001
Regions Financial Corp.		1,200		19,320
Royal Bank of Scotland Group plc (United Kingdom)		35,930		99,319
SunTrust Banks, Inc.		497		33,965
U.S. Bancorp		1,454		82,907
Wells Fargo & Co.		3,139		162,067


				2,501,275

Capital Markets - 2.9%
B3 S.A. - Brasil Bolsa Balcao (Brazil)		10,700		129,158
BlackRock, Inc.		2,820		1,301,994
Cboe Global Markets, Inc.		21,820		2,512,573
CME Group, Inc.		11,990		2,466,942
Deutsche Boerse AG (Germany)		1,170		181,186
Hargreaves Lansdown plc (United Kingdom)		3,610		82,898
Intercontinental Exchange, Inc.		27,800		2,622,096
Julius Baer Group Ltd. (Switzerland)		2,250		99,638
London Stock Exchange Group plc (United Kingdom)		1,000		90,119
Moody’s Corp.		11,710		2,584,280
S&P Global, Inc.		9,990		2,577,320


				14,648,204

Diversified Financial Services - 1.3%
Berkshire Hathaway, Inc. - Class B*		29,820		6,339,136

Insurance - 0.1%
Admiral Group plc (United Kingdom)		6,105		159,779
The Allstate Corp.		305		32,458
AXA S.A. (France)		4,340		114,885
BB Seguridade Participacoes S.A. (Brazil)		5,700		48,252



PRO-BLEND^®EXTENDED TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Insurance (continued)
Chubb Ltd.		327	$	49,841
The Hartford Financial Services Group, Inc.		397		22,661
Ping An Insurance Group Co. of China Ltd. - Class H (China)		13,000		150,043
The Travelers Companies, Inc.		230		30,144


				608,063


Total Financials				24,096,678

Health Care - 9.1%
Biotechnology - 1.7%
AbbVie, Inc.		1,280		101,824
Amgen, Inc.		566		120,699
BioMarin Pharmaceutical, Inc.*		42,515		3,112,523
Gilead Sciences, Inc.		1,258		80,147
Incyte Corp.*		20,520		1,722,038
Seattle Genetics, Inc.*		15,970		1,715,178
Vertex Pharmaceuticals, Inc.*		8,290		1,620,529


				8,472,938

Health Care Equipment & Supplies - 2.4%
Alcon, Inc. (Switzerland)*		45,976		2,724,998
Alcon, Inc. (Switzerland)*		1,602		94,739
Getinge AB - Class B (Sweden)		7,360		125,831
Hoya Corp. (Japan)		2,300		203,268
Koninklijke Philips N.V. (Netherlands)		4,035		177,032
Medtronic plc		78,565		8,555,728
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		84,000		96,435
Smith & Nephew plc (United Kingdom)		7,955		170,766


				12,148,797

Health Care Providers & Services - 0.0%##
CVS Health Corp.		1,164		77,278
Quest Diagnostics, Inc.		200		20,250
Sonic Healthcare Ltd. (Australia)		9,615		189,368


				286,896

Life Sciences Tools & Services - 0.1%
Gerresheimer AG (Germany)		1,710		137,903
QIAGEN N.V.*		2,087		62,213
QIAGEN N.V.*		3,399		102,239
Tecan Group AG (Switzerland)		190		44,950


				347,305




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Health Care (continued)
Pharmaceuticals - 4.9%
Bristol-Myers Squibb Co.		1,412	$	81,006
Johnson & Johnson¹		58,165		7,680,107
Merck & Co., Inc.		21,604		1,872,203
Merck KGaA (Germany)		46,435		5,538,142
Novartis AG - ADR (Switzerland)		91,980		8,042,731
Novartis AG (Switzerland)		2,355		205,769
Perrigo Co. plc		2,970		157,469
Pfizer, Inc.		4,042		155,092
Recordati S.p.A. (Italy)		4,280		179,863
Roche Holding AG (Switzerland)		1,040		312,994
Sanofi (France)		2,245		206,960


				24,432,336


Total Health Care				45,688,272


Industrials - 0.7%
Aerospace & Defense - 0.2%
Airbus SE (France)		1,205		172,867
BAE Systems plc (United Kingdom)		27,265		203,662
The Boeing Co.		392		133,245
General Dynamics Corp.		225		39,780
Lockheed Martin Corp.		242		91,157
Safran S.A. (France)		660		104,537
Thales S.A. (France)		155		15,153
United Technologies Corp.		686		98,496


				858,897

Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.		279		21,104
United Parcel Service, Inc. - Class B		856		98,586


				119,690

Airlines - 0.0%##
Ryanair Holdings plc - ADR (Ireland)*		1,626		121,365

Building Products - 0.0%##
Cie de Saint-Gobain (France)		1,055		42,968
Johnson Controls International plc		1,011		43,807


				86,775

Commercial Services & Supplies - 0.0%##
Waste Management, Inc.		478		53,636

Construction & Engineering - 0.0%##
Vinci S.A. (France)		1,760		197,466

Electrical Equipment - 0.1%
Eaton Corp. plc		533		46,430
Emerson Electric Co.		732		51,350
Legrand S.A. (France)		565		44,140



PRO-BLEND^®EXTENDED TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Industrials (continued)
Electrical Equipment (continued)
Rockwell Automation, Inc.		132	$	22,703
Schneider Electric SE (France)		1,185		110,134
WEG S.A. (Brazil)		6,500		41,686


				316,443

Industrial Conglomerates - 0.1%
3M Co.		540		89,095
Honeywell International, Inc.		581		100,356
LT Group, Inc. (Philippines)		92,700		24,369
SM Investments Corp. (Philippines)		4,665		94,571


				308,391

Machinery - 0.2%
Caterpillar, Inc.		483		66,557
Cummins, Inc.		216		37,256
Daifuku Co. Ltd. (Japan)		2,000		106,123
FANUC Corp. (Japan)		1,300		256,424
Harmonic Drive Systems, Inc. (Japan)		2,700		125,217
Illinois Tool Works, Inc.		323		54,451
KION Group AG (Germany)		1,930		128,418
Nabtesco Corp. (Japan)		3,700		117,789
The Weir Group plc (United Kingdom)		7,260		126,811


				1,019,046

Professional Services - 0.0%##
SGS S.A. (Switzerland)		35		91,284

Road & Rail - 0.0%##
Localiza Rent a Car S.A. (Brazil)		3,100		33,238
Rumo S.A. (Brazil)*		8,100		46,211
Union Pacific Corp.		582		96,298


				175,747

Trading Companies & Distributors - 0.0%##
Fastenal Co.		840		30,190

Transportation Infrastructure - 0.1%
Grupo Aeroportuario del Centro
Norte S.A.B. de C.V. (Mexico)		13,400		92,988
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		595		62,183
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		505		82,694


				237,865


Total Industrials				3,616,795

Information Technology - 9.5%
Communications Equipment - 0.0%##
Cisco Systems, Inc.		2,923		138,872




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Information Technology (continued)
Electronic Equipment, Instruments & Components - 0.4%
Cognex Corp.		23,840	$	1,227,522
Halma plc (United Kingdom)		4,290		104,099
Hexagon AB - Class B (Sweden)		2,150		110,076
Keyence Corp. (Japan)		618		390,759


				1,832,456

IT Services - 4.3%
Capgemini SE (France)		340		38,328
International Business Machines Corp.		748		100,030
InterXion Holding N.V. (Netherlands)*		52,060		4,592,733
Keywords Studios plc (Ireland)		2,166		31,212
Mastercard, Inc. - Class A		31,855		8,817,783
Visa, Inc. - Class A		44,385		7,938,701


				21,518,787

Semiconductors & Semiconductor Equipment - 2.2%
Applied Materials, Inc.		855		46,392
Broadcom, Inc.		315		92,248
Intel Corp.		3,300		186,549
KLA Corp.		253		42,767
Lam Research Corp.		146		39,572
Maxim Integrated Products, Inc.		393		23,053
Micron Technology, Inc.*		156,470		7,440,148
NVIDIA Corp.		14,725		2,960,019
Texas Instruments, Inc.		809		95,454


				10,926,202

Software - 2.6%
Dassault Systemes SE (France)		325		49,360
Microsoft Corp.		57,910		8,302,557
ServiceNow, Inc.*¹		19,435		4,805,498


				13,157,415

Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		292		16,317
Western Digital Corp.		476		24,585


				40,902


Total Information Technology				47,614,634

Materials - 0.2%
Chemicals - 0.2%
Air Liquide S.A. (France)		907		120,596
Akzo Nobel N.V. (Netherlands)		1,285		118,469
Dow, Inc.		674		34,030
Eastman Chemical Co.		264		20,075



PRO-BLEND^®EXTENDED TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Materials (continued)
Chemicals (continued)
Givaudan S.A. (Switzerland)		30	$	88,138
LyondellBasell Industries N.V. - Class A		489		43,863
OCI N.V. (Netherlands)*		1,460		32,827
Orbia Advance Corp. S.A.B. de C.V. (Mexico)		39,200		84,854
Solvay S.A. (Belgium)		2,060		223,975


				766,827

Containers & Packaging - 0.0%##
International Paper Co.		474		20,704

Metals & Mining - 0.0%##
First Quantum Minerals Ltd. (Zambia)		5,330		45,041
Lundin Mining Corp. (Chile)		7,485		37,792
Nucor Corp.		517		27,840


				110,673


Total Materials				898,204


Real Estate - 3.7%
Equity Real Estate Investment Trusts (REITS) - 3.7%
Acadia Realty Trust		1,740		48,685
Agree Realty Corp.		1,095		86,253
Alexandria Real Estate Equities, Inc.		400		63,500
American Campus Communities, Inc.		2,875		143,692
American Homes 4 Rent - Class A		9,605		254,244
American Tower Corp.		11,020		2,403,242
Americold Realty Trust		5,355		214,682
Apartment Investment & Management Co. - Class A		4,666		256,070
AvalonBay Communities, Inc.		1,650		359,139
Boston Properties, Inc.		1,431		196,333
Brandywine Realty Trust		13,975		213,538
The British Land Co. plc (United Kingdom)		12,835		103,195
Camden Property Trust		1,690		193,285
Community Healthcare Trust, Inc.		3,135		151,797
Cousins Properties, Inc.		8,757		351,418
Crown Castle International Corp.		1,205		167,242
CubeSmart		1,505		47,708
Digital Realty Trust, Inc.		1,400		177,856
Douglas Emmett, Inc.		3,710		160,717
Equinix, Inc.		7,145		4,049,643
Equity LifeStyle Properties, Inc.		2,260		158,064
Equity Residential		2,915		258,444




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Essential Properties Realty Trust, Inc.		6,260	$	160,632
Essex Property Trust, Inc.		622		203,475
Extra Space Storage, Inc.		560		62,871
Federal Realty Investment Trust		395		53,724
First Industrial Realty Trust, Inc.		2,635		110,960
Getty Realty Corp.		3,025		101,458
Healthcare Realty Trust, Inc.		4,650		161,680
Healthcare Trust of America, Inc. - Class A		2,860		88,660
Healthpeak Properties, Inc.		6,690		251,678
Hibernia REIT plc (Ireland)		54,110		84,247
Host Hotels & Resorts, Inc.		5,425		88,916
Independence Realty Trust, Inc.		7,505		115,577
Invitation Homes, Inc.		10,633		327,390
Jernigan Capital, Inc.		5,580		105,964
Kilroy Realty Corp.		658		55,226
Land Securities Group plc (United Kingdom)		8,610		104,875
Liberty Property Trust		2,615		154,468
Life Storage, Inc.		740		80,601
Mid-America Apartment Communities, Inc.		810		112,582
National Retail Properties, Inc.		2,755		162,297
National Storage Affiliates Trust		2,725		93,113
Omega Healthcare Investors, Inc.		2,605		114,724
Physicians Realty Trust		9,510		177,552
Plymouth Industrial REIT, Inc.		3,427		64,633
Prologis, Inc.		6,190		543,234
Public Storage		1,035		230,660
Realty Income Corp.		835		68,295
SBA Communications Corp.		9,830		2,365,590
Simon Property Group, Inc.		2,415		363,892
STAG Industrial, Inc.		3,360		104,294
STORE Capital Corp.		2,340		94,770
Sun Communities, Inc.		1,475		239,909
Sunstone Hotel Investors, Inc.		4,545		61,403
UDR, Inc.		3,883		195,121
UMH Properties, Inc.		3,665		54,718
Urban Edge Properties		6,805		143,654
Ventas, Inc.		2,796		182,020
VEREIT, Inc.		18,310		180,170
Vornado Realty Trust		995		65,302
Weingarten Realty Investors		4,375		138,819
Welltower, Inc.		2,609		236,610


				18,364,511



PRO-BLEND^®EXTENDED TERM SERIES	SHARES/ PRINCIPAL AMOUNT³
	SHARES/ PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Real Estate Management & Development - 0.0%##
Ayala Land, Inc. (Philippines)		94,000	$	89,829
SM Prime Holdings, Inc. (Philippines)		156,175		119,913


				209,742


Total Real Estate				18,574,253


Utilities - 0.1%
Electric Utilities - 0.0%##
Manila Electric Co. (Philippines)		7,840		52,282

Independent Power and Renewable Electricity Producers - 0.0%##
Aboitiz Power Corp. (Philippines)		81,900		64,477

Multi-Utilities - 0.1%
Engie S.A. (France)		4,140		69,323
Veolia Environnement S.A. (France)		1,265		33,300


				102,623


Total Utilities				219,382


TOTAL COMMON STOCKS
(Identified Cost $219,211,780)				253,725,205


CORPORATE BONDS - 12.0%

Non-Convertible Corporate Bonds - 12.0%
Communication Services - 2.5%
Diversified Telecommunication Services - 1.2%
AT&T, Inc., 4.25%, 3/1/2027		2,280,000		2,504,136
CenturyLink, Inc., 5.625%, 4/1/2020 .		50,000		50,625
Verizon Communications, Inc., 5.25%, 3/16/2037		2,720,000		3,426,053


				5,980,814

Interactive Media & Services - 0.4%
Tencent Holdings Ltd. (China)², 3.975%, 4/11/2029		1,620,000		1,743,476

Media - 0.9%
Cablevision Systems Corp., 8.00%, 4/15/2020		50,000		51,250
Comcast Corp., 3.25%, 11/1/2039		1,690,000		1,713,349
Diamond Sports Group LLC -
Diamond Sports Finance Co.², 6.625%, 8/15/2027		75,000		77,250
Discovery Communications LLC, 5.20%, 9/20/2047		2,230,000		2,438,630
Entercom Media Corp.², 7.25%, 11/1/2024		25,000		26,062




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Communication Services (continued)
Media (continued)
Townsquare Media, Inc.², 6.50%, 4/1/2023		50,000	$	49,500


				4,356,041

Wireless Telecommunication Services - 0.0%##
Sprint Communications, Inc., 7.00%, 8/15/2020		115,000		118,470
Sprint Corp., 7.25%, 9/15/2021		50,000		53,353
Sprint Corp., 7.125%, 6/15/2024		50,000		54,250


				226,073


Total Communication Services				12,306,404

Consumer Discretionary - 1.7%
Auto Components - 0.0%##
American Axle & Manufacturing, Inc., 6.25%, 4/1/2025		25,000		24,094
Techniplas LLC², 10.00%, 5/1/2020		65,000		54,925


				79,019

Automobiles - 0.5%
General Motors Financial Co., Inc., 3.15%, 1/15/2020		2,670,000		2,673,610

Diversified Consumer Services - 0.0%##
GEMS MENASA Cayman Ltd. - GEMS Education Delaware LLC (United Arab Emirates)², 7.125%, 7/31/2026		200,000		207,250

Household Durables - 0.1%
Ashton Woods USA LLC - Ashton
Woods Finance Co.², 6.75%, 8/1/2025		55,000		55,275
LGI Homes, Inc.², 6.875%, 7/15/2026		100,000		103,500
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		105,000		106,575


				265,350

Internet & Direct Marketing Retail - 1.1%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		1,740,000		1,807,271
Booking Holdings, Inc., 3.60%, 6/1/2026		3,250,000		3,518,637
Photo Holdings Merger Sub, Inc.², 8.50%, 10/1/2026		75,000		66,010


				5,391,918



PRO-BLEND^®EXTENDED TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Specialty Retail - 0.0%##
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.², 12.25%, 11/15/2026		75,000	$	75,382
Staples, Inc.², 7.50%, 4/15/2026		80,000		83,216


				158,598


Total Consumer Discretionary				8,775,745

Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.², 8.625%, 10/15/2026		70,000		71,794

Energy - 1.9%
Energy Equipment & Services - 0.0%##
Nabors Industries, Inc., 5.50%, 1/15/2023		55,000		46,475
Shelf Drilling Holdings Ltd. (United Arab Emirates)², 8.25%, 2/15/2025		55,000		46,200


				92,675

Oil, Gas & Consumable Fuels - 1.9%
Antero Midstream Partners LP - Antero Midstream Finance Corp.², 5.75%, 3/1/2027		50,000		37,187
Antero Midstream Partners LP - Antero Midstream Finance Corp.², 5.75%, 1/15/2028		55,000		41,525
Bruin E&P Partners LLC², 8.875%, 8/1/2023		55,000		36,300
Calumet Specialty Products Partners LP - Calumet Finance Corp.², 11.00%, 4/15/2025		75,000		75,187
Energy Transfer Operating LP, 6.50%, 2/1/2042		1,590,000		1,904,347
Jonah Energy LLC - Jonah Energy Finance Corp.², 7.25%, 10/15/2025		105,000		29,400
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		1,940,000		2,507,882
Lonestar Resources America, Inc.², 11.25%, 1/1/2023		50,000		35,000
Moss Creek Resources Holdings, Inc.², 10.50%, 5/15/2027		15,000		11,587
NuStar Logistics LP, 6.75%, 2/1/2021		50,000		51,809
Rockies Express Pipeline LLC², 5.625%, 4/15/2020		75,000		76,260




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		2,630,000	$	3,019,902
Southwestern Energy Co.⁴, 6.20%, 1/23/2025		55,000		48,400
W&T Offshore, Inc.², 9.75%, 11/1/2023		25,000		23,438
The Williams Companies, Inc., 3.75%, 6/15/2027		1,720,000		1,793,349


				9,691,573


Total Energy				9,784,248

Financials - 2.8%
Banks - 2.4%
Bank of America Corp., 4.00%, 1/22/2025		3,190,000		3,402,515
Citigroup, Inc., 8.125%, 7/15/2039		1,060,000		1,743,772
Credit Suisse AG (Switzerland), 5.40%, 1/14/2020		2,590,000		2,606,783
JPMorgan Chase & Co.⁵, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		1,700,000		1,815,256
Santander Holdings USA, Inc., 4.50%, 7/17/2025		2,190,000		2,359,941


				11,928,267

Capital Markets - 0.3%
AG Merger Sub II, Inc.², 10.75%, 8/1/2027		50,000		49,500
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		95,000		98,800
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025		1,140,000		1,227,952


				1,376,252

Consumer Finance - 0.0%##
Navient Corp., 5.00%, 10/26/2020		75,000		76,384
SLM Corp., 5.125%, 4/5/2022		105,000		108,412


				184,796

Diversified Financial Services - 0.1%
Fidelity & Guaranty Life Holdings, Inc.², 5.50%, 5/1/2025		50,000		53,375
Global Aircraft Leasing Co. Ltd. (Cayman Islands)^2,6, 6.50%, 9/15/2024		75,000		76,759
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)², 10.50%, 6/1/2024		80,000		77,800


				207,934



PRO-BLEND^®EXTENDED TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Financials (continued)
Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.², 7.00%, 11/15/2025		85,000	$	77,775
Radian Group, Inc., 4.875%, 3/15/2027		105,000		108,937


				186,712


Total Financials				13,883,961


Health Care - 0.4%
Health Care Providers & Services - 0.4%
HCA, Inc., 4.125%, 6/15/2029		1,770,000		1,875,147

Industrials - 1.5%
Commercial Services & Supplies - 0.0%##
The ADT Security Corp., 6.25%, 10/15/2021		50,000		53,312
Prime Security Services Borrower LLC - Prime Finance, Inc.², 5.75%, 4/15/2026		50,000		51,235
Stericycle, Inc.², 5.375%, 7/15/2024 .		105,000		109,200


				213,747

Construction & Engineering - 0.0%##
HC2 Holdings, Inc.², 11.50%, 12/1/2021		25,000		22,781
Tutor Perini Corp.², 6.875%, 5/1/2025		105,000		104,722


				127,503

Industrial Conglomerates - 0.4%
General Electric Co.^5,7, (3 mo. LIBOR US + 3.330%), 5.00%		1,980,000		1,908,225

Marine - 0.1%
American Tanker, Inc. (Norway)², 9.25%, 2/22/2022		130,000		130,729
Borealis Finance LLC², 7.50%, 11/16/2022		110,000		103,400
Global Ship Lease, Inc. (United Kingdom)², 9.875%, 11/15/2022		125,000		129,687


				363,816

Trading Companies & Distributors - 1.0%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 4.45%, 10/1/2025		2,260,000		2,452,277
Air Lease Corp., 3.625%, 4/1/2027		2,290,000		2,388,855




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Industrials (continued)
Trading Companies & Distributors (continued)
Fortress Transportation & Infrastructure Investors LLC², 6.50%, 10/1/2025		80,000	$	80,800


				4,921,932

Total Industrials				7,535,223

Information Technology - 0.0%##
Communications Equipment - 0.0%##
Hughes Satellite Systems Corp., 5.25%, 8/1/2026		100,000		107,125

Materials - 0.6%
Chemicals - 0.0%##
CF Industries, Inc., 7.125%, 5/1/2020		50,000		51,202
Olin Corp., 5.625%, 8/1/2029		50,000		51,913


				103,115

Containers & Packaging - 0.0%##
ARD Securities Finance S.A.R.L (Luxembourg) ^2,6, 8.75%, 1/31/2023		31,312		32,564
Berry Global, Inc.², 4.50%, 2/15/2026		35,000		35,219
Mauser Packaging Solutions Holding Co.², 7.25%, 4/15/2025		55,000		52,594


				120,377

Metals & Mining - 0.6%
Infrabuild Australia Pty Ltd. (Australia)², 12.00%, 10/1/2024		80,000		81,530
Mountain Province Diamonds, Inc. (Canada)², 8.00%, 12/15/2022		105,000		101,850
Northwest Acquisitions ULC - Dominion Finco, Inc.², 7.125%, 11/1/2022		105,000		52,500
Southern Copper Corp. (Peru), 5.375%, 4/16/2020		2,360,000		2,389,115
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.², 7.50%, 6/15/2025		25,000		21,250


				2,646,245


Total Materials				2,869,737

Real Estate - 0.6%
Equity Real Estate Investment Trusts (REITS) - 0.6%
American Tower Corp., 3.80%, 8/15/2029		2,170,000		2,319,801



PRO-BLEND^®EXTENDED TERM SERIES	PRINCIPAL AMOUNT³/ SHARES
	PRINCIPAL AMOUNT³/ SHARES		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
GTP Acquisition Partners I LLC², 2.35%, 6/15/2020		427,000	$	427,149


				2,746,950

Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.², 7.875%, 11/15/2025		80,000		75,614
Forestar Group, Inc.², 8.00%, 4/15/2024		50,000		53,750


				129,364


Total Real Estate				2,876,314


Utilities - 0.0%##
Independent Power and Renewable Electricity Producers - 0.0%##
Drax Finco plc (United Kingdom)², 6.625%, 11/1/2025		245,000		259,394

TOTAL CORPORATE BONDS
(Identified Cost $58,029,971)				60,345,092


MUTUAL FUNDS - 0.4%

iShares MSCI India ETF		16,645		576,749
SPDR Gold Shares*		5,835		831,079
VanEck Vectors Gold Miners ETF		15,370		432,666


TOTAL MUTUAL FUNDS
(Identified Cost $1,690,525)				1,840,494


U.S. TREASURY SECURITIES - 16.3%

U.S. Treasury Bonds - 7.8%
U.S. Treasury Bond, 4.75%, 2/15/2037		7,094,000		10,092,878
U.S. Treasury Bond, 2.50%, 2/15/2045		9,653,000		10,269,133
U.S. Treasury Bond, 3.00%, 5/15/2047		13,040,000		15,269,025
U.S. Treasury Inflation Indexed Bond, 0.75%, 2/15/2042		3,211,167		3,374,253

Total U.S. Treasury Bonds
(Identified Cost $34,666,336)				39,005,289

U.S. Treasury Notes - 8.5%
U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020		4,473,062		4,449,124
U.S. Treasury Inflation Indexed Note, 0.50%, 4/15/2024		5,203,234		5,271,638




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Notes (continued)
U.S. Treasury Note, 2.625%, 5/15/2021		5,205,000	$	5,286,328
U.S. Treasury Note, 2.50%, 5/15/2024		9,596,000		10,000,831
U.S. Treasury Note, 2.00%, 8/15/2025		7,390,000		7,561,760
U.S. Treasury Note, 1.625%, 5/15/2026		10,134,000		10,150,230


Total U.S. Treasury Notes
(Identified Cost $42,091,538)				42,719,911


TOTAL U.S. TREASURY SECURITIES
(Identified Cost $76,757,874)				81,725,200


ASSET-BACKED SECURITIES - 3.5%

Cazenovia Creek Funding I LLC, Series 2015-1A, Class A², 2.00%, 12/10/2023		9,380		9,375
Cazenovia Creek Funding II LLC, Series 2018-1A, Class A², 3.561%, 7/15/2030		745,885		751,302
Chesapeake Funding II LLC, Series 2017-2A, Class A1 (Canada)², 1.99%, 5/15/2029		2,746,414		2,745,563
Chesapeake Funding II LLC, Series 2017-4A, Class A1 (Canada)², 2.12%, 11/15/2029		817,479		817,490
Commonbond Student Loan Trust, Series 2019-AGS, Class A1², 2.54%, 1/25/2047		1,750,000		1,749,403
Credit Acceptance Auto Loan Trust, Series 2017-1A, Class A², 2.56%, 10/15/2025		244,023		244,119
Invitation Homes Trust, Series 2017-SFR2, Class A^2,8, (1 mo. LIBOR US + 0.850%), 2.739%, 12/17/2036		492,937		492,244
Invitation Homes Trust, Series 2017-SFR2, Class B^2,8, (1 mo. LIBOR US + 1.150%), 3.039%, 12/17/2036		390,000		390,366
Progress Residential Trust, Series 2019-SFR4, Class A², 2.687%, 10/17/2036		1,200,000		1,205,126
SoFi Consumer Loan Program Trust, Series 2019-2, Class A², 3.01%, 4/25/2028		877,696		884,567
SoFi Consumer Loan Program Trust, Series 2019-3, Class A², 2.90%, 5/25/2028		1,125,410		1,133,418



PRO-BLEND^®EXTENDED TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

ASSET-BACKED SECURITIES (continued)

SoFi Professional Loan Program LLC, Series 2017-F, Class A1FX², 2.05%, 1/25/2041		123,388	$	123,379
SoFi Professional Loan Program LLC, Series 2017-F, Class A2FX², 2.84%, 1/25/2041		300,000		304,455
SoFi Professional Loan Program LLC, Series 2018-A, Class A2A², 2.39%, 2/25/2042		367,707		368,416
SoFi Professional Loan Program Trust, Series 2018-C, Class A1FX², 3.08%, 1/25/2048		1,147,619		1,154,809
Tax Ease Funding LLC, Series 2016-1A, Class A², 3.131%, 6/15/2028		153,166		153,132
Towd Point Mortgage Trust, Series 2016-5, Class A1^2,9, 2.50%, 10/25/2056		839,834		843,046
Towd Point Mortgage Trust, Series 2017-1, Class A1^2,9, 2.75%, 10/25/2056		1,138,806		1,152,281
Towd Point Mortgage Trust, Series 2019-HY1, Class A1^2,8, (1 mo. LIBOR US + 1.000%), 2.823%, 10/25/2048		1,034,225		1,039,750
Tricon American Homes Trust, Series 2016-SFR1, Class A², 2.589%, 11/17/2033		853,448		853,267
Tricon American Homes Trust, Series 2017-SFR2, Class A², 2.928%, 1/17/2036		997,171		1,012,124

TOTAL ASSET-BACKED SECURITIES
(Identified Cost $17,319,014)				17,427,632


COMMERCIAL MORTGAGE-BACKED SECURITIES - 5.2%

Americold LLC Trust, Series 2010-ARTA, Class A1², 3.847%, 1/14/2029		48,404		48,888
BWAY Mortgage Trust, Series 2015-1740, Class A², 2.917%, 1/10/2035		2,411,000		2,469,608
CIM Trust, Series 2019-INV1, Class A1^2,9, 4.00%, 2/25/2049		490,810		501,522
Credit Suisse Mortgage Capital Trust, Series 2013-IVR3, Class A1^2,9, 2.50%, 5/25/2043		514,452		509,040
Credit Suisse Mortgage Capital Trust, Series 2013-TH1, Class A1^2,9, 2.13%, 2/25/2043		483,763		473,099
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047		927,499		968,259




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

Fannie Mae-Aces, Series 2017-M15, Class A1⁹, 2.959%, 9/25/2027		1,333,926	$	1,397,738
FDIC Trust, Series 2011-R1, Class A², 2.672%, 7/25/2026		11,120		11,100
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X1 (IO)⁹, 1.26%, 8/25/2020		7,570,380		54,355
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K014, Class X1 (IO)⁹, 1.149%, 4/25/2021		8,846,148		123,452
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K016, Class X1 (IO)⁹, 1.478%, 10/25/2021		3,628,168		89,792
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class X1 (IO)⁹, 1.298%, 12/25/2021		15,496,697		344,079
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X1 (IO)⁹, 1.428%, 6/25/2022		10,655,059		342,886
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K030, Class X1 (IO)⁹, 0.188%, 4/25/2023		42,859,082		258,693
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K032, Class X1 (IO)⁹, 0.098%, 5/25/2023		27,485,278		107,278
Freddie Mac REMICS, Series 4791, Class BA, 4.00%, 3/15/2044		953,910		966,800
Freddie Mac REMICS, Series 4801, Class BA, 4.50%, 5/15/2044		855,816		873,689
FREMF Mortgage Trust, Series 2013-K28, Class X2A (IO)², 0.10%, 6/25/2046		75,810,098		203,141
FREMF Mortgage Trust, Series 2013-K712, Class B^2,9, 3.263%, 5/25/2045		767,000		766,239
FREMF Mortgage Trust, Series 2013-K713, Class B^2,9, 3.152%, 4/25/2046		1,350,000		1,352,180
FREMF Mortgage Trust, Series 2014-K41, Class B^2,9, 3.832%, 11/25/2047		1,315,000		1,380,344
FREMF Mortgage Trust, Series 2014-K715, Class B^2,9, 3.971%, 2/25/2046		1,279,000		1,303,708
Government National Mortgage Association, Series 2017-54, Class AH, 2.60%, 12/16/2056		1,453,766		1,465,939



PRO-BLEND^®EXTENDED TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

GS Mortgage Securities Trust, Series 2010-C2, Class A1², 3.849%, 12/10/2043		23,874	$	24,014
JP Morgan Mortgage Trust, Series 2013-1, Class 1A2^2,9, 3.00%, 3/25/2043		344,220		347,590
JP Morgan Mortgage Trust, Series 2013-2, Class A2^2,9, 3.50%, 5/25/2043		292,658		298,371
JP Morgan Mortgage Trust, Series 2014-2, Class 1A1^2,9, 3.00%, 6/25/2029		464,733		472,022
JP Morgan Mortgage Trust, Series 2017-3, Class 1A5^2,9, 3.50%, 8/25/2047		917,328		928,293
JP Morgan Mortgage Trust, Series 2017-6, Class A5^2,9, 3.50%, 12/25/2048		1,195,028		1,211,493
New Residential Mortgage Loan Trust, Series 2014-3A, Class AFX3^2,9, 3.75%, 11/25/2054		329,115		342,356
New Residential Mortgage Loan Trust, Series 2015-2A, Class A1^2,9, 3.75%, 8/25/2055		507,014		528,587
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1^2,9, 3.75%, 11/25/2056		523,417		545,932
OBP Depositor LLC Trust, Series 2010-OBP, Class A², 4.646%, 7/15/2045		115,000		115,451
Sequoia Mortgage Trust, Series 2013-2, Class A⁹, 1.874%, 2/25/2043		372,356		359,006
Sequoia Mortgage Trust, Series 2013-7, Class A2⁹, 3.00%, 6/25/2043		422,683		425,761
Sequoia Mortgage Trust, Series 2013-8, Class A1⁹, 3.00%, 6/25/2043		433,899		438,798
Starwood Retail Property Trust, Series 2014-STAR, Class A^2,8, (1 mo. LIBOR US + 1.220%), 3.134%, 11/15/2027		971,430		969,683
Vornado DP LLC Trust, Series 2010-VNO, Class A2FX², 4.004%, 9/13/2028		350,000		352,455
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A^2,8, (1 mo. LIBOR US + 1.050%), 2.971%, 12/15/2033		1,200,000		1,200,744
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2², 4.393%, 11/15/2043		600,000		607,931




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

COMMERCIAL MORTGAGE-BACKED SECURITIES (continued)

WinWater Mortgage Loan Trust, Series 2015-1, Class A1^2,9, 3.50%, 1/20/2045		390,055	$	397,201
WinWater Mortgage Loan Trust, Series 2015-3, Class A5^2,9, 3.50%, 3/20/2045		273,257		273,877


TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Identified Cost $25,065,569)				25,851,394


FOREIGN GOVERNMENT BONDS - 1.1%

Canadian Government Bond (Canada), 2.75%, 6/1/2022		CAD 358,000		280,341
Export-Import Bank of Korea (South Korea), 2.625%, 12/30/2020		4,625,000		4,651,571
Mexican Government Bond (Mexico), 8.00%, 6/11/2020		MXN 7,313,000		382,866
Mexican Government Bond (Mexico), 6.50%, 6/10/2021		MXN 3,112,000		161,415
Mexican Government Bond (Mexico), 6.50%, 6/9/2022		MXN 5,057,000		262,578
Mexican Government Bond (Mexico), 7.75%, 5/29/2031		MXN 972,000		54,037


TOTAL FOREIGN GOVERNMENT BONDS
(Identified Cost $6,213,326)				5,792,808


U.S. GOVERNMENT AGENCIES - 9.0%

Mortgage-Backed Securities - 9.0%
Fannie Mae, Pool #888468, 5.50%, 9/1/2021		43,611		44,241
Fannie Mae, Pool #995233, 5.50%, 10/1/2021		1,661		1,677
Fannie Mae, Pool #888017, 6.00%, 11/1/2021		8,536		8,719
Fannie Mae, Pool #995329, 5.50%, 12/1/2021		40,574		41,199
Fannie Mae, Pool #888136, 6.00%, 12/1/2021		9,597		9,820
Fannie Mae, Pool #888810, 5.50%, 11/1/2022		52,878		53,577
Fannie Mae, Pool #990895, 5.50%, 10/1/2023		14,792		15,461
Fannie Mae, Pool #AD0462, 5.50%, 10/1/2024		10,849		11,391
Fannie Mae, Pool #AL9409, 3.50%, 11/1/2031		1,058,721		1,100,293
Fannie Mae, Pool #MA3463, 4.00%, 9/1/2033		1,455,004		1,519,220
Fannie Mae, Pool #MA1834, 4.50%, 2/1/2034		569,965		612,576



PRO-BLEND^®EXTENDED TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Fannie Mae, Pool #MA1903, 4.50%, 5/1/2034		405,253	$	435,553
Fannie Mae, Pool #FM1158, 3.50%, 6/1/2034		2,073,991		2,148,694
Fannie Mae, Pool #909786, 5.50%, 3/1/2037		90,152		101,004
Fannie Mae, Pool #889576, 6.00%, 4/1/2038		235,000		270,412
Fannie Mae, Pool #889579, 6.00%, 5/1/2038		196,699		226,138
Fannie Mae, Pool #MA3412, 3.50%, 7/1/2038		1,560,074		1,616,721
Fannie Mae, Pool #995196, 6.00%, 7/1/2038		11,904		13,698
Fannie Mae, Pool #AD0207, 6.00%, 10/1/2038		490,349		563,609
Fannie Mae, Pool #AD0220, 6.00%, 10/1/2038		18,856		21,694
Fannie Mae, Pool #AD0307, 5.50%, 1/1/2039		308,460		346,445
Fannie Mae, Pool #MA0258, 4.50%, 12/1/2039		418,029		452,855
Fannie Mae, Pool #AL1595, 6.00%, 1/1/2040		246,399		283,548
Fannie Mae, Pool #AL0152, 6.00%, 6/1/2040		461,015		529,931
Fannie Mae, Pool #AL0241, 4.00%, 4/1/2041		723,659		774,408
Fannie Mae, Pool #AI5172, 4.00%, 8/1/2041		543,071		581,188
Fannie Mae, Pool #AL1410, 4.50%, 12/1/2041		1,032,646		1,119,533
Fannie Mae, Pool #AL7729, 4.00%, 6/1/2043		588,052		629,137
Fannie Mae, Pool #AS3622, 3.50%, 10/1/2044		2,106,202		2,217,981
Fannie Mae, Pool #AX5234, 4.50%, 11/1/2044		430,926		457,464
Fannie Mae, Pool #AS4103, 4.50%, 12/1/2044		602,099		647,931
Fannie Mae, Pool #AZ9215, 4.00%, 10/1/2045		448,302		472,097
Fannie Mae, Pool #BC3490, 3.50%, 2/1/2046		1,532,750		1,597,837
Fannie Mae, Pool #BC6764, 3.50%, 4/1/2046		629,058		655,513
Fannie Mae, Pool #MA2670, 3.00%, 7/1/2046		460,564		473,224
Fannie Mae, Pool #MA2705, 3.00%, 8/1/2046		911,447		935,478




	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Fannie Mae, Pool #BD6997, 4.00%, 10/1/2046		744,023	$	781,942
Fannie Mae, Pool #BE7845, 4.50%, 2/1/2047		628,609		663,748
Fannie Mae, Pool #CA1922, 5.00%, 6/1/2048		1,703,912		1,826,702
Fannie Mae, Pool #MA3443, 4.00%, 8/1/2048		1,054,983		1,094,256
Fannie Mae, Pool #BK9598, 4.50%, 8/1/2048		543,936		573,470
Fannie Mae, Pool #CA2219, 5.00%, 8/1/2048		964,384		1,033,860
Fannie Mae, Pool #CA2373, 5.00%, 9/1/2048		1,002,765		1,074,984
Fannie Mae, Pool #MA3521, 4.00%, 11/1/2048		2,158,049		2,240,350
Fannie Mae, Pool #BN0622, 4.50%, 1/1/2049		1,768,270		1,860,867
Fannie Mae, Pool #AL8674, 5.645%, 1/1/2049		1,209,084		1,361,057
Fannie Mae, Pool #MA3692, 3.50%, 7/1/2049		2,699,929		2,769,865
Freddie Mac, Pool #G11850, 5.50%, 7/1/2020		917		920
Freddie Mac, Pool #G12610, 6.00%, 3/1/2022		12,203		12,505
Freddie Mac, Pool #G12655, 6.00%, 5/1/2022		8,394		8,630
Freddie Mac, Pool #G12988, 6.00%, 1/1/2023		7,379		7,653
Freddie Mac, Pool #G13078, 6.00%, 3/1/2023		12,331		12,745
Freddie Mac, Pool #G13331, 5.50%, 10/1/2023		5,640		5,849
Freddie Mac, Pool #C91762, 4.50%, 5/1/2034		391,403		420,894
Freddie Mac, Pool #C91771, 4.50%, 6/1/2034		319,237		342,923
Freddie Mac, Pool #C91780, 4.50%, 7/1/2034		441,920		475,220
Freddie Mac, Pool #QN0349, 3.00%, 8/1/2034		1,327,696		1,360,301
Freddie Mac, Pool #G03926, 6.00%, 2/1/2038		103,695		119,280
Freddie Mac, Pool #G04731, 5.50%, 4/1/2038		161,407		181,389
Freddie Mac, Pool #G08273, 5.50%, 6/1/2038		201,696		226,358
Freddie Mac, Pool #G04601, 5.50%, 7/1/2038		437,471		490,027



PRO-BLEND^®EXTENDED TERM SERIES
	PRINCIPAL AMOUNT³		VALUE (NOTE 2)

U.S. GOVERNMENT AGENCIES (continued)

Mortgage-Backed Securities (continued)
Freddie Mac, Pool #G04587, 5.50%, 8/1/2038		424,312	$	476,322
Freddie Mac, Pool #G05906, 6.00%, 4/1/2040		114,249		128,056
Freddie Mac, Pool #A92889, 4.50%, 7/1/2040		1,094,425		1,176,371
Freddie Mac, Pool #G60183, 4.00%, 12/1/2044		482,478		506,529
Freddie Mac, Pool #Q33778, 4.00%, 6/1/2045		623,913		660,020
Freddie Mac, Pool #ZM2525, 3.00%, 12/1/2046		1,235,300		1,265,937
Freddie Mac, Pool #Q59805, 4.50%, 11/1/2048		984,922		1,037,322


TOTAL U.S. GOVERNMENT AGENCIES
(Identified Cost $44,434,607)				45,186,619


U.S. GOVERNMENT SECURITIES - 1.0%

U.S. Treasury Bill - 1.0%
U.S. Treasury Bill¹⁰, 1.62%, 5/21/2020
(Identified Cost $5,138,450)		5,185,000		5,140,341




	SHARES		VALUE (NOTE 2)

SHORT-TERM INVESTMENT - 1.1%

Dreyfus Government Cash Management, Institutional Shares, 1.73%¹¹
(Identified Cost $5,431,336)		5,431,336	$	5,431,336

TOTAL INVESTMENTS IN SECURITIES - 100.2%
(Identified Cost $459,292,452)				502,466,121

TOTAL OPTIONS WRITTEN — 0.0%##
(Premiums Received $118,390)				(197,002	)


TOTAL INVESTMENTS - 100.2%				502,269,119
LIABILITIES, LESS OTHER ASSETS - (0.2%)				(1,019,129	)


NET ASSETS - 100%			$	501,249,990

¹A portion of this security is designated as collateral for options contracts written. As of October 31, 2019, the total value of such securities was $12,168,727.

²Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid under the Fund’s Liquidity Risk Management Program. These securities amount to $40,644,013, or 8.1% of the Series’ net assets as of October 31, 2019 (see Note 2 to the financial statements).

⁴Step coupon rate security - Rate steps up/down by 25 basis points upon rating downgrade/upgrade by Moody’s and S&P rating agencies (Subject to a

⁵Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect

⁸Floating rate security. Rate shown is the rate in effect as of October 31, 2019.

⁹Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the

underlying pool of assets. Rate shown is the rate in effect as of October 31, 2019.

Performance Update as of October 31, 2019 - Pro-Blend^® Maximum Term Series

The following graph compares the value of a $10,000 investment in the Pro-Blend^® Maximum Term Series - Class S for the ten years ended October 31, 2019 to the Russell 3000^® Index and the 65/20/15 Blended Index.

²The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 1.10% for Class S, 0.85% for Class I, 1.34% for Class R, 1.82% for Class L and 0.10% for Class W. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.11% for Class S, 0.90% for Class I, 1.35% for Class R, 1.83% for Class L and 0.75% for Class W for the year ended October 31, 2019.

⁵The Russell 3000^® Index is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. The Index returns do not reflect any fees or expenses. Index returns provided by Bloomberg.

⁶The 65/20/15 Blended Index is 65% Russell 3000^® Index (Russell 3000), 20% MSCI ACWI ex USA Index (ACWIxUS), and 15% Bloomberg Barclays U.S. Aggregate Bond Index (BAB). Russell 3000 is an unmanaged index that consists of 3,000 of the largest U.S. companies based on total market capitalization. The Index returns are based on a market capitalization-weighted average of relative price changes of the component stocks plus dividends whose reinvestments are compounded daily. Index returns are provided by Bloomberg. ACWIxUS is designed to measure large and mid-cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 26 Emerging Markets countries. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They

Performance Update as of October 31, 2019 - Pro-Blend^® Maximum Term Series

assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg. BAB is an unmanaged, market value-weighted index of U.S. domestic investment-grade debt issues, including government, corporate, asset-backed, and mortgage-backed securities with maturities of one year or more. Index returns provided by Interactive Data. The returns of the indices do not reflect any fees or expenses. Returns provided are calculated monthly using a blended allocation. Because the fund’s asset allocation will vary over time, the composition of the fund’s portfolio may not match the composition of the comparative Indices.



PRO-BLEND^®MAXIMUM TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS - 83.1%

Communication Services - 10.6%
Diversified Telecommunication Services - 0.1%
Elisa OYJ (Finland)		2,849	$	155,602
Orange S.A. (France)		3,345		53,836
Telefonica Brasil S.A. (Brazil)		2,600		34,405


				243,843

Entertainment - 4.6%
Activision Blizzard, Inc.		64,860		3,634,106
Electronic Arts, Inc.*		62,180		5,994,152
Nexon Co. Ltd. (Japan)*		275,200		3,189,085
Sea Ltd. - ADR (Taiwan)*		148,865		4,430,222
Toho Co. Ltd. - Tokyo (Japan)		3,400		137,311
Viacom, Inc. - Class B		500		10,780
Vivendi S.A. (France)		1,700		47,341


				17,442,997

Interactive Media & Services - 4.4%
Alphabet, Inc. - Class A*		2,785		3,505,758
Alphabet, Inc. - Class C*		2,790		3,515,707
Autohome, Inc. - ADR (China)*		1,280		108,237
Facebook, Inc. - Class A*		22,965		4,401,242
Kakao Corp. (South Korea)		1,270		154,117
Tencent Holdings Ltd. - Class H (China)		124,374		5,044,972


				16,730,033

Media - 1.5%
Informa plc (United Kingdom)		14,230		143,030
Quebecor, Inc. - Class B (Canada)		112,410		2,613,313
Shaw Communications, Inc. - Class B (Canada)		130,760		2,668,612


				5,424,955

Wireless Telecommunication Services - 0.0%##
Globe Telecom, Inc. (Philippines)		1,045		37,562

Total Communication Services				39,879,390

Consumer Discretionary - 12.1%
Auto Components - 0.0%##
Cie Generale des Etablissements Michelin SCA (France)		310		37,745

Automobiles - 0.0%##
Peugeot S.A. (France)		965		24,440

Distributors - 0.0%##
Genuine Parts Co.		198		20,311

Diversified Consumer Services - 0.1%
Fu Shou Yuan International Group Ltd. (China)		74,000		65,312




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Diversified Consumer Services (continued)
New Oriental Education & Technology Group, Inc. - ADR (China)*		1,310	$	159,899
TAL Education Group - ADR (China)*		3,405		145,768


				370,979

Hotels, Restaurants & Leisure - 0.2%
Basic-Fit N.V. (Netherlands)*¹		3,410		104,295
Galaxy Entertainment Group Ltd. (Macau)		15,000		103,285
Hilton Worldwide Holdings, Inc.		315		30,542
Melco Resorts & Entertainment Ltd. - ADR (Hong Kong)		3,155		67,959
MGM China Holdings Ltd. (Macau)		43,200		68,406
Restaurant Brands International, Inc. (Canada)		1,370		89,653
Sands China Ltd. (Macau)		21,600		106,393
Wynn Macau Ltd. (Macau)		46,800		101,560


				672,093

Household Durables - 1.6%
Barratt Developments plc (United Kingdom)		8,965		73,315
The Berkeley Group Holdings plc (United Kingdom)		1,360		77,519
Persimmon plc (United Kingdom)		2,735		80,673
Sony Corp. - ADR (Japan)		89,765		5,460,405
Sony Corp. (Japan)		2,700		164,347
Taylor Wimpey plc (United Kingdom)		35,260		75,622


				5,931,881

Internet & Direct Marketing Retail - 1.9%
Alibaba Group Holding Ltd. - ADR (China)*		1,460		257,938
Amazon.com, Inc.*		2,340		4,157,384
Booking Holdings, Inc.*		1,295		2,653,157
Farfetch Ltd. - Class A (United Kingdom)*		1,460		13,038


				7,081,517

Leisure Products - 0.0%##
Technogym S.p.A. (Italy)¹		10,850		119,705

Multiline Retail - 2.7%
B&M European Value Retail S.A. (United Kingdom)		16,405		78,701
Dollar General Corp.		30,585		4,903,999
Dollar Tree, Inc.*		46,515		5,135,256
Kohl’s Corp.		269		13,789



PRO-BLEND^®MAXIMUM TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Discretionary (continued)
Multiline Retail (continued)
Lojas Renner S.A. (Brazil)		3,400	$	43,143
Magazine Luiza S.A. (Brazil)		3,000		33,213


				10,208,101

Specialty Retail - 2.5%
Advance Auto Parts, Inc.		19,195		3,118,805
AutoZone, Inc.*		2,735		3,129,879
Best Buy Co., Inc.		316		22,698
The Gap, Inc.		577		9,382
The Home Depot, Inc.		593		139,106
Industria de Diseno Textil S.A. (Spain)		94,865		2,956,070


				9,375,940

Textiles, Apparel & Luxury Goods - 3.1%
EssilorLuxottica S.A. (France)		385		58,787
Hermes International (France)		55		39,619
Kering S.A. (France)		140		79,660
Kontoor Brands, Inc.		52		1,976
lululemon athletica, Inc.*		27,446		5,606,394
LVMH Moet Hennessy Louis Vuitton SE (France)		400		170,822
NIKE, Inc. - Class B		64,110		5,741,050
Shenzhou International Group Holdings Ltd. (China)		9,200		127,132
VF Corp.		370		30,447


				11,855,887


Total Consumer Discretionary				45,698,599

Consumer Staples - 13.9%
Beverages - 6.2%
Ambev S.A. - ADR (Brazil)		714,957		3,081,465
Ambev S.A. (Brazil)		21,200		91,767
Anheuser-Busch InBev S.A./N.V. (Belgium)		41,137		3,320,473
The Coca-Cola Co		161,897		8,812,054
Coca-Cola European Partners plc (United Kingdom)		2,610		139,661
Diageo plc (United Kingdom)		69,624		2,849,786
Heineken N.V. (Netherlands)		1,345		137,351
Molson Coors Brewing Co. - Class B		242		12,758
PepsiCo, Inc.		36,300		4,979,271
Pernod Ricard S.A. (France)		775		143,168


				23,567,754

Food & Staples Retailing - 0.2%
Alimentation Couche-Tard, Inc. - Class B (Canada)		4,730		141,853




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Food & Staples Retailing (continued)
ICA Gruppen AB (Sweden)		2,978	$	131,782
The Kroger Co.		643		15,844
Loblaw Companies Ltd. (Canada)		2,615		139,456
Puregold Price Club, Inc. (Philippines)		24,500		19,707
Raia Drogasil S.A. (Brazil)		1,200		32,902
Robinsons Retail Holdings, Inc. (Philippines)		14,990		22,406
Sysco Corp.		478		38,178
Walgreens Boots Alliance, Inc.		707		38,729
Walmart, Inc.		1,336		156,659


				737,516

Food Products - 3.1%
Archer-Daniels-Midland Co.		456		19,170
Barry Callebaut AG (Switzerland)		35		73,965
Chocoladefabriken Lindt & Spruengli AG (Switzerland)		6		44,582
Conagra Brands, Inc.		518		14,012
Danone S.A. (France)		3,821		316,537
General Mills, Inc.		612		31,126
The Hershey Co.		210		30,843
The J.M. Smucker Co.		147		15,535
Kellogg Co.		346		21,981
Kerry Group plc - Class A (Ireland)		1,245		150,751
Mondelez International, Inc. - Class A		136,525		7,160,736
Mowi ASA (Norway)		5,855		142,932
Nestle S.A. (Switzerland)		33,860		3,622,388
Tyson Foods, Inc. - Class A		274		22,684
Universal Robina Corp. (Philippines).		15,660		46,523


				11,713,765

Household Products - 0.8%
Colgate-Palmolive Co.		34,420		2,361,212
Essity AB - Class B (Sweden)		4,625		144,489
Henkel AG & Co. KGaA (Germany)		1,370		142,306
Kimberly-Clark Corp.		302		40,130
Reckitt Benckiser Group plc (United Kingdom)		1,700		131,549


				2,819,686

Personal Products - 2.0%
Beiersdorf AG (Germany)		26,955		3,191,177
LG Household & Health Care Ltd. (South Korea)		125		135,262
L’Oreal S.A. (France)		410		119,745



PRO-BLEND^®MAXIMUM TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Consumer Staples (continued)
Personal Products (continued)
Unilever plc - ADR (United Kingdom)		67,974	$	4,085,917


				7,532,101

Tobacco - 1.6%
Altria Group, Inc.		47,315		2,119,239
British American Tobacco plc - ADR (United Kingdom)		1,675		58,558
British American Tobacco plc (United Kingdom)		4,120		144,101
Philip Morris International, Inc.		44,825		3,650,548


				5,972,446


Total Consumer Staples				52,343,268


Energy - 2.6%
Energy Equipment & Services - 2.2%
Baker Hughes Co.		796		17,034
Core Laboratories N.V.		47,305		2,083,312
Diamond Offshore Drilling, Inc.*		84,040		444,572
Halliburton Co.		155,428		2,991,989
Schlumberger Ltd.		61,038		1,995,332
Transocean Ltd.*		175,225		832,319


				8,364,558

Oil, Gas & Consumable Fuels - 0.4%
Cameco Corp. (Canada)		8,415		75,145
Chevron Corp.		754		87,570
Eni S.p.A. (Italy)		9,435		143,138
Equinor ASA (Norway)		8,220		152,610
Galp Energia SGPS S.A. (Portugal)		9,320		149,071
Marathon Petroleum Corp.		635		40,608
Occidental Petroleum Corp.		527		21,344
Phillips 66		301		35,163
Repsol S.A. (Spain)		9,726		160,282
Royal Dutch Shell plc - Class B - ADR (Netherlands)		3,875		225,874
Suncor Energy, Inc. (Canada)		3,810		113,279
TOTAL S.A. (France)		2,900		153,318
Valero Energy Corp.		398		38,598


				1,396,000


Total Energy				9,760,558


Financials - 10.3%
Banks - 0.9%
Banco Bradesco S.A. (Brazil)		18,700		164,456
Banco do Brasil S.A. (Brazil)		6,000		71,826
Banco Santander Brasil S.A. (Brazil)		2,600		30,742




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Banks (continued)
Bank of America Corp.		3,193	$	99,845
The Bank Of N.T. Butterfield & Son Ltd. (Bermuda)		2,975		98,026
Bank of the Philippine Islands (Philippines)		28,440		54,334
Barclays plc (United Kingdom)		37,960		82,338
BB&T Corp.		487		25,835
BDO Unibank, Inc. (Philippines)		23,330		71,168
BNP Paribas S.A. (France)		1,970		102,951
Citigroup, Inc.		933		67,045
Credit Agricole S.A. (France)		1,850		24,139
Fifth Third Bancorp		748		21,752
FinecoBank Banca Fineco S.p.A. (Italy)		140,670		1,585,820
Itau Unibanco Holding S.A. (Brazil)		20,900		188,962
Itausa - Investimentos Itau S.A. (Brazil)		23,000		78,569
JPMorgan Chase & Co.		1,249		156,025
KeyCorp		1,021		18,347
Lloyds Banking Group plc (United Kingdom)		105,640		77,710
Metropolitan Bank & Trust Co. (Philippines)		41,685		55,492
Regions Financial Corp.		913		14,699
Royal Bank of Scotland Group plc (United Kingdom)		27,630		76,376
SunTrust Banks, Inc.		378		25,833
U.S. Bancorp		1,106		63,064
Wells Fargo & Co.		2,389		123,344


				3,378,698

Capital Markets - 7.2%
B3 S.A. - Brasil Bolsa Balcao (Brazil)		8,200		98,981
BlackRock, Inc.		11,825		5,459,603
Cboe Global Markets, Inc.		27,840		3,205,776
CME Group, Inc.		15,275		3,142,831
Deutsche Boerse AG (Germany)		21,840		3,382,135
Hargreaves Lansdown plc (United Kingdom)		2,775		63,723
Intercontinental Exchange, Inc.		35,455		3,344,116
Julius Baer Group Ltd. (Switzerland)		36,925		1,635,173
London Stock Exchange Group plc (United Kingdom)		770		69,392
Moody’s Corp.		15,455		3,410,764
S&P Global, Inc.		12,750		3,289,372


				27,101,866



PRO-BLEND^®MAXIMUM TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Financials (continued)
Diversified Financial Services - 2.1%
Berkshire Hathaway, Inc. - Class B*		37,915	$	8,059,971

Insurance - 0.1%
Admiral Group plc (United Kingdom)		4,850		126,933
The Allstate Corp.		232		24,690
AXA S.A. (France)		3,325		88,017
BB Seguridade Participacoes S.A. (Brazil)		4,300		36,401
Chubb Ltd.		249		37,953
The Hartford Financial Services Group, Inc.		302		17,238
Ping An Insurance Group Co. of China Ltd. - Class H (China)		10,000		115,418
The Travelers Companies, Inc.		175		22,936


				469,586


Total Financials				39,010,121


Health Care - 11.6%
Biotechnology - 1.8%
AbbVie, Inc.		974		77,482
Amgen, Inc.		431		91,911
BioMarin Pharmaceutical, Inc.*		34,170		2,501,586
Gilead Sciences, Inc.		957		60,970
Incyte Corp.*		15,320		1,285,654
Seattle Genetics, Inc.*		12,330		1,324,242
Vertex Pharmaceuticals, Inc.*		6,965		1,361,518


				6,703,363

Health Care Equipment & Supplies - 3.4%
Alcon, Inc. (Switzerland)*		30,244		1,792,562
Alcon, Inc. (Switzerland)*		1,231		72,799
Boston Scientific Corp.*		59,215		2,469,266
Getinge AB - Class B (Sweden)		6,760		115,573
Hoya Corp. (Japan)		1,700		150,241
Intuitive Surgical, Inc.*		2,575		1,423,846
Koninklijke Philips N.V. (Netherlands)		3,065		134,474
Medtronic plc		59,910		6,524,199
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H (China)		64,000		73,475
Smith & Nephew plc (United Kingdom)		6,050		129,872


				12,886,307

Health Care Providers & Services - 0.7%
CVS Health Corp.		886		58,822
Quest Diagnostics, Inc.		152		15,390




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Health Care (continued)
Health Care Providers & Services (continued)
Sonic Healthcare Ltd. (Australia)		7,310	$	143,971
UnitedHealth Group, Inc.		10,040		2,537,108


				2,755,291

Life Sciences Tools & Services - 1.2%
Gerresheimer AG (Germany)		1,355		109,274
QIAGEN N.V.*		70,088		2,089,323
QIAGEN N.V.*		2,638		79,349
Tecan Group AG (Switzerland)		145		34,304
Thermo Fisher Scientific, Inc.		7,355		2,221,063


				4,533,313

Pharmaceuticals - 4.5%
Bristol-Myers Squibb Co.		1,074		61,615
Johnson & Johnson		58,428		7,714,833
Merck & Co., Inc.		16,196		1,403,545
Merck KGaA (Germany)		26,890		3,207,077
Novartis AG - ADR (Switzerland)		39,535		3,456,940
Novartis AG (Switzerland)		1,790		156,402
Perrigo Co. plc		2,365		125,392
Pfizer, Inc.		3,076		118,026
Recordati S.p.A. (Italy)		3,255		136,789
Roche Holding AG (Switzerland)		790		237,755
Sanofi (France)		1,705		157,179


				16,775,553


Total Health Care				43,653,827


Industrials - 1.5%
Aerospace & Defense - 0.2%
Airbus SE (France)		925		132,699
BAE Systems plc (United Kingdom) .		21,155		158,021
The Boeing Co.		298		101,293
General Dynamics Corp.		171		30,233
Lockheed Martin Corp.		184		69,309
Safran S.A. (France)		500		79,195
Thales S.A. (France)		120		11,731
United Technologies Corp.		522		74,949


				657,430

Air Freight & Logistics - 0.0%##
C.H. Robinson Worldwide, Inc.		212		16,036
United Parcel Service, Inc. - Class B		651		74,976


				91,012

Airlines - 0.0%##
Ryanair Holdings plc - ADR (Ireland)*		1,290		96,286



PRO-BLEND^®MAXIMUM TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Industrials (continued)
Building Products - 0.0%##
Cie de Saint-Gobain (France)		810	$	32,990
Johnson Controls International plc		770		33,364


				66,354

Commercial Services & Supplies - 0.0%##
Waste Management, Inc.		364		40,844

Construction & Engineering - 0.0%##
Vinci S.A. (France)		1,360		152,587

Electrical Equipment - 0.1%
Eaton Corp. plc		406		35,367
Emerson Electric Co.		557		39,074
Legrand S.A. (France)		430		33,593
Rockwell Automation, Inc.		100		17,199
Schneider Electric SE (France)		910		84,576
WEG S.A. (Brazil)		5,000		32,066


				241,875

Industrial Conglomerates - 0.1%
3M Co.		411		67,811
Honeywell International, Inc.		442		76,347
LT Group, Inc. (Philippines)		71,000		18,665
SM Investments Corp. (Philippines)		3,595		72,879


				235,702

Machinery - 0.2%
Caterpillar, Inc.		368		50,710
Cummins, Inc.		164		28,287
Daifuku Co. Ltd. (Japan)		1,500		79,593
FANUC Corp. (Japan)		1,000		197,249
Harmonic Drive Systems, Inc. (Japan)		2,100		97,391
Illinois Tool Works, Inc.		246		41,471
KION Group AG (Germany)		1,465		97,478
Nabtesco Corp. (Japan)		2,800		89,137
The Weir Group plc (United Kingdom)		6,490		113,361


				794,677

Professional Services - 0.0%##
SGS S.A. (Switzerland)		25		65,203

Road & Rail - 0.8%
JB Hunt Transport Services, Inc.		25,190		2,961,336
Localiza Rent a Car S.A. (Brazil)		2,400		25,732
Rumo S.A. (Brazil)*		6,200		35,371
Union Pacific Corp.		443		73,299


				3,095,738




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Industrials (continued)
Trading Companies & Distributors - 0.0%##
Fastenal Co.		640	$	23,002

Transportation Infrastructure - 0.1%
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (Mexico)		10,600		73,558
Grupo Aeroportuario del Pacifico S.A.B. de C.V. - ADR (Mexico)		475		49,642
Grupo Aeroportuario del Sureste S.A.B. de C.V. - ADR (Mexico)		400		65,500


				188,700


Total Industrials				5,749,410


Information Technology - 12.1%
Communications Equipment - 0.0%##
Cisco Systems, Inc.		2,225		105,710

Electronic Equipment, Instruments & Components - 1.0%
Cognex Corp.		31,410		1,617,301
Halma plc (United Kingdom)		3,295		79,955
Hexagon AB - Class B (Sweden)		1,635		83,709
Keyence Corp. (Japan)		3,207		2,027,775


				3,808,740

IT Services - 4.9%
Capgemini SE (France)		260		29,310
International Business Machines Corp.		570		76,226
InterXion Holding N.V. (Netherlands)*		1,525		134,536
Keywords Studios plc (Ireland)		1,726		24,872
Mastercard, Inc. - Class A		25,410		7,033,742
Verra Mobility Corp.*		375,010		5,381,394
Visa, Inc. - Class A		31,905		5,706,528


				18,386,608

Semiconductors & Semiconductor Equipment - 2.6%
Applied Materials, Inc.		651		35,323
Broadcom, Inc.		239		69,991
Intel Corp.		2,512		142,003
KLA Corp.		193		32,625
Lam Research Corp.		111		30,085
Maxim Integrated Products, Inc.		299		17,539
Micron Technology, Inc.*		140,460		6,678,873
NVIDIA Corp.		14,160		2,846,443
Texas Instruments, Inc.		615		72,564


				9,925,446

Software - 3.6%
Dassault Systemes SE (France)		250		37,969
Microsoft Corp.		42,295		6,063,834



PRO-BLEND^®MAXIMUM TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Information Technology (continued)
Software (continued)
ServiceNow, Inc.*		29,445	$	7,280,571


				13,382,374

Technology Hardware, Storage & Peripherals - 0.0%##
NetApp, Inc.		222		12,405
Western Digital Corp.		362		18,697


				31,102


Total Information Technology				45,639,980


Materials - 4.4%
Chemicals - 2.5%
Air Liquide S.A. (France)		687		91,344
Akzo Nobel N.V. (Netherlands)		38,960		3,591,856
Axalta Coating Systems Ltd.*		74,590		2,199,659
CF Industries Holdings, Inc.		66,670		3,023,485
Dow, Inc.		513		25,901
Eastman Chemical Co.		200		15,208
Givaudan S.A. (Switzerland)		25		73,448
LyondellBasell Industries N.V. - Class A		372		33,368
OCI N.V. (Netherlands)*		1,170		26,307
Orbia Advance Corp. S.A.B. de C.V. (Mexico)		40,000		86,585
Solvay S.A. (Belgium)		1,565		170,156


				9,337,317

Containers & Packaging - 0.8%
Crown Holdings, Inc.*		40,845		2,975,151
International Paper Co.		361		15,768


				2,990,919

Metals & Mining - 1.1%
First Quantum Minerals Ltd. (Zambia)		3,420		28,901
Freeport-McMoRan, Inc.		129,410		1,270,806
Lundin Mining Corp. (Chile)		191,250		965,616
Nucor Corp.		393		21,163
Southern Copper Corp. (Peru)		53,860		1,916,339


				4,202,825


Total Materials				16,531,061


Real Estate - 4.0%
Equity Real Estate Investment Trusts (REITS) - 4.0%
Acadia Realty Trust		690		19,305
Agree Realty Corp.		435		34,264
Alexandria Real Estate Equities, Inc.		160		25,400
American Campus Communities, Inc.		1,140		56,977




	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
American Homes 4 Rent - Class A		3,885	$	102,836
American Tower Corp.		17,695		3,858,926
Americold Realty Trust		2,120		84,991
Apartment Investment & Management Co. - Class A		1,863		102,241
AvalonBay Communities, Inc.		655		142,567
Boston Properties, Inc.		580		79,576
Brandywine Realty Trust		5,540		84,651
The British Land Co. plc (United Kingdom)		9,870		79,356
Camden Property Trust		670		76,628
Community Healthcare Trust, Inc.		1,245		60,283
Cousins Properties, Inc.		3,470		139,251
Crown Castle International Corp.		480		66,619
CubeSmart		595		18,862
Digital Realty Trust, Inc.		555		70,507
Douglas Emmett, Inc.		1,470		63,680
Equinix, Inc.		6,420		3,638,728
Equity LifeStyle Properties, Inc.		890		62,247
Equity Residential		1,165		103,289
Essential Properties Realty Trust, Inc.		2,524		64,766
Essex Property Trust, Inc.		252		82,437
Extra Space Storage, Inc.		225		25,261
Federal Realty Investment Trust		155		21,082
First Industrial Realty Trust, Inc.		1,045		44,005
Getty Realty Corp.		1,200		40,248
Healthcare Realty Trust, Inc.		1,845		64,151
Healthcare Trust of America, Inc. - Class A		1,130		35,030
Healthpeak Properties, Inc.		2,710		101,950
Hibernia REIT plc (Ireland)		21,455		33,405
Host Hotels & Resorts, Inc.		2,150		35,238
Independence Realty Trust, Inc.		2,975		45,815
Invitation Homes, Inc.		4,301		132,428
Jernigan Capital, Inc.		2,550		48,424
Kilroy Realty Corp.		266		22,325
Land Securities Group plc (United Kingdom)		6,620		80,635
Liberty Property Trust		1,040		61,433
Life Storage, Inc.		290		31,587
Mid-America Apartment Communities, Inc.		320		44,477
National Retail Properties, Inc.		1,095		64,506
National Storage Affiliates Trust		1,080		36,904
Omega Healthcare Investors, Inc.		1,030		45,361
Physicians Realty Trust		3,765		70,293



PRO-BLEND^®MAXIMUM TERM SERIES
	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Real Estate (continued)
Equity Real Estate Investment Trusts (REITS) (continued)
Plymouth Industrial REIT, Inc.		1,360	$	25,650
Prologis, Inc.		2,455		215,451
Public Storage		410		91,373
Realty Income Corp.		330		26,991
SBA Communications Corp.		15,750		3,790,238
Simon Property Group, Inc.		955		143,899
STAG Industrial, Inc.		1,350		41,904
STORE Capital Corp.		945		38,272
Sun Communities, Inc.		585		95,150
Sunstone Hotel Investors, Inc.		1,800		24,318
UDR, Inc.		1,574		79,094
UMH Properties, Inc.		1,455		21,723
Urban Edge Properties		2,700		56,997
Ventas, Inc.		1,137		74,019
VEREIT, Inc.		5,665		55,744
Vornado Realty Trust		395		25,924
Weingarten Realty Investors		1,735		55,052
Welltower, Inc.		1,057		95,859


				15,160,603

Real Estate Management & Development - 0.0%##
Ayala Land, Inc. (Philippines)		72,400		69,187
SM Prime Holdings, Inc. (Philippines)		120,305		92,371


				161,558


Total Real Estate				15,322,161


Utilities - 0.0%##
Electric Utilities - 0.0%##
Manila Electric Co. (Philippines)		6,040		40,279

Independent Power and Renewable Electricity Producers - 0.0%##
Aboitiz Power Corp. (Philippines)		63,100		49,677

Multi-Utilities - 0.0%##
Engie S.A. (France)		3,170		53,081
Veolia Environnement S.A. (France)		965		25,402


				78,483


Total Utilities				168,439


TOTAL COMMON STOCKS (Identified Cost $267,179,271)				313,756,814




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS - 2.9%

Non-Convertible Corporate Bonds - 2.9%

Communication Services - 0.6%
Diversified Telecommunication Services - 0.3%
AT&T, Inc., 4.25%, 3/1/2027		350,000	$	384,407
CenturyLink, Inc., 5.625%, 4/1/2020 .		20,000		20,250
Verizon Communications, Inc., 5.25%, 3/16/2037		460,000		579,406


				984,063

Interactive Media & Services - 0.1%
Tencent Holdings Ltd. (China)¹, 3.975%, 4/11/2029		270,000		290,579

Media - 0.2%
Cablevision Systems Corp., 8.00%, 4/15/2020		20,000		20,500
Comcast Corp., 3.25%, 11/1/2039		280,000		283,869
Diamond Sports Group LLC - Diamond Sports Finance Co.¹, 6.625%, 8/15/2027		30,000		30,900
Discovery Communications LLC, 5.20%, 9/20/2047		340,000		371,809
Entercom Media Corp.¹, 7.25%, 11/1/2024		10,000		10,425
Townsquare Media, Inc.¹, 6.50%, 4/1/2023		20,000		19,800


				737,303

Wireless Telecommunication Services - 0.0%##
Sprint Communications, Inc., 7.00%, 8/15/2020		45,000		46,358
Sprint Corp., 7.25%, 9/15/2021		20,000		21,341
Sprint Corp., 7.125%, 6/15/2024		15,000		16,275


				83,974


Total Communication Services				2,095,919


Consumer Discretionary - 0.3%
Auto Components - 0.0%##
American Axle & Manufacturing, Inc., 6.25%, 4/1/2025		10,000		9,638
Techniplas LLC¹, 10.00%, 5/1/2020		25,000		21,125


				30,763

Diversified Consumer Services - 0.0%##
GEMS MENASA Cayman Ltd. - GEMS Education Delaware LLC (United Arab Emirates)¹, 7.125%, 7/31/2026		75,000		77,718

Household Durables - 0.0%##
Ashton Woods USA LLC - Ashton Woods Finance Co.¹, 6.75%, 8/1/2025		20,000		20,100



PRO-BLEND^®MAXIMUM TERM SERIES
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Consumer Discretionary (continued)
Household Durables (continued)
LGI Homes, Inc.¹, 6.875%, 7/15/2026		35,000	$	36,225
Weekley Homes LLC - Weekley Finance Corp., 6.625%, 8/15/2025		40,000		40,600


				96,925

Internet & Direct Marketing Retail - 0.3%
Alibaba Group Holding Ltd. (China), 3.40%, 12/6/2027		290,000		301,212
Booking Holdings, Inc., 3.60%, 6/1/2026		570,000		617,115
Photo Holdings Merger Sub, Inc.¹, 8.50%, 10/1/2026		30,000		26,404


				944,731

Specialty Retail - 0.0%##
Foxtrot Escrow Issuer LLC - Foxtrot Escrow Corp.¹, 12.25%, 11/15/2026		30,000		30,153
Staples, Inc.¹, 7.50%, 4/15/2026		30,000		31,206


				61,359


Total Consumer Discretionary				1,211,496


Consumer Staples - 0.0%##
Food & Staples Retailing - 0.0%##
KeHE Distributors LLC - KeHE Finance Corp.¹, 8.625%, 10/15/2026		30,000		30,769


Energy - 0.4%
Energy Equipment & Services - 0.0%##
Nabors Industries, Inc., 5.50%, 1/15/2023		20,000		16,900
Shelf Drilling Holdings Ltd. (United Arab Emirates)¹, 8.25%, 2/15/2025		20,000		16,800


				33,700

Oil, Gas & Consumable Fuels - 0.4%
Antero Midstream Partners LP - Antero Midstream Finance Corp.¹, 5.75%, 3/1/2027		20,000		14,874
Antero Midstream Partners LP - Antero Midstream Finance Corp.¹, 5.75%, 1/15/2028		20,000		15,100
Bruin E&P Partners LLC¹, 8.875%, 8/1/2023		20,000		13,200
Calumet Specialty Products Partners LP - Calumet Finance Corp.¹, 11.00%, 4/15/2025		30,000		30,075




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)
Energy (continued)
Oil, Gas & Consumable Fuels (continued)
Energy Transfer Operating LP, 6.50%, 2/1/2042		230,000	$	275,472
Jonah Energy LLC - Jonah Energy
Finance Corp.¹, 7.25%, 10/15/2025		40,000		11,200
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038		290,000		374,890
Lonestar Resources America, Inc.¹, 11.25%, 1/1/2023		20,000		14,000
Moss Creek Resources Holdings, Inc.¹, 10.50%, 5/15/2027		5,000		3,862
NuStar Logistics LP, 6.75%, 2/1/2021		20,000		20,724
Rockies Express Pipeline LLC¹, 5.625%, 4/15/2020		30,000		30,504
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026		440,000		505,231
Southwestern Energy Co.³, 6.20%, 1/23/2025		20,000		17,600
W&T Offshore, Inc.¹, 9.75%, 11/1/2023		10,000		9,375
The Williams Companies, Inc., 3.75%, 6/15/2027		270,000		281,514


				1,617,621


Total Energy				1,651,321


Financials - 0.7%
Banks - 0.6%
Bank of America Corp., 4.00%, 1/22/2025		570,000		607,973
Citigroup, Inc., 8.125%, 7/15/2039		170,000		279,661
Credit Suisse AG (Switzerland), 5.40%, 1/14/2020		570,000		573,693
JPMorgan Chase & Co.⁴, (3 mo. LIBOR US + 1.000%), 4.023%, 12/5/2024		270,000		288,305
Santander Holdings USA, Inc., 4.50%, 7/17/2025		380,000		409,487


				2,159,119

Capital Markets - 0.1%
AG Merger Sub II, Inc.¹, 10.75%, 8/1/2027		20,000		19,800
Donnelley Financial Solutions, Inc., 8.25%, 10/15/2024		35,000		36,400
The Goldman Sachs Group, Inc., 4.25%, 10/21/2025		190,000		204,659


				260,859



PRO-BLEND^®MAXIMUM TERM SERIES
	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)

Financials (continued)
Consumer Finance - 0.0%##
Navient Corp., 5.00%, 10/26/2020		30,000	$	30,554
SLM Corp., 5.125%, 4/5/2022		35,000		36,138


				66,692

Diversified Financial Services - 0.0%##
Fidelity & Guaranty Life Holdings, Inc.¹, 5.50%, 5/1/2025		20,000		21,350
Global Aircraft Leasing Co. Ltd. (Cayman Islands)^1,5, 6.50%, 9/15/2024		30,000		30,704
VistaJet Malta Finance plc - XO Management Holding, Inc. (Switzerland)¹, 10.50%, 6/1/2024		30,000		29,175


				81,229

Thrifts & Mortgage Finance - 0.0%##
Acrisure LLC - Acrisure Finance, Inc.¹, 7.00%, 11/15/2025		30,000		27,450
Radian Group, Inc., 4.875%, 3/15/2027		40,000		41,500


				68,950


Total Financials				2,636,849


Health Care - 0.1%
Health Care Providers & Services - 0.1%
HCA, Inc., 4.125%, 6/15/2029		290,000		307,227

Industrials - 0.4%
Commercial Services & Supplies - 0.1%
The ADT Security Corp., 6.25%, 10/15/2021		20,000		21,325
Prime Security Services Borrower LLC - Prime Finance, Inc.¹, 5.75%, 4/15/2026		20,000		20,494
Stericycle, Inc.¹, 5.375%, 7/15/2024 .		40,000		41,600


				83,419

Construction & Engineering - 0.0%##
HC2 Holdings, Inc.¹, 11.50%, 12/1/2021		10,000		9,112
Tutor Perini Corp.¹, 6.875%, 5/1/2025		40,000		39,894


				49,006

Industrial Conglomerates - 0.1%
General Electric Co.^4,6, (3 mo. LIBOR US + 3.330%), 5.00%		330,000		318,038

Marine - 0.0%##
American Tanker, Inc. (Norway)¹, 9.25%, 2/22/2022		45,000		45,252




	PRINCIPAL AMOUNT²		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)

Industrials (continued)
Marine (continued)
Borealis Finance LLC¹, 7.50%, 11/16/2022		40,000	$	37,600


				82,852

Trading Companies & Distributors - 0.2%
AerCap Ireland Capital DAC - AerCap Global Aviation Trust (Ireland), 4.45%, 10/1/2025		380,000		412,330
Air Lease Corp., 3.625%, 4/1/2027		370,000		385,972
Fortress Transportation & Infrastructure Investors LLC¹, 6.50%, 10/1/2025		30,000		30,300


				828,602


Total Industrials				1,361,917


Information Technology - 0.0%##
Communications Equipment - 0.0%##
Hughes Satellite Systems Corp., 5.25%, 8/1/2026		35,000		37,494


Materials - 0.2%
Chemicals - 0.0%##
CF Industries, Inc., 7.125%, 5/1/2020		20,000		20,481
Olin Corp., 5.625%, 8/1/2029		20,000		20,765


				41,246

Containers & Packaging - 0.0%##
ARD Securities Finance S.A.R.L (Luxembourg)^1,5, 8.75%, 1/31/2023		15,656		16,281
Berry Global, Inc.¹, 4.50%, 2/15/2026		15,000		15,094
Mauser Packaging Solutions Holding Co.¹, 7.25%, 4/15/2025		20,000		19,125


				50,500

Metals & Mining - 0.2%
Infrabuild Australia Pty Ltd. (Australia)¹, 12.00%, 10/1/2024		30,000		30,574
Mountain Province Diamonds, Inc. (Canada)¹, 8.00%, 12/15/2022		40,000		38,800
Northwest Acquisitions ULC - Dominion Finco, Inc.¹, 7.125%, 11/1/2022		40,000		20,000
Southern Copper Corp. (Peru), 5.375%, 4/16/2020		400,000		404,935



PRO-BLEND^®MAXIMUM TERM SERIES	PRINCIPAL AMOUNT²/ SHARES
	PRINCIPAL AMOUNT²/ SHARES		VALUE (NOTE 2)

CORPORATE BONDS (continued)

Non-Convertible Corporate Bonds (continued)

Materials (continued)
Metals & Mining (continued)
SunCoke Energy Partners LP - SunCoke Energy Partners Finance Corp.¹, 7.50%, 6/15/2025		10,000	$	8,500


				502,809


Total Materials				594,555


Real Estate - 0.2%
Equity Real Estate Investment Trusts (REITS) - 0.2%
American Tower Corp., 3.80%, 8/15/2029		360,000		384,852
Crown Castle International Corp., 3.10%, 11/15/2029		370,000		375,974


				760,826

Real Estate Management & Development - 0.0%##
Five Point Operating Co. LP - Five Point Capital Corp.¹, 7.875%, 11/15/2025		30,000		28,355
Forestar Group, Inc.¹, 8.00%, 4/15/2024		20,000		21,500


				49,855


Total Real Estate				810,681


TOTAL CORPORATE BONDS (Identified Cost $10,396,029)				10,738,228


MUTUAL FUNDS - 0.4%

iShares MSCI India ETF		12,640		437,977
SPDR Gold Shares*		4,435		631,677
VanEck Vectors Gold Miners ETF		11,683		328,876


TOTAL MUTUAL FUNDS (Identified Cost $1,286,337)				1,398,530


U.S. TREASURY SECURITIES - 12.8%

U.S. Treasury Bonds - 1.8%
U.S. Treasury Bond, 2.50%, 2/15/2045		2,555,000		2,718,081



	PRINCIPAL AMOUNT²/ SHARES
	PRINCIPAL AMOUNT²/ SHARES		VALUE (NOTE 2)

U.S. TREASURY SECURITIES (continued)

U.S. Treasury Bonds (continued)
U.S. Treasury Bond, 3.00%, 5/15/2047		2,430,000	$	2,845,378
U.S. Treasury Inflation Indexed Bond, 0.75%, 2/15/2042		1,199,901		1,260,841


Total U.S. Treasury Bonds (Identified Cost $6,431,590)				6,824,300


U.S. Treasury Notes - 11.0%
U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020		3,880,474		3,859,707
U.S. Treasury Note, 2.625%, 5/15/2021		3,960,000		4,021,875
U.S. Treasury Note, 1.75%, 5/15/2023		3,820,000		3,848,948
U.S. Treasury Note, 2.50%, 5/15/2024		3,640,000		3,793,562
U.S. Treasury Note, 2.00%, 8/15/2025		18,559,000		18,990,352
U.S. Treasury Note, 1.625%, 5/15/2026		7,020,000		7,031,244


Total U.S. Treasury Notes (Identified Cost $41,011,860)				41,545,688


TOTAL U.S. TREASURY SECURITIES (Identified Cost $47,443,450)				48,369,988


SHORT-TERM INVESTMENT - 0.2%

Dreyfus Government Cash Management, Institutional Shares, 1.73%⁷
(Identified Cost $915,318)		915,318		915,318

TOTAL INVESTMENTS - 99.4% (Identified Cost $327,220,405)				375,178,878
OTHER ASSETS, LESS LIABILITIES - 0.6%				2,445,685


NET ASSETS - 100%			$	377,624,563

³Step coupon rate security - Rate steps up/down by 25 basis points upon rating downgrade/upgrade by Moody’s and S&P rating agencies (Subject to a maximum of 100 basis points per agency, 200 basis points maximum).

⁴Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of October 31, 2019.

Pro-Blend^® Conservative Term Series, Pro-Blend^® Moderate Term Series, Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series (each the “Series”) are no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940 (the “1940 Act”), as amended, as an open-end management investment company.

The Series are asset allocation funds. Each invests in a combination of stocks, bonds and cash and is managed according to specific objectives. The objectives are as follows: Pro-Blend^® Conservative Term Series - primary objective is preservation of capital; secondary objective is to provide income and long-term growth of capital. Pro-Blend^® Moderate Term Series - equal emphasis on long-term growth of capital and preservation of capital. Pro-Blend^® Extended Term Series - primary objective is long-term growth of capital; secondary objective is preservation of capital. Pro-Blend^® Maximum Term Series - primary objective is long-term growth of capital.

Each Series is authorized to issue six classes of shares (Class S, I, R, L (formerly Class R2), W, and Z). Class W shares of each Series were issued on April 1, 2019. Each class of shares is substantially the same, except that class-specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate.

The Fund’s Advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of each Series are offered to investors and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2019, 10 billion shares have been designated in total among 34 series, of which 162.5 million have been designated as Pro-Blend^® Conservative Term Series Class S common stock, 75 million have been designated as Pro-Blend^® Conservative Term Series Class I common stock, 125 million each have been designated as Class S common stock and Class I common stock for Pro-Blend^® Moderate Term Series, 125 million each have been designated as Class S common stock for Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series, 200 million each have been designated as Class I common stock for Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series, 52.5 million have been designated in each of the Series as Class R common stock, 25 million have been designated in each of the Series as Class L (formerly Class R2) common stock, 100 million have been designated in each of the Series as Class W common stock and Class Z common stock. Class Z common stock is not currently offered for sale.

a price provided directly by a principal market maker. These prices may differ from the value that would have been used had a broader market for securities existed.

Volume and level of activity in established markets for an asset or liability are evaluated to determine whether recent transactions and quoted prices are determinative of fair value. Where there have been significant decreases in volume and level of activity, further analysis and adjustment may be necessary to estimate fair value. The Series measure fair value in these instances by the use of inputs and valuation techniques which may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry and/or expectation of future cash flows. As a result of trading in relatively thin markets and/or markets that experience significant volatility, the prices used by the Series to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material.

The following is a summary of the valuation levels used for major security types as of October 31, 2019 in valuing the Series’ assets or liabilities carried at fair value:


	PRO-BLEND^® CONSERVATIVE TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Information Technology	$	37,306,244		$	37,306,244		$	—		$	—
Materials		3,934,874			3,934,874			—			—
Real Estate		29,499,295			29,334,514			164,781			—
Utilities		2,079,335			2,079,335			—			—
Debt securities:
U.S. Treasury and other U.S.
Government agencies		351,113,162			—			351,113,162			—
Corporate debt:
Communication Services		36,255,553			—			36,255,553			—
Consumer Discretionary		24,086,542			—			24,086,542			—
Consumer Staples		2,128,156			—			2,128,156			—
Energy		34,424,421			—			34,424,421			—
Financials		39,321,995			—			39,321,995			—
Health Care		5,402,965			—			5,402,965			—
Industrials		20,555,795			—			20,555,795			—
Information Technology		182,113			—			182,113			—
Materials		7,654,592			—			7,654,592			—
Real Estate		14,906,280			—			14,906,280			—
Asset-backed securities		57,095,893			—			57,095,893			—
Commercial mortgage-backed securities		62,212,323			—			62,212,323			—
Foreign government bonds		9,862,881			—			9,862,881			—
Mutual funds		3,521,619			3,521,619			—			—
Short-Term Investment		6,082,021			6,082,021			—			—


Total assets		916,389,127			228,422,013			687,967,114			—

Liabilities:
Other financial instruments*:
Equity contracts		(46,180	)		(43,620	)		(2,560	)		—


Total liabilities		(46,180	)		(43,620	)		(2,560	)		—


Total	$	916,342,947		$	228,378,393		$	687,964,554		$	—


	PRO-BLEND^®MODERATE TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Assets:
Equity Securities:
Communication Services	$	23,216,377		$	16,617,454		$	6,598,923		$	—
Consumer Discretionary		15,613,694			11,690,179			3,923,515			—
Consumer Staples		23,125,988			13,481,728			9,644,260			—
Energy		4,335,137			3,761,106			574,031			—
Financials		14,814,249			13,793,377			1,020,872			—
Health Care		26,838,123			22,248,858			4,589,265			—
Industrials		2,101,592			955,465			1,146,127			—
Information Technology		27,260,988			26,868,456			392,532			—
Materials		536,437			186,022			350,415			—
Real Estate		12,137,058			11,835,644			301,414			—
Utilities		126,239			—			126,239			—


	PRO-BLEND^®MODERATE TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Debt securities:
U.S. Treasury and other U.S.
Government agencies	$	128,657,074		$	—		$	128,657,074		$	—
Corporate debt:
Communication Services		12,487,954			—			12,487,954			—
Consumer Discretionary		8,481,844			—			8,481,844			—
Consumer Staples		61,538			—			61,538			—
Energy		9,848,935			—			9,848,935			—
Financials		14,384,956			—			14,384,956			—
Health Care		1,917,523			—			1,917,523			—
Industrials		5,676,385			—			5,676,385			—
Information Technology		80,344			—			80,344			—
Materials		2,661,359			—			2,661,359			—
Real Estate		3,099,555			—			3,099,555			—
Asset-backed securities		19,314,513			—			19,314,513			—
Commercial mortgage-backed securities		27,433,622			—			27,433,622			—
Foreign government bonds		5,040,010			—			5,040,010			—
Mutual funds		1,083,446			1,083,446			—			—
Short-Term Investment		3,758,324			3,758,324			—			—


Total assets		394,093,264			126,280,059			267,813,205			—

Liabilities:
Other financial instruments*:
Equity contracts		(72,726	)		(70,846	)		(1,880	)		—


Total liabilities		(72,726	)		(70,846	)		(1,880	)		—


Total	$	394,020,538		$	126,209,213		$	267,811,325		$	—


	PRO-BLEND^®EXTENDED TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Assets:
Equity Securities:
Communication Services	$	40,718,734		$	29,248,731		$	11,470,003		$	—
Consumer Discretionary		26,344,229			19,638,760			6,705,469			—
Consumer Staples		39,259,264			22,983,026			16,276,238			—
Energy		6,694,760			5,716,715			978,045			—
Financials		24,096,678			22,352,212			1,744,466			—
Health Care		45,688,272			37,902,013			7,786,259			—
Industrials		3,616,795			1,654,862			1,961,933			—
Information Technology		47,614,634			46,890,800			723,834			—
Materials		898,204			314,199			584,005			—
Real Estate		18,574,253			18,072,194			502,059			—
Utilities		219,382			—			219,382			—
Debt securities:
U.S. Treasury and other U.S.
Government agencies		132,052,160			—			132,052,160			—
Corporate debt:
Communication Services		12,306,404			—			12,306,404			—
Consumer Discretionary		8,775,745			—			8,775,745			—
Consumer Staples		71,794			—			71,794			—
Energy		9,784,248			—			9,784,248			—
Financials		13,883,961			—			13,883,961			—


	PRO-BLEND^®EXTENDED TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Health Care	$	1,875,147		$	—		$	1,875,147		$	—
Industrials		7,535,223			—			7,535,223			—
Information Technology		107,125			—			107,125			—
Materials		2,869,737			—			2,869,737			—
Real Estate		2,876,314			—			2,876,314			—
Utilities		259,394			—			259,394			—
Asset-backed securities		17,427,632			—			17,427,632			—
Commercial mortgage-backed securities		25,851,394			—			25,851,394			—
Foreign government bonds		5,792,808			—			5,792,808			—
Mutual funds		1,840,494			1,840,494			—			—
Short-Term Investment		5,431,336			5,431,336			—			—


Total assets		502,466,121			212,045,342			290,420,779			—

Liabilities:
Other financial instruments*:
Equity contracts		(197,002	)		(193,722	)		(3,280	)		—


Total liabilities		(197,002	)		(193,722	)		(3,280	)		—


Total	$	502,269,119		$	211,851,620		$	290,417,499		$	—


	PRO-BLEND^®MAXIMUM TERM SERIES
DESCRIPTION	TOTAL			LEVEL 1			LEVEL 2^#			LEVEL 3
Assets:
Equity Securities:
Communication Services	$	39,879,390		$	30,916,534		$	8,962,856		$	—
Consumer Discretionary		45,698,599			40,985,191			4,713,408			—
Consumer Staples		52,343,268			37,312,288			15,030,980			—
Energy		9,760,558			9,002,139			758,419			—
Financials		39,010,121			31,399,002			7,611,119			—
Health Care		43,653,827			38,715,293			4,938,534			—
Industrials		5,749,410			4,233,062			1,516,348			—
Information Technology		45,639,980			43,356,390			2,283,590			—
Materials		16,531,061			12,577,950			3,953,111			—
Real Estate		15,322,161			14,967,207			354,954			—
Utilities		168,439			—			168,439			—
Debt securities:
U.S. Treasury and other U.S.
Government agencies		48,369,988			—			48,369,988			—
Corporate debt:
Communication Services		2,095,919			—			2,095,919			—
Consumer Discretionary		1,211,496			—			1,211,496			—
Consumer Staples		30,769			—			30,769			—
Energy		1,651,321			—			1,651,321			—
Financials		2,636,849			—			2,636,849			—
Health Care		307,227			—			307,227			—
Industrials		1,361,917			—			1,361,917			—
Information Technology		37,494			—			37,494			—
Materials		594,555			—			594,555			—
Real Estate		810,681			—			810,681			—

#Includes certain foreign equity securities for which a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading.

There were no Level 3 securities held by any of the Pro-Blend^® Series as of October 31, 2018 and October 31, 2019.

In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-320): “Premium Amortization of Purchased Callable Debt Securities” which shortens the amortized period for certain callable debt securities, held at a premium, to be amortized to the earliest call date rather than the contractual maturity date. The Series will adopt and apply ASU 2017-08 on a modified retrospective basis through a cumulative-effect adjustment on November 1, 2019. As a result of the adoption of ASU 2017-08, the amortized cost basis of investments will be reduced and unrealized appreciation of investments will be increased by immaterial amounts, and there will be no impact on net assets or overall results of operations.

The Series use the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.

Each Series may also purchase options in an attempt to hedge against fluctuations in the value of its portfolio and to protect against declines in the value of the securities. The premium paid by a Series for the purchase of an option is reflected as an investment and subsequently marked-to-market to reflect the current market value of the option. The risk associated with purchasing options is limited to the premium paid.


PRO-BLEND^® MODERATE TERM SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location

Equity contracts	Options written, at value	$ 72,726

STATEMENT OF OPERATIONS
Derivative	Location of Gain or (Loss) on Derivatives	Realized Gain (Loss) on Derivatives

Equity contracts	Net realized gain (loss) on options written	$ 749,704
Derivative	Location of Appreciation (Depreciation) on Derivatives	Unrealized Appreciation (Depreciation) on Derivatives

Equity contracts	Net change in unrealized appreciation (depreciation) on options written	$ 49,970

PRO-BLEND^® EXTENDED TERM SERIES
STATEMENT OF ASSETS AND LIABILITIES
Derivative	Liabilities Location

Equity contracts	Options written, at value	$ 197,002

STATEMENT OF OPERATIONS
Derivative	Location of Gain or (Loss) on Derivatives	Realized Gain (Loss) on Derivatives

Equity contracts	Net realized gain (loss) on options written	$ 1,195,135
Derivative	Location of Appreciation (Depreciation) on Derivatives	Unrealized Appreciation (Depreciation) on Derivatives

Equity contracts	Net change in unrealized appreciation (depreciation) on options written	$ 18,221

The average month-end balances for the year ended October 31, 2019, the period in which such derivatives were outstanding, were as follows:

Each Series may purchase securities on a when-issued basis or forward commitment. These transactions involve a commitment by the Series to purchase securities for a predetermined price with payment and delivery taking place beyond the customary settlement period. When such purchases are outstanding, the Series will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Series assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and take such fluctuations into account when determining their net asset value. The Series may sell the when-issued securities before they are delivered, which may result in a capital gain or loss.

Securities Purchased on a When-Issued Basis or Forward Commitment (continued)

Management evaluates its tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. At October 31, 2019, the Series have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns.

The Series file income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the years ended October 31, 2016 through October 31, 2019. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which each Series pays a fee, computed daily and payable monthly, at an annual rate of 0.40% for Pro-Blend^® Conservative Term Series and 0.60% for Pro-Blend^® Moderate Term Series, Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series, of the Series’ average daily net assets. Prior to March 1, 2019, the contractual management fee was 0.60% for the Pro-Blend^® Conservative Term Series and 0.75% for the Pro-Blend^® Moderate Term Series, Pro-Blend^® Extended Term Series, and Pro-Blend^® Maximum Term Series.

Effective March 1, 2019, the Fund may enter into agreements with financial intermediaries pursuant to which the Fund may pay financial intermediaries for non-distribution related sub-transfer agency, administrative, sub-accounting, and other shareholder services in an amount not to exceed 0.15% of the average daily net assets of the Class S, Class I, Class R and Class L shares. Payments made pursuant to such agreements are generally based on the current assets and/or number of accounts of the Series attributable to the financial intermediary. Any payments made pursuant to such agreements may be in addition to, rather than in lieu of, any Distribution and Shareholder Services Fee payable under the Rule 12b-1 plan of the Fund.

Prior to March 1, 2019, Class S shares of each Series were subject to a shareholder services fee in accordance with a shareholder services plan adopted by the Fund’s Board. The shareholder services fee was intended to compensate financial intermediaries, including affiliates of the Fund, in connection with the provision of direct client service, personal services, maintenance of shareholder accounts and reporting services. For these services, Class S of each Series paid a fee, computed daily and payable monthly, at an annual rate of 0.20% for Pro-Blend^® Conservative Term Series Class S and 0.25% for Pro-Blend^® Moderate Term Series Class S, Pro-Blend^® Extended Term Series Class S and Pro-Blend^® Maximum Term Series Class

S, of the Class’ average daily net assets. The Fund had a Shareholder Services Agreement with the Advisor, for which the Advisor received the shareholder services fee as stated above.

Effective March 1, 2019, these contractual waivers are expected to continue indefinitely, and may not be amended or terminated by the Advisor without the approval of the Series’ Board of Directors. The Advisor’s agreement to limit each Class’s operating expenses is limited to direct operating expenses and, therefore, does not apply to acquired fund fees and expenses, which are indirect expenses incurred by the Series through its investments in other investment companies. The Advisor may receive from a Class the difference between the Class’s total direct annual fund operating expenses, not including excluded expenses, and the Class’s contractual expense limit to recoup all or a portion of its prior fee waivers (other than Class W management fee waivers) or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, not including excluded expenses, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment.

Prior to March 1, 2019, the Advisor has contractually agreed, until at least February 28, 2019, to waive its management fee and, if necessary, pay other operating expenses of the Series in order to maintain total direct annual fund operating expenses for the Series, exclusive of shareholder services fees and distribution and service (12b-1) fees, at no more than the amounts presented in the following table, of average daily net assets each year.

Pursuant to the advisory fee waiver, the Advisor waived the following management fees for Class W shares for the year ended October 31, 2019. In addition, pursuant to the separate expense limitation agreement, the Advisor waived or reimbursed the following expenses for Class S, Class I, Class R, Class L and Class W shares for the year ended October 31, 2019. These amounts are included as a reduction of expenses on the Statement of Operations:

At October 31, 2019, the Advisor is eligible to recoup $23,546, $820, and $24,071 from the Pro-Blend^® Moderate Term Series, Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series, respectively. For the year ended October 31, 2019, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

Manning & Napier Investor Services, Inc., a registered broker-dealer affiliate of the Advisor, acts as distributor for the Fund’s shares. Each Series compensates the distributor for distributing and servicing the Series’ Class L (formerly Class R2), Class R and effective March 1, 2019, Class S shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, each Series pays distribution and service fees to the distributor at an annual rate of 0.25% of average daily net assets attributable to Class S shares, 1.00% of average daily net assets attributable to Class L shares (formerly Class R2) and an annual rate of 0.50% of daily net assets attributable to Class R shares. There are no distribution and service fees on the Class I, Class W, and Class Z shares of each Series and no such fees for Class S prior to March 1, 2019. The fees are accrued daily and paid monthly. Prior to March 1, 2019, each Series compensated the distributor for distributing and servicing the Series’ Class R2 and Class R shares pursuant to a distribution plan adopted under Rule 12b-1 of the 1940 Act, regardless of expenses actually incurred. Under the agreement, each Series paid distribution and service fees to the distributor at an annual rate of 1.00% of average daily net assets attributable to Class R2 shares and an annual rate of 0.50% of daily net assets attributable to Class R shares. There were no distribution and service fees on the Class S or Class I shares of each Series. The fees were accrued daily and paid monthly.

For the year ended October 31, 2019, purchases and sales of securities, including paydowns and other than short-term securities, were as follows:


PRO-BLEND^®CONSERVATIVE TERM SERIES CLASS S:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		7,716,892		$	104,091,483			13,485,072		$	184,831,181
Reinvested		1,674,861			21,831,365			1,932,249			26,362,664
Repurchased		(11,174,041	)		(152,330,368	)		(15,328,727	)		(209,336,128	)


Total		(1,782,288	)	$	(26,407,520	)		88,594		$	1,857,717


PRO-BLEND^®CONSERVATIVE TERM SERIES CLASS I:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		4,572,820		$	46,885,485			6,032,983		$	62,576,922
Reinvested		981,337			9,602,936			983,663			10,191,906
Repurchased		(5,013,464	)		(50,958,234	)		(7,799,355	)		(82,660,492	)


Total		540,693		$	5,530,187			(782,709	)	$	(9,891,664	)


PRO-BLEND^®CONSERVATIVE TERM SERIES CLASS R:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		303,354		$	2,976,947			343,229		$	3,463,136
Reinvested		50,080			468,279			78,356			779,958
Repurchased		(603,968	)		(5,915,153	)		(614,836	)		(6,092,178	)


Total		(250,534	)	$	(2,469,927	)		(193,251	)	$	(1,849,084	)


PRO-BLEND^®CONSERVATIVE TERM SERIES CLASS L (FORMERLY CLASS R2):	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,133,273		$	11,034,293			1,033,277		$	10,310,962
Reinvested		421,515			3,944,518			560,024			5,575,191
Repurchased		(2,546,198	)		(24,846,552	)		(2,819,696	)		(28,095,558	)


Total		(991,410	)	$	(9,867,741	)		(1,226,395	)	$	(12,209,405	)


PRO-BLEND^®CONSERVATIVE TERM SERIES CLASS W:	FOR THE PERIOD 4/01/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT
Sold		109,543		$	1,496,340
Reinvested		906			12,499
Repurchased		—			—


Total		110,449		$	1,508,839


PRO-BLEND^®MODERATE TERM SERIES CLASS S:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,890,869		$	25,337,106			2,645,523		$	36,095,900
Reinvested		1,193,223			14,876,412			1,766,612			23,789,342
Repurchased		(14,472,225	)		(186,635,824	)		(10,220,583	)		(139,249,031	)


Total		(11,388,133	)	$	(146,422,306	)		(5,808,448	)	$	(79,363,789	)


PRO-BLEND^®MODERATE TERM SERIES CLASS I:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		2,094,486		$	20,385,798			2,979,315		$	30,087,491
Reinvested		929,739			8,454,143			1,074,662			10,720,324
Repurchased		(4,937,621	)		(47,238,853	)		(4,255,387	)		(43,174,771	)


Total		(1,913,396	)	$	(18,398,912	)		(201,410	)	$	(2,366,956	)


PRO-BLEND^®MODERATE TERM SERIES CLASS R:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		232,681		$	2,429,557			133,188		$	1,416,277
Reinvested		94,841			909,258			144,335			1,520,382
Repurchased		(1,233,426	)		(12,617,188	)		(678,665	)		(7,237,249	)


Total		(905,904	)	$	(9,278,373	)		(401,142	)	$	(4,300,590	)


PRO-BLEND^®MODERATE TERM SERIES CLASS L (FORMERLY CLASS R2):	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		683,747		$	6,684,430			681,877		$	6,961,412
Reinvested		611,756			5,643,896			769,080			7,791,848
Repurchased		(2,198,410	)		(21,607,147	)		(2,208,253	)		(22,646,789	)


Total		(902,907	)	$	(9,278,821	)		(757,296	)	$	(7,893,529	)


PRO-BLEND^®MODERATE TERM SERIES CLASS W:	FOR THE PERIOD 4/01/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT
Sold		9,437		$	131,119
Reinvested		3			36
Repurchased		—			—


Total		9,440		$	131,155


PRO-BLEND^®EXTENDED TERM SERIES CLASS S:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		1,358,668		$	23,246,755			1,917,422		$	33,638,594
Reinvested		1,014,951			16,040,883			1,371,524			23,661,283
Repurchased		(5,339,420	)		(91,230,005	)		(6,955,971	)		(122,072,805	)


Total		(2,965,801	)	$	(51,942,367	)		(3,667,025	)	$	(64,772,928	)


PRO-BLEND^®EXTENDED TERM SERIES CLASS I:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		3,528,748		$	30,806,783			5,494,219		$	51,649,838
Reinvested		1,652,114			13,328,478			1,665,148			15,434,205
Repurchased		(6,319,812	)		(55,476,989	)		(7,406,430	)		(70,917,263	)


Total		(1,138,950	)	$	(11,341,728	)		(247,063	)	$	(3,833,220	)


PRO-BLEND^®EXTENDED TERM SERIES CLASS R:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		240,830		$	2,521,015			231,918		$	2,529,480
Reinvested		91,258			870,069			116,252			1,257,462
Repurchased		(823,189	)		(8,384,829	)		(590,475	)		(6,536,081	)


Total		(491,101	)	$	(4,993,745	)		(242,305	)	$	(2,749,139	)


PRO-BLEND^®EXTENDED TERM SERIES CLASS L (FORMERLY CLASS R2):	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		769,684		$	7,269,772			695,952		$	7,153,586
Reinvested		1,027,330			9,052,130			1,217,239			12,247,875
Repurchased		(2,595,055	)		(24,787,581	)		(2,810,668	)		(28,755,513	)


Total		(798,041	)	$	(8,465,679	)		(897,477	)	$	(9,354,052	)


PRO-BLEND^®EXTENDED TERM SERIES CLASS W:	FOR THE PERIOD 4/01/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT
Sold		293		$	5,000
Reinvested		2			28
Repurchased		—			—


Total		295		$	5,028


PRO-BLEND^®MAXIMUM TERM SERIES CLASS S:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		693,431		$	13,975,744			1,103,752		$	23,650,449
Reinvested		1,205,790			21,679,532			1,036,452			21,459,898
Repurchased		(3,209,037	)		(64,254,409	)		(4,160,253	)		(89,146,108	)


Total		(1,309,816	)	$	(28,599,133	)		(2,020,049	)	$	(44,035,761	)


PRO-BLEND^®MAXIMUM TERM SERIES CLASS I:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		2,588,964		$	23,362,985			2,014,113		$	21,746,102
Reinvested		2,000,823			16,022,147			1,508,732			15,549,489
Repurchased		(5,391,803	)		(49,717,137	)		(4,183,021	)		(45,362,603	)


Total		(802,016	)	$	(10,332,005	)		(660,176	)	$	(8,067,012	)


PRO-BLEND^®MAXIMUM TERM SERIES CLASS R:	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		467,060		$	5,591,070			337,592		$	4,593,055
Reinvested		177,718			1,897,030			134,694			1,762,998
Repurchased		(619,464	)		(7,372,038	)		(624,728	)		(8,490,869	)


Total		25,314		$	116,062			(152,442	)	$	(2,134,816	)


PRO-BLEND^®MAXIMUM TERM SERIES CLASS L (FORMERLY CLASS R2):	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
	SHARES			AMOUNT			SHARES			AMOUNT
Sold		704,235		$	6,769,815			568,570		$	6,446,638
Reinvested		1,009,143			8,635,922			645,934			7,027,766
Repurchased		(1,197,143	)		(11,496,558	)		(953,464	)		(10,872,533	)


Total		516,235		$	3,909,179			261,040		$	2,601,871


PRO-BLEND^®MAXIMUM TERM SERIES CLASS W:	FOR THE PERIOD 4/01/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
	SHARES			AMOUNT
Sold		25,782		$	539,460
Reinvested		1			23
Repurchased		—			—


Total		25,783		$	539,483

At October 31, 2019, one shareholder owned 11.9% of Pro-Blend^® Conservative Term Series. In addition, the Advisor and its affiliates owned 0.1% or less of each Series. Investment activities of these shareholders may have a material effect on the respective Series.

The Series may trade in instruments including written and purchased options, forward foreign currency exchange contracts and futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. At October 31, 2019, Pro-Blend^® Conservative Term Series, Pro-Blend^® Moderate Term Series and Pro-Blend^® Extended Term Series invested in options contracts (equity risk).

The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments in the timing of the recognition on net investment income or gains and losses, including foreign currency gains and losses, losses deferred due to wash sales, investments in passive foreign investment companies (PFICs) and real estate investment trusts. Each Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations, without impacting the Series’ net asset value. Any such reclassifications are not reflected in the financial highlights.

To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Pro-Blend^® Conservative Term Series, Pro-Blend^® Moderate Term Series, Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series

We have audited the accompanying statements of assets and liabilities, including the investment portfolios, of Pro-Blend^® Conservative Term Series, Pro-Blend^® Moderate Term Series, Pro-Blend^® Extended Term Series and Pro-Blend^® Maximum Term Series (four of the series constituting Manning & Napier Fund, Inc., hereafter collectively referred to as the “Funds”) as of October 31, 2019, the related statements of operations for the year ended October 31, 2019, the statements of changes in net assets for each of the two years in the period ended October 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

We have served as the auditor of one or more investment companies in Manning & Napier Mutual Funds since 1992.

All reportings are based on financial information available as of the date of this annual report and, accordingly, are subject to change.

The Series designate Long-Term Capital Gain dividends pursuant to Section 852(b)(3) of the Code for the fiscal year ended October 31, 2019 as follows:

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30^th is available, without charge, upon request:

The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

For more information about any of the Manning & Napier Fund, Inc. Series, you may obtain a prospectus and SAI at www.manning-napier.com or by calling (800) 466-3863. Before investing, carefully consider the objectives, risks, charges and expenses of the investment and read the prospectus carefully as it contains this and other information about the investment company. In addition, this information can be found on the SEC’s web site, http://www.sec.gov.

The Fund also offers electronic notification or “e-delivery” when certain documents are available on-line to be downloaded or reviewed. Direct shareholders can elect to receive electronic notification when shareholder reports, prospectus updates, and/or quarterly statements are available. If you do not currently have on-line access to your account, you can establish access by going to www.manning-napier.com, click on “Login” in the top corner of the page, and follow the prompts to self-enroll. Once enrolled, you can set your electronic notification preferences by clicking on the Account Options tab located within the green toolbar and then select E-Delivery Option. Should you have any questions on either how to establish on-line access or how to update your account settings, please contact Investor Services at 1-800-466-3863.

To seek long-term capital appreciation. The Series invests primarily in equity securities of foreign developed and emerging market companies that are small- to mid-sized at the time of purchase.

International equity markets posted positive returns for the twelve-month period ending October 31, 2019. During that period, international large cap stocks outperformed small- and mid-cap stocks, while international growth stocks outperformed their value counterparts. On a regional basis, emerging markets modestly outperformed developed markets.

The Rainier International Discovery Series Class S shares delivered positive returns but modestly underperformed the MSCI ACWI ex USA Small Index, returning 8.6% and 8.8% respectively. Underperformance largely occurred during the fourth quarter of 2018, and most recently, this past September and October. Underperformance was primarily attributable to stock selection, most notably in Information Technology, Consumer Staples, and Japan, as well as to an underweight to Real Estate and overweight to Denmark.

The Series experienced notable outperformance during the second quarter this year, outperforming the benchmark by roughly 6%, and driving outperformance year-to-date. Strong results during the period were a result of stock selection, particularly in Health Care, Industrials, Information Technology, and the UK.

Consistent with our philosophy and approach over these last 7+ years, we continue to uncover opportunities through our diligent research process. Despite headline risks around the world, we remain constructive on the companies in which the portfolio is invested due to their strong market positions, innovative leadership, and ability to deliver financial results to their shareholders.

Please see the next page for additional performance information as of October 31, 2019.

Commentary prepared using data provided by FactSet. Analysis Manning & Napier. Commentary presented is relative to the ACWIxUS Small Cap Index. Additional information and associated disclosures can be found on the Performance Update page of this report.

All investments involve risks, including possible loss of principal. As with any stock fund, the value of your investment will fluctuate in response to stock market movements. Small- and medium-capitalization companies tend to have limited liquidity and greater price volatility than large-capitalization companies. Funds whose investments are concentrated in foreign and emerging market countries may be subject to fluctuating currency values, different accounting standards, and economic and political instability. The value of the Series may be affected by changes in exchange rates between foreign currencies and the U.S. dollar. Investments in emerging markets may be more volatile than investments in more developed markets. Additionally, the Series is subject to portfolio turnover risk as it may buy and sell investments frequently, which may result in higher expenses and an increase in realized capital gains and potential tax implications for shareholders.

The following graph compares the value of a $1,000,000 investment in the Rainier International Discovery Series - Class I from its inception² (March 28, 2012) to present (October 31, 2019) to the MSCI ACWI ex USA Small Cap Index.

²Performance numbers for the Series and the MSCI ACWI ex USA Small Cap Index are calculated from March 28, 2012, the Class I inception date.

³The Series’ performance does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of shares. The Series’ performance is historical and may not be indicative of future results. The performance returns shown are inclusive of the net expense ratio of the Series. For the year ended October 31, 2019, this net expense ratio was 1.40% for Class S, 1.14% for Class I, 0.10% for Class W and 1.00% for Class Z. The gross expense ratio, which does not account for any voluntary or contractual waivers currently in effect, was 1.44% for Class S, 1.17% for Class I, 1.10% for Class W and 1.08% for Class Z for the year ended October 31, 2019.

⁴The Rainier International Discovery Fund (Predecessor Fund), which was managed by Rainier Investment Management, LLC, was reorganized into the Manning & Napier Fund, Inc. Rainier International Discovery Series on 08/21/2017. For periods prior to 08/21/2017, performance for the Class I and Z Shares is based on the historical performance of the Predecessor Fund’s Institutional Shares, and will differ to the extent that the Predecessor Fund’s Institutional Shares had a higher expense ratio. For periods between 11/30/2012 and 08/21/2017, performance for Class S is based on the historical performance of the Predecessor Fund’s Class A Shares; performance prior to 11/30/2012 is based on the historical performance of the Predecessor Fund’s Institutional Shares and adjusted for the Predecessor Fund’s Class A Shares expenses. If the sales charges were reflected or if performance had been adjusted to reflect the Class S Shares’ expenses, the performance would have been different depending on total expenses incurred by the Predecessor Fund.

⁵For periods through March 1, 2019 (the inception date of the Class W shares), performance for the Class W shares is based on the historical performance of the Class I shares. Because the Class W shares invest in the same portfolio of securities as the Class I shares, performance will be different only to the extent that the Class I shares have a higher expense ratio.

⁶The MSCI ACWI ex USA Small Cap Index is designed to measure a small cap representation across 22 of 23 Developed Markets countries (excluding the U.S.) and 24 Emerging Markets countries. The Index returns do not reflect any fees or expenses. The Index is denominated in U.S. dollars. The Index returns are net of withholding taxes. They assume daily reinvestment of net dividends thus accounting for any applicable dividend taxation. Index returns provided by Bloomberg.

¹ Expenses are equal to the Series’ annualized expense ratio (for the six-month period), multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Expenses are based on the most recent fiscal half year; therefore, the expense ratios stated above may differ from the expense ratios stated in the financial highlights, which are based on one-year data. The Class’ total return would have been lower had certain expenses not been waived during the period.

¹Restricted securities - Investment in securities that are restricted as to public resale under the Securities Act of 1933, as amended. These securities have been sold under Rule 144A and have been determined to be liquid under the Fund’s Liquidity Risk Management Program. These securities amount to $31,148,971, or 6.9% of the Series’ net assets as of October 31, 2019 (see Note 2 to the financial statements).

The Series’ portfolio holds, as a percentage of net assets, greater than 10% in the following country:

¹Rainier International Discovery Fund (“the Predecessor Fund”) transferred its assets and liabilities to the Series at the close of business on August 21, 2017. Because the Series had no investment operations prior to the Reorganization, and based on the similarity of the Series to the Predecessor Fund, the Predecessor Fund is treated as the survivor for accounting and performance reporting purposes. Class S shares of the Series (formerly Class K) were formerly Class A shares of the Predecessor Fund.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

⁵Expense ratio exceeds expense limitation due to recognition of expenses related to the Reorganization of the Fund. The majority of the expenses incurred by the Series in connection with the reorganization were paid by the Advisor. The Series paid certain expenses, including half of the cost of the proxy, such as printing and solicitation, and all of the legal fees incurred in connection to the reorganization.

¹Rainier International Discovery Fund (“the Predecessor Fund”) transferred its assets and liabilities to the Series at the close of business on August 21, 2017. Because the Series had no investment operations prior to the Reorganization, and based on the similarity of the Series to the Predecessor Fund, the Predecessor Fund is treated as the survivor for accounting and performance reporting purposes. Class I shares of the Series were formerly Institutional shares of the Predecessor Fund.

⁶Expense ratio exceeds expense limitation due to recognition of expenses related to the Reorganization of the Fund. The majority of the expenses incurred by the Series in connection with the reorganization were paid by the Advisor. The Series paid certain expenses, including half of the cost of the proxy, such as printing and solicitation, and all of the legal fees incurred in connection to the reorganization.

³Represents aggregate total return for the period indicated. Total return would have been lower had certain expenses not been waived or reimbursed during the period. Periods less than one year are not annualized.

³Represents aggregate total return for the periods indicated, and assumes reinvestment of all distributions. Total return would have been lower had certain expenses not been waived or reimbursed during the periods. Periods less than one year are not annualized.

Rainier International Discovery Series (the “Series”) is a no-load diversified series of Manning & Napier Fund, Inc. (the “Fund”). The Fund is organized in Maryland and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.

The Series is authorized to issue four classes of shares (Class S, I, W and Z). Class W shares of the Series were issued on March 1, 2019. Each class is substantially the same, except that class specific distribution and shareholder servicing expenses are borne by the specific class of shares to which they relate.

The Fund’s advisor is Manning & Napier Advisors, LLC (the “Advisor”). Shares of the Series are offered to investors, clients and employees of the Advisor and its affiliates. The total authorized capital stock of the Fund consists of 15 billion shares of common stock each having a par value of $0.01. As of October 31, 2019, 10 billion shares have been designated in total among 34 series, of which 100 million have been designated as Rainier International Discovery Series Class I common stock, Rainier International Discovery Series Class S (formerly Class K) common stock, Rainier International Discovery Series Class W common stock and Rainier International Discovery Series Class Z (formerly Class R6) common stock.

and exchange rates in other markets, to determine the factors which are used to adjust local market prices. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities. It is the Fund’s policy to classify each foreign equity security where a factor from a third party vendor is applied as a Level 2 security.

The following is a summary of the valuation levels used for major security types as of October 31, 2019 in valuing the Series’ assets or liabilities carried at fair value:


DESCRIPTION	TOTAL		LEVEL 1		LEVEL 2^#		LEVEL 3
Assets:
Equity securities:
Common stocks:
Communication Services	$	9,501,216	$	—	$	9,501,216	$	—
Consumer Discretionary		34,972,673		1,388,723		33,583,950		—
Consumer Staples		33,594,696		—		33,594,696		—
Financials		54,251,814		—		54,251,814		—
Health Care		83,334,251		—		83,334,251		—
Industrials		104,079,120		13,476,033		90,603,087		—
Information Technology		85,939,419		2,769,579		83,169,840		—
Materials		5,234,913		—		5,234,913		—
Real Estate		6,112,165		—		6,112,165		—
Utilities		3,087,927		—		3,087,927		—
Warrants:
Consumer Discretionary		19,527		—		19,527		—
Short-Term Investment		26,168,747		26,168,747		—		—


Total assets	$	446,296,468	$	43,803,082	$	402,493,386	$	—

^#Includes certain foreign equity securities for which a factor from a third party vendor was applied to determine the securities’ fair value following the close of local trading.

There were no Level 2 securities held by the Series as of October 31, 2018. There were no Level 3 securities held by the Series as of October 31, 2018 or October 31, 2019.

shareholder services fees), and realized and unrealized gains and losses are prorated among the classes based on the relative net assets of each class. Class specific expenses are directly charged to that class.

The Series uses the identified cost method for determining realized gain or loss on investments for both financial statement and federal income tax reporting purposes.

The books and records of the Series are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. The Series does not isolate realized and unrealized gains and losses attributable to changes in the exchange rates from gains and losses that arise from changes in the fair value of investments. Such fluctuations are included with net realized and unrealized gain or loss on investments. Net realized foreign currency gains and losses represent foreign currency gains and losses between trade date and settlement date on securities transactions, gains and losses on disposition of foreign currencies and the difference between the amount of income and foreign withholding taxes recorded on the books of the Series and the amounts actually received or paid.

The Series files income tax returns in the U.S. federal jurisdiction, various states and foreign jurisdictions, as required. No income tax returns are currently under investigation. The statute of limitations on the Series’ tax returns remains open for the two years ended March 31, 2016 and March 31, 2017, the period ended October 31, 2017 and the years ended October 31, 2018 and October 31, 2019. The Series is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

Based on the Series’ understanding of the tax rules and rates related to income, gains and currency purchase/repatriation transactions for foreign jurisdictions in which it invests, the Series will provide for foreign taxes, and where appropriate, deferred foreign tax. The Series is subject to a tax imposed on short term capital gains on securities of issuers domiciled in India. The Series records an estimated deferred tax liability for securities that have been held for less than a year at the end of the reporting period, assuming those positions were disposed of at the end of the period. This amount is reported in Accrued foreign capital gains tax in the accompanying Statement of Assets and Liabilities. Realized losses on the sale of securities of issuers domiciled in India can be carried forward for eight years to offset potential future short term realized capital gains.

The Fund has an Investment Advisory Agreement (the “Agreement”) with the Advisor, for which the Series pays a fee, computed daily and payable monthly, at an annual rate of 0.90% of the Series’ average daily net assets. The investment sub-advisor of the Series is Rainier Investment Management, LLC (“Rainier” or the “Sub-Advisor”). The Advisor pays the Sub-Advisor out of the fee received from the Series at an annual rate of 0.70% of the Series’ average daily net assets.

Under the Agreement, personnel of the Advisor provide the Series with advice and assistance in the choice of investments and the execution of securities transactions, and otherwise maintain the Series’ organization. The Advisor also provides the Fund with necessary office space and fund administration and support services. The salaries of all officers of the Fund (except a percentage of the Fund’s Chief Compliance Officer’s salary, which is paid by the Fund), and of all Directors who are “affiliated persons” of the Fund, or of the Advisor, and all personnel of the Fund, or of the Advisor, performing services relating to research, statistical and investment activities, are paid by the Advisor and/or Sub-Advisor. Each “non-affiliated” Director receives an annual stipend, which is allocated among all the active series of the Fund. In addition, these Directors also receive a fee per Board meeting attended plus a fee for each committee meeting attended and are reimbursed for travel and other out-of-pocket expenses incurred by them in connection with attending such meetings. The Fund also has an Audit Committee Chair, Governance & Nominating Committee Chair and Lead Independent Director who each receive an additional annual stipend for these roles.

The Fund may enter into agreements with financial intermediaries pursuant to which the Fund may pay financial intermediaries for non-distribution related sub-transfer agency, administrative, sub-accounting, and other shareholder services in an amount not to exceed 0.15% of the average daily net assets of the Class S shares and Class I shares. Payments made pursuant to such agreements are generally based on the current assets and/or number of accounts of the Series attributable to the financial intermediary. Any payments made pursuant to such agreements may be in addition to, rather than in lieu of, any Distribution and Shareholder Services Fee payable under the Rule 12b-1 plan of the Fund.

Class’s contractual expense limit to recoup all or a portion of its prior fee waivers (other than Class W management fee waivers) or expense reimbursements made during the rolling three-year period preceding the recoupment if at any point the total direct annual fund operating expenses, not including excluded expenses, are below the contractual expense limit (a) at the time of the fee waiver and/or expense reimbursement and (b) at the time of the recoupment.

Pursuant to these agreements, the Advisor waived $87,149 in management fees for Class W shares for the year ended October 31, 2019. In addition, pursuant to the separate expense limitation agreement, the Advisor waived or reimbursed expenses of $36,573, $44,220, $9,606 and $163,793 for Class S, Class I, Class W, and Class Z shares, respectively, for the year ended October 31, 2019. These amounts are included as a reduction of expenses on the Statement of Operations. At October 31, 2019, the Advisor is eligible to recoup $224,640. For the year ended October 31, 2019, the Advisor did not recoup any expenses that have been previously waived or reimbursed.

For the year ended October 31, 2019, purchases and sales of securities, other than U.S. Government securities and short-term securities, were $440,492,191 and $536,710,993, respectively. There were no purchases or sales of U.S. Government securities.

Transactions in shares of Class S, Class I, Class W, and Class Z shares of Rainier International Discovery Series were:


CLASS I	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
CLASS I	SHARES			AMOUNT			SHARES			AMOUNT
Sold		4,155,465		$	79,344,260			9,319,947		$	206,173,813
Reinvested		27,468			490,020			6,335			132,393
Repurchased		(5,197,891	)		(100,580,593	)		(9,975,641	)		(218,818,955	)


Total		(1,014,958	)	$	(20,746,313	)		(649,359	)	$	(12,512,749	)


CLASS W	FOR THE PERIOD 3/01/19 (COMMENCEMENT OF OPERATIONS) TO 10/31/19
CLASS W	SHARES			AMOUNT
Sold		906,002		$	17,700,743
Reinvested		—			—
Repurchased		(27,117	)		(549,662	)


Total		878,885		$	17,151,081


CLASS Z	FOR THE YEAR ENDED 10/31/19						FOR THE YEAR ENDED 10/31/18
CLASS Z	SHARES			AMOUNT			SHARES			AMOUNT
Sold		4,980,668		$	96,859,767			8,982,690		$	197,271,626
Reinvested		11,075			197,579			2			39
Repurchased		(2,343,507	)		(45,164,037	)		(130,380	)		(2,649,172	)


Total		2,648,236		$	51,893,309			8,852,312		$	194,622,493

At October 31, 2019, one shareholder account owned 20.0% of the Series. In addition, the Advisor and its affiliates owned less than 0.1% of the Series. Investment activities of these shareholders may have a material effect on the Series.

The Series may trade in instruments including futures contracts and other derivatives in the normal course of investing activities to assist in managing exposure to various market risks. The Series may be subject to various elements of risk, which may involve, to a varying degree, elements of risk in excess of the amounts recognized for financial statement purposes. These risks include: the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to over the counter derivative counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing the fund to close out its position(s); and documentation risk relating to disagreement over contract terms. No such investments were held by the Series as of October 31, 2019.

The amount and characterization of certain income and capital gains to be distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments in the timing and/or treatment of the recognition of net investment income or gains and losses, including foreign currency gains and losses, wash sales and foreign taxes. The Series may periodically make reclassifications among its capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations without impacting the Series’ net asset value. Any such reclassifications are not reflected in the financial highlights.

At October 31, 2019, the Series had net short-term capital loss carryforwards of $33,708,740, which may be carried forward indefinitely.

To the Board of Directors of Manning & Napier Fund, Inc. and Shareholders of Rainier International Discovery Series

We have audited the accompanying statement of assets and liabilities, including the investment portfolio, of Rainier International Discovery Series (one of the series constituting Manning & Napier Fund, Inc., referred to hereafter as the “Fund”) as of October 31, 2019, the related statement of operations for the year ended October 31, 2019, the statement of changes in net assets for each of the two years in the period ended October 31, 2019, including the related notes, and the financial highlights for each of the periods presented ended on or after October 31, 2017 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2019 and the financial highlights for each of the periods presented ended on or after October 31, 2017 in conformity with accounting principles generally accepted in the United States of America.

The financial statements as of and for the period ended March 31, 2017 and financial highlights for each of the periods ended on or prior to March 31, 2017 (not presented herein, other than the financial highlights) were audited by other auditors whose report dated May 22, 2017 expressed an unqualified opinion on those financial statements and financial highlights.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more investment companies in Manning & Napier Mutual Funds since 1992.

All reportings are based on financial information available as of the date of this annual report and, accordingly are subject to change.

For federal income tax purposes, the Series reports for the current fiscal year $1,565,216 or, if different, the maximum amount allowable under the tax law as qualified dividend income.

The Series has elected to pass through to its shareholders the foreign taxes paid for the year ended October 31, 2019. The Series paid foreign taxes of $723,590.

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available, without charge, upon request:

Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available, without charge, upon request:

The Series’ complete schedule of portfolio holdings for the 1st and 3rd quarters of each fiscal year are provided on Form N-PORT, and are available, without charge, upon request:

All of the members of the Audit committee have been determined by the Registrant’s Board of Directors to be Audit Committee Financial Experts as defined in this item. The current members of the Audit Committee are: Stephen B. Ashley, Paul A. Brooke, Harris H. Rusitzky, and Chester N. Watson. All Audit Committee members are independent under applicable rules. This designation will not increase the designee’s duties, obligations or liability as compared to their duties, obligations and liability as a member of the Audit Committee and of the Board.

Aggregate fees for professional services rendered for the Manning & Napier Fund, Inc. (Pro-Blend^® Conservative Term Series, Pro-Blend^® Moderate Term Series, Pro-Blend^® Extended Term Series, Pro-Blend^® Maximum Term Series, Blended Asset Conservative Series, Blended Asset Moderate Series, Blended Asset Extended Series, Blended Asset Maximum Series, Equity Series, Overseas Series, Disciplined Value Series, Rainier International Discovery Series, Target Income Series, Target 2015 Series, Target 2020 Series, Target 2025 Series, Target 2030 Series, Target 2035 Series, Target 2040 Series, Target 2045 Series, Target 2050 Series, Target 2055 Series, and Target 2060 Series collectively the “Fund”) by PricewaterhouseCoopers LLP (“PwC”) as of and for the years ended October 31, 2019 and 2018 were:

These fees relate to professional services rendered by PwC for the audit of the Fund’s annual financial statements or services normally provided by the accountant in connection with statutory and regulatory filing or engagements. These services include the audits of the financial statements of the Fund, issuance of consents, income tax provision procedures and assistance with review of documents filed with the SEC.

These fees relate to assurance and related services by PwC that are reasonably related to the performance of the audit of the Fund’s financial statements and are not reported under “Audit Fees” above.

The fees for the year ended October 31, 2019 relate to professional services rendered by PwC for tax compliance, tax advice, tax planning and shareholder reporting. The fees for the year ended October 31, 2018 relate to professional services rendered by PwC for tax compliance, tax advice and tax planning. The tax services provided by PwC related to the review of the Fund’s federal and state income tax returns, excise tax calculations and returns, a review of the Fund’s calculations of capital gain and income distributions, and additional tax research for compliance purposes.

These fees relate to products and services provided by PwC other than those reported above under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above.

There were no amounts that were approved by the Audit Committee pursuant to the de minimus exception (Rule 2-01(c)(7) of Regulation S-X) for the fiscal years ended October 31, 2019 and 2018.

Non-Audit Services to the Fund’s Service Affiliates that were Pre-Approved by the Fund’s Audit Committee

The Fund’s Audit Committee is required to pre-approve non-audit services which meet both the following criteria:

There were no Audit Related fees for the year ended October 31, 2019. The Audit related fees for the year ended October 31, 2018 were for work related to a fund merger, prospectus updates related to various fund changes, work related to the liquidating trusts for closed funds, a license for proprietary authoritative financial reporting and assurance literature library software.

There were no amounts that were approved by the Audit Committee pursuant to the de minimus exception (Rule 2-01(c)(7) of Regulation S-X) for the fiscal years ended October 31, 2019 and 2018.

Aggregate fees billed to the Fund for non-audit services for 2019 and 2018 were $888,845 and $737,733, respectively. Aggregate fees billed to the Fund’s advisor and service affiliates for non-audit services were $0 and $91,300, respectively. These amounts include fees for non-audit services required to be pre-approved and fees for non-audit services that did not require pre-approval since they did not relate to the Fund’s operations and financial reporting.

The Fund’s Audit Committee has considered whether the provisions for non-audit services to the Fund’s advisor and service affiliates, which did not require pre-approval, are compatible with maintaining PwC’s independence.

There have been no material changes to the procedure by which shareholders may recommend nominees to the registrant’s board of directors.

(a) Based on their evaluation of the Funds’ disclosure controls and procedures, as of a date within 90 days of the filing date, the Funds’ Principal Executive Officer and Principal Financial Officer have concluded that the Funds’ disclosure controls and procedures are: (i) reasonably designed to ensure that information required to be disclosed in this report is appropriately communicated to the Funds’ officers to allow timely decisions regarding disclosures required in this report; (ii) reasonably designed to ensure that information required to be disclosed in this report is recorded, processed, summarized and reported in a timely manner; and (iii) are effective in achieving the goals described in (i) and (ii) above.

(b) During the period covered by this report, there have been no changes in the Funds’ internal control over financial reporting that the above officers believe to have materially affected, or to be reasonably likely to materially affect, the Funds’ internal control over financial reporting.

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

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


	AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2019
	ONE YEAR¹	FIVE YEAR	TEN YEAR

Equity Series - Class S²	16.88%	10.06%	11.81%

Equity Series - Class W^2,3	17.64%	10.20%	11.88%

Russell 3000^® Index⁴	13.49%	10.31%	13.62%


	BEGINNING ACCOUNT VALUE 5/1/19	ENDING ACCOUNT VALUE 10/31/19	EXPENSES PAID DURING PERIOD 5/1/19-10/31/19¹	ANNUALIZED EXPENSE RATIO

Class S

Actual	$1,000.00	$1,049.10	$5.42	1.05%

Hypothetical (5% return before expenses)	$1,000.00	$1,019.91	$5.35	1.05%

Class W

Actual	$1,000.00	$1,054.30	$0.26	0.05%

Hypothetical (5% return before expenses)	$1,000.00	$1,024.95	$0.26	0.05%


	SHARES		VALUE (NOTE 2)

COMMON STOCKS - 95.9%

Communication Services - 10.1%
Entertainment - 3.5%
Activision Blizzard, Inc.		14,400	$	806,832
Electronic Arts, Inc.*		14,525		1,400,210


				2,207,042

Interactive Media & Services - 6.6%
Alphabet, Inc. - Class A*		810		1,019,628
Alphabet, Inc. - Class C*		810		1,020,689
Facebook, Inc. - Class A*		8,135		1,559,073
IAC - InterActiveCorp.*		2,790		634,028


				4,233,418


Total Communication Services				6,440,460


Consumer Discretionary - 13.0%
Internet & Direct Marketing Retail - 3.4%
Amazon.com, Inc.*		860		1,527,928
Booking Holdings, Inc.*		330		676,094


				2,204,022

Multiline Retail - 4.3%
Dollar General Corp.		8,380		1,343,649
Dollar Tree, Inc.*		12,755		1,408,152


				2,751,801

Specialty Retail - 3.3%
Advance Auto Parts, Inc.		4,995		811,588
AutoZone, Inc.*		705		806,788
The TJX Cos., Inc.		8,915		513,950


				2,132,326

Textiles, Apparel & Luxury Goods - 2.0%
NIKE, Inc. - Class B		13,975		1,251,461


Total Consumer Discretionary				8,339,610

Consumer Staples - 12.6%
Beverages - 6.2%
The Coca-Cola Co.		41,995		2,285,788
PepsiCo, Inc.		12,255		1,681,018


				3,966,806

Food Products - 3.2%
Mondelez International, Inc. -
Class A		38,595		2,024,308

Household Products - 1.0%
Colgate-Palmolive Co.		9,685		664,391


	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Health Care (continued)
Pharmaceuticals - 4.2%
Johnson & Johnson		18,125	$	2,393,225
Merck & Co., Inc.		3,710		321,509


				2,714,734


Total Health Care				7,115,100


Industrials - 4.0%
Commercial Services & Supplies - 2.6%
Stericycle, Inc.*		12,305		708,768
Waste Management, Inc.		8,245		925,171


				1,633,939

Road & Rail - 1.4%
JB Hunt Transport Services, Inc.		7,880		926,373


Total Industrials				2,560,312


Information Technology - 19.1%
Electronic Equipment, Instruments & Components - 1.5%
Cognex Corp.		18,335		944,069

IT Services - 7.9%
EPAM Systems, Inc.*		1,665		292,973
Mastercard, Inc. - Class A		7,110		1,968,119
Verra Mobility Corp.*		95,765		1,374,228
Visa, Inc. - Class A		8,160		1,459,498


				5,094,818

Semiconductors & Semiconductor Equipment - 3.9%
Micron Technology, Inc.*		34,790		1,654,264
NVIDIA Corp.		4,055		815,136


				2,469,400

Software - 5.8%
Microsoft Corp.		13,990		2,005,746
ServiceNow, Inc.*		6,905		1,707,330


				3,713,076


Total Information Technology				12,221,363


Materials - 5.8%
Chemicals - 3.8%
Axalta Coating Systems Ltd.*		31,815		938,224
CF Industries Holdings, Inc.		19,260		873,441
Corteva, Inc.		24,940		657,917


				2,469,582

Containers & Packaging - 1.1%
Crown Holdings, Inc.*		9,285		676,319


	SHARES		VALUE (NOTE 2)

COMMON STOCKS (continued)

Materials (continued)
Metals & Mining - 0.9%
Freeport-McMoRan, Inc.		25,430	$	249,723
Southern Copper Corp. (Peru)		8,370		297,805


				547,528


Total Materials				3,693,429


Real Estate - 4.5%
Equity Real Estate Investment Trusts (REITS) - 4.5%
American Tower Corp.		4,660		1,016,253
Equinix, Inc.		1,445		818,997
SBA Communications Corp.		4,365		1,050,437


Total Real Estate				2,885,687


TOTAL COMMON STOCKS (Identified Cost $48,832,946)				61,403,363


SHORT-TERM INVESTMENT - 4.3%

Dreyfus Government Cash Management, Institutional Shares, 1.73%¹
(Identified Cost $2,770,713)		2,770,713		2,770,713

TOTAL INVESTMENTS - 100.2% (Identified Cost $51,603,659)				64,174,076
LIABILITIES, LESS OTHER ASSETS - (0.2%)				(104,410	)


NET ASSETS - 100%			$	64,069,666


ASSETS:

Investments, at value (identified cost $51,603,659) (Note 2)	$	64,174,076
Dividends receivable		10,462
Receivable for fund shares sold		2,509
Prepaid expenses		15,662


TOTAL ASSETS		64,202,709


LIABILITIES:

Accrued management fees (Note 3)		25,373
Accrued fund accounting and administration fees (Note 3)		13,618
Accrued shareholder services fees (Class S) (Note 3)		13,438
Accrued transfer agent fees (Note 3)		5,498
Accrued Chief Compliance Officer service fees (Note 3)		687
Accrued sub-transfer agent fees (Note 3)		42
Payable for fund shares repurchased		40,471
Audit fees payable		20,634
Printing fees payable		10,844
Other payables and accrued expenses		2,438


TOTAL LIABILITIES		133,043


TOTAL NET ASSETS	$	64,069,666


NET ASSETS CONSIST OF:

Capital stock	$	46,117
Additional paid-in-capital		45,433,569
Total distributable earnings (loss)		18,589,980


TOTAL NET ASSETS	$	64,069,666


NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class S ($63,700,603/4,585,268 shares)	$	13.89


NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class W ($369,063/26,393 shares)	$	13.98


INVESTMENT INCOME:

Dividends	$	767,458


EXPENSES:

Management fees (Note 3)		491,938
Shareholder services fees (Class S) (Note 3)		163,367
Fund accounting and administration fees (Note 3)		52,732
Directors’ fees (Note 3)		6,103
Chief Compliance Officer service fees (Note 3)		3,455
Sub-transfer agent fees (Note 3)		42
Custodian fees		4,309
Miscellaneous		121,114


Total Expenses		843,060
Less reduction of expenses (Note 3)		(156,798	)


Net Expenses		686,262


NET INVESTMENT INCOME		81,196


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

Net realized gain (loss) on investments		6,764,451
Net change in unrealized appreciation (depreciation) on investments		3,236,054


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS		10,000,505


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	10,081,701



	FOR THE YEAR ENDED 10/31/19			FOR THE YEAR ENDED 10/31/18
INCREASE (DECREASE) IN NET ASSETS:

OPERATIONS:

Net investment income (loss)	$	81,196		$	(132,735	)
Net realized gain (loss) on investments		6,764,451			11,047,143
Net change in unrealized appreciation (depreciation) on investments		3,236,054			(4,124,586	)


Net increase from operations		10,081,701			6,789,822


DISTRIBUTIONS TO SHAREHOLDERS (Note 9):

Class S		(10,873,259	)		(5,983,527	)


CAPITAL STOCK ISSUED AND REPURCHASED:

Net increase (decrease) from capital share transactions (Note 5)		(4,700,431	)		(14,599,547	)


Net increase (decrease) in net assets		(5,491,989	)		(13,793,252	)

NET ASSETS:

Beginning of year		69,561,655			83,354,907


End of year	$	64,069,666		$	69,561,655


	FOR THE YEAR ENDED
	10/31/19			10/31/18			10/31/17			10/31/16			10/31/15
Per share data (for a share outstanding throughout each year):
Net asset value - Beginning of year		$14.28			$14.27			$12.20			$16.62			$21.15

Income (loss) from investment operations:
Net investment income (loss)¹		0.02			(0.02	)		0.01			(0.07	)		0.01
Net realized and unrealized gain (loss) on investments		1.86			1.07			2.63			0.64			(0.42	)


Total from investment operations		1.88			1.05			2.64			0.57			(0.41	)


Less distributions to shareholders:
From net investment income		(0.01	)		—			—			(0.00	)²		(0.00	)²
From net realized gain on investments		(2.26	)		(1.04	)		(0.57	)		(4.99	)		(4.12	)


Total distributions to shareholders		(2.27	)		(1.04	)		(0.57	)		(4.99	)		(4.12	)


Net asset value - End of year		$13.89			$14.28			$14.27			$12.20			$16.62


Net assets - End of year (000’s omitted)		$63,701			$69,562			$83,355			$98,470			$500,946


Total return³		16.88%			7.67%			22.68%	⁴		6.16%			(1.46%	)
Ratios (to average net assets)/Supplemental Data:
Expenses**		1.05%			1.05%			1.05%			1.05%			1.05%
Net investment income (loss)		0.12%			(0.17%	)		0.10%			(0.55%	)		0.04%
Series portfolio turnover		48%			45%			71%			40%			62%

*Effective March 1, 2017, Class A shares of the Series have been designated as Class S shares.

**The investment advisor did not impose all or a portion of its management and/or other fees, and in some years may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:

		0.24%			0.17%			0.15%			0.09%			0.03%


	FOR THE PERIOD 3/1/19¹ TO 10/31/19
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$12.53


Income from investment operations:
Net investment income²		0.09
Net realized and unrealized gain (loss) on investments		1.36


Total from investment operations		1.45


Net asset value - End of period		$13.98


Net assets - End of period (000’s omitted)		$369


Total return³		11.57%
Ratios (to average net assets)/Supplemental Data:
Expenses*⁴		0.05%
Net investment income⁴		1.04%
Series portfolio turnover		48%

*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amount⁴:

		1.00%


	FOR THE YEAR ENDED 10/31/19			FOR THE YEAR ENDED 10/31/18
Ordinary income		$	3,116,908		$	3,065,404
Long-term capital gains			7,756,351			2,918,123


Cost for federal income tax purposes	$	51,775,918
Unrealized appreciation		14,008,852
Unrealized depreciation		(1,610,694	)


Net unrealized appreciation	$	12,398,158

Undistributed ordinary income	$	875,642
Undistributed long-term capital gains	$	5,316,181



Name:		Paul Battaglia*
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		41
Current Position(s) Held with Fund:		Principal Executive Officer, President, Chairman & Director
Term of Office & Length of Time Served:		Indefinite – Chairman and Director since November 2018¹
Principal Occupation(s) During Past 5 Years:		Chief Financial Officer (2018 – Present); Vice President of Finance (2016 – 2018); Director of Finance (2011 – 2016); Financial Analyst/Internal Auditor (2004-2006) – Manning & Napier Advisors, LLC and affiliates Holds one or more of the following titles for various affiliates: Chief Financial Officer
Number of Portfolios Overseen within Fund Complex:		32
Other Directorships Held Outside Fund Complex During		N/A
Past 5 Years:

Independent Directors

Name:		Stephen B. Ashley
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		79
Current Position(s) Held with Fund:		Director, Audit Committee Member, Governance & Nominating Committee Member
Term of Office & Length of Time Served:		Indefinite – Since 1996
Principal Occupation(s) During Past 5 Years:		Chairman, Director & Chief Executive Officer (1997 to present) - The Ashley Group (property management and investment). Director (1995-2008) and Chairman (non-executive) (2004-2008) - Fannie Mae (mortgage)
Number of Portfolios Overseen within Fund Complex:		32
Other Directorships Held Outside Fund Complex During		Fannie Mae (1995-2008)
Past 5 Years:		The Ashley Group (1995-2008)
		Genesee Corporation (1987-2007)

Name:		Paul A. Brooke
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		73
Current Position(s) Held with Fund:		Lead Independent Director, Audit Committee Member, Governance & Nominating Committee Chairman
Term of Office & Length of Time Served:		Indefinite – Director, Audit Committee Member, Governance & Nominating Committee Member since 2007; Governance & Nominating Committee Chairman since 2016; Lead Independent Director since 2017
Principal Occupation(s) During Past 5 Years:		Chairman & CEO (2005-2009) - Ithaka Acquisition Corporation (investments); Chairman (2007-2009) - Alsius Corporation (investments); Managing Member (1991-present) - PMSV Holdings LLC (investments); Managing Member (2010-2016) - Venbio (investments).
Number of Portfolios Overseen within Fund Complex:		32
Other Directorships Held Outside Fund Complex During		Incyte Corp. (biotech)(2000-present); ViroPharma, Inc. (speciality
Past 5 Years:		pharmaceuticals)(2000-2014); HLTH (WebMD)(information)(2000-2010); Cheyne Capital International (investment)(2000-2017); GMP Companies (investment)(2000-2011); Cytos Biotechnology Ltd (biotechnology)(2012-2014); Cerus (biomedical)(2016-present); PureEarth(non-profit)(2012-present); Caelum BioSciences (biomedical)(2018-present)


Name:		Peter L. Faber
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		81
Current Position(s) Held with Fund:		Director, Governance & Nominating Committee Member
Term of Office & Length of Time Served:		Indefinite – Since 1987
Principal Occupation(s) During Past 5 Years:		Senior Counsel (2006-2012), Partner (1995-2006 & 2013-present) -
		McDermott, Will & Emery LLP (law firm)
Number of Portfolios Overseen within Fund Complex:		32
Other Directorships Held Outside Fund Complex During Past 5 Years:		Boston Early Music Festival (non-profit)(2007-present); Amherst Early Music, Inc. (non-profit)(2009-present); Gotham Early Music Scene, Inc. (non-profit)(2009-present); Partnership for New York City, Inc. (non-profit)(1989-2010); New York Collegium (non-profit)(2004-2011); S’Cool Sounds, Inc. (non-profit)(2017-present)

Name:		Harris H. Rusitzky
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		84
Current Position(s) Held with Fund:		Director, Audit Committee Member, Governance & Nominating Committee Member
Term of Office & Length of Time Served:		Indefinite – Since 1985
Principal Occupation(s) During Past 5 Years:		President (1994- present) - The Greening Group (business consultants);
		Partner (2006-present) - The Restaurant Group (restaurants)
Number of Portfolios Overseen within Fund Complex:		32
Other Directorships Held Outside Fund Complex During Past 5 Years:		Rochester Institute of Technology (university)(1972-present); Culinary Institute of America (non-profit college)(1985-present); George Eastman House (museum)(1988-present); National Restaurant Association (restaurant trade organization)(1978-present)

Name:		Chester N. Watson
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		69
Current Position(s) Held with Fund:		Director, Audit Committee Chairman, Governance & Nominating Committee Member
Term of Office & Length of Time Served:		Indefinite – Director, Audit Committee Member, Governance & Nominating Committee Member Since 2012; Audit Committee Chairman since 2013
Principal Occupation(s) During Past 5 Years:		General Auditor (2003-2011) - General Motors Company (auto manufacturer)
Number of Portfolios Overseen within Fund Complex:		32
Other Directorships Held Outside Fund Complex During Past 5 Years:		Rochester Institute of Technology (university)(2005-present); Town of Greenburgh, NY Planning Board (municipal government) (2015-2018)

Officers:

Name:		Elizabeth Craig
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		32
Current Position(s) Held with Fund:		Corporate Secretary
Term of Office¹& Length of Time Served:		Since 2016
Principal Occupation(s) During Past 5 Years:		Fund Regulatory Administration Manager since 2018; Fund Administration Manager (2015-2018); Mutual Fund Compliance Specialist (2009-2015) - Manning & Napier Advisors, LLC; Assistant Corporate Secretary (2011-2016) - Manning & Napier Fund, Inc.


Name:		Christine Glavin
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		53
Current Position(s) Held with Fund:		Principal Financial Officer, Chief Financial Officer
Term of Office¹& Length of Time Served:		Principal Financial Officer since 2002; Chief Financial Officer since 2001
Principal Occupation(s) During Past 5 Years:		Director of Fund Reporting since 2011; Fund Reporting Manager (1997-2011) - Manning & Napier Advisors, LLC; Assistant Treasurer since 2008 - Exeter Trust Company; Chief Financial Officer (2017-2018) - Rainier Investment Management Mutual Funds, Inc.

Name:		Samantha Larew
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		39
Current Position(s) Held with Fund:		Chief Compliance Officer and Anti-Money Laundering Compliance Officer
Term of Office¹& Length of Time Served:		Chief Compliance Officer since 2019; Anti-Money Laundering Compliance Officer since 2018
Principal Occupation(s) During Past 5 Years:		Co-Director of Compliance (since 2018); Compliance Communications Supervisor (2014-2018); Compliance Supervisor (2011-2014); Broker-Dealer Compliance Analyst (2010-2014) - Manning & Napier Advisors, LLC and affiliates; Broker-Dealer Chief Compliance Officer (since 2013) – Manning & Napier Investor Services, Inc.; Compliance Analyst (2007-2009) – Wall Street Financial Group; Compliance Specialist (2003-2007) – Manning & Napier Advisors, LLC and affiliates Holds one or more of the following titles for various affiliates: Assistant Corporate Secretary, Chief Compliance Officer

Name:		Scott Morabito
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		31
Current Position(s) Held with Fund:		Vice President
Term of Office¹& Length of Time Served:		Vice President since 2019; Assistant Vice President (2017-2019)
Principal Occupation(s) During Past 5 Years:		Managing Director of Operations since 2019 and Director of Funds Group from 2017 - 2019; Fund Product and Strategy Manager (2014-2017); Senior Product and Strategy Analyst (2013-2014); Product and Strategy Analyst (2011-2013) - Manning & Napier Advisors, LLC; President, Director – Manning & Napier Investor Services, Inc. since 2018

Name:		Sarah Turner
Address:		290 Woodcliff Drive
		Fairport, NY 14450
Age:		37
Current Position(s) Held with Fund:		Chief Legal Officer; Assistant Corporate Secretary
Term of Office¹& Length of Time Served:		Since 2018
Principal Occupation(s) During Past 5 Years:		General Counsel since 2018 - Manning & Napier Advisors, LLC and affiliates; Counsel (2017-2018) – Harter Secrest and Emery LLP; Legal Counsel (2010-2017) – Manning & Napier Advisors, LLC and affiliates Holds one or more of the following titles for various affiliates: Corporate Secretary, General Counsel


		Independent Perspective \| Real-World Solutions


		Independent Perspective \| Real-World Solutions


By phone		1-800-466-3863
On the Securities and Exchange
Commission’s (SEC) web site		http://www.sec.gov


By phone		1-800-466-3863
On the SEC’s web site		http://www.sec.gov


	AVERAGE ANNUAL TOTAL RETURN AS OF OCTOBER 31, 2019
	ONE YEAR¹	SINCE INCEPTION²

Blended Asset Conservative Series - Class R6³	10.71%	4.68%

Bloomberg Barclays U.S. Intermediate Aggregate Bond Index⁴	8.83%	3.48%

Conservative Term Composite Benchmark⁵	10.38%	4.94%



Sector Allocation⁵

Financials			7.1%
Communication Services			6.8%
Health Care			4.9%
Energy			4.8%
Real Estate			4.7%
Consumer Discretionary			4.6%
Information Technology			4.1%
Industrials			3.5%
Consumer Staples			3.2%
Materials			1.3%
Utilities			0.2%

⁵Including common stocks and corporate bonds, as a percentage of total investments.



Top Five Stock Holdings⁶

Johnson & Johnson			0.8%
Medtronic plc			0.8%
Microsoft Corp.			0.6%
Mastercard, Inc. - Class A			0.6%
Novartis AG - ADR (Switzerland)			0.6%

⁶As a percentage of total investments.

Top Five Bond Holdings⁷

U.S. Treasury Note, 2.50%, 8/15/2023			6.1%
U.S. Treasury Inflation Indexed Note, 0.125%, 4/15/2020			3.9%
U.S. Treasury Note, 1.625%, 5/15/2026			3.0%
U.S. Treasury Note, 2.50%, 5/15/2024			3.0%
U.S. Treasury Note, 2.125%, 5/15/2025			2.9%

⁷As a percentage of total investments.



BLENDED ASSET CONSERVATIVE SERIES PRINCIPAL
	AMOUNT²/ SHARES		VALUE (NOTE 2)

U.S. GOVERNMENT SECURITIES - 2.0%

U.S. Treasury Bill - 2.0%
U.S. Treasury Bill¹⁰, 1.59%, 5/21/2020 (Identified Cost $1,585,859)		1,600,000	$	1,586,219


SHORT-TERM INVESTMENT - 1.0%

Dreyfus Government Cash Management, Institutional Shares, 1.73%¹¹ (Identified Cost $843,815)		843,815		843,815




	VALUE (NOTE 2)

TOTAL INVESTMENTS IN SECURITIES - 100.4% (Identified Cost $76,543,267)	$	79,934,998


TOTAL OPTIONS WRITTEN — 0.0%## (Premiums Received $7,662)		(12,928	)


TOTAL INVESTMENTS - 100.4%		79,922,070
LIABILITIES, LESS OTHER ASSETS - (0.4%)		(304,067	)


NET ASSETS - 100%	$	79,618,003



EXCHANGE-TRADED OPTIONS WRITTEN
DESCRIPTION	NUMBER OF CONTRACTS		EXPIRATION DATE		EXERCISE PRICE		NOTIONAL AMOUNT (000)²		VALUE
Call
Sea Ltd. - ADR		41		11/15/2019		$ 27.00		122		$(12,710)

Put
Electronic Arts, Inc.		9		11/01/2019		87.50		87		(18)
ServiceNow, Inc.		5		11/08/2019		200.00		124		(200)

										(218)

TOTAL EXCHANGE-TRADED OPTIONS WRITTEN (PREMIUMS RECEIVED $7,662)										$(12,928)


ASSETS:

Investments in securities, at value (identified cost $76,543,267) (Note 2)	$	79,934,998
Interest receivable		352,993
Receivable for securities sold		33,097
Dividends receivable		13,537
Foreign tax reclaims receivable		8,915
Receivable for fund shares sold		45


TOTAL ASSETS		80,343,585


LIABILITIES:

Accrued fund accounting and administration fees (Note 3)		25,693
Accrued management fees (Note 3)		8,430
Accrued Chief Compliance Officer service fees (Note 3)		687
Options written, at value (premiums received $7,662) (Note 2)		12,928
Payable for securities purchased		518,850
Payable for fund shares repurchased		117,928
Other payables and accrued expenses		41,066


TOTAL LIABILITIES		725,582


TOTAL NET ASSETS	$	79,618,003


NET ASSETS CONSIST OF:

Capital stock	$	69,019
Additional paid-in-capital		76,979,482
Total distributable earnings (loss)		2,569,502


TOTAL NET ASSETS	$	79,618,003


NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE - Class R6 ($79,618,003/6,901,896 shares)	$	11.54


INVESTMENT INCOME:

Interest	$	1,960,156
Dividends (net of foreign taxes withheld, $16,487)		490,328


Total Investment Income		2,450,484


EXPENSES:

Management fees (Note 3)		344,667
Fund accounting and administration fees (Note 3)		89,038
Directors’ fees (Note 3)		8,282
Chief Compliance Officer service fees (Note 3)		3,455
Audit fees		57,332
Custodian fees		14,101
Miscellaneous		32,999


Total Expenses		549,874
Less reduction of expenses (Note 3)		(162,123	)


Net Expenses		387,751


NET INVESTMENT INCOME		2,062,733


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:

Net realized gain (loss) on-
Investments in securities		(456,397	)
Options written		84,912
Foreign currency and translation of other assets and liabilities		(256	)


		(371,741	)


Net change in unrealized appreciation (depreciation) on-
Investments in securities		5,639,922
Options written		4,533
Foreign currency and translation of other assets and liabilities		87


		5,644,542


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		5,272,801


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	7,335,534



	FOR THE YEAR ENDED 10/31/19			FOR THE YEAR ENDED 10/31/18
INCREASE (DECREASE) IN NET ASSETS:

OPERATIONS:

Net investment income	$	2,062,733		$	2,519,701
Net realized gain (loss) on investments and foreign currency		(371,741	)		(1,292,031	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency		5,644,542			(2,062,771	)


Net increase (decrease) from operations		7,335,534			(835,101	)


DISTRIBUTIONS TO SHAREHOLDERS (Note 9):

Class R6		(2,530,275	)		(1,240,645	)


CAPITAL STOCK ISSUED AND REPURCHASED:

Net increase (decrease) from capital share transactions (Note 5)		(52,233,583	)		28,346,171


Net increase (decrease) in net assets		(47,428,324	)		26,270,425

NET ASSETS:

Beginning of year		127,046,327			100,775,902


End of year	$	79,618,003		$	127,046,327



	FOR THE YEAR ENDED						FOR THE PERIOD 10/13/17¹ TO 10/31/17
	10/31/19			10/31/18			FOR THE PERIOD 10/13/17¹ TO 10/31/17
Per share data (for a share outstanding throughout each period):
Net asset value - Beginning of period		$10.68			$10.85			$10.87
Income (loss) from investment operations:
Net investment income²		0.26			0.23			0.01
Net realized and unrealized gain (loss) on investments		0.85			(0.29	)		(0.03	)


Total from investment operations		1.11			(0.06	)		(0.02	)


Less distributions to shareholders:
From net investment income		(0.25	)		(0.11	)		—


Net asset value - End of period		$11.54			$10.68			$10.85


Net assets - End of period (000’s omitted)		$79,618			$127,046			$100,776


Total return³		10.61%			(0.52%	)		(0.18%	)
Ratios (to average net assets)/Supplemental Data:
Expenses*		0.45%			0.45%			0.45%	⁴
Net investment income		2.39%			2.13%			0.99%	⁴
Series portfolio turnover		88%			71%			5%

*The investment advisor did not impose all or a portion of its management and/or other fees during the period, and may have paid a portion of the Series’ expenses. If these expenses had been incurred by the Class, the expense ratio (to average net assets) would have increased by the following amounts:

		0.19%			0.11%			1.21%	⁴



Top Ten Stock Holdings⁷

Medtronic plc	1.2	%
Novartis AG - ADR (Switzerland)	1.2	%
Mastercard, Inc. - Class A	1.2	%
Microsoft Corp.	1.1	%
Visa, Inc. - Class A	1.1	%
Johnson & Johnson	1.1	%
Micron Technology, Inc.	1.1	%
Berkshire Hathaway, Inc. - Class B	0.9	%
lululemon athletica, Inc.	0.9	%
Nestle S.A. (Switzerland)	0.8	%
⁷As a percentage of total investments.


INVESTMENT INCOME:

Interest	$	1,873,553
Dividends (net of foreign taxes withheld, $39,014)		558,718


Total Investment Income		2,432,271


EXPENSES:

Management fees (Note 3)		428,748
Fund accounting and administration fees (Note 3)		92,693
Directors’ fees (Note 3)		8,932
Chief Compliance Officer service fees (Note 3)		3,455
Audit fees		55,152
Custodian fees		43,693
Miscellaneous		34,812


Total Expenses		667,485
Less reduction of expenses (Note 3)		(191,098	)


Net Expenses		476,387


NET INVESTMENT INCOME		1,955,884


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:

Net realized gain (loss) on-
Investments in securities		(244,079	)
Options written		145,547
Foreign currency and translation of other assets and liabilities		(4,122	)


		(102,654	)


Net change in unrealized appreciation (depreciation) on-
Investments in securities		8,220,238
Options written		3,613
Foreign currency and translation of other assets and liabilities		453


		8,224,304


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		8,121,650


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	10,077,534


	AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2019
	ONE YEAR¹	SINCE INCEPTION²

Blended Asset Extended Series - Class R6³	13.29%	5.63%

Bloomberg Barclays U.S. Aggregate Bond Index⁴	11.51%	4.26%

40/15/45 Blended Index⁵	12.71%	6.37%



Sector Allocation⁵
Communication Services			10.0%
Health Care			9.3%
Information Technology			9.1%
Consumer Staples			7.6%
Financials			7.0%
Consumer Discretionary			6.7%
Real Estate			4.2%
Energy			3.3%
Industrials			1.5%
Materials			0.7%
Utilities⁶			0.0%
⁵Including common stocks and corporate bonds, as a percentage of total investments. ⁶Less than 0.1%.



Top Ten Stock Holdings⁷

Medtronic plc			1.6%
Mastercard, Inc. - Class A			1.6%
Novartis AG - ADR (Switzerland)			1.6%
Johnson & Johnson			1.5%
Microsoft Corp.			1.5%
Visa, Inc. - Class A			1.4%
Micron Technology, Inc.			1.4%
Berkshire Hathaway, Inc. - Class B			1.2%
Nestle S.A. (Switzerland)			1.2%
lululemon athletica, Inc.			1.1%

⁷As a percentage of total investments.


INVESTMENT INCOME:

Interest	$	2,617,105
Dividends (net of foreign taxes withheld, $89,120)		1,243,581


Total Investment Income		3,860,686


EXPENSES:

Management fees (Note 3)		831,332
Fund accounting and administration fees (Note 3)		97,826
Directors’ fees (Note 3)		15,486
Chief Compliance Officer service fees (Note 3)		3,455
Custodian fees		47,437
Miscellaneous		102,427


Total Expenses		1,097,963
Less reduction of expenses (Note 3)		(183,498	)


Net Expenses		914,465


NET INVESTMENT INCOME		2,946,221


REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY:

Net realized gain (loss) on-
Investments in securities		(1,502,587	)
Options written		358,796
Foreign currency and translation of other assets and liabilities		(9,561	)

		(1,153,352	)


Net change in unrealized appreciation (depreciation) on-
Investments		16,181,429
Options written		8,856
Foreign currency and translation of other assets and liabilities		808


		16,191,093


NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY		15,037,741


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	17,983,962



	AVERAGE ANNUAL TOTAL RETURN AS OF OCTOBER 31, 2019
	ONE YEAR¹	SINCE INCEPTION²

Blended Asset Maximum Series - Class R6³	13.94%	8.05%

Russell 3000^® Index⁴	13.49%	10.17%

65/20/15 Blended Index⁵	13.01%	7.55%



Sector Allocation⁵
Consumer Staples	13.3	%
Consumer Discretionary	12.3	%
Information Technology	11.8	%
Health Care	11.3	%
Communication Services	10.9	%
Financials	10.9	%
Real Estate	4.3	%
Materials	4.3	%
Energy	3.6	%
Industrials	1.6	%
Utilities⁶	0.0	%
⁵Including common stocks and corporate bonds, as a percentage of total investments. ⁶Less than 0.1%.