SEI Institutional Managed Trust

SEI New ways.
New ansers.®
September 30, 2016
ANNUAL REPORT
SEI Institutional Managed Trust
Large Cap Fund
Large Cap Value Fund
Large Cap Growth Fund
Tax-Managed Large Cap Fund
S&P 500 Index Fund
Small Cap Fund
Small Cap Value Fund
Small Cap Growth Fund
Tax-Managed Small/Mid Cap Fund
Mid-Cap Fund
U.S. Managed Volatility Fund
Global Managed Volatility Fund
Tax-Managed Managed Volatility Fund
Real Estate Fund
Enhanced Income Fund
Core Fixed Income Fund
U.S. Fixed Income Fund
High Yield Bond Fund
Conservative Income Fund
Tax-Free Conservative Income Fund
Real Return Fund
Dynamic Asset Allocation Fund
Multi-Strategy Alternative Fund
Multi-Asset Accumulation Fund
Multi-Asset Income Fund
Multi-Asset Inflation Managed Fund
Multi-Asset Capital Stability Fund
Long/Short Alternative Fund
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The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarter of each fiscal year on Form N-Q within sixty days after the end of the period. The Trust’s Forms N-Q are available on the Commission’s website at http://www.sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-800-DIAL-SEI; and (ii) on the Commission’s website at http://www.sec.gov.

The Funds’ fiscal year — October 1, 2015 through September 30, 2016 — was notable for several key themes: energy-sector volatility spread to other areas of the market; major central-bank policies diverged, with the Federal Reserve (“Fed”) commencing rate increases while the European Central Bank (“ECB”), Bank of Japan (“BOJ”), Bank of England (“BOE”) and People’s Bank of China (“PBOC”) deepened their commitments to monetary accommodation; and, as a result of the diverging policies, major developed-market sovereign-bond yields continued to fall, with some edging into negative-rate territory. A vote (“Brexit”) by U.K. citizens in favor of leaving the European Union (“EU”) took place during the final third of the reporting period, briefly upending global financial markets and presenting major questions about how the relationship will be dissolved.

Severe unrest continued in certain areas of the Middle East, driven by the sometimes-opposing and sometimes-overlapping interests of Islamic State, the Syrian regime, Syrian nationalists, Kurdish forces and the Iraqi military. Regional superpowers Iran, Saudi Arabia and Turkey also applied varying degrees of indirect influence. Broader involvement escalated at the beginning of the period, with Russia’s airpower commitment and a redoubled coalition of Western powers targeting Islamic State after a series of attacks by religious extremists across the globe. Iraqi forces, supported by U.S. air and ground resources, began to make notable progress in reversing Islamic State gains as the reporting period progressed; at the same time, incidences of terrorism appeared to increase in Africa, Asia, Europe, the Middle East and North America. The latest Syrian ceasefire, established in mid-September 2016 and backed by U.S. and Russia to allow for humanitarian aid, only held for a few days, resulting in deteriorating cooperation between the U.S. and Russia. While the conflict that originated in Syria and Iraq appears to have influenced destabilizing events elsewhere around the globe, and taken a terrible human toll, it has not had a significant impact on global markets or the economy at this point.

It will be interesting, however, to see the ultimate effects of the ensuing Syrian migrant crisis on the EU. Immigration served as one of the key points of contention leading up to Great Britain’s Brexit vote in late June. U.K. Prime Minister David Cameron tendered his resignation as a result, Theresa May was appointed to the office, and a litany of questions entered the public dialogue on topics ranging from when the government would commence the formal withdrawal process to how negotiations would fare regarding trade agreements, and whether the immigration goals espoused by the Leave campaign would come to pass.

Immigration-driven ballot-box uncertainty has also taken center stage in the U.S. presidential election, where the leading primary candidates of the two major political parties — Hillary Clinton (Democrat) and Donald Trump (Republican) — faced off in their first televised debate just before the end of the reporting period.

Despite the considerable aforementioned instability in the Middle East, the price of oil remained mostly insulated from regional developments. Oil-price weakness, which persisted for the first third of the reporting period, remained primarily attributable to oversupply. Energy-export-dependent Venezuela succumbed to the economically depressive effects of low oil prices during the fiscal year. Food shortages and a breakdown of the rule of law appeared to worsen over the course of the fiscal year, despite a rebound in the price of oil. Brazil’s prospects also paled, and then recovered partially during the period, as a corruption investigation centering on its lead state-run oil company enveloped a cross-section of political leaders — culminating in the impeachment of President Dilma Rousseff. The Organization of Petroleum Exporting Countries (“OPEC”) reached an agreement in the weeks leading up to the end of the reporting period on the need for production cuts and cooperation from non-OPEC producers to effect a balanced market.

U.S. economic growth began to decelerate in the third quarter of 2015 (prior to the start of the reporting period), continuing into the fourth-quarter as industrial production and manufacturing came under pressure from the effects of U.S. dollar strength, and slowing further still during the first quarter of 2016. The second quarter saw a pickup, albeit a disappointing one relative to the same period in 2015. The labor market improved during the fiscal year; the unemployment rate started and finished the period at 5.0%, falling as low as 4.7% in May 2016, while the labor force participation rate increased from 62.5% to 62.9%. Average hourly earnings and real personal incomes gained with relative steadiness, bouncing around a rough mean of about 0.2% per month over the reporting period. The Fed raised its target interest rate in mid-December 2015 for the first time since 2006, leaving behind a near-zero rate that had been in place since late 2008.

Europe’s economic expansion continued along a steady, but modest, trajectory leading up to the reporting period and through the second quarter of 2016 (the latest available information), save for an uptick in the growth rate during the first quarter. The ECB’s introduction of a negative deposit rate and expansion of its asset-purchase program in early 2015 (prior to the start of the Funds’ fiscal year) was followed in March 2016 by a deeper foray into negative-rate territory and additional asset-purchase commitments. Despite concerns as the Brexit vote approached in late June 2016, second-quarter U.K. economic growth was the highest in some time, albeit by a small margin. Much of the U.K.’s economic data showed worsening conditions in the immediate aftermath of the vote, followed by a recovery. Sterling depreciated substantially in the vote’s immediate wake, and then again as the reporting period concluded. The BOE delivered a rate cut coupled with asset-purchase and term-funding programs at its early-August meeting.

In the Asia-Pacific region, Japan started the fiscal year with an economic contraction in the fourth quarter of 2015, followed by a convincing recovery in the first quarter of 2016 and slow growth in the second quarter. The yen began strengthening relative to the U.S. dollar in December 2015, and continued through late June 2016. The BOJ adopted a negative benchmark interest rate and expanded its asset-purchase program, while the government introduced a sizeable fiscal reform proposal focused on government spending. As the end of the period approached the BOJ announced its latest policy endeavor: keeping the 10-year Japanese government bond yield at 0% with a commitment to alter its bond-buying pace as needed to meet this goal. The BOJ also expressed its intention not only to achieve, but temporarily exceed, its target inflation level (currently 2%) to increase inflation expectations. China’s economic growth mostly held firm during the period; while the pace of growth was below that of recent years, it remained considerably higher than most other economies. The PBOC loosened its monetary-policy stance, reducing benchmark interest rates and bank-reserve requirements during the reporting period. The government’s decision to peg its currency (the renminbi) to a basket of currencies instead of just the U.S. dollar had significant global repercussions — especially given the implications for a potential rebalancing of global trade and uncertainty about potential future actions. The renminbi was set for addition to the International Monetary Fund’s special drawing rights currency basket immediately following the end of the reporting period.

Risk assets advanced from the start of the fiscal year following severe declines in summer 2015, when China moderately devalued its currency. As 2015 came to a close, the questionable health of U.S. energy companies (which was caused by a persistent multi-year oil-price decline) raised concerns among high-yield bond investors. This resulted in a selloff that likely discouraged investor risk appetite, keeping a lid on performance at year end. The beginning of 2016 was marked by a global flight to quality, benefitting safe-haven assets and driving risk assets to their low points for the period.

A trend reversal took place in mid-February, with risk assets rallying into April, followed by mixed performance until late June. The price of oil (and commodities in general) also advanced sharply from mid-February into June. The Brexit vote caused a major spike in global stock-market volatility, yields were driven downward to record levels on perceived safe-haven investments like developed-market government bonds, and the currencies at the center of the developments — sterling and the euro — weakened substantially relative to the U.S. dollar and yen. Most of the stock-market losses, however, were recovered within a week’s time. A general sideways trend defined the last few months of the period, barring a selloff in anticipation of the Fed’s September policy announcement, which was followed by a recovery.

The U.S. dollar ended the fiscal year 2.5% lower against a trade-weighted basket of major currencies, having been as much as 3.75% higher in late January, and 5% lower in early May. The dollar finished the reporting period about 0.8% higher versus a broad trade-weighted basket, however, with advances and declines that mirrored those against major currencies.

Second-quarter 2016 earnings declined for companies in the S&P 500 Index; although a large majority fared better than analysts’ late-quarter average estimates. The consumer discretionary sector delivered the highest year-over-year earnings growth for the second quarter, while the energy sector continued to lag with deep losses.

For the full reporting period, the MSCI All-Country World Index, a proxy for global equities, advanced 11.96% in U.S. dollar terms. The MSCI All-Country World ex USA Index rose by 9.26%, less than its U.S.-inclusive counterpart. Emerging-market equity returns were elevated in U.S. dollar terms, with the MSCI Emerging Markets Index increasing by 16.78%.

U.S. equity returns were strong; the S&P 500 Index returned 15.43% during the fiscal year. U.S. large caps (represented by the Russell 1000 Index) lagged small caps (represented by the Russell 2000 Index) by a bit, returning 14.93% and 15.47%, respectively. While U.S. large-cap performance trailed U.S. small caps and emerging markets over the one-year period, their outperformance relative to these equity markets as well as those in Europe, Japan and globally remained intact when annualized over three, five and ten years through the end of the reporting period.

Technology and materials were among the best-performing sectors in the U.S. and globally. Industrials rounded out the top three worldwide, while telecommunications matched technology’s top performance in the U.S. The poorest-performing sectors were identical both globally and within the U.S.: financials were universally the worst (the only global sector to produce a loss, and were positive in the U.S.), followed by healthcare and consumer discretionary.

Global fixed income, as measured by the Bloomberg Barclays Global Aggregate Bond Index, advanced 8.83% in U.S. dollar terms during the fiscal year. Interest rates generally declined during the reporting period, as major central banks outside of the U.S. guided benchmark rates downward (into negative territory in some cases) and expanded their asset-purchase programs.

U.S. Treasurys generally performed well as the yield curve flattened (bond yields move inversely to prices) and rates fell across most maturities, with only the yields on Treasurys with maturities shorter than three years increasing during the full reporting period.

U.S. investment-grade corporate debt performed well, but was outpaced by the high-yield market. The BofA Merrill Lynch US High Yield Constrained Index increased by 12.82% during the full fiscal year. Mortgage- and asset-backed securities also delivered positive returns during the reporting period.

Emerging-market debt delivered strong returns universally. The J.P. Morgan GBI Emerging Markets Global Diversified Index, which tracks local-currency-denominated emerging-market bonds, increased by 17.06% in U.S. dollar terms during the reporting period. The J.P. Morgan EMBI Global Diversified Index, which tracks emerging-market debt denominated in external currencies (such as the U.S. dollar), advanced by 16.20%.

A combination of subdued inflation and dollar strength began to ease during the reporting period, reducing headwinds to the performance of inflation-sensitive assets such as Treasury inflation-protected securities and commodities. The former outpaced comparable Treasurys over the full period, while the latter — which had dropped by almost 20% through mid-February, according to the TR/CC CRB Commodities Total Return Index — staged a steep recovery to end the fiscal year with a 3.6% decline.

There are many things over which investors can lose sleep, but as long as central banks pursue aggressively easy policies in a world mostly characterized by slow economic growth and mild inflation pressures, any pullback in the price of riskier assets should be limited.

In general (and especially as it pertains to the U.S.), we continue to view equity-market corrections as buy-on-the-dip opportunities. One reason for maintaining this point of view is our belief that the U.S. economy is on fairly solid ground. It’s true that growth in overall business activity continues to disappoint, but household finances are in good shape as a result of expanding employment and incomes as well as the bull market in stocks, bonds and home values. There is little reason to expect a serious slowing in consumer spending.

We also expect the change in business inventories — the most volatile part of gross domestic product (“GDP”), which has slowed in recent quarters — to rebound in the quarters ahead, supporting a reacceleration in overall U.S. GDP into the 2.5%-to-3.0% range.

Our main concern for the U.S. is weakness in business investment, which has negative implications for productivity. Slowing labor productivity growth and an acceleration in labor compensation growth is a bad combination. Since

companies have been unable to raise prices sufficiently, the downward pressure on profit margins appears chronic. As this pressure intensifies, we expect companies will become more aggressive in their attempts to push through price increases.

This uptick in inflation, combined with the tightening labor market and slow-but-steady pace of economic growth, seems to have tipped the balance in favor of a hike in the federal funds rate, probably in December. At their latest meeting, Fed policymakers finally conceded that interest-rate normalization will take years to accomplish, leaving little room to cut rates aggressively in the event of a recession. Investors remain skeptical that the central bank will even achieve its stated objective of pushing its policy rate to the upside. As a result, risk assets should continue to be well supported. Although equity valuations remain elevated, they still appear reasonable relative to those of high-quality bonds.

With regard to the U.K., many observers have been surprised by the resiliency of its economy, although it is way too soon to sound the all-clear. The BOE has pre-emptively cut its base rate to the lowest level in the multi-century history of the central bank, and restarted its quantitative-easing program and previously successful funding-for-lending scheme. On the fiscal policy side, the new Chancellor of the Exchequer scrapped his predecessor’s austerity plans and is expected to introduce a new budget that abandons any notion of achieving a budgetary surplus by the end of the current parliament. In all, U.K. economic policy has shifted dramatically toward easing well before the negative effects of Brexit can be felt. However, while no one knows what a final Brexit agreement will look like, we suspect it will be nowhere near the position being pushed forward by various U.K. leaders. Given this uncertainty, we think investment is likely to slow in the months ahead.

Eurozone exports and imports are in decline. Household spending is growing faster than other areas of the economy, as is the case in the U.S. and the U.K., but Europe’s consumer rebound remains considerably less robust in comparison with these two countries. Although the labor market has certainly improved over the past three years, the country-by-country levels remain wildly disparate. This is especially so for the youth unemployment rate.

We’re concerned that it’s just a matter time before another crisis tests the cohesion of the eurozone. ECB President Draghi knows he has a potential problem on his hands. He continues to reassure investors that the central bank has the will, the tools and the ability to improve the eurozone’s fortunes.

The Japanese economy still lacks momentum despite fiscal stimulus packages, structural reforms and extremely aggressive monetary-policy initiatives. Industrial output has trended lower over the past three years, hurt by the slowdown in global trade, and although the country’s merchandise trade balance has turned positive, this is merely the result of imports falling faster than exports.

On the positive side, housing construction is running near a cyclical high. The unemployment rate, which is structurally much lower than in other developed countries, dipped to 3.1%. Nominal wages remain stuck near zero, however, and inflation expectations have been nearly impossible to nudge to the upside. Our Asia-focused portfolio managers are heartened by improvements in corporate governance and the use of capital. Additionally, the latest fiscal-policy initiative is a significant one, with new spending amounting to ¥7.5 trillion. In the current fiscal year, stimulus is expected to reach 4.5% of GDP.

We think China’s economy will continue to reaccelerate in the near term. Although the country’s growth rate remains below trend, we are beginning to see an improving trajectory following two-and-a-half years of slowdown. The renminbi has depreciated steadily in the year to date, falling 7% against a basket of currencies and less than 3% against the greenback. While the depreciation of the renminbi has not reinvigorated exports, it appears to have stopped its two-year decline. Domestic economic growth in China has been relatively stable this year, with retail sales growing around 10% on a year-over-year basis and industrial output running at a 6% rate. Importantly, the country continues to evolve into a services-oriented economy, with that sector now accounting for more than half of GDP. Housing activity also has picked up. The question now becomes whether government economic policy flips back toward structural reform and economic rationalization and away from stimulus, given that business activity looks to be in a less fragile state than a year ago.

Before the global financial crisis, the U.S. and China were the primary growth engines of the world. Those engines are sputtering when compared to their pre-crisis performance. We think it’s possible that India eventually will become a third major engine of global growth. In the past year, its GDP growth was greater than China’s. While its population is nearly as large, India is growing faster and is much younger. As India institutes economic, financial and legal reforms, it has the potential to grow rapidly for a long time.

On behalf of SEI Investments, I want to thank you for your continued confidence. We are working every day to maintain that confidence, and we look forward to serving your investment needs in the future.

I. Objective

The Large Cap Fund (the “Fund”) seeks to provide long-term growth of capital and income.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment philosophies and strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. During the fiscal year ended September 30, 2016, the Fund utilized the following sub-advisers: AQR Capital Management, LLC, BlackRock Investment Management, LLC, Brandywine Global Investment Management, LLC, Coho Partners, Ltd., Jackson Square Partners, LLC, LSV Asset Management, Parametric Portfolio Associates LLC and Snow Capital Management, L.P. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Large Cap Fund, Class A, returned 10.15%. The Fund’s benchmark — the Russell 1000^® Index — returned 14.93%.

IV. Performance Discussion

The U.S. equity market began the reporting period with a short rally, led by cyclical stocks driven by decreasing concerns around a slowdown in emerging markets. The upbeat performance quickly turned into a nosedive at the turn of the New Year, as noted in the shareholder letter, after the Federal Reserve (“Fed”) raised rates for the first time in a decade. Despite the Fed’s interest-rate hike, the combination of renewed fears around a hard landing in the Chinese economy, commodity prices dropping to 30-year lows and falling rates in other developed markets pushed investors into low-volatility bond-proxy stocks in a global search for yield. As defensive and low-volatility stocks in the U.S. reached historically high valuations in February, government stimulus in China helped ease emerging-market growth concerns while oil prices found a floor. This was enough to restore investor confidence and spark a rally in cyclical stocks and commodity prices. Despite periods of volatility over the summer from Britain’s unexpected vote to leave the European Union and a moderation in commodity prices during the summer, the rally lasted through the rest of the period. From a sector perspective, technology and utilities were

the best-performing sectors. Technology benefited from increased earnings estimates and prospects of renewed growth late in the period and utilities benefited from a largely stability- and safety-oriented mindset for much of the period.

Losses stemmed from poor stock selection, which was concentrated in two sectors and most severe in healthcare. Within the healthcare sector, the portfolio was overweight the weakest industries (biotech) while underweight the best-performing industries (healthcare equipment and supplies). Biotech stocks sold off due to political pressure on the entire healthcare sector as well as sector-wide scandals. The portfolio’s consumer discretionary stocks also had very poor performance, with losses stemming from retailing sectors. The portfolio’s heavy overweight to airline stocks (from value managers) also detracted from performance as the industry sold off.

From a sub-adviser perspective, stability-oriented value manager Coho benefited from the aforementioned stability- and safety-oriented environment, which created a large tailwind for its process. Snow, our concentrated deep-value manager, struggled as mean-reversion value had a very tough cyclical headwind early in the period. Because value stocks suffered for much of the period, Snow’s selection was poor in multiple sectors. The manager’s overweight to consumer discretionary and financial stocks also detracted as both sectors sold off due to poor outlook and sentiment during the period. It is worth noting that these cyclical trends in the market reversed in the past few months, with Coho’s performance fading while Snow’s recovered materially. Brandywine, another fundamental deep-value manager, also suffered notably due to the same stylistic preferences that hurt Snow. Selection drove losses and was spread across multiple sectors while an overweight to airlines and consumer discretionary stocks further detracted. LSV faced similar headwinds, with poor selection across multiple sectors and an overweight to airlines. SIMC’s factor-based allocation also struggled for the period as its traditional leanings to value and momentum faced stylistic headwinds. AQR also underperformed the benchmark as the manager had value tilts during the period, exposing the manager to similar headwinds as the value managers. Jackson Square Partners, our concentrated quality-growth manager, struggled the most due not only to having stylistic growth headwinds in the stability-led market, but a few costly stock-specific calls, notably with Valeant Pharmaceuticals, which represented a large portion of its losses for the period. Blackrock

underperformed due to poor results within healthcare stocks, which underperformed throughout the year as industry scandals involving over-the-top drug pricing and research scares gave investors an excuse to sell out of the sector. Poor selection within the technology and retail sectors also dragged down the manager’s performance.


AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Annualized Inception to Date

Large Cap Fund, Class A		10.15%		8.18%		14.83%		11.48%

Large Cap Fund, Class Y		10.50%		8.34%		14.94%		11.55%

Russell 1000^® Index		14.93%		10.78%		16.41%		13.24%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Fund, Class A and Class Y, versus the Russell 1000^® Index

LOGO

For the period ended 9/30/16. Past performance is no indication of future performance. Class A shares were offered beginning 9/30/09. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class A shares. Returns for Class Y shares are substantially similar to those of Class A shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class A shares. Returns for Class Y shares are substantially similar to those of Class A shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class A shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Large Cap Value Fund (the “Fund”) seeks to provide long-term growth of capital and income.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment philosophies and strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ended September 30, 2016: AQR Capital Management, LLC, Brandywine Global Investment Management, LLC, Coho Partners, Ltd., LSV Asset Management, Parametric Portfolio Associates LLC and Snow Capital Management L.P.

Sub-adviser AJO L.P. was removed from the Fund during the period, while AQR Capital Management, LLC was added.

III. Returns

For the fiscal year ended September 30, 2016, the Large Cap Value Fund, Class A, returned 10.16%. The Fund’s benchmark — the Russell 1000^® Value Index — returned 16.20%.

IV. Performance Discussion

The U.S. equity market began the reporting period with a short rally, led by cyclical stocks driven by decreasing concerns around a slowdown in emerging markets. The upbeat performance quickly turned into a nosedive during the turn of the New Year, as noted in the shareholder letter, after the Federal Reserve (“Fed”) raised rates for the first time in a decade. Despite the Fed’s interest-rate hike, the combination of renewed fears around a hard landing in the Chinese economy, commodity prices dropping to 30-year lows and falling rates in other developed markets pushed investors into low-volatility bond-proxy stocks in a global search for yield. As defensive and low-volatility stocks in the U.S. reached historically high valuations in February, government stimulus in China helped ease emerging-market growth concerns while oil prices found a floor. This was enough to restore investor confidence and spark a rally in cyclical stocks and commodity prices. Despite periods of volatility over the summer from Britain’s unexpected vote to leave the European Union and a moderation in commodity prices during the summer, the rally lasted through the rest of the period.

From a sector perspective, technology and utilities were the best-performing sectors. Technology benefited from increased earnings estimates and prospects of renewed growth late in the period and utilities benefited from a largely stability- and safety-oriented mindset for much of the period.

Stock selection was poor in all sectors. Within industrials, an overweight to a weak airlines industry took a significant toll on performance. Within healthcare, an overweight to biotechs and an underweight to healthcare equipment stocks detracted from performance. Biotech stocks sold off due to political pressure on the sector and multiple sector-wide scandals. Consumer discretionary was also a major detractor given the portfolio’s overweight to a slowing automotive industry and poor selection in retail stocks. The portfolio’s overweight to banks was also a big detractor. Banks continued to suffer from weak growth and a low-rate environment that progressively worsened throughout the period.

From a sub-adviser perspective, stability-oriented value manager Coho benefited from the aforementioned stability- and safety-oriented environment, which created a large tailwind for its process. Coho was the only manager to outperform the benchmark during the period. Snow, our concentrated deep-value manager, struggled the most as mean-reversion value had a very tough cyclical headwind early in the period. Because value stocks suffered for much of the period, Snow’s selection was poor in multiple sectors. The manager’s overweight to consumer discretionary and financial stocks also detracted as both sectors sold off due to poor outlook and sentiment during the period. It is worth noting that these cyclical trends in the market reversed in the past few months, with Coho’s performance fading while Snow’s recovered materially. Brandywine, another fundamental deep-value manager, also suffered notably due to the same stylistic preferences that hurt Snow. Selection drove losses that were spread across multiple sectors, while an overweight to airlines and consumer discretionary stocks further detracted. SIMC’s factor-based allocation was affected by value headwinds during the period as well. Selection was poor in the energy and information technology sectors, and an underweight to energy stocks also detracted a bit when the sector rebounded during the period. AJO and LSV had poor selection across multiple sectors and were both overweight airlines. The two managers, along with AQR Momentum, also underperformed in energy stocks.


AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Average Annual 10-Year Return		Annualized Inception to Date

Large Cap Value Fund, Class A†		10.16%		7.02%		14.42%		4.62%		8.08%

Large Cap Value Fund, Class I†		9.93%		6.77%		14.17%		4.38%		8.32%

Large Cap Value Fund, Class Y		N/A		N/A		N/A		N/A		2.88%*

Russell 1000^® Value Index		16.20%		9.70%		16.15%		5.85%		9.73%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Value Fund, Class A and Class I, versus the Russell 1000^® Index

LOGO

For the period ended 9/30/16. Past performance is no indication of future performance. Class A Shares were offered beginning 10/3/94 and Class I Shares were offered beginning 8/6/01. The performance of Class I Shares prior to 8/6/01 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Class Y shares were offered beginning 10/3/15 and therefore do not have performance history for a full year. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

^† The graph is based on only Class A and Class I Shares; Returns for Class Y shares are substantially similar to those of Class A shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class A shares.

* Cumulative inception to date as of September 30, 2016.

N/A — Not available

I. Objective

The Large Cap Growth Fund (the “Fund”) seeks to provide capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment philosophies and strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ended September 30, 2016: BlackRock Investment Managers, LLC, Jackson Square Partners, LLC and Parametric Portfolio Associates LLC. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Large Cap Growth Fund, Class A, returned 9.77%. The Fund’s benchmark — the Russell 1000^® Growth Index — returned 13.76%.

IV. Performance Discussion

largely stability- and safety-oriented mindset for much of the period.

The Fund was prominently overweight technology stocks as the sector presented higher-growth opportunities with some of the fastest-growing stocks; the overweight was beneficial as technology was one of the best-performing sectors during the period. Stock selection within the sector was positive mainly due to Jackson Square, which preferred the largest and fastest-growing technology stocks such as Facebook and Google, which saw double-digit returns over the period as internet usage and reliance from the general population grew. Selection within tech was dragged down by selection within other sectors. Selection within healthcare was weak due to negative sentiment within the sector from political pressure and poor mergers and acquisition results in some portfolio holdings. Selection within consumer discretionary stocks was poor in retail sectors.

From a sub-adviser perspective, all of the managers underperformed for the period, facing strong stylistic headwinds to earnings revisions, momentum and forward-looking growth prospects. SIMC’s factor-based allocation lagged by the least, benefiting from its risk-managed process and broader diversification relative to the other managers. Jackson Square Partners, our concentrated quality-growth manager, struggled due not only to stylistic headwinds to growth in the stability-led market, but also a few costly stock-specific calls, notably with Valeant Pharmaceuticals, which represented a large portion of its losses for the period. Blackrock also underperformed due to poor results within healthcare stocks, which underperformed throughout the year as industry scandals involving over-the-top drug pricing and research scares gave investors an excuse to sell out of the sector. Poor selection within the technology and retail sectors also dragged down the manager’s performance.


AVERAGE ANNUAL TOTAL RETURN¹

	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Average Annual 10-Year Return		Annualized Inception to Date

Large Cap Growth Fund, Class A†		9.77%		8.95%		14.76%		7.28%		7.84%

Large Cap Growth Fund, Class I†		9.54%		8.72%		14.51%		7.04%		7.52%

Large Cap Growth Fund, Class Y		N/A		N/A		N/A		N/A		1.58%*

Russell 1000^® Growth Index		13.76%		11.83%		16.60%		8.85%		8.89%

Comparison of Change in the Value of a $100,000 Investment in the Large Cap Growth Fund, Class A and Class I, versus the Russell 1000^® Index

LOGO

For the period ended 9/30/16. Past performance is no indication of future performance. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 8/6/01. The performance of Class I Shares prior to 8/6/01 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Class Y shares were offered beginning 10/30/15 and therefore do not have performance history for a full year. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

^† The graph is based on only Class A and Class I Shares. Returns for Class Y shares are substantially similar to those of Class A shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class A shares.

* Cumulative inception to date as of September 30, 2016.

N/A — Not available

I. Objective

The Tax-Managed Large Cap Fund (the “Fund”) seeks to provide high, long-term after-tax returns.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ended September 30, 2016: AQR Capital Management, LLC, BlackRock Investment Management LLC, Brandywine Global Investment Management, LLC, Coho Partners, Ltd., Jackson Square Partners, LLC, LSV Asset Management, Parametric Portfolio Associates LLC and Snow Capital Management, LP. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Tax-Managed Large Cap Fund, Class A, returned 9.42%. The Fund’s benchmark — the Russell 1000^® Index — returned 14.93%.

IV. Performance Discussion

performed well during the period. Technology benefited from increased earnings estimates and prospects of renewed growth late in the period, while utilities benefited from what a largely stability- and safety-oriented mindset for much of the period.

Losses stemmed from poor stock selection, which was concentrated in two sectors and most severe in healthcare. Within the healthcare sector, the portfolio was overweight the weakest industries (biotech) while underweight the best-performing industries (healthcare equipment and supplies). Biotech stocks sold off due to political pressure on the entire healthcare sector and sector-wide scandals. The portfolio’s consumer discretionary stocks also had very poor performance, with losses stemming from retailing sectors. The portfolio’s heavy overweight to airline stocks (from value managers) also detracted from performance as the industry sold off.

From a sub-adviser perspective, stability-oriented value manager Coho did best due to the aforementioned stability- and safety-oriented environment that created a large tailwind for its process. Snow, our concentrated deep-value manager, struggled as mean-reversion value had a very tough cyclical headwind early in the period. Because value stocks suffered for much of the period, Snow’s selection was poor in multiple sectors. The manager’s overweight to financial stocks also detracted as the sector sold off due to poor outlook and sentiment during the period. It is worth noting that these cyclical trends in the market reversed in the past few months, with Coho’s performance fading while Snow’s recovered materially. Brandywine, another fundamental deep-value manager, also suffered notably due to the same stylistic preferences that hurt Snow. Selection drove losses that were spread across multiple sectors, while overweights to airlines and financial stocks further detracted. LSV faced similar headwinds, with poor selection across multiple sectors and an overweight to airlines. SIMC’s factor-based allocation also struggled for the period as its traditional leanings to value and momentum faced stylistic headwinds. AQR also underperformed the benchmark as the manager had value tilts during the period, exposing the manager to similar headwinds as value managers. Jackson Square Partners, our concentrated quality-growth manager, struggled the most due not only to having stylistic headwinds to growth in the stability-led market, but also a few costly stock-specific calls, notably with Valeant Pharmaceuticals, which represented a large portion of its losses for the period. Blackrock underperformed due to poor results within healthcare

stocks, which underperformed throughout the year as industry scandals involving over-the top-drug pricing and research scares gave investors an excuse to sell out of the sector. Poor selection within the technology and retail sectors also dragged down the manager’s performance.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Average Annual 10-Year Return		Annualized Inception to Date

Tax-Managed Large Cap Fund, Class A		9.42%		8.05%		14.91%		6.09%		4.94%

Tax-Managed Large Cap Fund, Class Y		9.75%		8.21%		15.01%		6.13%		4.96%

Russell 1000^® Index		14.93%		10.78%		16.41%		7.40%		6.26%

Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Large Cap Fund, Class A and Class Y, versus the Russell 1000^® Index

LOGO

For the period ended 9/30/16. Past performance is no indication of future performance. Class A Shares were offered beginning 3/5/98. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class A shares. Returns for Class Y shares are substantially similar to those of Class A shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class A shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The S&P 500 Index Fund (the “Fund”) seeks to provide investment results that correspond to the aggregate price and dividend performance of the securities in the S&P 500 Index.

II. Investment Approach

During the fiscal year ended September 30, 2016, the Fund used a single sub-adviser, State Street Global Advisors (“SSgA”), under the general supervision of SEI Investments Management Corporation (SIMC). No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the S&P 500 Index Fund, Class A, returned 14.93%. The Fund’s benchmark — the S&P 500 Index — returned 15.43%.

IV. Performance Discussion

The Fund achieved its objective of tracking, before fees and expenses, the performance of the S&P 500 Index.

what was a largely stability- and safety-oriented mindset for much of the period.

Derivatives may be used within the Fund to provide increased efficiency at handling cash flows for replicating the Fund’s benchmark exposures. They are not used for speculation purposes.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Average Annual 10-Year Return		Annualized Inception to Date

S&P 500 Index Fund, Class A†		14.93%		10.71%		15.91%		6.83%		7.65%

S&P 500 Index Fund, Class E†		15.14%		10.91%		16.13%		7.02%		10.31%

S&P 500 Index Fund, Class I†		14.67%		10.46%		15.66%		6.59%		7.17%

S&P 500 Index Fund, Class Y		N/A		N/A		N/A		N/A		6.19%*

S&P 500 Index		15.43%		11.16%		16.37%		7.24%		8.09%

Comparison of Change in the Value of a $100,000 Investment in the S&P 500 Index Fund, Class A and Class I, versus the S&P 500 Index

LOGO

Comparison of Change in the Value of a $5,000,000 Investment in the S&P 500 Index Fund, Class E, versus the S&P 500 Index

LOGO

For the year ended September 30, 2016. Past performance is not an indication of future performance. Class A shares were offered beginning 2/28/96. Class E Shares were offered beginning 7/31/85. Class I Shares were offered beginning 6/28/02. Class Y shares were offered beginning 10/30/15 and therefore do not have performance history for a full year. The performance of Class I Shares prior to 6/28/02 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Effective 7/31/97, the Board of Trustees approved the renaming of Class A and Class E shares to Class E and Class A shares, respectively. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and reimbursements, performance would have been lower.

^† The graph is based on only Class A, Class E and Class I Shares. Returns for Class Y shares are substantially similar to those of Class A shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class A shares.

* Cumulative return as of inception date, which was October 30, 2015.

N/A — Not available

I. Objective

The Small Cap Fund (the “Fund”) seeks to provide capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ended September 30, 2016: AllianceBernstein, L.P., AQR Capital Management, LLC, EAM Investors, LLC, Falcon Point Capital, LLC, Integrity Asset Management, LLC, Mesirow Financial Equity Management, Parametric Portfolio Associates LLC, Robeco Investment Management, Inc., Snow Capital Management, LP and State Street Global Advisors.

Mesirow Financial Equity Management changed its name from Fiduciary Management Associates, LLC following an acquisition by Mesirow Financial Investment Management, Inc. during the period.

Sub-advisers Integrity Asset Management, LLC and State Street Global Advisors were terminated from the Fund, while Falcon Point Capital, LLC and SIMC were added during the period.

III. Returns

For the fiscal year ended September 30, 2016, the Small Cap Fund, Class A, returned 7.76%. The Fund’s benchmark — the Russell 2000 Index — returned 15.47%.

IV. Performance Discussion

to restore investor confidence and spark a rally in cyclical stocks and commodity prices. Despite periods of volatility over the summer from Britain’s unexpected vote to leave the European Union and a moderation in commodity prices during the summer, the rally lasted through the rest of the period.

From a sector perspective, materials, utilities and technology were the best performers; utilities did well during the first half of the period and materials and technology rebounded during the second half. Other yield-producing sectors (including real estate and telecommunications) performed well during the beginning of the period, but faded in the second half as other cyclical sectors (energy and industrials) picked up. All four sectors remained in the middle of the pack in terms of performance at the end of the period. Consumer discretionary was the worst-performing sector as traditional retailers, facing a challenge from online shopping, came under increased pressure.

The Fund’s underweight to healthcare in February and underweight to a poorly-performing consumer discretionary sector helped, while selection within technology, industrials and healthcare hurt. Information technology and industrials were the greatest detractors due to poor stock selection within both sectors. Within industrials, machinery was the most significant detractor while software was the largest detractor for tech stocks.

AQR Stability and SEISIMC’s factor-based allocation were the best performing managers during the period, although both managers were added only in the first quarter of the year, along with Falcon Point. SIMC’s factor-based allocation outperformed the benchmark in materials and financials stocks but underperformed in energy and healthcare stocks. Overall, the strategy underperformed the benchmark during the period. Snow was the weakest performer due to poor selection in industrials, healthcare and energy. Performance for other managers was mixed. Despite the value tailwind during much of 2016, value managers FMA and Robeco generally struggled, mostly due to selection.


AVERAGE ANNUAL TOTAL RETURN¹

		Annualized	Annualized	Annualized
	1 Year Return	3 Year Return	5 Year Return	Inception to Date

Small Cap Fund, Class A	7.76%	3.91%	14.06%	10.52%

Small Cap Fund, Class Y	8.08%	4.07%	14.16%	10.59%

Russell 2000 Index	15.47%	6.71%	15.82%	12.48%

I. Objective

The Small Cap Value Fund (the “Fund”) seeks to provide capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ending September 30, 2016: AQR Capital Management, LLC, Cardinal Capital Management LLC, LMCG Investments, LLC, LSV Asset Management, Martingale Asset Management, L.P., Mesirow Financial Equity Management, Inc., Parametric Portfolio Associates LLC, Robeco Investment Management, Inc., Security Capital Research + Management Incorporated, Snow Capital Management, L.P. and William Blair + Company, LLC.

Mesirow Financial Equity Management changed its name from Fiduciary Management Associates, LLC following an acquisition by Mesirow Financial Investment Management, Inc. during the period.

Sub-advisers LMCG Investments, LLC, Martingale Asset Management, L.P., Security Capital Research + Management Incorporated and William Blair + Company, LLC were terminated from the Fund during the period, while AQR Capital Management, LLC, Cardinal Capital Management LLC, Snow Capital Management, LP and SIMC were added during the period.

III. Returns

For the fiscal year ended September 30, 2016, the Small Cap Value Fund, Class A, returned 11.60%. The Fund’s benchmark — the Russell 2000^® Value Index — returned 18.81%.

IV. Performance Discussion

other developed markets pushed investors into low-volatility bond-proxy stocks in a global search for yield. As defensive and low-volatility stocks in the U.S. reached historically high valuations in February, government stimulus in China helped ease emerging-market growth concerns while oil prices found a floor. This was enough to restore investor confidence and spark a rally in cyclical stocks and commodity prices. Despite periods of volatility over the summer from Britain’s unexpected vote to leave the European Union and a moderation in commodity prices during the summer, the rally lasted through the rest of the period.

Materials, technology and industrials were the best-performing sectors as the risk-on rally during the second half of the period helped propel them to the top of the list. Consumer discretionary was the worst-performing sector as consumer confidence wavered and traditional retailers came under pressure from the increasing use of online retailers

From a sector perspective, the Fund outperformed the benchmark in financials but underperformed in all other sectors. Within financials, an underweight to banks and an overweight to consumer financials helped drive portfolio performance. An overweight to cyclical sectors including industrials, materials and energy helped, but poor selection led to large losses within those sectors. Within industrials and materials, selection was extremely poor in machinery and metals and mining stocks. Healthcare was a large detractor due to poor selection in healthcare providers and services. Selection was also poor across the entire technology sector.

All managers underperformed the benchmark due mostly to poor stock selection. LSV was the best-performing manager during the period. Both Snow and FMA suffered from weak selection despite the value tailwind that emerged during the second half of the period. Quantitative-value managers LSV and SIMC’s factor-based allocation fared better, as they were able to capture more of the value tailwind with their strategies. SIMC underperformed due to poor selection within healthcare, industrials and materials stocks. Within industrials, poor performance stemmed from selection within aerospace, machinery and professional services companies. During the first quarter, LMCG, William Blair, Security and Martingale were removed and replaced with Snow Capital, SIMC’s factor-based allocation, AQR Stability and Cardinal.


AVERAGE ANNUAL TOTAL RETURN¹

		Average	Average	Average
		Annual	Annual	Annual	Annualized
	One Year	3-Year	5-Year	10-Year	Inception
	Return	Return	Return	Return	to Date

Small Cap Value Fund, Class A^†	11.60%	5.01%	13.97%	5.54%	9.90%

Small Cap Value Fund, Class I^†	11.34%	4.76%	13.73%	5.30%	9.58%

Small Cap Value Fund, Class Y	N/A	N/A	N/A	N/A	6.04%*

Russell 2000^® Value Index	18.81%	6.77%	15.45%	5.78%	10.51%

Comparison of Change in the Value of a $100,000 Investment in the Small Cap Value Fund, Class A and Class I, versus the Russell 2000^® Index

LOGO

For the period ended 9/30/16. Past performance is no indication of future performance. Class A Shares were offered beginning 12/20/94 and Class I Shares were offered beginning 2/11/02. The performance of Class I Shares prior to 2/11/02 is calculated using the performance of the fund’s Class A Shares adjusted for the higher expenses of the Class I Shares. Class Y shares were offered beginning 10/30/15 and therefore do not have performance history for a full year. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and reimbursements, performance would have been lower.

^† The graph is based on only Class A and Class I Shares. Class Y shares were offered beginning 10/30/15 and therefore do not have performance history for a full year.

* Cumulative inception to date as of September 30, 2016.

N/A — Not available

I. Objective

The Small Cap Growth Fund (the “Fund”) seeks to provide long-term capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ending September 30, 2016: AllianceBernstein, L.P., AQR Capital Management, LLC, Arrowpoint Asset Management, LLC, Axiom International Investors LLC, EAM Investors LLC, Falcon Point Capital, LLC, J.P. Morgan Investment Management Inc., Parametric Portfolio Associates LLC, and State Street Global Advisors.

Sub-advisers AQR Capital Management, LLC, J.P. Morgan Investment Management Inc., and State Street Global Advisors were terminated from the Fund, while Axiom International Investors LLC, Falcon Point Capital, LLC and SIMC were added to the Fund during the period.

III. Returns

For the fiscal year ended September 30, 2016, the Small Cap Growth Fund, Class A, returned 8.50%. The Fund’s benchmark — the Russell 2000^® Growth Index — returned 12.12%.

IV. Performance Discussion

of volatility over the summer from Britain’s unexpected vote to leave the European Union and a moderation in commodity prices during the summer, the rally lasted through the rest of the period.

From a sector perspective, materials, technology and the new real estate sector (which was previously a subset of the financial sector) were the best performers. The risk-on rally during the second half of the period helped propel technology and materials to the top of the list, while real estate benefited from the market’s thirst for yield and safety, as well as strong fundamentals in the U.S. housing. Consumer discretionary was the worst-performing sector as traditional retailers, facing a challenge from online shopping, came under increased pressure.

The Fund underperformed the benchmark primarily due to stock selection across consumer discretionary, technology and healthcare. Technology was the largest detractor due to poor stock selection lagging strong returns in the software industry. Within healthcare, an underweight to biotech stocks helped, but poor selection more than offset the contributions from the weighting effects.

All managers except Arrowpoint underperformed the benchmark. Axiom was the worst-performing manager due to poor selection and its momentum orientation, which exposed the portfolio to defensive (but expensive) portions of the market that were left behind when cyclicals rallied. EAM, the Fund’s other momentum manager, also underperformed due to momentum exposure and poor selection in technology and healthcare stocks. Arrowpoint outperformed the benchmark due to an underweight to healthcare and selection within healthcare and technology. Arrowpoint was also underweight the highest-momentum stocks, which contributed to performance. SIMC’s factor-based allocation underperformed due primarily to poor selection, especially within healthcare exposures to technology and biotech stocks. Performance in other sectors was also generally poor as a result of selection. Only the materials sector contributed to performance due to strong selection in chemicals stocks.


AVERAGE ANNUAL TOTAL RETURN¹

		Annualized	Annualized	Annualized	Annualized
	1 Year	3 Year	5 Year	10 Year	Inception
	Return	Return	Return	Return	to Date

Small Cap Growth Fund, Class A^†	8.50%	5.43%	15.34%	5.48%	8.89%

Small Cap Growth Fund, Class I^†	8.25%	5.16%	15.06%	5.21%	8.57%

Small Cap Growth Fund, Class Y	N/A	N/A	N/A	N/A	4.37%*

Russell 2000^® Growth Index	12.12%	6.58%	16.15%	8.29%	7.53%

Comparison of Change in the Value of a $100,000 Investment in the Small Cap Growth Fund, Class A and Class I, versus the Russell 2000^® Growth Index.

LOGO

For the period ended 9/30/16. Past performance is not an indication of future performance. Class A shares were offered beginning 4/20/92 and Class I shares were offered beginning 8/6/01. Class I shares performance for the period prior to 8/6/01 is derived from the performance of Class A shares adjusted for the higher expenses of Class I shares. Class Y shares were offered beginning 10/30/15 and therefore do not have performance history for a full year. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/ or reimbursements, performance would have been lower.

^†	The graph is based on only Class A and Class I Shares. Returns for Class Y shares are substantially similar to those of Class A shares and differ only to the extent that Class Y shares have lower total annual fund operating expenses than Class A shares.

*	Cumulative inception to date as of October 30, 2015.

N/A — Not available

I. Objective

The Tax-Managed Small/Mid Cap Fund (the “Fund”) seeks to provide high, long-term after-tax returns.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ending September 30, 2016: AllianceBernstein, L.P., AQR Capital Management, LLC, Cardinal Capital Management LLC, CastleArk Management, LLC, LMCG Investments, LLC, Mesirow Financial Investment Management, Inc., Parametric Portfolio Associates LLC, Snow Capital Management LP and William Blair + Company, LLC.

Mesirow Financial Equity Management changed its name from Fiduciary Management Associates, LLC following an acquisition by Mesirow Financial Investment Management, Inc. during the year.

Sub-advisers LMCG Investments, LLC and William Blair + Company, LLC were terminated from the Fund, while sub-advisers AQR Capital Management, LLC and Cardinal Capital Management LLC were added to the Fund during the year.

III. Returns

For the fiscal year ended September 30, 2016, the Tax-Managed Small/ Mid Cap Fund, Class A, returned 8.55%. The Fund’s benchmark — the Russell 2500^® Index — returned 14.44%.

IV. Performance Discussion

stimulus in China helped ease emerging-market growth concerns while oil prices found a floor. This was enough to restore investor confidence and spark a rally in cyclical stocks and commodity prices. Despite periods of volatility over the summer from Britain’s unexpected vote to leave the European Union and a moderation in commodity prices during the summer, the rally lasted through the rest of the period.

Materials, utilities and real estate performed well during the period. Materials rebounded along with the commodity rally, while the dividend-yielding sectors utilities and real estate benefited from the global search for yield. Consumer discretionary was the weakest-performing sector due to headwinds from a decrease in consumer confidence and increasing competition from online retailers.

Relative to the benchmark, the portfolio outperformed in both consumer sectors by being underweight consumer discretionary and overweight consumer staples. However, the Fund underperformed mostly due to stock selection in multiple sectors, including healthcare, industrials, information technology, materials and energy. Within healthcare, overweights to providers and services were primarily responsible for underperformance within the sector. Within industrials, selection was poor across most industries.

The Fund’s value managers detracted most. Snow Capital suffered due to poor stock selection. FMA also underperformed its value benchmark due to a combination of stock selection and an overweight to momentum stocks, which largely consisted of dividend-paying stocks that sold off as defensives fell out of favor. Growth managers detracted less on a relative basis, underperforming primarily due to stock-specific reasons. Similar to Mesirow, the same headwinds that caused momentum stocks to sell off also detracted from CastleArk’s performance, as CastleArk has more exposure to dividend-paying stocks. The SIMC’s factor-based allocation was the worst performing strategy, with losses from selection spread across multiple factors. The strategy’s value-based tilts detracted from performance.


AVERAGE ANNUAL TOTAL RETURN¹

		Average	Average	Average
		Annual	Annual	Annual	Annualized
	One Year	3-Year	5-Year	10-Year	Inception
	Return	Return	Return	Return	to Date

Tax-Managed Small/Mid Cap Fund, Class A	8.55%	5.79%	14.46%	6.10%	6.39%

Tax-Managed Small/Mid Cap Fund, Class Y	8.79%	5.92%	14.55%	6.14%	6.42%

Russell 2500^® Index	14.44%	7.77%	16.30%	7.94%	8.22%

I. Objective

The Mid-Cap Fund (the “Fund”) seeks to provide long-term capital appreciation.

II. Investment Approach

The Fund used a single sub-adviser, Quantitative Management Associates LLC (“QMA”) under the general supervision of SEI Investments Management Corporation (“SIMC”) during the fiscal year ending September 30, 2016. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Mid-Cap Fund, Class A, returned 14.10%. The Fund’s benchmark — the Russell Midcap Index — returned 14.25%.

IV. Performance Discussion

The U.S. equity market began the reporting period with a short rally, led by cyclical stocks driven by decreasing concerns around a slowdown in emerging markets. The upbeat performance quickly turned into a nosedive at the turn of the New Year, as noted in the shareholder letter, after the Federal Reserve (the “Fed”) raised rates for the first time in a decade. Despite the Fed’s interest-rate hike, the combination of renewed fears around a hard landing in the Chinese economy, commodity prices dropping to 30-year lows, and falling rates in other developed markets pushed investors into low-volatility bond-proxy stocks in a global search for yield. As defensive and low-volatility stocks in the U.S. reached historically high valuations in February, government stimulus in China helped ease emerging-market growth concerns while oil prices found a floor. This was enough to restore investor confidence and spark a rally in cyclical stocks and commodity prices. Despite periods of volatility over the summer from Britain’s unexpected vote to leave the European Union and a moderation in commodity prices during the summer, the rally lasted through the rest of the period.

From a sector perspective, materials and technology were the best performers, as both sectors benefited from the market rally during the second half of the period. Defensive sectors (including utilities, consumer staples and real estate) were the next best-performing sectors as investors searched for low-volatility dividend-yielding names. Consumer discretionary was the weakest performer as the sector faced headwinds from

decreased consumer spending and competition from online retailers.

Performance for QMA, the Fund’s only sub-adviser, came mostly from stock selection. QMA benefited from selection in healthcare equipment (driven by strong earnings reports), consumer retailing and software and services. An underweight to the weak consumer-discretionary sector and an overweight to the utilities sector also helped from an allocation standpoint. The portfolio’s losses were concentrated in real estate and energy stocks due to poor selection. Within energy, the cheapest stocks were the worst performers, which presented a headwind to the manager’s value preference and tilt within the sector. Within real estate, the portfolio’s tactical underweight to REITs and overweight to development companies detracted, as REITs benefitted from the market’s search for yield.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Average Annual 10-Year Return		Annualized Inception to Date

Mid-Cap Fund, Class A		14.10%		9.81%		17.12%		7.11%		9.95%

Mid-Cap Fund, Class I		13.84%		9.56%		16.85%		6.86%		9.65%

Mid-Cap Fund, Class Y†		N/A		N/A		N/A		N/A		7.56%*

Russell Midcap Index		14.25%		9.70%		16.67%		8.32%		10.97%

Comparison of Change in the Value of a $100,000 Investment in the Mid-Cap Fund, Class A and Class I, versus the Russell Midcap Index

For the period ended 09/30/16. Past performance is not indication of future performance. Class A shares were offered beginning 2/16/93 and Class I shares were offered beginning 10/01/07. Class I shares performance for the period prior to 10/01/07 is derived from the performance of Class A shares adjusted for the higher expenses of the Class I Shares. Class Y shares were offered beginning 10/30/15 and therefore do not have performance history for a full year. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The U.S. Managed Volatility Fund (the “Fund”) seeks to provide capital appreciation with less volatility than the broad U.S. equity markets.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers during the fiscal year ending September 30, 2016: AJO, LLC, Analytic Investors, LLC, and LSV Asset Management. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the U.S. Managed Volatility Fund, Class A, returned 12.01%. The Fund’s benchmark — the Russell 3000^® Index —returned 14.96%.

IV. Performance Discussion

The Fund lagged the broad market during the period, particularly during the first two quarters of 2016 as high-beta names, in which the Fund is underweight by construction, outperformed. Low-volatility investing was overall favored in global markets due to concerns noted in the shareholder letter, such as China, negative- and zero-interest-rate policies across the globe, the Brexit vote outcome and the Federal Reserve’s decision to implement just one interest-rate increase. However, the picture looked the opposite in the U.S. given the outperformance of high-beta information technology names, which comprise the largest portion of the index; thus, low-beta names lagged.

Generally, the Fund is likely to underperform in a steeply rising market environment, but seeks to mitigate losses in a falling market environment by targeting a lower volatility compared to the broad market. In times of stress, low volatility and defensiveness usually translate into better performance. However, the Fund’s underweight to cyclical names within information technology and materials detracted, as did its overweight to momentum.

LSV outperformed while AJO and Analytic lagged. LSV’s exposures to telecommunications and utilities helped, as these sectors rallied. Although AJO had an overweight to utilities, stock selection within consumer discretionary

offset that. Analytic’s selection within small-cap industrials offset its beneficial overweight to utilities.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Average Annual 10-Year Return		Annualized Inception to Date

U.S. Managed Volatility Fund, Class A		12.01%		11.62%		15.23%		8.21%		8.77%

U.S. Managed Volatility Fund, Class I		11.76%		11.37%		14.96%		7.92%		8.45%

U.S. Managed Volatility Fund, Class Y		12.28%		11.78%		15.33%		8.26%		8.81%

Russell 3000^® Index		14.96%		10.44%		16.36%		7.37%		8.11%

Comparison of Change in the Value of a $100,000 Investment in the U.S. Managed Volatility Fund, Class A, Class I and Class Y versus the Russell 3000^® Index

LOGO

For the period ended 9/30/16. Past performance is no indication of future performance. Class A shares were offered beginning 10/28/04 and Class I shares were offered beginning 6/29/07. Class I shares performance for the period prior to 06/29/07 is derived from the performance of Class A shares adjusted for the higher expenses of the Class I shares. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class A shares adjusted for the lower expenses of the Class Y shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Global Managed Volatility Fund (the “Fund”) seeks to provide capital appreciation with less volatility than the broad global equity markets.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment philosophies to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers during the fiscal year ending September 30, 2016: Acadian Asset Management LLC and Analytic Investors, LLC. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Global Managed Volatility Fund, Class A, returned 13.08%. The Fund’s benchmark — the MSCI World Index — returned 11.36%.

IV. Performance Discussion

For the year ended September 30, 2016, the Fund performed above the broad market, particularly during the first two quarters of 2016 amid investor nervousness as a result of ongoing uncertainty due to concerns on China, negative- and zero-interest-rate policies across the globe, the Brexit vote outcome and the Federal Reserve’s decision to implement just one interest-rate increase. Although the “risk-off” theme dominated the whole year, materials and energy names rebounded sharply from their previous lows amid the recovery in oil and other commodity prices, as the shareholder letter addressed. During the final quarter of the reporting period, we observed an increase in interest rates as the pessimistic post-Brexit sentiment was more or less overdone, which spurred a rally in risky names at the expense of low volatility.

Generally, the Fund is likely to underperform in a steeply rising environment, but seeks to mitigate losses in a falling market environment by targeting a lower volatility compared to the broad market. In times of stress, low volatility and defensiveness usually translate into better performance. Hence, the focus on low-risk names and defensive sectors almost entirely explained the Fund’s outperformance for the period. From a sector standpoint, this translated into benefiting from overweights to consumer staples and telecommunications and underweights to volatile financial names that severely

underperformed. However, leaning away from the information technology, energy and materials sectors detracted from performance, as these sectors also rallied strongly. The Fund’s security selection added value through holding non-bank names, in addition to names within the consumer-staples sector. Selection was also strong in small-cap stocks.

Both managers outperformed for the year. Analytic Investors, LLC led performance, benefiting from an allocation to commodity-based countries (Canada and Australia) that rebounded with commodity prices. Both managers focused on low-volatility sectors and names in a period when investors were seeking safety, which contributed to Fund performance.

For the year ended September 30, 2016, the Fund used currency forwards to hedge currency risk, which detracted modestly. The Fund had exposures to the U.K. and Sweden, whose currencies depreciated against the U.S. dollar. Thus, hedging back to the U.S. dollar from local currency somewhat suppressed performance.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Average Annual 10-Year Return		Annualized Inception to Date

Global Managed Volatility Fund, Class A		13.08%		10.91%		12.53%		4.56%		4.86%

Global Managed Volatility Fund, Class I		12.97%		10.66%		12.25%		4.28%		4.57%

Global Managed Volatility Fund, Class Y		13.49%		11.11%		12.65%		4.62%		4.91%

MSCI World Index		11.36%		5.84%		11.63%		4.47%		4.88%

I. Objective

The Tax-Managed Managed Volatility Fund (the “Fund”) seeks to maximize after-tax returns, but with a lower level of volatility than the broad U.S. equity markets.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio under the general supervision of SEI Investments Management Corp. (“SIMC”). The Fund utilized the following sub-advisers during the fiscal year ending September 30, 2016: AJO, L.P., Analytic Investors LLC, and LSV Asset Management. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Tax-Managed Managed Volatility Fund, Class A, returned 12.24%. The Fund’s benchmark — the Russell 3000^® Index — returned 14.96%.

IV. Performance Discussion

The Fund lagged the broad market during the period, particularly during the first two quarters of 2016 as high-beta names, in which the Fund is underweight, outperformed. Low-volatility investing was overall favored in global markets due to concerns noted in the shareholder letter, such as China, negative- and zero-interest-rate policies across the globe, the Brexit vote outcome and the Federal Reserve’s decision to implement just one interest-rate increase. However, the picture looked the opposite in the U.S. given the outperformance of high-beta information technology names, which comprise the largest portion of the index; thus, low-beta names lagged.

LSV outperformed while AJO and Analytic lagged. LSV’s exposures to telecommunications and utilities helped, as these sectors rallied. AJO also had an overweight to utilities, but selection within consumer discretionary

offset it. Analytic’s selection within small-cap industrials offset its beneficial overweight to utilities.

AVERAGE ANNUAL TOTAL RETURN¹



	1 Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date

Tax-Managed Managed Volatility Fund, Class A		12.24%		11.73%		14.95%		8.59%

Tax-Managed Managed Volatility Fund, Class Y		12.42%		11.84%		15.02%		8.63%

Russell 3000^® Index		14.96%		10.44%		16.36%		7.04%

Comparison of Change in the Value of a $100,000 Investment in the Tax-Managed Managed Volatility Fund, Class A and Class Y, versus the Russell 3000^® Index.

LOGO

For the period ended 9/30/16. Past performance is not an indication of future performance. Class A shares were offered beginning 12/20/07 and Class Y shares were offered beginning 4/30/15. Class Y shares performance for the period prior to 4/30/15 is derived from the performance of Class A shares adjusted for the lower expenses of Class Y shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/or reimbursements, performance would have been lower.

I. Objective

The Real Estate Fund (the “Fund”) seeks to provide total return including current income and capital appreciation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the fiscal year ending of September 30, 2016: Center Square Investment Management and Security Capital Research and Management, Inc. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Real Estate Fund, Class A, returned 17.13%. The Fund’s benchmark — Wilshire U.S. Real Estate Securities Index — returned 18.45%.

IV. Performance Discussion

For the 12 months ending September 30, 2016, the real-estate market saw double-digit appreciation. The slowdown in emerging markets and continued free fall in commodity prices noted in the shareholder letter resulted in slowing growth across the globe and forced major central banks to lower their rates in an effort to stimulate growth. The result was interest rates that dipped below zero and an increased appetite for dividend-yielding defensive stocks that were treated as bond proxies. Dividend-yielding sectors including utilities and real estate were heavily sought after as investors chased after yield. The eventual stabilization of emerging-market economies and commodity prices helped spark a cyclical rally that persisted throughout the rest of the period. The rally reduced the appetite for yield-producing portions of the market, including real estate, but valuations for these parts of the market remained elevated at the end of the reporting period. U.S. real estate fared better than international real estate, reflecting the better fundamentals of the U.S. housing market.

The Fund’s performance was driven primarily by selection within diversified and office real-estate investment trusts (“REITs”), while the lack of exposure and poor stock selection in specialized REITs hurt performance. Security Capital struggled with specialized

REITs, which were by far the biggest detractor, while Center Square contributed.

AVERAGE ANNUAL TOTAL RETURN¹



	1 Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date

Real Estate Fund, Class A		17.13%		13.70%		14.69%		4.90%		9.73%

Real Estate Fund, Class I		16.90%		13.44%		14.44%		4.67%		9.47%

Real Estate Fund, Class Y		17.49%		13.87%		14.79%		4.95%		9.76%

Wilshire U.S. Real Estate Securities Index		18.45%		14.61%		16.02%		5.93%		10.29%

Comparison of Change in the Value of a $100,000 Investment in the Real Estate Fund, Class A, Class I and Class Y, versus the Wilshire U.S. Real Estate Securities Index.

LOGO

For the period ended 9/30/16. Past performance is not an indication of future performance. Class A shares were offered beginning 11/13/03 and Class I shares were offered beginning 10/01/07. Class I shares performance for the period prior to 10/01/07 is derived from the performance of Class A shares adjusted for the higher expenses of Class I shares. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class A shares adjusted for the lower expenses of Class Y shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/or reimbursements, performance would have been lower.

I. Objective

The Enhanced Income Fund (the “Fund”) seeks to provide capital appreciation and income.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corp (“SIMC”). The Fund utilized the following sub-advisers during the one-year period ending September 30, 2016: Ares Management LLC and Wellington Management Company, LLP. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Enhanced Income Fund, Class A, returned 2.60%. The Fund’s benchmark — BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index — returned 0.49%.

IV. Performance Discussion

The Fund benefited from spread tightening in both the bank-loan market as well as the investment-grade short-duration space. Bank loans were the biggest contributor to both absolute and benchmark-relative return in the period. Loans benefited from a recovery in credit after a risk-off environment in the beginning of 2016, as addressed in the shareholder letter. Short-duration bonds in the financial sector, especially banks and insurance companies, were also a big contributor to performance. The financial sector experienced positive performance as increased regulation resulted in more conservative capital management by financial institutions, which is favorable to bondholders. Holdings in the securitized space also contributed positively to performance, specifically auto asset-backed securities (“ABS”) and collateralized-loan obligations.

From a sub-adviser perspective, Wellington Management Company, LLP, which manages the Fund’s exposure to ABS and financial-sector bonds, contributed to both absolute and relative performance. Ares Management LLC, which manages the Fund’s bank-loan allocation, contributed to absolute and benchmark-relative performance.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Average Annual 10-Year Return		Annualized Inception to Date

Enhanced Income Fund, Class A		2.60%		1.45%		2.42%		-0.11%		0.00%

Enhanced Income Fund, Class I		2.20%		1.19%		2.12%		-0.42%		-0.31%

Enhanced Income Fund, Class Y		2.61%		1.48%		2.44%		-0.10%		0.01%

BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index		0.49%		0.33%		0.35%		1.39%		1.47%

Comparison of Change in the Value of a $100,000 Investment in the Enhanced Income Fund, Class A, Class I and Class Y versus the BofA Merrill Lynch 3-Month LIBOR Constant Maturity Index

LOGO

For the period ended 9/30/16. Past performance is no indication of future performance. Class A shares were offered beginning 6/14/96 and Class I shares were offered beginning 6/29/07. Class I shares performance for the period prior to 06/29/07 is derived from the performance of Class A shares adjusted for the higher expenses of the Class I shares. Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class A shares adjusted for the lower expenses of the Class Y shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower.

I. Objective

The Core Fixed Income Fund (the” Fund”) seeks to provide current income consistent with the preservation of capital.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the fiscal year ending September 30, 2016: Jennison Associates LLC, Metropolitan West Asset Management LLC, Wells Capital Management Incorporated, Western Asset Management Company and Western Asset Management Company Limited. There were no manager changes during the year.

III. Returns

For the fiscal year ended September 30, 2016, the Core Fixed Income Fund, Class A, returned 5.64%, while the Fund’s benchmark — the Bloomberg Barclays U.S. Aggregate Bond Index — returned 5.19%.

IV. Performance Discussion

U.S. Treasury yields moved in different patterns during the year; short-term yields rose while long-term yields declined. Long-term yields fell due to muted inflation expectations and global demand from low or negative rates in other developed government-bond markets. As the shareholder letter addressed, short-term yields rose as the Federal funds rate was increased by the Federal Reserve (the “Fed”) in December 2015 by 25 basis points. The Fund’s yield-curve flattening bias was additive as an overweight to 30-year bonds enhanced returns. A slightly shorter-duration posture was a modest drag, but was offset by the yield-curve positioning.

The Fund maintains a small allocation to below-investment-grade credit and emerging-market sovereign bonds, which added to returns as these two markets benefited from the demand for yield and improving oil prices. Despite record new issuance, investment-grade corporate bonds outperformed comparable U.S. Treasury bonds and the Fund’s overweight was additive. The Fund maintains an allocation to non-agency mortgage-backed securities (“MBS”), which benefited from the durable recovery of the housing market over the last several years, mortgage principal paydowns and a shrinking supply of these securities. The Fund’s

overweight to commercial MBS was positive as the demand for and fundamentals of commercial properties improved in line with modest U.S. economic growth, leading to outperformance. Lastly, the Fund’s overweight to asset-backed securities (“ABS”) contributed to performance as the declining unemployment rate and wage growth noted in the shareholder letter improved the debt profile of the U.S. consumer, enabling these securities to outperform. Agency MBS performed well during the period, so the Fund’s underweight detracted from relative performance.

Over the full reporting period, all four sub-advisers outperformed the benchmark, with Western Asset Management Company producing the best returns through its yield-curve flattening posture and corporate overweight. Wells Capital Management, Inc. was the next best performer and benefited from security selection in both ABS and MBS. Jennison Associates LLC also outperformed primarily due to its yield-curve flattening posture. Metropolitan West Asset Management LLC’s returns were slightly ahead of the benchmark, but were held back by more conservative positioning within the corporate sector and, to a lesser degree, by a shorter-duration posture.

Treasury futures and interest-rate swaps were utilized to help manage the Fund’s duration and yield-curve exposure. These exposures performed as described earlier. To a limited extent, the Fund utilized currency-forward contracts to manage currency exposure, which was a modest detractor.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Average Annual 10-Year Return		Annualized Inception to Date

Core Fixed Income Fund, Class A		5.64%		4.37%		4.09%		5.24%		6.41%

Core Fixed Income Fund, Class I		5.41%		4.14%		3.86%		5.00%		6.02%

Core Fixed Income Fund, Class Y		5.90%		4.48%		4.16%		5.28%		6.42%

Bloomberg Barclays U.S. Aggregate Bond Index		5.19%		4.03%		3.08%		4.79%		6.61%

I. Objective

The U.S. Fixed Income Fund (the “Fund”) seeks to provide current income consistent with the preservation of capital.

II. Investment Approach

Sub-adviser J.P. Morgan Investment Management, Inc. was terminated from the Fund during the period.

III. Returns

For the fiscal year ended September 30, 2016, the U.S. Fixed Income Fund, Class A, returned 4.94%, while the Fund’s benchmark — the Bloomberg Barclays U.S. Aggregate Bond Index — returned 5.19%.

IV. Performance Discussion

U.S. Treasury yields moved in different patterns during the year, as short-term yields rose and long-term yields declined. Long-term yields fell due to muted inflation expectations and global demand from low or negative rates in other developed government-bond markets. As the shareholder letter addressed, short-term yields rose as the Federal funds rate was increased by the Federal Reserve (“Fed”) in December 2015 by 25 basis points. The Fund’s yield-curve flattening bias was additive as an overweight to 30-year bonds enhanced returns. A slightly shorter-duration posture was a modest drag, but was offset by the yield-curve positioning.

Despite record new issuance, investment-grade corporate bonds outperformed comparable U.S. Treasury bonds and the Fund’s overweight was additive. The Fund maintained an allocation to non-agency mortgage-backed securities (“MBS”), which benefited from the recovery of the housing market over the last several years, mortgage principal paydowns and a shrinking supply of these securities. The Fund’s overweight to commercial MBS was positive as the demand for and fundamentals of commercial properties improved in line with modest U.S. economic growth, leading to

outperformance. Lastly, the Fund’s overweight to asset-backed securities (“ABS”) contributed to performance as the declining unemployment rate and wage growth noted in the shareholder letter improved the debt profile of the U.S. consumer. Agency MBS performed well during the period, so the Fund’s underweight detracted from relative performance.

Three of the four sub-advisers outperformed the benchmark during the period, with Western Asset Management Company producing the best returns through its yield-curve flattening posture and corporate overweight. Wells Capital Management, Inc. benefited from security selection in both ABS and MBS. Jennison Associates LLC also outperformed primarily due to its yield-curve flattening posture. Metropolitan West Asset Management LLC’s returns were held back by more conservative positioning within the corporate sector and, to a lesser degree, by a shorter-duration posture.

Treasury futures and interest-rate swaps were utilized to help manage the Fund’s duration and yield-curve exposure. These exposures performed as described earlier.

AVERAGE ANNUAL TOTAL RETURN¹



	1 Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized Inception to Date

U.S. Fixed Income Fund, Class A		4.94%		3.83%		3.28%		4.77%

U.S. Fixed Income Fund, Class Y		5.20%		3.98%		3.36%		4.83%

Bloomberg Barclays U.S. Aggregate Bond Index		5.19%		4.03%		3.08%		4.44%

I. Objective

The High Yield Bond Fund (the “Fund”) seeks total return.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). Assets of the Fund not allocated to sub-advisers are managed directly by SIMC. The Fund utilized the following sub-advisers during the fiscal year ending September 30, 2016: Ares Management LLC, Benefit Street Partners, LLC, Brigade Capital Management, LLC, Delaware Investments Fund Advisers, a series of Delaware Management Business Trust, and J.P. Morgan Investment Management, Inc.

Sub-adviser Delaware Investments Fund Advisers was terminated from the Fund during the period.

III. Returns

For the fiscal year ended September 30, 2016, the High Yield Bond Fund, Class A, returned 10.44%. The Fund’s benchmark — the BofA Merrill Lynch U.S. High Yield Constrained Index — returned 12.82%.

IV. Performance Discussion

The high-yield market advanced nearly 13% during the period, but it was hardly a smooth ride. The period began on a positive note, as the high-yield market was up about 3% from September 30 to November 4, with the energy sector up more than 4%. However, as the shareholder letter addressed, the market took a turn for the worse as oil-price volatility remained a primary concern for the high-yield market, of which energy is the largest sector. From November 4 to February 11, the high-yield market fell nearly 10%, with the energy sector falling more than 30%. February 11 was the low point for the year in terms of performance. The high-yield market began to rally the following day as buyers emerged, and the market returned in excess of 20% from that point through the end of the period, with energy surging by more than 60%. The market yield began the period at 8.08%, hit a period high of 10.10% on February 11, and finished the period at 6.25%. The market spread followed a similar path, beginning the period at 662 basis points, reaching its period high of 887 basis points on February 11, and finishing the period at 497 basis points.

Overweights to and security selection within leisure (primarily gaming) and electronics contributed to the Fund’s relative performance, as did an underweight to and selection within banking. Underweights to and selection within basic industry (primarily metals and mining, excluding steel) and energy (primarily exploration and production, and field equipment and services) detracted. An allocation to collateralized loan obligations (CLOs) also weighed on relative returns. CLOs saw significant markdowns in the five-month period from October 2015 to February 2016 due to declining energy-loan prices, global economic-growth concerns and technical pressures emanating from credit-fund outflows. However, they staged a strong rally over the second half of the period to end the fiscal year in positive territory, but still lagged the 13% return of the high-yield bond market.

Brigade Capital Management, LLC was the only manager to outperform the benchmark during the period. Positioning in technology and electronics, leisure and energy were additive and only partially offset exposures in utilities, retail and basic industry. Ares Management LLC was the chief detractor, due primarily to positioning in energy, basic industry and telecommunications, which was mitigated in part by exposure to consumer goods, banking and retail. Benefit Street Partners, LLC also detracted on positioning in energy, consumer goods and basic industry, offset partially by the merits of exposure to media, utilities and leisure. J.P. Morgan Investment Management, Inc. detracted modestly via positioning in energy and basic industry, as well as technology and electronics, but benefited from exposures to telecommunications, leisure and banking.

The Fund used derivatives throughout the period to help manage duration, yield-curve positioning and spread duration more efficiently. High-yield CDX and total-return swaps were used for this purpose, which had a negligible impact on overall Fund performance.

AVERAGE ANNUAL TOTAL RETURN¹



	1 Year Return		Annualized 3 Year Return		Annualized 5 Year Return		Annualized 10 Year Return		Annualized Inception to Date

High Yield Bond Fund, Class A		10.44%		4.41%		7.61%		6.64%		7.24%

High Yield Bond Fund, Class I		9.95%		3.78%		6.91%		6.04%		6.91%

High Yield Bond Fund, Class Y		10.72%		4.55%		7.69%		6.68%		7.26%

BofA Merrill Lynch U.S. High Yield Constrained Index		12.82%		5.28%		8.24%		7.68%		N/A

I. Objective

The Real Return Fund (the “Fund”) seeks to provide total return exceeding the rate of inflation.

II. Investment Approach

During the one-year period ending September 30, 2016, the Fund was managed by the SEI Fixed Income Portfolio Management Team under the supervision of SEI Investments Management Corporation (“SIMC”).

III. Returns

For the fiscal year ended September 30, 2016, the Real Return Fund, Class A, returned 2.32%. The Fund’s benchmark — Bloomberg Barclays 1-5 Year U.S. TIPS Index — returned 2.88%.

IV. Performance Discussion

The Treasury Inflation-Protected Securities (“TIPS”) market was positively impacted by increased expectations for price increases (inflation) during the Fund’s fiscal year, as noted in the shareholder letter. Higher commodity prices flowed through U.S. inflation calculations, resulting in higher TIPS prices. The market’s expectations, as measured by the TIPS breakeven rate, indicates low inflation expectations over the next five years.

The increase in breakeven rates over the time period benefited the Fund as inflation expectations have increased.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Annualized Inception to Date

Real Return Fund, Class A		2.32%		0.14%		0.26%		1.77%

Real Return Fund, Class Y		2.52%		0.24%		0.32%		1.81%

Bloomberg Barclays 1-5 Year U.S. TIPS Index		2.88%		0.61%		0.72%		2.20%

I. Objective

The Dynamic Asset Allocation Fund (the “Fund”) seeks long-term total return.

II. Investment Approach

During the one-year period ending September 30, 2016, the Fund used a single sub-adviser, SSgA Funds Management, Inc. (“SSgA”), under the general supervision of SEI Investments Management Corporation (“SIMC”). No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Dynamic Asset Allocation Fund, Class A, returned 12.39%, and the S&P 500 Index returned 15.43%.

IV. Performance Discussion

The majority of the Fund’s volatility is driven by the underlying beta, or the S&P 500. As such, the largest driver of return in the Fund was the S&P 500. Still, negative performance from the Fund’s tactical trades did cause the Fund to lag the S&P 500.

The U.S. equity market began the reporting period with a short rally, led by cyclical stocks driven by decreasing concerns around a slowdown in emerging markets. The upbeat performance quickly turned into a nosedive at the turn of the New Year, as noted in the shareholder letter, after the Federal Reserve (Fed) raised rates for the first time in a decade. Despite the Fed’s interest-rate hike, the combination of renewed fears around a hard landing in the Chinese economy, commodity prices dropping to 30-year lows and falling rates in other developed markets pushed investors into low-volatility bond-proxy stocks in a global search for yield. As defensive and low-volatility stocks in the U.S. reached historically high valuations in February, government stimulus in China helped ease emerging-market growth concerns while oil prices found a floor. This was enough to restore investor confidence and spark a rally in cyclical stocks and commodity prices. Despite periods of volatility over the summer from Britain’s unexpected vote to leave the European Union and a moderation in commodity prices during the summer, the rally lasted through the rest of the period. From a sector perspective, technology and utilities were the best-performing sectors. Technology benefited from increased earnings estimates and prospects of renewed growth late in the period and utilities benefited from

what was a largely stability- and safety-oriented mindset for much of the period.

The three largest positive contributors to relative performance were a long U.S. inflation versus short U.K. inflation trade implemented late in 2015, a long U.S. large cap versus short U.S. Treasurys trade implemented in the first quarter of 2016, and an outright long U.S. inflation trade implemented in the summer of 2016.

The three largest detractors from relative performance were a long Indian rupee versus short Korean won currency trade, a long Japanese equity (foreign-currency hedged) versus short S&P 500 trade that was reduced in January and closed in April, and a long U.S. dollar versus short Korean won/Singapore dollar/Taiwan dollar foreign-currency basket trade that was both implemented and closed in the first quarter of 2016. Also detracting from performance was a long U.S. large cap versus short European ex-U.K. equity (foreign-exchange hedged) trade that was closed in January of 2016. A long U.S. dollar versus short Saudi riyal foreign-currency trade has also detracted a nominal amount from the portfolio.

Several long option trades — on the VIX and S&P 500 — had been entered as hedges in the portfolio. They have all expired worthless, detracting a nominal amount from performance. A long U.S. dollar versus short Saudi riyal foreign-currency trade, predicated on the latter country’s weakened financial position as a result of low oil prices, also detracted a nominal amount from the portfolio since oil has rallied over the last year, as the shareholder letter addressed.

Derivatives are used to obtain the Fund’s tactical exposures. In the past year, these have included futures, foreign-currency forward contracts, options and total-return swaps. The use of derivatives had a material impact on performance, since all active trades are implemented through their use.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Annualized Inception to Date

Dynamic Asset Allocation Fund, Class A		12.39%		1.85%

Dynamic Asset Allocation Fund, Class Y		12.67%		2.07%

S&P 500 Index		15.43%		4.71%

I. Objective

The Multi-Strategy Alternative Fund (the “Fund”) allocates its assets among a variety of investment strategies to seek to generate an absolute return with reduced correlation to the stock and bond markets.

II. Investment Approach

The Fund’s assets are managed under the direction of SEI Investments Management Corporation (“SIMC”), which manages the Fund’s assets in a way that it believes will achieve the Fund’s investment objective. In order to achieve its investment objective, the Fund may allocate its assets among a variety of investment strategies through the use of: (i) affiliated and unaffiliated funds, including open-end funds, closed-end funds and exchange traded funds (underlying funds); and (ii) one or more investment sub-advisers. During the fiscal year ending September 30, 2016, the Fund allocated its assets among unaffiliated funds and one affiliated fund. During the one-year period ending September 30, 2016, sub-advisers Acadian Asset Management, EMSO Partners Ltd., Kettle Hill Capital Management, LLC, Mountaineer Partners Management, LLC, and Ramius Advisors, LLC were added to the Fund.

III. Return vs. Benchmark

For the fiscal year ended September 30, 2016, the Multi-Strategy Alternative Fund, Class A, returned 3.51%. The Fund’s benchmark — BofA Merrill Lynch 3-Month U.S. Treasury Bills Index — returned 0.27%.

Although the Fund’s performance is benchmarked against the return of the BofA Merrill Lynch 3-Month U.S. Treasury Bills Index, an investment in the Fund is substantially different from an investment in U.S. Treasury Bills. Among other things, Treasury bills are backed by the full faith and credit of the U.S. government and have a fixed rate of return. Treasury bill investors do not risk losing their investment, whereas loss of money is a risk of investing in the Fund. Further, an investment in the Fund is expected to be substantially more volatile than an investment in Treasury bills because of the breadth and types of securities and other instruments in which the Fund may invest.

IV. Performance Discussion

The Fund performed well in the full year ended September 30, 2016, outperforming the 3-Month U.S. Treasury Bills Index. Three of the Fund’s four investment strategies delivered positive returns; only the global macro strategy detracted.

The fourth quarter of 2015 saw equity markets rally, only to be followed by a broad selloff, hitting multi-year lows in mid-February of 2016. As the shareholder letter addressed, equity markets then increased off of these lows in the second half of the first quarter of 2016 and most of the second quarter until Brexit occurred in late June. After a very short-lived Brexit selloff, markets continued to rally, making new highs for the year. Sovereign yields fell throughout 2016, especially in the first and second quarters, given continued easing across central banks and no moves toward tightening by Federal Reserve since December 2015. Additionally in 2016, high yield corporate bonds were one of the best performing asset classes as investors searched for yield. In currencies, sterling has depreciated significantly against the U.S. dollar post-Brexit and yen has continued to appreciate against the dollar in 2016.

During the period, the makeup of the Fund changed significantly. A number of third-party mutual fund investments were replaced with separate accounts managed by the sub-advisers listed in Section II. We believe this change will improve investment outcomes over time and it certainly contributed over the period. The event strategy contributed most, and especially the segment sub-advised by Mountaineer Partners. It benefited from a focus on undervalued mid-cap equities coupled with an emphasis on catalysts. The balance of the event strategy was invested in merger arbitrage, which also posted moderate gains. The equity hedge strategy also helped, within which the recently added sub-adviser Kettle Hill performed especially well. Kettle Hill’s focus is on small-cap companies experiencing upward inflections in growth. All investments within the relative value strategy delivered positive returns. EMSO, an emerging-markets debt specialist, led the way, benefiting from debt restructuring and timely investments in Argentina, Greece, Brazil and Russia, as well as short positions in South Africa. The balance of the strategy, which is invested in corporate credit, also contributed. The sole detractor for the period was the global macro strategy, which is also the smallest allocation in the Fund. This category consists of investments in trend-following strategies, which struggled over the period with several trend reversals in the currency, commodity and fixed-income markets. While the strategy struggled overall, it illustrated its important diversification properties by performing strongly during difficult periods, such as the first quarter of 2016, as noted in the shareholder letter.

Derivatives used in the Fund consist primarily of currency futures and forwards, interest-rate swaps,

credit default swaps (CDS) and equity and equity-index options. Derivatives in the Fund were primarily used by subadvisors for hedging and risk management. Derivatives performance did not have a material impact on Fund returns over the period.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Average Annual 5-Year Return		Annualized Inception to Date

Multi-Strategy Alternative Fund, Class A		3.51%		1.28%		1.73%		0.88%

Multi-Strategy Alternative Fund, Class Y		3.77%		1.37%		1.78%		0.92%

BofA Merrill Lynch 3-Month U.S. Treasury Bills Index		0.27%		0.11%		0.10%		0.11%

Comparison of Change in the Value of a $100,000 Investment in the Multi-Strategy Alternative Fund, Class A and Class Y, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bills Index

LOGO

For the period ended 9/30/15. Past performance is no indication of future performance. Class A Shares were offered beginning 3/31/10 and Class Y shares were offered beginning 4/30/15. Class Y shares performance for the period prior to 4/30/15 is derived from the performance of Class A shares adjusted for the lower expenses of the Class Y shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower. Although the Fund’s performance is benchmarked against the return of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index, an investment in the Fund is substantially different from an investment in U.S. Treasury bills. Among other things, Treasury bills are backed by the full faith and credit of the U.S. Government and have a fixed rate of return. Investors in Treasury bills do not risk losing their investment, whereas loss of money is a risk of investing in the Fund. Further, an investment in the Fund is expected to be substantially more volatile than an investment in Treasury bills because of the breadth and types of securities and other instruments in which the Fund may invest.

I. Objective

The Multi-Asset Accumulation Fund (the “Fund”) seeks to provide total return, including capital appreciation and income.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the one-year period ending September 30, 2016: AQR Capital Management, LLC and PanAgora Asset Management Inc. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016 the Multi-Asset Accumulation Fund, Class A, returned 11.36%. The Fund’s blended benchmark — MSCI World Index (Net) (Hedged) (USD) Index (60%) and Bloomberg Barclays Global Aggregate Index, Hedged (USD) (40%) — returned 9.30%.

IV. Performance Discussion

Most major asset classes had positive performance during the Fund’s fiscal year. Both developed- and emerging-market equities did well during the period, as the shareholder letter addressed. Developed-market bonds performed reasonably well with mid-single digit returns (when hedged back to the U.S. dollar). Commodities were modestly negative over the past year; however, their performance stabilized in 2016, with positive performance from the beginning of 2016 through the end of the reporting period. The Fund’s exposure to developed- and emerging-market equities contributed to absolute performance as both asset types performed well during the period. However, the Fund’s lower-than-benchmark exposure to equities detracted from relative performance.

Sub-adviser performance was mixed depending upon market performance and the portfolio’s level of exposure to the asset classes. AQR Capital Management, LLC and PanAgora Asset Management Inc.’s greater-than-benchmark exposures to developed-market bonds contributed to relative performance and were the main drivers of outperformance in the period. Conversely, both AQR Capital Management LLC and PanAgora Asset Management Inc.’s exposures to commodity futures detracted from both absolute and benchmark-relative

performance, as commodities experienced negative performance in the period. Additionally, AQR Capital Management LLC’s exposure to emerging-market currencies contributed to relative performance as most major emerging-market currencies appreciated against the U.S. dollar.

The Fund used equity-index futures, bond-index futures, interest-rate swaps, commodity futures, total-return swaps and currency forwards in order to provide cost-effective exposures to the desired asset classes. Derivatives had a meaningful impact on Fund performance during the period. Sovereign bond-index futures, interest-rate swaps and, to a lesser extent, sovereign bond total-return swaps (used for market exposure) contributed to performance, as interest rates declined modestly (on average) over the period. The greater capital weight to sovereign bonds contributed to outperformance during the period. Global-equity futures (used for market exposure), were a meaningful contributor to performance. While equity futures had a positive impact on total returns, a lower notional exposure to equities detracted from to relative performance. The Fund has a controlled foreign corporation designed to provide commodity exposure, primarily through commodity futures and, to a lesser extent, commodity total-return swaps, as commodities are a key part of the Fund’s strategy. The commodity futures provide strategic exposure to a diversified mix of underlying commodities. However, this exposure detracted from total returns over the period. Forward-currency contracts on emerging-market currencies (used for market exposure) were a positive contributor to both total- and benchmark-relative returns. Forward currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar. These exposures have slightly added to performance over the Fund’s fiscal year.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Annualized Inception to Date

Multi-Asset Accumulation Fund, Class A		11.36%		5.27%		5.01%

Multi-Asset Accumulation Fund, Class Y		11.66%		5.44%		5.13%

MSCI World Index (Net) (Hedged) (USD)		10.83%		8.16%		11.03%

Bloomberg Barclays Global Aggregate Index, (Hedged) (USD)		6.54%		5.05%		4.24%

60/40 Hybrid consisting of the MSCI World Index (Net) (Hedged) (USD) and Bloomberg Barclays Global Aggregate Index, Hedged (USD)		9.30%		7.05%		8.41%

I. Objective

The Multi-Asset Income Fund (the “Fund”) seeks to provide total return with an emphasis on current income.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund used the following sub-advisers during the one-year period ending September 30, 2016: Goldman Sachs Asset Management, L.P. (“Goldman”), Guggenheim Partners Investment Management, LLC (“Guggenheim”) and SSGA Funds Management, Inc.

Sub-adviser Goldman Sachs Asset Management, L.P. was added to the Fund during the period.

III. Returns

For the fiscal year ended September 30, 2016, the Multi-Asset Income Fund, Class A, returned 7.38%. The Fund’s blended benchmark — Bloomberg Barclays U.S. Aggregate Bond Index (45%), the BofA Merrill Lynch U.S. High Yield Constrained Index (40%) and the S&P 500 Index (15%) — returned 9.84%.

IV. Performance Discussion

Credit markets rallied during the Fund’s fiscal year, and credit spreads tightened across the board, but were most pronounced in the below-investment-grade credit market, which includes high-yield bonds and bank loans. Investment-grade corporate credit also performed well during the year as spreads tightened in those sectors. Securitized assets such as asset backed securities (“ABS”), non-agency mortgage-backed securities (“MBS”) and commercial mortgage-backed securities (“CMBS”) performed relatively well, as they benefited from favorable supply and demand dynamics and improving collateral. Non-agency MBS also performed well as the U.S. housing market continued to improve, while collateralized loan obligations (“CLOs”) benefited from strong demand over the past year, which supported the underlying collateral in bank loans. Emerging-market debt, as noted in the shareholder letter, has also enjoyed strong performance over the past year, especially in 2016, as commodity markets have stabilized and outlooks for certain countries have improved. While the Fund’s exposure to high-yield bonds contributed to

absolute returns, their lower-than-benchmark weight detracted on a benchmark-relative basis. The Fund’s off-benchmark exposure to emerging-market debt contributed to both absolute and benchmark-relative performance.

All three sub-advisers contributed to total return. Guggenheim’s meaningful exposure to CLOs, bank loans and ABS helped. Goldman Sachs was added to the Fund in February 2016 and has contributed, principally through exposures to high-yield bonds and emerging-markets debt. Despite its relatively low weight, the covered-call strategy implemented by SSgA provided above-average performance in the period, contributing to relative performance.

The Fund used total-return swaps on equity indexes, interest-rate swaps and futures and options on exchange-traded funds, and equity indices and currency forwards. Derivatives were employed for various reasons, including equity-market exposure to specific sectors, to generate option income and interest-rate risk hedging. Derivatives had a modest impact on Fund performance. Interest-rate futures used to manage duration helped as rates fell during the period. Options used as part of the covered-call strategy contributed, as did a small position in U.S.-equity futures. Currency forwards had a slightly positive impact on performance.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Annualized Inception to Date

Multi-Asset Income Fund, Class A		7.38%		5.62%		6.83%

Multi-Asset Income Fund, Class Y		7.49%		5.68%		6.87%

Bloomberg Barclays U.S. Aggregate Bond Index ³		5.19%		4.03%		2.98%

BofA Merrill Lunch U.S. High Yield Constrained Index ³		12.82%		5.28%		6.64%

S&P 500 Index ³		15.43%		11.16%		12.96%

45/40/15 Hybrid consisting of the Bloomberg Barclays U.S. Aggregate Bond Index, BofA Merrill Lynch U.S. High Yield Constrained Index and S&P 500 Index ³		9.84%		5.67%		5.98%

I. Objective

The Multi-Asset Inflation-Managed Fund (the “Fund”) seeks to provide total return exceeding the rate of inflation.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with differing investment strategies to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (“SIMC”). The Fund utilized the following sub-advisers during the one-year period ending September 30, 2016: AllianceBernstein, L.P, Cohen & Steers and QS Investors, LLC. No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Multi-Asset Inflation Managed Fund, Class A, returned 1.06%. The Fund’s blended benchmark — the Bloomberg Barclays 1-5 Year U.S. TIPS Total Return Index (70%), the Bloomberg Commodity Total Return Index (20%) and the Russell 1000 Low Volatility Total Return Index (10%) — returned 3.42%.

IV. Performance Discussion

The real-assets market stabilized during the latest completed fiscal year after a difficult period. While commodities had a negative return over the one-year period, recent performance has been favorable, as noted in the shareholder letter, especially in 2016. The main driver of performance was a recovery in oil prices and better fundamentals in certain markets. In addition to commodities, U.S. Treasury Inflation-Protected Securities (TIPS) also performed well with the full TIPS index, measured by the Bloomberg Barclays U.S. TIPS Index, returning 6.5% over the past year. For the Fund’s exposures, TIPS and inflation-linked credit contributed. Commodities had a negligible impact on absolute performance in the period. The long-short equity strategy detracted.

Sub-adviser performance was mixed. Cohen & Steers’ favorable security selection within the commodities sector contributed to relative performance during the period. AllianceBernstein, L.P.’s U.S. TIPS allocation contributed to both absolute and relative performance. Outperformance for AllianceBernstein, L.P. was largely due to an overweight to credit spread sectors. QS Investors’ inflation-sensitive equity long/short strategy

detracted from absolute and blended-benchmark relative performance.

The Fund used commodity futures, bond-index futures, equity-index futures and interest-rate swaps during the period. The use of derivatives had a meaningful impact on Fund performance. A short position in U.S. Treasury futures and interest-rate swaps was used to hedge duration risk for a portion of the Fund’s corporate-bond exposure. This hedge detracted from total returns as interest rates fell. A short position in global equity total-return swaps was used to hedge equity-market risk for a portion of the Fund’s long-equity positions. This hedge detracted from total returns, as equity-market returns were positive. Within the Fund, a controlled foreign corporation has been established to provide additional exposure to commodities, including commodity futures. The commodity futures exposure, used to provide a strategic exposure to a diversified mix of underlying commodities, detracted from total returns. Forward-currency contracts on developed-market currencies were principally used to hedge foreign-currency risk relative to the U.S. dollar and had a slightly positive effect on performance.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Average Annual 3-Year Return		Annualized Inception to Date

Multi-Asset Inflation Managed Fund, Class A		1.06%		-2.09%		-2.49%

Multi-Asset Inflation Managed Fund, Class Y		1.30%		-1.93%		-2.39%

Bloomberg Barclays 1-5 Year U.S. TIPS Total Return Index		2.88%		0.61%		0.29%

Bloomberg Commodity Index Total Return Index		-2.58%		-12.34%		-10.54%

Russell 1000 Low Volatility Total Return Index		18.45%		12.73%		13.64%

70/20/10 Hybrid consisting of the Bloomberg Barclays 1-5 Year U.S. TIPS Total Return Index, Bloomberg Commodity Index Total Return Index and Russell 1000 Low Volatility Total Return Index		3.42%		-1.13%		-0.86%

I. Objective

The Multi-Asset Capital Stability Fund (the “Fund”) seeks to manage the risk of a loss while providing current income and an opportunity for capital appreciation.

II. Investment Approach

During the one-year period ending September 30, 2016, the Fund used a single sub-adviser, AllianceBernstein, L.P., under the general supervision of SEI Investments Management Corporation (“SIMC”). No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016, the Multi-Asset Capital Stability Fund, Class A, returned 1.47%. The Fund’s blended benchmark — the Bloomberg Barclays 1-3 Year U.S. Government/Credit Index (95%) and S&P 500 Index (5%) — returned 2.01%.

IV. Performance Discussion

Most major asset classes had positive performance during the Fund’s fiscal year. Both developed- and emerging-market equities experienced strong positive performance in the period, as the shareholder letter addressed. Developed-market bonds performed reasonably well with mid-single-digit returns (when hedged back to the U.S. dollar).

The Fund had positive absolute performance, but underperformed relative to its blended benchmark. A greater-than-average exposure to duration contributed. Greater-than-benchmark exposures to equity and credit, on average, helped both absolute and relative performance. Trading effects, or shifting allocations based on risk estimates, detracted from relative returns over the period.

The Fund used credit-default swaps, equity-index futures, bond-index futures, interest-rate swaps, equity options and currency forwards. Derivatives are primarily used to provide cost-effective exposures to the desired asset classes, and had a meaningful impact on Fund performance in the period. Stock-index futures, primarily developed-market equities used for market exposure, resulted in positive performance during the Fund’s fiscal year. Interest-rate futures and swaps were meaningful contributors to performance as interest rates fell on average during the period. Small positions in credit-default swaps, used to gain exposure to high-yield and investment-grade credit, contributed modestly to total return. Forward-currency contracts on developed-market currencies were principally used to hedge foreign-

currency risk relative to the U.S. dollar. The effect of these hedges on performance was largely neutral.

AVERAGE ANNUAL TOTAL RETURN¹



	1 Year Return		Annualized 3 Year Return		Annualized Inception to Date

Multi-Asset Capital Stability Fund, Class A		1.47%		1.80%		1.24%

Multi-Asset Capital Stability Fund, Class Y		1.57%		1.86%		1.28%

Bloomberg Barclays 1-3 year U.S. Government/Credit Index		1.31%		1.09%		1.03%

S&P 500 Index		15.43%		11.16%		12.96%

95/5 Hybrid consisting of Bloomberg Barclays 1-3 Year U.S. Government/Credit Index and S&P 500 Index		2.01%		1.60%		1.62%

Comparison of Change in the Value of a $100,000 Investment in the Multi-Asset Capital Stability Fund, Class A and Class Y, versus a 95/5 Hybrid of the following indexes: the Bloomberg Barclays 1-3 Year U.S. Government/Credit Index, and the S&P 500 Index.

LOGO

For the period ended 9/30/16. Past performance is not an indication of future performance. Class A shares were offered beginning 4/9/12 and Class Y shares were offered beginning 12/31/14. Class Y shares performance for the period prior to 12/31/14 is derived from the performance of Class A shares adjusted for the lower expenses of the Class Y shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that period; absent fee waivers and/or reimbursements, performance would have been lower.

I. Objective

The Long/Short Alternative Fund (“the Fund”) seeks to provide long term capital appreciation.

II. Investment Approach

During the one-year period ending September 30, 2016, the Fund used a single sub-adviser, Beachhead Capital Management LLC, under the general supervision of SEI Investments Management Corporation (“SIMC”). No manager changes were made during the Fund’s fiscal year.

III. Returns

For the fiscal year ended September 30, 2016 the Long/ Short Alternative Fund, Class A returned 1.45%. The Fund’s benchmark — HFRX Equity Hedge Index — returned 0.13%.

IV. Performance Discussion

During the Fund’s fiscal year, performance was driven mainly by the Fund’s long exposure to U.S. and developed-market equities. The fourth quarter of 2015 saw equity markets rally following challenged performance over the previous quarter. However, some of these gains were given back in the first quarter of 2016 with broad selloffs in developed-market equities and the U.S. dollar. Additionally, investors were rotating into safety-oriented assets, as the shareholder letter addressed, a key driver of the gains in U.S. Treasury bonds over the quarter. The third quarter of 2016 saw rallies in both developed and emerging-equity markets, as well as in high-yield corporate bonds. The Fund’s short position in emerging-markets equities was the largest detractor for the fiscal year and the short position in 30-year Treasury bonds was the second-largest detractor, primarily due to the strong first-quarter performance seen in both asset classes. Long positions in U.S. equity markets contributed, with both the S&P 400 and NASDAQ Composite indexes posting strong returns, especially during the third quarter of 2016. As of the end of the reporting period, the Fund retains its long developed-market equity positioning, short exposure to emerging-market equities and smaller shorts to long-term U.S. Treasuries and the U.S. dollar index.

The Fund achieved the foregoing exposure and related performance primarily through the use of index futures to obtain broad exposure to global financial markets including U.S. and international equities, U.S. government bonds, and currencies.

AVERAGE ANNUAL TOTAL RETURN¹



	One Year Return		Annualized Inception to Date

Long/Short Alternative Fund, Class A		1.24%		-1.18%

Long/Short Alternative Fund, Class Y		1.45%		-1.07%

BofA Merrill Lynch 3-Month U.S. Treasury Bill Index		0.27%		0.17%

HFRX Equity Hedge Index		0.13%		-1.48%

Comparison of Change in the Value of a $100,000 Investment in the Long/Short Alternative Fund, Class A and Class Y, versus the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the HFRX Equity Hedge Index

LOGO

For the period ended 9/30/16. Past performance is no indication of future performance. Class A Shares were offered beginning 12/19/14 and Class Y shares were offered beginning 4/30/15. Class Y shares performance for the period prior to 4/30/15 is derived from the performance of Class A shares adjusted for the lower expenses of the Class Y shares. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for the period reflect fee waivers and/or reimbursements in effect for the period; absent fee waivers and reimbursements, performance would have been lower.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.0%

Consumer Discretionary — 12.9%
Amazon.com, Cl A*	0.8%		23,995	$	20,091
General Motors	1.1		810,729		25,757
L Brands	0.8		254,873		18,037
Liberty Interactive QVC Group, Cl A*	0.8		1,002,388		20,058
Macy’s(A)	0.6		378,298		14,016
TripAdvisor*(A)	0.8		284,685		17,986
Other Securities(A)	8.0				192,987

					308,932


Consumer Staples — 6.1%
Tyson Foods, Cl A(A)	0.6		183,742		13,720
Walgreens Boots Alliance	0.7		199,741		16,103
Wal-Mart Stores	0.7		225,593		16,270
Other Securities(A)	4.1				100,024

					146,117


Energy — 5.7%
BP ADR(A)	0.5		374,541		13,169
Other Securities(A)	5.2				124,330

					137,499


Financials — 13.6%
Aflac(A)	0.7		243,578		17,506
Bank of America	1.5		2,327,751		36,429
Berkshire Hathaway, Cl B*	0.9		153,865		22,229
Citigroup	0.6		288,601		13,631
Intercontinental Exchange	0.7		66,011		17,781
JPMorgan Chase	1.7		605,802		40,340
MetLife(A)	1.1		569,914		25,321
Travelers(A)	0.7		139,971		16,034
Voya Financial	0.6		500,527		14,425
Other Securities^‡(A)(B)	5.1				124,100

					327,796


Health Care — 14.5%
Allergan*	0.9		94,418		21,745




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Biogen*	1.7%		133,814	$	41,888
Celgene, Cl A*	1.0		224,141		23,429
Gilead Sciences	0.7		210,954		16,691
Johnson & Johnson	1.0		197,492		23,330
Merck(A)	0.7		285,564		17,822
Pfizer	0.6		417,434		14,138
UnitedHealth Group	0.9		159,382		22,313
Other Securities(A)	7.0				166,018

					347,374


Industrials — 7.1%
Delta Air Lines, Cl A	0.8		505,767		19,907
Nielsen Holdings(A)	0.6		262,822		14,079
Other Securities(A)	5.7				137,937

					171,923


Information Technology — 24.4%
Alphabet, Cl A*	2.0		60,511		48,654
Alphabet, Cl C*	0.5		14,792		11,498
Apple	0.6		136,529		15,435
Cisco Systems	0.8		604,482		19,174
eBay*	1.4		982,539		32,325
Electronic Arts*(A)	1.0		280,385		23,945
Facebook, Cl A*	1.6		302,143		38,756
Hewlett Packard Enterprise	0.8		867,045		19,725
Intel(A)	0.7		473,298		17,867
Intuit	0.8		171,815		18,901
MasterCard, Cl A	0.7		174,423		17,751
Microsoft(A)	1.9		782,927		45,097
PayPal Holdings*	0.9		511,919		20,973
Qualcomm	2.1		727,763		49,852
Visa, Cl A(A)	1.9		563,482		46,600
Other Securities(A)	6.7				159,091

					585,644


Materials — 3.5%
International Paper(A)	0.6		276,851		13,283
Other Securities(A)	2.9				72,114

					85,397


Real Estate — 2.0%
Crown Castle International^‡(A)	1.3		326,330		30,744
Equinix^‡	0.6		39,653		14,285
Other Securities^‡(A)	0.1				2,143

					47,172


Telecommunication Services — 1.3%
Verizon Communications(A)	1.0		444,984		23,130
Other Securities	0.3				7,391

					30,521


Utilities — 2.9%
Entergy	0.7		205,126		15,739
Exelon	0.7		518,548		17,263
Public Service Enterprise Group	0.8		456,756		19,124
Other Securities	0.7				16,537

					68,663




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Total Common Stock (Cost $1,863,844) ($ Thousands)				$	2,257,038


U.S. TREASURY OBLIGATION — 0.0%

Other Securities (C)	0.0%				925


Total U.S. Treasury Obligation (Cost $925) ($ Thousands)					925


AFFILIATED PARTNERSHIP — 10.9%
SEI Liquidity Fund, L.P. 0.440% **^†(D)	10.9		261,550,929		261,551


Total Affiliated Partnership (Cost $261,551) ($ Thousands)					261,551


CASH EQUIVALENT — 6.2%
SEI Daily Income Trust, Government Fund, Cl A 0.220% **^†	6.2		149,114,835		149,115


Total Cash Equivalent (Cost $149,115) ($ Thousands)					149,115


Total Investments — 111.1% (Cost $2,275,435) ($ Thousands)				$	2,668,629

A list of the open futures contracts held by the Fund at September 30, 2016 is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Depreciation
($ Thousands)

S&P 500 Index E-MINI

149

Dec-2016

$(24)

S&P Mid Cap 400 Index E-MINI

Dec-2016

(4)

$(28)

For the year ended September 30, 2016 the total amount of all open futures contracts, as presented in the table above, are represented of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $2,402,274 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	Certain securities or partial positions of certain securities are on loan at September 30, 2016, (see Note 10). The total market value of securities on loan at September 30, 2016, was $258,188 ($ Thousands).

(B)	Security is a Master Limited Partnership. At September 30, 2016, such securities amounted to $9,918 ($ Thousands), or 0.41% of Net Assets (see Note 2).

(C)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(D)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2016 was $261,551 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. —Limited Partnership

S&P — Standards & Poor’s

The Summary Schedule of Investments does not reflect the complete portfolio holdings. It includes the Fund’s 50 largest holdings and each investment of any issuer that exceeds 1% of the Fund’s net assets. “Other Securities” represent all issues not required to be disclosed under the rules adopted by the U.S. Securities and Exchange Commission (“SEC”). In certain instances, securities for which footnotes listed above may otherwise apply are included in the Other Securities caption. The complete schedule of portfolio holdings is available (i) without charge, upon request, by calling (800) 342-5734; and (ii) on the SEC’s website at http://www.sec.gov.

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	2,257,038	$	–	$	–	$	2,257,038
U.S. Treasury Obligation		–		925		–		925
Affiliated Partnership		–		261,551		–		261,551
Cash Equivalent		149,115		–		–		149,115


Total Investments in Securities	$	2,406,153	$	262,476	$	–	$	2,668,629



Other Financial Instruments	Level 1		Level 2		Level 3		Total

Futures Contracts *
Unrealized Depreciation	$	(28)	$	—	$	—	$	(28)


Total Other Financial Instruments	$	(28)	$	—	$	—	$	(28)

*	Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “–” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.5%

Consumer Discretionary — 10.2%
General Motors	1.5%		632,729	$	20,102
Goodyear Tire & Rubber	0.9		369,058		11,921
Kohl’s	0.7		204,750		8,958
Macy’s	0.7		249,240		9,234
Omnicom Group	0.7		106,508		9,053
Other Securities(A)	5.7				76,690

					135,958


Consumer Staples — 6.9%
CVS Health	0.7		111,992		9,966
Kroger	0.7		310,514		9,216
Philip Morris International	1.0		133,028		12,933
Tyson Foods, Cl A	0.9		152,753		11,406
Other Securities	3.6				47,459

					90,980


Energy — 10.4%
BP ADR(A)	0.9		352,110		12,380
Chevron	0.9		115,452		11,882
Devon Energy	0.7		204,395		9,016
Exxon Mobil	1.1		166,057		14,494
Occidental Petroleum	0.8		146,728		10,699
Phillips 66	0.7		121,518		9,788
Valero Energy	0.7		170,168		9,019
Other Securities(A)	4.6				60,884

					138,162


Financials — 22.5%
Aflac	0.9		173,489		12,469
Bank of America	2.4		2,036,175		31,866
Berkshire Hathaway, Cl B*	0.7		60,939		8,804
Citigroup	1.4		378,272		17,866
JPMorgan Chase	2.6		510,041		33,964
MetLife	2.0		588,502		26,147
PNC Financial Services Group	0.9		130,000		11,712
State Street	0.9		172,944		12,042
Voya Financial	1.1		496,151		14,299
Other Securities^‡(A)(B)	9.6				129,251




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

				$	298,420


Health Care — 13.5%
Amgen, Cl A	1.0%		77,482		12,925
Anthem	0.7		73,740		9,240
Gilead Sciences	0.8		125,409		9,922
Johnson & Johnson	2.2		243,250		28,735
Merck	1.0		216,717		13,525
Pfizer	1.1		449,009		15,208
UnitedHealth Group	0.7		70,482		9,867
Other Securities	6.0				80,250

					179,672


Industrials — 9.5%
American Airlines Group	0.7		241,287		8,834
Delta Air Lines, Cl A	1.1		363,710		14,316
Illinois Tool Works	0.8		87,772		10,519
WW Grainger(A)	0.7		38,001		8,544
Other Securities	6.2				83,923

					126,136


Information Technology — 11.3%
Automatic Data Processing	0.7		103,513		9,130
Cisco Systems	1.0		427,709		13,567
Hewlett Packard Enterprise	1.0		580,558		13,208
Intel	1.2		435,126		16,426
Microchip Technology(A)	0.7		148,088		9,202
Micron Technology*	0.7		498,716		8,867
Qualcomm	1.2		229,873		15,746
Other Securities(A)	4.8				64,234

					150,380


Materials — 4.9%
Eastman Chemical	0.6		126,251		8,545
International Paper	0.8		210,607		10,105
Reliance Steel & Aluminum	0.6		120,206		8,658
Other Securities	2.9				37,406

					64,714


Real Estate — 1.0%
Other Securities^‡	1.0				13,891


Telecommunication Services — 1.7%
Verizon Communications	0.9		214,992		11,175
Other Securities	0.8				11,266

					22,441


Utilities — 4.6%
Entergy	0.7		127,953		9,818
Exelon	1.1		452,364		15,059
Public Service Enterprise Group	1.0		307,492		12,875
Other Securities	1.8				23,417

					61,169

Total Common Stock (Cost $1,110,077) ($ Thousands)					1,281,923




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION — 0.0%

Other Securities	0.0%			$	25


Total U.S. Treasury Obligation (Cost $25) ($ Thousands)					25


AFFILIATED PARTNERSHIP — 3.7%
SEI Liquidity Fund, L.P. 0.440% **^†(C)	3.7		49,706,717		49,707


Total Affiliated Partnership (Cost $49,707) ($ Thousands)					49,707


CASH EQUIVALENT — 3.6%
SEI Daily Income Trust, Government Fund, Cl A 0.220% **^†	3.6		47,204,335		47,204


Total Cash Equivalent (Cost $47,204) ($ Thousands)					47,204


Total Investments — 103.8% (Cost $1,207,013) ($ Thousands)				$	1,378,859

Percentages are based on a Net Assets of $1,328,198 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	Certain securities or partial positions of certain securities are on loan at September 30, 2016, (see Note 10). The total market value of securities on loan at September 30, 2016, was $49,352 ($ Thousands).

(B)	Security is a Master Limited Partnership. At September 30, 2016, such securities amounted to $9,714 ($ Thousands), or 0.73% of Net Assets (see Note 2).

(C)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2016 was $49,707 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	1,281,923	$	–	$	–	$	1,281,923
U.S. Treasury Obligation		–		25		–		25
Affiliated Partnership		–		49,707		–		49,707
Cash Equivalent		47,204		–		–		47,204


Total Investments in Securities	$	1,329,127	$	49,732	$	–	$	1,378,859

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “–” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings ^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK^†† — 95.9%

Consumer Discretionary — 15.8%
Amazon.com, Cl A*	2.7%		46,767	$	39,159
Dollar General	0.9		181,933		12,734
Home Depot	0.8		92,651		11,922
L Brands	1.7		344,343		24,369
Liberty Global, Cl A*	0.6		263,697		9,013
Liberty Global, Cl C*	0.7		323,698		10,695
Liberty Interactive QVC Group, Cl A*	2.2		1,566,328		31,342
NetFlix*	0.8		120,124		11,838
Nike, Cl B	0.8		219,690		11,567
Priceline Group*	0.8		7,892		11,613
TripAdvisor*	1.8		419,085		26,478
Other Securities(A)	2.0				27,375

					228,105


Consumer Staples — 5.5%
Anheuser-Busch InBev ADR	0.8		87,507		11,499
Constellation Brands, Cl A	1.2		104,035		17,321
Costco Wholesale	0.6		60,557		9,235
Walgreens Boots Alliance	1.1		205,556		16,572
Other Securities	1.8				25,574

					80,201


Energy — 1.2%
Other Securities	1.2				17,318


Financials — 3.2%
Berkshire Hathaway, Cl B*	1.1		104,419		15,085
Intercontinental Exchange	1.9		102,706		27,665
Other Securities	0.2				3,363

					46,113


Health Care — 18.4%
Alexion Pharmaceuticals*	0.9		113,605		13,921
Allergan*	2.2		136,819		31,511
Becton Dickinson	1.0		81,304		14,613
Biogen*	2.9		133,179		41,689
Celgene, Cl A*	2.4		328,873		34,377




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
DENTSPLY SIRONA	1.2%		298,269	$	17,726
Illumina*	0.8		61,671		11,203
Novo Nordisk ADR	0.7		260,343		10,828
Quintiles Transnational*	1.3		226,064		18,325
Regeneron Pharmaceuticals*	0.8		28,149		11,316
UnitedHealth Group	2.3		238,659		33,412
Other Securities(A)	1.9				27,098

					266,019


Industrials — 5.1%
Nielsen Holdings	1.5		397,806		21,311
TransDigm Group*	0.7		35,540		10,275
Other Securities	2.9				42,644

					74,230


Information Technology — 40.3%
Activision Blizzard	0.8		270,819		11,997
Alphabet, Cl A*	4.7		83,962		67,510
Alphabet, Cl C*	1.6		28,869		22,440
Apple	1.0		133,029		15,039
eBay*	2.1		935,848		30,789
Electronic Arts*	2.4		405,875		34,662
Facebook, Cl A*	4.1		465,968		59,770
Fiserv, Cl A*	0.6		93,185		9,269
FleetCor Technologies*	0.8		65,197		11,327
Global Payments	0.6		119,098		9,142
Intuit	1.5		191,540		21,071
MasterCard, Cl A	2.1		293,441		29,863
Microsoft	3.9		977,374		56,297
PayPal Holdings*	2.5		874,367		35,823
Qualcomm	3.0		623,798		42,730
Symantec, Cl A	1.0		596,567		14,974
Tencent Holdings ADR	0.8		436,761		12,175
Visa, Cl A	4.6		799,040		66,081
Other Securities	2.2				32,210

					583,169


Materials — 1.8%
Sherwin-Williams, Cl A	1.0		53,333		14,755
Other Securities	0.8				10,866

					25,621


Real Estate — 3.9%
Crown Castle International^‡	2.7		410,045		38,630
Equinix^‡	1.2		49,967		18,001

					56,631


Telecommunication Services — 0.7%
Other Securities	0.7				10,586


Total Common Stock (Cost $1,053,964) ($ Thousands)					1,387,993




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION — 0.0%

Other Securities	0.0%			$	25


Total U.S. Treasury Obligation (Cost $25) ($ Thousands)					25


AFFILIATED PARTNERSHIP — 0.3%
SEI Liquidity Fund, L.P. 0.440% **^†(B)	0.3		4,044,105		4,044


Total Affiliated Partnership (Cost $4,044) ($ Thousands)					4,044


CASH EQUIVALENT — 4.3%
SEI Daily Income Trust, Government Fund, Cl A 0.220% **^†	4.3		62,625,698		62,626


Total Cash Equivalent (Cost $62,626) ($ Thousands)					62,626


Total Investments — 100.5% (Cost $1,120,659) ($ Thousands)				$	1,454,688

Percentages are based on a Net Assets of $1,446,920 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

^††	Narrow Industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

(A)	Certain securities or partial positions of certain securities are on loan at September 30, 2016, (see Note 10). The total market value of securities on loan at September 30, 2016, was $3,948 ($ Thousands).

(B)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2016 was $4,044 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	1,387,993	$	–	$	–	$	1,387,993
U.S. Treasury Obligation		–		25		–		25
Affiliated Partnership		–		4,044		–		4,044
Cash Equivalent		62,626		–		–		62,626


Total Investments in Securities	$	1,450,619	$	4,069	$	–	$	1,454,688

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “–” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK — 93.8%

Consumer Discretionary — 13.1%
Amazon.com, Cl A*	1.1%		49,176	$	41,176
General Motors	0.7		839,917		26,684
L Brands	0.7		364,619		25,804
Liberty Interactive QVC Group, Cl A*	0.7		1,198,119		23,974
TripAdvisor*	0.6		326,096		20,603
Other Securities(A)	9.3				335,612

					473,853


Consumer Staples — 6.6%
Tyson Foods, Cl A	0.7		359,376		26,835
Walgreens Boots Alliance	0.6		289,947		23,376
Wal-Mart Stores	0.6		276,893		19,969
Other Securities	4.7				168,348

					238,528


Energy — 6.1%
BP ADR(A)	0.6		639,751		22,494
Chevron	0.6		213,036		21,926
Devon Energy	0.7		606,496		26,752
Other Securities(A)	4.2				148,481

					219,653


Financials — 13.8%
Aflac	0.5		255,654		18,374
Bank of America	1.0		2,378,236		37,219
Berkshire Hathaway, Cl B*	0.6		148,096		21,395
Citigroup	0.5		379,987		17,947
Intercontinental Exchange	0.5		72,626		19,563
JPMorgan Chase	1.2		651,575		43,388
MetLife	0.7		591,627		26,286
Voya Financial	0.5		615,401		17,736
Wells Fargo	0.5		427,725		18,940
Other Securities^‡(A)(B)	7.8				279,502

					500,350


Health Care — 13.7%
Allergan*	0.6		89,650		20,647




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Amgen, Cl A	0.6%		120,417	$	20,087
Biogen*	1.5		176,222		55,163
Celgene, Cl A*	1.0		340,478		35,590
Johnson & Johnson	0.7		224,386		26,507
Merck	0.5		290,561		18,134
Pfizer	0.7		706,138		23,917
UnitedHealth Group	0.5		127,790		17,891
Other Securities(A)	7.6				278,782

					496,718


Industrials — 7.3%
Delta Air Lines, Cl A	0.5		448,474		17,652
Northrop Grumman	0.5		88,312		18,894
Raytheon	0.5		135,818		18,489
Other Securities(A)	5.8				207,947

					262,982


Information Technology — 23.6%
Alphabet, Cl A*	1.6		72,514		58,306
Alphabet, Cl C*	0.7		31,880		24,780
Apple	1.0		329,490		37,249
eBay*	0.9		1,003,808		33,025
Electronic Arts*	0.9		396,259		33,841
Facebook, Cl A*	1.5		430,310		55,196
Hewlett Packard Enterprise	0.8		1,248,924		28,413
Intel	0.6		570,596		21,540
MasterCard, Cl A	1.1		394,592		40,158
Micron Technology*	0.8		1,497,104		26,619
Microsoft	1.3		834,465		48,065
PayPal Holdings*	0.8		706,306		28,937
Qualcomm	1.5		809,951		55,482
Visa, Cl A	1.3		556,476		46,021
Other Securities(A)	8.8				316,526

					854,158


Materials — 3.6%
International Paper	0.5		408,052		19,578
Other Securities(A)	3.1				111,675

					131,253


Real Estate — 2.1%
Crown Castle International^‡	0.8		320,212		30,167
Equinix^‡	0.5		48,540		17,486
Other Securities^‡	0.8				30,233

					77,886


Telecommunication Services — 1.4%
Verizon Communications	0.7		483,896		25,153
Other Securities	0.7				26,603

					51,756


Utilities — 2.5%
Exelon	0.6		612,172		20,379
Other Securities	1.9				71,825

					92,204




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Total Common Stock (Cost $2,151,810) ($ Thousands)				$	3,399,341


RIGHTS — 0.0%

United States — 0.0%
Other Securities	0.0%				115


Total Rights (Cost $–) ($ Thousands)					115


U.S. TREASURY OBLIGATION — 0.0%

Other Securities (C)	0.0				1,005


Total U.S. Treasury Obligation (Cost $1,005) ($ Thousands)					1,005


AFFILIATED PARTNERSHIP — 3.1%
SEI Liquidity Fund, L.P. 0.440% **^†(D)	3.1		111,916,706		111,917


Total Affiliated Partnership (Cost $111,917) ($ Thousands)					111,917


CASH EQUIVALENT — 6.1%
SEI Daily Income Trust, Government Fund, Cl A 0.220% **^†	6.1		222,381,770		222,382


Total Cash Equivalent (Cost $222,382) ($ Thousands)					222,382


Total Investments — 103.0% (Cost $2,487,114) ($ Thousands)				$	3,734,760

A list of the open futures contracts held by the Fund at September 30, 2016 is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

146

Dec-2016

$23

S&P Mid Cap 400 Index E-MINI

Dec-2016

–

$23

Percentages are based on a Net Assets of $3,625,346 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	Certain securities or partial positions of certain securities are on loan at September 30, 2016, (see Note 10). The total market value of securities on loan at September 30, 2016, was $110,925 ($ Thousands).

(B)	Security is a Master Limited Partnership. At September 30, 2016, such securities amounted to $11,422 ($ Thousands), or 0.32% of Net Assets (see Note 2).

(C)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(D)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2016 was $111,917 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P— Standard & Poor’s

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	3,399,341	$	–	$	–	$	3,399,341
Rights		–		115		–		115
U.S. Treasury Obligation		–		1,005		–		1,005
Affiliated Partnership		–		111,917		–		111,917
Cash Equivalent		222,382		–		–		222,382


Total Investments in Securities	$	3,621,723	$	113,037	$	–	$	3,734,760



Other Financial Instruments	Level 1		Level 2		Level 3		Total

Futures Contracts *
Unrealized Appreciation	$	23	$	—	$	—	$	23

Total Other Financial Instruments	$	23	$	—	$	—	$	23

*	Future contracts are valued at the unrealized appreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.0%

Consumer Discretionary — 12.0%
Amazon.com, Cl A*	1.7%		13,504	$	11,307
Comcast, Cl A	0.8		82,348		5,463
Home Depot	0.8		42,409		5,457
McDonald’s	0.5		29,483		3,401
Starbucks	0.4		50,634		2,741
Walt Disney	0.7		50,644		4,703
Other Securities(A)	7.1				47,649

					80,721


Consumer Staples — 9.5%
Altria Group	0.6		66,973		4,235
Coca-Cola	0.8		133,949		5,669
CVS Health	0.5		36,852		3,279
PepsiCo	0.8		49,307		5,363
Philip Morris International	0.8		53,387		5,190
Procter & Gamble	1.2		92,231		8,278
Wal-Mart Stores	0.6		51,861		3,740
Other Securities	4.2				28,032

					63,786


Energy — 6.9%
Chevron	1.0		64,800		6,669
Exxon Mobil	1.9		142,846		12,468
Schlumberger, Cl A	0.6		48,000		3,775
Other Securities(A)	3.4				23,773

					46,685


Financials — 12.3%
Bank of America	0.8		349,945		5,477
Berkshire Hathaway, Cl B*	1.4		65,169		9,415
Citigroup	0.7		99,551		4,702
JPMorgan Chase	1.2		124,000		8,257
Wells Fargo	1.0		155,815		6,900
Other Securities	7.2				47,631

					82,382


Health Care — 13.9%
AbbVie	0.5		55,868		3,524
Allergan*	0.5		13,653		3,144
Amgen, Cl A	0.6		25,864		4,314




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Bristol-Myers Squibb	0.5%		57,692	$	3,111
Celgene, Cl A*	0.4		26,513		2,771
Gilead Sciences	0.5		45,166		3,573
Johnson & Johnson	1.7		94,012		11,106
Medtronic	0.6		47,772		4,127
Merck	0.9		95,174		5,940
Pfizer	1.1		208,656		7,067
UnitedHealth Group	0.7		32,660		4,572
Other Securities	5.9				39,753

					93,002


Industrials — 9.6%
3M	0.5		20,791		3,664
General Electric	1.4		307,709		9,114
Honeywell International	0.5		26,168		3,051
Union Pacific	0.4		28,801		2,809
Other Securities(A)	6.8				45,724

					64,362


Information Technology — 20.4%
Alphabet, Cl A*	1.2		10,167		8,175
Alphabet, Cl C*	1.2		10,095		7,847
Apple	3.1		185,182		20,935
Cisco Systems	0.8		172,861		5,483
Facebook, Cl A*	1.5		79,822		10,239
Intel	0.9		162,363		6,129
International Business Machines	0.7		29,846		4,741
MasterCard, Cl A	0.5		32,813		3,339
Microsoft	2.3		267,789		15,425
Oracle, Cl B	0.6		104,023		4,086
Qualcomm	0.5		50,754		3,477
Visa, Cl A	0.8		64,718		5,352
Other Securities(A)	6.3				41,622

					136,850


Materials — 2.8%
Other Securities	2.8				18,805


Real Estate — 2.9%
Other Securities^‡	2.9				19,674


Telecommunication Services — 2.5%
AT&T	1.3		211,959		8,608
Verizon Communications	1.1		140,296		7,292
Other Securities	0.1				1,152

					17,052


Utilities — 3.2%
Other Securities	3.2				21,191


Total Common Stock (Cost $321,045) ($ Thousands)					644,510




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 0.1%

Other Securities (B)	0.1%			$	804


Total U.S. Treasury Obligations (Cost $804) ($ Thousands)					804


AFFILIATED PARTNERSHIP — 0.5%
SEI Liquidity Fund, L.P. 0.440% **^†(C)	0.5		3,172,128		3,172


Total Affiliated Partnership (Cost $3,172) ($ Thousands)					3,172


CASH EQUIVALENT — 2.3%
SEI Daily Income Trust, Government Fund, Cl A 0.220% **^†	2.3		15,140,528		15,141


Total Cash Equivalent (Cost $15,141) ($ Thousands)					15,141


Total Investments — 98.9% (Cost $340,162) ($ Thousands)				$	663,627

A list of the open futures contracts held by the Fund at September 30, 2016 is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Appreciation)
($ Thousands)

S&P 500 Index E-MINI

160

Dec-2016

$304

For the year ended September 30, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on a Net Assets of $670,972 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	Certain securities or partial positions of certain securities are on loan at September 30, 2016, (see Note 10). The total market value of securities on loan at September 30, 2016, was $3,131 ($ Thousands).

(B)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2016 was $3,172 ($ Thousands).

(C)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P.— Limited Partnership

S&P— Standard & Poor’s

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	644,510	$	–	$	–	$	644,510
U.S. Treasury Obligations		–		804		–		804
Affiliated Partnership		–		3,172		–		3,172
Cash Equivalent		15,141		–		–		15,141


Total Investments in Securities	$	659,651	$	3,976	$	–	$	663,627




Other Financial Instruments	Level 1		Level 2		Level 3		Total

Futures Contracts *
Unrealized Appreciation	$	304	$	—	$	—	$	304

Total Other Financial Instruments	$	304	$	—	$	—	$	304

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “–” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK — 93.8%

Consumer Discretionary — 10.9%
Big Lots	0.5%		64,093	$	3,060
Bright Horizons Family Solutions*	0.5		42,498		2,843
Fiesta Restaurant Group*	0.6		147,779		3,547
Jack in the Box	0.6		37,181		3,567
MDC Partners, Cl A(A)	0.6		353,676		3,791
Steven Madden*	0.5		83,077		2,871
Other Securities(A)	7.6				44,206

					63,885


Consumer Staples — 2.8%
Other Securities(A)	2.8				16,323


Energy — 4.5%
PBF Energy, Cl A	0.5		126,720		2,869
Other Securities(A)	4.0				23,831

					26,700


Financials — 14.0%
Argo Group International Holdings	0.5		53,181		3,000
FNB (Pennsylvania)	0.5		257,388		3,166
Green Dot, Cl A*	0.6		161,841		3,732
Hanover Insurance Group, Cl A	0.5		39,334		2,967
Investors Bancorp	0.5		260,858		3,133
OFG Bancorp	0.5		302,636		3,060
Wintrust Financial	0.8		79,383		4,411
Other Securities^‡(A)	10.1				58,652

					82,121


Health Care — 14.0%
AMAG Pharmaceuticals*(A)	0.6		136,710		3,351
AMN Healthcare Services*	0.5		91,839		2,927
Analogic	0.4		29,849		2,645




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Cynosure, Cl A*	0.7%		76,795	$	3,912
Globus Medical, Cl A*(A)	0.5		122,619		2,767
Integra LifeSciences Holdings*	1.3		89,949		7,425
Lannett*(A)	0.5		110,280		2,930
Ligand Pharmaceuticals*	0.7		39,138		3,994
Molina Healthcare*(A)	0.6		61,824		3,606
Prestige Brands Holdings, Cl A*	0.8		96,657		4,666
Other Securities(A)	7.4				43,917

					82,140


Industrials — 16.0%
Apogee Enterprises	0.5		70,919		3,169
Atlas Air Worldwide Holdings*	0.6		80,224		3,435
EMCOR Group	0.5		52,082		3,105
ICF International, Cl A*	0.5		71,884		3,186
On Assignment*	0.6		92,090		3,342
WageWorks*	0.6		55,317		3,369
Wesco Aircraft Holdings*	0.5		201,182		2,702
Other Securities(A)	12.2				72,160

					94,468


Information Technology — 18.6%
Acxiom*	0.6		125,840		3,354
CalAmp*	0.5		219,948		3,068
Callidus Software*	0.5		173,491		3,184
Cavium*	0.7		70,945		4,129
Cornerstone OnDemand*	0.5		63,107		2,900
Exar*	0.5		313,097		2,915
FireEye*	0.5		194,618		2,867
Lumentum Holdings*(A)	0.5		72,414		3,025
Monolithic Power Systems	0.5		34,129		2,747
Open Text(A)	0.5		48,434		3,141
Proofpoint*	0.7		52,098		3,900
Take-Two Interactive Software, Cl A*	0.5		58,922		2,656
Other Securities(A)	12.1				71,734

					109,620


Materials — 4.1%
Berry Plastics Group*	0.6		81,534		3,575
Other Securities(A)	3.5				20,830

					24,405


Real Estate — 5.7%
Agree Realty^‡	0.4		53,294		2,635
Colony Starwood Homes^‡(A)	0.7		137,395		3,943
Gramercy Property Trust^‡	0.5		278,764		2,687
Other Securities‡(A)	4.1				24,333

					33,598


Telecommunication Services — 0.3%
Other Securities(A)	0.3				1,860


Utilities — 2.9%
PNM Resources	0.6		114,941		3,761
Portland General Electric	0.5		70,881		3,019
Spire	0.5		48,138		3,068




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Other Securities(A)	1.3%			$	7,328

					17,176


Total Common Stock (Cost $497,624) ($ Thousands)					552,296

EXCHANGE TRADED FUND — 0.2%
Other Securities	0.2				1,000

Total Exchange Traded Fund (Cost $974) ($ Thousands)					1,000

RIGHTS — 0.0%
United States — 0.0%
Other Securities	0.0%				—


Total Rights (Cost $–) ($ Thousands)					—


U.S. TREASURY OBLIGATION — 0.1%

Other Securities (B)	0.1				550


Total U.S. Treasury Obligation (Cost $550) ($ Thousands)					550


AFFILIATED PARTNERSHIP — 8.9%
SEI Liquidity Fund, L.P. 0.440% **^†(C)	8.9		52,352,212		52,352

Total Affiliated Partnership (Cost $52,352) ($ Thousands)					52,352


CASH EQUIVALENT — 6.1%
SEI Daily Income Trust, Government Fund, Cl A 0.220% **^†	6.1		35,775,093		35,775


Total Cash Equivalent (Cost $35,775) ($ Thousands)					35,775


Total Investments — 109.1% (Cost $587,275) ($ Thousands)				$	641,973

A list of the open futures contracts held by the Fund at September 30, 2016 is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Depreciation
($ Thousands)

Russell 2000 Index E-MINI

Dec-2016

$(38)

Percentages are based on a Net Assets of $588,415 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	Certain securities or partial positions of certain securities are on loan at September 30, 2016, (see Note 10). The total market value of securities on loan at September 30, 2016, was $51,461 ($ Thousands).

(B)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2016 was $52,352 ($ Thousands).

(C)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	552,296	$	–	$	–	$	552,296
Exchange Traded Fund		1,000		–		–		1,000
Rights		–		–		–		–
U.S. Treasury Obligation		–		550		–		550
Affiliated Partnership		–		52,352		–		52,352
Cash Equivalent		35,775		–		–		35,775


Total Investments in Securities	$	589,071	$	52,902	$	–	$	641,973




Other Financial Instruments	Level 1		Level 2		Level 3		Total

Futures Contracts *
Unrealized Depreciation	$	(38)	$	—	$	—	$	(38)

Total Other Financial Instruments	$	(38)	$	—	$	—	$	(38)

* Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.9%

Consumer Discretionary — 8.7%
Big Lots(A)	0.4%		34,258	$	1,636
Libbey	0.5		113,055		2,018
Matthews International, Cl A(A)	0.4		27,020		1,642
Other Securities(A)	7.4				27,098

					32,394


Consumer Staples — 4.0%
Sanderson Farms(A)	0.5		20,031		1,930
Other Securities(A)	3.5				13,125

					15,055


Energy — 5.7%
PBF Energy, Cl A(A)	0.6		100,508		2,276
Other Securities(A)	5.1				18,825

					21,101


Financials — 23.0%
Central Pacific Financial	0.5		72,803		1,834
CNO Financial Group	0.4		106,871		1,632
Customers Bancorp*(A)	0.4		64,300		1,618
First Commonwealth Financial	0.5		182,254		1,839
Fulton Financial(A)	0.7		167,050		2,426
Green Dot, Cl A*	0.5		80,924		1,866
Hanover Insurance Group, Cl A	0.6		30,346		2,289
Investors Bancorp	0.5		167,160		2,008
Kemper, Cl A(A)	0.5		44,447		1,748
Maiden Holdings(A)	0.6		175,865		2,232
Meridian Bancorp	0.6		134,614		2,096
National Bank Holdings, Cl A(A)	0.5		71,890		1,680
Northfield Bancorp	0.7		150,091		2,416
OFG Bancorp(A)	0.6		219,525		2,219
PacWest Bancorp	0.4		38,520		1,653
Popular	0.6		62,900		2,404
Starwood Property Trust^‡	0.5		79,897		1,799
State Bank Financial	0.5		85,600		1,953
Other Securities^‡(A)	13.4				50,000

					85,712




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Health Care — 5.9%
Accuray*	0.6%		331,209	$	2,110
Integra LifeSciences Holdings*	0.7		29,273		2,416
Lannett*(A)	0.5		74,604		1,982
Ligand Pharmaceuticals*(A)	0.5		18,870		1,926
Trinity Biotech ADR*	0.5		125,200		1,655
Other Securities(A)	3.1				11,794

					21,883


Industrials — 16.1%
ACCO Brands*	0.6		214,480		2,068
Atlas Air Worldwide Holdings*	0.6		56,390		2,415
BWX Technologies, Cl W	0.5		47,148		1,809
EMCOR Group	0.6		34,990		2,086
ICF International, Cl A*	0.6		54,664		2,423
KAR Auction Services	0.5		39,486		1,704
Triumph Group(A)	0.5		67,821		1,891
Other Securities(A)	12.2				45,750

					60,146


Information Technology — 12.6%
Exar*	0.5		208,974		1,945
NETGEAR*	0.5		31,721		1,919
Open Text	0.5		30,677		1,990
Sanmina*	0.7		89,010		2,534
SYNNEX	0.5		15,760		1,798
Other Securities(A)	9.9				36,713

					46,899


Materials — 5.1%
Innospec	0.5		29,911		1,819
Schweitzer-Mauduit International	0.4		42,088		1,623
Other Securities(A)	4.2				15,664

					19,106


Real Estate — 9.7%
Colony Starwood Homes^‡(A)	0.9		114,777		3,294
EPR Properties, Cl A^‡	0.4		20,515		1,615
Equity Commonwealth*^‡	0.6		71,225		2,152
GEO Group^‡(A)	0.4		69,447		1,652
Gramercy Property Trust^‡(A)	0.4		168,979		1,629
Other Securities^‡(A)	7.0				25,725

					36,067


Telecommunication Services — 0.4%
Other Securities(A)	0.4				1,366


Utilities — 3.7%
PNM Resources	0.7		77,025		2,520
Portland General Electric	0.8		66,477		2,831
Spire	0.5		27,070		1,725
Other Securities(A)	1.7				6,724

					13,800

Total Common Stock (Cost $304,053) ($ Thousands)					353,529




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

EXCHANGE TRADED FUND — 0.2%
Other Securities	0.2%			$	749

Total Exchange Traded Fund (Cost $729) ($ Thousands)					749


U.S. TREASURY OBLIGATION — 0.2%

Other Securities (B)	0.2				805


Total U.S. Treasury Obligation (Cost $805) ($ Thousands)					805


AFFILIATED PARTNERSHIP — 27.9%
SEI Liquidity Fund, L.P. 0.440% **^†(C)	27.9		104,012,713		104,013


Total Affiliated Partnership (Cost $104,013) ($ Thousands)					104,013


CASH EQUIVALENT — 4.8%
SEI Daily Income Trust, Government Fund, Cl A 0.220% **^†	4.8		17,700,145		17,700


Total Cash Equivalent (Cost $17,700) ($ Thousands)					17,700


Total Investments — 128.0% (Cost $427,300) ($ Thousands)				$	476,796

A list of the open futures contracts held by the Fund at September 30, 2016 is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Depreciation
($ Thousands)

Russell 2000 Index E-MINI

Dec-2016

$(3)

Percentages are based on a Net Assets of $372,465 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	Certain securities or partial positions of certain securities are on loan at September 30, 2016, (see Note 10). The total market value of securities on loan at September 30, 2016, was $102,682 ($ Thousands).

(B)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2016 was $104,013 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	353,529	$	–	$	–	$	353,529
Exchange Traded Fund		749		–		–		749
U.S. Treasury Obligation		–		805		–		805
Affiliated Partnership		–		104,013		–		104,013
Cash Equivalent		17,700		–		–		17,700

Total Investments in Securities	$	371,978	$	104,818	$	–	$	476,796



Other Financial Instruments	Level 1		Level 2		Level 3		Total

Futures Contracts *
Unrealized Depreciation	$	(3)	$	—	$	—	$	(3)

Total Other Financial Instruments	$	(3)	$	—	$	—	$	(3)

*	Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK^†† — 96.1%

Consumer Discretionary — 15.6%
2U*(A)	0.8%		64,602	$	2,474
Bright Horizons Family Solutions*	0.9		45,102		3,017
Core-Mark Holding, Cl A	0.6		57,387		2,054
Fiesta Restaurant Group*	0.7		88,056		2,113
Jack in the Box	0.8		26,199		2,513
MDC Partners, Cl A(A)	0.5		154,346		1,655
Monro Muffler	0.6		30,140		1,844
National CineMedia	0.7		151,530		2,230
Planet Fitness, Cl A*	0.6		91,915		1,845
Other Securities(A)	9.4				30,390

					50,135


Consumer Staples — 3.0%
Spectrum Brands Holdings(A)	0.9		21,998		3,029
Other Securities(A)	2.1				6,578

					9,607


Energy — 2.0%
Other Securities(A)	2.0				6,577


Financials — 4.5%
Other Securities(A)(B)(C)	4.5				14,522


Health Care — 21.6%
AMAG Pharmaceuticals*(A)	0.7		89,156		2,185
AMN Healthcare Services*	1.0		98,966		3,154
Cynosure, Cl A*	0.8		51,780		2,638
INC Research Holdings, Cl A*	0.6		44,901		2,002
Integra LifeSciences Holdings*	0.8		31,756		2,621
Ligand Pharmaceuticals*	0.9		27,700		2,827
Medidata Solutions*	0.5		31,396		1,751
Molina Healthcare*	0.7		37,932		2,212
Nevro*	0.6		17,370		1,813
Prestige Brands Holdings, Cl A*	1.0		67,487		3,258




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Supernus Pharmaceuticals*	0.5%		67,751	$	1,675
Other Securities(A)	13.5				43,258

					69,394


Industrials — 18.3%
Apogee Enterprises	0.8		56,608		2,530
Deluxe	1.2		59,800		3,996
Heritage-Crystal Clean*	0.5		123,630		1,642
Huron Consulting Group*(A)	0.6		29,411		1,758
John Bean Technologies, Cl A	0.6		27,265		1,923
MasTec*	0.5		57,929		1,723
On Assignment*	0.6		51,585		1,872
Swift Transportation, Cl A*	0.6		93,151		2,000
Tennant(A)	0.5		25,937		1,681
WageWorks*	0.6		33,063		2,014
Other Securities(A)	11.8				37,925

					59,064


Information Technology — 25.2%
Acxiom*	0.6		78,734		2,098
Blackbaud, Cl A	0.6		28,948		1,920
CalAmp*	0.6		150,093		2,094
Callidus Software*	0.9		153,824		2,823
Cavium*	0.8		43,795		2,549
Cornerstone OnDemand*	0.6		39,136		1,798
Euronet Worldwide*	0.6		22,470		1,839
FireEye*	0.6		122,884		1,810
Guidewire Software, Cl Z*	0.5		27,349		1,640
Littelfuse	0.9		21,395		2,756
LogMeIn*	0.5		18,204		1,645
Lumentum Holdings*	0.9		68,350		2,855
Monolithic Power Systems	1.0		39,791		3,203
Perficient*	0.5		88,245		1,778
Proofpoint*	0.9		40,412		3,025
Other Securities(A)	14.7				47,224

					81,057


Materials — 4.0%
Berry Plastics Group*	1.2		86,692		3,801
Sensient Technologies	0.6		25,375		1,923
Other Securities(A)	2.2				7,027

					12,751


Real Estate — 1.4%
National Storage Affiliates Trust^‡	0.6		91,120		1,908
Other Securities^‡(A)	0.8				2,520

					4,428


Telecommunication Services — 0.5%
8x8*	0.5		110,207		1,700




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Total Common Stock (Cost $293,595) ($ Thousands)				$	309,235


RIGHTS — 0.0%

United States — 0.0%
Other Securities	0.0%				—


Total Rights (Cost $–) ($ Thousands)					—


AFFILIATED PARTNERSHIP — 9.7%
SEI Liquidity Fund, L.P. 0.440% **^†(D)	9.7		31,160,567		31,161


Total Affiliated Partnership (Cost $31,161) ($ Thousands)					31,161


CASH EQUIVALENT — 3.9%
SEI Daily Income Trust, Government Fund, Cl A 0.220% **^†	3.9		12,401,264		12,401


Total Cash Equivalent (Cost $12,401) ($ Thousands)					12,401


Total Investments — 109.7% (Cost $337,157)($ Thousands)				$	352,797

Percentages are based on a Net Assets of $321,736 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

^††	Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

(A)	Certain securities or partial positions of certain securities are on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016, was $30,880 ($ Thousands).

(B)	Certain securities considered illiquid. The total value of such certain securities as of September 30, 2016 was $58 ($ Thousands) and represented 0.0% of Net Assets (Unaudited).

(C)	Certain securities considered restricted. The total market value of such certain securities as of September 30, 2016 was $58 ($ Thousands) and represented 0.0% of Net Assets.

(D)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2016 was $31,161 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total

Common Stock	$	309,177	$	–	$	58	$	309,235
Rights		–		–		–		–
Affiliated Partnership		–		31,161		–		31,161
Cash Equivalent		12,401		–		–		12,401


Total Investments in Securities	$	321,578	$	31,161	$	58	$	352,797

(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to the net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.1%

Consumer Discretionary — 10.8%
Aramark	0.4%		66,097	$	2,514
Big Lots(A)	0.4		60,114		2,870
Lithia Motors, Cl A	0.6		43,282		4,134
Pool	0.4		32,128		3,037
Other Securities(A)	9.0				61,735

					74,290


Consumer Staples — 3.4%
Ingredion	0.5		27,141		3,611
Other Securities(A)	2.9				19,720

					23,331


Energy — 5.0%
Concho Resources*	0.4		20,638		2,835
Parsley Energy, Cl A*	0.3		70,099		2,349
World Fuel Services	0.4		59,253		2,741
Other Securities(A)	3.9				26,926

					34,851


Financials — 13.6%
BGC Partners, Cl A	0.5		398,000		3,483
Green Dot, Cl A*	0.6		181,408		4,183
Hanover Insurance Group, Cl A	0.4		38,140		2,877
MB Financial	0.3		63,446		2,413
OFG Bancorp	0.6		426,661		4,314
PacWest Bancorp(A)	0.6		98,114		4,210
Starwood Property Trust^‡	0.5		138,635		3,122
Western Alliance Bancorp*	0.4		71,507		2,684
Other Securities^‡(A)	9.7				66,626

					93,912


Health Care — 12.0%
Akorn*(A)	0.4		92,909		2,533
Align Technology*	0.4		26,782		2,511
Community Health Systems*(A)	0.4		210,131		2,425
DexCom*(A)	0.3		26,872		2,356
Integra LifeSciences Holdings*	0.6		50,072		4,133




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Lannett*(A)	0.5%		130,610	$	3,470
Ligand Pharmaceuticals*(A)	0.8		55,043		5,618
Quintiles Transnational*	0.4		31,043		2,516
Other Securities(A)	8.2				57,240

					82,802


Industrials — 16.9%
Acacia Research*	0.4		425,615		2,775
ACCO Brands*	0.4		285,499		2,752
Atlas Air Worldwide Holdings*(A)	0.6		98,024		4,197
BWX Technologies, Cl W	0.8		142,775		5,478
Carlisle	0.5		34,980		3,588
Crane, Cl A	0.5		51,163		3,224
Dycom Industries*(A)	0.3		28,929		2,366
Genesee & Wyoming, Cl A*(A)	0.6		58,031		4,001
KAR Auction Services	0.5		85,739		3,700
Wesco Aircraft Holdings*(A)	0.4		209,569		2,815
Other Securities(A)	11.9				81,901

					116,797


Information Technology — 17.3%
Cirrus Logic*	0.3		44,230		2,351
Convergys	0.4		84,081		2,558
CoStar Group*	0.4		11,236		2,433
IAC*	0.5		49,937		3,120
InterDigital	0.4		32,257		2,555
Open Text	0.5		52,506		3,406
OSI Systems*	0.4		37,509		2,452
Zebra Technologies, Cl A*(A)	0.4		38,075		2,650
Other Securities(A)	14.0				97,737

					119,262


Materials — 6.2%
Avery Dennison	0.3		30,430		2,367
FMC	0.4		62,794		3,035
Silgan Holdings(A)	0.4		50,049		2,532
Other Securities(A)	5.1				34,810

					42,744


Real Estate — 7.2%
EPR Properties, Cl A^‡	0.4		33,739		2,657
Forest City Realty Trust, Cl A^‡	0.3		104,433		2,416
Highwoods Properties^‡	0.5		65,492		3,413
Howard Hughes*(A)	0.6		34,536		3,954
Medical Properties Trust^‡(A)	0.4		190,106		2,808
Other Securities‡(A)	5.0				34,646

					49,894


Telecommunication Services — 0.4%
Other Securities(A)	0.4				2,826


Utilities — 2.3%
Other Securities(A)	2.3				16,105




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Total Common Stock (Cost $462,053) ($ Thousands)				$	656,814


RIGHTS — 0.0%

United States — 0.0%
Other Securities	0.0%				12


Total Rights (Cost $–) ($ Thousands)					12


U.S. TREASURY OBLIGATION — 0.0%

Other Securities (B)	0.0				320


Total U.S. Treasury Obligation (Cost $320) ($ Thousands)					320


AFFILIATED PARTNERSHIP — 26.2%
SEI Liquidity Fund, L.P. 0.440% **^†(C)	26.2		180,708,367		180,708


Total Affiliated Partnership (Cost $180,708) ($ Thousands)					180,708


CASH EQUIVALENT — 4.9%
SEI Daily Income Trust, Government Fund, Cl A 0.220% **^†	4.9		33,688,560		33,689


Total Cash Equivalent (Cost $33,689) ($ Thousands)					33,689


Total Investments — 126.2% (Cost $676,770) ($ Thousands)				$	871,543

A list of the open futures contracts held by the Fund at September 30, 2016, are as follows:

Type of Contract

Number of
Contracts

Long

Expiration Date

Unrealized
Appreciation
(Depreciation)
($ Thousands)

Russell 2000 Index E-MINI

Dec-2016

S&P Mid Cap 400 Index E-MINI

Dec-2016

(3)

For the year ended September 30, 2016, the total amount of all open futures contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.

Percentages are based on a Net Assets of $690,473 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	Certain securities or partial positions of certain securities are on loan at September 30, 2016, (see Note 10). The total market value of securities on loan at September 30, 2016, was $178,774 ($ Thousands).

(B)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2016 was $180,708 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	656,814	$	–	$	–	$	656,814
Rights		–		12		–		12
U.S. Treasury Obligation		–		320		–		320
Affiliated Partnership		–		180,708		–		180,708
Cash Equivalent		33,689		–		–		33,689


Total Investments in Securities	$	690,503	$	181,040	$	–	$	871,543



Other Financial Instruments	Level 1		Level 2		Level 3		Total

Futures Contracts *
Unrealized Appreciation	$	5	$	—	$	—	$	5
Unrealized Depreciation		(3)		—		—		(3)

Total Other Financial Instruments	$	2	$	—	$	—	$	2

*	Futures contracts are valued at unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.3%

Consumer Discretionary — 14.2%
Best Buy	0.8%		18,400	$	702
Genuine Parts	0.8		6,700		673
Lear	0.7		5,300		642
Macy’s	0.8		18,200		674
PVH	0.7		5,700		630
Royal Caribbean Cruises(A)	0.7		8,600		645
Other Securities(A)	9.7				8,720

					12,686


Consumer Staples — 6.0%
Clorox	0.7		5,300		663
ConAgra Foods	0.8		15,900		749
Dr Pepper Snapple Group	0.8		7,500		685
JM Smucker	0.7		4,600		623
Tyson Foods, Cl A	1.0		11,600		866
Other Securities(A)	2.0				1,767

					5,353


Energy — 4.5%
Marathon Petroleum	0.9		19,200		779
Tesoro	0.7		7,800		621
Other Securities(A)	2.9				2,643

					4,043


Financials — 10.4%
Ally Financial	0.7		32,800		639
Ameriprise Financial	0.8		6,900		688
Raymond James Financial	0.7		10,600		617
Regions Financial	0.7		62,300		615
SunTrust Banks	0.9		18,200		797
Other Securities^‡(A)	6.6				5,945

					9,301


Health Care — 11.4%
C.R. Bard	0.8		3,300		740
Cerner*(A)	0.8		11,200		692
Edwards Lifesciences, Cl A*	1.1		8,400		1,013
Hologic*	0.7		16,600		644
Incyte*	0.8		7,700		726




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Intuitive Surgical*	0.9%		1,150	$	833
Mallinckrodt*	0.7		9,000		628
Other Securities	5.6				4,914

					10,190


Industrials — 11.9%
Cummins	0.9		5,800		743
Huntington Ingalls Industries, Cl A	0.7		4,200		644
Ingersoll-Rand	0.8		10,800		734
PACCAR	0.8		12,100		711
Stanley Black & Decker	0.8		6,000		738
Textron	0.7		15,900		632
United Continental Holdings*	0.9		15,700		824
Other Securities(A)	6.3				5,550

					10,576


Information Technology — 16.0%
Citrix Systems*	0.7		7,600		648
IAC*	0.7		10,000		625
Linear Technology	0.7		10,800		640
Symantec, Cl A	0.9		31,600		793
Synopsys*	0.7		10,500		623
Other Securities(A)	12.3				10,913

					14,242


Materials — 5.5%
Celanese, Ser A	0.7		9,300		619
Newmont Mining	1.0		21,700		853
Nucor	0.7		13,500		667
Other Securities(A)	3.1				2,776

					4,915


Real Estate — 9.5%
General Growth Properties^‡	0.7		22,300		616
HCP^‡	0.8		18,900		717
ProLogis^‡	0.9		14,600		782
Other Securities^‡(A)	7.1				6,340

					8,455


Telecommunication Services — 0.3%
Other Securities	0.3				215


Utilities — 7.6%
AES	0.7		51,200		658
DTE Energy	0.8		7,500		703
Entergy	0.8		8,500		652
Eversource Energy	0.7		11,600		629
PPL	0.9		22,300		771
Public Service Enterprise Group	0.8		17,500		733
UGI	0.7		14,100		638
Other Securities	2.2				1,994

					6,778

Total Common Stock (Cost $79,974) ($ Thousands)					86,754




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION — 0.1%

Other Securities (B)	0.1%			$	50


Total U.S. Treasury Obligation (Cost $50) ($ Thousands)					50


AFFILIATED PARTNERSHIP — 6.4%
SEI Liquidity Fund, L.P.
0.440% **^†(C)	6.4		5,714,002		5,714


Total Affiliated Partnership (Cost $5,714) ($ Thousands)					5,714


CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Government Fund, Cl A
0.220% **^†	2.5		2,188,571		2,189


Total Cash Equivalent (Cost $2,189) ($ Thousands)					2,189


Total Investments — 106.3% (Cost $87,927)($ Thousands)				$	94,707

Percentages are based on a Net Assets of $89,130 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	Certain securities or partial positions of certain securities are on loan at September 30, 2016, (see Note 10). The total market value of securities on loan at September 30, 2016, was $5,670 ($ Thousands).

(B)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total value of such securities as of September 30, 2016 was $5,714 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	86,754	$	–	$	–	$	86,754
U.S. Treasury Obligation		–		50		–		50
Affiliated Partnership		–		5,714		–		5,714
Cash Equivalent		2,189		–		–		2,189


Total Investments in Securities	$	88,943	$	5,764	$	–	$	94,707

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.4%

Consumer Discretionary — 10.3%
Aramark	0.6%		242,246	$	9,213
Cheesecake Factory	0.6		178,130		8,917
McDonald’s	0.9		124,799		14,397
Michael Kors Holdings*	0.6		200,786		9,395
Target, Cl A	1.3		301,008		20,673
Other Securities	6.3				103,176

					165,771


Consumer Staples — 17.7%
Altria Group	1.3		329,611		20,841
Clorox	0.6		83,056		10,397
Costco Wholesale	0.7		74,318		11,334
Dr Pepper Snapple Group	1.6		287,944		26,292
General Mills	0.7		168,008		10,732
Kimberly-Clark	0.8		96,029		12,113
Kroger	0.6		316,876		9,405
McCormick	0.7		111,502		11,141
PepsiCo	1.1		157,328		17,113
Philip Morris International	1.0		165,454		16,085
SYSCO, Cl A	1.0		325,257		15,941
Tyson Foods, Cl A	0.8		166,658		12,444
Wal-Mart Stores	2.0		441,835		31,865
Other Securities	4.8				79,792

					285,495


Energy — 0.8%
Exxon Mobil	0.6		111,500		9,732
Other Securities	0.2				2,404

					12,136


Financials — 14.3%
Axis Capital Holdings	0.8		228,855		12,434
Berkshire Hathaway, Cl B*	0.7		75,500		10,908
CBOE Holdings	0.8		210,763		13,668
Everest Re Group	1.2		98,136		18,643
RenaissanceRe Holdings	0.7		96,068		11,543
Travelers	1.0		136,430		15,628
Validus Holdings	1.0		309,657		15,427




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Other Securities^‡	8.1%			$	132,748

					230,999


Health Care — 16.2%
Bristol-Myers Squibb	0.6		175,186		9,446
Cardinal Health	1.0		198,143		15,396
Johnson & Johnson	2.2		299,129		35,336
McKesson	0.7		69,018		11,509
Merck	1.4		366,497		22,873
Pfizer	1.3		638,521		21,627
Quest Diagnostics	0.6		118,057		9,991
Teleflex	0.6		55,217		9,279
Other Securities	7.8				126,916

					262,373


Industrials — 7.1%
Lockheed Martin	0.8		54,845		13,147
Northrop Grumman	0.6		47,300		10,120
Raytheon	0.6		66,945		9,113
Waste Management	0.7		180,423		11,504
Other Securities	4.4				70,415

					114,299


Information Technology — 11.9%
Amdocs	1.5		427,486		24,730
Cisco Systems	0.6		293,400		9,307
Intel	0.6		264,400		9,981
International Business Machines	0.8		76,760		12,193
Symantec, Cl A	0.9		590,040		14,810
Other Securities	7.5				120,949

					191,970


Materials — 1.9%
Other Securities	1.9				31,211


Real Estate — 2.5%
Other Securities^‡	2.5				40,848


Telecommunication Services — 5.8%
AT&T	2.1		843,923		34,272
Verizon Communications	2.1		649,368		33,754
Other Securities	1.6				25,686

					93,712


Utilities — 8.9%
American Electric Power	0.8		203,085		13,040
Edison International	0.7		153,245		11,072
Entergy	0.8		177,552		13,623
Public Service Enterprise Group	0.7		284,103		11,895
Southern	0.7		217,141		11,139
Other Securities	5.2				83,048

					143,817

Total Common Stock (Cost $1,355,387) ($ Thousands)					1,572,631




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION — 0.0%

Other Securities (A)	0.0%			$	965


Total U.S. Treasury Obligation (Cost $965) ($ Thousands)					965


CASH EQUIVALENT — 2.4%
SEI Daily Income Trust, Government Fund, Cl A
0.220% **^†	2.4		39,118,496		39,118


Total Cash Equivalent (Cost $39,118) ($ Thousands)					39,118


Total Investments — 99.8% (Cost $1,395,470)($ Thousands)				$	1,612,714

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Depreciation
($ Thousands)

S&P 500 Index E-MINI

238

Dec-2016

$(102)

Percentages are based on a Net Assets of $1,615,168 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

CI — Class

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	1,572,631	$	–	$	–	$	1,572,631
U.S. Treasury Obligation		–		965		–		965
Cash Equivalent		39,118		–		–		39,118


Total Investments in Securities	$	1,611,749	$	965	$	–	$	1,612,714




Other Financial Instruments	Level 1		Level 2		Level 3		Total

Futures Contracts *
Unrealized Depreciation	$	(102)	$	—	$	—	$	(102)


Total Other Financial Instruments	$	(102)	$	—	$	—	$	(102)

*	Futures Contracts are valued at the unrealized depreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK — 93.6%

Australia — 4.3%
Wesfarmers	0.8%		400,112	$	13,565
Other Securities ^‡	3.5%				60,358


					73,923


Austria — 0.9%
Other Securities	0.9				16,361


Belgium — 0.3%
Other Securities ^‡	0.3				5,896


Canada — 9.2%
Bank of Montreal	0.6		162,917		10,657
BCE	0.7		250,039		11,547
Rogers Communications, Cl B	1.1		428,024		18,127
Other Securities ^‡	6.8				118,027


					158,358


Denmark — 0.8%
Other Securities	0.8				14,427


Finland — 0.0%
Other Securities	0.0				429


France — 0.2%
Other Securities	0.2				3,003


Germany — 1.1%
Other Securities (A)	1.1				18,905


Guernsey — 0.6%
Amdocs	0.6		174,841		10,115


Hong Kong — 3.2%
CLP Holdings, Cl B	1.2		1,939,046		20,115
Other Securities ^‡(A)	2.0				34,823


					54,938


Ireland — 0.1%
Other Securities ^‡	0.1				1,376




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Israel — 1.4%
Bank Hapoalim	0.7%		2,047,460	$	11,613
Other Securities	0.7				12,611


					24,224


Italy — 1.0%
Other Securities	1.0				17,482


Japan — 7.4%
NTT DOCOMO	0.6		400,492		10,193
Other Securities ^‡	6.8				117,844


					128,037


Luxembourg — 0.1%
Other Securities	0.1				1,245


Netherlands — 0.3%
Other Securities	0.3				4,493


New Zealand — 2.4%
Other Securities ^‡	2.4				40,937


Norway — 2.4%
Norsk Hydro	0.6		2,572,894		11,090
Orkla	0.7		1,248,316		12,908
Telenor	0.7		652,264		11,195
Other Securities	0.4				6,527


					41,720


Portugal — 0.1%
Other Securities	0.1				2,113


Singapore — 1.1%
Other Securities ^‡	1.1				18,887


Spain — 1.8%
Red Electrica	0.6		481,326		10,388
Other Securities	1.2				21,274


					31,662


Sweden — 1.2%
Swedish Match	0.8		360,153		13,241
Other Securities	0.4				7,469


					20,710


Switzerland — 4.3%
Nestle	1.3		271,140		21,411
Other Securities	3.0				51,951


					73,362


United Kingdom — 4.9%
British American Tobacco	0.6		165,864		10,635
Imperial Brands	0.9		288,753		14,923
Other Securities ^‡	3.4				58,451


					84,009


United States — 44.5%
Altria Group	0.8		221,141		13,983
AmerisourceBergen	0.7		140,293		11,333




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
AT&T	1.1%		483,387	$	19,630
C.R. Bard	0.7		51,707		11,597
Cardinal Health	0.6		134,707		10,467
Church & Dwight	0.6		227,952		10,923
Clorox	1.2		168,546		21,099
Coca-Cola	0.6		258,267		10,930
Colgate-Palmolive	0.6		145,431		10,782
DaVita HealthCare Partners *	0.7		171,636		11,340
Estee Lauder, Cl A	0.6		115,533		10,232
Fresh Del Monte Produce	0.7		196,100		11,746
General Mills	1.0		275,123		17,575
Henry Schein *	0.6		63,568		10,360
Johnson & Johnson	0.9		126,488		14,942
Kellogg	0.6		133,497		10,342
Kimberly-Clark	1.2		162,723		20,526
McCormick	0.6		103,839		10,376
McDonald’s	0.7		110,050		12,695
Merck	0.6		168,977		10,546
PepsiCo	0.8		125,828		13,686
Pfizer	0.6		300,268		10,170
Philip Morris International	0.6		109,808		10,676
Procter & Gamble	1.1		200,966		18,037
Quest Diagnostics	0.7		132,457		11,210
Reliance Steel & Aluminum	0.6		148,601		10,704
Republic Services	0.7		221,347		11,167
Southern	0.6		215,618		11,061
Spectrum Brands Holdings	0.7		85,005		11,704
SYSCO, Cl A	1.3		462,691		22,677
Teleflex	0.6		64,954		10,916
United Parcel Service, Cl B	0.6		100,910		11,036
Wal-Mart Stores	1.2		287,665		20,746
Waste Management	0.7		180,447		11,505
Other Securities ^‡	18.6				320,170


					766,889


Total Common Stock (Cost $1,406,520) ($ Thousands)					1,613,501


PREFERRED STOCK — 0.3%

Germany — 0.3%
Other Securities	0.3				4,218


Sweden — 0.0%
Other Securities	0.0				546

Total Preferred Stock (Cost $4,580) ($ Thousands)					4,764


RIGHT — 0.0%

United Kingdom — 0.0%
Other Securities	0.0%				2


Total Right (Cost $–) ($ Thousands)					2




Description	Percentage of Net Assets (%)	Shares		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION — 0.3%

Other Securities (B)	0.%			$	4,300


Total U.S. Treasury Obligation (Cost $4,299) ($ Thousands)					4,300


CASH EQUIVALENT — 4.8%
SEI Daily Income Trust, Government Fund, Cl A
0.220% **^†	4.8		83,471,339		83,471


Total Cash Equivalent (Cost $83,471) ($ Thousands)					83,471


Total Investments — 99.0% (Cost $1,498,870)($ Thousands)				$	1,706,038

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:



Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)

DJ Euro Stoxx 50 Index		238		Dec-2016		$72
FTSE 100 Index		61		Dec-2016		149
Hang Seng Index		8		Oct-2016		(6)
S&P 500 Index E-MINI		358		Dec-2016		(199)
SPI 200 Index		27		Dec-2016		71
Topix Index		41		Dec-2016		(11)

						$76

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:



Settlement Date	Currency to Deliver (Thousands)		Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)

10/28/16	USD	30	DKK	201		$—
10/28/16	USD	35	DKK	232		—
10/28/16	USD	3	SEK	28		—
10/28/16	USD	139	SEK	1,190		—
10/28/16	USD	194	SGD	264		—
10/28/16	USD	487	HKD	3,779		—
10/28/16	USD	192	AUD	251		—
10/28/16	USD	409	AUD	535		—
10/28/16	USD	356	NOK	2,878		4
10/28/16	USD	251	NOK	2,007		—
10/28/16	USD	133	CHF	129		—
10/28/16	USD	477	CHF	461		(1)
10/28/16	USD	617	NZD	848		(1)
10/28/16	USD	389	GBP	300		—
10/28/16	USD	441	GBP	339		—
10/28/16	USD	471	EUR	419		—
10/28/16	USD	616	EUR	547		(1)
10/28/16	USD	316	CAD	418		2
10/28/16	USD	1,003	CAD	1,315		(2)
10/28/16	USD	1,695	JPY	170,242		(12)
10/28/16	SGD	16,987	USD	12,492		26
10/28/16	DKK	25,951	USD	3,928		6
10/28/16	DKK	84	USD	13		—
10/28/16	NZD	36,376	USD	26,406		(13)
10/28/16	GBP	37,259	USD	48,367		(52)
10/28/16	CHF	38,264	USD	39,611		71
10/28/16	CHF	109	USD	113		—
10/28/16	AUD	88	USD	68		—
10/28/16	AUD	43,193	USD	32,973		(57)
10/28/16	EUR	62,735	USD	70,780		201
10/28/16	EUR	192	USD	215		(1)
10/28/16	SEK	106,124	USD	12,463		58
10/28/16	SEK	245	USD	28		—
10/28/16	CAD	108,544	USD	82,421		(195)
10/28/16	NOK	172,764	USD	21,315		(309)
10/28/16	HKD	670	USD	86		—
10/28/16	HKD	224,627	USD	28,969		(1)
10/28/16	JPY	6,491,083	USD	64,722		548
10/28/16	JPY	79,048	USD	778		(3)

						$268

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:

Counterparty

Currency to
Deliver
($ Thousands)

Currency to
Receive

($ Thousands)

Unrealized
Appreciation
($ Thousands)

Brown Brothers Harriman

$(453,727)

$453,995

$268

For the year ended September 30, 2016, the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.

Percentages are based on a Net Assets of $1,723,671 ($ Thousands).

*	Non-income producing security.

**	The rate reported is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2016, the value of these securities amounted to $5,233 ($ Thousands), representing 0.3% of the net assets of the Fund.

(B)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

CI — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE — Financial Times and the London Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NZD — New Zealand Dollar

S&P — Standard & Poor’s

SEK — Swedish Krona

SGD — Singapore Dollar

SPI — Share Price Index

USD — United States Dollar

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	1,606,477	$	7,024	$	–	$	1,613,501
Preferred Stock		4,764		–		–		4,764
Rights		2		–		–		2
U.S. Treasury Obligation		–		4,300		–		4,300
Cash Equivalent		83,471		–		–		83,471

Total Investments in Securities	$	1,694,714	$	11,324	$	–	$	1,706,038




Other Financial Instruments	Level 1		Level 2		Level 3		Total

Futures Contracts *
Unrealized Appreciation	$	292	$	—	$	—	$	292
Unrealized Depreciation		(216)		—		—		(216)
Forwards Contracts *
Unrealized Appreciation		—		916		—		916
Unrealized Depreciation		—		(648)		—		(648)

Total Other Financial Instruments	$	76	$	268	$	—	$	344

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.




Description	Percentage of Net Assets (%)		Shares		Market Value ($ Thousands)


COMMON STOCK — 97.0%

Consumer Discretionary — 7.0%
McDonald’s		0.6%		62,343	$	7,192
Target, Cl A		1.0		167,437		11,500
Other Securities		5.4				65,652

						84,344

Consumer Staples — 18.6%
Altria Group		1.4		261,314		16,523
Clorox		0.7		66,941		8,380
Colgate-Palmolive		0.7		108,720		8,060
Costco Wholesale		0.6		46,833		7,142
Dr Pepper Snapple Group		1.0		126,030		11,508
Kellogg		0.7		109,824		8,508
McCormick		0.6		77,336		7,727
PepsiCo		0.8		92,067		10,014
Philip Morris International		0.8		103,617		10,074
Procter & Gamble		0.7		93,908		8,428
SYSCO, Cl A		0.8		207,100		10,150
Tyson Foods, Cl A		0.8		129,190		9,647
Wal-Mart Stores		1.6		262,663		18,943
Other Securities		7.4				88,452

						223,556

Energy — 0.7%
Exxon Mobil		0.7		94,000		8,204


Financials — 15.0%
Axis Capital Holdings		1.0		205,917		11,187
Berkshire Hathaway, Cl B*		0.7		59,100		8,538
CBOE Holdings		0.8		148,665		9,641
Everest Re Group		1.0		63,442		12,052
RenaissanceRe Holdings		1.1		113,370		13,623
Travelers		1.0		97,150		11,129
Validus Holdings		1.2		295,336		14,714
Other Securities^‡		8.2				98,604

						179,488

Health Care — 14.9%
Aetna, Cl A		0.6		63,300		7,308




Description	Percentage of Net Assets (%)		Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Cardinal Health		0.7%		112,500	$	8,741
Johnson & Johnson		2.2		221,361		26,149
Laboratory Corp of America Holdings*		0.6		53,374		7,338
Merck		1.3		252,680		15,770
Pfizer		1.9		659,915		22,351
Quest Diagnostics		0.6		88,320		7,475
UnitedHealth Group		0.7		61,650		8,631
Other Securities		6.3				74,478

						178,241

Industrials — 8.1%
Lockheed Martin		0.7		35,667		8,550
Northrop Grumman		0.9		49,100		10,505
Raytheon		0.8		66,100		8,998
Waste Management		0.6		116,082		7,401
Other Securities		5.1				62,123

						97,577

Information Technology — 10.3%
Amdocs		1.0		202,640		11,723
Cisco Systems		0.6		242,600		7,695
Intel		0.7		210,500		7,946
International Business Machines		0.8		59,400		9,436
Symantec, Cl A		1.0		460,474		11,558
Other Securities		6.2				74,945

						123,303

Materials — 1.6%
Other Securities		1.6				19,306


Real Estate — 3.3%
Other Securities^‡		3.3				39,378


Telecommunication Services — 5.0%
AT&T		2.0		586,491		23,817
Verizon Communications		1.5		353,624		18,381
Other Securities		1.5				18,210

						60,408

Utilities — 12.5%
American Electric Power		0.9		162,970		10,464
Consolidated Edison		1.1		165,942		12,495
Edison International		0.9		155,510		11,236
Entergy		0.9		144,460		11,084
PG&E		0.9		171,750		10,506
Public Service Enterprise Group		0.8		239,620		10,033
Southern		0.7		162,833		8,353
WEC Energy Group		0.6		121,631		7,283
Other Securities		5.7				67,756

						149,210




Description	Percentage of Net Assets (%)		Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Total Common Stock (Cost $909,663) ($ Thousands)					$	1,163,015


RIGHTS — 0.0%

United States — 0.0%
Other Securities		0.0%				91


Total Rights (Cost $–) ($ Thousands)						91


U.S. TREASURY OBLIGATION — 0.1%

Other Securities (A)		0.1				1,220


Total U.S. Treasury Obligation (Cost $1,220) ($ Thousands)						1,220


CASH EQUIVALENT — 2.8%
SEI Daily Income Trust, Government Fund, Cl A 0.220% **^†		2.8		34,071,775		34,072


Total Cash Equivalent (Cost $34,072) ($ Thousands)						34,072


Total Investments — 99.9% (Cost $944,955)($ Thousands)					$	1,198,398

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of

Contracts

Long

Expiration Date

Unrealized

Depreciation

($ Thousands)

S&P 500 Index E-MINI

196

Dec-2016

$(42)

Percentages are based on a Net Assets of $1,199,495 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of September 30, 2016.

^‡

Real Estate Investment Trust.

^†

Investment in Affiliated Security (see Note 6).

(A)

Security, or portion thereof, has been pledged as collateral on open futures contracts.

CI — Class

S&P— Standard & Poor’s

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	1,163,015	$	–	$	–	$	1,163,015
Rights		–		91		–		91
U.S. Treasury Obligation		–		1,220		–		1,220
Cash Equivalent		34,072		–		–		34,072

Total Investments in Securities	$	1,197,087	$	1,311	$	–	$	1,198,398



Other Financial Instruments	Level 1		Level 2		Level 3		Total

Futures Contracts *
Unrealized Depreciation	$	(42)	$	—	$	—	$	(42)

Total Other Financial Instruments	$	(42)	$	—	$	—	$	(42)

* Futures contracts are valued at unrealized depreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Shares		Market Value ($ Thousands)


COMMON STOCK — 96.9%

Real Estate — 96.9%
Alexandria Real Estate Equities^‡		25,220	$	2,743
American Homes 4 Rent, Cl A^‡		135,075		2,923
Apartment Investment & Management, Cl A^‡		46,361		2,128
AvalonBay Communities^‡		46,106		8,200
Boston Properties^‡		25,470		3,471
Brixmor Property Group^‡		45,150		1,255
Camden Property Trust^‡		20,590		1,724
Care Capital Properties^‡		16,223		462
CBL & Associates Properties^‡		112,125		1,361
Chesapeake Lodging Trust^‡		47,995		1,099
Colony Starwood Homes^‡		16,925		486
Columbia Property Trust^‡		33,790		757
CoreSite Realty^‡		11,500		852
Corporate Office Properties Trust^‡		39,510		1,120
CubeSmart^‡		143,075		3,900
CyrusOne^‡		62,915		2,993
DDR^‡		228,955		3,991
DiamondRock Hospitality^‡		35,290		321
Digital Realty Trust, Cl A^‡		41,250		4,006
Douglas Emmett^‡		124,450		4,559
Duke Realty^‡		118,570		3,241
Easterly Government Properties^‡(A)		14,060		268
Education Realty Trust ^‡		25,250		1,089
Equinix ^‡		21,430		7,720
Equity Commonwealth *^‡		58,925		1,781
Equity One, Cl A ^‡		71,380		2,185
Equity Residential ^‡		135,555		8,720
Essex Property Trust ^‡		18,749		4,175
Extra Space Storage ^‡		16,200		1,286
Federal Realty Investment Trust ^‡		10,250		1,578
Forest City Realty Trust, Cl A ^‡		54,050		1,250
General Growth Properties ^‡		191,444		5,284
HCP ^‡		84,200		3,195
Healthcare Realty Trust ^‡		17,860		608
Healthcare Trust of America, Cl A ^‡		56,610		1,847
Highwoods Properties ^‡		43,730		2,279
Hospitality Properties Trust ^‡		63,315		1,882
Host Hotels & Resorts ^‡		343,224		5,344
Hudson Pacific Properties ^‡		101,740		3,344
Kilroy Realty ^‡		13,175		914
Kimco Realty ^‡		137,810		3,990
Kite Realty Group Trust ^‡		22,990		637
Liberty Property Trust ^‡		94,935		3,831
Life Storage ^‡		31,695		2,819




Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Macerich ^‡		52,514	$	4,247
Mack-Cali Realty ^‡		13,620		371
Medical Properties Trust ^‡		9,530		141
Mid-America Apartment Communities ^‡		7,900		743
Pebblebrook Hotel Trust ^‡(A)		36,175		962
Post Properties ^‡		11,125		736
ProLogis ^‡		167,827		8,986
PS Business Parks ^‡		9,983		1,134
Public Storage ^‡		45,121		10,068
QTS Realty Trust, Cl A ^‡		12,380		654
Ramco-Gershenson Properties ^‡		29,940		561
Regency Centers ^‡		40,290		3,122
RLJ Lodging Trust ^‡		25,900		545
Senior Housing Properties Trust ^‡		173,475		3,940
Simon Property Group ^‡		76,078		15,749
SL Green Realty ^‡		10,260		1,109
STAG Industrial ^‡		30,780		754
STORE Capital ^‡		31,810		937
Sun Communities ^‡		25,050		1,966
Sunstone Hotel Investors ^‡		83,926		1,073
UDR ^‡		78,020		2,808
Ventas ^‡		83,145		5,873
Vornado Realty Trust ^‡		75,965		7,688
Washington ^‡		30,960		964
Weingarten Realty Investors ^‡		80,770		3,148
Welltower ^‡		119,290		8,919


Total Common Stock (Cost $159,456) ($ Thousands)				204,816


AFFILIATED PARTNERSHIP — 0.5%
SEI Liquidity Fund, L.P. 0.440% **^†(B)		1,023,992		1,024


Total Affiliated Partnership (Cost $1,024) ($ Thousands)				1,024


CASH EQUIVALENT — 3.5%
SEI Daily Income Trust, Government Fund, CI A
0.220%**^†		7,522,350		7,522


Total Cash Equivalent (Cost $7,522) ($ Thousands)				7,522


Total Investments — 100.9% (Cost $168,002) ($ Thousands)			$	213,362

Percentages are based on Net Assets of $211,420 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $1,020 ($ Thousands).

(B)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $1,024 ($ Thousands).

CI — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	204,816	$	–	$	–	$	204,816
Affiliated Partnership		–		1,024		–		1,024
Cash Equivalent		7,522		–		–		7,522


Total Investments in Securities	$	212,338	$	1,024	$	–	$	213,362

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS — 37.8%

Consumer Discretionary — 4.9%
American Honda Finance MTN
1.700%, 02/22/2019	$	500	$	504
AutoZone
1.625%, 04/21/2019		70		70
CCO Holdings LLC
5.250%, 09/30/2022		250		262
Daimler Finance North America LLC
1.650%, 05/18/2018 (A)		300		301
1.500%, 07/05/2019 (A)		535		531
Dollar Tree
5.750%, 03/01/2023		125		135
Ford Motor Credit LLC
1.897%, 08/12/2019		350		350
1.724%, 12/06/2017		350		350
1.675%, 03/12/2019 (B)		400		400
General Motors Financial
2.400%, 04/10/2018		750		755
Hyundai Capital America MTN
2.000%, 03/19/2018 (A)		235		236
2.000%, 07/01/2019 (A)		300		302
NBCUniversal Enterprise
1.365%, 04/15/2018 (A)(B)		550		554
Nissan Motor Acceptance MTN
1.385%, 03/03/2017 (A)(B)		310		311
Numericable-SFR SAS
7.375%, 05/01/2026 (A)		300		307
Sinclair Television Group
5.625%, 08/01/2024 (A)		500		511
Sirius XM Radio
5.375%, 04/15/2025 (A)		100		103




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
5.375%, 07/15/2026 (A)	$	235	$	243
Six Flags Entertainment
4.875%, 07/31/2024 (A)		100		101
Thomson Reuters
1.650%, 09/29/2017		345		346
Time Warner Cable
5.850%, 05/01/2017		450		461
Toyota Motor Credit MTN
1.200%, 04/06/2018		650		650
Tribune Media
5.875%, 07/15/2022		185		187
Volkswagen Group of America Finance
1.281%, 05/22/2018 (A)(B)		300		298
1.251%, 11/20/2017 (A)(B)		800		797
1.250%, 05/23/2017 (A)		300		299
Whirlpool
1.350%, 03/01/2017		440		440

				9,804


Consumer Staples — 2.2%
Anheuser-Busch InBev Finance
1.900%, 02/01/2019		320		323
1.157%, 02/01/2019 (B)		650		649
CVS Health
1.900%, 07/20/2018		350		353
JM Smucker
1.750%, 03/15/2018		180		181
Kroger
2.000%, 01/15/2019		220		223
Kroger MTN
1.500%, 09/30/2019		285		285
Molson Coors Brewing
1.450%, 07/15/2019		140		140
Mondelez International
1.277%, 02/01/2019 (B)		450		450
Reynolds American
2.300%, 06/12/2018		445		452
SABMiller Holdings
1.447%, 08/01/2018 (A)(B)		500		500
Skandinaviska Enskilda Banken
1.404%, 09/13/2019 (A)(B)		300		300
Walgreens Boots Alliance
1.750%, 05/30/2018		450		452

				4,308


Energy — 3.9%
Anadarko Petroleum
6.950%, 06/15/2019		235		260
Atwood Oceanics
6.500%, 02/01/2020		350		276
Blue Racer Midstream
6.125%, 11/15/2022 (A)		107		105



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
BP Capital Markets PLC(B)
1.487%, 09/26/2018	$	700	$	703
1.242%, 02/13/2018		400		400
ConocoPhillips
1.500%, 05/15/2018		395		395
Devon Energy
1.390%, 12/15/2016 (B)		600		599
Enbridge
1.289%, 06/02/2017 (B)		675		674
Energy Transfer Partners
2.500%, 06/15/2018		350		352
Exxon Mobil
1.439%, 03/01/2018		400		402
Genesis Energy
6.750%, 08/01/2022		162		167
6.000%, 05/15/2023		95		94
Gibson Energy
6.750%, 07/15/2021 (A)		64		66
Halcon Resources
8.625%, 02/01/2020 (A)		120		121
Hess
1.300%, 06/15/2017		160		160
Kinder Morgan
2.000%, 12/01/2017		270		270
Noble Energy
8.250%, 03/01/2019		250		286
Regency Energy Partners
5.000%, 10/01/2022		200		211
Schlumberger Holdings
1.900%, 12/21/2017 (A)		550		553
Shell International Finance BV
1.375%, 05/10/2019		500		499
Statoil
1.248%, 11/08/2018 (B)		300		300
Suncor Energy
6.100%, 06/01/2018		375		403
Total Capital International
1.377%, 08/10/2018 (B)		450		451


				7,747


Financials — 16.9%
Australia & New Zealand Banking Group(B)
1.377%, 05/15/2018		300		301
1.045%, 01/10/2017 (A)		300		300
Bank of America
1.610%, 09/15/2036 (B)		700		626
Bank of America MTN
5.650%, 05/01/2018		110		117
2.000%, 01/11/2018		190		191
1.700%, 08/25/2017		500		501
Bank of Montreal MTN
1.265%, 04/09/2018 (B)		650		652



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Bank of New York Mellon MTN
1.275%, 03/06/2018 (B)	$	650	$	651
Bank of Nova Scotia
1.650%, 06/14/2019		400		400
Bank of Tokyo-Mitsubishi UFJ
1.450%, 09/08/2017 (A)		400		400
1.151%, 09/08/2017 (A)(B)		400		399
Barclays Bank PLC MTN
6.050%, 12/04/2017 (A)		600		627
BB&T MTN
1.417%, 02/01/2019 (B)		325		326
Berkshire Hathaway Finance
1.450%, 03/07/2018		500		502
BPCE MTN
1.657%, 02/10/2017 (B)		700		701
Branch Banking & Trust
1.450%, 05/10/2019		510		510
Capital One
1.617%, 09/13/2019 (B)		400		400
Citigroup
1.375%, 08/25/2036 (B)		1,500		1,098
Citizens Bank MTN
1.600%, 12/04/2017		800		800
Commonwealth Bank of Australia MTN
1.245%, 03/12/2018 (A)(B)		650		649
Credit Agricole MTN
1.815%, 06/10/2020 (A)(B)		500		502
Credit Suisse NY
1.700%, 04/27/2018		500		500
Credit Suisse NY MTN
1.442%, 01/29/2018 (B)		500		501
Danske Bank
1.409%, 09/06/2019 (A)(B)		400		400
Deutsche Bank
1.497%, 02/13/2018 (B)		475		460
Fifth Third Bank MTN
1.721%, 08/20/2018 (B)		650		654
Goldman Sachs Group(B)
2.023%, 11/15/2021		525		523
1.875%, 04/23/2020		500		503
HSBC Bank PLC
1.457%, 05/15/2018 (A)(B)		600		600
Huntington National Bank
1.140%, 04/24/2017 (B)		350		350
ING Bank
1.336%, 10/01/2019 (A)(B)		400		401
Jackson National Life Global Funding
1.875%, 10/15/2018 (A)		400		404
JPMorgan Chase
1.373%, 01/28/2019 (B)		300		300
JPMorgan Chase Capital XXI
1.709%, 02/02/2037 (B)		1,300		1,040



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
KeyBank
2.350%, 03/08/2019	$	250	$	255
1.362%, 06/01/2018 (B)		600		599
Lloyds Bank
1.374%, 03/16/2018 (B)		600		599
Macquarie Group
1.759%, 01/31/2017 (A)(B)		400		401
Manufacturers & Traders Trust
1.400%, 07/25/2017		475		476
Metropolitan Life Global Funding I
1.500%, 01/10/2018 (A)		220		221
1.192%, 09/14/2018 (A)(B)		400		400
Mizuho Bank
1.497%, 03/26/2018 (A)(B)		550		549
Morgan Stanley
1.565%, 01/24/2019 (B)		450		452
Morgan Stanley MTN
5.950%, 12/28/2017		140		147
MSCI
5.750%, 08/15/2025 (A)		130		139
5.250%, 11/15/2024 (A)		160		169
Nordea Bank MTN
1.473%, 09/30/2019 (A)(B)		650		650
Principal Life Global Funding II
1.500%, 04/18/2019 (A)		500		497
Protective Life Global Funding
1.722%, 04/15/2019 (A)		435		436
Prudential Financial MTN
1.597%, 08/15/2018 (B)		500		499
Royal Bank of Canada MTN
1.545%, 12/10/2018 (B)		400		401
Santander Bank
1.597%, 01/12/2018 (B)		800		796
Santander UK MTN(B)
1.675%, 08/24/2018		600		600
1.264%, 09/29/2017		350		349
Societe Generale MTN
1.726%, 10/01/2018 (B)		550		554
Standard Chartered MTN
1.319%, 04/17/2018 (A)(B)		800		796
State Street Capital Trust IV
1.650%, 06/15/2037 (B)		375		323
Svenska Handelsbanken MTN
1.325%, 09/06/2019 (B)		400		401
Synchrony Financial
1.989%, 02/03/2020 (B)		750		734
1.875%, 08/15/2017		325		325
Toronto-Dominion Bank MTN
1.450%, 08/13/2019		750		748
UBS MTN
1.457%, 08/14/2019 (B)		700		701



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Unitrin
6.000%, 05/15/2017	$	670	$	688
US Bancorp MTN
1.115%, 04/25/2019 (B)		550		549
WEA Finance
1.750%, 09/15/2017 (A)		280		281
Wells Fargo MTN
1.650%, 01/22/2018		350		351
1.432%, 01/30/2020 (B)		500		498
Westpac Banking
1.289%, 01/17/2019 (B)		400		400
1.200%, 05/19/2017		300		300

				33,573


Health Care — 4.5%
AbbVie
1.800%, 05/14/2018		525		527
Actavis Funding SCS
1.925%, 03/12/2018 (B)		850		857
1.300%, 06/15/2017		550		549
Aetna
1.700%, 06/07/2018		700		702
Amgen
2.125%, 05/15/2017		600		604
Baxalta
1.646%, 06/22/2018 (B)		500		498
Bayer US Finance
0.936%, 10/06/2017 (A)(B)		550		549
Becton Dickinson
1.800%, 12/15/2017		625		628
Celgene
2.125%, 08/15/2018		275		278
DaVita
5.000%, 05/01/2025		310		311
McKesson
1.292%, 03/10/2017		370		371
Medtronic
1.500%, 03/15/2018		340		342
Mylan
1.350%, 11/29/2016		450		450
Providence Health & Services Obligated Group
1.446%, 10/01/2016 (B)		800		800
Teva Pharmaceutical Finance Netherlands III BV
1.400%, 07/20/2018		625		623
Thermo Fisher Scientific
1.300%, 02/01/2017		145		145
Zimmer Biomet Holdings
1.450%, 04/01/2017		625		625

				8,859




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)

Industrials — 1.9%
Air Lease
2.125%, 01/15/2018	$	310	$	312
2.125%, 01/15/2020		250		249
Catholic Health Initiatives
2.600%, 08/01/2018		305		311
1.600%, 11/01/2017		355		355
Fortive
1.800%, 06/15/2019 (A)		315		316
GATX
1.250%, 03/04/2017		245		245
Hutchison Whampoa International 14
1.625%, 10/31/2017 (A)		500		500
ILFC E-Capital Trust I
4.000%, 12/21/2065 (A)(B)		500		400
LSC Communications
8.750%, 10/15/2023 (A)		30		30
Nielsen Finance
5.000%, 04/15/2022 (A)		630		651
PACCAR Financial MTN
1.300%, 05/10/2019		195		195
Sensata Technologies
5.000%, 10/01/2025 (A)		186		190


				3,754


Information Technology — 1.1%
Bankrate
6.125%, 08/15/2018 (A)		300		303
Cisco Systems
1.194%, 09/20/2019 (B)		425		425
eBay
2.500%, 03/09/2018		300		304
Fidelity National Information Services
2.850%, 10/15/2018		250		257
1.450%, 06/05/2017		210		210
Hewlett Packard Enterprise
2.450%, 10/05/2017 (A)		650		655


				2,154


Materials — 0.4%
Air Liquide Finance
1.375%, 09/27/2019 (A)		450		450
Ball
5.250%, 07/01/2025		123		133
Boart Longyear Management Properties
10.000%, 10/01/2018 (A)		350		241


				824


Real Estate — 0.3%
Equinix
5.750%, 01/01/2025		400		425




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
RHP Hotel Properties
5.000%, 04/15/2023	$	105	$	106
Ventas Realty
1.250%, 04/17/2017		130		130


				661


Telecommunication Services — 0.9%
AT&T
1.768%, 06/30/2020 (B)		550		555
British Telecommunications PLC
1.250%, 02/14/2017		295		295
Inmarsat Finance
6.500%, 10/01/2024 (A)		190		190
Verizon Communications
2.606%, 09/14/2018 (B)		515		529
1.375%, 08/15/2019		145		144


				1,713


Utilities — 0.8%
DTE Energy
1.500%, 10/01/2019		260		260
Emera US Finance
2.150%, 06/15/2019 (A)		175		177
Exelon
1.550%, 06/09/2017		180		180
NextEra Energy Capital Holdings
1.649%, 09/01/2018		90		90
Southern
1.550%, 07/01/2018		350		352
1.300%, 08/15/2017		390		390
Talen Energy Supply
4.625%, 07/15/2019 (A)		210		197


				1,646


Total Corporate Obligations (Cost $75,822) ($ Thousands)				75,043


LOAN PARTICIPATIONS — 32.5%
1011778 B.C. Unlimited Liability Company (New Red Finance, Inc.), Term Loan B2, 1st Lien
3.750%, 12/10/2021		66		66
Academy Ltd., Term Loan B, 1st Lien
5.000%, 07/01/2022		50		49
Acadia Healthcare Company, Inc., Term Loan, Tranche B1, 1st Lien
3.750%, 02/11/2022		197		198
Acadia Healthcare Company, Term Loan, Tranche B2, 1st Lien
4.500%, 02/16/2023		199		200
Acosta, Term Loan, Tranche B1, 1st Lien
4.250%, 09/26/2021		102		97




Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
AdvancePierre Foods, Cov-Lite, Term Loan, 1st Lien
4.750%, 06/02/2023	$	1	$	1
AdvancePierre Foods, Inc., Effective Date Loan, 1st Lien
4.500%, 06/02/2023		180		182
Affinion Group, Term Loan, 2nd Lien
8.500%, 10/31/2018		40		35
Affinion Group, Term Loan, Tranche B, 1st Lien
6.750%, 04/30/2018		369		357
Air Medical, Cov-Lite, Initial Term Loan, 1st Lien
4.250%, 04/28/2022		818		810
Albertson’s LLC, Term Loan B6, 1st Lien
4.750%, 06/22/2023		103		104
Alere, Term Loan B, 1st Lien
4.250%, 06/20/2022		690		684
Alinta Energy Finance Pty Limited, Term Loan B, 1st Lien
6.375%, 08/13/2019		414		413
Allison Transmission, Inc., Term B-3 Loan, 1st Lien
3.500%, 08/23/2019		346		348
Amber Holdings, Cov-Lite, Delayed Draw, Term Loan, 1st Lien
6.375%, 08/13/2018		28		27
AMC Entertainment Inc., Initial Term Loan, 1st Lien
4.000%, 12/15/2022		495		499
American Builders & Contractors Supply Co., Cov-Lite, Term Loan B, 1st Lien
0.000%, 09/23/2023		337		338
American Builders & Contractors Supply Co., Term Loan B, 1st Lien
3.500%, 04/16/2020		505		505
American Renal Holdings Inc., Term Loan B, 1st Lien
4.750%, 08/20/2019		818		817
American Tire Distributors, Cov-Lite, Initial Term Loan, 1st Lien
5.250%, 09/01/2021		246		243
AmSurg Corp., Initial Term Loan, 1st Lien
3.500%, 07/16/2021		295		296
Applied Systems, Initial Term Loan, 1st Lien
4.000%, 01/25/2021		641		641
Aramark Corporation, U.S. Term Loan F, 1st Lien
3.250%, 02/24/2021 (B)		680		684
Ardagh Holdings USA, New Term Loan, 1st Lien
4.000%, 12/17/2019		604		606
Aricent Technologies, Initial Term Loan, 1st Lien
5.500%, 04/14/2021		448		403




Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Asurion, LLC, Term Loan, 2nd Lien
8.500%, 03/03/2021	$	680	$	675
Asurion, LLC, Term Loan, Incremental Tranche B1, 1st Lien
5.000%, 05/24/2019		152		152
Asurion, LLC, Term Loan, Incremental Tranche B4
5.000%, 08/04/2022		195		196
Auris Luxembourg III S.A R.L., Facility Term Loan B4, 1st Lien
4.250%, 01/17/2022		320		322
Avago Technologies Cayman Holdings Ltd., Term B-3 Loan, 1st Lien
3.500%, 02/01/2023		675		682
Avast Software B.V., Term Loan B, 1st Lien
0.000%, 08/03/2022 (C)		115		115
B&G Foods, Term Loan B, 1st Lien
3.839%, 11/02/2022		91		92
Beacon Roofing Supply, Initial Term Loan, 1st Lien
4.000%, 10/01/2022		248		248
Berry Plastics Corporation, Term H Loan, 1st Lien
3.800%, 10/01/2022		136		136
Berry Plastics Corporation, Term Loan H, 1st Lien
3.750%, 10/01/2022		121		122
Black Knight InfoServ, LLC, Cov-Lite, Term Loan B, 1st Lien
3.750%, 05/27/2022		53		53
Booz Allen Hamilton, Term Loan B, 1st Lien
3.281%, 06/30/2023		117		118
Boyd Gaming Corporation, Cov-Lite, Term Loan B, 1st Lien
3.543%, 09/15/2023		325		327
BPA Laboratories, Initial Term Loan, 2nd Lien
0.000%, 07/03/2017 (C)		44		31
California Resources Corporation, Initial Term Loan, 1st Lien
11.375%, 12/31/2021		135		142
Calpine Corporation, Term Loan, 1st Lien
3.600%, 05/27/2022		357		358
Catalent Pharma Solutions, Dollar Term Loan, 1st Lien
4.250%, 05/20/2021		489		492
Cavium, Cov-Lite, Term Loan B, 1st Lien
3.750%, 08/16/2022		93		94
CCM Merger, Term Loan, 1st Lien
4.500%, 08/06/2021		339		339
CDW LLC, Term Loan, 1st Lien
3.000%, 08/17/2023		582		583




Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Ceramtec Acquisition, Dollar Term Loan B1, 1st Lien
4.250%, 08/30/2020	$	185	$	186
Ceramtec Acquisition, Dollar Term Loan B3, 1st Lien
4.250%, 08/30/2020		56		57
Ceramtec Acquisition, Initial Dollar Term Loan B2, 1st Lien
4.250%, 08/30/2020		20		21
Ceridian HCM Holding, Initial Term Loan, 1st Lien
4.500%, 09/15/2020		99		97
Charter Communications Operating, Term Loan E, 1st Lien
3.000%, 07/01/2020		310		310
Chesapeake Energy, Term Loan, 1st Lien
8.500%, 08/23/2021		80		84
Chief Exploration & Development LLC, Term Loan, 2nd Lien
7.753%, 05/16/2021		460		428
ClubCorp Club Operations, Term Loan B, 1st Lien
4.250%, 12/15/2022		204		204
CommScope, Term Loan, Tranche 5, 1st Lien
3.750%, 12/29/2022		198		200
Communications Sales & Leasing, Term Loan, 1st Lien
5.000%, 10/24/2022		381		382
Constantia Flexibles Holding, Term Loan B1A, 1st Lien
4.000%, 04/30/2022		198		198
ConvaTec, Dollar Term Loan, 1st Lien
4.250%, 06/15/2020		150		151
Coty, Term Loan B, 1st Lien
3.750%, 10/27/2022		204		206
CSC Holdings, LLC, Term Loan B, 1st Lien
0.000%, 10/11/2024 (C)		150		150
Cumulus Media Holdings, Term Loan, 1st Lien
4.250%, 12/23/2020		664		461
DaVita HealthCare Partners, Term Loan, Tranche B, 1st Lien
3.500%, 06/24/2021		395		396
Dell, Cov-Lite, Term Loan B, 1st Lien
4.000%, 09/07/2023		364		366
Dex Media, Term Loan, 1st Lien
11.000%, 07/29/2021		114		109
Diebold, Term Loan B, 1st Lien
5.250%, 11/06/2023		200		202
DigitalGlobe, Term Loan B. 1st Lien
4.750%, 01/25/2020		299		301
Dollar Tree, Term Loan B, 1st Lien
3.062%, 07/06/2022		141		142




Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
EIG Investors Corp., Term Loan, 1st Lien
6.480%, 11/09/2019	$	391	$	379
Emerald Performance Materials, Initial Term Loan, 1st Lien
4.500%, 07/30/2021		298		299
EMI Music Publishing, Term Loan, 1st Lien
4.000%, 08/19/2022		408		409
Endo Luxembourg Finance Company I S.à r.l., 2015 Incremental Term B Loan,
3.800%, 09/26/2022		199		199
Energy & Exploration Partners, Cov-Lite PIK, Term Loan A, 1st Lien
13.000%, 11/12/2021		59		55
Energy & Exploration Partners, Cov-Lite PIK, Term Loan, 2nd Lien
5.000%, 05/13/2022 (D)		33		22
Energy & Exploration Partners, Term Loan B, 1st Lien
0.500%, 11/12/2021 (C)(E)		23		1
Energy Transfer Equity, Term Loan, 1st Lien
3.292%, 12/02/2019		250		248
Engility Corporation, Term Loan B2, 1st Lien
5.750%, 08/14/2023		151		152
Entegris, Term Loan, Tranche B, 1st Lien
3.500%, 04/30/2021		217		219
Environmental Resources, Cov-Lite, Term Loan B1, 1st Lien
5.000%, 05/14/2021		46		43
Envision Healthcare Corporation, Initial Term Loan, 1st Lien
4.250%, 05/25/2018		437		437
Epicor Software Corporation, Term Loan B, 1st Lien
4.750%, 06/01/2022		236		232
Equinox Holdings Inc., New Initial Term Loan, 1st Lien
5.000%, 01/31/2020		724		728
ESH Hospitality, Cov-Lite, Term Loan, 1st Lien
3.750%, 08/30/2023		425		428
Evergreen Skills Lux S.À R.L., Initial Term Loan, 1st Lien
5.750%, 04/28/2021		574		508
First Data Corporation, 2021 Extended Dollar Term Loan
4.500%, 03/24/2021		466		470
First Data Corporation, 2022 Dollar Term Loan, 1st Lien
4.275%, 07/08/2022		100		101
FMG Resources Property, Cov-Lite, Term Loan, 1st Lien
3.750%, 06/30/2019 (B)		162		162
Four Seasons, Term Loan, 1st Lien
3.750%, 06/27/2020		635		638




Description	Face Amount (Thousands)		Market Value ($ Thousands)



LOAN PARTICIPATIONS (continued)
Freeport-McMoran, Extended Term Loan A, 1st Lien
3.280%, 02/28/2020	$	200	$	193
Galleria, Term Loan B, 1st Lien
3.750%, 01/26/2023		410		411
Generac Power Systems, Term Loan B, 1st Lien
3.500%, 05/31/2020		599		599
General Nutrition Centers, Term Loan, 1st Lien
3.250%, 03/04/2019		356		355
Genesys Telecom, Dollar Term Loan
4.000%, 02/08/2020		881		877
Gray Television, Term Loan B, 1st Lien
3.938%, 06/13/2021		151		152
Grifols Worldwide Operations, Term Loan, Tranche B, 2nd Lien
3.458%, 02/27/2021		299		302
Gulf Finance, Term Loan B, 1st Lien
6.250%, 08/25/2023		45		44
Harbor Freight Tools, Cov-Lite, Term Loan, 1st Lien
4.000%, 08/18/2023		715		718
Headwaters, Term Loan B, 1st Lien
4.000%, 03/24/2022		376		378
Hilton Worldwide Finance LLC, Initial Term Loan, 1st Lien
3.500%, 10/26/2020 (B)		35		35
Hilton Worldwide Holdings, Term Loan, 1st Lien
3.215%, 10/25/2023		219		221
3.024%, 10/25/2023		134		135
Houghton Mifflin Harcourt Publishers, Term Loan, 1st Lien
4.000%, 05/28/2021		346		342
Hub International Limited, Initial Term Loan, 1st Lien
4.000%, 10/02/2020		1,071		1,071
Huntsman International LLC, Incremental Term Loan, 1st Lien
3.750%, 10/01/2021		299		301
Hyperion Insurance Group Limited, Initial Term Loan, 1st Lien
5.500%, 04/29/2022		179		175
IMS Health Incorporated, Dollar Term Loan B, 1st Lien
3.500%, 03/17/2021		567		568
Ineos US Finance LLC, Cov-Lite, Dollar Term Loan, 1st Lien
4.250%, 03/31/2022		59		59
Ineos US Finance LLC, Term Loan, 1st Lien
3.750%, 12/15/2020		593		594
Informatica Corporation, Dollar Term Loan, 1st Lien
4.500%, 08/05/2022		267		260




Description	Face Amount (Thousands)		Market Value ($ Thousands)



LOAN PARTICIPATIONS (continued)
Intelsat Jackson Holdings S.A., Term Loan, Tranche B2, 1st Lien
3.750%, 06/30/2019 (B)	$	288	$	274
ION Trading Technologies S.A.R.L., Dollar Term Loan, Tranche B1
4.250%, 08/11/2023		716		715
Jaguar Holding Company I, Initial Term Loan, 1st Lien
4.250%, 08/18/2022		695		697
Jeld-Wen, Initial Loan, Initial Term Loan, 1st Lien
5.250%, 10/15/2021		205		206
Jeld-Wen, Term Loan B1, 1st Lien
4.750%, 07/01/2022		495		498
Kenan Advantage Group Holdings, Delayed Draw, Term Loan, 1st Lien
1.500%, 01/31/2017		7		7
Kenan Advantage Group Holdings, Delayed Draw, Unfunded Term Loan, 1st Lien
1.500%, 01/31/2017 (C)(E)		10		—
Kenan Advantage Group Holdings, Initial Canadian Term Loan, 1st Lien
4.000%, 07/29/2022		46		46
Kenan Advantage Group Holdings, Initial U.S. Term Loan, 1st Lien
4.000%, 07/29/2022		145		143
KFC Holding, Term Loan B, 1st Lien
3.281%, 06/16/2023		20		20
Klockner Pentaplast, Initial German Borrower Dollar Term Loan, 1st Lien
5.000%, 04/28/2020		32		32
Klockner Pentaplast, Initial U.S. Borrower Dollar Term Loan, 1st Lien
5.000%, 04/28/2020		75		76
Kraton Polymers LLC, Term Loan B, 1st Lien
6.000%, 01/06/2022		195		196
Kronos Incorporated, Incremental Term Loan, 1st Lien
4.500%, 10/30/2019		954		956
Landry’s, Cov-Lite, Term Loan B, 1st Lien
0.000%, 09/21/2023		60		60
LBM Borrower, LLC, Cov-Lite, Term Loan, 1st Lien
0.000%, 08/20/2022 (C)		37		37
Lee Enterprises, Incorporated, Term Loan, 1st Lien
7.250%, 03/31/2019		155		155
Leslie’s Poolmart, Cov-Lite, Term Loan B, 1st Lien
5.250%, 08/16/2023		107		107
Level 3 Financing, Term Loan, Tranche B-III, 1st Lien
4.000%, 08/01/2019		750		753




Description	Face Amount (Thousands)		Market Value ($ Thousands)



LOAN PARTICIPATIONS (continued)
Life Time Fitness, Closing Date Term Loan, 1st Lien
4.250%, 06/10/2022	$	453	$	453
LTS Buyer LLC, Term Loan B, 1st Lien
4.000%, 04/13/2020		194		193
MA Financeco., LLC, Term Loan, Initial Tranche B2, 1st Lien
4.502%, 11/19/2021		500		502
Mallinckrodt International Finance S.A., Initial Term Loan B, 1st Lien
3.250%, 03/19/2021		297		296
Media General, Cov-Lite, Term Loan B, 1st Lien
4.000%, 07/31/2020		146		146
MEG Energy Corp., New Term Loan, 1st Lien
3.750%, 03/31/2020 (C)		618		575
MGM Growth Properties Operating Partnership LP, Term B Loan, 1st Lien
4.000%, 04/25/2023		127		128
Mission Broadcasting, Term Loan B, 1st Lien
0.000%, 09/26/2023		23		23
MKS Instruments, Term Loan B1, 1st Lien
4.250%, 05/01/2023		116		117
Mohegan Tribal Gaming Authority, Term Loan B, 1st Lien
5.500%, 06/15/2018		616		615
0.000%, 09/30/2023 (C)		296		293
MPH Acquisition Holdings LLC, Initial Term Loan, 1st Lien
5.000%, 06/07/2023		313		316
Mueller Water Products, Initial Term Loan, 1st Lien
4.000%, 11/24/2021		96		97
Murray Energy Corporation, Term Loan B2, 1st Lien
8.250%, 04/16/2020		260		220
NBTY, Dollar Term Loan B, 1st Lien
5.000%, 05/05/2023		409		411
Neiman Marcus Group, Other Term Loan, 1st Lien
4.250%, 10/25/2020		116		106
Nelson Education Ltd., Term Loan, 1st Lien
12.000%, 10/01/2020		160		81
New Millennium Holdco, Closing Date Term Loan, 1st Lien
7.500%, 12/21/2020		220		107
Nexstar Broadcasting, Term Loan B, 1st Lien
0.000%, 09/26/2023 (C)		253		254
Numericable YPSO, Cov-Lite, Term Loan B7, 1st Lien
5.002%, 01/15/2024		216		218
NXP B.V., Cov-Lite, Term Loan F, 1st Lien
3.750%, 12/07/2020		96		97




Description	Face Amount (Thousands)		Market Value ($ Thousands)



LOAN PARTICIPATIONS (continued)
ON Semiconductor Corporation, Closing Date Term Loan, 1st Lien
5.250%, 03/31/2023	$	375	$	377
Peabody Energy Corporation, Cov-Lite, Term Loan, 1st Lien
4.250%, 09/24/2020		127		100
Peabody Energy Corporation, Term Loan, 1st Lien
10.000%, 04/18/2017		125		130
PetSmart, Term Loan, Tranche B1, 1st Lien
4.250%, 03/11/2022		99		99
Pilot Travel Centers, Term Loan B, 1st Lien
3.274%, 05/25/2023		724		729
PQ Corp., Term Loan B1, 1st Lien
5.750%, 11/04/2022		101		102
Press Ganey Holdgins, Cov-Lite, Term Loan, 1st Lien
0.000%, 09/29/2023 (C)		300		299
Quebecor Media, Facility Term Loan, Tranche B1, 1st Lien
3.317%, 08/17/2020		116		116
Quintiles Transnational, Term Loan B, 1st Lien
3.250%, 05/12/2022		296		296
RadNet, Term Loan B, 1st Lien
6.250%, 06/30/2023		10		10
4.750%, 06/30/2023		755		754
Redtop Acquisitions Limited, Initial Dollar Term Loan, 1st Lien
4.500%, 12/03/2020		98		97
Regal Cinemas Corporation, Refinancing Term Loan, 1st Lien
3.500%, 04/01/2022 (C)		271		273
Rexnord LLC/ RBS Global, Term B Loan, 1st Lien
4.000%, 08/21/2020		274		275
Reynolds Group Holdings, U.S. Term Loan, 1st Lien
4.250%, 02/05/2023		385		386
Royal Holdings, Initial Term Loan, 1st Lien
4.500%, 06/20/2022		126		126
Samsonite International S.A., Initial Term Loan, Tranche B, 1st Lien
4.000%, 05/15/2023		91		92
Seadrill Operating, Initial Term Loan, 1st Lien
4.000%, 02/21/2021		626		310
Seaworld Parks & Entertainment, Term Loan B2, 1st Lien
3.000%, 05/14/2020		145		141
Seminole Hard Rock Entertainment, Term Loan, 1st Lien
3.500%, 05/14/2020		490		490
Sensata Technologies B.V., Term Loan B, 1st Lien
3.000%, 10/14/2021		299		300




Description	Face Amount (Thousands)		Market Value ($ Thousands)



LOAN PARTICIPATIONS (continued)
Serta Simmons Holdings, Term Loan, 1st Lien
4.250%, 10/01/2019	$	567	$	568
Signode Industrial Group Lux S.A., Initial Term Loan B
3.750%, 05/01/2021		258		257
Sinclair Television Group, Incremental Term Loan, Tranche B1, 1st Lien
3.500%, 07/30/2021		198		199
Spectrum Brands, USD Term Loan, 1st Lien
3.500%, 06/23/2022		378		379
SS&C European Holdings, S.a.r.l, Term Loan B2, 1st Lien
4.083%, 07/08/2022		10		10
4.000%, 07/08/2022		32		33
SS&C Technologies, Term Loan B1, 1st Lien
4.083%, 07/08/2022		25		25
4.002%, 07/08/2022		41		41
4.000%, 07/08/2022		276		278
Starwood Property Trust, Term Loan B, 1st Lien
3.500%, 04/17/2020		849		848
Station Casinos LLC, Facility Term Loan B, 1st Lien
3.750%, 06/08/2023		299		301
Sterigenics-Nordion Holdings, LLC, Cov-Lite, Initial Term Loan, 1st Lien
4.250%, 05/16/2022		267		267
Surgical Care Affiliates, Initial Term Loan, 1st Lien
4.250%, 03/17/2022		369		371
Syncreon Global Finance (US) (Syncreon Group B.V.), Term Loan, 1st Lien
5.250%, 10/28/2020		973		869
Syniverse Holdings, Term Loan, Tranche B1, 1st Lien
4.000%, 04/23/2019		239		211
Telesat Canada, U.S., Term Loan, Tranche B2, 1st Lien
3.500%, 03/28/2019 (B)		385		385
Texas Competitive Electric Holdings Co. LLC, Term Loan B, 1st Lien
5.000%, 10/31/2017		426		429
Texas Competitive Electric Holdings Co. LLC, Term Loan C, 1st Lien
5.000%, 10/31/2017		97		98
Texas Competitive Electric Holdings Company LLC, 2017 Term Loan, 1st Lien
4.998%, 10/10/2017 (F)		152		44
4.970%, 10/10/2017 (F)		2		—
Townsquare Media, Cov-Lite, Term Loan B, 1st Lien
4.250%, 04/01/2022		185		186




Description	Face Amount (Thousands)		Market Value ($ Thousands)



LOAN PARTICIPATIONS (continued)
Trans Union LLC, Incremental Term Loan B2, 1st Lien
3.500%, 04/09/2021	$	676	$	677
Transdigm, Term Loan, Tranche D, 1st Lien
3.750%, 06/04/2021		500		500
Tribune Media Company, Term Loan B, 1st Lien
3.750%, 12/27/2020		436		439
True Religion Apparel, Cov-Lite, Term Loan, 1st Lien
5.875%, 07/30/2019		627		147
U.S. Renal Care, Initial Term Loan, 1st Lien
5.250%, 12/30/2022		698		668
UFC Holdings, Term Loan, 1st Lien
5.000%, 08/18/2023		176		177
Univar USA Inc., Initial Dollar Term Loan,
4.250%, 07/01/2022		90		90
Univar, Initial Dollar Term Loan
4.250%, 07/01/2022		88		88
Univision Communications, Replacement Term Loan, 1st Lien
4.000%, 03/01/2020		830		832
UPC Financing Partnership, Cov-Lite, Term Loan, 1st Lien
4.080%, 08/31/2024 (C)		721		724
Valeant Pharmaceuticals International, Series D2 Term Loan, Tranche B, 1st Lien
5.000%, 02/13/2019		93		93
Valeant Pharmaceuticals International, Series E1 Term Loan, Tranche B, 1st Lien
5.250%, 08/05/2020		386		387
Valeant Pharmaceuticals International, Series F1 Term Loan, Tranche B, 1st Lien
5.500%, 04/01/2022 (C)		316		317
Vantiv LLC, Term Loan B, 1st Lien
3.500%, 06/13/2021		241		241
Verint Systems Inc., Incremental Term Loan, Tranche B, 1st Lien
3.507%, 09/06/2019		389		390
Veritas US, Term Loan B1, 1st Lien
6.625%, 01/27/2023		40		37
Versum Materials, Cov-Lite, Term Loan, 1st Lien
0.000%, 09/21/2023 (C)		168		168
Vertafore Holding, Cov-Lite, Term Loan, 1st Lien
4.750%, 06/30/2023		375		376
Waste Industries USA, Term Loan B, 1st Lien
3.500%, 02/27/2020		394		395
WaveDivision Holdings, Initial Term Loan, 1st Lien
4.000%, 10/15/2019		401		400
WCA Waste Systems, Term Loan B, 1st Lien
4.000%, 08/11/2023		181		181




Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Weight Watchers International Inc., Cov-Lite, Term Loan B2, 1st Lien
4.000%, 04/02/2020	$	–	$	—
Weight Watchers International, Term Loan, Tranche B2, 1st Lien
4.000%, 04/02/2020		153		116
West Corporation, Term Loan B12, 1st Lien
3.750%, 06/17/2023		329		330
Western Digital, Cov-Lite, Term Loan B, 1st Lien
4.500%, 04/29/2023		108		109
WideOpenWest Finance, LLC, Term Loan B, 1st Lien
4.500%, 08/18/2023		618		616
Wilsonart LLC, Initial Term Loan, 1st Lien
4.000%, 10/31/2019		683		683
WMG Acquisition Corp., Refinancing Term Loan, Tranche B, 1st Lien
3.750%, 07/01/2020		375		374
XPO Logistics, Term Loan B, 1st Lien
4.250%, 11/01/2021		370		371
York Risk Services, Cov-Lite, Term Loan B, 1st Lien
4.750%, 10/01/2021		471		430
Zekelman Industries, Term Loan B, 1st Lien
6.000%, 06/14/2021		115		116
Ziggo B.V., US$ B1 Facility, 1st Lien
3.700%, 01/15/2022		292		292
Ziggo B.V., US$ B2 Facility, 1st Lien
3.700%, 01/15/2022		173		173
Ziggo B.V., US$ B3 Facility, 1st Lien
3.700%, 01/15/2022		54		54


Total Loan Participations (Cost $66,086) ($ Thousands)				64,569


ASSET-BACKED SECURITIES — 17.7%

Automotive — 7.9%

Ally Auto Receivables Trust 2015-SN1, Ser 2015-SN1, Cl A3
1.210%, 12/20/2017		593		593
Ally Master Owner Trust, Ser 2012-5, Cl A
1.540%, 09/15/2019		600		602
Ally Master Owner Trust, Ser 2014-5, Cl A2
1.600%, 10/15/2019		800		803
AmeriCredit Automobile Receivables Trust, Ser 2014-2, Cl A3
0.940%, 02/08/2019		317		317
AmeriCredit Automobile Receivables Trust, Ser 2015-1, Cl A3
1.260%, 11/08/2019		219		219




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
AmeriCredit Automobile Receivables Trust, Ser 2015-4, Cl A2A
1.260%, 04/08/2019	$	287	$	287
AmeriCredit Automobile Receivables Trust, Ser 2016-1, Cl A2A
1.520%, 06/10/2019		283		284
AmeriCredit Automobile Receivables Trust, Ser 2016-2, Cl A3
1.600%, 11/09/2020		205		205
Capital Auto Receivables Asset Trust, Ser 2015- 3, Cl A2
1.720%, 01/22/2019		445		447
Capital Auto Receivables Asset Trust, Ser 2015- 4, Cl A2
1.620%, 03/20/2019		570		570
CarMax Auto Owner Trust, Ser 2012-3, Cl C
1.500%, 08/15/2018		115		115
Carmax Auto Owner Trust, Ser 2013-2, Cl A4
0.840%, 11/15/2018		681		680
CarMax Auto Owner Trust, Ser 2015-4, Cl A2A
1.090%, 04/15/2019		358		358
CarMax Auto Owner Trust, Ser 2016-2, Cl A2A
1.240%, 06/17/2019		650		650
Chesapeake Funding LLC, Ser 2013-1A, Cl A
0.948%, 01/07/2025 (A)(B)		224		224
Chesapeake Funding LLC, Ser 2014-1A, Cl A
0.918%, 03/07/2026 (A)(B)		262		263
Chrysler Capital Auto Receivables Trust, Ser 2014-AA, Cl A4
1.310%, 05/15/2019 (A)		95		95
CPS Auto Receivables Trust, Ser 2013-D, Cl A
1.540%, 07/16/2018 (A)		17		17
CPS Auto Receivables Trust, Ser 2014-A, Cl A
1.210%, 08/15/2018 (A)		24		24
Credit Acceptance Auto Loan Trust, Ser 2014- 1A, Cl A
1.550%, 10/15/2021 (A)		157		157
Enterprise Fleet Financing, Ser 2013-2, Cl A3
1.510%, 03/20/2019 (A)		235		235
Enterprise Fleet Financing, Ser 2014-1, Cl A2
0.870%, 09/20/2019 (A)		32		32
Enterprise Fleet Financing, Ser 2016-2, Cl A2
1.740%, 02/22/2022 (A)		255		254
Fifth Third Auto Trust, Ser 2015-1, Cl A3
1.420%, 03/16/2020		350		351
First Investors Auto Owner Trust, Ser 2013-2A, Cl A2
1.230%, 03/15/2019 (A)		9		9
First Investors Auto Owner Trust, Ser 2014-1A, Cl A3
1.490%, 01/15/2020 (A)		312		312




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
First Investors Auto Owner Trust, Ser 2016-1A, Cl A1
1.920%, 05/15/2020 (A)	$	267	$	268
Ford Credit Auto Lease Trust, Ser 2014-B, Cl A4
1.100%, 11/15/2017		519		520
Ford Credit Auto Lease Trust, Ser 2015-B, Cl B
1.920%, 03/15/2019		325		326
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A2
0.908%, 02/15/2019 (B)		250		250
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl B
1.400%, 02/15/2019		90		90
Ford Credit Floorplan Master Owner Trust, Ser 2014-4, Cl A1
1.400%, 08/15/2019		380		381
Ford Credit Floorplan Master Owner Trust, Ser 2016-4, Cl A
1.054%, 07/15/2020 (B)		290		290
GLS Auto Receivables Trust, Ser 2016-1A, Cl A
2.730%, 10/15/2020 (A)		286		285
GM Financial Automobile Leasing Trust, Ser 2015-3, Cl A2A
1.170%, 06/20/2018		503		503
GM Financial Automobile Leasing Trust, Ser 2016-2, Cl A3
1.620%, 09/20/2019		230		231
GMF Floorplan Owner Revolving Trust, Ser 2015-1, Cl A2
1.024%, 05/15/2020 (A)(B)		430		430
Hyundai Auto Lease Securitization Trust, Ser 2016-B, Cl A3
1.520%, 10/15/2019 (A)		200		201
Mercedes Benz Auto Lease Trust, Ser 2015-A, Cl A4
1.210%, 10/15/2020		200		200
Mercedes Benz Auto Lease Trust, Ser 2015-B, Cl A3
1.340%, 07/16/2018		490		491
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A
0.870%, 11/15/2018		274		274
Nissan Auto Receivables Owner Trust, Ser 2016-B, Cl A2A
1.050%, 04/15/2019		365		365
Prestige Auto Receivables Trust, Ser 2015-1, Cl A2
1.090%, 02/15/2019 (A)		28		28
Prestige Auto Receivables Trust, Ser 2016-1A, Cl A2
1.780%, 08/15/2019 (A)		312		313




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Santander Drive Auto Receivables Trust, Ser 2012-3, Cl D
3.640%, 05/15/2018	$	421	$	423
Santander Drive Auto Receivables Trust, Ser 2015-5, Cl A3
1.580%, 09/16/2019		345		345
Toyota Auto Receivables Owner Trust, Ser 2016-B, Cl A3
1.300%, 04/15/2020		100		100
Westlake Automobile Receivables Trust, Ser 2015-1A, Cl A2
1.170%, 03/15/2018 (A)		16		16
Westlake Automobile Receivables Trust, Ser 2015-2A, Cl A2A
1.280%, 07/16/2018 (A)		204		204
Westlake Automobile Receivables Trust, Ser 2016-2A, Cl A2
1.570%, 06/17/2019 (A)		320		320
Westlake Automobile Receivables Trust, Ser 2016-2A, Cl B
2.300%, 11/15/2019 (A)		350		354
Wheels SPV 2 LLC, Ser 2014-1A, Cl A2
0.840%, 03/20/2023 (A)		94		94
World Omni Auto Receivables Trust, Ser 2015-B, Cl A2A
0.960%, 07/15/2019		364		364

				15,769


Credit Cards — 2.8%

Cabela’s Credit Card Master Note Trust, Ser 2014-1, Cl A
0.874%, 03/16/2020 (B)		190		190
Cabela’s Credit Card Master Note Trust, Ser 2016-1, Cl A1
1.780%, 06/15/2022		355		358
Chase Issuance Trust, Ser 2007-B1, Cl B1
0.774%, 04/15/2019 (B)		750		750
Chase Issuance Trust, Ser 2013-A6, Cl A6
0.944%, 07/15/2020 (B)		650		652
Chase Issuance Trust, Ser 2014-A1, Cl A1
1.150%, 01/15/2019		490		490
Citibank Credit Card Issuance Trust, Ser 2014- A2, Cl A2
1.020%, 02/22/2019		485		485
Evergreen Credit Card Trust, Ser 2016-1, Cl A
1.244%, 04/15/2020 (A)(B)		600		602
Synchrony Credit Card Master Note Trust, Ser 2014-1, Cl A
1.610%, 11/15/2020		800		804
Trillium Credit Card Trust II, Ser 2016-1A, Cl A
1.240%, 05/26/2021 (A)(B)		710		710




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
World Financial Network Credit Card Master Trust, Ser 2015-C, Cl A
1.260%, 03/15/2021	$	640	$	641

				5,682


Other Asset-Backed Securities — 7.0%

Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A
1.204%, 01/25/2035 (B)		183		180
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl A2B
1.624%, 09/25/2034 (B)		96		96
Apidos CLO XII, Ser 2013-12A, Cl A
1.780%, 04/15/2025 (A)(B)		550		546
Apidos CLO XVII, Ser 2014-17A, Cl A1A
2.179%, 04/17/2026 (A)(B)		350		350
Cent CLO 20, Ser 2014-20A, Cl A
2.195%, 01/25/2026 (A)(B)		625		625
Cent CLO, Ser 2014-16AR, Cl A1AR
1.887%, 08/01/2024 (A)(B)		500		500
CIFC Funding Ltd., Ser 2013-1A, Cl A1
1.829%, 04/16/2025 (A)(B)		485		483
CNH Equipment Trust, Ser 2016-B, Cl A2A
1.310%, 10/15/2019		255		255
Dryden XXXI Senior Loan Fund, Ser 2014-31A, Cl A
2.029%, 04/18/2026 (A)(B)		510		510
First Franklin Mortgage Loan Trust, Ser 2006-FF1, Cl 2A3
0.764%, 01/25/2036 (B)		206		205
Gramercy Park CLO, Ser 2014-1A, Cl A1R
1.979%, 07/17/2023 (A)(B)		400		400
GreatAmerica Leasing Receivables Funding, Ser 2016-1, Cl A2
1.570%, 05/21/2018 (A)		455		456
Green Tree Agency Advance Funding Trust I, Ser 2015-T1, Cl AT1
2.302%, 10/15/2046 (A)		240		240
ING Investment Management CLO, Ser 2014-1A, Cl A1
2.179%, 04/18/2026 (A)(B)		510		510
Kubota Credit Owner Trust, Ser 2015-1A, Cl A2
0.940%, 12/15/2017 (A)		140		140
Limerock CLO II, Ser 2014-2A, Cl A
2.179%, 04/18/2026 (A)(B)		600		600
MMAF Equipment Finance, Ser 2014-AA, Cl A3
0.870%, 01/08/2019 (A)		615		614
Nationstar HECM Loan Trust, Ser 2015-2A, Cl A
2.883%, 11/25/2025 (A)		89		89
Nationstar HECM Loan Trust, Ser 2016-1A, Cl A
2.981%, 02/25/2026 (A)		96		96




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Nationstar HECM Loan Trust, Ser 2016-2A, Cl A
2.239%, 06/25/2026 (A)	$	188	$	188
NRZ Advance Receivables Trust, Ser 2015-T4, Cl AT4
3.196%, 11/15/2047 (A)		450		452
NYCTL Trust, Ser 2015-A, Cl A
1.340%, 11/10/2028 (A)		195		195
NYCTL Trust, Ser 2016-A, Cl A
1.470%, 11/10/2029 (A)		181		181
Octagon Investment Partners XVI Ltd., Ser 2013-1A, Cl A
1.799%, 07/17/2025 (A)(B)		550		545
OHA Credit Partners VIII Ltd., Ser 2013-8A, Cl A
1.816%, 04/20/2025 (A)(B)		330		328
Race Point VI CLO Ltd., Ser 2014-6A, Cl BR
2.975%, 05/24/2023 (A)(B)		525		525
SLM Student Loan Trust, Ser 2004-1, Cl A3
0.925%, 04/25/2023 (B)		466		464
SLM Student Loan Trust, Ser 2011-1, Cl A1
1.044%, 03/25/2026 (B)		177		176
SpringCastle America Funding, Ser 2014-AA, Cl A
2.700%, 05/25/2023 (A)		497		499
Springleaf Funding Trust, Ser 2014-AA, Cl A
2.410%, 12/15/2022 (A)		261		262
SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes, Ser 2015-T2, Cl AT2
2.620%, 01/15/2047 (A)		520		520
Structured Asset Securities Mortgage Loan Trust, Ser 2006-GEL3, Cl A2
0.754%, 07/25/2036 (A)(B)		230		230
Structured Asset Securities Mortgage Loan Trust, Ser 2006-WF1, Cl A1
0.674%, 02/25/2036 (B)		87		87
Symphony CLO Ltd., Ser 2014-8AR, Cl BR
2.367%, 01/09/2023 (A)(B)		805		802
Verizon Owner Trust, Ser 2016-1A, Cl A
1.420%, 01/20/2021 (A)		600		601
Volvo Financial Equipment LLC, Ser 2014-1A, Cl A3
0.820%, 04/16/2018 (A)		118		118
Voya CLO, Ser 2012-1A, Cl A1R
1.856%, 03/14/2022 (A)(B)		260		260
Voya CLO, Ser 2012-1A, Cl A2R
2.506%, 03/14/2022 (A)(B)		500		500

				13,828


Total Asset-Backed Securities (Cost $35,249) ($ Thousands)				35,279




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 8.6%

Agency Mortgage-Backed Obligations — 3.0%
FHLMC
6.000%, 09/01/2026	$	66	$	75
FNMA
6.500%, 09/01/2026		47		54
6.000%, 11/01/2026 to 04/01/2040		366		419
5.000%, 02/01/2023 to 03/01/2025		95		103
3.000%, 12/01/2030		1,432		1,506
FNMA TBA
3.500%, 10/16/2031		900		949
3.000%, 10/15/2031 to 11/25/2031		1,500		1,574
FREMF Mortgage Trust, Ser 2013-K502, Cl C
3.196%, 03/25/2045 (A)(B)		260		261
FREMF Mortgage Trust, Ser 2014-K503, Cl C
3.080%, 10/25/2047 (A)(B)		155		151
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A
0.969%, 10/07/2020 (B)		262		262
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A
0.975%, 01/08/2020 (B)		341		342
NCUA Guaranteed Notes, Ser 2011-R3, Cl 1A
0.918%, 03/11/2020 (B)		110		110
NCUA Guaranteed Notes, Ser 2011-R4, Cl 1A
0.904%, 03/06/2020 (B)		50		50


				5,856


Non-Agency Mortgage-Backed Obligations — 5.6%
Adjustable Rate Mortgage Trust, Ser 2005-4, Cl 7A2
0.984%, 08/25/2035 (B)		83		83
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1
2.880%, 11/25/2034 (B)		63		63
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2
3.138%, 04/25/2035 (B)		181		167
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1
2.912%, 10/25/2035 (B)		148		132
Bear Stearns Commercial Mortgage Securities, Ser 2006-PW14, Cl A4
5.201%, 12/11/2038		138		138
Bear Stearns Commercial Mortgage Securities, Ser 2007-PW15, Cl A4
5.331%, 02/11/2044		485		488
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.901%, 12/10/2049 (B)		350		356
Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4
6.346%, 12/10/2049 (B)		432		445




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl A1
0.685%, 09/10/2045	$	65	$	65
Citigroup Deutsche Bank Commercial Mortgage, Ser 2007-CD4, Cl A4
5.322%, 12/11/2049		313		314
Citigroup Mortgage Loan Trust, Ser 2004-HYB3, Cl 1A
3.087%, 09/25/2034 (B)		46		46
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD5, Cl A4
5.886%, 11/15/2044 (B)		522		536
COMM Mortgage Trust, Ser 2012-CR4, Cl A1
0.704%, 10/15/2045		60		59
COMM Mortgage Trust, Ser 2013-CR10, Cl A1
1.278%, 08/10/2046		136		136
COMM Mortgage Trust, Ser 2014-BBG, Cl A
1.325%, 03/15/2029 (A)(B)		340		337
Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1
1.724%, 07/25/2024 (B)		305		306
Credit Suisse Commercial Mortgage Trust Series, Ser 2007-C2, Cl A3
5.542%, 01/15/2049 (B)		20		20
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/2046 (A)		6		6
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2013-DN1, Cl M1
3.925%, 07/25/2023 (B)		340		346
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M1
1.375%, 04/25/2024 (B)		64		64
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DN1, Cl M2
2.924%, 01/25/2025 (B)		555		560
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M1
1.875%, 04/25/2028 (B)		332		333
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 2M1
1.474%, 05/25/2024 (B)		102		102
FNMA Connecticut Avenue Securities, Ser 2014-C02, Cl 1M1
1.474%, 05/25/2024 (B)		185		185
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M1
1.674%, 05/25/2025 (B)		48		48
GS Mortgage Securities II, Ser 2012-GCJ9, Cl A1
0.662%, 11/10/2045		28		28
GS Mortgage Securities, Ser 2010-C2, Cl A1
3.849%, 12/10/2043 (A)		60		63
GS Mortgage Securities, Ser 2013-GC13, Cl A1
1.206%, 07/10/2046		53		53




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Hilton USA, Ser 2013-HLF, Cl AFL
1.523%, 11/05/2030 (A)(B)	$	222	$	222
Impac CMB Trust, Ser 2005-1, Cl 1A1
1.044%, 04/25/2035 (B)		170		153
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C13, Cl A1
1.303%, 01/15/2046		77		77
JPMorgan Mortgage Trust, Ser 2006-A6, Cl 4A1
2.951%, 10/25/2036 (B)		362		339
LB-UBS Commercial Mortgage Trust, Ser 2007-C2, Cl A3
5.430%, 02/15/2040		296		298
LB-UBS Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.858%, 07/15/2040 (B)		450		456
LB-UBS Commercial Mortgage Trust, Ser 2008-C1, Cl A2
6.287%, 04/15/2041 (B)		310		323
Merrill Lynch Mortgage Investors, Ser 2005-A1, Cl 1A
3.092%, 12/25/2034 (B)		118		117
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2007-5, Cl A4
5.378%, 08/12/2048		391		393
Morgan Stanley Capital I Trust, Ser 2007-T25, Cl A3
5.514%, 11/12/2049 (B)		100		101
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA
1.000%, 03/27/2051 (A)		155		154
MortgageIT Trust, Ser 2005-5, Cl A1
0.784%, 12/25/2035 (B)		523		468
Option One Mortgage Loan Trust, Ser 2005-1, Cl A1A
1.024%, 02/25/2035 (B)		126		125
Sequoia Mortgage Trust, Ser 2004-10, Cl A2
1.152%, 11/20/2034 (B)		120		110
Sequoia Mortgage Trust, Ser 2004-11, Cl A1
1.112%, 12/20/2034 (B)		92		89
Sequoia Mortgage Trust, Ser 2005-2, Cl A1
0.732%, 03/20/2035 (B)		56		52
Springleaf Mortgage Loan Trust, Ser 2013-1A, Cl A
1.270%, 06/25/2058 (A)(B)		325		324
Towd Point Mortgage Trust, Ser 2015-4, Cl A1B
2.750%, 04/25/2055 (A)(B)		147		149
Towd Point Mortgage Trust, Ser 2015-5, Cl A1B
2.750%, 05/25/2055 (A)(B)		152		154
Towd Point Mortgage Trust, Ser 2016-1, Cl A1B
2.750%, 02/25/2055 (A)(B)		161		164
Towd Point Mortgage Trust, Ser 2016-3, Cl A1
2.250%, 08/25/2055 (A)(B)		316		316




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Towd Point Mortgage Trust, Ser 2016-4, Cl A1
2.250%, 07/25/2056 (A)(B)	$	480	$	482
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1
0.726%, 08/10/2049		109		109
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl A3
6.011%, 06/15/2045 (B)		11		11
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.515%, 03/25/2036 (B)		212		196
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1
0.687%, 10/15/2045		87		87
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
2.855%, 01/25/2035 (B)		146		146
WFRBS Commercial Mortgage Trust, Ser 2012-C9, Cl A1
0.673%, 11/15/2045		96		96


				11,190


Total Mortgage-Backed Securities (Cost $17,211) ($ Thousands)				17,046


U.S. GOVERNMENT AGENCY OBLIGATION — 0.5%
FFCB
0.850%, 10/20/2017		1,000		1,001


Total U.S. Government Agency Obligation (Cost $1,001) ($ Thousands)				1,001


MUNICIPAL BONDS — 0.4%
California — 0.3%
University of California, Ser Y-1, RB
Callable 01/01/2017 @ 100
1.027%, 07/01/2041(B)		565		565


Florida — 0.1%
Florida State, Board of Administration Finance, Ser A, RB
2.163%, 07/01/2019		350		358


Total Municipal Bonds (Cost $915) ($ Thousands)				923


	Shares

COMMON STOCK — 0.1%
Dex Media *		23,332		46
Energy & Exploration Partners *(D)		85		33




Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Millennium *		6,490	$	3
Nelson Education Ltd. *		26,098		—
TE Holdcorp *		11,340		77


Total Common Stock (Cost $575) ($ Thousands)				159


PREFERRED STOCK — 0.1%
TE Holdcorp, 0.000% *		16,542		153


Total Preferred Stock (Cost $155) ($ Thousands)				153


CASH EQUIVALENT — 2.6%
SEI Daily Income Trust, Government Fund, Cl A 0.220%**^†		5,121,275		5,121


Total Cash Equivalent (Cost $5,121) ($ Thousands)				5,121


	Face Amount (Thousands)

REPURCHASE AGREEMENT(G) — 1.0%
Goldman Sachs 0.500%, dated 09/30/2016, to be repurchased on 10/03/2016, repurchase price $2,000,083 (collateralized by FHLMC obligation, par value $2,658,269, 3.000%, 11/01/2029; total market value $2,040,000)		$ 2,000		2,000


Total Repurchase Agreement (Cost $2,000) ($ Thousands)				2,000


Total Investments — 101.3% (Cost $204,135) ($ Thousands)			$	201,294

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of

Contracts

Long (Short)

Expiration Date

Unrealized

Appreciation

($ Thousands)

U.S. 10-Year Treasury Note

(8)

Dec-2016

U.S. 2-Year Treasury Note

(3)

Dec-2016

–

U.S. 5-Year Treasury Note

Dec-2016

–

Percentages are based on Net Assets of $198,624 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of September 30, 2016.

^†

Investment in Affiliated Security (see Note 6).

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2016, the value of these securities amounted to $41,203 ($ Thousands), representing 20.7% of the net assets of the Fund.

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2016.

(C)

Unsettled bank loan. Interest rate not available.

(D)

Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2016 was $55 ($ Thousands) and represented 0.0% of Net Assets.

(E)

Unfunded bank loan.

(F)

Security is in default on interest payment.

(G)

Tri-Party Repurchase Agreement.

CI — Class

CLO — Collateralized Loan Obligation

FFCB — Federal Farm Credit Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

LLC — Limited Liability Company

Ltd. — Limited

MTN — Medium Term Note

NCUA — National Credit Union Association

PLC — Public Limited Company

RB — Revenue Bond

Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit

Ser — Series

TBA — To Be Announced

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total

Corporate Obligations	$	–	$	75,043	$	–	$	75,043
Loan Participations		–		64,547		22		64,569
Asset-Backed Securities		–		35,279		–		35,279
Mortgage-Backed Securities		–		17,046		–		17,046
U.S. Government Agency Obligation		–		1,001		–		1,001
Municipal Bonds		–		923		–		923
Common Stock		–		126		33		159
Preferred Stock		–		153		–		153
Cash Equivalent		5,121		–		–		5,121
Repurchase Agreement		–		2,000		–		2,000

Total Investments in Securities	$	5,121	$	196,118	$	55	$	201,294



Other Financial Instruments	Level 1		Level 2		Level 3		Total

Futures Contracts *

Unrealized Appreciation	$	1	$	—	$	—	$	1

Total Other Financial Instruments	$	1	$	—	$	—	$	1

* Futures contracts are valued at the unrealized appreciation on the instrument.

(1) A reconciliation of Level 3 investments is presented when the Fund has a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. Management has concluded that Level 3 investments are not material in relation to net assets.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investment held as collateral for securities on loan (see Note 10).




Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS — 30.4%
U.S. Treasury Bills
0.410%, 02/23/2017 (A)	$	29,365	$	29,324
0.348%, 01/05/2017 (A)		6,070		6,066
0.318%, 12/08/2016 (A)(B)		367		367
0.311%, 10/20/2016 (A)		14,330		14,329
0.282%, 01/19/2017 (A)		9,500		9,492
U.S. Treasury Bonds
3.750%, 11/15/2043		2,470		3,215
3.000%, 11/15/2044		3,555		4,053
3.000%, 05/15/2045		18,690		21,310
3.000%, 11/15/2045		18,036		20,579
2.875%, 08/15/2045		49,895		55,574
2.804%, 08/15/2045 (A)		2,120		1,050
2.750%, 08/15/2042		3,570		3,890
2.750%, 11/15/2042		170		185
2.625%, 11/15/2020		15,340		16,285
2.546%, 05/15/2045 (A)		3,995		1,992
2.500%, 02/15/2045 (B)		23,905		24,704
2.500%, 02/15/2046		14,734		15,229
2.500%, 05/15/2046		13,610		14,086
2.250%, 08/15/2046		32,936		32,339
2.000%, 10/31/2021		16,574		17,222
U.S. Treasury Inflation Protected Securities
1.750%, 01/15/2028		1,252		1,465
1.375%, 02/15/2044		7,347		8,715
1.000%, 02/15/2046		4,733		5,151
0.750%, 02/15/2042		1,342		1,383
0.750%, 02/15/2045		5,140		5,298
0.625%, 01/15/2024		2,950		3,095




Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS (continued)
0.625%, 01/15/2026	$	20	$	21
0.625%, 02/15/2043		1,957		1,962
0.375%, 07/15/2023		4,271		4,426
0.375%, 07/15/2025		11,091		11,455
U.S. Treasury Notes
3.500%, 05/15/2020		6,350		6,907
2.125%, 08/31/2020		8,220		8,552
2.125%, 08/15/2021		10,374		10,834
2.000%, 09/30/2020		1,185		1,228
2.000%, 08/31/2021		1,973		2,049
2.000%, 11/30/2022		3,330		3,460
1.875%, 08/31/2017		10,195		10,306
1.875%, 10/31/2017		510		516
1.750%, 10/31/2020		2,090		2,145
1.625%, 08/31/2019		3,867		3,948
1.625%, 11/30/2020		7,255		7,412
1.625%, 05/15/2026		320		320
1.500%, 08/15/2026		23,980		23,747
1.375%, 09/30/2018		968		979
1.375%, 01/31/2021		4,443		4,492
1.375%, 04/30/2021		11,813		11,937
1.375%, 05/31/2021		170		172
1.375%, 08/31/2023		9,888		9,857
1.375%, 09/30/2023		861		858
1.250%, 12/15/2018		2,031		2,050
1.250%, 07/31/2023		9,550		9,450
1.125%, 06/15/2018		2,189		2,203
1.125%, 01/15/2019		500		503
1.125%, 06/30/2021		630		629
1.125%, 07/31/2021		18,735		18,710
1.125%, 08/31/2021		4,797		4,792
1.125%, 09/30/2021		48,820		48,755
1.000%, 12/15/2017		1,555		1,561
1.000%, 05/15/2018		3,097		3,109
1.000%, 09/15/2018		1,058		1,062
1.000%, 08/31/2019		1,852		1,858
0.875%, 10/15/2017		1,150		1,152
0.875%, 11/15/2017		1,840		1,844
0.875%, 05/31/2018		24,871		24,923
0.875%, 07/15/2018		1,967		1,971
0.875%, 06/15/2019		14,786		14,790
0.875%, 09/15/2019		3,331		3,331
0.750%, 10/31/2017		28,635		28,655
0.750%, 01/31/2018		1,095		1,095
0.750%, 02/28/2018		6,919		6,921
0.750%, 07/31/2018		8,815		8,813
0.750%, 08/31/2018		273		273
0.750%, 09/30/2018		6,393		6,391
0.750%, 08/15/2019		14,996		14,944

Total U.S. Treasury Obligations (Cost $634,818) ($ Thousands)				653,766




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 30.2%

Agency Mortgage-Backed Obligations — 24.5%
FHLMC
7.500%, 05/01/2031 to 09/01/2032	$	284	$	308
7.000%, 05/01/2024 to 03/01/2039		352		400
6.500%, 06/01/2017 to 09/01/2039		238		270
6.000%, 03/01/2020 to 07/01/2037		1,191		1,296
5.500%, 02/01/2017 to 11/01/2035		1,183		1,261
5.000%, 10/01/2018 to 06/01/2044		5,374		5,952
4.500%, 08/01/2020 to 03/01/2044		2,412		2,588
4.000%, 04/01/2019 to 07/01/2046		24,474		26,470
3.500%, 11/01/2029 to 08/01/2046		64,285		68,506
3.000%, 03/01/2030 to 09/01/2046		12,900		13,442
FHLMC ARM
3.090%, 02/01/2045 (C)		413		430
2.815%, 05/01/2045 (C)		351		364
2.791%, 12/01/2041 (C)		103		107
2.755%, 08/01/2044 (C)		–		–
2.540%, 07/01/2042 (C)		434		449
FHLMC CMO, Ser 1988-1, Cl Z
9.300%, 04/15/2019		3		3
FHLMC CMO, Ser 1997-1983, Cl Z
6.500%, 12/15/2023		500		549
FHLMC CMO, Ser 2001-2277, Cl B
7.500%, 01/15/2031		82		96
FHLMC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/2032		562		629
FHLMC CMO, Ser 2005-2945, Cl SA
11.350%, 03/15/2020 (C)		193		207
FHLMC CMO, Ser 2006-R007, Cl ZA
6.000%, 05/15/2036		1,121		1,273
FHLMC CMO, Ser 2007-3294, Cl CB
5.500%, 03/15/2037		289		314
FHLMC CMO, Ser 2008-3451, Cl SB, IO
5.506%, 05/15/2038 (C)		90		11
FHLMC CMO, Ser 2010-3621, Cl SB, IO
5.706%, 01/15/2040 (C)		94		17
FHLMC CMO, Ser 2011-3947, Cl SG, IO
5.426%, 10/15/2041 (C)		717		115
FHLMC CMO, Ser 2012-4054, Cl SA, IO
5.526%, 08/15/2039 (C)		1,192		191
FHLMC CMO, Ser 2012-4076, Cl SW, IO
5.526%, 07/15/2042 (C)		66		16
FHLMC CMO, Ser 2012-4092, Cl AI, IO
3.000%, 09/15/2031		1,207		113
FHLMC CMO, Ser 2012-4136, Cl SJ, IO
5.626%, 11/15/2042 (C)		139		25
FHLMC CMO, Ser 2012-4136, Cl SE, IO
5.626%, 11/15/2042 (C)		127		24
FHLMC CMO, Ser 2013-300, Cl 300
3.000%, 01/15/2043		1,305		1,359
FHLMC CMO, Ser 2013-4174, Cl SA, IO
5.676%, 05/15/2039 (C)		395		55




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FHLMC CMO, Ser 2013-4203, Cl PS, IO
5.726%, 09/15/2042 (C)	$	384	$	70
FHLMC CMO, Ser 2014-4415, Cl IO, IO
1.948%, 04/15/2041 (C)		702		47
FHLMC CMO, Ser 2015-4425, Cl A
4.000%, 09/15/2040		688		730
FHLMC Multifamily Structured Pass-Through Certificates, Ser K008, Cl X1, IO
1.782%, 06/25/2020 (C)		2,782		125
FHLMC Multifamily Structured Pass-Through Certificates, Ser K015, Cl X1, IO
1.788%, 07/25/2021 (C)		1,341		88
FHLMC Multifamily Structured Pass-Through Certificates, Ser K016, Cl X1, IO
1.701%, 10/25/2021 (C)		287		19
FHLMC Multifamily Structured Pass-Through Certificates, Ser K151, Cl A3
3.511%, 04/25/2030		1,465		1,630
FHLMC TBA
3.500%, 10/01/2046 to 11/01/2046		2,500		2,634
3.000%, 10/15/2042		10,375		10,781
FNMA
7.000%, 09/01/2026 to 02/01/2039		1,301		1,503
6.500%, 05/01/2017 to 05/01/2040		112		121
6.000%, 10/01/2019 to 07/01/2037		2,700		3,112
5.500%, 12/01/2016 to 08/01/2038		389		426
5.000%, 01/01/2020 to 02/01/2040		6,804		7,644
4.500%, 01/01/2020 to 06/01/2046		22,204		24,570
4.000%, 08/01/2020 to 07/01/2046		64,501		70,086
3.840%, 08/01/2021		2,950		3,227
3.762%, 12/01/2020		2,769		2,989
3.665%, 10/01/2020		1,570		1,690
3.619%, 12/01/2020		1,845		1,986
3.500%, 12/01/2029 to 12/31/2050		35,373		37,795
3.010%, 04/01/2028		1,320		1,407
3.000%, 04/01/2031 to 09/01/2042		9,389		9,869
2.830%, 06/01/2022		1,170		1,237
2.510%, 08/01/2026		1,338		1,380
2.500%, 10/01/2042		807		818
FNMA ACES, Ser 2012-M14, Cl X2, IO
0.590%, 09/25/2022 (C)		18,817		441
FNMA ACES, Ser 2014-M12, Cl FA
0.773%, 10/25/2021 (C)		1,094		1,089
FNMA ACES, Ser 2015-M13, Cl A2
2.801%, 06/25/2025 (C)		130		136
FNMA ACES, Ser 2016-M6, Cl A2
2.488%, 05/25/2026		1,096		1,127
FNMA ARM
4.374%, 04/01/2040 (C)		319		339
3.192%, 10/01/2043 (C)		393		410
2.908%, 06/01/2041 (C)		773		816
2.833%, 05/01/2043 (C)		211		220




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
2.753%, 01/01/2045 (C)	$	631	$	655
2.751%, 01/01/2045 (C)		523		542
2.669%, 01/01/2042 (C)		527		548
2.514%, 02/01/2042 (C)		987		1,034
2.454%, 10/01/2035 (C)		1,934		2,018
2.431%, 06/01/2042 (C)		400		413
2.428%, 11/01/2035 (C)		283		295
2.415%, 11/01/2035 (C)		1,093		1,139
2.409%, 11/01/2035 (C)		246		256
2.395%, 11/01/2035 (C)		229		240
2.392%, 11/01/2035 (C)		249		259
2.354%, 10/01/2035 (C)		1,239		1,289
2.337%, 11/01/2035 (C)		237		246
2.316%, 10/01/2035 (C)		170		177
1.706%, 04/01/2043 (C)		490		504
FNMA CMO STRIPS, Ser 2012-409, Cl C2, IO
3.000%, 04/25/2027		880		82
FNMA CMO STRIPS, Ser 2012-409, Cl C13, IO
3.500%, 11/25/2041		593		85
FNMA CMO STRIPS, Ser 2012-409, Cl C22, IO
4.500%, 11/25/2039		702		111
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/2029		231		257
FNMA CMO, Ser 2005-117, Cl LC
5.500%, 11/25/2035		811		877
FNMA CMO, Ser 2005-360, Cl 2, IO
5.000%, 08/01/2035		1,916		397
FNMA CMO, Ser 2006-112, Cl ST, IO
6.176%, 11/25/2036 (C)		1,605		230
FNMA CMO, Ser 2007-108, Cl AN
8.204%, 11/25/2037 (C)		127		155
FNMA CMO, Ser 2008-22, Cl SI, IO
5.906%, 03/25/2037 (C)		2,453		146
FNMA CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/2037 (A)		2,035		1,906
FNMA CMO, Ser 2010-150, Cl SK, IO
6.345%, 01/25/2041 (C)		594		114
FNMA CMO, Ser 2011-59, Cl NZ
5.500%, 07/25/2041		2,268		2,657
FNMA CMO, Ser 2011-90, Cl QI, IO
5.000%, 05/25/2034		808		64
FNMA CMO, Ser 2011-96, Cl SA, IO
6.025%, 10/25/2041 (C)		1,804		369
FNMA CMO, Ser 2012-112, Cl DA
3.000%, 10/25/2042		1,884		1,963
FNMA CMO, Ser 2012-128, Cl SQ, IO
5.626%, 11/25/2042 (C)		417		91
FNMA CMO, Ser 2012-133, Cl CS, IO
5.626%, 12/25/2042 (C)		515		92
FNMA CMO, Ser 2012-133, Cl SA, IO
5.626%, 12/25/2042 (C)		134		26




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2012-134, Cl LC
3.000%, 12/25/2042	$	378	$	394
FNMA CMO, Ser 2012-28, Cl B
6.500%, 06/25/2039		109		122
FNMA CMO, Ser 2012-411, Cl A3
3.000%, 08/25/2042		332		346
FNMA CMO, Ser 2012-46, Cl BA
6.000%, 05/25/2042		484		556
FNMA CMO, Ser 2012-70, Cl YS, IO
6.126%, 02/25/2041 (C)		154		20
FNMA CMO, Ser 2012-74, Cl SA, IO
6.126%, 03/25/2042 (C)		573		106
FNMA CMO, Ser 2012-74, Cl OA, PO
0.000%, 03/25/2042 (A)		44		40
FNMA CMO, Ser 2012-75, Cl AO, PO
0.000%, 03/25/2042 (A)		88		80
FNMA CMO, Ser 2013-10, Cl SJ, IO
5.625%, 02/25/2043 (C)		1,020		220
FNMA CMO, Ser 2013-10, Cl JS, IO
5.625%, 02/25/2043 (C)		958		178
FNMA CMO, Ser 2013-35, Cl CL
3.000%, 02/25/2043		6,875		7,259
FNMA CMO, Ser 2013-9, Cl SA, IO
5.626%, 03/25/2042 (C)		706		122
FNMA CMO, Ser 2013-9, Cl CB
5.500%, 04/25/2042		3,961		4,459
FNMA CMO, Ser 2013-9, Cl BC
6.500%, 07/25/2042		546		632
FNMA CMO, Ser 2014-M2, Cl A2
3.513%, 12/25/2023 (C)		1,770		1,945
FNMA CMO, Ser 2014-M4, Cl A2
3.346%, 03/25/2024 (C)		2,795		3,037
FNMA CMO, Ser 2015-55, Cl IO, IO
1.741%, 08/25/2055 (C)		1,343		84
FNMA CMO, Ser 2015-M2, Cl A3
3.150%, 12/25/2024 (C)		2,582		2,770
FNMA CMO, Ser 2015-M7, Cl AB2
2.502%, 12/25/2024		540		552
FNMA CMO, Ser 2016-59, Cl CA
3.500%, 09/25/2043		1,939		2,064
FNMA Multifamily Megas, Ser 141, Cl 1
2.966%, 05/01/2027 (C)		2,248		2,385
FNMA TBA
5.000%, 11/01/2037		1,500		1,665
4.500%, 10/15/2042		5,435		5,952
4.000%, 10/01/2046 to 11/01/2046		11,350		12,181
3.500%, 10/16/2027 to 11/01/2040		17,300		18,240
3.000%, 11/25/2026 to 12/15/2044		24,790		25,754
2.500%, 10/15/2027		14,295		14,806
0.000%, 10/01/2031		1,378		1,457




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FREMF Mortgage Trust, Ser 2012-K20, Cl X2A, IO
0.200%, 05/25/2045 (D)	$	12,707	$	113
FREMF Mortgage Trust, Ser 2015-K47, Cl B
3.724%, 06/25/2048 (C)(D)		160		159
GNMA
8.000%, 11/15/2029 to 09/15/2030		56		62
7.500%, 03/15/2029		71		87
6.500%, 07/15/2028 to 09/15/2035		2,251		2,629
6.000%, 10/15/2023 to 10/20/2040		4,167		4,848
5.000%, 07/20/2040 to 11/20/2045		1,042		1,159
4.500%, 03/15/2041 to 09/20/2046		3,393		3,754
4.000%, 10/15/2041 to 08/20/2046		8,537		9,278
3.500%, 03/20/2046 to 07/15/2046		5,504		5,855
3.000%, 07/20/2046 to 08/20/2046		4,353		4,566
GNMA CMO, Ser 2007-17, Cl IB, IO
5.738%, 04/20/2037 (C)		789		158
GNMA CMO, Ser 2010-31, Cl GS, IO
5.988%, 03/20/2039 (C)		116		8
GNMA CMO, Ser 2010-4, Cl NS, IO
5.883%, 01/16/2040 (C)		6,019		1,177
GNMA CMO, Ser 2010-85, Cl HS, IO
6.138%, 01/20/2040 (C)		114		12
GNMA CMO, Ser 2010-H27, Cl FA
0.848%, 12/20/2060 (C)		1,509		1,498
GNMA CMO, Ser 2010-H28, Cl FE
0.868%, 12/20/2060 (C)		850		845
GNMA CMO, Ser 2011-H08, Cl FG
0.948%, 03/20/2061 (C)		913		910
GNMA CMO, Ser 2011-H09, Cl AF
0.968%, 03/20/2061 (C)		647		646
GNMA CMO, Ser 2012-152, Cl IO, IO
0.730%, 01/16/2054 (C)		9,056		493
GNMA CMO, Ser 2012-34, Cl SA, IO
5.538%, 03/20/2042 (C)		642		128
GNMA CMO, Ser 2012-43, Cl SN, IO
6.093%, 04/16/2042 (C)		52		12
GNMA CMO, Ser 2012-66, Cl CI, IO
3.500%, 02/20/2038		854		69
GNMA CMO, Ser 2012-98, Cl SA, IO
5.666%, 08/16/2042 (C)		429		66
GNMA CMO, Ser 2013-178, Cl IO, IO
0.867%, 06/16/2055 (C)		1,481		67
GNMA CMO, Ser 2015-167, Cl OI, IO
4.000%, 04/16/2045		192		38
GNMA TBA
3.500%, 10/15/2041 to 11/15/2041		16,600		17,621
3.000%, 10/01/2042 to 12/01/2042		23,165		24,229
NCUA Guaranteed Notes, Ser 2010-R2, Cl 1A
0.843%, 11/06/2017 (C)		978		978


				525,530




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)

Non-Agency Mortgage-Backed Obligations — 5.7%
Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 3A1
2.575%, 02/25/2035 (C)	$	1,834	$	1,737
Adjustable Rate Mortgage Trust, Ser 2007-1, Cl 5A31
0.664%, 03/25/2037 (C)		2,493		1,888
Alternative Loan Trust, Ser 2005-36, Cl 3A1
2.966%, 08/25/2035 (C)		2,178		1,756
Alternative Loan Trust, Ser 2006-18CB, Cl A6
26.502%, 07/25/2036 (C)		371		542
Alternative Loan Trust, Ser 2006-OA11, Cl A4
0.714%, 09/25/2046 (C)		511		388
Alternative Loan Trust, Ser 2007-23CB, Cl A7
0.925%, 09/25/2037 (C)		2,793		1,492
American Home Mortgage Assets Trust, Ser 2006-6, Cl A1A
0.715%, 12/25/2046 (C)		1,791		1,201
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A
3.032%, 06/25/2045 (C)		1,788		1,773
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A
2.842%, 11/25/2045 (C)		1,824		1,378
Avenue of the Americas Trust, Ser 2015-1211, Cl A1A2
3.901%, 08/10/2035 (D)		805		891
BAMLL Commercial Mortgage Securities Trust, Ser 2014-520M, Cl A
4.185%, 08/15/2034 (C)(D)		440		506
BAMLL Re-REMIC Trust, Ser 2016-RRGG10, Cl AJA
5.988%, 08/10/2045 (C)(D)		1,812		1,236
BCAP Trust, Ser 2015-RR2, Cl 21A1
0.888%, 03/28/2037 (C)(D)		1,338		1,256
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
2.807%, 05/25/2034 (C)		206		195
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC6, Cl 1A3
5.500%, 09/25/2035 (C)		1,687		1,674
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC8, Cl A3, IO
7.162%, 11/25/2035 (C)		5,034		1,781
CD Commercial Mortgage Trust, Ser 2006-CD2, Cl AJ
5.563%, 01/15/2046 (C)		523		382
CD Commercial Mortgage Trust, Ser 2006-CD3, Cl AJ
5.688%, 10/15/2048		170		98
CD Commercial Mortgage Trust, Ser 2007-CD4, Cl AJ
5.398%, 12/11/2049 (C)		305		242




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
CD Commercial Mortgage Trust, Ser 2016-CD1, Cl A1
1.443%, 08/10/2021	$	186	$	186
CD Commercial Mortgage Trust, Ser 2016-CD1, Cl ASB
2.622%, 07/10/2026		188		193
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4
4.961%, 04/15/2044 (C)(D)		459		508
CFCRE Commercial Mortgage Trust, Ser 2016-C3, Cl A1
1.793%, 01/10/2021		323		325
CFCRE Commercial Mortgage Trust, Ser 2016-C4, Cl ASB
3.091%, 05/10/2058		225		236
CGBRAM Commerical Mortgage Trust, Ser 2014-HD, Cl E
3.508%, 02/15/2031 (C)(D)		640		607
CG-CCRE Commercial Mortgage Trust, Ser 2014-FL1, Cl A
1.458%, 06/15/2031 (C)(D)		483		483
Citigroup Commercial Mortgage Trust, Ser 2006-C5, Cl AJ
5.482%, 10/15/2049		270		252
Citigroup Commercial Mortgage Trust, Ser 20098-C7, Cl AJA
6.333%, 12/10/2049 (C)		140		102
Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A
3.251%, 05/10/2035 (D)		655		693
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl A2
1.987%, 04/10/2046		484		487
Citigroup Commercial Mortgage Trust, Ser 2014-GC19, Cl E
4.563%, 03/10/2047 (C)(D)		780		548
Citigroup Commercial Mortgage Trust, Ser 2016-GC36, Cl A5
3.616%, 02/10/2049		551		599
COMM Mortgage Trust, Ser 2010-C1, Cl A2
3.830%, 07/10/2046 (D)		86		88
COMM Mortgage Trust, Ser 2010-C1, Cl XWB, IO
0.865%, 07/10/2046 (C)(D)		13,060		367
COMM Mortgage Trust, Ser 2012-CR1, Cl A2
2.350%, 05/15/2045		526		528
COMM Mortgage Trust, Ser 2012-CR4, Cl A2
1.801%, 10/15/2045		171		172
COMM Mortgage Trust, Ser 2013-300P, Cl A1
4.353%, 08/10/2030 (D)		620		696
COMM Mortgage Trust, Ser 2013-CR10, Cl A2
2.972%, 08/10/2046		211		216
COMM Mortgage Trust, Ser 2013-CR11, Cl A1
1.468%, 10/10/2046		117		117




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
COMM Mortgage Trust, Ser 2013-CR12, Cl A1
1.295%, 10/10/2046	$	41	$	41
COMM Mortgage Trust, Ser 2013-CR12, Cl AM
4.300%, 10/10/2046		210		232
COMM Mortgage Trust, Ser 2013-CR12, Cl C
5.253%, 10/10/2046 (C)		40		43
COMM Mortgage Trust, Ser 2013-CR12, Cl A4
4.046%, 10/10/2046		57		63
COMM Mortgage Trust, Ser 2013-CR12, Cl B
4.762%, 10/10/2046 (C)		90		101
COMM Mortgage Trust, Ser 2013-CR13, Cl A4
4.194%, 11/10/2023 (C)		424		476
COMM Mortgage Trust, Ser 2013-CR6, Cl A1
0.719%, 03/10/2046		81		80
COMM Mortgage Trust, Ser 2013-CR6, Cl A2
2.122%, 03/10/2046		842		847
COMM Mortgage Trust, Ser 2013-CR9, Cl E
4.398%, 07/10/2045 (C)(D)		780		581
COMM Mortgage Trust, Ser 2014-CR19, Cl A5
3.796%, 08/10/2047		603		660
COMM Mortgage Trust, Ser 2014-SAVA, Cl D
3.608%, 06/15/2034 (C)(D)		770		763
COMM Mortgage Trust, Ser 2014-UBS4, Cl A5
3.694%, 08/10/2047		167		181
COMM Mortgage Trust, Ser 2014-UBS5, Cl ASB
3.548%, 09/10/2047		191		203
COMM Mortgage Trust, Ser 2014-UBS6, Cl ASB
3.387%, 12/10/2047		275		292
COMM Mortgage Trust, Ser 2014-UBS6, Cl AM
4.048%, 12/10/2047		488		526
COMM Mortgage Trust, Ser 2015-CR26, Cl ASB
3.373%, 04/10/2025		223		238
COMM Mortgage Trust, Ser 2016-787S, Cl A
3.545%, 02/10/2036 (D)		650		700
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A3
2.822%, 11/15/2045		60		62
Commercial Mortgage Pass-Through Certificates, Ser 2013-WWP, Cl A2
3.424%, 03/10/2031 (D)		100		107
Connecticut Avenue Securities, Ser 2014-C03, Cl 1M2
3.524%, 07/25/2024 (C)		4,810		4,815
Core Industrial Trust, Ser 2015-TEXW, Cl E
3.977%, 02/10/2034 (C)(D)		630		612
Credit Suisse Commercial Mortgage Trust, Ser 2006-C3, Cl AJ
6.393%, 06/15/2038 (C)		378		208
Credit Suisse Commercial Mortgage Trust, Ser 2006-C5, Cl AJ
5.373%, 12/15/2039		660		601




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Credit Suisse Commercial Mortgage Trust, Ser 2007-C2, Cl AM
5.615%, 01/15/2049 (C)	$	291	$	294
Credit Suisse Commercial Mortgage Trust, Ser 2007-C3, Cl AJ
5.889%, 06/15/2039 (C)		540		448
Credit Suisse Commercial Mortgage Trust, Ser 2007-C5, Cl AM
5.869%, 09/15/2040 (C)		270		249
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4
2.979%, 10/25/2033 (C)		1,200		1,192
Credit Suisse Group Funding Guernsey, Ser 2015-3GNA, Cl A2
4.273%, 03/12/2017		386		494
Credit Suisse Group Funding Guernsey, Ser 2015-3GNA, Cl A1
3.007%, 03/12/2017		1,098		1,408
Credit Suisse Mortgage Capital Certificates, Ser 2006-C4, Cl AJ
5.538%, 09/15/2039 (C)		56		56
Credit Suisse Mortgage Trust, Ser 2014-USA, Cl E
4.373%, 09/15/2037 (D)		590		508
Credit Suisse Mortgage Trust, Ser 2014-USA, Cl A2
3.953%, 09/15/2037 (D)		250		270
Credit Suisse Mortgage Trust, Ser 2015-3R, Cl 1A1
0.712%, 07/29/2037 (C)(D)		932		877
Credit Suisse Mortgage Trust, Ser 2015-4R, Cl 3A1
0.798%, 10/27/2036 (C)(D)		1,044		1,009
Credit Suisse Mortgage Trust, Ser 2015-SAMZ, Cl MZ
6.244%, 08/15/2022 (C)(D)		2,500		2,388
Credit Suisse Mortgage Trust, Ser 2015-Town, Cl F
5.008%, 03/15/2017 (C)(D)		650		627
CSAIL Commercial Mortgage Trust, Ser 2015-C2, Cl C
4.352%, 06/15/2057 (C)		635		635
CSAIL Commercial Mortgage Trust, Ser 2015-C4, Cl A4
3.808%, 11/15/2048		212		233
CSAIL Commercial Mortgage Trust, Ser 2016-C5, Cl ASB
3.533%, 11/15/2048		112		121
CSMC Trust, Ser 2014-11R, Cl 9A2
0.628%, 10/27/2036 (C)(D)		2,620		1,539
CSMC Trust, Ser 2014-TIKI, Cl F
4.331%, 09/15/2038 (C)(D)		1,900		1,799




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/2046 (D)	$	11	$	11
Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
1.314%, 11/19/2044 (C)		1,063		926
EQTY Mortgage Trust, Ser 2014-INNS, Cl D
2.849%, 05/08/2031 (C)(D)		530		519
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-HQ1, Cl M1
2.175%, 08/25/2024 (C)		21		21
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA2, Cl M3
5.174%, 10/25/2028 (C)		1,480		1,555
GS Mortgage Securities II, Ser 2015-GC30, Cl B
4.150%, 05/10/2050 (C)		680		703
GS Mortgage Securities Trust, Ser 2006-GG8, Cl AJ
5.622%, 11/10/2039		430		345
GS Mortgage Securities Trust, Ser 2007-GG10, Cl AM
5.988%, 08/10/2045 (C)		2,590		2,493
GS Mortgage Securities Trust, Ser 2011-GC5, Cl A2
2.999%, 08/10/2044		42		42
GS Mortgage Securities Trust, Ser 2011-GC5, Cl XA, IO
1.572%, 08/10/2044 (C)(D)		752		40
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl A2
2.318%, 05/10/2045		367		368
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl AAB
2.935%, 05/10/2045		78		80
GS Mortgage Securities Trust, Ser 2013-GC16, Cl A1
1.264%, 11/10/2046		20		20
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B
5.161%, 11/10/2046 (C)		180		208
GS Mortgage Securities Trust, Ser 2014-GC18, Cl AAB
3.648%, 01/10/2047		311		336
GS Mortgage Securities Trust, Ser 2014-GC20, Cl AAB
3.655%, 04/10/2047		400		433
GS Mortgage Securities Trust, Ser 2014-GC26, Cl B
4.215%, 11/10/2047 (C)		680		741
GS Mortgage Securities Trust, Ser 2015-GC34, Cl AAB
3.278%, 10/10/2048		261		278




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
GS Mortgage Securities Trust, Ser 2016-GS3, Cl AAB
2.777%, 10/10/2049	$	342	$	352
GS Mortgage Securities Trust, Ser 2016-GS3, Cl A4
2.850%, 10/10/2049		808		832
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/2027 (C)(D)		25		25
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1
2.797%, 10/25/2033 (C)		341		344
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 3A5
3.027%, 07/25/2035 (C)		4,056		3,744
HarborView Mortgage Loan, Ser 2004-3, Cl 1A
2.834%, 05/19/2034 (C)		1,912		1,892
Impac Secured Assets Trust, Ser 2006-5, Cl 2A
0.724%, 12/25/2036 (C)		1,330		1,195
Impact Funding LLC, Ser 2010-1, Cl A1
5.314%, 01/25/2051 (D)		1,596		1,871
IndyMac IMSC Mortgage Loan Trust, Ser 2007-HOA1, Cl A22
0.705%, 07/25/2047 (C)		1,844		1,161
IndyMac INDX Mortgage Loan Trust, Ser 2007-AR7, Cl 2A1
2.654%, 06/25/2037 (C)		2,707		2,057
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C14, Cl ASB
3.761%, 08/15/2046 (C)		165		179
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl C
5.215%, 11/15/2045 (C)		190		209
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl A2
2.977%, 11/15/2045		214		220
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B
5.050%, 01/15/2047 (C)		100		113
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C24, Cl AS
3.914%, 11/15/2047 (C)		610		663
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3
2.912%, 10/15/2048		774		798
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl AS
4.226%, 07/15/2048 (C)		523		578
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C31, Cl ASB
3.540%, 08/15/2048		177		191
JPMBB Commercial Mortgage Securities Trust, Ser 2016-C1, Cl ASB
3.316%, 03/15/2049		462		491




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
JPMDB Commercial Mortgage Securities Trust, Ser 2016-C2, Cl ASB
2.954%, 06/15/2049	$	449	$	468
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2004-LN2, Cl A2
5.115%, 07/15/2041		9		9
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB18, Cl AJ
5.502%, 06/12/2047 (C)		1,495		1,198
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB19, Cl AJ
5.882%, 05/12/2017 (C)		250		202
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDP12, Cl AJ
6.209%, 02/15/2051 (C)		45		41
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C2, Cl A2
3.616%, 11/15/2043 (D)		177		180
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A2
4.311%, 08/05/2032 (D)		805		866
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A1
3.300%, 08/05/2032 (D)		186		191
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C3, Cl A2
3.673%, 02/15/2046 (D)		5		5
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C3, Cl A3
4.388%, 02/15/2046 (D)		3,025		3,133
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C4, Cl A3
4.106%, 07/15/2046 (D)		1,239		1,287
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A2
1.677%, 12/15/2047		193		193
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl C
4.724%, 07/15/2047 (C)		610		631
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-JP1, Cl ASB
3.733%, 01/15/2049		125		136
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl ASB
2.713%, 09/15/2025		361		370
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP3, Cl A5
2.870%, 08/15/2026		1,155		1,186
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-C13, Cl ASB
3.414%, 01/15/2046		333		354
Liberty Street Trust, Ser 2016-225L, Cl A
3.597%, 02/10/2036 (D)		650		702




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
LSTAR Commercial Mortgage Trust, Ser 2015-3, Cl A2
2.729%, 04/20/2048 (C)(D)	$	1,750	$	1,774
MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/2034 (D)		1,750		1,660
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A
2.875%, 02/25/2034 (C)		357		358
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJ
5.450%, 08/12/2048 (C)		840		679
ML-CFC Commercial Mortgage Trust, Ser 2007-5, Cl AJFL
5.450%, 08/12/2048 (C)(D)		100		81
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl AJ
6.193%, 09/12/2049 (C)		1,200		912
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A2
2.964%, 06/15/2018		143		146
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A1
1.394%, 07/15/2046		122		123
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl AS
3.214%, 02/15/2046		83		86
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl A2
1.970%, 05/15/2046		201		203
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C21, Cl E
3.012%, 03/15/2048 (D)		1,000		619
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C22, Cl C
4.384%, 04/15/2048 (C)		630		639
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C23, Cl A3
3.451%, 07/15/2050		137		148
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016-C28, Cl ASB
3.288%, 01/15/2049		463		490
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016-C28, Cl A3
3.272%, 11/15/2025		404		430
Morgan Stanley Capital I Trust, Ser 2006-IQ12, Cl AJ
5.399%, 12/15/2043		790		590
Morgan Stanley Capital I Trust, Ser 2007-IQ16, Cl AJ
6.298%, 12/12/2049 (C)		1,010		917




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Capital I Trust, Ser 2011-C2, Cl A2
3.476%, 06/15/2044 (D)	$	79	$	79
Morgan Stanley Capital I Trust, Ser 2016-UB11, Cl ASB
2.606%, 01/15/2021		258		264
Morgan Stanley Capital I Trust, Ser 2016-UB11, Cl A1
1.445%, 04/15/2021		576		575
Morgan Stanley Capital I Trust, Ser 2016-UBS9, Cl A1
1.711%, 03/15/2049		320		320
Motel 6 Trust, Ser 2015-MTL6, Cl F
5.000%, 02/05/2030 (D)		1,470		1,416
Nomura Resecuritization Trust, Ser 2015-6R, Cl 3A5
0.678%, 05/26/2046 (C)(D)		3,440		2,021
OBP Depositor Trust, Ser 2010-OBP, Cl A
4.646%, 07/15/2045 (D)		560		610
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1
5.500%, 05/25/2035 (D)		1,435		1,332
RAMP Trust, Ser 2004-SL1, Cl A8
6.500%, 11/25/2031		129		130
RBS Commercial Funding Trust, Ser 2013-1A, Cl A
3.961%, 01/13/2032 (C)(D)		640		701
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1
5.000%, 08/25/2019		57		57
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.989%, 12/25/2034 (C)		360		359
Structured Asset Securities, Ser 2005-17, Cl 5A1
5.500%, 10/25/2035		906		736
Trust Company of the West, Ser 1060
2.600%, 10/28/2031		1,370		1,374
Trust Company of the West, Ser 1063
2.610%, 11/28/2028		1,355		1,379
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A2
2.113%, 05/10/2063		365		367
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A2
1.712%, 12/10/2017		362		363
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl D
4.649%, 12/10/2045 (C)(D)		670		662
VNDO Mortgage Trust, Ser 2012-6AVE, Cl A
2.996%, 11/15/2030 (D)		110		115
WaMu Mortgage Pass-Through Certificates Trust, Ser 2007-OA1, Cl A1A
1.189%, 02/25/2047 (C)		2,928		2,268




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Washington Mutual Mortgage Pass-Through Certificates Trust, Ser 2007-OA2, Cl 2A
1.189%, 01/25/2047 (C)	$	1,784	$	1,286
Washington Mutual MSC Mortgage Pass-Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/2018		17		17
Waterfall Commercial Mortgage Trust, Ser 2015-SBC5, Cl A
4.104%, 09/19/2022 (C)(D)		2,404		2,377
Wells Fargo Commercial Mortgage Trust, Ser 2013-LC12, Cl B
4.433%, 07/15/2046 (C)		20		22
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A1
3.052%, 06/25/2034 (C)		701		701
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl XA, IO
1.542%, 03/15/2044 (C)(D)		7,580		351
WFRBS Commercial Mortgage Trust, Ser 2011-C4, Cl A3
4.394%, 06/15/2044 (D)		1,813		1,888
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO
1.661%, 06/15/2045 (C)(D)		339		22
WFRBS Commercial Mortgage Trust, Ser 2014-C19, Cl B
4.723%, 03/15/2047 (C)		110		123


				123,354


Total Mortgage-Backed Securities (Cost $656,669) ($ Thousands)				648,884


CORPORATE OBLIGATIONS — 27.6%

Consumer Discretionary — 1.9%
1011778 BC ULC / New Red Finance
6.000%, 04/01/2022 (D)		390		408
21st Century Fox America
6.650%, 11/15/2037		180		237
6.200%, 12/15/2034		65		82
Altice Financing
6.625%, 02/15/2023 (D)		400		410
Amazon.com
4.950%, 12/05/2044		360		438
American Axle & Manufacturing
6.625%, 10/15/2022 (E)		380		402
American Honda Finance MTN
3.875%, 09/21/2020 (D)		1,065		1,155
BMW US Capital
2.800%, 04/11/2026 (D)		555		566
CCO Holdings
5.875%, 04/01/2024 (D)		70		75




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Charter Communications Operating
6.484%, 10/23/2045 (D)	$	949	$	1,148
6.384%, 10/23/2035 (D)		100		118
4.908%, 07/23/2025 (D)		40		44
4.464%, 07/23/2022 (D)		1,700		1,834
Comcast
6.950%, 08/15/2037 (E)		450		656
6.550%, 07/01/2039		270		383
6.400%, 03/01/2040		150		210
4.400%, 08/15/2035		315		357
4.200%, 08/15/2034		200		221
3.375%, 02/15/2025		310		332
Cox Communications
4.800%, 02/01/2035 (D)		115		114
4.700%, 12/15/2042 (D)		10		9
Daimler Finance North America LLC
2.375%, 08/01/2018 (D)		735		746
1.125%, 03/10/2017 (D)		975		975
Discovery Communications
4.900%, 03/11/2026		400		435
4.875%, 04/01/2043		155		148
DISH DBS
6.750%, 06/01/2021		80		86
5.875%, 07/15/2022		250		257
5.875%, 11/15/2024		600		593
Dollar Tree
5.750%, 03/01/2023 (E)		240		258
ERAC USA Finance
3.300%, 12/01/2026 (D)		645		664
Fiat Chrysler Automobiles
4.500%, 04/15/2020 (E)		200		206
Ford Motor
4.750%, 01/15/2043		260		269
Ford Motor Credit
5.875%, 08/02/2021		230		263
3.200%, 01/15/2021		770		791
Ford Motor Credit LLC
3.219%, 01/09/2022		480		493
2.597%, 11/04/2019		775		787
General Motors
6.600%, 04/01/2036		670		806
6.250%, 10/02/2043		100		118
5.000%, 04/01/2035		305		316
General Motors Financial
5.250%, 03/01/2026		655		719
4.750%, 08/15/2017		1,000		1,027
4.375%, 09/25/2021		180		192
4.250%, 05/15/2023		110		114
4.200%, 03/01/2021		1,145		1,205
3.700%, 05/09/2023		830		844
3.450%, 04/10/2022		540		548
3.250%, 05/15/2018		60		61




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Goodyear Tire & Rubber
5.125%, 11/15/2023	$	300	$	313
5.000%, 05/31/2026		140		144
Grupo Televisa
6.125%, 01/31/2046		255		279
5.000%, 05/13/2045		270		258
Hyundai Capital America
2.125%, 10/02/2017 (D)		270		271
L Brands
5.625%, 10/15/2023		110		123
McDonald’s MTN
4.875%, 12/09/2045		630		731
3.700%, 01/30/2026		324		349
2.750%, 12/09/2020		285		296
NBCUniversal Media
4.375%, 04/01/2021 (E)		270		300
NCL
4.625%, 11/15/2020 (D)		310		310
Netflix
5.875%, 02/15/2025		110		119
5.500%, 02/15/2022		50		54
Newell Brands
5.500%, 04/01/2046		267		324
4.200%, 04/01/2026		530		577
3.850%, 04/01/2023		340		362
3.150%, 04/01/2021		170		177
QVC
5.950%, 03/15/2043		20		19
Scripps Networks Interactive
3.900%, 11/15/2024		225		236
3.500%, 06/15/2022		255		266
2.800%, 06/15/2020		290		297
SFR Group
7.375%, 05/01/2026 (D)		600		613
Taylor Morrison Communities
5.250%, 04/15/2021 (D)(E)		460		475
Time Warner
7.700%, 05/01/2032		1,010		1,436
6.250%, 03/29/2041		265		341
4.750%, 03/29/2021		730		818
3.550%, 06/01/2024		1,365		1,450
Time Warner Cable
8.250%, 04/01/2019		2,265		2,608
7.300%, 07/01/2038		190		243
6.550%, 05/01/2037		635		753
5.875%, 11/15/2040		370		411
Time Warner Entertainment
8.375%, 07/15/2033		270		368
Toyota Motor Credit MTN
1.250%, 10/05/2017		1,150		1,151
United Business Media
5.750%, 11/03/2020 (D)		490		531




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Viacom
4.850%, 12/15/2034	$	290	$	296
4.250%, 09/01/2023		100		106
3.875%, 04/01/2024		100		103
3.450%, 10/04/2026		230		229
2.250%, 02/04/2022		350		349
Volkswagen International Finance
1.125%, 11/18/2016 (D)		1,115		1,115

				41,321


Consumer Staples — 2.1%
Altria Group
9.250%, 08/06/2019		1,250		1,519
5.375%, 01/31/2044		110		139
4.750%, 05/05/2021		720		814
2.850%, 08/09/2022		260		271
Anheuser-Busch InBev Finance
4.900%, 02/01/2046		3,535		4,206
3.650%, 02/01/2026		4,043		4,342
3.300%, 02/01/2023		1,830		1,932
2.650%, 02/01/2021		410		423
Anheuser-Busch InBev Worldwide
5.375%, 01/15/2020		1,140		1,273
5.000%, 04/15/2020		430		478
2.500%, 07/15/2022		330		337
Anheuser-Busch LLC
5.050%, 10/15/2016		940		941
Coca-Cola
1.550%, 09/01/2021		375		374
Coca-Cola Femsa
2.375%, 11/26/2018		680		692
CVS Health
5.125%, 07/20/2045		1,810		2,215
3.875%, 07/20/2025		266		290
3.500%, 07/20/2022		100		107
Diageo Capital PLC
4.828%, 07/15/2020		1,450		1,620
Kraft Heinz Foods
6.500%, 02/09/2040		225		302
5.375%, 02/10/2020		455		508
5.200%, 07/15/2045		60		71
5.000%, 07/15/2035		270		312
4.375%, 06/01/2046		1,080		1,143
3.950%, 07/15/2025		700		757
3.500%, 06/06/2022		1,150		1,222
3.500%, 07/15/2022		500		531
3.000%, 06/01/2026		540		544
2.800%, 07/02/2020		875		907
1.600%, 06/30/2017		1,018		1,020
Kroger
2.950%, 11/01/2021		375		391




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Molson Coors Brewing
3.500%, 05/01/2022	$	100	$	107
3.000%, 07/15/2026		775		780
Mondelez International
4.000%, 02/01/2024		360		395
PepsiCo
4.000%, 03/05/2042		110		120
Pernod Ricard
4.450%, 01/15/2022 (D)		180		199
2.950%, 01/15/2017 (D)		360		361
Philip Morris International
4.500%, 03/20/2042		130		147
4.250%, 11/10/2044		360		399
2.900%, 11/15/2021		370		388
2.500%, 08/22/2022		340		349
2.125%, 05/10/2023 (E)		480		479
Reynolds American
8.125%, 06/23/2019		20		23
5.850%, 08/15/2045		1,580		2,054
5.700%, 08/15/2035		275		340
3.250%, 06/12/2020		162		170
Skandinaviska Enskilda Banken
1.875%, 09/13/2021		820		814
Spectrum Brands
5.750%, 07/15/2025		130		141
Tyson Foods
5.150%, 08/15/2044		130		153
Walgreens Boots Alliance
4.800%, 11/18/2044		470		518
3.450%, 06/01/2026		2,530		2,626
3.300%, 11/18/2021		590		624
Wal-Mart Stores
4.300%, 04/22/2044		855		1,004
Wm Wrigley Jr
3.375%, 10/21/2020 (D)		765		810
2.900%, 10/21/2019 (D)		1,119		1,158
2.400%, 10/21/2018 (D)		430		437
2.000%, 10/20/2017 (D)		205		206


				44,483


Energy — 3.0%
Anadarko Finance, Ser B
7.500%, 05/01/2031 (E)		810		1,003
Anadarko Petroleum
6.450%, 09/15/2036		30		35
4.850%, 03/15/2021		190		204
4.500%, 07/15/2044		400		367
Apache
5.100%, 09/01/2040		80		83
4.250%, 01/15/2044		950		923
BG Energy Capital PLC
4.000%, 10/15/2021 (D)		910		995




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
BP Capital Markets PLC
3.561%, 11/01/2021	$	50	$	54
3.506%, 03/17/2025		530		562
3.245%, 05/06/2022 (E)		160		169
3.119%, 05/04/2026		100		102
Chesapeake Energy
5.750%, 03/15/2023		70		60
Chevron
2.954%, 05/16/2026		1,060		1,095
2.100%, 05/16/2021		1,355		1,377
1.561%, 05/16/2019		756		760
Cimarex Energy
4.375%, 06/01/2024		345		360
CNOOC Finance
3.500%, 05/05/2025		1,370		1,410
Concho Resources
5.500%, 10/01/2022		130		135
5.500%, 04/01/2023		60		62
Conoco Funding
7.250%, 10/15/2031		50		66
ConocoPhillips
5.900%, 10/15/2032		10		12
5.900%, 05/15/2038		420		503
4.150%, 11/15/2034		630		629
Devon Energy
5.850%, 12/15/2025 (E)		450		506
5.600%, 07/15/2041		380		383
5.000%, 06/15/2045		580		564
3.250%, 05/15/2022 (E)		270		268
Devon Financing LLC
7.875%, 09/30/2031		260		322
Ecopetrol
5.875%, 05/28/2045		1,290		1,183
Enbridge Energy Partners
5.875%, 10/15/2025		750		862
Energy Transfer Partners
8.250%, 11/15/2029		1,315		1,604
6.125%, 12/15/2045		845		883
4.750%, 01/15/2026		255		263
2.500%, 06/15/2018		460		463
Ensco
4.700%, 03/15/2021 (E)		170		153
Enterprise Products Operating LLC
6.450%, 09/01/2040		65		79
5.950%, 02/01/2041		105		122
5.100%, 02/15/2045		215		231
EOG Resources
4.150%, 01/15/2026		399		436
Exxon Mobil
4.114%, 03/01/2046		476		532
3.043%, 03/01/2026		500		524




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Florida Gas Transmission LLC
7.900%, 05/15/2019 (D)	$	1,000	$	1,134
Gulfstream Natural Gas System
5.950%, 10/15/2045 (D)		190		209
Halliburton
5.000%, 11/15/2045		722		788
4.850%, 11/15/2035		60		64
3.800%, 11/15/2025		540		558
Hess
5.800%, 04/01/2047		345		353
Kerr-McGee
7.875%, 09/15/2031		430		533
Kinder Morgan
5.550%, 06/01/2045		555		569
5.300%, 12/01/2034		115		115
4.300%, 06/01/2025		1,635		1,699
Magellan Midstream Partners
5.000%, 03/01/2026		185		211
Marathon Petroleum
5.850%, 12/15/2045		205		208
5.000%, 09/15/2054		55		48
MPLX
5.500%, 02/15/2023		320		331
4.875%, 12/01/2024		320		331
4.875%, 06/01/2025		110		114
Noble Energy
6.000%, 03/01/2041		170		184
5.250%, 11/15/2043		180		183
4.150%, 12/15/2021		690		734
3.900%, 11/15/2024		500		510
Oasis Petroleum
6.875%, 03/15/2022		20		19
6.500%, 11/01/2021		70		67
Occidental Petroleum
4.625%, 06/15/2045		150		170
3.400%, 04/15/2026		270		285
3.125%, 02/15/2022		330		346
Panhandle Eastern Pipeline
8.125%, 06/01/2019		2,500		2,803
Petrobras Global Finance
6.850%, 06/05/2115		620		525
6.250%, 03/17/2024		720		700
5.750%, 01/20/2020		574		591
Petrobras International Finance
5.375%, 01/27/2021		1,090		1,078
Petro-Canada
6.800%, 05/15/2038		915		1,201
Petroleos Mexicanos
6.625%, 06/15/2035		1,667		1,697
6.375%, 01/23/2045		820		783
5.500%, 06/27/2044		90		78
2.460%, 12/15/2025		1,121		1,151




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
2.378%, 04/15/2025	$	594	$	608
Petroleos Mexicanos MTN
6.875%, 08/04/2026 (D)		345		389
6.750%, 09/21/2047 (D)		435		435
5.625%, 01/23/2046		405		353
Pride International
8.500%, 06/15/2019 (E)		170		185
6.875%, 08/15/2020		80		79
QEP Resources
6.875%, 03/01/2021 (E)		340		354
Range Resources
5.000%, 03/15/2023 (D)(E)		680		668
4.875%, 05/15/2025		30		29
Regency Energy Partners
4.500%, 11/01/2023		690		695
Sabine Pass Liquefaction
5.750%, 05/15/2024		220		237
5.000%, 03/15/2027 (D)		365		374
Schlumberger Holdings
4.000%, 12/21/2025 (D)		330		359
3.000%, 12/21/2020 (D)		1,690		1,762
SESI LLC
7.125%, 12/15/2021		60		59
Shelf Drilling Holdings
8.625%, 11/01/2018 (D)		40		32
Shell International Finance
4.375%, 03/25/2020		690		753
4.375%, 05/11/2045		280		302
4.125%, 05/11/2035		2,120		2,274
4.000%, 05/10/2046		637		652
3.750%, 09/12/2046		310		306
3.400%, 08/12/2023		595		635
2.875%, 05/10/2026		1,355		1,375
2.500%, 09/12/2026		105		103
Sinopec Group Overseas Development
4.375%, 04/10/2024 (D)		860		951
2.750%, 05/17/2017 (D)		490		494
SM Energy
5.000%, 01/15/2024 (E)		70		66
Southern Natural Gas LLC
8.000%, 03/01/2032		170		218
Spectra Energy Partners
4.500%, 03/15/2045		800		802
Statoil
3.700%, 03/01/2024		355		386
TC PipeLines
4.650%, 06/15/2021		160		168
Tennessee Gas Pipeline LLC
8.375%, 06/15/2032		1,638		2,042
Total Capital International
2.875%, 02/17/2022		850		892




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
TransCanada PipeLines
4.625%, 03/01/2034	$	815	$	899
Transcontinental Gas Pipe Line
7.850%, 02/01/2026 (D)		1,060		1,374
Valero Energy
3.400%, 09/15/2026		580		576
Williams
7.875%, 09/01/2021		495		573
7.750%, 06/15/2031		861		984
Williams Partners
6.125%, 07/15/2022		680		706
5.100%, 09/15/2045		65		63
4.875%, 03/15/2024		100		101
4.000%, 09/15/2025		220		220
WPX Energy
6.000%, 01/15/2022		60		60


				65,307


Financials — 9.4%
ABN AMRO Bank
4.750%, 07/28/2025 (D)		360		378
Allstate
3.150%, 06/15/2023		555		588
Ally Financial
7.500%, 09/15/2020		626		712
American Express Credit MTN
2.250%, 08/15/2019		1,025		1,046
American International Group
6.250%, 05/01/2036		335		413
6.250%, 03/15/2037 (C)		1,220		1,287
3.900%, 04/01/2026		944		999
Bank of America
6.250%, 09/29/2049 (C)		720		750
6.000%, 09/01/2017		680		707
5.750%, 12/01/2017		305		320
5.700%, 05/02/2017		1,300		1,331
5.420%, 03/15/2017		4,300		4,374
3.875%, 03/22/2017		280		283
Bank of America MTN
8.950%, 05/18/2017 (C)		1,790		1,693
8.680%, 05/02/2017 (C)		3,160		2,981
5.650%, 05/01/2018		270		286
5.625%, 07/01/2020		110		123
5.000%, 01/21/2044		600		706
4.450%, 03/03/2026		1,647		1,768
4.200%, 08/26/2024		830		879
4.000%, 04/01/2024		3,310		3,567
4.000%, 01/22/2025		875		907
3.875%, 08/01/2025		580		620
3.500%, 04/19/2026		60		62
3.300%, 01/11/2023		160		166
2.625%, 04/19/2021		2,365		2,403




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
2.600%, 01/15/2019	$	670	$	683
Bank of New York Mellon MTN
2.450%, 08/17/2026		715		711
2.200%, 03/04/2019		630		642
2.200%, 08/16/2023		955		952
Bank of New York Mellon
3.400%, 05/15/2024		1,865		1,996
Barclays Bank PLC MTN
6.050%, 12/04/2017 (D)		420		439
Bear Stearns
6.400%, 10/02/2017		70		73
4.650%, 07/02/2018		995		1,049
Berkshire Hathaway
4.500%, 02/11/2043		600		695
3.125%, 03/15/2026		1,805		1,897
Berkshire Hathaway Finance
4.400%, 05/15/2042		1,000		1,135
BNP Paribas MTN
2.375%, 09/14/2017		320		322
Boeing Capital
4.700%, 10/27/2019		490		539
BPCE
5.150%, 07/21/2024 (D)		210		221
Capital One Bank USA
1.150%, 11/21/2016		1,000		1,000
Capital One Financial
4.200%, 10/29/2025		526		549
3.750%, 07/28/2026		365		366
Chase Capital VI
1.382%, 08/01/2028 (C)		1,750		1,538
Chubb INA Holdings
4.350%, 11/03/2045		405		468
3.350%, 05/03/2026		734		786
2.300%, 11/03/2020		160		164
CIT Group
5.000%, 08/15/2022		120		127
5.000%, 08/01/2023		450		476
Citigroup
8.125%, 07/15/2039		69		108
6.675%, 09/13/2043		70		92
6.625%, 06/15/2032		100		124
6.300%, 12/29/2049 (C)		520		534
5.950%, 12/29/2049 (C)		360		373
5.950%, 12/31/2049 (C)		1,250		1,275
5.900%, 12/29/2049 (C)		140		145
5.500%, 09/13/2025		750		855
5.350%, 05/29/2049 (C)		390		385
5.300%, 05/06/2044		180		202
4.650%, 07/30/2045		810		914
4.600%, 03/09/2026		555		593
4.450%, 09/29/2027		1,915		2,004
4.400%, 06/10/2025		810		858




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
4.300%, 11/20/2026	$	180	$	189
4.050%, 07/30/2022		70		74
3.700%, 01/12/2026		905		955
3.500%, 05/15/2023		500		514
3.400%, 05/01/2026		605		625
2.500%, 09/26/2018		3,330		3,383
1.750%, 05/01/2018		1,835		1,838
1.550%, 08/14/2017		980		981
Citigroup Capital III
7.625%, 12/01/2036		1,500		1,904
Commonwealth Bank of Australia MTN
5.000%, 10/15/2019 (D)		10		11
Compass Bank
3.875%, 04/10/2025		430		421
Cooperatieve Centrale Raiffeisen-Boerenleenbank MTN
4.625%, 12/01/2023		1,100		1,188
Cooperatieve Centrale Raiffeisen-Boerenleenbank
5.250%, 08/04/2045		310		353
4.375%, 08/04/2025		650		686
Cooperatieve Rabobank UA
11.000%, 12/31/2049 (C)(D)		920		1,114
Cooperatieve Rabobank UA MTN
3.750%, 07/21/2026		945		947
Credit Agricole
8.375%, 12/31/2049 (C)(D)		1,090		1,230
Credit Suisse Group Funding Guernsey
4.875%, 05/15/2045		890		940
4.550%, 04/17/2026 (D)		320		336
3.800%, 06/09/2023 (D)(E)		765		776
3.450%, 04/16/2021 (D)		440		449
Discover Bank
3.100%, 06/04/2020		1,500		1,543
Farmers Exchange Capital
7.050%, 07/15/2028 (D)		1,000		1,200
Farmers Exchange Capital II
6.151%, 11/01/2053 (C)(D)		2,150		2,306
Ford Motor Credit LLC
8.125%, 01/15/2020		660		779
General Electric MTN
4.375%, 09/16/2020		30		33
Goldman Sachs Capital II
4.000%, 06/01/2043 (C)		10		8
Goldman Sachs Group MTN
7.500%, 02/15/2019		950		1,074
6.000%, 06/15/2020		170		193
5.375%, 03/15/2020		2,860		3,167
4.000%, 03/03/2024		490		526
3.850%, 07/08/2024		830		881
Goldman Sachs Group
6.750%, 10/01/2037 (E)		488		621




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
6.250%, 02/01/2041	$	750	$	981
6.150%, 04/01/2018		1,780		1,896
5.950%, 01/18/2018		260		274
5.750%, 01/24/2022		110		128
5.250%, 07/27/2021		340		384
5.150%, 05/22/2045		490		534
4.750%, 10/21/2045		857		962
4.250%, 10/21/2025		745		784
3.750%, 02/25/2026		435		457
2.375%, 01/22/2018		1,370		1,385
2.350%, 11/15/2027		1,085		1,083
Guardian Life Global Funding MTN
2.000%, 04/26/2021 (D)		1,000		1,010
HBOS PLC MTN
6.750%, 05/21/2018 (D)		2,100		2,244
HSBC Bank PLC
4.750%, 01/19/2021 (D)		1,760		1,943
HSBC Holdings
6.500%, 09/15/2037		180		231
HSBC Holdings PLC
4.300%, 03/08/2026		1,180		1,265
4.250%, 03/14/2024		985		1,016
4.250%, 08/18/2025		750		770
4.000%, 03/30/2022		330		351
3.900%, 05/25/2026		595		616
3.400%, 03/08/2021		1,020		1,055
2.650%, 01/05/2022		1,470		1,465
ILFC E-Capital Trust II
4.250%, 12/21/2065 (C)(D)		400		319
ING Bank
5.800%, 09/25/2023 (D)		920		1,028
2.050%, 08/15/2021 (D)(E)		1,015		1,016
International Lease Finance
7.125%, 09/01/2018 (D)		2,080		2,270
Intesa Sanpaolo MTN
5.017%, 06/26/2024 (D)		1,610		1,469
Jackson National Life Global Funding
3.050%, 04/29/2026 (D)		1,383		1,406
John Deere Capital
1.700%, 01/15/2020 (E)		160		161
JPMorgan Chase MTN
2.295%, 08/15/2021		1,080		1,082
JPMorgan Chase
6.000%, 01/15/2018		135		143
4.950%, 06/01/2045		710		795
4.500%, 01/24/2022		180		199
4.400%, 07/22/2020		210		229
4.350%, 08/15/2021		215		236
4.250%, 10/15/2020		330		358
3.900%, 07/15/2025		1,115		1,202
3.875%, 09/10/2024		620		653
2.950%, 10/01/2026		1,755		1,760




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
2.700%, 05/18/2023	$	1,045	$	1,056
2.400%, 06/07/2021		680		688
2.250%, 01/23/2020		1,010		1,023
JPMorgan Chase Bank
6.000%, 07/05/2017		2,250		2,329
6.000%, 10/01/2017		1,000		1,043
JPMorgan Chase Capital XIII
1.788%, 09/30/2034 (C)		550		451
JPMorgan Chase Capital XXIII
1.817%, 05/15/2047 (C)		1,900		1,439
KFW
1.000%, 07/15/2019		1,197		1,193
KKR Group Finance II
5.500%, 02/01/2043 (D)		60		63
Lazard Group LLC
4.250%, 11/14/2020		490		525
3.750%, 02/13/2025		825		831
M&T Bank
6.875%, 12/29/2049		1,740		1,750
Macquarie Bank MTN
1.364%, 10/27/2017 (C)(D)		1,180		1,180
Marsh & McLennan
3.750%, 03/14/2026		505		546
Massachusetts Mutual Life Insurance
8.875%, 06/01/2039 (D)		605		952
MetLife
4.600%, 05/13/2046		358		387
MetLife Capital Trust IV
7.875%, 12/15/2037 (D)		800		1,004
Metropolitan Life Global Funding I
1.950%, 09/15/2021 (D)		740		739
1.550%, 09/13/2019 (D)		495		493
Metropolitan Life Global Funding I MTN
1.950%, 12/03/2018 (D)		155		157
Mitsubishi UFJ Financial Group
2.757%, 09/13/2026		865		863
Morgan Stanley MTN
7.300%, 05/13/2019		545		619
5.500%, 07/24/2020		500		560
4.750%, 03/22/2017		140		142
4.000%, 07/23/2025		902		970
3.125%, 07/27/2026		1,440		1,449
2.500%, 04/21/2021		1,795		1,817
1.129%, 10/18/2016 (C)		5,965		5,966
Murray Street Investment Trust I
4.647%, 03/09/2017 (F)		1,041		1,052
Nationwide Mutual Insurance
3.140%, 12/15/2024 (C)(D)		2,975		2,916
New York Life Global Funding
1.550%, 11/02/2018 (D)		1,000		1,005
New York Life Insurance
6.750%, 11/15/2039 (D)		415		575




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
2.100%, 01/02/2019 (D)	$	575	$	584
Northwestern Mutual Life Insurance
6.063%, 03/30/2040 (D)		690		893
PNC Bank
2.250%, 07/02/2019		545		555
PNC Bank MTN
2.400%, 10/18/2019		625		640
Progressive
2.450%, 01/15/2027		315		314
Protective Life Global Funding
1.722%, 04/15/2019 (D)		1,600		1,605
Quicken Loans
5.750%, 05/01/2025 (D)		200		198
Royal Bank of Canada
2.300%, 03/22/2021 (E)		20		20
Royal Bank of Scotland
4.650%, 06/04/2018		270		277
Royal Bank of Scotland Group PLC
6.125%, 12/15/2022		390		413
6.100%, 06/10/2023		550		577
6.000%, 12/19/2023		860		896
5.125%, 05/28/2024		490		491
3.875%, 09/12/2023		710		699
Santander UK Group Holdings
2.875%, 08/05/2021		1,485		1,484
Stadshypotek
1.875%, 10/02/2019 (D)		640		646
Standard Chartered
5.700%, 03/26/2044 (D)		1,160		1,234
State Street
4.956%, 03/15/2018		1,300		1,357
Svenska Handelsbanken MTN
1.875%, 09/07/2021		830		826
Synchrony Financial
3.700%, 08/04/2026		650		645
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (D)		1,300		1,767
4.900%, 09/15/2044 (D)		85		96
Toronto-Dominion Bank
2.250%, 03/15/2021 (D)		1,415		1,445
Trinity Acquisition
4.400%, 03/15/2026		160		168
UBS MTN
1.375%, 06/01/2017		2,000		2,001
UBS Group Funding Jersey
4.125%, 09/24/2025 (D)		510		534
4.125%, 04/15/2026 (D)		450		473
2.650%, 02/01/2022 (D)		1,025		1,023
US Bancorp MTN
2.375%, 07/22/2026		935		923




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
US Bank
2.125%, 10/28/2019	$	435	$	443
Visa
4.300%, 12/14/2045		570		659
3.150%, 12/14/2025		1,050		1,109
2.800%, 12/14/2022		1,230		1,289
Voya Financial
4.800%, 06/15/2046		65		65
Wachovia Capital Trust III
5.570%, 05/31/2016 (C)		2,410		2,404
WEA Finance
4.750%, 09/17/2044 (D)		230		249
3.750%, 09/17/2024 (D)(E)		780		820
3.250%, 10/05/2020 (D)		2,290		2,386
Wells Fargo
5.875%, 12/31/2049 (C)		120		130
3.000%, 04/22/2026		1,935		1,953
2.125%, 04/22/2019		420		426
2.100%, 07/26/2021		2,635		2,626
Wells Fargo MTN
4.900%, 11/17/2045		650		716
4.650%, 11/04/2044		190		200
4.600%, 04/01/2021		160		177
4.400%, 06/14/2046		720		733
4.300%, 07/22/2027		1,400		1,509
3.450%, 02/13/2023		430		443
3.000%, 01/22/2021		1,010		1,047
1.650%, 01/22/2018		1,670		1,675
Wells Fargo Bank
6.000%, 11/15/2017		250		263
Westpac Banking
2.700%, 08/19/2026		425		422
2.000%, 08/19/2021		1,055		1,053


				202,408


Health Care — 2.6%
AbbVie
4.700%, 05/14/2045		1,000		1,077
4.500%, 05/14/2035		320		341
4.450%, 05/14/2046		370		386
4.400%, 11/06/2042		520		541
3.600%, 05/14/2025		90		94
3.200%, 05/14/2026		985		997
2.500%, 05/14/2020		845		861
1.800%, 05/14/2018		750		753
1.750%, 11/06/2017		650		652
Actavis Funding SCS
4.750%, 03/15/2045		2,335		2,553
4.550%, 03/15/2035		10		11
3.800%, 03/15/2025		1,636		1,732
3.450%, 03/15/2022		1,380		1,449




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Aetna
3.200%, 06/15/2026	$	550	$	559
2.800%, 06/15/2023		2,965		3,028
2.400%, 06/15/2021		350		354
2.200%, 03/15/2019		310		315
Amgen
5.150%, 11/15/2041		745		849
4.663%, 06/15/2051 (D)		614		656
4.400%, 05/01/2045		860		903
3.625%, 05/22/2024		100		107
2.600%, 08/19/2026		480		472
Anthem
5.875%, 06/15/2017		1,155		1,191
AstraZeneca
3.375%, 11/16/2025		500		534
Baxalta
3.600%, 06/23/2022		920		967
Becton Dickinson
4.685%, 12/15/2044		120		137
3.734%, 12/15/2024		350		380
2.675%, 12/15/2019		455		470
Biogen
5.200%, 09/15/2045		1,299		1,528
3.625%, 09/15/2022		260		278
Celgene
5.000%, 08/15/2045		2,120		2,387
3.875%, 08/15/2025		415		444
3.550%, 08/15/2022		300		319
2.875%, 08/15/2020		335		347
Centene
6.125%, 02/15/2024		110		119
5.625%, 02/15/2021		190		201
4.750%, 05/15/2022		20		21
DaVita
5.000%, 05/01/2025		80		80
EMD Finance
2.400%, 03/19/2020 (D)		1,045		1,063
Express Scripts Holding
4.800%, 07/15/2046		329		342
3.400%, 03/01/2027		1,000		1,006
Fresenius Medical Care US Finance II
5.875%, 01/31/2022 (D)(E)		170		193
4.125%, 10/15/2020 (D)		100		105
Gilead Sciences
4.750%, 03/01/2046		570		637
4.150%, 03/01/2047		295		302
3.700%, 04/01/2024		1,165		1,254
3.650%, 03/01/2026		460		495
3.250%, 09/01/2022		405		430
2.950%, 03/01/2027		1,030		1,041
GlaxoSmithKline Capital
5.650%, 05/15/2018		810		866




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Humana
7.200%, 06/15/2018	$	1,150	$	1,259
4.625%, 12/01/2042		130		137
3.850%, 10/01/2024		790		847
3.150%, 12/01/2022		170		176
Johnson & Johnson
4.500%, 12/05/2043		600		754
3.550%, 03/01/2036		1,000		1,109
Medtronic
3.625%, 03/15/2024		465		506
3.500%, 03/15/2025		840		904
Merck
2.750%, 02/10/2025		400		414
2.350%, 02/10/2022		685		705
Mylan
2.550%, 03/28/2019		520		526
Northwell Healthcare
3.979%, 11/01/2046		1,030		1,042
Perrigo Finance Unlimited
4.375%, 03/15/2026		830		866
Shire Acquisitions Investments Ireland
3.200%, 09/23/2026		760		764
2.875%, 09/23/2023		845		850
1.900%, 09/23/2019		720		720
Tenet Healthcare
8.125%, 04/01/2022		60		60
Teva Pharmaceutical Finance Netherlands III BV
3.150%, 10/01/2026 (E)		520		523
2.800%, 07/21/2023		860		862
2.200%, 07/21/2021		870		867
Thermo Fisher Scientific
3.600%, 08/15/2021		350		372
3.300%, 02/15/2022		270		283
2.950%, 09/19/2026		670		665
UnitedHealth Group
6.000%, 06/15/2017		51		53
5.800%, 03/15/2036		280		368
4.625%, 07/15/2035		1,010		1,173
3.875%, 10/15/2020		530		574
3.100%, 03/15/2026		520		543
2.875%, 12/15/2021		580		611
Valeant Pharmaceuticals International
5.375%, 03/15/2020 (D)(E)		700		647
VPII Escrow
7.500%, 07/15/2021 (D)		490		474
Wyeth LLC
5.950%, 04/01/2037		340		455


				55,936




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Industrials — 1.5%
3M MTN
2.250%, 09/19/2026	$	310	$	310
ABB Finance USA
4.375%, 05/08/2042		80		91
AerCap Ireland Capital
4.625%, 07/01/2022		210		221
3.750%, 05/15/2019 (E)		520		531
American Airlines Pass-Through Trust, Ser 2013-2
4.950%, 01/15/2023		1,398		1,521
AP Moeller - Maersk
3.875%, 09/28/2025 (D)		467		472
BAE Systems
4.750%, 10/11/2021 (D)		1,350		1,501
Burlington Northern Santa Fe
4.150%, 04/01/2045		505		556
Caterpillar Financial Services MTN
2.750%, 08/20/2021		620		648
Catholic Health Initiatives
4.350%, 11/01/2042		80		79
2.950%, 11/01/2022		800		809
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl C-2
7.256%, 03/15/2020		1,426		1,536
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		1,313		1,480
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A
6.821%, 08/10/2022		1,002		1,185
Eaton
4.150%, 11/02/2042		440		471
2.750%, 11/02/2022		450		465
1.500%, 11/02/2017		270		271
FedEx
4.550%, 04/01/2046		545		605
Florida East Coast Holdings
6.750%, 05/01/2019 (D)		460		471
GE Capital International Funding
4.418%, 11/15/2035		1,410		1,583
2.342%, 11/15/2020 (D)		530		544
General Electric
4.500%, 03/11/2044		220		253
General Electric MTN
6.875%, 01/10/2039		171		258
5.875%, 01/14/2038		197		264
5.300%, 02/11/2021		184		211
1.297%, 08/15/2036 (C)		1,550		1,326
1.158%, 05/05/2026 (C)		950		924
Lockheed Martin
4.700%, 05/15/2046		320		380




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
4.500%, 05/15/2036	$	90	$	102
3.550%, 01/15/2026		1,250		1,351
3.350%, 09/15/2021		920		986
3.100%, 01/15/2023		50		53
2.500%, 11/23/2020		545		563
Northrop Grumman
3.850%, 04/15/2045		215		223
3.250%, 08/01/2023		2,660		2,842
Penske Truck Leasing L.P.
3.375%, 02/01/2022 (D)		390		406
3.200%, 07/15/2020 (D)		505		523
Raytheon
3.125%, 10/15/2020		430		456
Siemens Financieringsmaatschappij
2.900%, 05/27/2022 (D)		825		864
2.000%, 09/15/2023 (D)		1,030		1,015
Union Pacific
4.050%, 03/01/2046		400		440
United Air Lines Pass-Through Trust, Ser 2009-2A
9.750%, 01/15/2017		56		58
United Rentals North America
5.500%, 07/15/2025 (E)		310		316
United Technologies
4.500%, 06/01/2042		200		232
US Airways Pass-Through Trust, Ser 2012-2, Cl A
4.625%, 06/03/2025		796		868
Valmont Industries
5.250%, 10/01/2054		315		295
Waste Management
7.375%, 05/15/2029		330		466
3.500%, 05/15/2024		280		302
West
5.375%, 07/15/2022 (D)		260		255
4.750%, 07/15/2021 (D)		90		92


				31,674


Information Technology — 1.4%
Activision Blizzard
5.625%, 09/15/2021 (D)		300		313
Apple
4.650%, 02/23/2046		565		652
4.375%, 05/13/2045		1,090		1,203
3.850%, 05/04/2043		640		654
3.850%, 08/04/2046		980		1,002
2.450%, 08/04/2026		1,170		1,171
Cisco Systems
2.200%, 09/20/2023		1,045		1,053
1.850%, 09/20/2021		2,355		2,369
1.400%, 09/20/2019		1,275		1,276




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Diamond 1 Finance
6.020%, 06/15/2026 (D)	$	370	$	406
4.420%, 06/15/2021 (D)		750		784
3.480%, 06/01/2019 (D)		910		936
Fidelity National Information Services
4.500%, 08/15/2046		409		409
3.625%, 10/15/2020		505		536
2.850%, 10/15/2018		635		652
2.250%, 08/15/2021		362		364
Harris
5.054%, 04/27/2045		190		218
Hewlett Packard Enterprise
6.350%, 10/15/2045 (D)		710		733
4.900%, 10/15/2025 (D)		285		304
Intel
4.900%, 07/29/2045		120		143
3.700%, 07/29/2025		140		155
Microsoft
4.200%, 11/03/2035		425		475
3.950%, 08/08/2056		210		213
3.750%, 02/12/2045		950		964
3.700%, 08/08/2046		460		466
3.500%, 02/12/2035		845		865
3.450%, 08/08/2036		350		357
2.400%, 08/08/2026		2,685		2,687
2.000%, 08/08/2023		1,140		1,138
National Semiconductor
6.600%, 06/15/2017		170		177
Oracle
4.000%, 07/15/2046		285		294
3.900%, 05/15/2035		1,195		1,235
3.850%, 07/15/2036		275		286
2.650%, 07/15/2026		140		140
2.400%, 09/15/2023		2,755		2,777
1.900%, 09/15/2021		630		632
1.200%, 10/15/2017		1,050		1,050
TSMC Global
1.625%, 04/03/2018 (D)		875		876


				29,965


Materials — 1.0%
Air Liquide Finance
2.500%, 09/27/2026 (D)		470		473
2.250%, 09/27/2023 (D)		795		798
1.750%, 09/27/2021 (D)		550		548
1.375%, 09/27/2019 (D)		655		654
ArcelorMittal(E)
8.000%, 10/15/2039		120		130
7.250%, 02/25/2022		120		136
Ardagh Packaging Finance
3.850%, 12/15/2019 (C)(D)		440		446




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Barrick
5.250%, 04/01/2042	$	230	$	252
Barrick Gold
4.100%, 05/01/2023		142		153
Barrick North America Finance
4.400%, 05/30/2021		1,670		1,829
BHP Billiton Finance USA
6.750%, 10/19/2075 (C)(D)		620		702
5.000%, 09/30/2043 (E)		520		615
3.250%, 11/21/2021		1,330		1,423
2.875%, 02/24/2022		70		73
Celulosa Arauco y Constitucion
4.750%, 01/11/2022		520		556
Dow Chemical
3.000%, 11/15/2022		1,265		1,314
Eastman Chemical
2.700%, 01/15/2020		695		713
Ecolab
4.350%, 12/08/2021		220		247
Freeport-McMoRan
5.450%, 03/15/2043		170		136
4.000%, 11/14/2021 (E)		360		341
Freeport-McMoran Oil & Gas
6.875%, 02/15/2023		75		78
6.500%, 11/15/2020		104		107
Glencore Finance Canada
2.700%, 10/25/2017 (D)(E)		1,080		1,082
Glencore Funding LLC
2.875%, 04/16/2020 (D)		940		932
International Paper
5.150%, 05/15/2046		495		549
5.000%, 09/15/2035		475		522
LyondellBasell Industries
5.750%, 04/15/2024 (E)		200		239
Mosaic
5.625%, 11/15/2043		160		172
OCP
4.500%, 10/22/2025 (D)(E)		1,650		1,672
Potash Corp of Saskatchewan
4.875%, 03/30/2020		280		307
Reynolds Group Issuer
6.875%, 02/15/2021		180		187
5.125%, 07/15/2023 (D)		170		176
Rio Tinto Finance USA
3.750%, 06/15/2025 (E)		640		689
Southern Copper
5.250%, 11/08/2042		900		851
Steel Dynamics
6.375%, 08/15/2022		220		232
Vale Overseas
6.875%, 11/21/2036		1,510		1,468
5.875%, 06/10/2021 (E)		240		251




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Westlake Chemical
4.875%, 05/15/2023 (D)	$	140	$	146
4.625%, 02/15/2021 (D)		380		397
WestRock RKT
4.000%, 03/01/2023		70		74
3.500%, 03/01/2020		320		334


				22,004


Real Estate — 0.7%
Alexandria Real Estate Equities
2.750%, 01/15/2020		2,000		2,030
American Tower
3.450%, 09/15/2021		590		621
Boston Properties
3.800%, 02/01/2024		1,250		1,336
DDR
4.625%, 07/15/2022		720		781
3.375%, 05/15/2023		590		595
First Industrial MTN
7.500%, 12/01/2017		970		1,029
GLP Capital
5.375%, 04/15/2026		80		86
HCP
4.200%, 03/01/2024		765		795
3.150%, 08/01/2022		1,000		1,014
Health Care
5.250%, 01/15/2022		900		1,020
Highwoods Properties
7.500%, 04/15/2018		1,142		1,235
Mid-America Apartments
4.300%, 10/15/2023		250		270
4.000%, 11/15/2025		280		298
3.750%, 06/15/2024		540		563
SL Green Realty
7.750%, 03/15/2020		1,000		1,164
Tanger Properties
3.875%, 12/01/2023		305		322
3.750%, 12/01/2024		265		279
Ventas Realty L.P.
2.700%, 04/01/2020		1,450		1,486
Welltower
4.950%, 01/15/2021		820		908


				15,832


Telecommunication Services — 1.4%
America Movil
5.625%, 11/15/2017		440		461
5.000%, 03/30/2020 (E)		750		824
AT&T
6.000%, 08/15/2040		845		1,012
4.750%, 05/15/2046		1,635		1,711
4.500%, 03/09/2048 (D)		2,038		2,049




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
4.450%, 04/01/2024	$	1,295	$	1,423
4.350%, 06/15/2045		240		236
3.950%, 01/15/2025		775		823
3.800%, 03/15/2022		418		448
3.400%, 05/15/2025		4,157		4,271
3.000%, 06/30/2022		990		1,018
Bharti Airtel
4.375%, 06/10/2025 (D)		940		973
CenturyLink
5.625%, 04/01/2020		80		85
5.625%, 04/01/2025 (E)		180		172
Deutsche Telekom International Finance
2.250%, 03/06/2017 (D)		905		908
Sprint
7.875%, 09/15/2023		320		322
7.625%, 02/15/2025 (E)		330		327
7.250%, 09/15/2021		50		50
Sprint Capital
8.750%, 03/15/2032		380		388
Sprint Communications
11.500%, 11/15/2021		270		308
Telefonica Emisiones SAU
6.221%, 07/03/2017		100		103
5.877%, 07/15/2019		90		100
5.134%, 04/27/2020		300		331
Verizon Communications
6.550%, 09/15/2043		733		991
6.400%, 09/15/2033		1,234		1,599
5.150%, 09/15/2023		1,920		2,237
4.862%, 08/21/2046		1,485		1,663
4.522%, 09/15/2048		435		460
4.400%, 11/01/2034		2,355		2,492
4.272%, 01/15/2036		1,335		1,391
4.125%, 08/15/2046		470		470
3.850%, 11/01/2042		130		124
Vodafone Group PLC
2.950%, 02/19/2023		430		442


				30,212


Utilities — 2.6%
AEP Texas Central Transition Funding II
5.170%, 01/01/2018		138		141
AES
4.875%, 05/15/2023		920		934
American Electric Power
1.650%, 12/15/2017		735		736
Arizona Public Service
2.550%, 09/15/2026		310		312
Berkshire Hathaway Energy
6.500%, 09/15/2037		1,160		1,595
4.500%, 02/01/2045		510		570




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Commonwealth Edison
3.700%, 03/01/2045	$	120	$	124
Consolidated Edison of New York
4.450%, 03/15/2044		810		928
3.850%, 06/15/2046		195		204
Dominion Resources
4.700%, 12/01/2044		155		171
2.962%, 07/01/2019 (F)		220		226
2.850%, 08/15/2026 (E)		315		313
2.500%, 12/01/2019		610		625
2.000%, 08/15/2021		315		314
1.600%, 08/15/2019		420		419
DTE Energy
1.500%, 10/01/2019		490		489
Duke Energy
4.800%, 12/15/2045		110		125
3.750%, 09/01/2046		260		252
2.650%, 09/01/2026		600		589
1.800%, 09/01/2021		480		477
Duke Energy Carolinas
4.250%, 12/15/2041		600		667
4.000%, 09/30/2042		1,000		1,072
3.875%, 03/15/2046		220		232
2.500%, 03/15/2023		440		454
Duke Energy Florida
3.850%, 11/15/2042		165		172
3.400%, 10/01/2046		205		200
Duquesne Light Holdings
6.400%, 09/15/2020 (D)		1,450		1,679
Electricite de France
6.000%, 01/22/2114 (D)		100		108
5.250%, 10/13/2055 (D)		350		363
Emera US Finance
2.150%, 06/15/2019 (D)		2,049		2,072
Exelon
5.625%, 06/15/2035		880		1,052
3.950%, 06/15/2025 (D)		550		593
FirstEnergy
2.750%, 03/15/2018		280		283
FirstEnergy, Ser C
7.375%, 11/15/2031		2,965		3,852
Florida Gas Transmission LLC
3.875%, 07/15/2022 (D)		1,000		1,037
Fortis
3.055%, 10/04/2026 (D)		745		742
2.100%, 10/04/2021 (D)		370		369
Indiana Michigan Power
4.550%, 03/15/2046		220		248
Interstate Power & Light
3.700%, 09/15/2046		235		239
IPALCO Enterprises
5.000%, 05/01/2018		1,200		1,251




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
KCP&L Greater Missouri Operations
8.270%, 11/15/2021	$	2,700	$	3,324
KeySpan Gas East
5.819%, 04/01/2041 (D)		1,250		1,614
2.742%, 08/15/2026 (D)		675		682
Majapahit Holding BV
7.750%, 01/20/2020		420		483
Metropolitan Edison
3.500%, 03/15/2023 (D)		2,425		2,493
MidAmerican Energy
4.250%, 05/01/2046		805		918
3.500%, 10/15/2024		305		333
NextEra Energy Capital Holdings
2.056%, 09/01/2017		2,000		2,011
NiSource Finance
6.800%, 01/15/2019		2,261		2,518
Oncor Electric Delivery LLC
6.800%, 09/01/2018		1,075		1,182
4.550%, 12/01/2041		690		805
Pacific Gas & Electric
8.250%, 10/15/2018		280		318
6.050%, 03/01/2034		340		453
5.800%, 03/01/2037		710		934
4.450%, 04/15/2042		700		794
2.950%, 03/01/2026		378		394
PECO Energy
4.150%, 10/01/2044		625		690
3.150%, 10/15/2025		560		595
PPL Capital Funding
3.100%, 05/15/2026		855		869
PPL Electric Utilities
4.150%, 10/01/2045		370		411
Public Service of New Hampshire
3.500%, 11/01/2023		310		332
Public Service of New Mexico
7.950%, 05/15/2018		1,265		1,389
Puget Energy
6.000%, 09/01/2021		790		913
Sierra Pacific Power
2.600%, 05/01/2026 (D)		485		491
Southern
4.400%, 07/01/2046		430		464
2.150%, 09/01/2019		615		623
Southern California Gas
2.600%, 06/15/2026		615		628
Southern Gas Capital
2.450%, 10/01/2023		205		206
Southwestern Electric Power
3.900%, 04/01/2045		315		315
Texas-New Mexico Power
6.950%, 04/01/2043 (D)		457		641




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Virginia Electric & Power
4.650%, 08/15/2043	$	405	$	475
3.150%, 01/15/2026		340		360


				54,887


Total Corporate Obligations (Cost $561,017) ($ Thousands)				594,029


ASSET-BACKED SECURITIES — 10.0%

Automotive — 2.1%

Ally Auto Receivables Trust, Ser 2014-1, Cl A4
1.530%, 04/15/2019		507		510
Ally Auto Receivables Trust, Ser 2015-1, Cl A3
1.390%, 09/16/2019		610		611
Ally Auto Receivables Trust, Ser 2016-1, Cl A2A
1.200%, 08/15/2018		301		301
Ally Auto Receivables Trust, Ser 2016-3, Cl A2
1.200%, 12/17/2018		355		355
Ally Master Owner Trust, Ser 2012-5, Cl A
1.540%, 09/15/2019		1,285		1,290
Ally Master Owner Trust, Ser 2014-3, Cl A
1.330%, 03/15/2019		195		195
Ally Master Owner Trust, Ser 2014-4, Cl A2
1.430%, 06/17/2019		1,330		1,330
AmeriCredit Automobile Receivables Trust, Ser 2016-3, Cl A2A
1.370%, 11/08/2019		354		354
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A
2.100%, 03/20/2019 (D)		560		561
Avis Budget Rental Car Funding AESOP, Ser 2014-1A, Cl A
2.460%, 07/20/2020 (D)		301		304
Avis Budget Rental Car Funding AESOP, Ser 2014-2A, Cl A
2.500%, 02/20/2021 (D)		639		645
Avis Budget Rental Car Funding AESOP, Ser 2016-2A, Cl A
2.720%, 11/20/2022 (D)		891		900
Bank of The West Auto Trust, Ser 2014-1, Cl A3
1.090%, 03/15/2019 (D)		268		268
California Republic Auto Receivables Trust, Ser 2014-2, Cl A4
1.570%, 12/16/2019		281		282
California Republic Auto Receivables Trust, Ser 2015-1, Cl A4
1.820%, 09/15/2020		513		516
California Republic Auto Receivables Trust, Ser 2015-2, Cl A3
1.310%, 08/15/2019		317		317




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
California Republic Auto Receivables Trust, Ser 2015-4, Cl A2
1.600%, 09/17/2018 (D)	$	253	$	254
California Republic Auto Receivables Trust, Ser 2015-4, Cl A4
2.580%, 06/15/2021 (D)		535		547
California Republic Auto Receivables Trust, Ser 2016-1, Cl A4
2.240%, 10/15/2021		381		386
California Republic Auto Receivables Trust, Ser 2016-1, Cl A3
1.890%, 05/15/2020		685		692
California Republic Auto Receivables Trust, Ser 2016-2, Cl A2
1.340%, 03/15/2019		360		360
California Republic Auto Receivables Trust, Ser 2016-2, Cl A4
1.830%, 12/15/2021		634		636
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A4
1.560%, 07/20/2018		64		64
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A4
1.680%, 04/20/2018		160		160
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A4
1.470%, 07/20/2018		452		453
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4
1.690%, 10/22/2018		618		618
Capital Auto Receivables Asset Trust, Ser 2015-1, Cl A3
1.610%, 06/20/2019		555		557
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A3
1.730%, 09/20/2019		628		629
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A2
1.390%, 09/20/2018		330		330
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A4
1.970%, 01/21/2020		931		932
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A3
1.940%, 01/21/2020		691		694
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A1A
1.390%, 02/20/2018 (D)		1,354		1,355
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A4
2.010%, 07/20/2020		349		350




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A3
1.830%, 03/20/2020	$	701	$	702
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A2
1.620%, 03/20/2019		425		425
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A4
1.980%, 10/20/2020		325		327
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A2A
1.500%, 11/20/2018		870		870
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A3
1.730%, 04/20/2020		725		723
Capital Auto Receivables Asset Trust, Ser 2016-2, Cl A3
1.460%, 06/20/2020		533		532
Capital Auto Receivables Asset Trust, Ser 2016-2, Cl A2A
1.320%, 01/20/2019		222		222
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A3
1.540%, 08/20/2020		319		319
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A2A
1.360%, 04/22/2019		371		371
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A4
1.690%, 03/22/2021		268		269
Chrysler Capital Auto Receivables Trust, Ser 2016-AA, Cl A3
1.770%, 10/15/2020 (D)		1,106		1,110
Flagship Credit Auto Trust, Ser 2016-3, Cl A2
2.050%, 11/15/2020 (D)		365		366
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A
2.260%, 11/15/2025 (D)		2,050		2,090
Ford Credit Auto Owner Trust, Ser 2015-1, Cl A
2.120%, 07/15/2026 (D)		965		981
Ford Credit Auto Owner Trust, Ser 2015-2, Cl A
2.440%, 01/15/2027 (D)		1,456		1,498
Ford Credit Auto Owner Trust, Ser 2016-1, Cl A
2.310%, 08/15/2027 (D)		1,163		1,192
Ford Credit Auto Owner Trust, Ser 2016-2, Cl A
2.030%, 12/15/2027 (D)		1,385		1,395
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A
1.920%, 01/15/2019		529		531
Ford Credit Floorplan Master Owner Trust, Ser 2014-4, Cl A1
1.400%, 08/15/2019		1,220		1,223
Hertz Vehicle Financing, Ser 2013-1A, Cl A2
1.830%, 08/25/2019 (D)		299		298




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Hertz Vehicle Financing, Ser 2015-1A, Cl C
4.350%, 03/25/2021 (D)	$	650	$	649
Hertz Vehicle Financing, Ser 2015-1A, Cl A
2.730%, 03/25/2021 (D)		988		1,001
Hertz Vehicle Financing, Ser 2016-3A, Cl A
2.270%, 07/25/2020 (D)		716		717
Hertz Vehicle Financing, Ser 2016-4A, Cl A
2.650%, 07/15/2022 (D)		639		644
Honda Auto Receivables Owner Trust, Ser 2015-4, Cl A2
0.820%, 07/23/2018		1,287		1,286
Honda Auto Receivables Owner Trust, Ser 2016-1, Cl A2
1.010%, 06/18/2018		85		85
Honda Auto Receivables Owner Trust, Ser 2016-2, Cl A2
1.130%, 09/17/2018		805		805
Mercedes-Benz Auto Receivables Trust, Ser 2016-1, Cl A3
1.260%, 02/16/2021		651		651
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A
0.870%, 11/15/2018		1,280		1,279
Nissan Auto Receivables Owner Trust, Ser 2016-C, Cl A2A
1.070%, 05/15/2019		1,165		1,165
Nissan Auto Receivables Owner Trust, Ser 2016-C, Cl A3
1.180%, 01/15/2021		554		553
Santander Drive Auto Receivables Trust, Ser 2016-2, Cl A2A
1.380%, 07/15/2019		925		926
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A4
2.030%, 02/15/2022 (D)		184		184
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A2
1.390%, 11/15/2019 (D)		619		619
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A3
1.710%, 04/15/2021 (D)		248		248
Toyota Auto Receivables, Ser 2016-C, Cl A2A
1.000%, 01/15/2019		515		514
Toyota Auto Receivables, Ser 2016-C, Cl A3
1.140%, 08/17/2020		686		685
World Omni Auto Receivables Trust, Ser 2016-B, Cl A3
1.570%, 02/15/2022		610		609

				45,820




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)

Credit Cards — 0.7%

American Express Credit Account Master Trust, Ser 2014-2, Cl A
1.260%, 01/15/2020	$	360	$	361
BA Credit Card Trust, Ser 2007-A1, Cl A1
5.170%, 06/15/2019		235		238
Capital One Multi-Asset Execution Trust, Ser 2007-A7, Cl A7
5.750%, 07/15/2020		325		339
Capital One Multi-Asset Execution Trust, Ser 2014-A2, Cl A2
1.260%, 01/15/2020		170		170
Capital One Multi-Asset Execution Trust, Ser 2014-A5, Cl A5
1.480%, 07/15/2020		1,803		1,811
Capital One Multi-Asset Execution Trust, Ser 2015-A1, Cl A1
1.390%, 01/15/2021		65		65
Capital One Multi-Asset Execution Trust, Ser 2016-A2, Cl A2
1.154%, 02/15/2024 (C)		548		551
Capital One Multi-Asset Execution Trust, Ser 2016-A5, Cl A5
1.660%, 06/17/2024		840		838
Chase Issuance Trust, Ser 2007-A2, Cl A2
0.574%, 04/15/2019 (C)		445		445
Chase Issuance Trust, Ser 2012-A2, Cl A2
0.794%, 05/15/2019 (C)		1,015		1,016
Chase Issuance Trust, Ser 2013-A8, Cl A8
1.010%, 10/15/2018		910		910
Chase Issuance Trust, Ser 2014-A1, Cl A1
1.150%, 01/15/2019		470		470
Chase Issuance Trust, Ser 2014-A6, Cl A6
1.260%, 07/15/2019		335		336
Citibank Credit Card Issuance Trust, Ser 2013-A2, Cl A2
0.805%, 05/26/2020 (C)		789		790
Citibank Credit Card Issuance Trust, Ser 2014-A2, Cl A2
1.020%, 02/22/2019		1,095		1,095
Citibank Credit Card Issuance Trust, Ser 2014-A8, Cl A8
1.730%, 04/09/2020		279		282
Discover Card Execution Note Trust, Ser 2016-A2, Cl A2
1.048%, 09/15/2021 (C)		258		260
Discover Card Execution Note Trust, Ser 2016-A4, Cl A4
1.390%, 03/15/2022		1,832		1,833
Synchrony Credit Card Master Note Trust, Ser 2016-2, Cl A
2.210%, 05/15/2024		1,244		1,270




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Synchrony Credit Card Master Note Trust, Ser 2016-3, Cl A
1.580%, 09/15/2022	$	1,117	$	1,119
World Financial Network Credit Card Master Trust, Ser 2014-C, Cl A
1.540%, 08/16/2021		110		110
World Financial Network Credit Card Master Trust, Ser 2016-A, Cl A
2.030%, 04/15/2025		169		170
World Financial Network Credit Card Master Trust, Ser 2016-B, Cl A
1.440%, 06/15/2022		745		745

				15,224


Mortgage Related Securities — 0.8%

AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2
1.194%, 04/25/2028 (C)		7		7
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3
0.924%, 08/25/2043 (C)		476		471
Centex Home Equity, Ser 2006-A, Cl AV4
0.775%, 06/25/2036 (C)		4,546		4,420
Citigroup Mortgage Loan Trust, Ser 2006-HE2, Cl A2D
0.764%, 08/25/2036 (C)		4,200		3,706
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/2028		–		–
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
1.465%, 05/25/2039 (C)(D)		345		329
Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4
0.804%, 05/25/2037 (C)		5,500		3,348
New Century Home Equity Loan Trust, Ser 2005-2, Cl M1
1.169%, 06/25/2035 (C)		1,063		1,056
New Century Home Equity Loan Trust, Ser 2005-3, Cl M2
1.014%, 07/25/2035 (C)		3,500		3,445

				16,782


Other Asset-Backed Securities — 6.4%

Academic Loan Funding Trust, Ser 2012-1A, Cl A2
1.624%, 12/27/2044 (C)(D)		2,100		2,027
Bravo Mortgage Asset Trust, Ser 2006-1A, Cl A2
0.765%, 07/25/2036 (C)(D)		1,433		1,393
Brazos Higher Education Authority, Ser 2010-1, Cl A2
2.025%, 02/25/2035 (C)		2,200		2,145




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Brazos Higher Education Authority, Ser 2011-2, Cl A3
1.638%, 10/27/2036 (C)	$	1,750	$	1,666
Centerpoint Energy Transition Bond III, Ser 2008-A, Cl A1
4.192%, 02/01/2020		1		1
CIT Education Loan Trust, Ser 2007-1, Cl A
0.730%, 03/25/2042 (C)(D)		1,277		1,187
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5
6.046%, 03/25/2037		1,970		2,036
Community Funding CLO, Ser 2015-1A, Cl A
5.750%, 11/01/2027 (D)		1,510		1,481
Conseco Financial, Ser 1993-4, Cl A5
7.050%, 01/15/2019		42		43
Consumer Credit Origination Loan Trust, Ser 2015-1, Cl A
2.820%, 03/15/2021 (D)		106		106
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2
1.324%, 10/25/2047 (C)		2,698		2,437
Credit-Based Asset Servicing and Securities, Ser 2006-CB3, Cl AV4
0.784%, 03/25/2036 (C)		5,000		4,193
CWABS Revolving Home Equity Loan Trust, Ser 2004-K, Cl 2A
0.824%, 02/15/2034 (C)		246		226
Educational Funding of the South, Ser 2011-1, Cl A2
1.288%, 04/25/2035 (C)		1,471		1,450
First Franklin Mortgage Loan Trust, Ser 2005-FF8, Cl M1
1.014%, 09/25/2035 (C)		2,397		2,356
Flatiron CLO, Ser 2014-1A, Cl A1
2.059%, 07/17/2026 (C)(D)		1,600		1,602
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1
1.200%, 02/15/2019		306		306
Ford Credit Floorplan Master Owner Trust, Ser 2015-2, Cl A2
1.078%, 01/15/2022 (C)		335		335
Global SC Finance II SRL, Ser 2014-1A, Cl A2
3.090%, 07/17/2029 (D)		995		934
Green Tree, Ser 2008-MH1, Cl A2
8.970%, 04/25/2038 (C)(D)		76		76
Green Tree, Ser 2008-MH1, Cl A3
8.970%, 04/25/2038 (C)(D)		60		61
Greenpoint Manufactured Housing, Ser 1999-2, Cl A2
3.078%, 03/18/2029 (C)		425		374
Greenpoint Manufactured Housing, Ser 1999-3, Cl 1A7
7.270%, 06/15/2029		856		852




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2
3.813%, 06/19/2029 (C)	$	250	$	224
Greenpoint Manufactured Housing, Ser 1999-4, Cl A2
3.990%, 02/20/2030 (C)		375		329
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2
3.976%, 02/20/2032 (C)		100		90
Greenpoint Manufactured Housing, Ser 2001-2, Cl IIA2
4.028%, 03/13/2032 (C)		300		269
GSAMP Trust, Ser 2003-SEA, Cl A1
0.924%, 02/25/2033 (C)		1,289		1,196
GSAMP Trust, Ser 2006-HE3, Cl A2D
0.774%, 05/25/2046 (C)		3,300		2,457
Higher Education Funding I, Ser 2014-1, Cl A
1.712%, 05/25/2034 (C)(D)		1,500		1,443
HSI Asset Securitization Trust, Ser 2006-OPT3, Cl 3A3
0.704%, 02/25/2036 (C)		410		394
JGWPT XXX LLC, Ser 2013-3A, Cl A
4.080%, 01/17/2073 (D)		892		951
JGWPT XXXII, Ser 2014-2A, Cl A
3.610%, 01/17/2073 (D)		1,214		1,212
Lehman Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 09/15/2018		461		475
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/2038		2,242		2,386
Morgan Stanley Re-REMIC Trust, Ser 2015-R7, Cl 1BXA
10.683%, 02/26/2036 (C)(D)		930		992
National Collegiate Student Loan Trust, Ser 2005-3, Cl A4
0.804%, 04/25/2029 (C)		194		192
National Collegiate Student Loan Trust, Ser 2006-3, Cl A4
0.794%, 03/26/2029 (C)		1,750		1,666
National Collegiate Student Loan Trust, Ser 2007-4, Cl A3L
1.374%, 03/25/2038 (C)		4,181		2,134
Navient Private Education Loan Trust, Ser 2014-AA, Cl A2B
1.758%, 02/15/2029 (C)(D)		484		486
Navient Private Education Loan Trust, Ser 2014-CTA, Cl A
1.208%, 09/16/2024 (C)(D)		589		587
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2A
2.650%, 12/15/2028 (D)		344		352




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2B
1.708%, 12/15/2028 (C)(D)	$	216	$	218
Navient Private Education Loan Trust, Ser 2015-CA, Cl B
3.250%, 05/15/2040 (D)		408		399
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2A
3.910%, 12/15/2045 (D)		996		1,044
Navient Student Loan Trust, Ser 2014-1, Cl A3
1.034%, 06/25/2031 (C)		3,320		3,206
Navient Student Loan Trust, Ser 2014-2, Cl A
1.164%, 03/25/2083 (C)		2,692		2,603
Navient Student Loan Trust, Ser 2014-3, Cl A
1.144%, 03/25/2083 (C)		2,713		2,622
Navient Student Loan Trust, Ser 2014-4, Cl A
1.144%, 03/25/2083 (C)		2,007		1,918
Navient Student Loan Trust, Ser 2014-8, Cl A2
0.964%, 04/25/2023 (C)		379		378
Nelnet Student Loan Trust, Ser 2004-3, Cl A5
0.818%, 10/27/2036 (C)		736		711
Nelnet Student Loan Trust, Ser 2004-4, Cl A5
0.798%, 01/25/2037 (C)		625		603
Nelnet Student Loan Trust, Ser 2005-1, Cl A5
0.748%, 10/25/2033 (C)		722		687
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
0.747%, 03/23/2037 (C)		708		666
Nelnet Student Loan Trust, Ser 2005-3, Cl A5
0.767%, 12/24/2035 (C)		736		694
Nelnet Student Loan Trust, Ser 2005-4, Cl A4
0.827%, 03/22/2032 (C)		290		268
Nelnet Student Loan Trust, Ser 2010-4A, Cl A
1.325%, 04/25/2046 (C)(D)		232		231
Nelnet Student Loan Trust, Ser 2012-5A, Cl A
1.124%, 10/27/2036 (C)(D)		1,693		1,626
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2
1.475%, 11/25/2043 (C)(D)		1,655		1,529
Nelnet Student Loan Trust, Ser 2015-2A, Cl A2
1.125%, 09/25/2042 (C)(D)		2,821		2,759
North Carolina State Education Assistance Authority, Ser 2011-2, Cl A2
1.438%, 07/25/2025 (C)		774		769
Origen Manufactured Housing, Ser 2006-A, Cl A2
2.379%, 10/15/2037 (C)		2,503		2,146
Park Place Securities, Ser 2004-WCW1, Cl M2
1.544%, 09/25/2034 (C)		143		145
RAMP Trust, Ser 2003-RS11, Cl MII1
1.619%, 12/25/2033 (C)		170		157
RAMP Trust, Ser 2006-RZ3, Cl M1
0.874%, 08/25/2036 (C)		6,530		5,306
RSB BondCo LLC, Ser 2007-A, Cl A3
5.820%, 06/28/2019		527		534




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
SBA Small Business Investment, Ser 2016-10B, Cl 1
2.051%, 09/10/2026	$	245	$	247
Scholar Funding Trust, Ser 2011-A, Cl A
1.643%, 10/28/2043 (C)(D)		799		767
SLC Student Loan Trust, Ser 2007-2, Cl A2
1.217%, 05/15/2028 (C)		191		189
SLM Private Education Loan Trust, Ser 2012-B, Cl A2
3.480%, 10/15/2030 (D)		327		334
SLM Private Education Loan Trust, Ser 2012-D, Cl A2
2.950%, 02/15/2046 (D)		1,484		1,504
SLM Private Education Loan Trust, Ser 2012-E, Cl A2B
2.258%, 06/15/2045 (C)(D)		344		349
SLM Private Education Loan Trust, Ser 2012-E, Cl A1
1.258%, 10/16/2023 (C)(D)		60		60
SLM Private Education Loan Trust, Ser 2013-1, Cl B
2.324%, 11/25/2043 (C)		245		217
SLM Private Education Loan Trust, Ser 2013-A, Cl A2B
1.558%, 05/17/2027 (C)(D)		533		537
SLM Private Education Loan Trust, Ser 2013-B, Cl A2B
1.608%, 06/17/2030 (C)(D)		130		131
SLM Private Education Loan Trust, Ser 2013-B, Cl A1
1.158%, 07/15/2022 (C)(D)		222		223
SLM Private Education Loan Trust, Ser 2013-B, Cl A2A
1.850%, 06/17/2030 (D)		782		782
SLM Private Education Loan Trust, Ser 2014-A, Cl A2B
1.658%, 01/15/2026 (C)(D)		246		248
SLM Student Loan Trust, Ser 2003-12, Cl A5
1.130%, 09/15/2022 (C)(D)		293		292
SLM Student Loan Trust, Ser 2004-10, Cl A6A
1.265%, 04/27/2026 (C)(D)		1,237		1,227
SLM Student Loan Trust, Ser 2004-10, Cl A7A
1.465%, 10/25/2029 (C)(D)		562		538
SLM Student Loan Trust, Ser 2004-3, Cl A5
0.808%, 07/25/2023 (C)		744		739
SLM Student Loan Trust, Ser 2004-8, Cl B
1.098%, 01/25/2040 (C)		132		114
SLM Student Loan Trust, Ser 2004-8A, Cl A5
1.138%, 04/25/2024 (C)(D)		868		868
SLM Student Loan Trust, Ser 2005-5, Cl A4
0.778%, 10/25/2028 (C)		1,138		1,086
SLM Student Loan Trust, Ser 2005-5, Cl A3
0.738%, 04/25/2025 (C)		52		51




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Ser 2005-6, Cl A5B
1.838%, 07/27/2026 (C)	$	206	$	207
SLM Student Loan Trust, Ser 2005-6, Cl A6
0.778%, 10/27/2031 (C)		1,407		1,363
SLM Student Loan Trust, Ser 2005-7, Cl A4
0.788%, 10/25/2029 (C)		613		592
SLM Student Loan Trust, Ser 2005-9, Cl A5
0.835%, 01/27/2025 (C)		69		69
SLM Student Loan Trust, Ser 2006-2, Cl A6
0.808%, 01/25/2041 (C)		1,900		1,724
SLM Student Loan Trust, Ser 2006-3, Cl A5
0.738%, 01/25/2021 (C)		989		945
SLM Student Loan Trust, Ser 2006-8, Cl A6
0.798%, 01/25/2041 (C)		1,900		1,686
SLM Student Loan Trust, Ser 2007-2, Cl A4
0.698%, 07/25/2022 (C)		3,211		3,033
SLM Student Loan Trust, Ser 2007-2, Cl B
0.808%, 07/25/2025 (C)		391		313
SLM Student Loan Trust, Ser 2007-3, Cl A3
0.678%, 04/25/2019 (C)		1,177		1,173
SLM Student Loan Trust, Ser 2007-5, Cl A5
0.795%, 01/25/2024 (C)		634		631
SLM Student Loan Trust, Ser 2007-6, Cl B
1.488%, 04/27/2043 (C)		417		364
SLM Student Loan Trust, Ser 2008-2, Cl B
1.838%, 01/25/2083 (C)		525		457
SLM Student Loan Trust, Ser 2008-3, Cl B
1.838%, 04/26/2083 (C)		525		445
SLM Student Loan Trust, Ser 2008-4, Cl B
2.488%, 04/25/2029 (C)		525		485
SLM Student Loan Trust, Ser 2008-5, Cl A4
2.338%, 07/25/2023 (C)		1,445		1,453
SLM Student Loan Trust, Ser 2008-5, Cl B
2.488%, 07/25/2029 (C)		525		487
SLM Student Loan Trust, Ser 2008-6, Cl B
2.488%, 07/26/2083 (C)		525		489
SLM Student Loan Trust, Ser 2008-7, Cl B
2.488%, 07/26/2083 (C)		525		484
SLM Student Loan Trust, Ser 2008-8, Cl B
2.888%, 10/25/2029 (C)		525		502
SLM Student Loan Trust, Ser 2008-9, Cl A
2.138%, 04/25/2023 (C)		2,078		2,083
SLM Student Loan Trust, Ser 2008-9, Cl B
2.888%, 10/25/2083 (C)		525		507
SLM Student Loan Trust, Ser 2010-1, Cl A
0.924%, 03/25/2025 (C)		495		480
SLM Student Loan Trust, Ser 2012-6, Cl B
1.524%, 04/27/2043 (C)		564		485
SLM Student Loan Trust, Ser 2012-6, Cl A3
1.274%, 05/26/2026 (C)		385		377
SLM Student Loan Trust, Ser 2013-3, Cl B
1.939%, 09/25/2043 (C)		291		249




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Ser 2013-4, Cl A
1.074%, 06/25/2027 (C)	$	947	$	914
SLM Student Loan Trust, Ser 2013-6, Cl A3
1.174%, 06/25/2055 (C)		985		979
SLM Student Loan Trust, Ser 2013-A, Cl A2A
1.770%, 05/17/2027 (D)		246		245
SLM Student Loan Trust, Ser 2013-C, Cl A2A
2.940%, 10/15/2031 (D)		396		404
SLM Student Loan Trust, Ser 2013-M1, Cl M1
3.500%, 10/28/2029 (D)		934		917
SLM Student Loan Trust, Ser 2014-2, Cl A3
1.114%, 03/25/2055 (C)		642		633
SLM Student Loan Trust, Ser 2014-A, Cl A2A
2.590%, 01/15/2026 (D)		421		425
SMB Private Education Loan Trust, Ser 2015-A, Cl A1
1.108%, 07/17/2023 (C)(D)		131		131
SMB Private Education Loan Trust, Ser 2015-A, Cl A2B
1.508%, 06/15/2027 (C)(D)		776		747
SMB Private Education Loan Trust, Ser 2015-A, Cl A2A
2.490%, 06/15/2027 (D)		1,003		1,021
SMB Private Education Loan Trust, Ser 2015-B, Cl A2B
1.708%, 07/15/2027 (C)(D)		716		710
SMB Private Education Loan Trust, Ser 2015-B, Cl A2A
2.980%, 07/15/2027 (D)		336		349
SMB Private Education Loan Trust, Ser 2015-C, Cl A1
1.408%, 07/15/2022 (C)(D)		505		506
SMB Private Education Loan Trust, Ser 2015-C, Cl A2B
1.908%, 07/15/2027 (C)(D)		381		388
SMB Private Education Loan Trust, Ser 2015-C, Cl A2A
2.750%, 07/15/2027 (D)		463		477
SMB Private Education Loan Trust, Ser 2016-A, Cl A2A
2.700%, 05/15/2031 (D)		1,339		1,348
SMB Private Education Loan Trust, Ser 2016-A, Cl A2B
2.008%, 05/15/2031 (C)(D)		1,023		1,023
SMB Private Education Loan Trust, Ser 2016-A, Cl A1
1.208%, 05/15/2023 (C)(D)		581		581
SMB Private Education Loan Trust, Ser 2016-B, Cl A1
1.135%, 11/15/2023 (C)(D)		834		834
SMB Private Education Loan Trust, Ser 2016-B, Cl A2A
2.430%, 02/17/2032 (D)		1,581		1,601




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
SMB Private Education Loan Trust, Ser 2016-B, Cl A2B
1.935%, 02/17/2032 (C)(D)	$	1,002	$	1,002
SOFI Consumer Loan Program Trust, Ser 2015, Cl 1A
3.280%, 09/15/2023		2,885		2,872
SoFi Professional Loan Program, Ser 2016-D, Cl A2A
1.530%, 04/25/2033 (D)		489		489
SoFi Professional Loan Program, Ser 2016-D, Cl A2B
2.340%, 04/25/2033 (D)		475		475
Structured Asset Securities Mortgage Loan Trust, Ser 2008-BC4, Cl A3
0.774%, 11/25/2037 (C)		94		94
Trade Maps, Ltd., Ser 2013-1A, Cl A
1.218%, 12/10/2018 (C)(D)		1,400		1,398
United States Small Business Administration, Ser 2015-20D, Cl 1
2.510%, 04/01/2035		200		206
United States Small Business Administration, Ser 2015-20I, Cl 1
2.820%, 09/01/2035		29		30
Verizon Owner Trust, Ser 2016-1A, Cl A
1.420%, 01/20/2021 (D)		1,619		1,622
Voya CLO, Ser 2014-1A, Cl A1
2.179%, 04/18/2026 (C)(D)		1,780		1,780
Voya CLO, Ser 2014-2A, Cl A1
2.083%, 07/17/2026 (C)(D)		1,730		1,730
Wells Fargo Home Equity Asset-Backed SecuritiesTrust, Ser 2006-2, Cl A4
0.774%, 07/25/2036 (C)		3,469		3,392

				137,250


Total Asset-Backed Securities (Cost $214,606) ($ Thousands)				215,076


SOVEREIGN DEBT — 3.2%
Abu Dhabi Government International Bond
2.125%, 05/03/2021 (D)		575		579
Argentine Republic Government International Bond
7.625%, 04/22/2046 (D)		180		203
7.500%, 04/22/2026 (D)		280		316
6.875%, 04/22/2021 (D)		420		457
Brazil Notas do Tesouro Nacional, Ser F
10.000%, 01/01/2017	BRL	2,230		680
10.000%, 01/01/2021		10,399		3,043
10.000%, 01/01/2023		3,994		1,146
Brazilian Government International Bond
5.625%, 01/07/2041	$	1,120		1,114
5.000%, 01/27/2045		560		508
2.625%, 01/05/2023		200		185




Description	Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT (continued)
China Government Bond
3.390%, 05/21/2025	CNY	2,000	$	304
3.380%, 11/21/2024		1,000		152
3.310%, 11/30/2025		11,500		1,746
Colombia Government International Bond
5.625%, 02/26/2044	$	820		949
FMS Wertmanagement AoeR
1.000%, 11/21/2017		640		640
Indonesia Government International Bond MTN
5.875%, 03/13/2020		240		268
5.875%, 01/15/2024 (D)		840		991
Israel Government International Bond
4.500%, 01/30/2043		470		536
Japan Finance Organization for Municipalities
4.000%, 01/13/2021		1,800		1,963
Japan Treasury Discount Bills
-0.247%, 11/14/2016 (A)(G)	JPY	860,000		8,494
-0.296%, 12/12/2016 (A)(G)		970,000		9,584
-0.336%, 10/17/2016 (A)(G)		970,000		9,579
Mexico Government International Bond MTN
5.750%, 10/12/2110	$	677		716
5.550%, 01/21/2045		1,110		1,286
4.750%, 03/08/2044		1,010		1,047
4.350%, 01/15/2047		295		290
4.125%, 01/21/2026		928		998
3.600%, 01/30/2025		780		808
Paraguay Government International Bond
6.100%, 08/11/2044 (D)		325		370
Peruvian Government International Bond
6.550%, 03/14/2037		90		127
5.625%, 11/18/2050		580		767
Poland Government Bond
3.250%, 07/25/2025	PLN	17,180		4,629
2.500%, 07/25/2026		14,470		3,647
2.000%, 04/25/2021		1,220		316
Poland Government International Bond
4.000%, 01/22/2024	$	1,310		1,448
Portugal Government International Bond MTN
5.125%, 10/15/2024 (D)		1,100		1,096
Province of Ontario Canada
1.625%, 01/18/2019 (E)		885		893
1.250%, 06/17/2019		652		651
Qatar Government International Bond
3.250%, 06/02/2026 (D)		465		473
2.375%, 06/02/2021 (D)		765		771
Russian Foreign Bond - Eurobond
7.500%, 03/31/2030		705		854
4.500%, 04/04/2022		400		431
Russian Government International Bond
7.500%, 03/31/2030 (D)		311		377
Slovenia Government International Bond
5.850%, 05/10/2023 (D)		525		629




Description	Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT (continued)
5.500%, 10/26/2022 (D)	$	528	$	616
5.250%, 02/18/2024 (D)		1,215		1,425
South Africa Government International Bond
4.300%, 10/12/2028		440		440


Total Sovereign Debt (Cost $66,695) ($ Thousands)				68,542


LOAN PARTICIPATIONS — 1.0%
1011778 BC ULC/ New Red Finance (aka Burger King/Tim Horton’s), Term Loan B2, 1st Lien
3.750%, 12/10/2021		601		605
Air Medical Group, Cov-Lite, Intial Term Loan, 1st Lien
4.250%, 04/28/2022		737		730
Albertson’s LLC, Term Loan B4, 1st Lien
4.500%, 08/25/2021		450		453
Albertson’s LLC, Term Loan B6, 1st Lien
4.750%, 06/22/2023		150		151
American Airlines, Term Loan, 1st Lien
3.250%, 06/27/2020		631		631
American Builders & Contractors Supply Co., Inc., Term Loan B, 1st Lien
3.500%, 04/16/2020		100		100
American Builders & Contractors Supply Co., Term Loan B, 1st Lien
3.500%, 04/16/2020		498		499
Aramark Corporation, U.S. Term Loan F, 1st Lien
3.250%, 02/24/2021 (C)		262		263
Aristocrat Leisure, Cov-Lite, Term Loan B1, 1st Lien
3.500%, 10/20/2021		80		80
Berry Plastics Corporation, Term H Loan, 1st Lien
3.800%, 10/01/2022		442		443
Berry Plastics Corporation, Term Loan H, 1st Lien
3.750%, 10/01/2022		150		150
Boyd Gaming Corporation, Cov-Lite, Term Loan B, 1st Lien
4.000%, 08/14/2020		300		302
Charter Communications Operating LLC, Term Loan E
3.000%, 07/01/2020		600		602
CSC Holdings, LLC (fka CSC Holdings, Inc.), Initial Term Loan, 1st Lien
5.000%, 10/09/2022		200		200
Dollar Tree, Term Loan B, 1st Lien
3.062%, 07/06/2022		393		396




Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Energy Future Immediate Holding, Term Loan, 1st Lien
4.250%, 12/19/2016	$	2,200	$	2,215
First Data Corporation, Extended Term Loan, 1st Lien
4.500%, 03/24/2021		1,132		1,140
First Data Corporation, Term Loan, 1st Lien
4.275%, 07/08/2022		1,000		1,005
Gardner Denver, Initial Term Loan, 1st Lien
4.250%, 07/30/2020 (C)		506		489
Hilton Worldwide Holdings, Initial Term Loan, 1st Lien
3.500%, 10/26/2020 (C)		35		36
Hilton Worldwide Holdings, Term Loan, 1st Lien
3.500%, 10/25/2023 (H)		272		274
3.024%, 10/25/2023 (H)		146		147
2.960%, 10/25/2023 (H)		55		55
Intelsat Jackson Holdings S.A., Term Loan, Tranche B2, 1st Lien
3.750%, 06/30/2019 (C)		671		638
Jaguar Holding Company I, Initial Term Loan, 1st Lien
4.250%, 08/18/2022		170		170
Kronos Incorporated, Incremental Term Loan, 1st Lien
4.500%, 10/30/2019 (H)		90		90
Level 3 Financing, Inc., Tranche B-II 2022 Term Loan
3.500%, 05/31/2022		600		603
Maple Holdings Acquisition Corp., Cov-Lite, Term Loan B, 1st Lien
5.250%, 03/03/2023		425		430
Michaels Stores, Term Loan B, 1st Lien
3.750%, 01/28/2020 (C)(H)		564		566
MPH Acquisition Holdings LLC, Initial Term Loan, 1st Lien
5.000%, 06/07/2023		590		597
Murray Energy Corporation, Term Loan B2, 1st Lien
8.250%, 04/16/2020		557		472
NRG Energy, Term Loan B, 1st Lien
2.750%, 07/01/2018 (C)		632		633
Party City, Term Loan B
4.500%, 08/19/2022		562		564
4.250%, 08/19/2022		15		15
PETCO Animal Supplies, Term Loan B1, 1st Lien
5.000%, 01/26/2023 (H)		360		364
PetSmart, Term Loan, Tranche B1, 1st Lien
4.250%, 03/11/2022		625		625
Reynolds Group Holdings, U.S. Term Loan, 1st Lien
4.250%, 02/05/2023		40		40




Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
RPI Finance Trust, Term Loan B3, 1st Lien
3.250%, 11/09/2018 (H)	$	300	$	300
Select Medical, Term Loan F, 1st Lien
6.000%, 03/03/2021		579		582
Servicemaster, Term Loan, 1st Lien
4.250%, 07/01/2021		308		311
Telesat Canada, U.S., Term Loan, Tranche B2, 1st Lien
3.500%, 03/28/2019 (C)		480		480
T-Mobile USA, Term Loan B, 1st Lien
3.500%, 11/03/2022 (C)		537		541
Univision Communications, Replacement Term Loan, 1st Lien
4.000%, 03/01/2020		1,685		1,688
Virgin Media Investment Holdings, Term Loan, 1st Lien
3.500%, 06/30/2023		498		499
XPO Logistics, Term Loan B, 1st Lien
4.250%, 11/01/2021		409		411
Total Loan Participations

(Cost $21,598) ($ Thousands)				21,585


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.7%
FHLB
1.250%, 06/28/2030 (F)		3,405		3,406
0.875%, 05/24/2017		40		40
FICO STRIPS, PO
0.092%, 11/02/2018 (A)		1,800		1,764
0.090%, 04/06/2018 (A)		1,270		1,252
0.000%, 05/11/2018 (A)		1,910		1,883
FNMA
4.852%, 10/09/2019 (A)		3,025		2,904
Tennessee Valley Authority
5.250%, 09/15/2039		590		815
3.875%, 02/15/2021		1,510		1,675
2.875%, 09/15/2024		1,433		1,550


Total U.S. Government Agency Obligations (Cost $13,551) ($ Thousands)				15,289


MUNICIPAL BONDS — 0.5%
California — 0.2%
California State, Build America Project, GO
7.600%, 11/01/2040		480		781
California State, GO
6.200%, 03/01/2019		1,775		1,988




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MUNICIPAL BONDS (continued)
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049	$	520	$	828


				3,597


Nevada — 0.1%
Clark County, Department of Aviation, Build America Project, Ser C, RB
6.820%, 07/01/2045		770		1,198


New Jersey — 0.0%
New Jersey State, Turnpike Authority, Build America Project, Ser C, RB
7.102%, 01/01/2041		568		866


New York — 0.1%
New York and New Jersey, Port Authority, RB
4.458%, 10/01/2062		715		826
New York City, Build America Project, Ser F1, GO
Callable 12/01/2020 @ 100
6.646%, 12/01/2031		900		1,066
New York City, Water & Sewer System, Build America Project, RB
5.952%, 06/15/2042		750		1,084


				2,976


Ohio — 0.0%
Ohio State University, Ser A, RB
4.800%, 06/01/2111		212		240


Texas — 0.1%
Brazos Higher Education Authority, Ser 2006- 2, RB
0.650%, 12/26/2024(C)		547		534
North Texas, Tollway Authority, Build America Project, Ser B, RB
6.718%, 01/01/2049		619		966


				1,500


Total Municipal Bonds (Cost $8,561) ($ Thousands)				10,377


		Shares


PREFERRED STOCK — 0.0%
Citigroup Capital XIII, 7.875% (C)		24,750		652


Total Preferred Stock (Cost $647) ($ Thousands)				652




Description	Shares		Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 0.7%
SEI Liquidity Fund, L.P.
0.440% **^†(I)		14,019,829	$	14,020


Total Affiliated Partnership (Cost $14,020) ($ Thousands)				14,020


CASH EQUIVALENT — 2.6%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		56,416,046		56,416


Total Cash Equivalent
(Cost $56,416) ($ Thousands)				56,416


Total Investments — 106.9% (Cost $2,248,598) ($ Thousands)			$	2,298,636


		Contracts


PURCHASED OPTIONS(J) — 0.0%
November 2016, U.S. 10 Year Future Option Call, Expires 10/22/2016, Strike Price $131.50*		130		47
November 2016, U.S. 10 Year Future Option Call, Expires 10/22/2016, Strike Price $132.00*		113		23
November 2016, U.S. 5 Year Future Option Call, Expires 10/22/2016, Strike Price $121.75*		151		28
November 2016, U.S. Long Bond Future Option Call, Expires 10/22/2016, Strike Price $171.00*		32		18
November 2016, U.S. Long Bond Future Option Call, Expires 10/22/2016, Strike Price $169.00*		64		76
November 2016, U.S. Long Bond Future Option Put, Expires 10/22/2016, Strike Price $164.00*		46		16


Total Purchased Options (Cost $308) ($ Thousands)			$	208


WRITTEN OPTIONS(J) — 0.0%
December 2016, U.S. 10 Year Future Option Call, Expires 11/19/2016 Strike Price $133.00*		(350)		(104)
December 2016, U.S. 10 Year Future Option Call, Expires 11/19/2016 Strike Price $132.50*		(129)		(50)
December 2016, U.S. Bond Future Option Call, Expires 11/19/2016 Strike Price $178.00*		(44)		(16)




Description	Contracts		Market Value ($ Thousands)


WRITTEN OPTIONS(J) (continued)
December 2016, U.S. Bond Future Option Call, Expires 11/19/2016 Strike Price $172.00*		(97)	$	(120)
November 2016, U.S. 5 Year Future Option Call, Expires 10/22/2016 Strike Price $122.25*		(146)		(9)
November 2016, U.S. Bond Future Option Call, Expires 10/22/2016 Strike Price $174.00*		(32)		(6)
November 2016, U.S. Bond Future Option Put, Expires 10/22/2016 Strike Price $161.00*		(92)		(10)


Total Written Options
(Premiums Received $468) ($ Thousands)			$	(315)

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$		284		Dec-2017	$39
90-Day Euro$		120		Mar-2017	9
90-Day Euro$		(306)		Dec-2019	(16)
Euro		(18)		Dec-2016	1
Euro-Bobl		39		Dec-2016	3
Euro-Bund 10-Year Bond		(90)		Dec-2016	(120)
Euro-Buxl 30-Year Bond		(8)		Dec-2016	1
U.S. 10-Year Treasury Note		692		Dec-2016	–
U.S. 2-Year Treasury Note		96		Dec-2016	(1)
U.S. 5-Year Treasury Note		1,343		Dec-2016	194
U.S. Long Treasury Bond		(346)		Dec-2016	829
U.S. Ultra Long Treasury Bond		(256)		Dec-2016	748
U.S. 10-Year Ultra Long Treasury Bond		(132)		Dec-2016	7

					$1,694

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
10/14/16	USD		1,023	GBP		789	$2
10/14/16	USD		1,689	BRL		5,408	(31)
10/14/16	USD		2,876	CNH		19,240	5
10/14/16	USD		4,523	IDR		59,300,390	22
10/14/16	BRL		5,408	USD		1,591	(67)
10/14/16	USD		5,869	INR		401,690	152
10/14/16	USD		10,817	CNY		72,168	(4)
10/14/16	PLN		11,190	USD		2,795	(128)
10/14/16	USD		7,726	EUR		6,970	112
10/14/16	USD		5,839	EUR		5,153	(45)
10/14/16	INR		100,340	USD		1,505	1
10/14/16-11/10/16	EUR		15,564	USD		17,430	(89)
10/14/16-11/14/16	JPY		1,768,246	USD		17,586	101
10/17/16-12/12/16	JPY		1,940,000	USD		18,778	(421)
10/14/16-01/20/17	CNH		38,480	USD		5,714	(31)
10/14/16-01/20/17	CNY		144,336	USD		21,447	(109)
11/10/16	GBP		1,489	USD		1,990	55

							$(475)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:


Counterparty	Currency to Deliver ($ Thousands)		Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Bank of America		$(25,298)		$24,995	$(303)
Barclays PLC		(40,731)		40,605	(126)
Citigroup		(39,771)		39,795	24
JPMorgan Chase Bank		(18,122)		18,095	(27)
Morgan Stanley		(3,978)		3,944	(34)
UBS		(1,984)		1,975	(9)

					$(475)

For the year ended September 30, 2016 the total amount of all open forward foreign currency contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.

A list of the open OTC swap agreements held by the Fund at September 30, 2016 is as follows:

A list of the open centrally cleared swap agreements held by the Fund at September 30, 2016 is as follows:

For the year ended September 30, 2016, the total amount of open swap agreements, as presented in the tables above, are representative of the volume of activity for this derivative type during the year.

Percentages are based on Net Assets of $2,150,342 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^†	Investment in Affiliated Security (see Note 6).

(A)	The rate reported is the effective yield at the time of purchase.

(B)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C)	Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2016.

(D)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2016, the value of these securities amounted to $228,289 ($ Thousands), representing 10.6% of the Net Assets of the Fund.

(E)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $13,544 ($ Thousands).

(F)	Step Bonds – The rate reflected on the Schedule of Investments is the effective yield on September 30, 2016. The coupon on a step bond changes on a specified date.

(G)	Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar.

(H)	Unsettled bank loan. Interest rate not available.

(I)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $14,020 ($ Thousands).

(J)	For the year ended September 30, 2016, the total amount of open purchased and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the year.

ACES — Alternative Credit Enhancement Structure

ARM — Adjustable Rate Mortgage

BRL — Brazilian Real

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

CNH — Chinese Offshore Yuan

CNY — Chinese Yuan

EUR — Euro

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financing Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

GNMA — Government National Mortgage Association

GO — General Obligation

IDR — Indonesian Rupiah

INR — Indian Rupee

IO — Interest Only — face amount represents notional amount.

JPY — Japanese Yen

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

L.P. — Limited Partnership

Ltd. — Limited

MTN — Medium Term Note

NCUA — National Credit Union Association

OTC — Over the Counter

PLC — Public Limited Company

PLN — Polish Zloty

PO — Principal Only

RB — Revenue Bond

Re-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

ULC — Unlimited Liability Company

USD — United States Dollar

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities		Level 1		Level 2		Level 3		Total

U.S. Treasury Obligations	$	–	$	653,766	$	–	$	653,766
Mortgage-Backed Securities		–		648,884		–		648,884
Corporate Obligations		–		594,029		–		594,029
Asset-Backed Securities		–		215,076		–		215,076
Sovereign Debt		–		68,542		–		68,542
Loan Participations		–		21,585		–		21,585
U.S. Government Agency Obligations		–		15,289		–		15,289
Municipal Bonds		–		10,377		–		10,377
Preferred Stock		652		–		–		652
Affiliated Partnership		–		14,020		–		14,020
Cash Equivalent		56,416		–		–		56,416


Total Investments in Securities	$	57,068	$	2,241,568	$	–	$	2,298,636



Other Financial Instruments		Level 1		Level 2		Level 3		Total


Purchased Options	$	208	$	—	$	—	$	208

Written Options		(315)		—		—		(315)
Futures Contracts *

Unrealized Appreciation		1,831		—		—		1,831

Unrealized Depreciation		(137)		—		—		(137)
Forwards Contracts *

Unrealized Appreciation		—		450		—		450

Unrealized Depreciation		—		(925)		—		(925)
OTC Swaps
Interest Rate Swaps *

Unrealized Depreciation		—		(676)		—		(676)
Credit Default Swaps *

Unrealized Depreciation		—		(21)		—		(21)
Centrally Cleared Swaps
Interest Rate Swaps *

Unrealized Appreciation		—		38		—		38

Unrealized Depreciation		—		(3,203)		—		(3,203)
Credit Default Swaps *

Unrealized Appreciation		—		1		—		1

Total Other Financial Instruments	$	1,587	$	(4,336)	$	—	$	(2,749)

* Futures contracts, forward contracts and swaps contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).




Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS — 37.9%
U.S. Treasury Bills
0.443%, 02/23/2017 (A)	$	16,060	$	16,038
0.436%, 11/25/2016 (A)		4,695		4,694
0.348%, 01/05/2017 (A)		10,510		10,503
0.328%, 12/08/2016 (A)		190		190
0.306%, 10/20/2016 (A)		4,090		4,090
0.286%, 12/15/2016 (A)		16,970		16,964
0.215%, 01/19/2017 (A)		2,780		2,778
U.S. Treasury Bonds
3.750%, 11/15/2043		790		1,028
3.000%, 11/15/2044		670		764
3.000%, 05/15/2045		18,180		20,728
3.000%, 11/15/2045		9,065		10,343
2.875%, 05/15/2043		3,890		4,331
2.875%, 08/15/2045		8,745		9,740
2.763%, 08/15/2045 (A)		1,725		855
2.750%, 08/15/2042		915		997
2.750%, 11/15/2042		2,950		3,211
2.734%, 05/15/2045 (A)		3,100		1,546
2.625%, 11/15/2020		21,465		22,787
2.500%, 02/15/2045		14,830		15,326
2.500%, 02/15/2046		7,835		8,098
2.500%, 05/15/2046		10,711		11,086
2.250%, 08/15/2046		19,093		18,747
2.000%, 10/31/2021		12,624		13,118
U.S. Treasury Inflation Protected Securities
1.750%, 01/15/2028		425		497
1.375%, 02/15/2044		2,628		3,117
1.000%, 02/15/2046		843		918
0.750%, 02/15/2045		3,490		3,597
0.625%, 01/15/2024		155		162
0.625%, 02/15/2043		3,538		3,547
0.375%, 07/15/2025		5,586		5,769
U.S. Treasury Notes
3.500%, 05/15/2020		7,720		8,397




Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS (continued)
2.250%, 11/15/2024	$	3,710	$	3,917
2.125%, 08/31/2020		8,190		8,521
2.125%, 08/15/2021		6,282		6,560
2.125%, 06/30/2022		190		199
2.000%, 09/30/2020		1,090		1,130
2.000%, 08/31/2021		1,599		1,661
2.000%, 11/30/2022		12,570		13,061
1.875%, 08/31/2017		8,600		8,693
1.875%, 09/30/2017		30		30
1.875%, 10/31/2017		800		810
1.875%, 05/31/2022		2,400		2,478
1.750%, 10/31/2020		1,697		1,742
1.750%, 03/31/2022		1,770		1,816
1.750%, 05/15/2022		775		795
1.625%, 08/31/2019		3,142		3,208
1.625%, 06/30/2020		2,390		2,442
1.625%, 11/30/2020		4,189		4,280
1.625%, 05/15/2026		260		260
1.500%, 02/28/2023		4,550		4,585
1.500%, 03/31/2023		40		40
1.500%, 08/15/2026		21,243		21,036
1.375%, 09/30/2018		783		792
1.375%, 03/31/2020		70		71
1.375%, 01/31/2021		11,088		11,209
1.375%, 04/30/2021		12,688		12,821
1.375%, 06/30/2023		5,300		5,291
1.375%, 08/31/2023		2,585		2,577
1.375%, 09/30/2023		701		698
1.250%, 12/15/2018		1,648		1,663
1.250%, 07/31/2023		840		831
1.125%, 06/15/2018		1,783		1,794
1.125%, 06/30/2021		50		50
1.125%, 07/31/2021		9,520		9,507
1.125%, 08/31/2021		11,651		11,639
1.125%, 09/30/2021		20,694		20,667
1.000%, 12/15/2017		1,625		1,631
1.000%, 12/31/2017		3,690		3,703
1.000%, 05/15/2018		2,462		2,472
1.000%, 09/15/2018		865		869
1.000%, 08/31/2019		948		951
0.875%, 10/15/2017		1,600		1,603
0.875%, 11/15/2017		5,520		5,531
0.875%, 05/31/2018		38,402		38,481
0.875%, 07/15/2018		1,388		1,391
0.875%, 09/15/2019		3,689		3,689
0.750%, 10/31/2017		14,110		14,120
0.750%, 01/31/2018		895		895
0.750%, 02/28/2018		5,651		5,653
0.750%, 07/31/2018		7,130		7,128
0.750%, 08/31/2018		165		165
0.750%, 09/30/2018		5,182		5,180




Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS (continued)
0.750%, 08/15/2019	$	8,904	$	8,873


Total U.S. Treasury Obligations (Cost $482,419) ($ Thousands)				493,175


MORTGAGE-BACKED SECURITIES — 27.8%

Agency Mortgage-Backed Obligations — 24.0%
FHLMC
10.000%, 03/17/2026		101		105
7.500%, 01/01/2032 to 02/01/2038		381		452
6.500%, 10/01/2031 to 09/01/2038		421		482
6.000%, 02/01/2018 to 09/01/2038		567		634
5.500%, 06/01/2020 to 08/01/2037		829		873
5.000%, 03/01/2034 to 06/01/2044		1,942		2,181
4.500%, 08/01/2020 to 03/01/2044		4,395		4,844
4.000%, 10/01/2029 to 07/01/2046		14,934		16,258
3.500%, 11/01/2029 to 08/01/2046		41,424		44,187
3.000%, 03/01/2030 to 09/01/2046		8,354		8,702
FHLMC ARM
3.090%, 02/01/2045 (B)		330		343
2.815%, 05/01/2045 (B)		283		294
2.791%, 12/01/2041 (B)		84		87
2.540%, 07/01/2042 (B)		351		362
FHLMC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/2032		141		158
FHLMC CMO, Ser 2005-2945, Cl SA
11.350%, 03/15/2020 (B)		10		11
FHLMC CMO, Ser 2007-3281, Cl AI, IO
5.906%, 02/15/2037 (B)		116		22
FHLMC CMO, Ser 2007-3316, Cl JO, PO
0.000%, 05/15/2037 (A)		9		9
FHLMC CMO, Ser 2011-3804, Cl FN
0.974%, 03/15/2039 (B)		150		151
FHLMC CMO, Ser 2011-3947, Cl SG, IO
5.426%, 10/15/2041 (B)		614		99
FHLMC CMO, Ser 2012-283, Cl IO, IO
3.500%, 10/15/2027		1,000		106
FHLMC CMO, Ser 2012-4146, Cl DI, IO
3.000%, 12/15/2031		1,192		116
FHLMC CMO, Ser 2013-299, Cl 300
3.000%, 01/15/2043		699		729
FHLMC CMO, Ser 2013-300, Cl 300
3.000%, 01/15/2043		364		379
FHLMC CMO, Ser 2013-4194, Cl BI, IO
3.500%, 04/15/2043		535		64
FHLMC CMO, Ser 2013-4203, Cl PS, IO
5.726%, 09/15/2042 (B)		448		82
FHLMC CMO, Ser 2013-4210, Cl Z
3.000%, 05/15/2043		216		215
FHLMC CMO, Ser 2013-4239, Cl IO, IO
3.500%, 06/15/2027		757		83




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FHLMC CMO, Ser 2014-328, Cl S4, IO
2.051%, 02/15/2038 (B)	$	193	$	13
FHLMC CMO, Ser 2014-4335, Cl SW, IO
5.476%, 05/15/2044 (B)		167		31
FHLMC CMO, Ser 2014-4415, Cl IO, IO
1.948%, 04/15/2041 (B)		211		14
FHLMC CMO, Ser 2015-4425, Cl A
4.000%, 09/15/2040		501		532
FHLMC CMO, Ser 2950, Cl JO, PO
0.000%, 03/15/2020 (A)		8		8
FHLMC CMO, Ser T-76, Cl 2A
1.665%, 10/25/2037 (B)		192		203
FHLMC Multifamily Structured Pass-Through Certificates, Ser K151, Cl A3
3.511%, 04/25/2030		485		540
FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ03, Cl A2
2.328%, 06/25/2021		170		175
FHLMC TBA
3.500%, 11/15/2046		400		422
3.000%, 10/15/2046		4,975		5,170
FNMA
7.500%, 10/01/2037 to 04/01/2039		283		357
7.000%, 04/01/2032 to 01/01/2039		175		209
6.500%, 05/01/2027 to 10/01/2038		318		367
6.000%, 10/01/2019 to 10/01/2040		1,404		1,599
5.500%, 02/01/2021 to 02/01/2035		161		181
5.000%, 01/01/2020 to 07/01/2041		2,538		2,833
4.640%, 01/01/2021		466		518
4.540%, 01/01/2020		453		491
4.500%, 01/01/2020 to 06/01/2046		10,355		11,524
4.410%, 05/01/2021		362		402
4.360%, 05/01/2021		968		1,079
4.300%, 04/01/2021		238		264
4.250%, 04/01/2021		250		277
4.240%, 06/01/2021		956		1,058
4.230%, 03/01/2020		372		401
4.060%, 07/01/2021		998		1,099
4.000%, 01/01/2029 to 07/01/2046		28,393		30,844
3.590%, 12/01/2020		451		486
3.500%, 12/01/2029 to 12/31/2050		28,212		30,156
3.430%, 10/01/2020		910		974
3.410%, 10/01/2030		839		917
3.390%, 01/01/2031		700		766
3.340%, 07/01/2030		600		656
3.290%, 10/01/2020		333		354
3.260%, 10/01/2030		739		798
3.230%, 11/01/2020		327		348
3.110%, 02/01/2028		465		500
3.080%, 04/01/2030		500		532
3.040%, 04/01/2030		500		530
3.000%, 04/01/2031 to 01/01/2043		4,646		4,887




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
2.500%, 10/01/2042	$	294	$	298
FNMA ACES, Ser 2014-M12, Cl FA
0.773%, 10/25/2021 (B)		342		341
FNMA ACES, Ser 2016-M6, Cl A2
2.488%, 05/25/2026		878		903
FNMA ARM
4.374%, 04/01/2040 (B)		175		186
3.192%, 10/01/2043 (B)		209		218
2.908%, 06/01/2041 (B)		624		658
2.833%, 05/01/2043 (B)		117		122
2.753%, 01/01/2045 (B)		339		352
2.751%, 01/01/2045 (B)		303		314
2.669%, 01/01/2042 (B)		429		445
2.514%, 02/01/2042 (B)		785		823
2.431%, 06/01/2042 (B)		322		333
1.706%, 04/01/2043 (B)		397		408
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/2029		58		64
FNMA CMO, Ser 2005-117, Cl LC
5.500%, 11/25/2035		315		341
FNMA CMO, Ser 2005-29, Cl ZA
5.500%, 04/25/2035		311		352
FNMA CMO, Ser 2005-360, Cl 2, IO
5.000%, 08/01/2035		213		44
FNMA CMO, Ser 2007-108, Cl AN
8.204%, 11/25/2037 (B)		72		87
FNMA CMO, Ser 2009-103, Cl MB
2.800%, 12/25/2039 (B)		165		174
FNMA CMO, Ser 2009-86, Cl BO, PO
0.000%, 03/25/2037 (A)		724		678
FNMA CMO, Ser 2011-87, Cl SG, IO
6.025%, 04/25/2040 (B)		460		75
FNMA CMO, Ser 2012-101, Cl AI, IO
3.000%, 06/25/2027		736		65
FNMA CMO, Ser 2012-112, Cl DA
3.000%, 10/25/2042		900		937
FNMA CMO, Ser 2012-118, Cl CI, IO
3.500%, 12/25/2039		796		81
FNMA CMO, Ser 2012-134, Cl LC
3.000%, 12/25/2042		157		163
FNMA CMO, Ser 2012-411, Cl A3
3.000%, 08/25/2042		179		187
FNMA CMO, Ser 2013-126, Cl CS, IO
5.625%, 09/25/2041 (B)		742		102
FNMA CMO, Ser 2013-73, Cl IA, IO
3.000%, 09/25/2032		834		84
FNMA CMO, Ser 2013-73, Cl IB, IO
3.500%, 07/25/2028		208		21
FNMA CMO, Ser 2014-47, Cl AI, IO
1.965%, 08/25/2044 (B)		1,124		79
FNMA CMO, Ser 2015-56, Cl AS, IO
5.625%, 08/25/2045 (B)		91		24




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2016-59, Cl CA
3.500%, 09/25/2043	$	1,638	$	1,744
FNMA TBA
5.000%, 11/01/2046		1,500		1,665
4.500%, 10/15/2046		10,145		11,110
4.000%, 10/14/2039 to 11/12/2046		9,190		9,864
3.500%, 10/01/2040 to 11/01/2046		5,520		5,819
3.000%, 11/25/2026 to 12/15/2046		18,963		19,736
2.500%, 10/15/2027 to 11/25/2031		8,080		8,369
FNMA, Ser 2014-M8, Cl X2, IO
0.535%, 06/25/2024 (B)		8,763		229
FNMA, Ser 2015-M10, Cl A2
3.092%, 04/25/2027 (B)		544		588
FREMF Mortgage Trust, Ser 2014-K714, Cl C
3.981%, 01/25/2047 (B)(C)		60		59
FREMF Mortgage Trust, Ser 2015-K44, Cl C
3.811%, 01/25/2048 (B)(C)		180		157
GNMA
7.500%, 10/15/2037		54		61
7.000%, 09/15/2031		46		57
6.500%, 12/15/2035		436		524
6.000%, 09/20/2038		102		117
5.000%, 11/20/2045		77		87
4.500%, 03/15/2041 to 09/20/2046		1,351		1,506
4.000%, 10/15/2041 to 08/20/2046		9,714		10,605
3.500%, 04/20/2046 to 07/15/2046		3,009		3,200
3.000%, 04/15/2045 to 08/20/2046		6,023		6,319
2.000%, 02/20/2034 (B)		342		355
GNMA CMO, Ser 2007-78, Cl SA, IO
6.023%, 12/16/2037 (B)		951		167
GNMA CMO, Ser 2009-66, Cl XS, IO
6.293%, 07/16/2039 (B)		1,187		163
GNMA CMO, Ser 2010-4, Cl NS, IO
5.883%, 01/16/2040 (B)		1,956		382
GNMA CMO, Ser 2010-H11, Cl FA
1.524%, 06/20/2060 (B)		559		568
GNMA CMO, Ser 2011-142, Cl IO, IO
0.811%, 09/16/2046 (B)		4,021		129
GNMA CMO, Ser 2011-H08, Cl FD
0.968%, 02/20/2061 (B)		388		387
GNMA CMO, Ser 2012-112, Cl IO, IO
0.364%, 02/16/2053 (B)		1,186		38
GNMA CMO, Ser 2012-34, Cl SA, IO
5.538%, 03/20/2042 (B)		175		35
GNMA CMO, Ser 2012-43, Cl SN, IO
6.093%, 04/16/2042 (B)		104		24
GNMA CMO, Ser 2012-H25, Cl FA
1.168%, 12/20/2061 (B)		793		794
GNMA CMO, Ser 2013-178, Cl IO, IO
0.867%, 06/16/2055 (B)		907		41
GNMA CMO, Ser 2013-63, Cl IO, IO
0.769%, 09/16/2051 (B)		1,520		84




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
GNMA CMO, Ser 2013-69, Cl AI, IO
3.500%, 05/20/2043	$	735	$	99
GNMA CMO, Ser 2014-117, Cl SJ, IO
5.088%, 08/20/2044 (B)		284		38
GNMA CMO, Ser 2014-5, Cl SP, IO
5.620%, 06/16/2043 (B)		730		79
GNMA CMO, Ser 2014-H10, Cl TA
1.094%, 04/20/2064 (B)		785		784
GNMA CMO, Ser 2015-167, Cl OI, IO
4.000%, 04/16/2045		92		18
GNMA CMO, Ser 2015-H10, Cl FC
0.974%, 04/20/2065 (B)		477		473
GNMA CMO, Ser 2015-H18, Cl FA
0.944%, 06/20/2065 (B)		364		361
GNMA CMO, Ser 2015-H20, Cl FA
0.663%, 08/20/2065 (B)		371		368
GNMA TBA
3.500%, 10/15/2041 to 11/15/2046		12,805		13,591
3.000%, 10/01/2042 to 12/01/2046		15,700		16,418
GNMA, Ser 2012-27, Cl IO, IO
1.115%, 04/16/2053 (B)		1,654		73
GNMA, Ser 2013-145, Cl IO, IO
1.068%, 09/16/2044 (B)		1,486		89
GNMA, Ser 2013-96, Cl IO, IO
0.531%, 10/16/2054 (B)		2,069		73
GNMA, Ser 2014-47, Cl IA, IO
1.072%, 02/16/2048 (B)		465		23
GNMA, Ser 2014-50, Cl IO, IO
0.948%, 09/16/2055 (B)		1,370		83
GNMA, Ser 2014-92, Cl IX, IO
0.801%, 05/16/2054 (B)		8,944		424
GNMA, Ser 2015-5, Cl IK, IO
0.809%, 11/16/2054 (B)		7,469		421
GNMA, Ser 2015-73, Cl IO, IO
0.869%, 11/16/2055 (B)		2,157		141


				312,041


Non-Agency Mortgage-Backed Obligations — 3.8%
7 WTC Depositor Trust, Ser 2012-7WTC, Cl A
4.082%, 03/13/2031 (C)		129		130
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A
3.092%, 02/25/2045 (B)		571		574
ASG Resecuritization Trust, Ser 2009-3, Cl A65
2.379%, 03/26/2037 (B)(C)		189		188
Banc of America Commercial Mortgage Trust, Ser 2007-2, Cl A4
5.791%, 04/10/2049 (B)		580		583
Banc of America Funding Trust, Ser 2004-C, Cl 1A1
3.082%, 12/20/2034 (B)		24		24




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Banc of America Funding Trust, Ser 2010-R11A, Cl 1A6
5.079%, 08/26/2035 (B)(C)	$	25	$	25
Banc of America Merrill Lynch Commercial Mortgage, Ser 2006-3, Cl A4
5.889%, 07/10/2044 (B)		3		3
BB-UBS Trust, Ser 2012-SHOW, Cl A
3.430%, 11/05/2036 (C)		600		638
BB-UBS Trust, Ser 2012-TFT, Cl A
2.892%, 06/05/2030 (C)		150		152
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/2034 (C)		116		120
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5
3.021%, 04/26/2035 (B)(C)		4		4
BCAP LLC Trust, Ser 2011-RR5, Cl 11A3
0.638%, 05/28/2036 (B)(C)		17		17
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 14A
3.344%, 05/25/2034 (B)		20		20
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2005-5, Cl A1
2.580%, 08/25/2035 (B)		68		69
Bear Stearns ALT-A Trust, Ser 2004-12, Cl 1A3
1.224%, 01/25/2035 (B)		214		210
Bear Stearns ALT-A Trust, Ser 2004-6, Cl 1A
1.164%, 07/25/2034 (B)		130		128
Bear Stearns ARM Trust, Ser 2003-7, Cl 9A
2.786%, 10/25/2033 (B)		649		643
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO
0.393%, 06/11/2041 (B)(C)		27		–
CD Commercial Mortgage Trust, Ser 2016-CD1, Cl ASB
2.622%, 07/10/2026		153		157
CD Commercial Mortgage Trust, Ser 2016-CD1, Cl A1
1.443%, 08/10/2021		152		151
CFCRE Commercial Mortgage Trust, Ser 2011-C1, Cl A4
4.961%, 04/15/2044 (B)(C)		359		397
CFCRE Commercial Mortgage Trust, Ser 2016-C3, Cl A1
1.793%, 01/10/2021		263		264
CFCRE Commercial Mortgage Trust, Ser 2016-C4, Cl ASB
3.091%, 05/10/2058		180		188
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
3.097%, 02/25/2037 (B)		44		44
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1
3.000%, 02/25/2037 (B)		29		28
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
3.144%, 07/25/2037 (B)		56		56




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl A2
1.987%, 04/10/2046	$	391	$	393
Citigroup Commercial Mortgage Trust, Ser 2013-SMP, Cl A
2.110%, 01/12/2030 (C)		445		447
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS
4.017%, 10/10/2047		140		153
Citigroup Commercial Mortgage Trust, Ser 2016-GC36, Cl A5
3.616%, 02/10/2049		441		479
Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A
2.740%, 09/25/2033 (B)		49		48
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A
2.993%, 11/25/2038 (B)(C)		65		65
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO
0.023%, 01/15/2046 (B)(C)		1,236		–
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD4, Cl XC, IO
0.573%, 12/11/2049 (B)(C)		5,666		4
COMM Mortgage Trust, Ser 2010-C1, Cl A2
3.830%, 07/10/2046 (C)		49		50
COMM Mortgage Trust, Ser 2012-CR1, Cl A2
2.350%, 05/15/2045		295		296
COMM Mortgage Trust, Ser 2012-CR2, Cl XA, IO
1.897%, 08/15/2045 (B)		665		52
COMM Mortgage Trust, Ser 2012-CR4, Cl AM
3.251%, 10/15/2045		590		616
COMM Mortgage Trust, Ser 2012-CR4, Cl A2
1.801%, 10/15/2045		94		94
COMM Mortgage Trust, Ser 2012-LC4, Cl A4
3.288%, 12/10/2044		79		84
COMM Mortgage Trust, Ser 2013-300P, Cl A1
4.353%, 08/10/2030 (C)		215		241
COMM Mortgage Trust, Ser 2013-CR10, Cl A2
2.972%, 08/10/2046		117		120
COMM Mortgage Trust, Ser 2013-CR11, Cl A1
1.468%, 10/10/2046		91		91
COMM Mortgage Trust, Ser 2013-CR12, Cl A1
1.295%, 10/10/2046		32		32
COMM Mortgage Trust, Ser 2013-CR12, Cl C
5.253%, 10/10/2046 (B)		10		11
COMM Mortgage Trust, Ser 2013-CR12, Cl A4
4.046%, 10/10/2046		32		36
COMM Mortgage Trust, Ser 2013-CR12, Cl AM
4.300%, 10/10/2046		70		77
COMM Mortgage Trust, Ser 2013-CR12, Cl B
4.762%, 10/10/2046 (B)		30		34




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
COMM Mortgage Trust, Ser 2013-CR13, Cl XA, IO
1.124%, 12/10/2023 (B)	$	3,984	$	172
COMM Mortgage Trust, Ser 2013-CR13, Cl A4
4.194%, 11/10/2023 (B)		346		388
COMM Mortgage Trust, Ser 2013-CR6, Cl A1
0.719%, 03/10/2046		48		47
COMM Mortgage Trust, Ser 2013-CR6, Cl A2
2.122%, 03/10/2046		680		684
COMM Mortgage Trust, Ser 2014-CR18, Cl XA, IO
1.428%, 07/15/2047 (B)		3,739		225
COMM Mortgage Trust, Ser 2014-CR19, Cl A5
3.796%, 08/10/2047		489		536
COMM Mortgage Trust, Ser 2014-SAVA, Cl D
3.608%, 06/15/2034 (B)(C)		320		317
COMM Mortgage Trust, Ser 2014-UBS4, Cl A5
3.694%, 08/10/2047		133		144
COMM Mortgage Trust, Ser 2014-UBS5, Cl ASB
3.548%, 09/10/2047		103		110
COMM Mortgage Trust, Ser 2015-CR25, Cl A4
3.759%, 08/10/2048		188		206
COMM Mortgage Trust, Ser 2015-CR26, Cl ASB
3.373%, 04/10/2025		182		194
COMM Mortgage Trust, Ser 2016-787S, Cl A
3.545%, 02/10/2036 (C)		310		334
COMM Mortgage Trust, Ser 2016-GCT, Cl A
2.680%, 08/10/2021		370		382
Commercial Mortgage Pass-Through Certificates, Ser 2014-SAVA, Cl A
1.658%, 06/15/2034 (B)(C)		259		259
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS2, Cl XA, IO
1.565%, 03/10/2047 (B)		2,233		152
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS6, Cl ASB
3.387%, 12/10/2047		224		238
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS6, Cl AM
4.048%, 12/10/2047		372		401
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3
5.250%, 11/25/2033		92		93
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1
7.000%, 12/25/2033		70		74
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4
2.979%, 10/25/2033 (B)		514		511
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3
3.500%, 12/27/2036 (B)(C)		39		39




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1
3.210%, 07/28/2036 (B)(C)	$	22	$	22
CSAIL Commercial Mortgage Trust, Ser 2015-C4, Cl A4
3.808%, 11/15/2048		169		185
CSAIL Commercial Mortgage Trust, Ser 2016-C5, Cl ASB
3.533%, 11/15/2048		90		97
CSMC, Ser 2009-2R, Cl 1A14
2.989%, 09/26/2034 (B)(C)		503		505
CSMC, Ser 2009-2R, Cl 1A16
2.989%, 09/26/2034 (B)(C)		1,000		1,012
CSMC, Ser 2010-3R, Cl 2A3
4.500%, 12/26/2036 (B)(C)		770		786
CSMC, Ser 2014-7R, Cl 8A1
2.715%, 07/27/2037 (B)(C)		769		766
CSMC, Ser 2015-5R, Cl 1A1
1.066%, 09/27/2046 (C)		849		820
CSMC, Ser 2016-BDWN, Cl B
5.008%, 02/15/2029 (B)(C)		370		370
DBRR Trust, Ser 2011-LC2, Cl A4A
4.537%, 07/12/2044 (B)(C)		615		671
DBUBS Mortgage Trust, Ser 2011-LC1A, Cl A1
3.742%, 11/10/2046 (C)		6		6
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A4
4.537%, 07/10/2044 (C)		100		110
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN1, Cl M2
2.725%, 02/25/2024 (B)		250		257
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2
2.175%, 04/25/2024 (B)		510		514
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-HQ1, Cl M1
2.175%, 08/25/2024 (B)		12		12
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA2, Cl M2
3.125%, 12/25/2027 (B)		560		572
GE Business Loan Trust, Ser 2007-1A, Cl A
0.694%, 04/16/2035 (B)(C)		162		151
GMAC Commercial Mortgage Securities, Ser 2006-C1, Cl AM
5.290%, 11/10/2045 (B)		129		128
Greenwich Capital Commercial Funding, Ser 2007-GG11, Cl A4
5.736%, 12/10/2049		32		32
GS Mortgage Securities II, Ser 2013-KING, Cl A
2.706%, 12/10/2027 (C)		107		110
GS Mortgage Securities Trust, Ser 2006-GG8, Cl X, IO
0.748%, 11/10/2039 (B)(C)		684		–




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
GS Mortgage Securities Trust, Ser 2011-GC5, Cl A2
2.999%, 08/10/2044	$	25	$	25
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl AAB
2.935%, 05/10/2045		44		45
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl A2
2.318%, 05/10/2045		201		202
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B
5.161%, 11/10/2046 (B)		90		104
GS Mortgage Securities Trust, Ser 2013-GC16, Cl A1
1.264%, 11/10/2046		11		11
GS Mortgage Securities Trust, Ser 2013-NYC5, Cl A
2.318%, 01/10/2030 (C)		122		123
GS Mortgage Securities Trust, Ser 2014-GC18, Cl AAB
3.648%, 01/10/2047		153		165
GS Mortgage Securities Trust, Ser 2014-GC20, Cl AAB
3.655%, 04/10/2047		220		238
GS Mortgage Securities Trust, Ser 2015-GC34, Cl AAB
3.278%, 10/10/2048		209		222
GS Mortgage Securities Trust, Ser 2016-GS3, Cl AAB
2.777%, 10/10/2049		277		285
GS Mortgage Securities Trust, Ser 2016-GS3, Cl A4
2.850%, 10/10/2049		185		190
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1
2.797%, 10/25/2033 (B)		114		115
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3
6.000%, 09/25/2034		52		53
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/2037		16		15
Hilton USA Trust, Ser 2013-HLF, Cl BFL
2.023%, 11/05/2030 (B)(C)		227		227
Homestar Mortgage Acceptance, Ser 2004-5, Cl A1
1.388%, 10/25/2034 (B)		377		373
Impac Secured Assets Trust, Ser 2004-3, Cl M1
1.424%, 11/25/2034 (B)		1,700		1,575
Impac Secured Assets Trust, Ser 2006-2, Cl 2A1
0.874%, 08/25/2036 (B)		38		38
Impac Secured Assets Trust, Ser 2007-2, Cl 2A
0.774%, 04/25/2037 (B)		172		155
Impac Secured Assets Trust, Ser 2007-A, Cl M1
0.924%, 05/25/2037 (B)(C)		467		433




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Impact Funding LLC, Ser 2010-1, Cl A1
5.314%, 01/25/2051 (C)	$	852	$	999
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C14, Cl ASB
3.761%, 08/15/2046 (B)		134		145
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl C
5.215%, 11/15/2045 (B)		60		66
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl A2
2.977%, 11/15/2045		171		176
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B
5.050%, 01/15/2047 (B)		30		34
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C
4.712%, 09/15/2047 (B)		120		123
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3
2.912%, 10/15/2048		629		649
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl AS
4.226%, 07/15/2048 (B)		270		298
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C31, Cl ASB
3.540%, 08/15/2048		141		152
JPMBB Commercial Mortgage Securities Trust, Ser 2016-C1, Cl ASB
3.316%, 03/15/2049		366		389
JPMDB Commercial Mortgage Securities Trust, Ser 2016-C2, Cl ASB
2.954%, 06/15/2049		359		374
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2004-LN2, Cl A2
5.115%, 07/15/2041		4		5
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB15, Cl X1, IO
0.482%, 06/12/2043 (B)		1,969		2
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP9, Cl A3SF
0.679%, 05/15/2047 (B)		48		48
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C2, Cl A2
3.616%, 11/15/2043 (C)		143		146
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A2
4.311%, 08/05/2032 (C)		655		705
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A1
3.300%, 08/05/2032 (C)		71		73
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C3, Cl A2
3.673%, 02/15/2046 (C)		2		2




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C4, Cl A3
4.106%, 07/15/2046 (C)	$	1,563	$	1,624
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C5, Cl B
5.508%, 08/15/2046 (B)(C)		296		336
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A2
1.677%, 12/15/2047		107		107
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A5
3.805%, 07/15/2047		1,502		1,644
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3
3.801%, 08/15/2048		580		636
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-JP1, Cl ASB
3.733%, 01/15/2049		74		81
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl ASB
2.713%, 09/15/2025		292		300
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP3, Cl A5
2.870%, 08/15/2026		372		382
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-C13, Cl ASB
3.414%, 01/15/2046		271		288
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
3.185%, 08/25/2034 (B)		165		166
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3
2.783%, 11/25/2033 (B)		87		88
JPMorgan Trust, Ser 2015-5, Cl A9
2.897%, 05/25/2045 (B)(C)		416		413
LB-UBS Commercial Mortgage Trust, Ser 2006-C1, Cl XCL, IO
0.338%, 02/15/2041 (B)(C)		1,264		–
Liberty Street Trust, Ser 2016-225L, Cl A
3.597%, 02/10/2036 (C)		310		335
Master Resecuritization Trust, Ser 2005, Cl 3PO, PO
0.000%, 05/28/2035 (A)(C)		13		10
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A
3.136%, 07/25/2033 (B)		22		21
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A
2.875%, 02/25/2034 (B)		119		119
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl XC, IO
0.768%, 12/12/2049 (B)(C)		600		–




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl B
3.930%, 11/15/2045	$	390	$	418
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A2
2.964%, 06/15/2018		116		118
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A1
1.394%, 07/15/2046		71		71
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl AS
3.214%, 02/15/2046		21		22
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AS
3.456%, 05/15/2046		80		84
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl A2
1.970%, 05/15/2046		111		111
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C23, Cl A3
3.451%, 07/15/2050		109		118
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5
3.635%, 10/15/2048		250		273
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016-C28, Cl A3
3.272%, 11/15/2025		328		349
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016-C28, Cl ASB
3.288%, 01/15/2049		366		388
Morgan Stanley Capital I Trust, Ser 2007-HQ11, Cl X, IO
0.379%, 02/12/2044 (B)(C)		5,051		1
Morgan Stanley Capital I Trust, Ser 2007-HQ11, Cl A4FL
0.663%, 02/12/2044 (B)		723		720
Morgan Stanley Capital I Trust, Ser 2011-C2, Cl A2
3.476%, 06/15/2044 (C)		42		42
Morgan Stanley Capital I Trust, Ser 2016-UB11, Cl A1
1.445%, 04/15/2021		471		470
Morgan Stanley Capital I Trust, Ser 2016-UB11, Cl ASB
2.606%, 01/15/2021		210		215
Morgan Stanley Capital I Trust, Ser 2016-UBS9, Cl A1
1.711%, 03/15/2049		254		254
MSCG Trust, Ser 2015-ALDR, Cl A2
3.577%, 06/07/2035 (B)(C)		250		262
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A4
6.138%, 03/25/2047 (D)		119		118




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A3
5.957%, 03/25/2047 (D)	$	145	$	144
Nomura Resecuritization Trust, Ser 2015-4R, Cl 3A1
2.475%, 02/26/2036 (B)(C)		456		463
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO
0.000%, 02/25/2034 (A)		9		7
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1
6.000%, 02/25/2034		36		38
RAMP Trust, Ser 2004-SL1, Cl A8
6.500%, 11/25/2031		239		242
RBSCF Trust, Ser 2013-GSP, Cl A
3.961%, 01/13/2032 (B)(C)		280		307
Residential Accredit Loans, Ser 2004-QA7, Cl A4
5.500%, 05/25/2034		210		213
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
2.989%, 12/25/2034 (B)		360		359
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A1
3.872%, 01/05/2043 (B)(C)		390		404
Springleaf Mortgage Loan Trust, Ser 2013-2A, Cl A
1.780%, 12/25/2065 (B)(C)		261		260
Structured Adjustable Rate Mortgage Loan Trust, Ser 2004-6, Cl 5A4
2.813%, 06/25/2034 (B)		2		2
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2002-AL1, Cl A2
3.450%, 02/25/2032		47		47
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-24A, Cl 3A2
2.901%, 07/25/2033 (B)		123		123
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2003-32, Cl 1A1
5.221%, 11/25/2033 (B)		25		25
Structured Asset Securities Mortgage Pass-Through Certificates, Ser 2004-5H, Cl A4
5.540%, 12/25/2033		131		135
Structured Asset Securities, Ser 2003-37A, Cl 2A
2.675%, 12/25/2033 (B)		40		40
Trust Company of the West, Ser 1060
2.600%, 10/28/2031		735		737
Trust Company of the West, Ser 1063
2.610%, 11/28/2028		730		743
UBS Commercial Mortgage Trust, Ser 2012-C1, Cl XA, IO
2.275%, 05/10/2045 (B)(C)		2,751		260




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A2
2.113%, 05/10/2063	$	200	$	201
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A2
1.712%, 12/10/2017		295		296
VNO Mortgage Trust, Ser 2012-6AVE, Cl A
2.996%, 11/15/2030 (C)		335		351
VNO Mortgage Trust, Ser 2013-PENN, Cl A
3.808%, 12/13/2029 (C)		250		268
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.537%, 10/25/2033 (B)		102		104
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
2.677%, 08/25/2033 (B)		53		53
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A
2.697%, 08/25/2033 (B)		28		29
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
2.631%, 09/25/2033 (B)		91		92
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
16.018%, 06/25/2033 (B)		11		14
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/2033		201		209
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2
2.783%, 06/25/2034 (B)		58		59
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A
7.500%, 07/25/2034		175		187
WaMu Mortgage Pass-Through Certificates, Ser 2004-S2, Cl 2A4
5.500%, 06/25/2034		5		5
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A3
1.304%, 10/25/2045 (B)		733		712
Wells Fargo Commercial Mortgage Trust, Ser 2013-120B, Cl A
2.800%, 03/18/2028 (B)(C)		200		205
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2
3.082%, 05/25/2034 (B)		14		14
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1
2.967%, 12/25/2034 (B)		74		75
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A1
3.052%, 06/25/2034 (B)		154		154




Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1
2.893%, 07/25/2034 (B)	$	94	$	95
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1
2.977%, 06/25/2035 (B)		77		79
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 3A1
2.853%, 04/25/2036 (B)		787		794
WFRBS Commercial Mortgage Trust, Ser 2011-C3, Cl A4
4.375%, 03/15/2044 (C)		125		137
WFRBS Commercial Mortgage Trust, Ser 2012-C10, Cl XA, IO
1.866%, 12/15/2045 (B)(C)		1,584		117
WFRBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO
1.663%, 06/15/2045 (B)(C)		363		23
WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO
1.534%, 05/15/2045 (B)(C)		1,100		68
WFRBS Commercial Mortgage Trust, Ser 2014-C20, Cl XA, IO
1.170%, 01/15/2024		3,081		181
WFRBS Commercial Mortgage Trust, Ser 2014-C21, Cl B
4.213%, 08/15/2047 (B)		300		327


				49,830


Total Mortgage-Backed Securities (Cost $356,083) ($ Thousands)				361,871


CORPORATE OBLIGATIONS — 26.4%

Consumer Discretionary — 1.8%
21st Century Fox America
7.250%, 05/18/2018		50		55
6.900%, 08/15/2039		10		13
6.750%, 01/09/2038		20		26
6.650%, 11/15/2037		25		33
6.150%, 03/01/2037		20		25
6.150%, 02/15/2041		15		19
Amazon.com
4.950%, 12/05/2044		140		171
American Honda Finance MTN
3.875%, 09/21/2020 (C)		495		537
BMW US Capital
2.800%, 04/11/2026 (C)		450		459
CBS
2.900%, 01/15/2027		500		487
Charter Communications Operating
6.484%, 10/23/2045 (C)		776		938


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
6.384%, 10/23/2035 (C)	$	10	$	12
4.908%, 07/23/2025 (C)		110		121
4.464%, 07/23/2022 (C)		580		626
Comcast
7.050%, 03/15/2033		90		128
6.400%, 03/01/2040		60		84
4.400%, 08/15/2035		875		991
4.250%, 01/15/2033		60		67
4.200%, 08/15/2034		30		33
3.375%, 02/15/2025		70		75
Comcast Cable Communications Holdings
9.455%, 11/15/2022		180		253
Comcast Cable Holdings
10.125%, 04/15/2022		45		60
Cox Communications
4.800%, 02/01/2035 (C)		90		89
Daimler Finance North America LLC
2.375%, 08/01/2018 (C)		435		442
1.125%, 03/10/2017 (C)		555		555
Discovery Communications
4.900%, 03/11/2026		325		353
4.875%, 04/01/2043		125		119
ERAC USA Finance
3.300%, 12/01/2026 (C)		525		540
Ford Motor Credit
5.875%, 08/02/2021		550		628
3.000%, 06/12/2017		500		505
2.597%, 11/04/2019		480		488
1.461%, 03/27/2017		500		501
Ford Motor Credit LLC
3.219%, 01/09/2022		305		313
2.375%, 03/12/2019		200		202
1.684%, 09/08/2017		200		200
General Motors
6.250%, 10/02/2043		160		189
5.000%, 04/01/2035		245		254
4.875%, 10/02/2023		315		341
General Motors Financial
5.250%, 03/01/2026		535		588
4.200%, 03/01/2021		930		979
3.700%, 05/09/2023		675		686
3.450%, 04/10/2022		380		385
3.200%, 07/13/2020		118		121
Grupo Televisa
6.125%, 01/31/2046		210		230
5.000%, 05/13/2045		225		215
Home Depot
4.250%, 04/01/2046		48		55
3.750%, 02/15/2024		66		73
Hyundai Capital America
2.125%, 10/02/2017 (C)		60		60


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Hyundai Capital America MTN
2.400%, 10/30/2018 (C)	$	38	$	39
Lowe’s MTN
7.110%, 05/15/2037		110		156
Lowe’s
5.125%, 11/15/2041		11		14
McDonald’s MTN
5.350%, 03/01/2018		100		106
4.875%, 12/09/2045		515		598
3.700%, 01/30/2026		404		435
2.750%, 12/09/2020		230		239
NBCUniversal Enterprise
1.974%, 04/15/2019 (C)		200		203
NBCUniversal Media
5.950%, 04/01/2041		50		67
4.375%, 04/01/2021		120		134
Newell Brands
5.500%, 04/01/2046		218		264
4.200%, 04/01/2026		340		370
3.850%, 04/01/2023		545		580
3.150%, 04/01/2021		60		62
QVC
5.950%, 03/15/2043		10		9
Scripps Networks Interactive
3.900%, 11/15/2024		185		194
3.500%, 06/15/2022		213		222
2.800%, 06/15/2020		240		246
Time Warner
7.700%, 05/01/2032		530		754
7.625%, 04/15/2031		385		546
7.570%, 02/01/2024		30		39
5.375%, 10/15/2041		302		357
3.550%, 06/01/2024		385		409
Time Warner Cable
8.250%, 04/01/2019		200		230
7.300%, 07/01/2038		110		141
6.750%, 07/01/2018		40		43
6.550%, 05/01/2037		205		243
5.875%, 11/15/2040		130		144
5.500%, 09/01/2041		44		47
5.000%, 02/01/2020		320		347
Toyota Motor Credit MTN
2.100%, 01/17/2019		174		177
1.250%, 10/05/2017		250		250
Viacom
4.850%, 12/15/2034		239		244
4.250%, 09/01/2023		30		32
3.875%, 04/01/2024		30		31
3.450%, 10/04/2026		190		189
2.250%, 02/04/2022		280		279
Volkswagen International Finance
1.125%, 11/18/2016 (C)		580		580


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
WPP Finance
5.125%, 09/07/2042	$	60	$	67

				23,411


Consumer Staples — 2.1%
Altria Group
5.375%, 01/31/2044		190		239
4.750%, 05/05/2021		230		260
2.850%, 08/09/2022		550		574
Anheuser-Busch InBev Finance
4.900%, 02/01/2046		2,065		2,457
3.650%, 02/01/2026		2,968		3,188
3.300%, 02/01/2023		945		997
2.650%, 02/01/2021		150		155
Anheuser-Busch InBev Worldwide
7.750%, 01/15/2019		18		20
3.750%, 07/15/2042		230		230
2.500%, 07/15/2022		420		428
1.375%, 07/15/2017		105		105
Coca-Cola
1.550%, 09/01/2021		305		304
Coca-Cola Femsa
2.375%, 11/26/2018		400		407
Costco Wholesale
2.250%, 02/15/2022		56		58
CVS Health
5.125%, 07/20/2045		535		655
3.875%, 07/20/2025		89		97
3.500%, 07/20/2022		110		118
2.750%, 12/01/2022		510		525
CVS Pass-Through Trust
5.926%, 01/10/2034 (C)		85		101
Diageo Investment
2.875%, 05/11/2022		580		609
Kraft Heinz Foods
6.875%, 01/26/2039		49		68
6.500%, 02/09/2040		140		188
6.125%, 08/23/2018		225		244
5.375%, 02/10/2020		16		18
5.200%, 07/15/2045		450		532
5.000%, 07/15/2035		100		116
5.000%, 06/04/2042		35		40
4.375%, 06/01/2046		455		481
3.950%, 07/15/2025		370		400
3.500%, 06/06/2022		820		871
3.500%, 07/15/2022		325		345
3.000%, 06/01/2026		440		444
2.800%, 07/02/2020		710		736
Kroger
7.500%, 04/01/2031		50		71
5.400%, 07/15/2040		14		17
2.950%, 11/01/2021		235		245


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
2.200%, 01/15/2017	$	40	$	40
Molson Coors Brewing
3.000%, 07/15/2026		435		438
Mondelez International
4.000%, 02/01/2024		140		154
PepsiCo
7.900%, 11/01/2018		11		12
4.250%, 10/22/2044		100		114
4.000%, 03/05/2042		50		54
3.100%, 07/17/2022		59		63
3.000%, 08/25/2021		31		33
1.250%, 08/13/2017		72		72
Pernod Ricard
4.450%, 01/15/2022 (C)		370		408
2.950%, 01/15/2017 (C)		825		828
Philip Morris International
4.500%, 03/20/2042		110		124
4.250%, 11/10/2044		295		327
2.500%, 08/22/2022		250		257
2.125%, 05/10/2023		390		389
Reynolds American
8.125%, 06/23/2019		370		433
5.850%, 08/15/2045		625		813
5.700%, 08/15/2035		220		272
3.250%, 06/12/2020		54		57
Skandinaviska Enskilda Banken
1.875%, 09/13/2021		670		665
Tyson Foods
5.150%, 08/15/2044		210		247
3.950%, 08/15/2024		60		65
Walgreens Boots Alliance
4.800%, 11/18/2044		630		695
3.450%, 06/01/2026		1,070		1,111
3.300%, 11/18/2021		377		399
Wal-Mart Stores
5.625%, 04/15/2041		20		27
4.750%, 10/02/2043		200		247
4.300%, 04/22/2044		905		1,063
3.300%, 04/22/2024		60		65
Wm Wrigley Jr
3.375%, 10/21/2020 (C)		455		482
2.900%, 10/21/2019 (C)		566		586
2.400%, 10/21/2018 (C)		210		213
2.000%, 10/20/2017 (C)		115		116

				27,212


Energy — 2.5%
Anadarko Finance, Ser B
7.500%, 05/01/2031		60		74
Anadarko Petroleum
6.450%, 09/15/2036		110		129
6.375%, 09/15/2017		9		9


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
4.500%, 07/15/2044	$	125	$	115
Apache
5.100%, 09/01/2040		120		124
4.250%, 01/15/2044		245		238
3.250%, 04/15/2022		109		112
BG Energy Capital PLC
4.000%, 10/15/2021 (C)		575		629
Boardwalk Pipelines
5.875%, 11/15/2016		350		352
BP Capital Markets PLC
3.994%, 09/26/2023		95		104
3.506%, 03/17/2025		90		95
3.245%, 05/06/2022		90		95
3.119%, 05/04/2026		130		133
3.062%, 03/17/2022		50		52
1.846%, 05/05/2017		172		173
Canadian Natural Resources
6.450%, 06/30/2033		50		57
Chevron
3.191%, 06/24/2023		22		23
2.954%, 05/16/2026		550		568
2.355%, 12/05/2022		15		15
2.100%, 05/16/2021		1,100		1,118
1.561%, 05/16/2019		619		622
Cimarex Energy
4.375%, 06/01/2024		285		298
CNOOC Finance
3.500%, 05/05/2025		450		463
CNOOC Nexen Finance
4.250%, 04/30/2024		200		216
Conoco Funding
7.250%, 10/15/2031		130		172
ConocoPhillips
6.000%, 01/15/2020		100		113
4.150%, 11/15/2034		460		459
Devon Energy
5.850%, 12/15/2025		150		169
5.600%, 07/15/2041		110		111
5.000%, 06/15/2045		190		185
4.750%, 05/15/2042		17		16
3.250%, 05/15/2022		137		136
Devon Financing LLC
7.875%, 09/30/2031		40		50
Ecopetrol
5.875%, 05/28/2045		420		385
4.125%, 01/16/2025		43		42
Enbridge Energy Partners
5.875%, 10/15/2025 (E)		200		230
Energy Transfer Partners
8.250%, 11/15/2029		675		823
6.125%, 12/15/2045		685		715
5.150%, 03/15/2045		14		13


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
4.750%, 01/15/2026	$	210	$	217
3.600%, 02/01/2023		45		44
2.500%, 06/15/2018		275		277
Enterprise Products Operating
6.450%, 09/01/2040		50		60
5.700%, 02/15/2042		40		45
Enterprise Products Operating LLC
5.950%, 02/01/2041		85		98
5.100%, 02/15/2045		175		188
EOG Resources
4.150%, 01/15/2026		225		246
Exxon Mobil
4.114%, 03/01/2046		426		476
3.043%, 03/01/2026		220		231
2.397%, 03/06/2022		100		103
Florida Gas Transmission
7.900%, 05/15/2019 (C)		350		397
Gulfstream Natural Gas System
5.950%, 10/15/2045 (C)		155		170
Halliburton
5.000%, 11/15/2045		523		571
3.800%, 11/15/2025		190		196
3.500%, 08/01/2023		50		52
Hess
5.800%, 04/01/2047		280		286
Kerr-McGee
7.875%, 09/15/2031		100		124
6.950%, 07/01/2024		298		358
Kinder Morgan
5.550%, 06/01/2045		450		462
5.300%, 12/01/2034		95		95
4.300%, 06/01/2025		1,380		1,434
Magellan Midstream Partners
5.000%, 03/01/2026		155		177
Marathon Petroleum
5.850%, 12/15/2045		165		168
5.000%, 09/15/2054		45		39
Noble Energy
6.000%, 03/01/2041		135		146
5.250%, 11/15/2043		60		61
5.050%, 11/15/2044		29		29
4.150%, 12/15/2021		230		245
3.900%, 11/15/2024		150		153
Occidental Petroleum
4.625%, 06/15/2045		130		147
3.500%, 06/15/2025		45		48
2.700%, 02/15/2023		129		132
Petrobras Global Finance
6.850%, 06/05/2115		200		169
6.250%, 03/17/2024		310		301
Petrobras International Finance
5.375%, 01/27/2021		1,060		1,048


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Petro-Canada
6.800%, 05/15/2038	$	475	$	624
Petrofac
3.400%, 10/10/2018 (C)		250		251
Petroleos Mexicanos
6.625%, 06/15/2035		350		356
6.375%, 01/23/2045		530		506
5.500%, 06/27/2044		30		26
4.875%, 01/18/2024		32		32
2.460%, 12/15/2025		632		649
2.378%, 04/15/2025		320		327
Petroleos Mexicanos MTN
6.875%, 08/04/2026 (C)		405		457
6.750%, 09/21/2047 (C)		355		355
5.625%, 01/23/2046		332		290
Phillips 66
5.875%, 05/01/2042		35		44
Pride International
6.875%, 08/15/2020		30		30
Schlumberger Holdings
4.000%, 12/21/2025 (C)		120		131
3.000%, 12/21/2020 (C)		1,000		1,043
Schlumberger Investment
3.650%, 12/01/2023		61		66
3.300%, 09/14/2021 (C)		47		50
Shell International Finance
4.375%, 03/25/2020		140		153
4.375%, 05/11/2045		515		556
4.125%, 05/11/2035		2,031		2,178
4.000%, 05/10/2046		430		440
3.750%, 09/12/2046		250		247
3.400%, 08/12/2023		465		496
2.875%, 05/10/2026		734		745
2.500%, 09/12/2026		85		84
2.125%, 05/11/2020		56		57
Sinopec Group Overseas Development
4.375%, 04/10/2024 (C)		380		420
Spectra Energy Partners
5.950%, 09/25/2043		30		35
4.500%, 03/15/2045		400		401
Statoil
5.250%, 04/15/2019		140		153
3.700%, 03/01/2024		210		228
TC PipeLines
4.650%, 06/15/2021		85		89
Total Capital International
3.700%, 01/15/2024		42		46
2.875%, 02/17/2022		505		530
TransCanada Pipelines
4.625%, 03/01/2034		470		518
Transcontinental Gas Pipe Line
7.850%, 02/01/2026 (C)		550		713


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Transocean
6.800%, 12/15/2016	$	70	$	70
3.750%, 10/15/2017		260		261
Valero Energy
3.400%, 09/15/2026		475		472
Western Gas Partners
5.375%, 06/01/2021		25		27
4.000%, 07/01/2022		35		36
Williams
7.875%, 09/01/2021		260		301
Williams Partners
5.100%, 09/15/2045		55		54
4.000%, 09/15/2025		180		180

				33,153


Financials — 8.7%
AIG Global Funding MTN
1.650%, 12/15/2017 (C)		42		42
American Express
7.000%, 03/19/2018		170		183
American Express Credit MTN
2.375%, 05/26/2020		64		65
2.250%, 08/15/2019		625		638
1.875%, 11/05/2018		44		44
1.800%, 07/31/2018		65		65
American International Group
6.250%, 05/01/2036		270		333
4.125%, 02/15/2024		107		115
3.900%, 04/01/2026		751		795
3.875%, 01/15/2035		30		29
Aon
6.250%, 09/30/2040		19		24
3.500%, 06/14/2024		65		68
Bank of America MTN
6.875%, 04/25/2018		175		189
6.400%, 08/28/2017		150		157
5.650%, 05/01/2018		1,100		1,167
5.625%, 07/01/2020		30		34
5.000%, 05/13/2021		410		458
5.000%, 01/21/2044		450		530
4.450%, 03/03/2026		1,329		1,426
4.250%, 10/22/2026		47		50
4.200%, 08/26/2024		700		741
4.125%, 01/22/2024		290		315
4.100%, 07/24/2023		340		368
4.000%, 04/01/2024		290		313
4.000%, 01/22/2025		683		708
3.950%, 04/21/2025		123		127
3.875%, 08/01/2025		190		203
3.500%, 04/19/2026		744		773
3.300%, 01/11/2023		440		455
2.600%, 01/15/2019		160		163


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
2.250%, 04/21/2020	$	100	$	101
Bank of America
6.100%, 06/15/2017		2,600		2,684
6.000%, 09/01/2017		565		588
5.750%, 12/01/2017		70		73
5.700%, 01/24/2022		5		6
5.420%, 03/15/2017		200		203
Bank of Montreal MTN
2.375%, 01/25/2019		55		56
1.400%, 09/11/2017		53		53
Bank of New York Mellon MTN
4.600%, 01/15/2020		40		44
3.250%, 09/11/2024		100		106
2.500%, 04/15/2021		327		336
2.450%, 08/17/2026		585		581
2.200%, 03/04/2019		425		433
2.200%, 08/16/2023		780		778
Bank of New York Mellon
3.550%, 09/23/2021		34		37
3.400%, 05/15/2024		1,075		1,150
Bank of Nova Scotia
1.850%, 04/14/2020		160		162
Bank of Tokyo-Mitsubishi
4.100%, 09/09/2023 (C)		200		220
BB&T
5.250%, 11/01/2019		200		221
Bear Stearns
7.250%, 02/01/2018		1,500		1,611
Berkshire Hathaway
3.750%, 08/15/2021		500		547
3.400%, 01/31/2022		65		70
3.125%, 03/15/2026		1,425		1,498
Berkshire Hathaway Finance
5.400%, 05/15/2018		110		117
4.400%, 05/15/2042		316		359
BNP Paribas MTN
4.375%, 09/28/2025 (C)		460		471
2.700%, 08/20/2018		380		387
2.375%, 09/14/2017		110		111
BPCE
5.150%, 07/21/2024 (C)		200		210
Capital One Bank USA
1.200%, 02/13/2017		750		749
Capital One Financial
4.750%, 07/15/2021		50		56
4.200%, 10/29/2025		429		448
3.750%, 07/28/2026		300		301
Chubb INA Holdings
4.350%, 11/03/2045		330		381
3.350%, 05/03/2026		495		530
3.150%, 03/15/2025		74		78
2.875%, 11/03/2022		39		41


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
2.300%, 11/03/2020	$	50	$	51
Citigroup
8.125%, 07/15/2039		370		582
5.500%, 09/13/2025		269		307
5.300%, 05/06/2044		40		45
4.650%, 07/30/2045		480		542
4.600%, 03/09/2026		450		481
4.500%, 01/14/2022		380		420
4.450%, 09/29/2027		1,240		1,298
4.400%, 06/10/2025		270		286
4.300%, 11/20/2026		60		63
3.700%, 01/12/2026		595		628
3.500%, 05/15/2023		130		134
3.400%, 05/01/2026		260		269
3.300%, 04/27/2025		120		123
2.500%, 09/26/2018		990		1,006
2.150%, 07/30/2018		71		72
1.700%, 04/27/2018		160		160
1.550%, 08/14/2017		805		806
1.375%, 08/25/2036 (B)		1,500		1,098
CME Group
3.000%, 03/15/2025		51		54
Commonwealth Bank of Australia
2.250%, 03/16/2017 (C)		250		251
Cooperatieve Rabobank UA MTN
4.625%, 12/01/2023		530		572
3.875%, 02/08/2022		30		33
3.750%, 07/21/2026		765		766
3.375%, 01/19/2017		370		373
Credit Agricole
8.375%, 12/31/2049 (B)(C)		170		192
Credit Suisse Group Funding Guernsey
4.875%, 05/15/2045		280		296
4.550%, 04/17/2026 (C)		405		425
3.800%, 06/09/2023 (C)		600		608
3.450%, 04/16/2021 (C)		330		337
Discover Bank
3.100%, 06/04/2020		500		514
Discover Financial Services
6.450%, 06/12/2017		250		258
Farmers Exchange Capital
7.200%, 07/15/2048 (C)		1,021		1,204
Fifth Third Bancorp
2.300%, 03/01/2019		30		30
Fifth Third Bank
2.875%, 10/01/2021		200		209
Goldman Sachs Group
6.750%, 10/01/2037		457		582
6.250%, 02/01/2041		300		392
6.150%, 04/01/2018		780		831
5.750%, 01/24/2022		300		348
5.150%, 05/22/2045		140		153


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
4.750%, 10/21/2045	$	511	$	573
4.250%, 10/21/2025		420		442
3.750%, 02/25/2026		340		357
2.900%, 07/19/2018		220		225
2.750%, 09/15/2020		35		36
2.625%, 04/25/2021		750		762
2.375%, 01/22/2018		520		526
2.350%, 11/15/2027		880		878
Goldman Sachs Group MTN
7.500%, 02/15/2019		710		802
6.000%, 06/15/2020		880		1,001
5.375%, 03/15/2020		950		1,052
4.000%, 03/03/2024		200		215
3.850%, 07/08/2024		121		128
Guardian Life Global Funding MTN
2.000%, 04/26/2021 (C)		700		707
HBOS PLC MTN
6.750%, 05/21/2018 (C)		200		214
HSBC Bank PLC
4.125%, 08/12/2020 (C)		100		107
HSBC Finance
6.676%, 01/15/2021		850		978
HSBC Holdings PLC
4.875%, 01/14/2022		100		111
4.300%, 03/08/2026		760		814
4.250%, 03/14/2024		370		382
4.250%, 08/18/2025		250		257
4.000%, 03/30/2022		206		219
3.900%, 05/25/2026		415		430
3.400%, 03/08/2021		390		403
2.650%, 01/05/2022		1,220		1,216
HSBC USA
2.350%, 03/05/2020		100		101
ING Bank
5.800%, 09/25/2023 (C)		430		481
2.050%, 08/15/2021 (C)		830		831
Intercontinental Exchange
4.000%, 10/15/2023		65		71
2.500%, 10/15/2018		85		87
International Lease Finance
7.125%, 09/01/2018 (C)		500		546
Intesa Sanpaolo MTN
5.017%, 06/26/2024 (C)		510		465
Jackson National Life Global Funding
3.050%, 04/29/2026 (C)		427		434
JPMorgan Chase
4.950%, 06/01/2045		240		269
4.500%, 01/24/2022		660		731
4.125%, 12/15/2026		520		555
3.875%, 09/10/2024		20		21
3.625%, 05/13/2024		230		245
3.250%, 09/23/2022		240		252


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
3.200%, 01/25/2023	$	100	$	104
2.950%, 10/01/2026		1,431		1,435
2.700%, 05/18/2023		1,285		1,298
2.400%, 06/07/2021		555		561
2.250%, 01/23/2020		905		917
JPMorgan Chase MTN
2.295%, 08/15/2021		880		882
JPMorgan Chase Bank
6.000%, 10/01/2017		1,927		2,010
JPMorgan Chase Capital XIII
1.788%, 09/30/2034 (B)		500		410
KFW
1.000%, 07/15/2019		973		969
KKR Group Finance II
5.500%, 02/01/2043 (C)		20		21
Lazard Group LLC
4.250%, 11/14/2020		345		370
3.750%, 02/13/2025		675		679
Liberty Mutual Insurance
8.500%, 05/15/2025 (C)		100		127
Lloyds Banking Group
3.100%, 07/06/2021		490		501
Lloyds TSB Bank MTN
5.800%, 01/13/2020 (C)		310		346
Macquarie Bank
5.000%, 02/22/2017 (C)		170		172
Macquarie Group
6.250%, 01/14/2021 (C)		166		189
Marsh & McLennan
3.750%, 03/14/2026		415		449
Massachusetts Mutual Life Insurance
8.875%, 06/01/2039 (C)		295		464
MetLife
6.400%, 12/15/2036		915		1,013
5.700%, 06/15/2035		15		18
4.600%, 05/13/2046		292		316
Metropolitan Life Global Funding
1.500%, 01/10/2018 (C)		313		314
Metropolitan Life Global Funding I
3.875%, 04/11/2022 (C)		500		543
1.950%, 09/15/2021 (C)		600		599
1.550%, 09/13/2019 (C)		405		404
Mitsubishi UFJ Financial Group
2.757%, 09/13/2026		705		704
Mizuho Bank
1.800%, 03/26/2018 (C)		200		200
Morgan Stanley MTN
7.300%, 05/13/2019		320		364
6.625%, 04/01/2018		2,050		2,197
5.950%, 12/28/2017		200		211
5.625%, 09/23/2019		350		388
5.550%, 04/27/2017		100		102


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
5.450%, 01/09/2017	$	470	$	475
4.000%, 07/23/2025		732		787
3.125%, 07/27/2026		1,120		1,127
2.500%, 04/21/2021		1,443		1,461
Murray Street Investment Trust I
4.647%, 03/09/2017 (D)		612		618
National City
6.875%, 05/15/2019		50		56
National City Bank
1.203%, 06/07/2017 (B)		600		600
Nationwide Mutual Insurance
3.140%, 12/15/2024 (B)(C)		760		745
New York Life Global Funding
2.350%, 07/14/2026 (C)		700		696
2.150%, 06/18/2019 (C)		73		75
New York Life Insurance
6.750%, 11/15/2039 (C)		255		353
2.100%, 01/02/2019 (C)		330		335
Nordea Bank MTN
1.625%, 05/15/2018 (C)		220		221
Nordea Bank
4.875%, 05/13/2021 (C)		250		278
Northwestern Mutual Life Insurance
6.063%, 03/30/2040 (C)		430		556
Pacific Life Global Funding MTN
5.000%, 05/15/2017 (C)		50		51
Pipeline Funding
7.500%, 01/15/2030 (C)		441		521
PNC Bank MTN
2.400%, 10/18/2019		400		410
PNC Bank
2.250%, 07/02/2019		325		331
Pricoa Global Funding MTN
1.600%, 05/29/2018 (C)		150		151
Progressive
2.450%, 01/15/2027		255		254
Protective Life Global Funding
1.722%, 04/15/2019 (C)		870		873
Prudential Financial MTN
5.625%, 05/12/2041		10		12
Prudential Insurance of America
8.300%, 07/01/2025 (C)		150		201
Royal Bank of Canada MTN
1.200%, 01/23/2017		60		60
Royal Bank of Canada
2.300%, 03/22/2021		15		15
2.000%, 10/01/2018		183		185
1.875%, 02/05/2020		180		182
1.200%, 09/19/2017		140		140
Royal Bank of Scotland
4.650%, 06/04/2018		350		359


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Santander Holdings USA
3.450%, 08/27/2018	$	230	$	236
Santander UK Group Holdings
2.875%, 08/05/2021		200		200
Stadshypotek
1.875%, 10/02/2019 (C)		520		525
Standard Chartered
5.700%, 03/26/2044 (C)		560		596
State Street
4.956%, 03/15/2018		270		282
3.700%, 11/20/2023		138		151
3.300%, 12/16/2024		70		75
Svenska Handelsbanken MTN
1.875%, 09/07/2021		675		671
Synchrony Financial
3.700%, 08/04/2026		530		526
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (C)		150		204
4.900%, 09/15/2044 (C)		305		343
Toronto-Dominion Bank MTN
1.750%, 07/23/2018		72		72
Toronto-Dominion Bank
2.250%, 03/15/2021 (C)		1,125		1,149
Trinity Acquisition
4.400%, 03/15/2026		125		131
UBS MTN
1.800%, 03/26/2018		445		446
1.375%, 06/01/2017		350		350
UBS Group Funding Jersey
4.125%, 04/15/2026 (C)		345		363
2.650%, 02/01/2022 (C)		825		823
US Bancorp MTN
2.950%, 07/15/2022		25		26
2.375%, 07/22/2026		760		751
US Bank
2.125%, 10/28/2019		260		265
Visa
4.300%, 12/14/2045		120		139
3.150%, 12/14/2025		360		380
2.800%, 12/14/2022		840		881
2.200%, 12/14/2020		80		82
Voya Financial
4.800%, 06/15/2046		50		50
Wachovia Capital Trust III
5.570%, 12/31/2049 (B)		450		449
WEA Finance
3.750%, 09/17/2024 (C)		210		221
3.250%, 10/05/2020 (C)		435		453
1.750%, 09/15/2017 (C)		1,250		1,252
Wells Fargo MTN
4.900%, 11/17/2045		384		423


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
4.650%, 11/04/2044	$	121	$	127
4.300%, 07/22/2027		533		574
4.125%, 08/15/2023		900		963
3.500%, 03/08/2022		430		456
3.450%, 02/13/2023		230		237
3.000%, 01/22/2021		575		596
2.550%, 12/07/2020		46		47
2.150%, 01/30/2020		70		71
1.650%, 01/22/2018		585		587
Wells Fargo
6.000%, 11/15/2017		590		620
3.000%, 04/22/2026		920		929
2.125%, 04/22/2019		70		71
2.100%, 07/26/2021		945		942
Westpac Banking
4.875%, 11/19/2019		170		186
2.700%, 08/19/2026		345		342
2.450%, 11/28/2016 (C)		200		200
2.000%, 08/19/2021		860		859

				112,825


Health Care — 2.9%
AbbVie
4.500%, 05/14/2035		395		421
4.450%, 05/14/2046		300		313
4.400%, 11/06/2042		270		281
3.600%, 05/14/2025		520		544
3.200%, 11/06/2022		44		46
3.200%, 05/14/2026		665		673
2.900%, 11/06/2022		10		10
2.500%, 05/14/2020		690		703
1.800%, 05/14/2018		500		502
1.750%, 11/06/2017		120		120
Actavis
3.250%, 10/01/2022		13		14
Actavis Funding SCS
4.750%, 03/15/2045		610		667
4.550%, 03/15/2035		260		276
3.800%, 03/15/2025		1,747		1,849
3.450%, 03/15/2022		745		782
Aetna
3.200%, 06/15/2026		210		214
2.800%, 06/15/2023		1,875		1,915
2.400%, 06/15/2021		140		142
2.200%, 03/15/2019		180		183
Amgen
5.150%, 11/15/2041		760		866
4.663%, 06/15/2051 (C)		564		602
4.400%, 05/01/2045		557		585
3.875%, 11/15/2021		150		163
3.625%, 05/22/2024		30		32
2.600%, 08/19/2026		390		383


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
2.125%, 05/01/2020	$	22	$	22
Anthem
4.625%, 05/15/2042		41		44
3.500%, 08/15/2024		90		95
3.125%, 05/15/2022		468		487
2.300%, 07/15/2018		65		66
AstraZeneca
3.375%, 11/16/2025		500		534
Baxalta
3.600%, 06/23/2022		627		659
2.875%, 06/23/2020		500		513
Bayer US Finance
3.375%, 10/08/2024 (C)		200		207
Becton Dickinson
4.685%, 12/15/2044		110		125
3.734%, 12/15/2024		166		180
2.675%, 12/15/2019		297		307
Biogen
5.200%, 09/15/2045		588		692
3.625%, 09/15/2022		170		182
Celgene
5.250%, 08/15/2043		40		45
5.000%, 08/15/2045		1,072		1,207
3.875%, 08/15/2025		260		278
3.625%, 05/15/2024		69		73
3.550%, 08/15/2022		60		64
2.875%, 08/15/2020		275		285
1.900%, 08/15/2017		63		63
EMD Finance
2.400%, 03/19/2020 (C)		670		681
Express Scripts Holding
4.800%, 07/15/2046		269		279
3.400%, 03/01/2027		550		553
Forest Laboratories
5.000%, 12/15/2021 (C)		35		39
Gilead Sciences
5.650%, 12/01/2041		35		43
4.750%, 03/01/2046		340		380
4.500%, 02/01/2045		20		21
4.150%, 03/01/2047		500		511
3.700%, 04/01/2024		350		377
3.650%, 03/01/2026		150		161
3.250%, 09/01/2022		296		314
2.950%, 03/01/2027		550		556
GlaxoSmithKline Capital PLC
2.850%, 05/08/2022		170		179
1.500%, 05/08/2017		160		160
Humana
7.200%, 06/15/2018		159		174
4.625%, 12/01/2042		40		42
3.850%, 10/01/2024		680		729
3.150%, 12/01/2022		390		405


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Johnson & Johnson
4.500%, 12/05/2043	$	250	$	314
3.700%, 03/01/2046		170		189
3.550%, 03/01/2036		410		455
2.450%, 03/01/2026		109		112
Medtronic
4.625%, 03/15/2045		60		71
4.375%, 03/15/2035		76		86
3.625%, 03/15/2024		170		185
3.500%, 03/15/2025		270		291
3.150%, 03/15/2022		65		69
Merck
2.750%, 02/10/2025		130		135
2.400%, 09/15/2022		29		30
2.350%, 02/10/2022		466		480
Mylan
2.550%, 03/28/2019		305		309
2.500%, 06/07/2019 (C)		900		908
New York and Presbyterian Hospital
3.563%, 08/01/2036		730		764
Northwell Healthcare
3.979%, 11/01/2046		550		556
Perrigo Finance Unlimited
4.375%, 03/15/2026		675		704
Pfizer
6.200%, 03/15/2019		120		134
Shire Acquisitions Investments Ireland
3.200%, 09/23/2026		615		618
2.875%, 09/23/2023		685		689
1.900%, 09/23/2019		585		585
Stryker
4.625%, 03/15/2046		675		757
Teva Pharmaceutical Finance Netherlands III BV
3.150%, 10/01/2026		425		427
2.800%, 07/21/2023		700		702
2.200%, 07/21/2021		705		702
Thermo Fisher Scientific
3.300%, 02/15/2022		465		487
2.950%, 09/19/2026		540		536
UnitedHealth Group
4.625%, 07/15/2035		363		422
3.875%, 10/15/2020		180		195
3.750%, 07/15/2025		70		77
3.375%, 11/15/2021		75		80
3.350%, 07/15/2022		28		30
3.100%, 03/15/2026		425		444
2.875%, 12/15/2021		365		385
2.875%, 03/15/2023		50		52
Wyeth LLC
5.950%, 04/01/2037		130		174

				37,172


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Industrials — 1.8%
3M MTN
2.250%, 09/19/2026	$	250	$	250
ABB Finance USA
4.375%, 05/08/2042		30		34
American Airlines Pass-Through Trust, Ser 2013-2
4.950%, 01/15/2023		799		869
AP Moeller - Maersk
3.875%, 09/28/2025 (C)		275		278
Aviation Capital Group
6.750%, 04/06/2021 (C)		180		212
BAE Systems
4.750%, 10/11/2021 (C)		750		834
Boeing
4.875%, 02/15/2020		210		235
Burlington Northern Santa Fe
7.290%, 06/01/2036		90		132
5.750%, 03/15/2018		950		1,012
5.400%, 06/01/2041		50		64
4.150%, 04/01/2045		165		182
3.450%, 09/15/2021		91		98
Canadian Pacific Railway
6.125%, 09/15/2115		44		54
Caterpillar Financial Services MTN
2.750%, 08/20/2021		405		423
Catholic Health Initiatives
4.350%, 11/01/2042		30		30
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl A-1
7.256%, 03/15/2020		141		152
Continental Airlines Pass-Through Trust, Ser 2000-1, Cl A-1
8.048%, 11/01/2020		191		214
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		633		714
Continental Airlines Pass-Through Trust, Ser 2009-2, Cl A
7.250%, 11/10/2019		138		158
CSX
6.250%, 03/15/2018		155		166
3.950%, 05/01/2050		21		21
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A
6.821%, 08/10/2022		105		125
Delta Air Lines Pass-Through Trust, Ser 2010-1, Cl A
6.200%, 07/02/2018		288		306
Eaton
7.625%, 04/01/2024		75		94
4.150%, 11/02/2042		110		118


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
2.750%, 11/02/2022	$	450	$	465
1.500%, 11/02/2017		60		60
FedEx
4.550%, 04/01/2046		440		489
GE Capital International Funding
4.418%, 11/15/2035		1,630		1,829
2.342%, 11/15/2020		695		714
General Electric
4.500%, 03/11/2044		635		731
2.100%, 12/11/2019		30		31
General Electric MTN
6.875%, 01/10/2039		175		264
6.150%, 08/07/2037		254		349
6.000%, 08/07/2019		185		209
5.875%, 01/14/2038		159		213
5.625%, 09/15/2017		100		104
5.500%, 01/08/2020		180		203
5.400%, 02/15/2017		200		203
5.300%, 02/11/2021		109		125
4.650%, 10/17/2021		140		160
4.625%, 01/07/2021		135		152
4.375%, 09/16/2020		10		11
3.100%, 01/09/2023		100		106
2.300%, 04/27/2017		45		45
2.200%, 01/09/2020		43		44
1.297%, 08/15/2036 (B)		850		727
1.158%, 05/05/2026 (B)		155		151
Lockheed Martin
4.700%, 05/15/2046		260		309
4.070%, 12/15/2042		91		97
3.550%, 01/15/2026		880		951
3.350%, 09/15/2021		575		616
2.500%, 11/23/2020		445		459
Mexico City Airport Trust
5.500%, 10/31/2046 (C)		480		471
Northrop Grumman
3.850%, 04/15/2045		176		183
3.250%, 08/01/2023		1,930		2,062
Penske Truck Leasing L.P.
3.375%, 02/01/2022 (C)		316		329
3.200%, 07/15/2020 (C)		410		424
Siemens Financieringsmaatschappij
2.900%, 05/27/2022 (C)		760		796
2.350%, 10/15/2026 (C)		555		548
Union Pacific
4.050%, 03/01/2046		325		358
United Technologies
8.875%, 11/15/2019		110		134
4.150%, 05/15/2045		59		65
US Airways Pass-Through Trust, Ser 1998-1A
6.850%, 01/30/2018		434		447


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Valmont Industries
5.250%, 10/01/2054	$	255	$	239
Waste Management
4.600%, 03/01/2021		90		100
3.500%, 05/15/2024		90		97

				22,845


Information Technology — 1.5%
Apple
4.650%, 02/23/2046		270		312
4.375%, 05/13/2045		400		441
3.850%, 05/04/2043		740		756
3.850%, 08/04/2046		795		813
3.450%, 02/09/2045		31		30
3.200%, 05/13/2025		64		68
2.850%, 05/06/2021		113		119
2.450%, 08/04/2026		670		671
2.150%, 02/09/2022		82		83
1.009%, 05/03/2018 (B)		69		69
Cisco Systems
2.200%, 09/20/2023		850		857
1.850%, 09/20/2021		1,925		1,937
1.400%, 09/20/2019		1,040		1,041
Diamond 1 Finance
6.020%, 06/15/2026 (C)		300		329
4.420%, 06/15/2021 (C)		280		293
3.480%, 06/01/2019 (C)		350		360
Fidelity National Information Services
4.500%, 08/15/2046		333		333
3.625%, 10/15/2020		415		440
2.850%, 10/15/2018		515		529
2.250%, 08/15/2021		295		297
Harris
5.054%, 04/27/2045		60		69
Hewlett Packard Enterprise
6.350%, 10/15/2045 (C)		575		593
4.900%, 10/15/2025 (C)		235		251
Intel
3.700%, 07/29/2025		83		92
3.300%, 10/01/2021		35		38
3.100%, 07/29/2022		35		37
KLA-Tencor
4.125%, 11/01/2021		370		398
Mastercard
3.375%, 04/01/2024		250		269
Microsoft
4.750%, 11/03/2055		43		50
4.200%, 11/03/2035		301		336
4.000%, 02/12/2055		24		25
3.950%, 08/08/2056		170		172
3.750%, 02/12/2045		330		335
3.700%, 08/08/2046		370		374




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
3.625%, 12/15/2023	$	89	$	98
3.500%, 02/12/2035		557		570
3.450%, 08/08/2036		280		285
2.400%, 08/08/2026		825		826
2.375%, 02/12/2022		20		21
2.375%, 05/01/2023		20		20
2.000%, 08/08/2023		1,115		1,113
Oracle
4.000%, 07/15/2046		230		238
3.900%, 05/15/2035		780		806
3.850%, 07/15/2036		225		234
2.650%, 07/15/2026		115		115
2.400%, 09/15/2023		1,850		1,865
1.900%, 09/15/2021		510		511
1.200%, 10/15/2017		250		250
TSMC Global
1.625%, 04/03/2018 (C)		460		461

				20,230


Materials — 0.7%
Air Liquide Finance
2.500%, 09/27/2026 (C)		385		387
2.250%, 09/27/2023 (C)		650		652
1.750%, 09/27/2021 (C)		450		449
1.375%, 09/27/2019 (C)		530		529
Barrick
5.250%, 04/01/2042		185		203
Barrick Gold
4.100%, 05/01/2023		38		41
Barrick North America Finance
5.700%, 05/30/2041		210		239
4.400%, 05/30/2021		335		367
BHP Billiton Finance USA
6.750%, 10/19/2075 (B)(C)		210		238
6.500%, 04/01/2019		125		140
5.000%, 09/30/2043		365		431
4.125%, 02/24/2042		40		42
3.250%, 11/21/2021		330		353
2.875%, 02/24/2022		30		31
2.050%, 09/30/2018		44		45
Celulosa Arauco y Constitucion
4.750%, 01/11/2022		170		182
Dow Chemical
5.250%, 11/15/2041		25		28
3.000%, 11/15/2022		1,105		1,148
Eastman Chemical
2.700%, 01/15/2020		435		446
Freeport-McMoRan
6.500%, 11/15/2020		23		24
4.000%, 11/14/2021		280		265
Glencore Finance Canada
2.700%, 10/25/2017 (C)		250		250




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Glencore Funding LLC
2.875%, 04/16/2020 (C)	$	220	$	218
2.500%, 01/15/2019 (C)		190		190
International Paper
5.150%, 05/15/2046		405		449
5.000%, 09/15/2035		285		313
Mosaic
5.625%, 11/15/2043		130		140
OCP
4.500%, 10/22/2025 (C)		290		294
Rio Tinto Finance USA
3.750%, 09/20/2021		240		259
3.750%, 06/15/2025 (E)		520		559
Southern Copper
5.250%, 11/08/2042		370		350
Teck Resources
6.250%, 07/15/2041		5		5
Vale Overseas
6.875%, 11/21/2036		220		214
5.875%, 06/10/2021		195		204

				9,685


Real Estate — 0.6%
American Tower
3.450%, 09/15/2021		465		489
Boston Properties
5.625%, 11/15/2020		450		511
DDR
4.625%, 07/15/2022		425		461
3.375%, 05/15/2023		355		358
Duke Realty
4.375%, 06/15/2022		50		55
Education Realty Operating Partnership
4.600%, 12/01/2024		505		526
ERP Operating
5.750%, 06/15/2017		125		129
4.625%, 12/15/2021		64		72
HCP
4.250%, 11/15/2023		580		609
4.000%, 12/01/2022		450		476
3.400%, 02/01/2025		57		56
2.625%, 02/01/2020		28		28
Healthcare Realty Trust
3.875%, 05/01/2025		200		207
3.750%, 04/15/2023		400		410
Highwoods Realty
5.850%, 03/15/2017		750		763
Mid-America Apartments
4.300%, 10/15/2023		140		151
4.000%, 11/15/2025		160		170
3.750%, 06/15/2024		440		459




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Post Apartment Homes
4.750%, 10/15/2017	$	700	$	722
Realty Income
3.250%, 10/15/2022		70		72
Simon Property Group
4.375%, 03/01/2021		38		42
2.150%, 09/15/2017		125		126
Tanger Properties
3.875%, 12/01/2023		175		185
3.750%, 12/01/2024		195		205
Ventas Realty
4.125%, 01/15/2026		29		31
Welltower
6.125%, 04/15/2020		525		595
4.500%, 01/15/2024		102		111

				8,019


Telecommunication Services — 1.4%
America Movil
5.625%, 11/15/2017		400		419
AT&T
6.000%, 08/15/2040		925		1,108
5.800%, 02/15/2019		210		230
5.500%, 02/01/2018		100		105
5.150%, 03/15/2042		25		27
4.800%, 06/15/2044		240		252
4.750%, 05/15/2046		535		560
4.500%, 03/09/2048 (C)		345		347
4.450%, 04/01/2024		1,055		1,160
4.350%, 06/15/2045		110		108
4.300%, 12/15/2042		200		197
3.950%, 01/15/2025		630		669
3.875%, 08/15/2021		70		76
3.800%, 03/15/2022		740		793
3.400%, 05/15/2025		2,099		2,157
3.000%, 06/30/2022		986		1,014
1.600%, 02/15/2017		45		45
Bharti Airtel
4.375%, 06/10/2025 (C)		200		207
British Telecommunications
5.950%, 01/15/2018		200		212
CenturyLink
7.650%, 03/15/2042		15		13
Deutsche Telekom International Finance
2.250%, 03/06/2017 (C)		770		773
Nippon Telegraph & Telephone
1.400%, 07/18/2017		65		65
Telefonica Emisiones
5.462%, 02/16/2021		23		26
5.134%, 04/27/2020		362		399
Verizon Communications
6.550%, 09/15/2043		272		368




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
6.400%, 09/15/2033	$	367	$	476
5.150%, 09/15/2023		900		1,048
5.050%, 03/15/2034		92		103
4.862%, 08/21/2046		752		842
4.522%, 09/15/2048		1,020		1,079
4.400%, 11/01/2034		1,382		1,462
4.272%, 01/15/2036		520		542
4.125%, 08/15/2046		380		380
3.850%, 11/01/2042		200		190
2.450%, 11/01/2022		90		91
Verizon Global Funding
5.850%, 09/15/2035		40		49
Vodafone Group PLC
2.950%, 02/19/2023		215		221

				17,813


Utilities — 2.4%
AEP Texas Central
6.650%, 02/15/2033		500		642
AEP Texas Central Transition Funding II
5.170%, 01/01/2018		415		427
American Electric Power
1.650%, 12/15/2017		423		424
Arizona Public Service
2.550%, 09/15/2026		250		252
2.200%, 01/15/2020		20		20
Berkshire Hathaway Energy
4.500%, 02/01/2045		320		357
3.750%, 11/15/2023		156		170
Boston Gas
4.487%, 02/15/2042 (C)		35		39
Carolina Power & Light
5.300%, 01/15/2019		175		191
3.000%, 09/15/2021		194		205
2.800%, 05/15/2022		25		26
Cleco Power
6.000%, 12/01/2040		700		879
Commonwealth Edison
3.700%, 03/01/2045		100		103
Consolidated Edison of New York
4.450%, 03/15/2044		690		791
3.850%, 06/15/2046		160		168
Dominion Resources
4.700%, 12/01/2044		125		138
4.104%, 04/01/2021 (D)		400		428
2.962%, 07/01/2019 (D)		175		180
2.850%, 08/15/2026		255		254
2.500%, 12/01/2019		385		394
2.000%, 08/15/2021		255		254
1.600%, 08/15/2019		345		344
DTE Energy
1.500%, 10/01/2019		395		395




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Duke Energy
4.800%, 12/15/2045	$	90	$	102
3.750%, 09/01/2046		215		208
3.550%, 09/15/2021		76		82
2.650%, 09/01/2026		490		481
1.800%, 09/01/2021		390		388
Duke Energy Carolinas
4.300%, 06/15/2020		39		43
4.250%, 12/15/2041		28		31
3.875%, 03/15/2046		180		190
2.500%, 03/15/2023		360		372
Duke Energy Florida
3.850%, 11/15/2042		215		224
3.400%, 10/01/2046		170		166
Duke Energy Indiana
4.200%, 03/15/2042		30		33
3.750%, 07/15/2020		52		56
Duke Energy Progress
4.100%, 05/15/2042		425		462
Duquesne Light Holdings
6.400%, 09/15/2020 (C)		500		579
Electricite de France
6.000%, 01/22/2114 (C)		80		87
5.250%, 10/13/2055 (C)		285		296
Emera US Finance
2.700%, 06/15/2021 (C)		1,102		1,128
Entergy
5.125%, 09/15/2020		400		444
4.700%, 01/15/2017		500		503
Exelon
3.950%, 06/15/2025		375		404
FirstEnergy
4.250%, 03/15/2023		340		361
2.750%, 03/15/2018		70		71
FirstEnergy, Ser C
7.375%, 11/15/2031		480		624
Fortis
3.055%, 10/04/2026 (C)		605		602
2.100%, 10/04/2021 (C)		300		299
Indiana Michigan Power
4.550%, 03/15/2046		505		568
Interstate Power & Light
3.700%, 09/15/2046		195		198
ITC Holdings
3.650%, 06/15/2024		633		666
Jersey Central Power & Light
7.350%, 02/01/2019		100		111
4.700%, 04/01/2024 (C)		700		766
Kansas City Power & Light
5.300%, 10/01/2041		100		116
KeySpan Gas East
5.819%, 04/01/2041 (C)		400		516




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
2.742%, 08/15/2026 (C)	$	350	$	354
Metropolitan Edison
3.500%, 03/15/2023 (C)		350		360
MidAmerican Energy
4.250%, 05/01/2046		440		502
3.500%, 10/15/2024		240		262
MidAmerican Energy Holdings
6.500%, 09/15/2037		850		1,169
NextEra Energy Capital Holdings
2.300%, 04/01/2019		500		508
NiSource Finance
5.800%, 02/01/2042		149		186
Oncor Electric Delivery LLC
6.800%, 09/01/2018		460		506
5.250%, 09/30/2040		250		316
Pacific Gas & Electric
8.250%, 10/15/2018		180		204
6.050%, 03/01/2034		230		307
5.800%, 03/01/2037		70		92
5.625%, 11/30/2017		525		551
5.400%, 01/15/2040		42		53
4.500%, 12/15/2041		48		55
3.250%, 09/15/2021		12		13
2.950%, 03/01/2026		305		318
PECO Energy
4.150%, 10/01/2044		385		425
3.150%, 10/15/2025		410		436
PPL Capital Funding
3.100%, 05/15/2026		690		701
PPL Electric Utilities
4.150%, 10/01/2045		300		333
Progress Energy
3.150%, 04/01/2022		280		293
Public Service of New Hampshire
3.500%, 11/01/2023		205		219
Puget Energy
6.000%, 09/01/2021		470		543
Sierra Pacific Power
2.600%, 05/01/2026 (C)		385		390
Southern
4.400%, 07/01/2046		350		378
2.150%, 09/01/2019		375		380
Southern California Edison
4.050%, 03/15/2042		5		5
3.500%, 10/01/2023		205		223
Southern California Gas
2.600%, 06/15/2026		500		511
Southern Gas Capital
2.450%, 10/01/2023		165		166
Southwestern Electric Power
3.900%, 04/01/2045		255		255




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Texas-New Mexico Power
9.500%, 04/01/2019 (C)	$	1,100	$	1,280
Virginia Electric & Power
4.650%, 08/15/2043		245		287
3.150%, 01/15/2026		275		291
2.950%, 01/15/2022		330		346

				31,476


Total Corporate Obligations (Cost $328,396) ($ Thousands)				343,841


ASSET-BACKED SECURITIES — 9.6%

Automotive — 2.7%

Ally Auto Receivables Trust, Ser 2014-1, Cl A4
1.530%, 04/15/2019		297		299
Ally Auto Receivables Trust, Ser 2015-1, Cl A3
1.390%, 09/16/2019		400		401
Ally Auto Receivables Trust, Ser 2016-1, Cl A2A
1.200%, 08/15/2018		205		205
Ally Auto Receivables Trust, Ser 2016-3, Cl A2
1.200%, 12/17/2018		585		585
Ally Master Owner Trust, Ser 2012-5, Cl A
1.540%, 09/15/2019		747		750
Ally Master Owner Trust, Ser 2014-3, Cl A
1.330%, 03/15/2019		175		175
Ally Master Owner Trust, Ser 2014-4, Cl A2
1.430%, 06/17/2019		800		800
AmeriCredit Automobile Receivables Trust, Ser 2013-5, Cl A3
0.900%, 09/10/2018		18		18
AmeriCredit Automobile Receivables Trust, Ser 2016-3, Cl A2A
1.370%, 11/08/2019		288		288
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A
2.100%, 03/20/2019 (C)		336		336
Avis Budget Rental Car Funding AESOP, Ser 2013-2A, Cl A
2.970%, 02/20/2020 (C)		190		194
Avis Budget Rental Car Funding AESOP, Ser 2014-1A, Cl A
2.460%, 07/20/2020 (C)		246		249
Avis Budget Rental Car Funding AESOP, Ser 2014-2A, Cl A
2.500%, 02/20/2021 (C)		513		518
Avis Budget Rental Car Funding AESOP, Ser 2016-2A, Cl A
2.720%, 11/20/2022 (C)		712		719
Bank of The West Auto Trust, Ser 2014-1, Cl A3
1.090%, 03/15/2019 (C)		144		144




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
California Republic Auto Receivables Trust, Ser 2014-2, Cl A4
1.570%, 12/16/2019	$	148	$	148
California Republic Auto Receivables Trust, Ser 2015-1, Cl A4
1.820%, 09/15/2020		284		285
California Republic Auto Receivables Trust, Ser 2015-2, Cl A3
1.310%, 08/15/2019		325		325
California Republic Auto Receivables Trust, Ser 2015-4, Cl A4
2.580%, 06/15/2021 (C)		316		323
California Republic Auto Receivables Trust, Ser 2015-4, Cl A2
1.600%, 09/17/2018 (C)		149		150
California Republic Auto Receivables Trust, Ser 2016-1, Cl A3
1.890%, 05/15/2020		544		549
California Republic Auto Receivables Trust, Ser 2016-1, Cl A4
2.240%, 10/15/2021		303		307
California Republic Auto Receivables Trust, Ser 2016-2, Cl A4
1.830%, 12/15/2021		507		509
California Republic Auto Receivables Trust, Ser 2016-2, Cl A2
1.340%, 03/15/2019		289		289
Capital Auto Receivables Asset Trust, Ser 2013-2, Cl A4
1.560%, 07/20/2018		31		31
Capital Auto Receivables Asset Trust, Ser 2013-3, Cl A4
1.680%, 04/20/2018		82		82
Capital Auto Receivables Asset Trust, Ser 2013-4, Cl A4
1.470%, 07/20/2018		358		358
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4
1.690%, 10/22/2018		343		343
Capital Auto Receivables Asset Trust, Ser 2015-1, Cl A3
1.610%, 06/20/2019		432		433
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A3
1.730%, 09/20/2019		343		344
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A2
1.390%, 09/20/2018		237		237
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A4
1.970%, 01/21/2020		509		510




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A3
1.940%, 01/21/2020	$	383	$	385
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A1A
1.390%, 02/20/2018 (C)		799		799
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A3
1.830%, 03/20/2020		558		559
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A4
2.010%, 07/20/2020		201		201
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A2
1.620%, 03/20/2019		244		244
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A4
1.980%, 10/20/2020		260		261
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A2A
1.500%, 11/20/2018		689		689
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A3
1.730%, 04/20/2020		575		574
Capital Auto Receivables Asset Trust, Ser 2016-2, Cl A2A
1.320%, 01/20/2019		179		179
Capital Auto Receivables Asset Trust, Ser 2016-2, Cl A3
1.460%, 06/20/2020		430		429
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A4
1.690%, 03/22/2021		218		219
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A2A
1.360%, 04/22/2019		302		302
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A3
1.540%, 08/20/2020		260		260
CarFinance Capital Auto Trust, Ser 2014-1A, Cl A
1.460%, 12/17/2018 (C)		7		7
CarFinance Capital Auto Trust, Ser 2015-1A, Cl A
1.750%, 06/15/2021 (C)		44		44
Chrysler Capital Auto Receivables Trust, Ser 2016-AA, Cl A3
1.770%, 10/15/2020 (C)		882		885
Flagship Credit Auto Trust, Ser 2016-3, Cl A2
2.050%, 11/15/2020 (C)		295		296
Ford Credit Auto Lease Trust, Ser 2014-B, Cl A4
1.100%, 11/15/2017		20		20




Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A
2.260%, 11/15/2025 (C)	$	1,430	$	1,458
Ford Credit Auto Owner Trust, Ser 2015-1, Cl A
2.120%, 07/15/2026 (C)		675		686
Ford Credit Auto Owner Trust, Ser 2015-2, Cl A
2.440%, 01/15/2027 (C)		798		821
Ford Credit Auto Owner Trust, Ser 2016-1, Cl A
2.310%, 08/15/2027 (C)		1,286		1,318
Ford Credit Auto Owner Trust, Ser 2016-2, Cl A
2.030%, 12/15/2027 (C)		1,114		1,122
Ford Credit Floorplan Master Owner Trust, Ser 2012-2, Cl A
1.920%, 01/15/2019		421		422
Ford Credit Floorplan Master Owner Trust, Ser 2014-4, Cl A1
1.400%, 08/15/2019		640		642
Hertz Vehicle Financing II, Ser 2015-1A, Cl A
2.730%, 03/25/2021 (C)		269		273
Hertz Vehicle Financing, Ser 2013-1A, Cl A2
1.830%, 08/25/2019 (C)		869		866
Hertz Vehicle Financing, Ser 2016-3A, Cl A
2.270%, 07/25/2020 (C)		573		574
Hertz Vehicle Financing, Ser 2016-4A, Cl A
2.650%, 07/15/2022 (C)		518		522
Honda Auto Receivables Owner Trust, Ser 2014-3, Cl A3
0.880%, 06/15/2018		324		324
Honda Auto Receivables Owner Trust, Ser 2015-4, Cl A2
0.820%, 07/23/2018		438		438
Honda Auto Receivables Owner Trust, Ser 2016-1, Cl A2
1.010%, 06/18/2018		70		70
Honda Auto Receivables Owner Trust, Ser 2016-2, Cl A2
1.130%, 09/17/2018		640		640
Honda Auto Receivables Owner Trust, Ser 2016-3, Cl A3
1.160%, 05/18/2020		1,647		1,646
Honda Auto Receivables Owner Trust, Ser 2016-3, Cl A4
1.330%, 11/18/2022		1,356		1,354
Mercedes-Benz Auto Receivables Trust, Ser 2016-1, Cl A3
1.260%, 02/16/2021		530		530
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A
0.870%, 11/15/2018		432		431
Nissan Auto Receivables Owner Trust, Ser 2016-C, Cl A3
1.180%, 01/15/2021		450		449



Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Nissan Auto Receivables Owner Trust, Ser 2016-C, Cl A2A
1.070%, 05/15/2019	$	950	$	950
Santander Drive Auto Receivables Trust, Ser 2016-2, Cl A2A
1.380%, 07/15/2019		739		740
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A3
1.710%, 04/15/2021 (C)		201		201
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A2
1.390%, 11/15/2019 (C)		503		503
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A4
2.030%, 02/15/2022 (C)		150		150
Toyota Auto Receivables, Ser 2016-C, Cl A2A
1.000%, 01/15/2019		418		417
Toyota Auto Receivables, Ser 2016-C, Cl A3
1.140%, 08/17/2020		558		557
World Omni Auto Receivables Trust, Ser 2016-B, Cl A3
1.570%, 02/15/2022		497		497

				35,858


Credit Cards — 1.1%

American Express Credit Account Master Trust, Ser 2014-2, Cl A
1.260%, 01/15/2020		411		412
BA Credit Card Trust, Ser 2007-A1, Cl A1
5.170%, 06/15/2019		195		197
BA Credit Card Trust, Ser 2014-A3, Cl A
0.798%, 01/15/2020 (B)		585		586
BA Credit Card Trust, Ser 2015-A1, Cl A
0.854%, 06/15/2020 (B)		295		296
Capital One Multi-Asset Execution Trust, Ser 2007-A7, Cl A7
5.750%, 07/15/2020		265		277
Capital One Multi-Asset Execution Trust, Ser 2014-A2, Cl A2
1.260%, 01/15/2020		705		706
Capital One Multi-Asset Execution Trust, Ser 2014-A5, Cl A5
1.480%, 07/15/2020		1,460		1,466
Capital One Multi-Asset Execution Trust, Ser 2015-A1, Cl A1
1.390%, 01/15/2021		52		52
Capital One Multi-Asset Execution Trust, Ser 2016-A2, Cl A2
1.154%, 02/15/2024 (B)		445		448
Capital One Multi-Asset Execution Trust, Ser 2016-A5, Cl A5
1.660%, 06/17/2024		707		706



Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Chase Issuance Trust, Ser 2012-A2, Cl A2
0.794%, 05/15/2019 (B)	$	570	$	571
Chase Issuance Trust, Ser 2013-A8, Cl A8
1.010%, 10/15/2018		745		745
Chase Issuance Trust, Ser 2014-A1, Cl A1
1.150%, 01/15/2019		875		875
Chase Issuance Trust, Ser 2014-A6, Cl A6
1.260%, 07/15/2019		295		295
Citibank Credit Card Issuance Trust, Ser 2013-A2, Cl A2
0.805%, 05/26/2020 (B)		641		642
Citibank Credit Card Issuance Trust, Ser 2014-A2, Cl A2
1.020%, 02/22/2019		635		635
Citibank Credit Card Issuance Trust, Ser 2014-A4, Cl A4
1.230%, 04/24/2019		195		195
Citibank Credit Card Issuance Trust, Ser 2014-A8, Cl A8
1.730%, 04/09/2020		228		230
Discover Card Execution Note Trust, Ser 2016-A2, Cl A2
1.048%, 09/15/2021 (B)		210		212
Discover Card Execution Note Trust, Ser 2016-A4, Cl A4
1.390%, 03/15/2022		1,491		1,491
Synchrony Credit Card Master Note Trust, Ser 2016-2, Cl A
2.210%, 05/15/2024		1,013		1,035
Synchrony Credit Card Master Note Trust, Ser 2016-3, Cl A
1.580%, 09/15/2022		908		910
World Financial Network Credit Card Master Trust, Ser 2014-C, Cl A
1.540%, 08/16/2021		87		87
World Financial Network Credit Card Master Trust, Ser 2016-A, Cl A
2.030%, 04/15/2025		137		138
World Financial Network Credit Card Master Trust, Ser 2016-B, Cl A
1.440%, 06/15/2022		606		606

				13,813


Mortgage Related Securities — 0.7%

ACE Securities Home Equity Loan Trust, Ser 2006-NC1, Cl A1
0.745%, 12/25/2035 (B)		1,791		1,655
Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1
1.574%, 01/25/2034 (B)		505		460
Aegis Asset-Backed Securities Trust, Ser 2004-5, Cl M1
1.499%, 12/25/2034 (B)		103		103



Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Aegis Asset-Backed Securities Trust, Ser 2005-5, Cl 2A
0.775%, 12/25/2035 (B)	$	1,822	$	1,790
Ameriquest Mortgage Security Asset-Backed Pass-Through Certificates, Ser 2003-9, Cl AV1
1.284%, 09/25/2033 (B)		149		138
Argent Securities, Ser 2003-W5, Cl M1
1.574%, 10/25/2033 (B)		354		333
Bear Stearns Asset-Backed Securities Trust, Ser 2004-HE10, Cl M1
1.499%, 12/25/2034 (B)		429		409
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3
0.924%, 08/25/2043 (B)		191		189
Citifinancial Mortgage Securities, Ser 2004-1, Cl AF4
5.070%, 04/25/2034 (D)		370		383
Citigroup Global Markets Mortgage Securities VII, Ser 2003-UP1, Cl A
3.950%, 04/25/2032 (C)(D)		22		22
HSBC Home Equity Loan Trust, Ser 2007-1, Cl M2
0.992%, 03/20/2036 (B)		2,000		1,916
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS
0.712%, 03/20/2036 (B)		19		19
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT
1.712%, 11/20/2036 (B)		198		197
Morgan Stanley Capital I Trust, Ser 2005-HE5, Cl M1
1.154%, 09/25/2035 (B)		189		189
Morgan Stanley Capital I Trust, Ser 2005-HE6, Cl A2C
0.844%, 11/25/2035 (B)		110		110
New Century Home Equity Loan Trust, Ser 2003-A, Cl A
1.244%, 10/25/2033 (B)(C)		147		136
New Century Home Equity Loan Trust, Ser 2005-3, Cl M1
1.004%, 07/25/2035 (B)		39		39
Nomura Home Equity Loan Home Equity Loan Trust, Ser 2006-HE1, Cl A4
0.814%, 02/25/2036 (B)		552		551
NovaStar Mortgage Funding Trust, Ser 2004-4, Cl M4
2.175%, 03/25/2035 (B)		356		353
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6
4.795%, 06/25/2033 (D)		18		19

				9,011



Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)

Other Asset-Backed Securities — 5.1%

Academic Loan Funding Trust, Ser 2012-1A, Cl A1
1.324%, 12/27/2022 (B)(C)	$	47	$	47
Academic Loan Funding Trust, Ser 2013-1A, Cl A
1.324%, 12/26/2044 (B)(C)		147		145
Airspeed, Ser 2007-1A, Cl G2
0.770%, 06/15/2032 (B)(C)		384		313
Ballyrock CLO, Ser 2014-1A, Cl A1
2.114%, 10/20/2026 (B)(C)		150		150
Brazos Higher Education Authority, Ser 2010-1, Cl A2
2.025%, 02/25/2035 (B)		850		829
Brazos Higher Education Authority, Ser 2011-2, Cl A3
1.638%, 10/27/2036 (B)		400		381
Business Loan Express Business Loan Trust, Ser 2004-A, Cl A
0.955%, 02/25/2031 (B)(C)		134		127
Carlyle Global Market Strategies Commodities Funding, Ser 2014-1A, Cl A
2.528%, 10/15/2021 (B)(C)		122		110
Cent 18, Ser 2013-18A, Cl A
1.835%, 07/23/2025 (B)(C)		500		497
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5
5.164%, 11/25/2034 (D)		88		92
CIT Education Loan Trust, Ser 2007-1, Cl A
0.730%, 03/25/2042 (B)(C)		515		479
Consumer Credit Origination Loan Trust, Ser 2015-1, Cl A
2.820%, 03/15/2021 (C)		41		41
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A
1.024%, 10/25/2034 (B)		614		576
Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1
1.065%, 12/25/2034 (B)		499		473
Countrywide Asset-Backed Certificates, Ser 2007-4, Cl A4W
5.231%, 04/25/2047		482		467
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A
0.664%, 07/15/2036 (B)		879		784
CWHEQ Revolving Home Equity Loan Trust, Ser 2005-D, Cl 2A
0.714%, 11/15/2035 (B)		389		341
DRB Prime Student Loan Trust, Ser 2015-B, Cl A2
3.170%, 07/25/2031 (C)		283		290



Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Educational Funding of the South, Ser 2011-1, Cl A2
1.288%, 04/25/2035 (B)	$	322	$	318
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2004-FF5, Cl A3C
1.524%, 08/25/2034 (B)		890		841
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2005-FF4, Cl M1
1.169%, 05/25/2035 (B)		25		25
Flatiron CLO, Ser 2014-1A, Cl A1
2.059%, 07/17/2026 (B)(C)		500		500
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1
1.200%, 02/15/2019		170		170
Ford Credit Floorplan Master Owner Trust, Ser 2015-2, Cl A2
1.078%, 01/15/2022 (B)		274		274
Global SC Finance, Ser 2014-1A, Cl A2
3.090%, 07/17/2029 (C)		329		309
GSAMP Trust, Ser 2005-HE4, Cl M1
0.975%, 07/25/2045 (B)		95		95
Higher Education Funding, Ser 2014-1, Cl A
1.712%, 05/25/2034 (B)(C)		455		437
JGWPT XXX LLC, Ser 2013-3A, Cl A
4.080%, 01/17/2073 (C)		276		295
JGWPT XXXI LLC, Ser 2014-1A, Cl A
3.960%, 03/15/2063 (C)		261		276
JGWPT XXXII, Ser 2014-2A, Cl A
3.610%, 01/17/2073 (C)		373		372
JGWPT XXXIII, Ser 2014-3A, Cl A
3.500%, 06/15/2077 (C)		183		180
JPMorgan Chase Acquisition, Ser 2005-OPT1, Cl M1
0.974%, 06/25/2035 (B)		442		441
Lehman Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 04/15/2040		168		173
Magnetite XII, Ser 2015-12A, Cl A
2.128%, 04/15/2027 (B)(C)		200		200
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/2038		731		778
Navient Private Education Loan Trust, Ser 2014-AA, Cl A2B
1.758%, 02/15/2029 (B)(C)		388		389
Navient Private Education Loan Trust, Ser 2014-CTA, Cl A
1.208%, 09/16/2024 (B)(C)		476		475
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2A
2.650%, 12/15/2028 (C)		178		182
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2B
1.708%, 12/15/2028 (B)(C)		128		129



Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Navient Private Education Loan Trust, Ser 2015-CA, Cl B
3.250%, 05/15/2040 (C)	$	239	$	234
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2A
3.910%, 12/15/2045 (C)		809		848
Navient Student Loan Trust, Ser 2014-1, Cl A3
1.034%, 06/25/2031 (B)		1,005		971
Navient Student Loan Trust, Ser 2014-2, Cl A
1.164%, 03/25/2083 (B)		835		807
Navient Student Loan Trust, Ser 2014-3, Cl A
1.144%, 03/25/2083 (B)		842		813
Navient Student Loan Trust, Ser 2014-4, Cl A
1.144%, 03/25/2083 (B)		478		457
Navient Student Loan Trust, Ser 2014-8, Cl A2
0.964%, 04/25/2023 (B)		274		273
Navient Student Loan Trust, Ser 2014-8, Cl B
2.024%, 07/26/2049 (B)		54		48
Navient Student Loan Trust, Ser 2016-2, Cl A3
2.024%, 06/25/2065 (B)(C)		870		895
Nelnet Student Loan Trust, Ser 2004-3, Cl A5
0.818%, 10/27/2036 (B)		412		398
Nelnet Student Loan Trust, Ser 2004-4, Cl A5
0.798%, 01/25/2037 (B)		337		325
Nelnet Student Loan Trust, Ser 2005-1, Cl A5
0.748%, 10/25/2033 (B)		476		453
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
0.747%, 03/23/2037 (B)		393		370
Nelnet Student Loan Trust, Ser 2005-3, Cl A5
0.767%, 12/24/2035 (B)		1,573		1,484
Nelnet Student Loan Trust, Ser 2005-4, Cl A4
0.827%, 03/22/2032 (B)		161		149
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L
0.990%, 03/25/2026 (B)(C)		124		120
Nelnet Student Loan Trust, Ser 2008-3, Cl A4
2.312%, 11/25/2024 (B)		630		628
Nelnet Student Loan Trust, Ser 2010-4A, Cl A
1.325%, 04/25/2046 (B)(C)		107		106
Nelnet Student Loan Trust, Ser 2011-1A, Cl A
1.375%, 02/25/2043 (B)(C)		632		633
Nelnet Student Loan Trust, Ser 2013-5A, Cl A
1.155%, 01/25/2037 (B)(C)		570		558
Nelnet Student Loan Trust, Ser 2014-2A, Cl A3
1.375%, 07/27/2037 (B)(C)		950		883
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2
1.475%, 11/25/2043 (B)(C)		500		462
Nelnet Student Loan Trust, Ser 2015-2A, Cl A2
1.125%, 09/25/2042 (B)(C)		920		899
North Carolina State Education Assistance Authority, Ser 2011-2, Cl A2
1.438%, 07/25/2025 (B)		348		346



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
OneMain Financial Issuance Trust, Ser 2016-2A, Cl A
4.100%, 03/20/2028 (C)	$	290	$	298
Ownit Mortgage Loan Trust, Ser 2005-3, Cl A3
1.525%, 06/25/2036 (B)		1,289		1,277
Park Place Securities, Ser 2004-WCW1, Cl M2
1.544%, 09/25/2034 (B)		56		57
People’s Choice Home Loan Securities Trust, Ser 2004-1, Cl M1
1.410%, 06/25/2034 (B)		650		596
RAMP Trust, Ser 2005-EFC5, Cl M1
0.925%, 10/25/2035 (B)		328		327
RAMP Trust, Ser 2005-RZ3, Cl A3
0.925%, 09/25/2035 (B)		38		38
RAMP Trust, Ser 2006-RZ1, Cl M1
0.925%, 03/25/2036 (B)		1,700		1,656
RAMP Trust, Ser 2006-RZ1, Cl A3
0.825%, 03/25/2036 (B)		77		76
RSB BondCo LLC, Ser 2007-A, Cl A3
5.820%, 06/28/2019		276		279
SBA Small Business Investment, Ser 2016-10B, Cl 1
2.051%, 09/10/2026		100		101
Scholar Funding Trust, Ser 2011-A, Cl A
1.643%, 10/28/2043 (B)(C)		246		236
SLC Student Loan Trust, Ser 2007-2, Cl A2
1.217%, 05/15/2028 (B)		86		85
SLM Private Education Loan Trust, Ser 2012-D, Cl A2
2.950%, 02/15/2046 (C)		906		918
SLM Private Education Loan Trust, Ser 2012-E, Cl A2B
2.258%, 06/15/2045 (B)(C)		274		278
SLM Private Education Loan Trust, Ser 2012-E, Cl A1
1.258%, 10/16/2023 (B)(C)		10		10
SLM Private Education Loan Trust, Ser 2013-1, Cl B
2.324%, 11/25/2043 (B)		180		160
SLM Private Education Loan Trust, Ser 2013-A, Cl A2B
1.558%, 05/17/2027 (B)(C)		314		317
SLM Private Education Loan Trust, Ser 2013-A, Cl A1
1.108%, 08/15/2022 (B)(C)		64		64
SLM Private Education Loan Trust, Ser 2013-B, Cl A2A
1.850%, 06/17/2030 (C)		617		617
SLM Private Education Loan Trust, Ser 2013-B, Cl A1
1.158%, 07/15/2022 (B)(C)		103		103



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
SLM Private Education Loan Trust, Ser 2013-B, Cl A2B
1.608%, 06/17/2030 (B)(C)	$	118	$	119
SLM Private Education Loan Trust, Ser 2014-A, Cl A2B
1.658%, 01/15/2026 (B)(C)		199		200
SLM Student Loan Trust, Ser 2003-11, Cl A6
1.403%, 12/15/2025 (B)(C)		350		344
SLM Student Loan Trust, Ser 2004-10, Cl A6A
1.265%, 04/27/2026 (B)(C)		676		671
SLM Student Loan Trust, Ser 2004-10, Cl A7A
1.465%, 10/25/2029 (B)(C)		456		437
SLM Student Loan Trust, Ser 2004-3, Cl A5
0.808%, 07/25/2023 (B)		413		410
SLM Student Loan Trust, Ser 2004-8, Cl B
1.098%, 01/25/2040 (B)		109		94
SLM Student Loan Trust, Ser 2005-5, Cl A3
0.815%, 04/25/2025 (B)		42		42
SLM Student Loan Trust, Ser 2005-5, Cl A4
0.778%, 10/25/2028 (B)		574		548
SLM Student Loan Trust, Ser 2005-6, Cl A5B
1.838%, 07/27/2026 (B)		99		100
SLM Student Loan Trust, Ser 2005-6, Cl A6
0.778%, 10/27/2031 (B)		1,119		1,084
SLM Student Loan Trust, Ser 2005-7, Cl A4
0.788%, 10/25/2029 (B)		337		326
SLM Student Loan Trust, Ser 2005-9, Cl A5
0.835%, 01/27/2025 (B)		86		85
SLM Student Loan Trust, Ser 2006-2, Cl A6
0.808%, 01/25/2041 (B)		540		490
SLM Student Loan Trust, Ser 2006-3, Cl A5
0.738%, 01/25/2021 (B)		531		507
SLM Student Loan Trust, Ser 2006-8, Cl A6
0.798%, 01/25/2041 (B)		540		479
SLM Student Loan Trust, Ser 2007-2, Cl B
0.808%, 07/25/2025 (B)		178		142
SLM Student Loan Trust, Ser 2007-2, Cl A4
0.698%, 07/25/2022 (B)		618		584
SLM Student Loan Trust, Ser 2007-2, Cl A3
0.755%, 01/25/2019 (B)		471		465
SLM Student Loan Trust, Ser 2007-3, Cl A3
0.678%, 04/25/2019 (B)		656		654
SLM Student Loan Trust, Ser 2007-5, Cl A5
0.795%, 01/25/2024 (B)		515		512
SLM Student Loan Trust, Ser 2007-6, Cl A4
1.095%, 10/25/2024 (B)		980		965
SLM Student Loan Trust, Ser 2007-6, Cl B
1.488%, 04/27/2043 (B)		127		111
SLM Student Loan Trust, Ser 2007-7, Cl B
1.465%, 10/27/2070 (B)		250		201
SLM Student Loan Trust, Ser 2008-2, Cl B
1.838%, 01/25/2083 (B)		160		139



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Ser 2008-3, Cl B
1.838%, 04/26/2083 (B)	$	160	$	136
SLM Student Loan Trust, Ser 2008-4, Cl A4
2.288%, 07/25/2022 (B)		1,292		1,296
SLM Student Loan Trust, Ser 2008-4, Cl B
2.488%, 04/25/2029 (B)		160		148
SLM Student Loan Trust, Ser 2008-5, Cl B
2.488%, 07/25/2029 (B)		160		148
SLM Student Loan Trust, Ser 2008-5, Cl A4
2.338%, 07/25/2023 (B)		864		869
SLM Student Loan Trust, Ser 2008-6, Cl B
2.488%, 07/26/2083 (B)		160		149
SLM Student Loan Trust, Ser 2008-7, Cl B
2.488%, 07/26/2083 (B)		160		148
SLM Student Loan Trust, Ser 2008-8, Cl B
2.888%, 10/25/2029 (B)		160		153
SLM Student Loan Trust, Ser 2008-9, Cl B
2.888%, 10/25/2083 (B)		160		155
SLM Student Loan Trust, Ser 2008-9, Cl A
2.138%, 04/25/2023 (B)		719		721
SLM Student Loan Trust, Ser 2009-3, Cl A
1.275%, 01/25/2045 (B)(C)		905		882
SLM Student Loan Trust, Ser 2010-1, Cl A
0.925%, 03/25/2025 (B)		218		211
SLM Student Loan Trust, Ser 2012-6, Cl B
1.524%, 04/27/2043 (B)		249		214
SLM Student Loan Trust, Ser 2012-6, Cl A3
1.274%, 05/26/2026 (B)		211		207
SLM Student Loan Trust, Ser 2012-B, Cl A2
3.480%, 10/15/2030 (C)		116		118
SLM Student Loan Trust, Ser 2013-3, Cl B
1.939%, 09/25/2043 (B)		136		117
SLM Student Loan Trust, Ser 2013-4, Cl A
1.074%, 06/25/2027 (B)		282		272
SLM Student Loan Trust, Ser 2013-6, Cl A3
1.174%, 06/25/2055 (B)		785		780
SLM Student Loan Trust, Ser 2013-A, Cl A2A
1.770%, 05/17/2027 (C)		145		144
SLM Student Loan Trust, Ser 2013-C, Cl A2A
2.940%, 10/15/2031 (C)		319		325
SLM Student Loan Trust, Ser 2013-M1, Cl M1
3.500%, 10/28/2029 (C)		374		368
SLM Student Loan Trust, Ser 2014-2, Cl A3
1.114%, 03/25/2055 (B)		524		517
SLM Student Loan Trust, Ser 2014-A, Cl A2A
2.590%, 01/15/2026 (C)		225		227
Small Business Administration, Ser 2013-20L, Cl 1
3.380%, 12/01/2033		149		159
SMB Private Education Loan Trust, Ser 2015-A, Cl A1
1.108%, 07/17/2023 (B)(C)		74		74



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
SMB Private Education Loan Trust, Ser 2015-A, Cl A2A
2.490%, 06/15/2027 (C)	$	593	$	603
SMB Private Education Loan Trust, Ser 2015-A, Cl A2B
1.508%, 06/15/2027 (B)(C)		634		610
SMB Private Education Loan Trust, Ser 2015-B, Cl A2B
1.708%, 07/15/2027 (B)(C)		637		632
SMB Private Education Loan Trust, Ser 2015-B, Cl A2A
2.980%, 07/15/2027 (C)		450		467
SMB Private Education Loan Trust, Ser 2015-B, Cl A1
1.208%, 02/15/2023 (B)(C)		127		127
SMB Private Education Loan Trust, Ser 2015-C, Cl A2B
1.908%, 07/15/2027 (B)(C)		220		224
SMB Private Education Loan Trust, Ser 2015-C, Cl A1
1.408%, 07/15/2022 (B)(C)		292		292
SMB Private Education Loan Trust, Ser 2015-C, Cl A2A
2.750%, 07/15/2027 (C)		357		367
SMB Private Education Loan Trust, Ser 2016-A, Cl A2A
2.700%, 05/15/2031 (C)		1,072		1,079
SMB Private Education Loan Trust, Ser 2016-A, Cl A2B
2.008%, 05/15/2031 (B)(C)		818		818
SMB Private Education Loan Trust, Ser 2016-A, Cl A1
1.208%, 05/15/2023 (B)(C)		465		465
SMB Private Education Loan Trust, Ser 2016-B, Cl A1
1.135%, 11/15/2023 (B)(C)		706		706
SMB Private Education Loan Trust, Ser 2016-B, Cl A2A
2.430%, 02/17/2032 (C)		1,363		1,380
SMB Private Education Loan Trust, Ser 2016-B, Cl A2B
1.935%, 02/17/2032 (B)(C)		840		840
SoFi Professional Loan Program, Ser 2016-D, Cl A2B
2.340%, 04/25/2033 (C)		386		386
SoFi Professional Loan Program, Ser 2016-D, Cl A2A
1.530%, 04/25/2033 (C)		398		398
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2
1.075%, 09/25/2034 (B)		495		456



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF2, Cl A3
1.124%, 05/25/2035 (B)	$	575	$	575
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF4, Cl M2
0.955%, 11/25/2035 (B)		1,165		1,143
Trade MAPS 1 Ltd, Ser 2013-1A, Cl A
1.218%, 12/10/2018 (B)(C)		737		736
United States Small Business Administration, Ser 2015-20D, Cl 1
2.510%, 04/01/2035		67		69
Verizon Owner Trust, Ser 2016-1A, Cl A
1.420%, 01/20/2021 (C)		1,328		1,330
VOLT XL LLC, Ser 2015-NP14, Cl A1
4.375%, 11/27/2045 (C)(D)		183		185
Voya CLO, Ser 2014-2A, Cl A1
2.083%, 07/17/2026 (B)(C)		500		500
Voya, Ser 2014-1A, Cl A1
2.179%, 04/18/2026 (B)(C)		540		540

				66,829


Total Asset-Backed Securities (Cost $124,642) ($ Thousands)				125,511


SOVEREIGN DEBT — 2.4%
Abu Dhabi Government International Bond
2.125%, 05/03/2021 (C)		460		463
Colombia Government International Bond
5.625%, 02/26/2044		1,070		1,239
FMS Wertmanagement AoeR
1.000%, 11/21/2017		200		200
Indonesia Government International Bond MTN
3.750%, 04/25/2022 (C)		470		495
Israel Government International Bond
4.500%, 01/30/2043		365		416
Japan Treasury Discount Bills
-0.237%, 11/14/2016 (A)(F)	JPY	510,000		5,037
-0.296%, 12/12/2016 (A)(F)		630,000		6,225
-0.336%, 10/17/2016 (A)(F)		360,000		3,555
Mexico Government International Bond MTN
6.050%, 01/11/2040	$	100		122
5.750%, 10/12/2110		545		576
5.550%, 01/21/2045		3,052		3,536
4.750%, 03/08/2044		60		62
4.350%, 01/15/2047		240		236
4.125%, 01/21/2026		709		763
3.600%, 01/30/2025		520		539
Peruvian Government International Bond
6.550%, 03/14/2037		50		71
5.625%, 11/18/2050		414		547
Poland Government International Bond
5.000%, 03/23/2022		100		114



Description	Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT (continued)
4.000%, 01/22/2024	$	1,257	$	1,389
Province of Ontario Canada
1.625%, 01/18/2019		520		525
1.250%, 06/17/2019		532		531
Province of Quebec Canada
2.625%, 02/13/2023		620		649
Qatar Government International Bond
3.250%, 06/02/2026 (C)		345		351
2.375%, 06/02/2021 (C)		615		620
Slovenia Government International Bond
5.850%, 05/10/2023 (C)		422		505
5.500%, 10/26/2022 (C)		400		467
5.250%, 02/18/2024 (C)		1,040		1,220
South Africa Government International Bond
4.300%, 10/12/2028		360		360


Total Sovereign Debt (Cost $29,364) ($ Thousands)				30,813


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.6%
FHLB
1.250%, 06/28/2030 (D)		1,110		1,110
0.875%, 05/24/2017		10		10
FICO STRIPS, PO
0.000%, 05/11/2018 (A)		460		454
FNMA
2.628%, 10/09/2019 (A)		5,270		5,059
Tennessee Valley Authority
2.875%, 09/15/2024		775		838


Total U.S. Government Agency Obligations (Cost $7,267) ($ Thousands)				7,471


MUNICIPAL BONDS — 0.4%
California — 0.1%
California State, Build America Project, GO
7.600%, 11/01/2040		390		635
6.650%, 03/01/2022		250		307
California State, GO
6.200%, 03/01/2019		300		336
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049		430		685


				1,963


Nevada — 0.1%
Clark County, Airport System Revenue, Build America Project, Ser C, RB
6.820%, 07/01/2045		590		918



Description	Face Amount (Thousands)		Market Value ($ Thousands)


MUNICIPAL BONDS (continued)
New Jersey — 0.1%
New Jersey State, Turnpike Authority, Build America Project, Ser C, RB
7.102%, 01/01/2041	$	475	$	724


New York — 0.0%
New York and New Jersey, Port Authority, RB
4.458%, 10/01/2062		585		676
New York City, Transitional Finance Authority, Future Tax Secured, RB
5.508%, 08/01/2037		275		362


				1,038


Ohio — 0.0%
Ohio State University, Ser A, RB
4.800%, 06/01/2111		171		193


Texas — 0.1%
North Texas, Tollway Authority, Build America Project, Ser B, RB
6.718%, 01/01/2049		501		782


Total Municipal Bonds (Cost $4,730) ($ Thousands)				5,618


	Shares

AFFILIATED PARTNERSHIP — 0.0%
SEI Liquidity Fund, L.P.
0.440% **^†(G)		628,708		629


Total Affiliated Partnership (Cost $629) ($ Thousands)				629


CASH EQUIVALENT — 2.2%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		31,642,038		31,642


Total Cash Equivalent (Cost $31,642) ($ Thousands)				31,642


Total Investments — 107.3% (Cost $1,365,172) ($ Thousands)			$	1,400,571


	Contracts

PURCHASED OPTIONS(H) — 0.0%
November 2016, U.S. 10-Year Treasury Note Call, Expires 10/22/2016, Strike Price $131.50*		51		18
November 2016, U.S. 10-Year Treasury Note Call, Expires 10/22/2016, Strike Price $132.00*		46		9



Description	Contracts		Market Value ($ Thousands)


PURCHASED OPTIONS(H) (continued)
November 2016, U.S. 5-Year Treasury Note Call, Expires 10/22/2016, Strike Price $121.75*		59	$	11
November 2016, U.S. Long Treasury Bond Future Call, Expires 10/22/2016, Strike Price $171.00*		13		7
November 2016, U.S. Long Treasury Bond Future Call, Expires 10/22/2016, Strike Price $169.00*		25		30
November 2016, U.S. Long Treasury Bond Future Put, Expires 10/22/2016, Strike Price $164.00*		18		6


Total Purchased Options (Cost $122) ($ Thousands)			$	81


WRITTEN OPTIONS(H) — 0.0%
December 2016, U.S. 10-Year Treasury Note Call, Expires 11/19/2016 Strike Price $133.00*		(138)		(41)
December 2016, U.S. 10-Year Treasury Note Call, Expires 11/19/2016 Strike Price $132.50*		(51)		(20)
December 2016, U.S. Short Treasury Bond Future Call, Expires 11/19/2016 Strike Price $178.00*		(17)		(6)
December 2016, U.S. Short Treasury Bond Future Call, Expires 11/19/2016 Strike Price $172.00*		(38)		(47)
November 2016, U.S. 5-Year Treasury Note Call, Expires 10/22/2016 Strike Price $122.25*		(57)		(3)
November 2016, U.S. Short Treasury Note Call, Expires 10/22/2016 Strike Price $174.00*		(13)		(2)
November 2016, U.S. Short Treasury Note Put, Expires 10/22/2016 Strike Price $161.00*		(36)		(4)


Total Written Options (Premiums Received ($184)) ($ Thousands)			$	(123)

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:



Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)

90-Day Euro$		113		Dec-2017		$14
90-Day Euro$		47		Mar-2017		3
90-Day Euro$		(121)		Dec-2019		(6)
U.S. 10-Year Treasury Note		(60)		Dec-2016		30
U.S. 2-Year Treasury Note		67		Dec-2016		6
U.S. 5-Year Treasury Note		661		Dec-2016		69
U.S. Long Treasury Bond		(187)		Dec-2016		450
U.S. Ultra Long Treasury Bond		(136)		Dec-2016		409
U.S. Ultra Long Treasury Bond		(74)		Dec-2016		(4)

						$971

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:



Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)

11/14/16	JPY		510,000	USD		5,056		$9
10/17/16-12/12/16	JPY		990,000	USD		9,633		(168)

								$(159)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:



Counterparty	Currency to Deliver ($ Thousands)		Currency to Receive ($ Thousands)		Unrealized Depreciation ($ Thousands)

Bank of America		$(3,558)		$3,417		$(141)
JPMorgan Chase Bank		(11,289)		11,271		(18)

						$(159)

Percentages are based on Net Assets of $1,302,394 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of September 30, 2016.

^†

Investment in Affiliated Security (see Note 6).

(A)

The rate reported is the effective yield at the time of purchase.

(B)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2016.

(C)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2016, the value of these securities amounted to $120,725 ($ Thousands), representing 9.3% of the Net Assets of the Fund.

(D)

Step Bonds – The rate reflected on the Schedule of Investments is the effective yield on September 30, 2016. The coupon on a step bond changes on a specified date.

(E)

This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $599 ($ Thousands).

(F)

Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar.

(G)

This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $629 ($ Thousands).

IO — Interest Only — face amount represents notional amount.

JPY — Japanese Yen

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

Ltd — Limited

L.P. — Limited Partnership

MTN — Medium Term Note

OTC — Over the counter

PLC — Public Limited Company

PO — Principle Only

RB — Revenue Bond

Ser — Series

STRIPS — Separately Traded Registered Interest and Principal Securities

TBA — To Be Announced

USD — United States Dollar

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	–	$	493,175	$	–	$	493,175
Mortgage-Backed Securities		–		361,871		–		361,871
Corporate Obligations		–		343,841		–		343,841
Asset-Backed Securities		–		125,511		–		125,511
Sovereign Debt		–		30,813		–		30,813
U.S. Government Agency Obligations		–		7,471		–		7,471
Municipal Bonds		–		5,618		–		5,618
Affiliated Partnership		–		629		–		629
Cash Equivalent		31,642		–		–		31,642


Total Investments in Securities	$	31,642	$	1,368,929	$	–	$	1,400,571


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Purchased Options	$	81	$	–	$	–	$	81
Written Options		(123)		–		–		(123)
Futures Contracts *
Unrealized Appreciation		981		–		–		981
Unrealized Depreciation		(10)		–		–		(10)
Forwards Contracts *
Unrealized Appreciation		–		9		–		9
Unrealized Depreciation		–		(168)		–		(168)
OTC Swaps
Interest Rate Swaps *
Unrealized Depreciation		–		(173)		–		(173)
Centrally Cleared Swaps
Interest Rate Swaps *
Unrealized Appreciation		–		13		–		13
Unrealized Depreciation		–		(307)		–		(307)

Total Other Financial Instruments	$	929	$	(626)	$	–	$	303

* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments. Includes investments held as collateral for securities held on loan (see Note 10).



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS — 78.3%

Consumer Discretionary — 20.1%
Adelphia Communications (Escrow Security)(A)
0.000%, 02/15/2004	$	25	$	–
0.000%, 01/15/2009		225		–
0.000%, 06/15/2011		150		1
Adient Global Holdings
4.875%, 08/15/2026 (B)		2,411		2,414
Altice
7.750%, 05/15/2022 (B)		6,057		6,466
7.625%, 02/15/2025 (B)		470		482
Altice Financing
7.500%, 05/15/2026 (B)		5,562		5,791
6.625%, 02/15/2023 (B)		345		354
6.500%, 01/15/2022 (B)		700		738
Altice Finco
8.125%, 01/15/2024 (B)		610		631
Altice Finco MTN
7.625%, 02/15/2025 (B)		205		206
Altice US Finance
5.375%, 07/15/2023 (B)		3,929		4,062
AMC Entertainment
5.750%, 06/15/2025		2,500		2,525
AMC Networks
5.000%, 04/01/2024		1,773		1,784
4.750%, 12/15/2022		2,210		2,238
American Axle & Manufacturing
6.625%, 10/15/2022		440		465
6.250%, 03/15/2021		405		423
Apex Tool Group
7.000%, 02/01/2021 (B)		1,830		1,750



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Ashtead Capital
6.500%, 07/15/2022 (B)	$	3,055	$	3,212
Aventine (Escrow Security)
0.000%, 10/15/2049 (A)(C)(D)		2,750		–
Beazer Homes USA
5.750%, 06/15/2019		1,560		1,627
Belo
7.750%, 06/01/2027		1,675		1,809
Bon-Ton Department Stores
8.000%, 06/15/2021		8,885		4,931
Boyd Gaming
6.875%, 05/15/2023		970		1,050
6.375%, 04/01/2026 (B)		2,728		2,926
Brinker International
5.000%, 10/01/2024 (B)		281		285
Brookfield Residential Properties
6.375%, 05/15/2025 (B)		458		457
Burger King Worldwide
6.000%, 04/01/2022 (B)		2,026		2,122
Cablevision Systems
7.750%, 04/15/2018		500		529
5.875%, 09/15/2022		1,917		1,744
Caesars Entertainment Operating(A)
9.000%, 02/15/2020		4,310		4,455
8.500%, 02/15/2020		1,260		1,317
Caesars Entertainment Resort Properties
8.000%, 10/01/2020		3,259		3,369
Caleres
6.250%, 08/15/2023		845		877
CCO Holdings
5.875%, 04/01/2024 (B)		1,500		1,600
5.750%, 02/15/2026 (B)		2,340		2,480
5.500%, 05/01/2026 (B)		800		834
5.375%, 05/01/2025 (B)		865		907
5.125%, 02/15/2023		2,000		2,085
5.125%, 05/01/2023 (B)		485		506
CEC Entertainment
8.000%, 02/15/2022		1,283		1,278
Cedar Fair
5.375%, 06/01/2024		1,174		1,239
Cengage Learning
9.500%, 06/15/2024 (B)		2,835		2,885
Century Communities
6.875%, 05/15/2022		1,830		1,848
Cequel Communications Holdings I
7.750%, 07/15/2025 (B)		1,430		1,544
5.125%, 12/15/2021 (B)		620		618
Charter Communications Operating
6.384%, 10/23/2035 (B)		315		371
4.908%, 07/23/2025 (B)		250		276
Chester Downs & Marina
9.250%, 02/01/2020 (B)		5,110		4,714



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Chinos Intermediate Holdings
7.750%, 05/01/2019 (B)	$	2,048	$	768
Cinemark USA
5.125%, 12/15/2022		1,390		1,425
4.875%, 06/01/2023		800		804
Claire’s Stores
9.000%, 03/15/2019 (B)		1,590		867
8.875%, 03/15/2019 (C)		406		69
Clear Channel Worldwide Holdings
7.625%, 03/15/2020		3,549		3,503
6.500%, 11/15/2022		3,875		4,005
ClubCorp Club Operations
8.250%, 12/15/2023 (B)		1,520		1,634
Cogeco Communications
4.875%, 05/01/2020 (B)		1,050		1,084
CSC Holdings
10.875%, 10/15/2025 (B)		4,902		5,735
10.125%, 01/15/2023 (B)		5,537		6,381
8.625%, 02/15/2019		2,125		2,372
6.750%, 11/15/2021		1,250		1,322
6.625%, 10/15/2025 (B)		420		456
5.250%, 06/01/2024		1,849		1,757
Cumulus Media Holdings
7.750%, 05/01/2019		3,970		1,608
Dana
5.500%, 12/15/2024		465		474
Dana Holding
6.000%, 09/15/2023		1,385		1,440
Deck Chassis Acquisition
10.000%, 06/15/2023 (B)		915		961
DISH DBS
7.750%, 07/01/2026 (B)		270		287
6.750%, 06/01/2021		1,030		1,112
5.875%, 07/15/2022		1,616		1,661
5.875%, 11/15/2024		6,105		6,029
5.000%, 03/15/2023		5,025		4,887
Dollar Tree
5.750%, 03/01/2023		565		608
Eldorado Resorts
7.000%, 08/01/2023		1,495		1,587
Emerald Expositions Holding
9.000%, 06/15/2021 (B)		1,950		2,026
Empire Today
11.375%, 02/01/2017 (B)		2,000		2,002
ESH Hospitality
5.250%, 05/01/2025 (B)		4,185		4,180
Fiat Chrysler Automobiles
5.250%, 04/15/2023		410		422
Fontainebleau Las Vegas Holdings
0.000%, 06/15/2015 (A)(B)		3,108		–
Gannett
5.500%, 09/15/2024 (B)		336		347



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
4.875%, 09/15/2021 (B)	$	160	$	166
General Motors
4.875%, 10/02/2023		1,180		1,278
Goodyear Tire & Rubber
8.750%, 08/15/2020		155		185
5.125%, 11/15/2023		225		235
5.000%, 05/31/2026		275		283
Gray Television
5.125%, 10/15/2024 (B)(C)		981		963
Group 1 Automotive
5.250%, 12/15/2023 (B)		775		778
Guitar Center
9.625%, 04/15/2020 (B)		6,432		4,752
6.500%, 04/15/2019 (B)		3,719		3,273
Hanesbrands
4.875%, 05/15/2026 (B)		310		317
4.625%, 05/15/2024 (B)		310		318
Harrah’s Operating
11.250%, 06/01/2017 (A)		530		546
Herc Rentals
7.750%, 06/01/2024 (B)		830		853
7.500%, 06/01/2022 (B)		430		445
Hillman Group
6.375%, 07/15/2022 (B)		2,765		2,592
Hilton Domestic Operating
4.250%, 09/01/2024 (B)		3,475		3,544
Hilton Worldwide Finance
5.625%, 10/15/2021		290		299
iHeartCommunications
10.625%, 03/15/2023		951		708
9.000%, 12/15/2019		2,409		1,906
9.000%, 03/01/2021		425		317
9.000%, 09/15/2022		2,748		1,999
iHeartCommunications PIK
14.000%, 02/01/2021		3,515		1,371
IHO Verwaltungs GmbH PIK
4.500%, 09/15/2023 (B)		260		262
Inn of the Mountain Gods Resort & Casino
9.250%, 11/30/2020 (B)(E)		4,420		4,022
International Game Technology
6.500%, 02/15/2025 (B)		875		943
6.250%, 02/15/2022 (B)		720		763
Interval Acquisition
5.625%, 04/15/2023		3,620		3,738
Isle of Capri Casinos
5.875%, 03/15/2021		535		558
JC Penney
6.375%, 10/15/2036		840		722
5.875%, 07/01/2023 (B)		1,184		1,233
KFC Holding
5.250%, 06/01/2026 (B)		795		841
5.000%, 06/01/2024 (B)		795		831



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Kosmos Energy
7.875%, 08/01/2021	$	3,195	$	3,099
L Brands
6.950%, 03/01/2033		1,146		1,200
6.875%, 11/01/2035		2,225		2,425
6.750%, 07/01/2036		2,760		2,969
5.625%, 02/15/2022		1,175		1,313
Landry’s
6.750%, 10/15/2024 (B)(C)		911		927
Laureate Education
10.000%, 09/01/2019 (B)		2,196		2,092
Lear
5.250%, 01/15/2025		345		373
Lee Enterprises
9.500%, 03/15/2022 (B)		1,300		1,342
Liberty Media LLC
8.250%, 02/01/2030		3,205		3,445
LIN Television
5.875%, 11/15/2022		1,332		1,395
LKQ
4.750%, 05/15/2023		530		545
LTF Merger
8.500%, 06/15/2023 (B)		3,141		3,235
Lynx I
5.375%, 04/15/2021 (B)		1,787		1,862
M/I Homes
6.750%, 01/15/2021		1,235		1,294
McClatchy
9.000%, 12/15/2022		2,425		2,498
McGraw-Hill Global Education Holdings
7.875%, 05/15/2024 (B)		162		175
MGM Resorts International
7.750%, 03/15/2022		2,090		2,424
6.750%, 10/01/2020		265		297
6.625%, 12/15/2021		2,900		3,262
6.000%, 03/15/2023		3,950		4,286
5.250%, 03/31/2020		885		943
4.625%, 09/01/2026		300		292
Midcontinent Communications
6.250%, 08/01/2021 (B)		400		419
Midcontinent Communications & Midcontinent Finance
6.875%, 08/15/2023 (B)		3,005		3,200
Millennium (Escrow Security)
7.625%, 11/15/2026 (A)		175		–
Mohegan Tribal Gaming Authority
9.750%, 09/01/2021		3,410		3,679
7.875%, 10/15/2024 (B)(C)		2,944		2,937
Monitronics International
9.125%, 04/01/2020		7,200		6,768
Neiman Marcus Group
8.000%, 10/15/2021 (B)		1,240		1,035



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Neiman Marcus Group PIK
8.750%, 10/15/2021 (B)	$	675	$	530
Netflix
5.875%, 02/15/2025		1,684		1,819
5.500%, 02/15/2022		405		436
Newell Brands
5.000%, 11/15/2023 (B)		1,800		1,916
Nexstar Broadcasting
6.875%, 11/15/2020		2,900		3,012
6.125%, 02/15/2022 (B)		380		392
Nexstar Escrow
5.625%, 08/01/2024 (B)		1,846		1,851
Nine West Holdings
8.250%, 03/15/2019 (B)		5,289		793
Numericable-SFR SAS
7.375%, 05/01/2026 (B)		7,934		8,110
Outfront Media Capital
5.875%, 03/15/2025		1,485		1,559
5.250%, 02/15/2022		390		406
PetSmart
7.125%, 03/15/2023 (B)		1,790		1,875
PF Chang’s China Bistro
10.250%, 06/30/2020 (B)		1,361		1,283
Pinnacle Entertainment
5.625%, 05/01/2024 (B)		950		955
PulteGroup
5.000%, 01/15/2027		987		991
Quebecor Media
5.750%, 01/15/2023		2,285		2,376
Quebecor Media (Escrow Security)(A)
0.000%, 11/15/2013 (F)		1,725		2
0.000%, 03/15/2016		1,915		2
Radio One
9.250%, 02/15/2020 (B)		3,221		3,004
7.375%, 04/15/2022 (B)		5,147		5,173
Radio Systems
8.375%, 11/01/2019 (B)		910		950
RCN Telecom Services
8.500%, 08/15/2020 (B)		920		981
Regal Entertainment Group
5.750%, 03/15/2022		480		496
5.750%, 06/15/2023		280		284
Rivers Pittsburgh Borrower
6.125%, 08/15/2021 (B)		338		349
RSI Home Products
6.500%, 03/15/2023 (B)		1,040		1,097
Sally Holdings
5.625%, 12/01/2025		1,415		1,523
Schaeffler Finance
4.750%, 05/15/2021 (B)		265		274
4.750%, 05/15/2023 (B)		250		259




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Schaeffler Finance PIK
6.750%, 11/15/2022 (B)	$	374	$	427
Schaeffler Finance MTN
4.250%, 05/15/2021 (B)		1,000		1,025
Scientific Games
8.125%, 09/15/2018		235		236
Scientific Games International
10.000%, 12/01/2022		5,142		4,743
Seminole Tribe of Florida
6.535%, 10/01/2020 (B)		380		382
Serta Simmons Bedding
8.125%, 10/01/2020 (B)		1,920		2,006
Service International
7.500%, 04/01/2027		1,295		1,522
SFR Group
6.250%, 05/15/2024 (B)		4,701		4,670
6.000%, 05/15/2022 (B)		3,105		3,167
Sinclair Television Group
6.125%, 10/01/2022		995		1,050
5.625%, 08/01/2024 (B)		2,080		2,127
5.375%, 04/01/2021		3,500		3,631
5.125%, 02/15/2027 (B)		955		934
Sirius XM Radio
6.000%, 07/15/2024 (B)		748		798
5.750%, 08/01/2021 (B)		270		283
5.375%, 04/15/2025 (B)		5,120		5,286
5.375%, 07/15/2026 (B)		1,875		1,936
4.625%, 05/15/2023 (B)		1,000		1,000
Six Flags Entertainment
5.250%, 01/15/2021 (B)		3,200		3,304
4.875%, 07/31/2024 (B)		625		631
Spanish Broadcasting System
12.500%, 04/15/2017 (B)		1,603		1,603
Taylor Morrison Communities
5.625%, 03/01/2024 (B)		1,755		1,808
TEGNA
6.375%, 10/15/2023		65		70
Tempur Sealy International
5.625%, 10/15/2023		695		731
5.500%, 06/15/2026 (B)		455		469
Tenneco
5.000%, 07/15/2026		340		344
TI Group Automotive Systems
8.750%, 07/15/2023 (B)		4,509		4,904
Time
5.750%, 04/15/2022 (B)		740		727
Time Warner Cable
6.750%, 06/15/2039		525		639
5.500%, 09/01/2041		710		758
Townsquare Media
6.500%, 04/01/2023 (B)		2,681		2,721




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Tribune Media
5.875%, 07/15/2022	$	2,555	$	2,585
TRU Taj
12.000%, 08/15/2021 (B)		2,410		2,428
UCI International
8.625%, 02/15/2019 (A)		1,165		245
Unitymedia GmbH
6.125%, 01/15/2025 (B)		795		834
Unitymedia Hessen GmbH & KG
5.500%, 01/15/2023 (B)		2,480		2,573
5.000%, 01/15/2025 (B)		1,100		1,114
Univision Communications
8.500%, 05/15/2021 (B)		1,056		1,093
5.125%, 02/15/2025 (B)		3,015		3,034
UPCB Finance IV
5.375%, 01/15/2025 (B)		1,630		1,638
Videotron
5.375%, 06/15/2024 (B)		635		660
5.000%, 07/15/2022		1,975		2,061
Viking Cruises
8.500%, 10/15/2022 (B)		1,490		1,527
6.250%, 05/15/2025 (B)		4,215		3,941
Virgin Media Finance
5.750%, 01/15/2025 (B)		397		402
Virgin Media Secured Finance
5.500%, 01/15/2025 (B)		200		204
5.500%, 08/15/2026 (B)		480		490
5.250%, 01/15/2026 (B)		3,335		3,385
Vista Outdoor
5.875%, 10/01/2023 (B)		770		805
VTR Finance
6.875%, 01/15/2024 (B)		1,665		1,739
Wave Holdco PIK
8.250%, 07/15/2019 (B)		416		418
WideOpenWest Finance
10.250%, 07/15/2019		1,375		1,447
WMG Acquisition
6.000%, 01/15/2021 (B)		851		883
5.625%, 04/15/2022 (B)		65		67
5.000%, 08/01/2023 (B)		420		426
Wynn Las Vegas
5.500%, 03/01/2025 (B)		2,565		2,597
4.250%, 05/30/2023 (B)		479		460
Yum! Brands
6.875%, 11/15/2037		3,420		3,506
5.350%, 11/01/2043		130		112
ZF North America Capital
4.750%, 04/29/2025 (B)		1,055		1,108
4.500%, 04/29/2022 (B)		425		451
Ziggo Bond Finance BV
5.875%, 01/15/2025 (B)		926		926




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Ziggo Secured Finance BV
5.500%, 01/15/2027 (B)	$	3,065	$	3,061

				389,660


Consumer Staples — 2.9%
Albertsons
6.625%, 06/15/2024 (B)		990		1,030
5.750%, 03/15/2025 (B)		1,525		1,521
Bumble Bee Holdco PIK
9.625%, 03/15/2018 (B)		2,092		2,076
Bumble Bee Holdings
9.000%, 12/15/2017 (B)		1,106		1,112
Central Garden & Pet
6.125%, 11/15/2023		680		728
Cott Beverages
5.375%, 07/01/2022		1,315		1,354
CVS Health
5.000%, 12/01/2024		1,000		1,158
Darling Ingredients
5.375%, 01/15/2022		125		130
Elizabeth Arden
7.375%, 03/15/2021		2,359		2,444
Energizer Holdings
5.500%, 06/15/2025 (B)		775		798
Fresh Market
9.750%, 05/01/2023 (B)		2,105		1,879
HRG Group
7.750%, 01/15/2022		2,062		2,137
KeHE Distributors
7.625%, 08/15/2021 (B)		1,900		1,886
NBTY
7.625%, 05/15/2021 (B)		1,300		1,329
New Albertsons
8.700%, 05/01/2030		360		365
8.000%, 05/01/2031		9,435		9,411
7.750%, 06/15/2026		160		160
7.450%, 08/01/2029		1,605		1,573
Post Holdings
8.000%, 07/15/2025 (B)		420		481
7.750%, 03/15/2024 (B)		2,590		2,901
6.000%, 12/15/2022 (B)		270		285
5.000%, 08/15/2026 (B)(C)		5,328		5,301
Rite Aid
7.700%, 02/15/2027		2,550		3,264
6.125%, 04/01/2023 (B)(C)		4,446		4,798
Spectrum Brands
6.625%, 11/15/2022		990		1,069
6.125%, 12/15/2024		1,455		1,576
5.750%, 07/15/2025		926		1,000
SUPERVALU
6.750%, 06/01/2021		3,545		3,315




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
TreeHouse Foods
6.000%, 02/15/2024 (B)	$	275	$	296

				55,377


Energy — 10.7%
Alberta Energy
8.125%, 09/15/2030		135		160
7.375%, 11/01/2031		110		121
American Greetings
7.375%, 12/01/2021		555		577
Anadarko Petroleum
4.500%, 07/15/2044		1,857		1,704
Antero Midstream Partners
5.375%, 09/15/2024 (B)(C)		609		617
Antero Resources
6.000%, 12/01/2020		700		723
5.625%, 06/01/2023		2,085		2,124
5.375%, 11/01/2021		505		511
5.125%, 12/01/2022		1,654		1,666
Archrock Partners
6.000%, 04/01/2021		475		445
Atwood Oceanics
6.500%, 02/01/2020		350		276
Basic Energy Services
7.750%, 02/15/2019 (A)		2,680		992
7.750%, 10/15/2022		865		320
Bellatrix Exploration
8.500%, 05/15/2020 (B)		1,606		1,494
Berry Petroleum(A)
6.750%, 11/01/2020		1,060		604
6.375%, 09/15/2022		2,218		1,253
Blue Racer Midstream
6.125%, 11/15/2022 (B)		4,410		4,311
Boardwalk Pipelines
5.950%, 06/01/2026		425		470
Calfrac Holdings
7.500%, 12/01/2020 (B)		1,883		1,257
California Resources
8.000%, 12/15/2022 (B)		1,185		788
Callon Petroleum
6.125%, 10/01/2024 (B)(C)		2,334		2,416
Calumet Specialty Products Partners
7.625%, 01/15/2022		1,615		1,304
Carrizo Oil & Gas
6.250%, 04/15/2023		195		193
CHC Helicopter
9.250%, 10/15/2020 (A)		139		67
Chesapeake Energy
8.000%, 12/15/2022 (B)		4,697		4,762
7.250%, 12/15/2018		628		637
6.875%, 11/15/2020 (C)		160		150
6.500%, 08/15/2017 (C)		1,879		1,907




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
6.125%, 02/15/2021	$	785	$	720
Cloud Peak Energy Resources
8.500%, 12/15/2019 (C)		887		710
Concho Resources
5.500%, 10/01/2022		550		571
5.500%, 04/01/2023		1,610		1,660
CONSOL Energy
5.875%, 04/15/2022		1,521		1,399
Continental Resources
5.000%, 09/15/2022		2,213		2,207
4.500%, 04/15/2023		1,556		1,494
Contura Energy
10.000%, 08/01/2021 (B)		926		954
Crestwood Midstream Partners
6.250%, 04/01/2023		365		370
CSI Compressco
7.250%, 08/15/2022		195		184
DCP Midstream
5.850%, 05/21/2043 (B)(G)		646		536
5.350%, 03/15/2020 (B)		1,856		1,902
Denbury Resources
5.500%, 05/01/2022		815		585
4.625%, 07/15/2023		1,484		987
Enable Midstream Partners
3.900%, 05/15/2024		1,560		1,455
Encana
7.200%, 11/01/2031		215		239
6.625%, 08/15/2037		410		430
6.500%, 08/15/2034		1,869		1,959
Endeavor Energy Resources
7.000%, 08/15/2021 (B)		1,611		1,655
Energy Transfer Equity
7.500%, 10/15/2020		1,019		1,118
5.875%, 01/15/2024		3,631		3,767
5.500%, 06/01/2027		1,050		1,045
Energy Transfer Partners
6.625%, 10/15/2036		440		479
6.500%, 02/01/2042		95		99
6.125%, 12/15/2045		1,100		1,149
6.050%, 06/01/2041		110		111
5.150%, 02/01/2043		175		161
4.900%, 03/15/2035		800		738
EnLink Midstream Partners
5.050%, 04/01/2045		1,558		1,379
4.400%, 04/01/2024		560		547
4.150%, 06/01/2025		1,533		1,468
2.700%, 04/01/2019		805		800
EP Energy
9.375%, 05/01/2020		1,685		1,192
7.750%, 09/01/2022		435		259
Extraction Oil & Gas Holdings
7.875%, 07/15/2021 (B)		2,235		2,324




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
FTS International
8.350%, 06/15/2020 (B)(G)	$	1,098	$	933
Genesis Energy
6.750%, 08/01/2022		2,470		2,545
6.000%, 05/15/2023		1,733		1,720
5.750%, 02/15/2021		105		105
Gibson Energy
6.750%, 07/15/2021 (B)		5,050		5,164
Halcon Resources
8.625%, 02/01/2020 (B)		1,709		1,718
Hiland Partners Holdings
7.250%, 10/01/2020 (B)		2,634		2,729
5.500%, 05/15/2022 (B)		975		1,014
Hilcorp Energy I
5.750%, 10/01/2025 (B)		621		618
5.000%, 12/01/2024 (B)		667		639
IronGate Energy Services
11.000%, 07/01/2018 (A)(B)		400		96
Jupiter Resources
8.500%, 10/01/2022 (B)		5,490		4,612
Kinder Morgan
5.000%, 02/15/2021 (B)		441		477
Laredo Petroleum
7.375%, 05/01/2022		450		465
Legacy Reserves
8.000%, 12/01/2020		794		429
Linn Energy
6.250%, 11/01/2019 (A)(C)		4,035		1,016
MEG Energy
7.000%, 03/31/2024 (B)		4,520		3,571
6.500%, 03/15/2021 (B)		1,016		829
6.375%, 01/30/2023 (B)		1,140		902
Memorial Production Partners
7.625%, 05/01/2021		3,100		1,565
6.875%, 08/01/2022		4,630		2,234
Midstates Petroleum(A)
10.750%, 10/01/2020 (C)		2,540		25
10.000%, 06/01/2020		720		482
9.250%, 06/01/2021		360		4
Milagro Oil & Gas
10.500%, 05/15/2016 (A)(C)		1,700		599
MPLX
5.500%, 02/15/2023		280		289
4.875%, 12/01/2024		3,184		3,293
4.875%, 06/01/2025		1,685		1,741
Murphy Oil
6.875%, 08/15/2024		420		434
Murray Energy
11.250%, 04/15/2021 (B)		1,440		810
Newfield Exploration
5.750%, 01/30/2022		680		702
5.625%, 07/01/2024		905		928




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
5.375%, 01/01/2026	$	1,820	$	1,825
Noble Holding International
5.000%, 03/16/2018		2,210		2,177
Northern Oil & Gas
8.000%, 06/01/2020		1,255		954
NuStar Logistics
6.750%, 02/01/2021		1,110		1,196
Oasis Petroleum
6.875%, 03/15/2022		1,585		1,518
6.875%, 01/15/2023		605		578
6.500%, 11/01/2021		285		272
ONEOK
7.500%, 09/01/2023		1,400		1,568
Parker Drilling
6.750%, 07/15/2022		6,215		4,848
Parsley Energy
6.250%, 06/01/2024 (B)(C)		110		114
PBF Holding
7.000%, 11/15/2023 (B)		805		759
PDC Energy
6.125%, 09/15/2024 (B)(C)		246		255
Peabody Energy
6.250%, 11/15/2021 (A)(C)		420		101
Permian Resources
8.000%, 06/15/2020 (B)		1,911		1,901
Pride International
8.500%, 06/15/2019		923		1,004
Range Resources
4.875%, 05/15/2025		435		418
Regency Energy Partners
5.875%, 03/01/2022		2,715		2,994
5.500%, 04/15/2023		510		526
5.000%, 10/01/2022		325		343
Rice Energy
7.250%, 05/01/2023		1,140		1,220
Rose Rock Midstream
5.625%, 07/15/2022		4,085		3,758
5.625%, 11/15/2023		1,425		1,297
Rowan
5.850%, 01/15/2044		1,129		782
RSP Permian
6.625%, 10/01/2022		250		262
Sabine Pass Liquefaction
6.250%, 03/15/2022		2,160		2,360
5.875%, 06/30/2026 (B)		1,435		1,560
5.750%, 05/15/2024		3,325		3,578
5.625%, 02/01/2021		3,395		3,586
5.625%, 04/15/2023		1,845		1,970
5.625%, 03/01/2025		928		998
5.000%, 03/15/2027 (B)(C)		1,015		1,040
Sanchez Energy
7.750%, 06/15/2021		120		106




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
6.125%, 01/15/2023	$	575	$	461
SandRidge Energy(A)
8.750%, 01/15/2020		212		12
8.750%, 06/01/2020 (B)(C)		2,485		895
8.125%, 10/15/2022		26		1
7.500%, 02/15/2023		3,515		202
SemGroup
7.500%, 06/15/2021		305		305
SESI LLC
7.125%, 12/15/2021		5,327		5,207
Seventy Seven Energy
6.500%, 07/15/2022 (A)		305		–
Seventy Seven Operating
6.625%, 11/15/2019 (A)		1,869		–
SM Energy
6.750%, 09/15/2026		1,448		1,462
6.500%, 01/01/2023		180		182
6.125%, 11/15/2022		465		465
5.625%, 06/01/2025		295		277
Southwestern Energy
6.700%, 01/23/2025		1,235		1,235
4.100%, 03/15/2022		932		846
Summit Midstream Holdings
5.500%, 08/15/2022		1,548		1,474
Tallgrass Energy Partners
5.500%, 09/15/2024 (B)(C)		1,154		1,163
Targa Resources Partners
6.875%, 02/01/2021		1,084		1,119
6.750%, 03/15/2024		2,385		2,552
6.625%, 10/01/2020		1,869		1,932
5.250%, 05/01/2023		40		40
5.125%, 02/01/2025 (B)(C)		160		160
4.250%, 11/15/2023		3,200		3,092
Tesoro Logistics
6.375%, 05/01/2024		250		268
6.250%, 10/15/2022		255		272
6.125%, 10/15/2021		535		559
5.875%, 10/01/2020		783		806
Transocean
6.000%, 03/15/2018		2,173		2,184
Tullow Oil
6.250%, 04/15/2022 (B)		1,274		1,140
6.000%, 11/01/2020 (B)		651		587
Unit
6.625%, 05/15/2021		2,130		1,797
Walter Energy
8.500%, 04/15/2021 (A)		1,455		–
Weatherford International
8.250%, 06/15/2023		1,662		1,641
6.750%, 09/15/2040		2,230		1,594
5.950%, 04/15/2042		4,110		2,815




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Western Refining
6.250%, 04/01/2021	$	624	$	616
Western Refining Logistics
7.500%, 02/15/2023		1,135		1,163
Whiting Petroleum
6.500%, 10/01/2018		400		394
6.250%, 04/01/2023		2,260		2,062
5.750%, 03/15/2021		1,099		1,028
Williams
4.550%, 06/24/2024		802		818
Williams Partners
6.300%, 04/15/2040		365		401
6.125%, 07/15/2022		620		644
5.800%, 11/15/2043		460		479
5.400%, 03/04/2044		290		289
4.900%, 01/15/2045		815		775
4.875%, 05/15/2023		75		76
4.875%, 03/15/2024		1,527		1,543
4.000%, 09/15/2025		335		335
3.900%, 01/15/2025		505		504
Williams, Ser A
7.500%, 01/15/2031		176		201
WPX Energy
8.250%, 08/01/2023		1,241		1,334
6.000%, 01/15/2022		1,365		1,362
5.250%, 09/15/2024		140		132

				207,959


Financials — 4.9%
AAF Holdings PIK
12.000%, 07/01/2019 (B)		1,082		1,109
Ally Financial
8.000%, 03/15/2020		375		428
5.750%, 11/20/2025		4,105		4,295
5.125%, 09/30/2024		7,618		8,075
4.625%, 05/19/2022		805		829
4.625%, 03/30/2025		1,450		1,486
4.250%, 04/15/2021		145		148
4.125%, 03/30/2020		595		605
3.500%, 01/27/2019		1,480		1,493
American Equity Investment Life Holding
6.625%, 07/15/2021		1,900		1,980
Bank of America(G)
8.000%, 12/29/2049		1,580		1,612
6.500%, 12/31/2049		2,280		2,470
5.125%, 12/31/2049		1,917		1,883
BCD Acquisition
9.625%, 09/15/2023 (B)		1,335		1,395
Care Capital Properties
5.125%, 08/15/2026 (B)		3,301		3,300
CIT Group
6.625%, 04/01/2018 (B)		250		265




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
5.500%, 02/15/2019 (B)	$	2,940	$	3,113
3.875%, 02/19/2019		940		960
Citigroup(G)
6.250%, 12/29/2049		840		904
5.950%, 12/29/2049		1,950		2,020
City National Bank
9.000%, 08/12/2019		3,384		3,984
Credit Acceptance
7.375%, 03/15/2023		3,935		4,073
6.125%, 02/15/2021		345		347
Credit Suisse Group
7.500%, 12/11/2048 (B)(G)		1,365		1,389
CTR Partnership
5.875%, 06/01/2021		1,970		2,039
Double Eagle Acquisition Sub
7.500%, 10/01/2024 (B)(C)		838		853
FBM Finance
8.250%, 08/15/2021 (B)(C)		707		739
HUB International
9.250%, 02/15/2021 (B)		350		364
7.875%, 10/01/2021 (B)		4,510		4,600
Infinity Acquisition
7.250%, 08/01/2022 (B)		585		509
Jefferies Finance
6.875%, 04/15/2022 (B)		2,645		2,460
JPMorgan Chase(G)
7.900%, 04/29/2049		1,967		2,021
6.750%, 08/29/2049		2,385		2,632
6.000%, 12/29/2049		3,525		3,679
Lloyds Banking Group
7.500%, 12/01/2099 (G)		2,665		2,752
Mattamy Group
6.500%, 11/15/2020 (B)		1,105		1,102
MGIC Investment
5.750%, 08/15/2023		2,070		2,153
MSCI
5.750%, 08/15/2025 (B)		566		604
5.250%, 11/15/2024 (B)		1,310		1,387
4.750%, 08/01/2026 (B)		955		967
National Life Insurance
10.500%, 09/15/2039 (B)		990		1,518
Nationstar Mortgage
6.500%, 08/01/2018		1,350		1,372
6.500%, 07/01/2021		1,525		1,494
Navient
7.250%, 09/25/2023		1,380		1,380
6.625%, 07/26/2021		2,200		2,216
NSG Holdings
7.750%, 12/15/2025 (B)		1,765		1,898
Popular
7.000%, 07/01/2019		2,488		2,563




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Royal Bank of Scotland Group PLC
8.000%, 12/29/2049 (G)	$	1,340	$	1,260
5.125%, 05/28/2024		780		781
USI
7.750%, 01/15/2021 (B)		1,240		1,259
Walter Investment Management
4.500%, 11/01/2019		521		299
Wells Fargo
7.980%, 03/15/2018 (G)		950		993
York Risk Services Holding
8.500%, 10/01/2022 (B)		2,250		1,749

				95,806


Health Care — 8.9%
21st Century Oncology
11.000%, 05/01/2023 (B)		605		515
Acadia Healthcare
6.500%, 03/01/2024		611		640
5.625%, 02/15/2023		1,170		1,188
5.125%, 07/01/2022		1,600		1,584
Alere
6.500%, 06/15/2020		215		215
6.375%, 07/01/2023 (B)		1,819		1,855
AMN Healthcare
5.125%, 10/01/2024 (B)(C)		2,569		2,595
Amsurg
5.625%, 07/15/2022		3,975		4,064
Aurora Diagnostics Holdings
10.750%, 01/15/2018		4,535		3,401
BioScrip
8.875%, 02/15/2021		500		467
Centene
6.125%, 02/15/2024		660		716
5.625%, 02/15/2021		660		700
CHS
8.000%, 11/15/2019		1,474		1,445
5.125%, 08/01/2021		700		695
Concordia International
9.500%, 10/21/2022 (B)		1,953		1,352
Crimson Merger
6.625%, 05/15/2022 (B)		4,320		3,812
DaVita HealthCare Partners
5.125%, 07/15/2024		2,465		2,514
5.000%, 05/01/2025		5,720		5,741
DJO Finco
8.125%, 06/15/2021 (B)		2,255		2,092
DPx Holdings
7.500%, 02/01/2022 (B)		530		560
Endo
6.000%, 07/15/2023 (B)		2,618		2,382
Fresenius Medical Care US Finance II
4.750%, 10/15/2024 (B)		800		840




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
4.125%, 10/15/2020 (B)	$	2,250	$	2,369
Gates Global
6.000%, 07/15/2022 (B)		545		518
Grifols Worldwide Operations
5.250%, 04/01/2022		2,845		2,945
HCA
7.500%, 02/15/2022		3,720		4,269
5.875%, 05/01/2023		4,660		4,963
5.875%, 02/15/2026		3,115		3,321
5.375%, 02/01/2025		6,325		6,531
5.250%, 04/15/2025		2,495		2,660
5.250%, 06/15/2026		2,253		2,394
5.000%, 03/15/2024		488		515
HealthSouth
5.750%, 11/01/2024		1,900		1,968
5.750%, 09/15/2025		2,037		2,124
5.125%, 03/15/2023		463		462
Hill-Rom Holdings
5.750%, 09/01/2023 (B)		2,360		2,519
Hologic
5.250%, 07/15/2022 (B)		705		748
IASIS Healthcare
8.375%, 05/15/2019		4,572		4,138
IMS Health
6.000%, 11/01/2020 (B)		685		695
5.000%, 10/15/2026 (B)		4,945		5,143
inVentiv Health PIK
10.000%, 08/15/2018 (B)(C)		640		657
inVentiv Health
10.000%, 08/15/2018		388		388
9.000%, 01/15/2018 (B)		980		1,006
Ironwood Pharmaceuticals
11.000%, 06/15/2024 (B)		2,279		2,313
Jaguar Holding II
6.375%, 08/01/2023 (B)		530		551
Kindred Healthcare
8.750%, 01/15/2023		1,160		1,160
8.000%, 01/15/2020		1,060		1,079
6.375%, 04/15/2022		3,975		3,766
Kinetic Concepts
12.500%, 11/01/2019		430		428
10.500%, 11/01/2018		1,510		1,587
9.625%, 10/01/2021 (B)(C)		3,470		3,470
7.875%, 02/15/2021 (B)		1,946		2,107
LifePoint Hospitals
5.500%, 12/01/2021		2,940		3,065
Mallinckrodt International Finance
5.750%, 08/01/2022 (B)		1,965		1,938
5.625%, 10/15/2023 (B)		690		661
5.500%, 04/15/2025 (B)		2,346		2,229
4.875%, 04/15/2020 (B)		205		209
4.750%, 04/15/2023		4,751		4,276




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Molina Healthcare
5.375%, 11/15/2022	$	406	$	419
MPH Acquisition Holdings
7.125%, 06/01/2024 (B)		649		698
Opal Acquisition
8.875%, 12/15/2021 (B)		2,678		2,196
Prestige Brands
6.375%, 03/01/2024 (B)		220		234
5.375%, 12/15/2021 (B)		1,225		1,268
Quintiles Transnational
4.875%, 05/15/2023 (B)		1,980		2,034
Quorum Health
11.625%, 04/15/2023 (B)		1,193		990
RegionalCare Hospital Partners Holdings
8.250%, 05/01/2023 (B)		784		809
Select Medical
6.375%, 06/01/2021		2,690		2,646
Sterigenics-Nordion Holdings
6.500%, 05/15/2023 (B)		1,300		1,352
Surgical Care Affiliates
6.000%, 04/01/2023 (B)		667		700
Tenet Healthcare
8.125%, 04/01/2022		3,160		3,160
8.000%, 08/01/2020		660		667
6.750%, 02/01/2020		1,861		1,828
6.750%, 06/15/2023		7,636		7,101
6.000%, 10/01/2020		455		481
5.500%, 03/01/2019		1,323		1,300
4.750%, 06/01/2020		115		117
4.500%, 04/01/2021		260		262
4.350%, 06/15/2020 (G)		545		548
Valeant Pharmaceuticals International
7.250%, 07/15/2022 (B)		1,220		1,132
7.000%, 10/01/2020 (B)		2,770		2,687
6.750%, 08/15/2021 (B)		905		851
6.125%, 04/15/2025 (B)		6,494		5,593
5.875%, 05/15/2023 (B)		2,231		1,924
5.500%, 03/01/2023 (B)		3,193		2,730
5.375%, 03/15/2020 (B)		701		648
Valeant Pharmaceuticals International Escrow
7.500%, 07/15/2021 (B)		8,615		8,340
6.750%, 08/15/2018 (B)		235		236
Vizient
10.375%, 03/01/2024 (B)		910		1,044

				172,540


Industrials — 7.0%
ACCO Brands
6.750%, 04/30/2020		785		828
Actuant
5.625%, 06/15/2022		3,000		3,126




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
ADT
3.500%, 07/15/2022	$	1,025	$	987
Advanced Disposal Services
8.250%, 10/01/2020		3,055		3,208
AECOM
5.875%, 10/15/2024		330		352
5.750%, 10/15/2022		135		142
AerCap Ireland Capital
4.625%, 10/30/2020		310		325
4.625%, 07/01/2022		275		289
4.500%, 05/15/2021		2,637		2,759
Air Medical Merger
6.375%, 05/15/2023 (B)		3,305		3,198
Aircastle
7.625%, 04/15/2020		210		239
5.125%, 03/15/2021		110		118
5.000%, 04/01/2023		525		550
Algeco Scotsman Global Finance
8.500%, 10/15/2018 (B)		1,565		1,416
Allegion
5.875%, 09/15/2023		435		469
Allegion US Holding
5.750%, 10/01/2021		340		355
Allison Transmission
5.000%, 10/01/2024 (B)		1,118		1,146
American Builders & Contractors Supply
5.750%, 12/15/2023 (B)		665		694
5.625%, 04/15/2021 (B)		700		724
APX Group
8.750%, 12/01/2020		3,765		3,690
Associated Materials
9.125%, 11/01/2017		190		179
Avis Budget Car Rental
6.375%, 04/01/2024 (B)		730		745
5.500%, 04/01/2023		825		832
5.125%, 06/01/2022 (B)		75		75
Beacon Roofing Supply
6.375%, 10/01/2023		895		967
BMC East
5.500%, 10/01/2024 (B)(C)		1,495		1,495
Bombardier
7.500%, 03/15/2025 (B)		1,195		1,101
6.000%, 10/15/2022 (B)		4,411		3,992
Builders FirstSource
5.625%, 09/01/2024 (B)		2,705		2,773
CDW
5.000%, 09/01/2023		1,750		1,807
CEB
5.625%, 06/15/2023 (B)		460		453
Cenveo
8.500%, 09/15/2022 (B)		5,325		3,834
6.000%, 08/01/2019 (B)		4,380		3,887


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Ceridian HCM Holding
11.000%, 03/15/2021 (B)	$	827	$	875
CEVA Group
7.000%, 03/01/2021 (B)		950		769
Clean Harbors
5.250%, 08/01/2020		1,755		1,803
5.125%, 06/01/2021		260		266
Cloud Crane
10.125%, 08/01/2024 (B)		3,086		3,194
CNH Industrial Capital
4.875%, 04/01/2021		730		776
4.375%, 11/06/2020		565		590
Cortes NP Acquisition
9.250%, 10/15/2024 (B)		82		82
DigitalGlobe
5.250%, 02/01/2021 (B)		5,468		5,427
FGI Operating
7.875%, 05/01/2020		910		755
Florida East Coast Holdings
6.750%, 05/01/2019 (B)		2,139		2,192
Gardner Denver
6.875%, 08/15/2021 (B)		1,827		1,713
General Cable
5.750%, 10/01/2022		1,035		983
Global A&T Electronics
10.000%, 02/01/2019 (B)		400		316
Great Lakes Dredge & Dock
7.375%, 02/01/2019		1,087		1,065
H&E Equipment Services
7.000%, 09/01/2022		835		881
HD Supply
5.750%, 04/15/2024 (B)		1,225		1,286
5.250%, 12/15/2021 (B)		375		397
Hertz
7.375%, 01/15/2021		365		379
6.250%, 10/15/2022		1,500		1,545
5.875%, 10/15/2020		280		289
5.500%, 10/15/2024 (B)(C)		440		438
Huntington Ingalls Industries
5.000%, 11/15/2025 (B)		1,251		1,323
Icahn Enterprises
5.875%, 02/01/2022		1,915		1,838
4.875%, 03/15/2019		1,632		1,640
International Lease Finance
6.250%, 05/15/2019		800		867
5.875%, 04/01/2019		655		702
4.625%, 04/15/2021		35		37
Jack Cooper Enterprises PIK
10.500%, 03/15/2019 (B)		445		116
Jack Cooper Holdings
9.250%, 06/01/2020		1,095		745


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
James Hardie International Finance
5.875%, 02/15/2023 (B)	$	610	$	647
KLX
5.875%, 12/01/2022 (B)		2,075		2,148
Kratos Defense & Security Solutions
7.000%, 05/15/2019		731		680
LSC Communications
8.750%, 10/15/2023 (B)		340		339
Manitowoc Foodservice
9.500%, 02/15/2024		240		275
Masonite International
5.625%, 03/15/2023 (B)		475		501
NCI Building Systems
8.250%, 01/15/2023 (B)		1,095		1,191
Nielsen Finance
5.000%, 04/15/2022 (B)		4,369		4,511
Nielsen Luxembourg
5.500%, 10/01/2021 (B)		205		214
Novelis
6.250%, 08/15/2024 (B)		230		244
5.875%, 09/30/2026 (B)		775		793
Oshkosh
5.375%, 03/01/2022		420		442
5.375%, 03/01/2025		170		178
Prime Security Services Borrower
9.250%, 05/15/2023 (B)		6,869		7,487
RR Donnelley & Sons
7.625%, 06/15/2020		953		1,032
Sensata Technologies
5.625%, 11/01/2024 (B)		395		417
5.000%, 10/01/2025 (B)		1,039		1,062
4.875%, 10/15/2023 (B)		2,015		2,096
Sensata Technologies UK Financing
6.250%, 02/15/2026 (B)		2,235		2,419
SPX FLOW
5.875%, 08/15/2026 (B)		701		709
5.625%, 08/15/2024 (B)(C)		631		640
Standard Industries
6.000%, 10/15/2025 (B)		345		369
5.500%, 02/15/2023 (B)		410		428
StandardAero Aviation Holdings
10.000%, 07/15/2023 (B)		5,800		6,224
Terex
6.500%, 04/01/2020		480		492
6.000%, 05/15/2021		3,140		3,211
TransDigm
6.500%, 07/15/2024		620		652
6.500%, 05/15/2025		850		885
6.375%, 06/15/2026 (B)		623		643
Triumph Group
4.875%, 04/01/2021		925		886



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
United Rentals North America
7.625%, 04/15/2022	$	680	$	724
6.125%, 06/15/2023		680		713
5.875%, 09/15/2026		2,355		2,426
5.750%, 11/15/2024		1,305		1,354
5.500%, 07/15/2025		1,245		1,270
Univar
6.750%, 07/15/2023 (B)		396		408
West
5.375%, 07/15/2022 (B)		650		637
Xerium Technologies
9.500%, 08/15/2021 (B)		2,380		2,410
XPO Logistics
6.500%, 06/15/2022 (B)		790		824
6.125%, 09/01/2023 (B)		800		820
Zekelman Industries
9.875%, 06/15/2023 (B)		2,427		2,560

				136,005


Information Technology — 7.8%
ACI Worldwide
6.375%, 08/15/2020 (B)		510		527
Activision Blizzard
5.625%, 09/15/2021 (B)		3,500		3,652
Advanced Micro Devices
7.500%, 08/15/2022		1,540		1,580
7.000%, 07/01/2024		1,395		1,371
Aegis Merger
10.250%, 02/15/2023 (B)		5,353		5,861
Alliance Data Systems
5.375%, 08/01/2022 (B)		1,058		1,032
Amkor Technology
6.625%, 06/01/2021		616		634
6.375%, 10/01/2022		1,720		1,776
Anixter
5.500%, 03/01/2023		1,675		1,755
Aspect Software
3.000%, 05/23/2023 (H)		273		273
Avaya
10.500%, 03/01/2021 (B)		699		154
9.000%, 04/01/2019 (B)		1,760		1,316
7.000%, 04/01/2019 (B)		1,959		1,445
Bankrate
6.125%, 08/15/2018 (B)		2,296		2,319
Belden
5.500%, 09/01/2022 (B)		845		881
BMC Software Finance
8.125%, 07/15/2021 (B)		6,238		5,661
Boxer Parent PIK
9.000%, 10/15/2019 (B)		3,070		2,778
Camelot Finance
7.875%, 10/15/2024 (B)(C)		64		66



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Cardtronics
5.125%, 08/01/2022	$	2,350	$	2,403
Cimpress
7.000%, 04/01/2022 (B)		237		247
CommScope
5.500%, 06/15/2024 (B)		2,436		2,558
CommScope Technologies Finance
6.000%, 06/15/2025 (B)		2,747		2,929
Diamond 1 Finance
8.350%, 07/15/2046 (B)		2,365		2,832
8.100%, 07/15/2036 (B)		1,970		2,316
7.125%, 06/15/2024 (B)		4,133		4,546
6.020%, 06/15/2026 (B)		2,281		2,501
5.875%, 06/15/2021 (B)		1,017		1,080
5.450%, 06/15/2023 (B)		915		980
Donnelley Financial Solutions
8.250%, 10/15/2024 (B)(C)		1,206		1,221
EarthLink Holdings
7.375%, 06/01/2020		1,950		2,050
Entegris
6.000%, 04/01/2022 (B)		1,655		1,713
First Data
7.000%, 12/01/2023 (B)		3,319		3,510
5.750%, 01/15/2024 (B)		5,043		5,182
5.375%, 08/15/2023 (B)		2,424		2,497
5.000%, 01/15/2024 (B)		5,167		5,244
Harland Clarke Holdings
9.750%, 08/01/2018 (B)		865		889
9.250%, 03/01/2021 (B)		8,273		7,032
Hughes Satellite Systems
7.625%, 06/15/2021		2,100		2,239
6.625%, 08/01/2026 (B)		140		135
5.250%, 08/01/2026 (B)(C)		900		889
Infor Software Parent PIK
7.125%, 05/01/2021 (B)(C)		1,180		1,145
Infor US
6.500%, 05/15/2022		2,040		2,065
Informatica
7.125%, 07/15/2023 (B)		2,354		2,201
JDA Escrow
7.375%, 10/15/2024 (B)(C)		268		275
Magnachip Semiconductor
6.625%, 07/15/2021		915		817
Micron Technology
7.500%, 09/15/2023 (B)		3,620		4,021
5.875%, 02/15/2022		1,740		1,775
5.250%, 08/01/2023 (B)		2,655		2,622
5.250%, 01/15/2024 (B)		1,285		1,234
Microsemi
9.125%, 04/15/2023 (B)		765		872
NCR
5.000%, 07/15/2022		2,015		2,060



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
NeuStar
4.500%, 01/15/2023	$	1,985	$	1,777
Nortel Networks
0.000%, 07/15/2011 (A)		1,605		1,485
NXP BV
4.625%, 06/01/2023 (B)		1,761		1,926
4.125%, 06/01/2021 (B)		1,068		1,144
3.875%, 09/01/2022 (B)		1,000		1,047
NXP Funding
5.750%, 02/15/2021 (B)		780		811
5.750%, 03/15/2023 (B)		685		735
Open Text
5.875%, 06/01/2026 (B)		1,588		1,661
Plantronics
5.500%, 05/31/2023 (B)		3,210		3,306
PTC
6.000%, 05/15/2024		670		715
Qorvo
7.000%, 12/01/2025		1,340		1,454
6.750%, 12/01/2023		1,072		1,156
Riverbed Technology
8.875%, 03/01/2023 (B)		1,060		1,133
Sabre
5.375%, 04/15/2023 (B)		1,650		1,695
5.250%, 11/15/2023 (B)		3,305		3,363
VeriSign
5.250%, 04/01/2025		500		525
4.625%, 05/01/2023		1,300		1,318
Veritas US
7.500%, 02/01/2023 (B)		1,729		1,664
Western Digital
10.500%, 04/01/2024 (B)		6,111		7,089
7.375%, 04/01/2023 (B)		1,143		1,257
WEX
4.750%, 02/01/2023 (B)		2,230		2,199
Zayo Group
6.375%, 05/15/2025		555		588
6.000%, 04/01/2023		4,255		4,468
Zebra Technologies
7.250%, 10/15/2022		1,545		1,674

				151,351


Materials — 6.5%
AK Steel
7.500%, 07/15/2023		1,237		1,317
Albea Beauty Holdings
8.375%, 11/01/2019 (B)		940		982
Alcoa Nederland Holding BV
7.000%, 09/30/2026 (B)(C)		2,723		2,815
6.750%, 09/30/2024 (B)		1,753		1,821
Aleris International
9.500%, 04/01/2021 (B)		1,164		1,254



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
7.875%, 11/01/2020	$	308	$	312
Allegheny Technologies
9.375%, 06/01/2019		1,445		1,552
7.875%, 08/15/2023		675		650
ARD Finance PIK
7.125%, 09/15/2023 (B)(C)		587		584
Ardagh Packaging Finance
7.250%, 05/15/2024 (B)		3,464		3,689
7.000%, 11/15/2020 (B)		77		79
6.750%, 01/31/2021 (B)		225		232
6.000%, 06/30/2021 (B)		2,383		2,449
3.850%, 12/15/2019 (B)(G)		695		705
Ashland
6.875%, 05/15/2043		330		360
4.750%, 08/15/2022		1,460		1,518
Axalta Coating Systems
4.875%, 08/15/2024 (B)		290		297
Ball
5.250%, 07/01/2025		3,427		3,693
5.000%, 03/15/2022		1,150		1,239
Berry Plastics
6.000%, 10/15/2022		190		200
5.125%, 07/15/2023		55		56
Blue Cube Spinco
10.000%, 10/15/2025 (B)		880		1,038
9.750%, 10/15/2023 (B)		4,423		5,197
BlueScope Steel Finance
6.500%, 05/15/2021 (B)		636		673
Boart Longyear Management Properties
10.000%, 10/01/2018 (B)		2,000		1,380
7.000%, 04/01/2021 (B)		4,090		491
Boise Cascade
5.625%, 09/01/2024 (B)		511		519
Chemours
7.000%, 05/15/2025		195		192
6.625%, 05/15/2023		1,110		1,082
Compass Minerals International
4.875%, 07/15/2024 (B)		1,314		1,242
Constellium
7.875%, 04/01/2021 (B)		1,890		2,018
5.750%, 05/15/2024 (B)		710		657
Cornerstone Chemical
9.375%, 03/15/2018 (B)		5,745		5,716
CVR Partners
9.250%, 06/15/2023 (B)		1,317		1,274
First Quantum Minerals
7.250%, 10/15/2019 (B)		3,022		2,871
7.000%, 02/15/2021 (B)		1,257		1,125
6.750%, 02/15/2020 (B)		2,505		2,317
FMG Resources (August 2006) Property Limited
9.750%, 03/01/2022 (B)		1,839		2,133



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Freeport-McMoRan
6.500%, 11/15/2020	$	392	$	402
5.450%, 03/15/2043		3,535		2,837
5.400%, 11/14/2034		950		788
4.550%, 11/14/2024		140		127
3.875%, 03/15/2023		588		528
3.550%, 03/01/2022		165		150
GCP Applied Technologies
9.500%, 02/01/2023 (B)		1,445		1,651
Glencore Funding
4.125%, 05/30/2023 (B)		1,103		1,097
Graphic Packaging International
4.750%, 04/15/2021		1,067		1,139
Hecla Mining
6.875%, 05/01/2021		2,013		2,021
Hexion
10.000%, 04/15/2020		4,084		4,023
Hexion US Finance
8.875%, 02/01/2018		635		605
6.625%, 04/15/2020		4,695		4,132
HudBay Minerals
9.500%, 10/01/2020		941		944
Huntsman International
5.125%, 11/15/2022		1,505		1,565
4.875%, 11/15/2020		100		104
INEOS Group Holdings
5.875%, 02/15/2019 (B)		1,775		1,810
5.625%, 08/01/2024 (B)		1,080		1,060
Kaiser Aluminum
5.875%, 05/15/2024		1,055		1,102
Kraton Polymers
10.500%, 04/15/2023 (B)		600		681
LSB Industries
0.000%, 08/01/2019 (E)		1,080		1,085
Mirabela Nickel
1.000%, 07/31/2044		31		–
New Gold
7.000%, 04/15/2020 (B)		1,055		1,084
6.250%, 11/15/2022 (B)		1,777		1,817
Noranda Aluminum Acquisition
11.000%, 06/01/2019 (A)		355		4
NOVA Chemicals
5.000%, 05/01/2025 (B)		1,611		1,631
Owens-Brockway Glass Container
6.375%, 08/15/2025 (B)		600		661
5.875%, 08/15/2023 (B)		460		494
PaperWorks Industries
9.500%, 08/15/2019 (B)		2,618		2,454
Platform Specialty Products
10.375%, 05/01/2021 (B)		1,364		1,470
6.500%, 02/01/2022 (B)		1,840		1,789



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
PQ
6.750%, 11/15/2022 (B)	$	1,539	$	1,631
Rain CII Carbon
8.250%, 01/15/2021 (B)		6,620		6,455
8.000%, 12/01/2018 (B)		1,555		1,521
Reichhold Holdings
12.000%, 03/31/2017 (H)		821		821
Reichhold Industries
15.000%, 03/13/2017 (H)		466		466
12.000%, 03/31/2017 (H)		290		290
9.000%, 05/08/2017 (A)(B)		859		–
Reynolds Group
9.875%, 08/15/2019		378		389
8.250%, 02/15/2021		1,710		1,783
6.875%, 02/15/2021		280		291
5.750%, 10/15/2020		1,045		1,078
Reynolds Group Issuer
7.000%, 07/15/2024 (B)		1,496		1,604
Sappi Papier Holdings
7.750%, 07/15/2017 (B)		300		307
Scotts Miracle-Gro
6.000%, 10/15/2023 (B)		635		676
Signode Industrial Group
6.375%, 05/01/2022 (B)		2,370		2,400
Teck Resources
8.500%, 06/01/2024 (B)		3,560		4,076
8.000%, 06/01/2021 (B)		174		189
TPC Group
8.750%, 12/15/2020 (B)		809		627
Trinseo Materials Operating
6.750%, 05/01/2022 (B)		400		423
Unifrax I
7.500%, 02/15/2019 (B)		600		561
United States Steel
8.375%, 07/01/2021 (B)		1,536		1,680
US Concrete
6.375%, 06/01/2024		297		308
Valvoline
5.500%, 07/15/2024 (B)		75		79
Versum Materials
5.500%, 09/30/2024 (B)(C)		3,200		3,288
WR Grace & Co.
5.625%, 10/01/2024 (B)		80		87

				126,014


Real Estate — 1.4%
Communications Sales & Leasing
8.250%, 10/15/2023		2,785		2,923
6.000%, 04/15/2023 (B)		1,510		1,567
Corrections Corp of America
5.000%, 10/15/2022		245		222
4.625%, 05/01/2023		1,465		1,286



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Equinix
5.875%, 01/15/2026	$	1,470	$	1,580
5.750%, 01/01/2025		710		754
5.375%, 01/01/2022		200		211
FelCor Lodging
6.000%, 06/01/2025		108		112
GEO Group
6.000%, 04/15/2026		2,290		1,947
5.875%, 01/15/2022		1,370		1,233
5.125%, 04/01/2023		35		30
GLP Capital
5.375%, 04/15/2026		590		634
4.875%, 11/01/2020		643		693
Kennedy-Wilson
5.875%, 04/01/2024		700		705
Lamar Media
5.750%, 02/01/2026		1,125		1,212
MGM Growth Properties Operating Partnership
5.625%, 05/01/2024 (B)		3,470		3,764
4.500%, 09/01/2026 (B)(C)		1,415		1,415
MPT Operating Partnership
5.250%, 08/01/2026		234		243
Realogy Group
4.875%, 06/01/2023 (B)		2,334		2,372
RHP Hotel Properties
5.000%, 04/15/2021		2,508		2,583
5.000%, 04/15/2023		1,120		1,137

				26,623


Telecommunication Services — 6.4%
CenturyLink
7.500%, 04/01/2024		1,672		1,785
6.750%, 12/01/2023		3,685		3,832
5.800%, 03/15/2022		930		953
5.625%, 04/01/2020		1,120		1,184
5.625%, 04/01/2025		1,369		1,311
Clearwire Communications
8.250%, 12/01/2040 (B)		516		536
Cogent Communications Finance
5.625%, 04/15/2021 (B)		1,880		1,908
Cogent Communications Group
5.375%, 03/01/2022 (B)		1,113		1,146
Columbus Cable Barbados
7.375%, 03/30/2021 (B)		595		631
Digicel
6.000%, 04/15/2021 (B)		2,000		1,767
Digicel Group
8.250%, 09/30/2020 (B)(C)		4,085		3,549
6.750%, 03/01/2023 (B)		3,365		2,970
Frontier Communications
11.000%, 09/15/2025		10,414		10,870
10.500%, 09/15/2022		4,182		4,433



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
8.875%, 09/15/2020	$	975	$	1,052
7.625%, 04/15/2024		1,881		1,759
7.125%, 01/15/2023		950		886
6.875%, 01/15/2025		315		279
GCI
6.750%, 06/01/2021		625		642
Inmarsat Finance
6.500%, 10/01/2024 (B)		2,190		2,195
4.875%, 05/15/2022 (B)		1,080		1,026
Intelsat Jackson Holdings
8.000%, 02/15/2024 (B)		2,556		2,562
7.500%, 04/01/2021		2,912		2,199
7.250%, 04/01/2019		445		358
7.250%, 10/15/2020		5,270		4,084
5.500%, 08/01/2023		2,445		1,693
Intelsat Luxembourg
7.750%, 06/01/2021		3,820		1,280
Level 3 Communications
5.750%, 12/01/2022		505		528
Level 3 Financing
5.625%, 02/01/2023		65		68
5.375%, 01/15/2024		570		594
5.375%, 05/01/2025		4,385		4,571
5.125%, 05/01/2023		1,430		1,473
Qwest Capital Funding
7.750%, 02/15/2031		615		597
Sable International Finance
6.875%, 08/01/2022 (B)		650		674
SBA Communications
4.875%, 09/01/2024 (B)		585		589
SoftBank Group
6.000%, 07/30/2025		375		407
5.375%, 07/30/2022		265		279
4.500%, 04/15/2020 (B)(C)		2,951		3,062
Sprint
7.875%, 09/15/2023		11,553		11,625
7.625%, 02/15/2025		8,897		8,808
7.250%, 09/15/2021		2,356		2,365
7.125%, 06/15/2024		860		838
Sprint Capital
8.750%, 03/15/2032		3,745		3,820
6.900%, 05/01/2019		370		382
6.875%, 11/15/2028		4,289		4,026
Sprint Communications
9.000%, 11/15/2018 (B)(C)		715		789
7.000%, 03/01/2020 (B)		445		477
Telecom Italia
5.303%, 05/30/2024 (B)		860		879
T-Mobile USA
6.731%, 04/28/2022		2,020		2,121
6.633%, 04/28/2021		330		347
6.625%, 04/01/2023		2,000		2,148



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
6.500%, 01/15/2024	$	100	$	108
6.500%, 01/15/2026		3,476		3,845
6.375%, 03/01/2025		1,280		1,392
6.000%, 03/01/2023		885		945
6.000%, 04/15/2024		1,930		2,065
United States Cellular
6.700%, 12/15/2033		820		824
Wind Acquisition Finance
7.375%, 04/23/2021 (B)		1,885		1,970
4.750%, 07/15/2020 (B)		340		343
Windstream
7.750%, 10/01/2021		1,800		1,796
7.500%, 06/01/2022		1,450		1,392
Windstream Services
6.375%, 08/01/2023		225		204

				123,241


Utilities — 1.7%
AES
7.375%, 07/01/2021		605		694
6.000%, 05/15/2026		335		354
AmeriGas Finance
7.000%, 05/20/2022		2,063		2,182
Calpine
5.750%, 01/15/2025		616		608
5.500%, 02/01/2024		600		592
5.375%, 01/15/2023		580		578
5.250%, 06/01/2026 (B)		457		460
Dynegy
7.625%, 11/01/2024		4,025		3,953
7.375%, 11/01/2022		915		904
5.875%, 06/01/2023		967		878
Enel
8.750%, 09/24/2073 (B)(G)		728		851
Ferrellgas
6.500%, 05/01/2021		1,285		1,176
GenOn Americas Generation
9.125%, 05/01/2031		434		351
GenOn Energy
7.875%, 06/15/2017		2,181		1,805
LBC Tank Terminals Holding Netherlands
6.875%, 05/15/2023 (B)		2,800		2,786
Mirant Americas Generation LLC
8.500%, 10/01/2021		3,850		3,272
NRG Energy
7.875%, 05/15/2021		59		62
7.250%, 05/15/2026 (B)		221		225
6.625%, 01/15/2027 (B)		1,431		1,402
6.250%, 07/15/2022		615		624
6.250%, 05/01/2024		1,913		1,942
RJS Power Holdings
4.625%, 07/15/2019 (B)		1,965		1,847



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Talen Energy Supply
6.500%, 06/01/2025	$	161	$	129
TerraForm Power Operating(E)
6.625%, 12/06/2016 (B)		2,103		2,208
6.375%, 12/06/2016 (B)		2,096		2,154

				32,037


Total Corporate Obligations (Cost $1,524,020) ($ Thousands)				1,516,613


ASSET-BACKED SECURITIES — 8.4%

Other Asset-Backed Securities — 8.4%

Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9
1.074%, 03/15/2019 (B)(G)		1,062		350
B&M CLO, Ser 2014-1A, Cl C
4.429%, 04/16/2026 (B)(G)		2,108		1,951
B&M CLO, Ser 2014-1A, Cl D
5.429%, 04/16/2026 (B)(G)		3,471		2,709
B&M CLO, Ser 2014-1A, Cl E
6.429%, 04/16/2026 (B)(G)		2,480		1,333
Battalion CLO IV, Ser 2013-4A
0.000%, 10/22/2025 (B)		5,640		1,861
Battalion CLO V, Ser 2014-5A
0.000%, 04/17/2026 (B)		3,274		1,048
Battalion CLO VII, Ser 2014-7A
0.000%, 10/17/2026 (B)		4,007		2,284
Battalion CLO VII, Ser 2014-7A, Cl D
5.979%, 10/17/2026 (B)(G)		2,260		1,784
Battalion CLO VIII, Ser 2015-8A
0.000%, 04/18/2027 (B)(H)		3,655		3,034
Battalion CLO VIII, Ser 2015-8A, Cl D
6.129%, 04/18/2027 (B)(G)		982		830
Battalion CLO Warehouse Note
0.000% (I)		25		2,479
Battalion CLO, Ser 2012-3A
0.000%, 01/18/2025 (B)		2,303		1,285
Benefit Street Partners CLO III, Ser 2013-IIIA
0.000%, 01/20/2026 (B)(H)		2,999		1,739
Benefit Street Partners CLO IV
0.000%, 07/20/2026 (B)(J)		3		2,464
Benefit Street Partners CLO IX
0.000%, 07/20/2025 (B)(J)		21		1,987
Benefit Street Partners CLO V
0.000%, 10/20/2026 (B)(J)		6,387		3,995
Benefit Street Partners CLO VII, Ser 2015-VIII
0.000%, 07/18/2027		6,715		5,778
Benefit Street Partners CLO VIII
0.000%, 01/20/2028 (B)(H)		67		6,384
Benefit Street Partners CLO, Ser 2015-VIA
0.000%, 04/18/2027		7,502		6,287



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Benefit Street Partners Warehouse Note
0.000% (I)	$	18	$	1,894
Carlyle Global Market Strategies CLO, Ser 2014-3A
0.000%, 07/27/2026 (B)		2,947		2,255
Cathedral Lake CLO, Ser 2015-3A, Cl E
8.230%, 01/15/2026 (B)(G)		1,175		1,175
Cathedral Lake III Equity Tranche
0.000%, 01/15/2026 (B)		1,869		1,598
Cedar Funding V CLO, Ser 2016-5A
0.000%, 07/17/2028 (B)(G)		19		1,711
CIFC Funding II, Ser 2012-2A
0.000%, 12/05/2024 (B)		17		890
CVP Cascade CLO, Ser 2014-2A, Cl D
5.479%, 07/18/2026 (B)(G)		1,709		1,293
CVP Cascade CLO, Ser 2014-2A, Cl E
6.479%, 07/18/2026 (B)(G)		2,469		1,365
Fifth Street Senior Loan Fund, Ser 2015-1A, Cl E
7.896%, 01/20/2027 (B)(G)		3,890		3,394
Fifth Street Senior Loan Fund, Ser 2015-2A
0.000%, 09/29/2027 (B)		5,483		4,918
Figueroa CLO, Ser 2013-1I
0.000%, 03/21/2024		18,856		7,756
Figueroa CLO, Ser 2013-2A
0.000%, 12/15/2025 (B)		2,930		1,686
Fortress Credit Opportunities III CLO, Ser 2014-3A, Cl E
6.907%, 04/28/2026 (B)(G)		3,482		3,129
Fortress Credit Opportunities VI CLO, Ser 2015-6A, Cl F
7.595%, 10/10/2026 (B)(G)		1,730		1,595
Great Lakes CLO, Ser 2012-1A
0.000%, 01/15/2023 (B)		2,457		1,700
Great Lakes CLO, Ser 2012-1A, Cl E
6.180%, 01/15/2023 (B)(G)		2,811		2,403
Great Lakes CLO, Ser 2014-1A
0.000%, 04/15/2025 (B)(G)		6,943		5,041
Great Lakes CLO, Ser 2014-1A, Cl F
6.680%, 04/15/2025 (B)(G)		2,480		1,575
Great Lakes CLO, Ser 2015-1A
0.000%, 07/15/2026 (B)(G)		4,202		3,244
Great Lakes CLO, Ser 2015-1A, Cl E
7.380%, 07/15/2026 (B)(G)		2,896		2,433
Great Lakes CLO, Ser 2015-1A, Cl F
8.180%, 07/15/2026 (B)(G)		1,319		864
Hildene CLO II, Ser 2014-2A, Cl D
4.388%, 07/19/2026 (B)(G)		1,987		1,899
Hildene CLO II, Ser 2014-2A, Cl E
5.788%, 07/19/2026 (B)(G)		1,987		1,737
Ivy Hill Middle Market Credit Fund VII, Ser 2013-7A
0.000%, 10/20/2025 (B)		3,198		2,606



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Jamestown CLO VII, Ser 2015-7A, Cl D
6.215%, 07/25/2027 (B)(G)	$	1,709	$	1,465
Jamestown CLO VII, Ser 2015-7A, Cl E
7.465%, 07/25/2027 (B)(G)		1,709		1,327
JFIN Revolver CLO, Ser 2013-1A, Cl B
2.696%, 01/20/2021 (B)(G)		1,990		1,990
JFIN Revolver CLO, Ser 2014-2A, Cl C
3.561%, 02/20/2022 (B)(G)		1,951		1,888
KVK CLO, Ser 2012-2A
0.000%, 02/10/2025 (B)		2,471		877
Lockwood Grove CLO, Ser 2014-1A
0.000%, 01/25/2024 (B)		3,797		2,810
Nelder Grove CLO, Ser 2014-1A, Cl D1
5.349%, 08/28/2026 (B)(G)		1,756		1,712
Nelder Grove CLO, Ser 2014-1A, Cl E
7.579%, 08/28/2026 (B)(G)		2,926		2,487
Neuberger Berman CLO XIII, Ser 2012-13A
0.000%, 01/23/2024 (B)		447		143
Neuberger Berman CLO XVI, Ser 2014-16A
0.000%, 04/15/2026 to 04/15/2026 (B)		2,613		1,362
Neuberger Berman CLO XXII, Ser 2016-22A
0.000%, 10/17/2027 to 10/17/2027 (B)(G)		38		3,085
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl E
6.815%, 07/25/2025 (B)(G)		1,974		1,663
NewStar Clarendon Fund CLO, Ser 2015-1A, Cl E
6.765%, 01/25/2027 (B)(G)		3,439		2,816
NXT Capital CLO, Ser 2012-1A, Cl E
8.196%, 07/20/2022 (B)(G)		2,417		2,399
OCP CLO, Ser 2012-2A
0.000%, 11/22/2023 (B)		2,615		1,124
Peaks CLO, Ser 2014-1A, Cl D
5.180%, 06/15/2026 (B)(G)		985		872
Shackleton CLO, Ser 2014-6A
0.000%, 07/17/2026 (B)(G)		7,935		3,491
TCP III CLO Warehouse Note
0.000% (I)		82		8,183
Trinitas CLO II, Ser 2014-2A, Cl D
4.480%, 07/15/2026 (B)(G)		1,184		1,006
Venture CDO, Ser 2012-10A
0.000%, 07/20/2022 (B)		5,284		2,748
Venture XI CLO, Ser 2012-11A
0.000%, 11/14/2022 (B)		5,403		2,323
Venture XIV CLO, Ser 2013-14A
0.000%, 08/25/2025 to 08/25/2025 (B)		1,833		895
Venture XV CLO, Ser 2013-15A
0.000%, 07/15/2025 (B)		1,022		557
Venture XXII CLO, Ser 2016-22A
0.000%, 01/15/2028 (B)(G)		21		1,785
Venture XXII CLO, Ser 2016-22A, Cl F
8.530%, 01/15/2028 (B)(G)		792		697



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Venture XXIV CLO, Ser 2016-24A
0.000%, 10/20/2028 (B)(G)	$	28	$	2,546
Venture XXV CLO Warehouse Note
0.000% (I)		24		2,384


Total Asset-Backed Securities (Cost $152,601) ($ Thousands)				162,378


LOAN PARTICIPATIONS — 8.2%
21st Century Oncology Holdings, Term Loan B, 1st Lien
7.125%, 04/30/2022		921		863
682534 N.B. Inc., Initial Term Loan, 1st Lien
12.000%, 10/01/2020		700		356
Academy Ltd., Term Loan B, 1st Lien
5.000%, 07/01/2022		679		663
Accudyne Industries LLC, Refinancing Term Loan, 1st Lien
4.000%, 12/13/2019 (G)		845		789
Affinion Group, Term Loan, 2nd Lien
8.500%, 10/31/2018		520		457
Affinion Group, Term Loan, Tranche B, 1st Lien
6.800%, 04/30/2018		1,239		1,201
Air Medical Group, Cov-Lite, Intial Term Loan, 1st Lien
4.250%, 04/28/2022		996		985
Albertson’s LLC, Term Loan B4, 1st Lien
4.500%, 08/25/2021		1,040		1,047
Alinta Energy Finance Property Limited, Delayed Draw Term Loan, 1st Lien
6.400%, 08/13/2018		165		165
Alinta Energy Finance Property Limited, Term Loan B, 1st Lien
6.400%, 08/13/2019		2,483		2,477
American Renal Holdings Inc., Term Loan B, 1st Lien
4.750%, 08/20/2019		3,165		3,160
American Tire Distributors, Inc., Initial Term Loan, 1st Lien
5.300%, 09/01/2021		985		971
Amplify Snack Brands Inc., Initial Term Loan, 1st Lien
6.500%, 09/02/2023		941		932
ANVC Merger Corp., Initial Term Loan, 1st Lien
5.500%, 02/18/2021		1,783		1,716
Applied Systems Inc., Initial Term Loan, 2nd Lien
7.500%, 01/24/2022		1,187		1,195
Ascena Retail Group Inc., Term Loan B, 1st Lien
5.300%, 08/21/2022		1,580		1,521
Aspect Software, Inc., Term Loan, 1st Lien
10.500%, 05/25/2020		1,000		973



Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Asurion LLC, Initial Term Loan, 2nd Lien
8.500%, 03/03/2021	$	3,120	$	3,099
Asurion LLC, Term Loan B4, 1st Lien
5.000%, 08/04/2022		1,468		1,475
Atlas America Finance Inc., Term Loan B, 1st Lien
5.580%, 5/06/2021		304		137
Blount International Inc., Initial Term Loan, 1st Lien
8.750%, 04/12/2023		3		3
7.250%, 04/12/2023		1,227		1,242
Blue Ribbon LLC, Initial Term Loan, 1st Lien
5.000%, 11/15/2021		677		680
BMC Foreign Holding Company, Initial Term Loan, 1st Lien
5.000%, 09/10/2020		1,003		968
BPA Laboratories, Initial Term Loan, 2nd Lien
0.000%, 07/03/2017 (K)		181		126
BWay Intermediate Company, Inc., Initial Term Loan, 1st Lien
5.500%, 08/14/2020		520		522
California Resources Corporation, Initial Term Loan, 1st Lien
11.375%, 12/31/2021		3,768		3,954
0.000%, 09/24/2019 (K)		1,103		1,049
Carestream Health Inc., Initial Term Loan, 2nd Lien
9.500%, 12/07/2019		5,008		4,519
CD&R Millennium HolcCo 6 S.A.R.L., Initial Term Loan, 2nd Lien
8.800%, 07/31/2022		680		669
Cengage Learning Inc., 2016 Refinancing Term Loan B, 1st Lien
5.300%, 06/07/2023		1,591		1,589
Ceva Group PLC (fka Louis No.1 PLC/TNT Logistics), Pre-Funded L/C Loan, 1st Lien
0.007%, 03/19/2021		203		163
Ceva Intercompany B.V., Initial Term Loan, 1st Lien
6.500%, 03/19/2021		209		167
Ceva Logistics Canada ULC, Initial Term Loan, 1st Lien
6.500%, 03/19/2021		36		29
Ceva Logistics U.S. Holdings Inc., Initial Term Loan, 1st Lien
6.500%, 03/19/2021		288		230
Chesapeake Energy, Term Loan, 1st Lien
8.500%, 08/23/2021		4,098		4,299
Clear Channel Communications Inc., Extended Term Loan D, 1st Lien
7.274%, 01/30/2019		5,436		4,176



Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
ClubCorp Club Operations Inc., Initial Term Loan, 1st Lien
4.250%, 12/15/2022	$	275	$	276
Cowlitz Tribal Gaming Authority, Initial Term Loan, 1st Lien
11.500%, 12/04/2020 (G)		3,000		3,180
CTI Foods, Initial Term Loan, 2nd Lien
8.300%, 06/28/2021		1,190		1,059
Cumulus Media Holdings Inc., Initial Term Loan, 1st Lien
4.250%, 12/23/2020		4,543		3,152
Dex Media, Term Loan, 1st Lien
11.000%, 07/29/2021		402		383
Diebold, Term Loan B, 1st Lien
5.250%, 11/06/2023		840		848
Dollar Tree Inc., Term Loan B2, 1st Lien
4.300%, 07/06/2022		248		250
Drillships Ocean Ventures Inc., Term Loan B, 1st Lien
5.500%, 07/25/2021		1,909		1,315
Empire Generating Co. LLC, Term Loan B, 1st Lien
5.300%, 03/12/2021		1,513		1,286
Empire Generating Co. LLC, Term Loan C, 1st Lien
5.300%, 03/12/2021		120		102
Energy & Exploration Partners, Cov-Lite PIK, Term Loan A, 1st Lien
13.000%, 11/12/2021		129		122
Energy & Exploration Partners, Cov-Lite PIK, Term Loan, 2nd Lien
5.000%, 05/13/2022		72		48
Energy & Exploration Partners, Term Loan B, 1st Lien
5.000%, 11/12/2021 (L)		50		3
Engility Corporation, Term Loan B2, 1st Lien
5.750%, 08/14/2023		908		917
EP Energy, Cov-Lite, Initial Term Loan, 1st Lien
9.750%, 06/30/2021		420		412
Evergreen Skills Lux S.À R.L., Initial Term Loan, 1st Lien
5.750%, 04/28/2021		2,278		2,014
Evergreen Skills Lux S.À R.L., Initial Term Loan, 2nd Lien
9.250%, 04/28/2022		915		549
FMG Resources (August 2006) Property Limited, Initial Term Loan, 1st Lien
3.750%, 06/30/2019 (G)		457		457
Gardner Denver, Initial Term Loan, 1st Lien
4.250%, 07/30/2020 (G)		241		233
Gulf Finance, Term Loan B, 1st Lien
6.250%, 08/25/2023		623		605



Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Gymboree Corporation, Initial Term Loan, 1st Lien
5.000%, 02/23/2018	$	4,452	$	3,523
Hercules Achievement Inc., Initial Term Loan, 1st Lien
5.000%, 12/10/2021		1,061		1,064
Hillman Companies Inc., Term Loan B, 1st Lien
4.500%, 06/30/2021		299		300
Indivior Finance S.A.R.L., Initial Term Loan, 1st Lien
7.000%, 12/19/2019		1,523		1,519
Integra Telecom Inc., Term Loan B, 1st Lien
5.300%, 08/14/2020		869		862
Intelsat Jackson Holdings Ltd., Term Loan B2, 1st Lien
3.750%, 06/30/2019 (G)		620		589
J.Crew Group Inc., Initial Term Loan, 1st Lien
4.000%, 03/05/2021		2,007		1,588
KCA Deutag US Finance LLC, Term Loan B, 1st Lien
6.250%, 05/15/2020		1,012		846
Kraton Polymers LLC, Term Loan B, 1st Lien
6.000%, 01/06/2022		240		242
Laureate Education Inc., Extended Term Loan, 1st Lien
5.000%, 06/15/2018		293		291
Lions Gate, Bridge Loan
0.000%, 03/27/2017		822		822
0.000%, 06/27/2017		2,913		2,913
Loanstar Intermediate Super Holdings, Unsecured Term Loan B, Other
10.000%, 08/31/2021		760		753
Magic Newco LLC, Initial Term Loan, 1st Lien
5.000%, 12/12/2018		1,164		1,165
Magic Newco, LLC, Term Loan, 2nd Lien
12.000%, 06/12/2019		1,250		1,312
Maple Holdings Acquisition Corp., Cov-Lite, Term Loan B, 1st Lien
5.250%, 03/03/2023		2,216		2,242
Mashantucket Pequot, Term Loan A, 1st Lien
5.000%, 07/01/2018		1,936		1,735
Mashantucket Pequot, Term Loan B, 1st Lien
9.400%, 06/30/2020		7,188		6,344
Mast Global, Initial Term Loan, 1st Lien
7.750%, 09/12/2019 (H)		13		12
Mast Global, Initital Term Loan, 1st Lien
7.750%, 09/12/2019 (H)		850		846
Medical Card System, Initial Term Loan, 1st Lien
1.500%, 05/31/2019 (H)		1,421		908
Metroflag, 2nd Lien
0.000% (A)(I)		300		—



Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
MKS Instruments, Term Loan B1, 1st Lien
4.250%, 05/01/2023	$	489	$	495
Mohegan Tribal Gaming Authority, Term Loan B, 1st Lien
5.500%, 06/15/2018		2,357		2,355
Moneygram International Inc., Initial Term Loan, 1st Lien
4.250%, 03/26/2020		1,247		1,206
Moxie Liberty LLC, Term Loan B1, 1st Lien
7.500%, 08/21/2020		1,953		1,916
Murray Energy Corporation, Term Loan B2, 1st Lien
8.250%, 04/16/2020		1,158		981
NaNa Development Corporation, Initial Term Loan, 1st Lien
8.000%, 03/15/2018		188		176
Neiman Marcus Group Inc., Initial Term Loan, 1st Lien
4.300%, 10/25/2020		1,296		1,191
New LightSquared LLC, Initial Term Loan, 1st Lien
9.750%, 06/15/2020		2,049		1,859
New LightSquared LLC, Initial Term Loan, 2nd Lien
13.500%, 12/07/2020		2,351		1,516
New Millennium Holdco, Closing Date Term Loan, 1st Lien
7.500%, 12/21/2020		724		353
New MMI Inc., Initial Term Loan, 1st Lien
9.000%, 01/31/2020		3,007		2,732
Nine West Holdings Inc., Cov-Lite Unsecured, Initial Term Loan
6.300%, 01/08/2020		5,775		809
Ocean Rig ASA, Term Loan B1, 1st Lien
6.000%, 03/31/2021		2,164		1,077
ON Semiconductor Corp., Closing Date Term Loan, 1st Lien
5.250%, 03/31/2023		1,590		1,597
Onex York Acquisition Corp., Term Loan B, 1st Lien
4.750%, 10/01/2021		691		632
Ortho-Clinical Diagnostics Inc., Initial Term Loan, 1st Lien
4.750%, 06/30/2021		777		759
Oxbow Carbon LLC, Initial Term Loan, 2nd Lien
8.000%, 01/17/2020		2,394		2,326
P2 Upstream Acquisition Co., Initial Term Loan, 1st Lien
5.000%, 10/30/2020		732		684
Peabody Energy Corp., 1st Lien
0.000%, 09/24/2018 (K)		4,688		3,682
Peak 10 Inc., Initial Term Loan, 2nd Lien
8.250%, 06/17/2022		2,300		2,105



Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Penton Media Inc., Initial Term Loan, 2nd Lien
9.000%, 10/02/2020	$	1,970	$	1,963
PETCO Animal Supplies, Term Loan B-1, 1st Lien
5.000%, 01/26/2023		2,050		2,070
PQ Corp., Term Loan B1, 1st Lien
5.750%, 11/04/2022		422		425
Quorum Health Corp., Term Loan B, 1st Lien
6.750%, 04/29/2022		989		958
Revlon Consumer Products, Cov-Lite, Term Loan B, 1st Lien
4.250%, 09/07/2023		679		680
Riverbed Technology Inc., Initial Term Loan, 1st Lien
5.000%, 04/25/2022		678		684
Royal Holdings Inc., Initial Term Loan, 2nd Lien
8.500%, 06/19/2023		319		314
Rue 21 Inc., Term Loan B, 1st Lien
5.600%, 10/09/2020		1,498		746
Seadrill Partners Finco LLC, Initial Term Loan, 1st Lien
4.000%, 02/21/2021		345		171
SolarWinds Holdings Inc., Initial Term Loan, 1st Lien
5.500%, 02/03/2023		1,297		1,308
Stardust Finance Holdings Inc., Initial Term Loan, 1st Lien
6.500%, 03/13/2022		925		919
Steinway Musical Instruments Inc., Initial Term Loan, 1st Lien
4.800%, 09/19/2019		941		917
Syncreon Global Finance (US) Inc., Initial Term Loan, 1st Lien
5.300%, 10/28/2020		891		796
Syniverse Holdings Inc., Incremental Term Loan B, 1st Lien
4.000%, 04/23/2019		166		146
Syniverse Holdings Inc., Initial Term Loan, 1st Lien
4.000%, 04/23/2019		1,336		1,179
Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 1st Lien
4.998%, 10/10/2017 (A)		10,279		2,957
4.970%, 10/10/2017 (A)		17		5
Texas Competitive Electric Holdings Co. LLC, Non-Extending Term Loan B, 1st Lien
4.998%, 10/31/2016 (A)		11,452		3,262
4.917%, 10/31/2016 (A)		93		26
Texas Competitive Electric Holdings Co. LLC, Term Loan B, 1st Lien
5.000%, 10/31/2017		882		888
Texas Competitive Electric Holdings Co. LLC, Term Loan C, 1st Lien
5.000%, 10/31/2017		201		203



Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
True Religion Apparel Inc., Initial Term Loan, 1st Lien
5.875%, 07/30/2019	$	759	$	178
U.S. Renal Care, Inc., Initial Term Loan,
5.250%, 12/30/2022		2,071		1,984
UFC Holdings, Term Loan, 1st Lien
5.000%, 08/18/2023		940		948
Valeant Pharmaceuticals International Inc., Delayed Draw F-1, Term Loan B, 1st Lien
5.500%, 04/01/2022		950		953
Veritas US, Term Loan B1, 1st Lien
6.625%, 01/27/2023		2,608		2,429
Vitera Healthcare Solutions LLC, Initial Term Loan, 2nd Lien
9.300%, 11/04/2021		900		830
Vizient Inc., Initial Term Loan, 1st Lien
6.250%, 02/13/2023		1,047		1,058
Walter Investment Management Corp., Initial Term Loan, 1st Lien
4.800%, 12/18/2020		956		873
Weight Watchers International Inc., Cov-Lite, Term Loan B2, 1st Lien
4.000%, 04/02/2020		455		344
Western Digital, Cov-Lite, Term Loan B, 1st Lien
4.500%, 04/29/2023		1,688		1,704
Wilton Brands Inc., Initial Term Loan, 1st Lien
8.500%, 08/30/2018		2,899		2,384
Zekelman Industries, Term Loan B, 1st Lien
6.000%, 06/14/2021		648		653


Total Loan Participations (Cost $175,352) ($ Thousands)				159,060


MUNICIPAL BONDS — 0.5%
Connecticut — 0.2%
Mohegan Tribal, Finance Authority, RB
Callable 02/01/2023 @ 100
7.000%, 02/01/2045(B)		3,625		3,785


Puerto Rico — 0.1%
Commonwealth of Puerto Rico, Ser A, GO
8.000%, 07/01/2035(A)		1,700		1,113
5.250%, 07/01/2037(A)		130		81
5.125%, 07/01/2037(A)		775		480
5.000%, 07/01/2041(A)		705		433


				2,107



Description	Face Amount (Thousands)		Market Value ($ Thousands)


MUNICIPAL BONDS (continued)
Texas — 0.2%
Texas State, Public Finance Authority, RB
Callable 07/01/2019 @ 100
8.250%, 07/01/2024	$	3,970	$	4,161


Total Municipal Bonds (Cost $10,260) ($ Thousands)				10,053


	Shares

COMMON STOCK — 0.4%
Aspect Software, Cl CR1 *(H)		27,500		217
Aspect Software, Cl CR2 *(H)		1,526		12
Cengage Learning Holdings II *		2,408		52
Ceva Holdings *(H)		561		196
CUI Acquisition *(H)		3		251
Dana Holding		112,964		1,761
Dex Media *		82,018		163
Energy & Exploration Partners *(H)		185		72
Global Aviation Holdings, Cl A *		97,655		—
Halcon Resources *		68,040		638
Medical Card Systems *		265		—
Millennium *		21,260		11
Mirabela Nickel *(H)		5,869,596		1
Mmodal *(H)		42,430		679
Nelson Education Ltd. *		115,452		—
NII Holdings *		51,236		171
Quad Graphics		35		1
Reichhold Industries *(H)		1,427		910
Seventy Seven Energy *		61,686		1,163
TE Holdcorp *		50,160		339
Titan Energy *		22,243		656


Total Common Stock (Cost $11,316) ($ Thousands)				7,293


	Face Amount (Thousands)

CONVERTIBLE BONDS — 0.3%
Advanced Micro Devices CV to 125.0031
2.125%, 09/01/2026		100		109
Cheniere Energy CV to 7.2265
4.250%, 03/15/2045		615		390
Liberty Media CV to 16.7764
3.750%, 02/15/2030		4,078		2,450
Liberty Media CV to 22.94686
4.000%, 11/15/2029		1,661		1,025
MGIC Investment CV to 74.0741
9.000%, 04/01/2063 (B)		825		1,019
Mirabela Nickel
9.500%, 06/24/2019 (A)(B)(C)(H)		1,541		432



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CONVERTIBLE BONDS (continued)
Mirant CV to 14.7167
0.000%, 06/15/2021 (A)	$	2,200	$	–


Total Convertible Bonds (Cost $6,668) ($ Thousands)				5,425


	Shares

PREFERRED STOCK — 0.2%
Aspen Insurance Holdings, 5.950% (G)		86,000		2,507
Ceva Holdings, 0.000% *(H)		1,214		425
SLM, 1.934% (G)		20,597		1,018
TE Holdcorp, 0.000% *		73,170		677


Total Preferred Stock (Cost $5,320) ($ Thousands)				4,627


	Number of Warrants

WARRANTS — 0.0%
Mmodal, Expires 07/31/2017 Strike Price $48 * (H)		19,978		1
Mmodal, Expires 07/31/2017 Strike Price $40 * (H)		15,150		4



Description	Number of Warrants		Market Value ($ Thousands)


WARRANTS (continued)
Seventy Seven Energy, Expires 08/21/2021 Strike Price $24 *(C)		2,631	$	13


Total Warrants (Cost $25) ($ Thousands)				18


	Shares

AFFILIATED PARTNERSHIP — 0.0%
SEI Liquidity Fund, L.P.
0.440% **^†(M)		6,089		6


Total Affiliated Partnership (Cost $6) ($ Thousands)				6


CASH EQUIVALENT — 2.6%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		51,073,621		51,074


Total Cash Equivalent (Cost $51,074) ($ Thousands)				51,074


Total Investments — 98.9% (Cost $1,936,642) ($ Thousands)			$	1,916,547

A list of the open centrally cleared swap agreements held by the Fund at September 30, 2016 is as follows:

For the year ended September 30, 2016, the total amount of open swap agreements, as presented in the table above, are representative of the volume of activity for the derivative type during the year.

LLC — Limited Liability Company

MTN — Medium Term Note

PIK — Payment-in-Kind

PLC — Public Limited Company

RB — Revenue Bond

Ser — Series

ULC — Unlimited Liability Company

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):



Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total

Corporate Obligations	$	–	$	1,511,047	$	5,566	$	1,516,613
Asset-Backed Securities		–		350		162,028		162,378
Loan Participations		–		145,526		13,534		159,060
Municipal Bonds		–		2,107		7,946		10,053
Common Stock		4,442		513		2,338		7,293



Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total

Convertible Bonds	$	–	$	4,993	$	432	$	5,425
Preferred Stock		2,507		1,695		425		4,627
Warrants		–		13		5		18
Affiliated Partnership		–		6		–		6
Cash Equivalent		51,074		–		–		51,074

Total Investments in Securities	$	58,023	$	1,666,250	$	192,274	$	1,916,547



Other Financial Instruments	Level 1		Level 2		Level 3		Total

Centrally Cleared Swap
Credit Default Swap *
Unrealized Appreciation	$	—	$	193	$	—	$	193

Total Other Financial Instruments	$	—	$	193	$	—	$	193

*	Swap contracts are valued at the unrealized appreciation on the instrument.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

(1) Of the $192,274 ($ Thousands) in Level 3 securities as of September 30, 2016, $17,973 ($ Thousands) or 0.9% of Net Assets are not valued via third party pricing vendors and broker quotes. If significant, the disclosure of the unobservable inputs and the interrelationships and sensitivity between these inputs are required for those Level 3 securities that are not valued by third party pricing vendors or broker quotes. The value of these securities is immaterial and no further disclosure is required.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.



Description	Face Amount (Thousands)		Market Value ($ Thousands)


COMMERCIAL PAPER (E) — 30.8%
AutoZone
0.690%, 10/06/2016 (A)	$	620	$	620
Bedford Row Funding
0.854%, 10/26/2016 (A)		1,500		1,499
BNZ International Funding
0.685%, 11/18/2016 (A)		700		700
Caisse Centrale Desjardins
0.500%, 10/14/2016 (A)		1,200		1,200
Charta
0.882%, 11/29/2016 (A)		1,000		999
Coca Cola
0.975%, 03/01/2017 (A)		500		498
Collateralized Commercial Paper
0.580%, 10/06/2016		1,000		1,000
Collateralized Commercial Paper II
0.821%, 10/31/2016 (A)		1,200		1,199
Commonwealth Bank of Australia
1.137%, 03/29/2017 (A)(B)		500		500
0.814%, 11/04/2016 (A)		1,750		1,750
DBS Bank
0.747%, 11/07/2016 (A)		1,000		1,000
Enterprise Products Operating
0.780%, 10/06/2016 (A)		600		600
Ford Motor Credit Company
0.750%, 10/05/2016		600		600
Gotham Funding
1.032%, 12/12/2016 (A)		600		599
0.801%, 11/16/2016 (A)		700		699
Hyundai Capital America
0.740%, 10/17/2016 (A)		620		620
Manhattan Asset Funding
0.932%, 11/16/2016 (A)		500		500
National Australia Bank
0.824%, 11/15/2016 (A)		1,000		999
NBCUniversal Enterprise
0.701%, 10/17/2016 (A)		620		620
Norinchukin Bank
1.256%, 03/21/2017 (B)		600		600
Ontario Teacher Financial Trust
0.956%, 12/16/2016 (A)		1,000		998
0.919%, 11/10/2016 (A)		750		749
Oversea-Chinese Banking
0.721%, 10/13/2016		1,200		1,200



Description	Face Amount (Thousands)		Market Value ($ Thousands)


COMMERCIAL PAPER (continued)
Regency Markets No. 1
0.650%, 10/14/2016 (A)	$	1,000	$	1,000
0.600%, 10/06/2016 (A)		1,567		1,567
Toyota Motor Credit
0.943%, 01/13/2017		1,000		998
0.763%, 10/25/2016		1,000		1,000
UnitedHealth Group
0.630%, 10/03/2016 (A)		600		600
Victory Receivables
1.022%, 12/12/2016 (A)		600		599
0.400%, 10/03/2016 (A)		2,000		2,001
Westpac Banking
1.007%, 01/13/2017 (A)		750		748


Total Commercial Paper (Cost $28,257) ($ Thousands)				28,262


CORPORATE OBLIGATIONS — 4.8%

Financials — 4.8%
Australia & New Zealand Banking Group
1.045%, 01/10/2017 (A)(B)		1,000		1,001
DNB Bank
1.088%, 02/13/2017 (B)		1,000		1,001
Macquarie Bank
5.000%, 02/22/2017 (A)		1,100		1,114
Toronto-Dominion Bank MTN
0.916%, 01/06/2017 (B)		1,300		1,300

				4,416


Total Corporate Obligations (Cost $4,416) ($ Thousands)				4,416


MUNICIPAL BONDS — 3.8%
California — 0.5%
California State, GO
Callable 10/03/2016 @ 100
0.810%, 05/01/2040(B)(C)		500		500


Connecticut — 1.1%
Connecticut State Development Authority, AMT, RB
Callable 10/03/2016 @ 100
0.870%, 08/01/2023(B)(C)		1,000		1,000


Texas — 1.1%
North Texas Tollway Authority, RB
Callable 04/01/2017 @ 100
0.820%, 01/01/2049(B)(C)		1,000		1,000


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
Wyoming — 1.1%
Sweetwater County Wyoming, RB
Callable 10/03/2016 @ 100
0.830%, 11/01/2024(B)(C)	$	1,000	$	1,000


Total Municipal Bonds (Cost $3,500) ($ Thousands)				3,500


U.S. TREASURY OBLIGATION — 1.1%
U.S. Treasury Note
2.750%, 11/30/2016		1,000		1,004


Total U.S. Treasury Obligation (Cost $1,004) ($ Thousands)				1,004


CERTIFICATES OF DEPOSIT — 22.5%
Bank of Montreal
1.139%, 05/02/2017		500		500
0.930%, 12/14/2016		500		500
0.690%, 10/05/2016		1,000		1,000
Bank of Nova Scotia
1.115%, 04/25/2017		1,750		1,750
1.067%, 04/12/2017		300		300
0.968%, 11/07/2016		500		500
Caisse Centrale Desjardins
1.253%, 03/27/2017		500		500
Canadian Imperial Bank of Commerce
1.159%, 05/02/2017		1,750		1,750
1.155%, 12/05/2016		650		650
Citibank
0.800%, 11/01/2016		1,200		1,200
Kookmin Bank
0.440%, 10/05/2016		2,000		2,000
Mitsubishi UFJ Trust & Banking
1.254%, 04/03/2017		700		700
National Australia Bank
1.114%, 04/27/2017		1,000		1,000
Norinchukin Bank
0.950%, 12/20/2016		500		500
0.900%, 11/16/2016		1,200		1,200
Sumitomo Mitsui Trust Bank Limited
1.281%, 03/13/2017		600		600
1.251%, 02/17/2017		1,000		1,000
1.213%, 02/09/2017		1,000		1,000
0.925%, 10/26/2016		1,500		1,500
UBS
0.926%, 11/03/2016		1,000		1,000
Westpac Banking
1.032%, 01/23/2017		750		750


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CERTIFICATES OF DEPOSIT (continued)
0.947%, 10/21/2016	$	750	$	750


Total Certificates of Deposit (Cost $20,650) ($ Thousands)				20,650


	Shares

CASH EQUIVALENT — 0.1%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		50,695		51


Total Cash Equivalent (Cost $51) ($ Thousands)				51


	Face Amount (Thousands)

REPURCHASE AGREEMENTS(D) — 12.4%
Bank of Montreal
0.420%, dated 09/30/2016, to be repurchased on 10/03/2016, repurchase price $3,500,123 (collateralized by various FMAC, FNMA and GNMA obligations, ranging in par value $11,249 - $2,580,522, 1.650% - 4.500%, 05/14/2021 - 05/01/2046; total market value $3,599,905)		3,500		3,500
Goldman Sachs
0.500%, dated 09/30/2016, to be repurchased on 10/03/2016, repurchase price $3,500,146 (collateralized by a FNMA obligation, par value $3,844,963, 3.000%, 12/01/2035; total market value $3,605,000)		3,500		3,500
Toronto Dominion Bank
0.520%, dated 09/30/2016, to be repurchased on 10/03/2016, repurchase price $4,400,191 (collateralized by a U.S. Treasury Note, par value $3,848,300, 3.000%, 11/15/2045; total market value $4,488,080)		4,400		4,400

Total Repurchase Agreements (Cost $11,400) ($ Thousands)				11,400


Total Investments — 75.5% (Cost $69,278) ($ Thousands)			$	69,283

Percentages are based on Net Assets of $91,807 ($ Thousands).

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^†	Investment in Affiliated Security (see Note 6).

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2016, the value of these securities amounted to $24,979 ($ Thousands), representing 27.2% of the Net Assets of the Fund.

(B)	Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2016.

(C)	Securities are held in connection with a letter of credit issued by a major bank.

(D)	Tri-Party Repurchase Agreement.

(E)	The rate reported is the effective yield at time of purchase.

AMT — Alternative Minimum Tax

Cl — Class

FMAC — Freddie Mac

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

MTN — Medium Term Note

RB — Revenue Bond

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Commercial Paper	$	–	$	28,262	$	–	$	28,262
Corporate Obligations		–		4,416		–		4,416
Municipal Bonds		–		3,500		–		3,500
U.S. Treasury Obligation		–		1,004		–		1,004
Certificates of Deposit		–		20,650		–		20,650
Cash Equivalent		51		–		–		51
Repurchase Agreements		–		11,400		–		11,400

Total Investments in Securities	$	51	$	69,232	$	–	$	69,283

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS — 99.6%
California — 5.6%
Los Angeles County, Schools Pooled Financing Program, Ser A-3, RB
2.000%, 06/30/2017	$	1,000	$	1,009
Orange County, Housing Authority, Oasis Martinique Project, Ser I, RB, FNMA
Callable 10/15/2016 @ 100
0.920%, 06/15/2028(A)		1,500		1,500


				2,509


Colorado — 4.2%
Colorado State, Ser A, RB
2.000%, 06/27/2017		1,000		1,008
Colorado State, University of Colorado Denver Fitzsimmons Academic Project, COP
5.000%, 11/01/2016		905		908


				1,916


Connecticut — 4.5%
Capital City Economic Development Authority, Ser B, RB
Callable 10/03/2016 @ 100
0.850%, 06/15/2024(A)		2,000		2,000


Florida — 1.8%
Escambia County, Health Facilities Authority, Azalea Trace Project, RB, AGC
Callable 11/01/2016 @ 100
1.000%, 11/15/2029(A)		800		800


Idaho — 2.9%
Idaho State, TAN, GO
2.000%, 06/30/2017		1,250		1,260


Illinois — 5.4%
Elmhurst, Industrial Development Revenue Authority, Randall Manufacturing Production Project, AMT, RB
Callable 10/03/2016 @ 100
1.290%, 02/01/2027(A)(B)		1,715		1,715
Illinois State, Finance Authority, Unity Point Health Project, Ser D, RB
4.000%, 02/15/2017		720		728


				2,443


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
Iowa — 7.8%
Iowa State, Finance Authority, Midwestern Disaster Area Economic Development, CJ Bio America Project, RB
Callable 10/03/2016 @ 100
1.160%, 04/01/2022(A)(B)	$	2,000	$	2,000
Iowa State, Finance Authority, Pollution Control Facilities, Mid-American Energy Project, RB
Callable 11/01/2016 @ 100
0.850%, 09/01/2036(A)		1,500		1,500


				3,500


Louisiana — 4.5%
Ascension Parish, Industrial Development Board, BASF Project, RB
Callable 11/01/2016 @ 100
1.000%, 10/01/2039(A)		2,000		2,000


Massachusetts — 5.1%
Massachusetts State, Educational Financing Authority, Ser A, RB
5.500%, 01/01/2017		500		505
Salisbury, BAN, GO
2.000%, 09/15/2017		1,000		1,012
Worcester, Municipal Purpose Loan, GO
4.000%, 11/01/2016		750		752


				2,269


Michigan — 7.0%
Michigan State, Finance Authority, Higher Education Facilities, University of Detroit Mercy Project, RB
Callable 10/03/2016 @ 100
0.910%, 11/01/2040(A)(B)		2,000		2,000
Michigan State, Strategic Fund, Kay Screen Printing Project, AMT, RB
Callable 10/03/2016 @ 100
1.110%, 05/01/2020(A)(B)		1,100		1,100


				3,100


Missouri — 2.2%
Kansas City, Special Obligation, H Roe Bartle Project, Ser E, RB
Callable 10/03/2016 @ 100
0.870%, 04/15/2034(A)(B)		1,000		1,000


Nebraska — 0.3%
Nebraska State, Public Power District, Ser C, RB
5.000%, 01/01/2017		150		152


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
New Hampshire — 3.3%
Cheshire County, TAN, GO
2.000%, 12/29/2016	$	1,500	$	1,503


New Jersey — 4.4%
Hudson County, Improvement Authority, RB
2.000%, 06/27/2017		500		504
New Jersey State, Health Care Facilities Financing Authority, AHS Hospital Project, RB
5.000%, 07/01/2017		500		515
Wayne Township, BAN, GO
2.000%, 07/14/2017		1,000		1,008


				2,027


New York — 16.7%
Broome County, BAN, GO
2.000%, 05/05/2017		1,500		1,508
Corning City, School District, BAN, GO
2.000%, 06/22/2017		1,000		1,006
New York City, Housing Development Authority, Hewitt House Apartments Project, Ser A, RB
Callable 10/03/2016 @ 100
0.880%, 11/01/2048(A)(B)		2,000		2,000
New York State, Dormitory Authority, Rockefeller University Project, Ser B, RB
Callable 10/03/2016 @ 100
0.850%, 07/01/2040(A)		1,500		1,500
Oswego County, Industrial Development Agency, O.H. Properties Project, Ser A, RB
Callable 10/03/2016 @ 100
1.090%, 06/01/2024(A)(B)		935		935
Phelps-Clifton Springs, Central School District, BAN, GO
1.500%, 06/30/2017		500		501


				7,450


Ohio — 10.4%
American Municipal Power, Electric System Improvement Authority, Village of Holiday City Project, RB
1.250%, 05/02/2017		1,000		1,002
Elyria, BAN, GO
1.125%, 05/25/2017		600		601
Franklin County, Health Care Facilities Refunding and Improvement Authority, Ohio Presbyterian Retirement Services Project, RB
Callable 10/06/2016 @ 100
0.890%, 07/01/2035(A)(B)		400		400


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
Hamilton County, Health Care Facilities Authority, Children’s Home Project, RB
Callable 10/03/2016 @ 100
0.880%, 03/01/2033(A)(B)	$	1,000	$	1,000
Hamilton, Multi-Family Housing Authority, Affordable Housing Project, Ser B, RB
Callable 10/03/2016 @ 100
1.020%, 01/01/2035(A)(B)		1,726		1,726


				4,729


Pennsylvania — 6.9%
Bucks County, Water & Sewer Authority, RB, BAM
1.500%, 06/01/2017		470		472
Lancaster County, Hospital Authority, Luthercare Project, RB
Callable 10/03/2016 @ 100
0.890%, 02/15/2029(A)(B)		2,000		2,000
Philadelphia, Gas Works Authority, Ser D, RB
Callable 11/01/2016 @ 100
0.860%, 08/01/2031(A)(B)		600		600


				3,072


Texas — 0.2%
Harris County, Health Facilities Development Authority, Methodist Hospital System Project, RB
Callable 10/03/2016 @ 100
0.870%, 12/01/2041(A)		100		100


Virginia — 4.5%
Albemarle County, Industrial Development Authority, Jefferson Scholars Foundation Project, RB
Callable 10/03/2016 @ 100
0.900%, 10/01/2037(A)(B)		2,000		2,000


Wisconsin — 1.9%
Oshkosh, Industrial Development Authority, Oshkosh Coil Spring Project, Ser A, AMT, RB
Callable 10/03/2016 @ 100
1.110%, 12/01/2020(A)(B)		840		840


Total Municipal Bonds (Cost $44,684) ($ Thousands)				44,670


Total Investments — 99.6% (Cost $44,684) ($ Thousands)			$	44,670

Percentages are based on Net Assets of $44,868 ($ Thousands).

(A)	Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2016.

(B)	Securities are held in connection with a letter of credit issued by a major bank.

AGC — Assured Guaranty Corporation

AMT — Alternative Minimum Tax

BAM — Build America Mutual

BAN — Bond Anticipation Note

COP— Certificate of Participation

FNMA — Federal National Mortgage Association

GO — General Obligation

RB — Revenue Bond

Ser — Series

TAN — Tax Anticipation Note

As of September 30, 2016, all of the Fund’s investments were considered Level 2, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “–” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.




Description	Face Amount ($ Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS — 99.5%
U.S. Treasury Inflation Protected Securities
2.125%, 01/15/2019	$	11,803	$	12,570
1.875%, 07/15/2019		13,426		14,418
1.625%, 01/15/2018		12,865		13,261
1.375%, 07/15/2018		12,689		13,225
1.375%, 01/15/2020		17,761		18,859
1.250%, 07/15/2020		25,151		26,873
1.125%, 01/15/2021		28,788		30,638
0.625%, 07/15/2021		31,994		33,596
0.125%, 04/15/2018		42,452		42,914
0.125%, 04/15/2019		43,078		43,811
0.125%, 04/15/2020		42,087		42,908
0.125%, 04/15/2021		24,903		25,423

Total U.S. Treasury Obligations (Cost $315,426) ($ Thousands)				318,496


	Shares

CASH EQUIVALENT — 1.7%
SEI Daily Income Trust, Government Fund, Cl A
0.220% **^†		5,455,515		5,456


Total Cash Equivalent (Cost $5,456) ($ Thousands)				5,456


Total Investments — 101.2% (Cost $320,882) ($ Thousands)			$	323,952

Percentages are based on Net Assets of $320,215 ($ Thousands).

Rate shown is the 7-day effective yield as of September 30, 2016.

^†

Investment in Affiliated Security (see Note 6).

Cl — Class

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

U.S. Treasury Obligations	$	–	$	318,496	$	–	$	318,496
Cash Equivalent		5,456		–		–		5,456


Total Investments in Securities	$	5,456	$	318,496	$	–	$	323,952

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “–” are $0 or have been rounded to $0.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.




Description	Percentage of Net Assets (%)		Shares		Market Value ($ Thousands)


COMMON STOCK — 97.3%

Consumer Discretionary — 12.2%
Amazon.com, Cl A*		1.7%		11,036	$	9,241
Comcast, Cl A		0.8		67,390		4,471
Home Depot		0.8		34,682		4,463
McDonald’s		0.5		23,907		2,758
Starbucks		0.4		40,957		2,217
Walt Disney		0.7		41,581		3,861
Other Securities		7.3				38,799

						65,810

Consumer Staples — 9.6%
Altria Group		0.6		54,469		3,444
Coca-Cola		0.9		107,882		4,566
CVS Health		0.5		29,799		2,652
PepsiCo		0.8		40,140		4,366
Philip Morris International		0.8		43,137		4,194
Procter & Gamble		1.2		74,609		6,696
Wal-Mart Stores		0.6		42,376		3,056
Other Securities		4.2				22,742

						51,716

Energy — 7.1%
Chevron		1.0		52,726		5,427
Exxon Mobil		1.9		115,900		10,116
Schlumberger, Cl A		0.6		38,737		3,046
Other Securities		3.6				19,336

						37,925

Financials — 12.4%
Bank of America		0.8		285,545		4,469
Berkshire Hathaway, Cl B*		1.4		53,130		7,676
Citigroup		0.7		81,345		3,842
JPMorgan Chase		1.3		101,017		6,727
Wells Fargo		1.0		127,033		5,625
Other Securities		7.2				38,140

						66,479

Health Care — 14.0%
AbbVie		0.5		45,125		2,846
Allergan*		0.5		10,980		2,529
Amgen, Cl A		0.6		20,863		3,480




Description	Percentage of Net Assets (%)		Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Bristol-Myers Squibb		0.5%		46,538	$	2,509
Celgene, Cl A*		0.4		21,394		2,236
Gilead Sciences		0.5		37,013		2,928
Johnson & Johnson		1.7		76,544		9,042
Medtronic		0.6		39,141		3,382
Merck		0.9		76,966		4,803
Pfizer		1.1		168,857		5,719
UnitedHealth Group		0.7		26,411		3,698
Other Securities		6.0				32,217

						75,389

Industrials — 9.7%
3M		0.6		16,926		2,983
General Electric		1.4		250,493		7,420
Honeywell International		0.5		21,252		2,478
Union Pacific		0.4		23,419		2,284
Other Securities		6.8				37,219

						52,384

Information Technology — 20.7%
Alphabet, Cl A*		1.2		8,269		6,649
Alphabet, Cl C*		1.2		8,293		6,446
Apple		3.2		150,530		17,017
Cisco Systems		0.8		140,072		4,443
Facebook, Cl A*		1.5		64,971		8,334
Intel		0.9		131,297		4,956
International Business Machines		0.7		24,468		3,887
MasterCard, Cl A		0.5		26,982		2,746
Microsoft		2.3		218,096		12,562
Oracle, Cl B		0.6		84,233		3,309
Qualcomm		0.5		40,968		2,806
Visa, Cl A		0.8		53,032		4,386
Other Securities		6.5				33,625

						111,166

Materials — 2.8%
Other Securities		2.8				15,120


Real Estate — 3.0%
Other Securities^‡		3.0				15,918


Telecommunication Services — 2.6%
AT&T		1.3		171,003		6,945
Verizon Communications		1.1		113,498		5,900
Other Securities		0.2				913

						13,758

Utilities — 3.2%
Other Securities		3.2				17,008


Total Common Stock (Cost $484,206) ($ Thousands)						522,673


Total Investments — 97.3% (Cost $484,206)($ Thousands)					$	522,673



Description	Percentage of Net Assets (%)	Contracts		Market Value ($ Thousands)


PURCHASED OPTION (A) — 0.1%
January 2017 EUR Put, USD Call, Expires 01/21/2017, Strike Price $1.07*	0.1%		92,284,855	$	415

Total Purchased Option (Cost $524) ($ Thousands)				$	415

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

102

Dec-2016

$22

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:



Settlement Date	Currency to Deliver (Thousands)			Currency To Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)

10/19/16		USD	496		EUR	441		$—
10/19/16		USD	1,147		KRW	1,260,000		(3)
10/19/16		INR	17,400		USD	261		—
10/19/16		EUR	48,113		USD	53,506		(611)
10/19/16		USD	52,969		INR	3,597,822		926
10/19/16		KRW	60,086,360		USD	52,582		(1,979)
01/09/17		USD	928		SAR	3,533		12
01/09/17-01/19/17		SAR	104,069		USD	27,050		(642)

								$(2,297)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:



Counterparty	Currency to Deliver ($ Thousands)		Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)

BNP Paribas		$(1,192)		$1,183		$(9)
Bank of America		(81,849)		82,145		296
Goldman Sachs		(2,557)		2,549		(8)
Societe Generale		(50,864)		50,270		(594)
Standard Chartered		(55,709)		53,727		(1,982)

						$(2,297)

A list of outstanding OTC swap contracts held by the Fund at September 30, 2016, is as follows:

For the year ended September 30, 2016, the total amount of all open swap contracts, as presented in the table above, are representative of the volume of activity for the derivative type during the year.

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):




Investments in Securities	Level 1		Level 2		Level 3		Total

Common Stock	$	522,673	$	–	$	–	$	522,673


Total Investments in Securities	$	522,673	$	–	$	–	$	522,673



Other Financial Instruments	Level 1		Level 2		Level 3		Total


Purchased Option	$	415	$	—	$	—	$	415
Futures Contracts *

Unrealized Appreciation		22		—		—		22
Forwards Contracts *

Unrealized Appreciation		—		938		—		938

Unrealized Depreciation		—		(3,235)		—		(3,235)
OTC Swaps
Interest Rate Swaps *

Unrealized Appreciation		—		576		—		576


Total Other Financial Instruments	$	437	$	(1,721)	$	—	$	(1,284)

* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instruments.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 — Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are either $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

^†Percentages are based on total investments.



Description	Shares		Market Value ($ Thousands)


REGISTERED INVESTMENT COMPANIES — 45.7%
AQR Managed Futures Strategy Fund, Cl I		364,086	$	3,688
AQR Managed Futures Strategy HV Fund, Cl I		1,611,374		16,936
ASG Managed Futures Strategy Fund, Cl Y		2,194,489		22,537
Blackrock Global Long/Short Credit Fund, Cl I		5,788,156		57,766
Driehaus Active Income Fund, Cl I		4,486,047		44,726
Merger Fund, Cl I		3,940,301		61,153
Robeco Boston Partners Long/Short Research Fund, Cl I		943,164		14,261
SEI Institutional Managed Trust Long/Short Alternative Fund, Cl Y ^†		4,257,580		41,767

Total Registered Investment Companies (Cost $274,057) ($ Thousands)				262,834


COMMON STOCK — 31.0%

Consumer Discretionary — 4.2%
adidas		2,337		406
American Eagle Outfitters		30,001		536
Bandai Namco Holdings		10,900		331
Brembo		9,110		544
Carnival		12,543		612
Comcast, Cl A		8,747		580
Continental		1,831		385
Dollarama		3,700		288
Ferrari		8,394		435
Foot Locker, Cl A		7,813		529
Gap		24,727		550
Hennes & Mauritz, Cl B		17,902		506
Home Depot		4,175		537
HUGO BOSS		9,775		541
John Wiley & Sons, Cl A		9,755		504
Kohl’s		8,874		388
L Brands		8,158		577
Lear		5,206		631
Lions Gate Entertainment		14,125		282
Live Nation *		21,696		596
Madison Square Garden *		7,781		1,318
Magna International, Cl A		21,317		916
McDonald’s		4,483		517
Media General *		34,370		634
Mediaset Espana Comunicacion		48,040		570
Nitori Holdings		2,200		262



Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Nordstrom		14,691	$	762
Pinnacle Entertainment *		38,144		471
Ralph Lauren, Cl A		5,389		545
Shimamura		2,300		279
Sotheby’s		2,693		102
Start Today		29,400		502
Starz - Liberty Capital *		16,319		509
Tenneco *		5,042		294
Tesla Motors *		661		135
Urban Outfitters *		15,014		518
Walt Disney		5,570		517
WCI Communities *		100,223		2,377
William Lyon Homes, Cl A *		146,791		2,723
Williams-Sonoma		10,329		528


				24,237


Consumer Staples — 1.8%
Axfood		18,328		324
Campbell Soup		8,916		488
Coca-Cola		12,029		509
General Mills		8,424		538
Herbalife *		9,486		588
Hershey		4,444		425
Jeronimo Martins		33,432		580
Lancaster Colony		4,409		582
Lion		36,000		580
Nestle		7,272		574
Nu Skin Enterprises, Cl A		8,780		569
PepsiCo		5,364		583
Philip Morris International		4,718		459
Pilgrim’s Pride		22,000		465
Procter & Gamble		6,669		598
Rite Aid *		25,057		193
Swedish Match		15,936		585
SYSCO, Cl A		8,857		434
Wal-Mart Stores		7,761		560
Wesfarmers		18,431		622


				10,256


Energy — 0.9%
Bristow Group		72,959		1,023
Cenovus Energy		1,200		17
Chevron		2,027		209
Exxon Mobil		6,102		533
Frank’s International		27,000		351
Galp Energia SGPS		39,207		536
Gran Tierra Energy *		311,694		938
RELX		32,111		577
Spectra Energy		4,744		203
TonenGeneral Sekiyu		62,000		624
Ultra Petroleum *		13,183		66


				5,077



Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)

Financials — 1.5%
American Capital *		154,763	$	2,617
Bancorp *		5,713		37
Bank of Montreal		8,800		576
Bats Global Markets		2,026		61
Berkshire Hathaway, Cl B *		3,870		559
CIMIC Group ^‡		9,636		212
NorthStar Asset Management Group		34,222		442
SLM *		336,258		2,512
Synchrony Financial		19,832		555
Toronto-Dominion Bank		13,300		589
Zions Bancorporation		20,211		627


				8,787


Health Care — 4.7%
ABIOMED *		4,591		590
Agilent Technologies		11,806		556
Akorn *		19,950		544
Align Technology *		7,015		658
Astellas Pharma		39,400		612
Biogen *		1,772		555
Bristol-Myers Squibb		9,619		519
Bruker BioSciences		24,900		564
Cerner *		8,728		539
Charles River Laboratories International *		6,789		566
Cigna		1,413		184
Coloplast, Cl B		2,851		221
Cynapsus Therapeutics *		5,579		224
DiaSorin		5,616		361
Durect *		30,100		42
Envision Healthcare Holdings *		42,897		955
Galenica		415		441
Hisamitsu Pharmaceutical		6,300		338
Hoya		12,200		487
Humana		682		121
Idexx Laboratories *		5,062		571
Illumina *		3,927		713
Incyte *		6,128		578
Jazz Pharmaceuticals *		4,485		545
Mallinckrodt *		7,057		492
Medidata Solutions *		9,882		551
Mettler Toledo International *		1,508		633
Mylan *		9,080		346
Natera *		15,593		173
Novo Nordisk, Cl B		11,584		482
PerkinElmer		10,139		569
Quintiles Transnational *		8,614		698
Ramsay Health Care		1,084		66
Sanofi		6,121		465
St. Jude Medical		89,782		7,161
Straumann Holding		1,442		565
Taisho Pharmaceutical Holdings		1,200		122



Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
United Therapeutics *		4,898	$	578
Universal Health Services, Cl B		4,486		553
Valeant Pharmaceuticals International *		10,700		262
Veeva Systems, Cl A *		13,262		547
VWR *		6,387		181
Waters *		3,975		630
WellCare Health Plans *		5,342		626


				27,184


Industrials — 3.6%
3M		134		24
ACS Actividades de Construccion y Servicios		16,753		506
Aena (A)		9,950		1,468
ANA Holdings		8,000		22
BWX Technologies, Cl W		66,300		2,544
Central Japan Railway		3,100		527
Commercial Vehicle Group *		37,971		219
Curtiss-Wright		6,788		618
Delta Air Lines, Cl A		66,486		2,617
Deutsche Lufthansa		40,588		452
Fortive		10,481		533
General Electric		600		18
Herc Holdings *		10,537		355
Hitachi Construction Machinery		8,400		166
HOCHTIEF		4,524		638
Huntington Ingalls Industries, Cl A		3,361		516
Japan Airlines		15,500		453
Joy Global		8,489		236
Kone, Cl B		11,791		599
Kuehne & Nagel International		230		33
ManpowerGroup		2,967		214
Mitsubishi Electric		34,000		431
NCI Building Systems *		80,179		1,170
Park24		8,400		272
PGT *		49,941		533
Quanta Services *		8,382		235
Robert Half International		14,774		559
Spirit AeroSystems Holdings, Cl A *		476		21
Swift Transportation, Cl A *		15,845		340
United Continental Holdings *		47,635		2,499
United Parcel Service, Cl B		5,244		574
United Rentals *		6,208		487
Waste Management		8,790		560


				20,439


Information Technology — 9.0%
Acacia Communications *		2,531		261
Accenture, Cl A		2,181		266
Akamai Technologies *		10,247		543
Amdocs		9,579		554
Applied Micro Circuits *		1,309		9
Aspen Technology *		11,981		561



Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Axcelis Technologies *		79,095	$	1,050
Canon		18,900		546
Care.com *		37,499		373
CDK Global		30,445		1,746
Citrix Systems *		6,772		577
CommerceHub *		46,238		731
Dell Technologies - VMware, Cl V *		1		—
Exar *		92,561		862
F5 Networks, Cl A *		4,810		600
Fair Isaac		920		115
Fingerprint Cards, Cl B *		27,683		325
Five9 *		40,966		642
GrubHub *		10,739		462
Harmonic, Cl A *		179,185		1,063
Immersion *		76,132		621
Imperva *		15,703		843
inContact *		123,527		1,727
Infinera *		16,172		146
Infoblox *		1,568		41
Ingram Micro, Cl A		26,832		957
Intersil, Cl A		26,411		579
Intuit		5,119		563
Lexmark International, Cl A		8,789		351
Linear Technology		61,117		3,624
LinkedIn, Cl A *		45,827		8,758
Manhattan Associates *		9,279		535
Marvell Technology Group		93,472		1,240
Match Group *		16,743		298
Maxim Integrated Products		14,538		580
MercadoLibre		3,072		568
Micron Technology *		150,455		2,675
NetApp		8,899		319
Nexon		36,700		571
Nintendo		2,097		551
Oracle Japan		7,000		393
PayPal Holdings *		7,285		298
Rackspace Hosting *		16,839		534
Radisys *		30,002		160
Rightmove		6,903		379
Stamps.com *		3,085		292
SunEdison Semiconductor *		135,261		1,541
Symantec, Cl A		31,866		800
SYNNEX		5,927		676
Take-Two Interactive Software, Cl A *		25,141		1,133
Telefonaktiebolaget LM Ericsson, Cl B		71,805		519
Teradata *		20,726		643
Teradyne		28,709		620
Twitter *		3,746		86
VeriSign *		6,859		537
VMware, Cl A *		8,859		650
Western Union		7,246		151
XO Group *		47,652		921



Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Yahoo! *		75,367	$	3,248
Zynga, Cl A *		547,616		1,594


				52,008


Materials — 3.3%
Avery Dennison		6,982		543
Cabot		10,280		539
Cemex ADR *		182,697		1,451
Chemours		8,161		131
Constellium, Cl A *		343,144		2,471
Dow Chemical, Cl A		1,550		80
Evonik Industries		3,382		115
Fortescue Metals Group		91,621		347
Ingevity *		57,057		2,630
Monsanto		4,415		451
Newcrest Mining		27,647		470
Norbord		104,557		2,681
Nucor		11,026		545
Reliance Steel & Aluminum		7,222		520
Steel Dynamics		22,624		565
Syngenta ADR		51,997		4,555
TimkenSteel		55,145		576


				18,670


Telecommunication Services — 1.5%
AT&T		14,027		570
BCE		15,950		736
CenturyTel		7,793		214
Cincinnati Bell, Cl A *		232,593		949
Deutsche Telekom		31,001		520
Globalstar *		92,594		112
Level 3 Communications *		41,200		1,911
Lumos Networks *		32,175		450
Nippon Telegraph & Telephone		11,500		524
NTT DOCOMO		21,100		534
Spark New Zealand		185,751		488
Zayo Group Holdings *		59,828		1,777


				8,785


Utilities — 0.5%
Centerpoint Energy		17,839		414
Chubu Electric Power		5,600		81
CLP Holdings, Cl B		56,000		579
Red Electrica		24,492		529
Toho Gas		64,000		596
Tokyo Gas		105,000		464


				2,663


Total Common Stock (Cost $167,683) ($ Thousands)				178,106



Description	Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT — 4.9%
Argentine Republic Government International Bond
8.750%, 06/02/2017	$	1,489	$	1,550
7.820%, 12/31/2033	EUR	1,288		1,600
7.820%, 12/31/2033		157		197
6.875%, 04/22/2021	$	747		813
3.380%, 03/31/2019 (B)	EUR	1,426		1,052
3.380%, 12/31/2038 (B)		228		165
Cyprus Government International Bond MTN
3.875%, 05/06/2022		601		703
Ecuador Government International Bond
10.750%, 03/28/2022	$	291		297
EP PetroEcuador via Noble Sovereign Funding I
6.487%, 09/24/2019 (C)		306		296
GTH Finance BV
6.250%, 04/26/2020		424		446
Hellenic Republic Government Bond
4.750%, 04/17/2019 (A)	EUR	1,638		1,672
3.650%, 02/24/2023 (B)		44		37
3.650%, 02/24/2024 (B)		44		36
3.650%, 02/24/2025 (B)		44		35
3.650%, 02/24/2026 (B)		44		35
3.650%, 02/24/2027 (B)		44		34
3.650%, 02/24/2028 (B)		44		33
3.650%, 02/24/2029 (B)		44		32
3.650%, 02/24/2030 (B)		44		32
3.650%, 02/24/2031 (B)		44		31
3.650%, 02/24/2032 (B)		44		31
3.650%, 02/24/2033 (B)		44		30
3.650%, 02/24/2034 (B)		44		30
3.650%, 02/24/2035 (B)		44		29
3.650%, 02/24/2036 (B)		44		29
3.650%, 02/24/2037 (B)		44		29
3.650%, 02/24/2038 (B)		44		29
3.650%, 02/24/2039 (B)		44		29
3.650%, 02/24/2040 (B)		44		29
3.650%, 02/24/2041 (B)		44		29
3.650%, 02/24/2042 (B)		44		29
3.375%, 07/17/2017 (A)		2,601		2,858
Iraq International Bond
5.800%, 01/15/2028	$	701		571
Letras del Banco Central de la Republica Argentina
26.284%, 01/04/2017 (D)	ARS	3,306		204
24.966%, 12/07/2016 (D)		3,027		189
24.519%, 12/28/2016 (D)		5,111		317
24.144%, 01/25/2017 (D)		2,973		181
23.940%, 01/18/2017 (D)		15,938		974
Mexico City Airport Trust
5.500%, 10/31/2046	$	200		196
Mexico Government International Bond
4.000%, 10/02/2023		116		124



Description	Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT (continued)
Oman Government International Bond
3.625%, 06/15/2021	$	291	$	294
Pakistan Government International Bond
6.750%, 12/03/2019		321		338
Paraguay Government International Bond
4.625%, 01/25/2023		533		565
4.625%, 01/25/2023		200		212
Peruvian Government International Bond
6.350%, 08/12/2028	PEN	518		152
Petrobras Global Finance
8.750%, 05/23/2026	$	458		506
8.375%, 05/23/2021		729		797
5.750%, 01/20/2020		268		276
4.875%, 03/17/2020		1,707		1,711
3.250%, 04/01/2019	EUR	252		284
3.000%, 01/15/2019	$	1,079		1,057
Petroleos de Venezuela
6.000%, 05/16/2024		1,545		660
6.000%, 05/16/2024		277		118
6.000%, 11/15/2026		964		405
Petroleos Mexicanos MTN
6.875%, 08/04/2026		805		908
4.250%, 01/15/2025		420		405
Russian Federal Bond - OFZ
6.400%, 05/27/2020	RUB	76,570		1,142
Russian Foreign Bond - Eurobond
4.750%, 05/27/2026	$	1,800		1,941
Ukraine Government International Bond
7.750%, 09/01/2019		1,291		1,274
7.750%, 09/01/2020		275		269


Total Sovereign Debt (Cost $26,863) ($ Thousands)				28,347


	Shares


PREFERRED STOCK — 0.2%

Financials — 0.2%
FHLMC, 8.375% *(C)		132,779		462
FNMA, 8.250% *(B)(C)		114,003		400


Total Preferred Stock (Cost $832) ($ Thousands)				862



Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATION — 0.1%

Information Technology — 0.1%
Rackspace Hosting
6.500%, 01/15/2024 (A)	$	754	$	827


Total Corporate Obligation (Cost $831) ($ Thousands)				827


U.S. TREASURY OBLIGATION — 1.7%
U.S. Treasury Bills
0.416%, 12/08/2016 (D)		10,000		9,997


Total U.S. Treasury Obligation (Cost $9,992) ($ Thousands)				9,997


	Shares


CASH EQUIVALENT — 16.4%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		94,331,651		94,332


Total Cash Equivalent (Cost $94,332) ($ Thousands)				94,332


Total Investments — 100.0% (Cost $574,590) ($ Thousands)			$	575,305


COMMON STOCK SOLD SHORT— (15.5)%

Consumer Discretionary — (2.6)%
Cabela’s *		(6,531)		(359)
Charter Communications, Cl A *		(2,469)		(667)
Daimler		(8,543)		(602)
Fossil Group *		(17,642)		(490)
GameStop, Cl A		(26,661)		(736)
Garmin		(11,793)		(567)
Groupon, Cl A *		(70,455)		(363)
Hanesbrands		(13,398)		(338)
Isuzu Motors		(31,200)		(363)
Izumi		(1,600)		(68)
Liberty Broadband, Cl C *		(8,030)		(574)
Liberty Global, Cl A *		(815)		(28)
Liberty Global, Cl C *		(320)		(11)
Liberty Global LiLAC, Cl C *		(17,735)		(497)
Liberty Global LiLAC, Cl A *		(1,763)		(49)
Liberty Media - Interactive, Cl A *		(25,464)		(510)
Lions Gate Entertainment		(11,089)		(222)
lululemon athletica *		(7,402)		(451)
Marui Group		(39,100)		(513)
MSG Networks *		(39,874)		(742)
NetFlix *		(11,485)		(1,132)



Description	Shares		Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
Nexstar Broadcasting Group, Cl A		(4,312)	$	(249)
NGK Spark Plug		(24,600)		(429)
Nissan Motor		(7,500)		(73)
Norwegian Cruise Line Holdings *		(11,827)		(446)
Penske Auto Group, Cl A		(1,357)		(65)
PulteGroup		(25,628)		(514)
Restaurant Brands International		(4,900)		(218)
Select Comfort *		(28,296)		(611)
Smith & Wesson Holding *		(15,313)		(407)
Sony		(12,800)		(416)
Tesla Motors *		(5,441)		(1,110)
Toyota Motor		(200)		(11)
Universal Electronics *		(8,917)		(664)
Vince Holding *		(25,022)		(141)
Yamaha Motor		(7,500)		(150)


				(14,786)


Consumer Staples — (0.3)%
Dr Pepper Snapple Group		(4,835)		(442)
Edgewell Personal Care		(6,720)		(534)
Fresh Del Monte Produce		(7,473)		(448)
Molson Coors Brewing, Cl B		(76)		(8)
Sanderson Farms		(5,921)		(570)


				(2,002)


Energy — (1.0)%
Apache		(7,304)		(466)
BP ADR		(6,399)		(225)
Cameco		(54,500)		(465)
Cheniere Energy *		(12,149)		(530)
Enbridge		(4,669)		(207)
Encana		(43,100)		(450)
HollyFrontier		(5,446)		(133)
Lundin Petroleum *		(7,177)		(131)
Marathon Oil		(25,115)		(397)
Parsley Energy, Cl A *		(17,334)		(581)
PrairieSky Royalty		(9,100)		(185)
Royal Dutch Shell, Cl A		(21,094)		(526)
SBM Offshore		(33,782)		(480)
Targa Resources		(9,127)		(448)
Weatherford International *		(64,503)		(362)


				(5,586)


Financials — (1.1)%
Aegon		(92,740)		(356)
American Express		(8,948)		(573)
Ares Capital		(74,746)		(1,159)
Banco Popular Espanol		(293,098)		(363)
Banco Santander		(102,003)		(452)
CaixaBank		(189,054)		(478)
CBOE Holdings		(650)		(42)



Description	Shares		Market Value ($ Thousands)

COMMON STOCK SOLD SHORT (continued)
Colony Capital, Cl A		(23,349)	$	(426)
Element Financial		(54,300)		(678)
ING Groep		(19,405)		(240)
Mitsubishi UFJ Financial Group		(72,100)		(360)
Nordea Bank		(18,454)		(183)
Skandinaviska Enskilda Banken, Cl A		(55,070)		(554)
Thomson Reuters		(10,567)		(437)
UBS Group		(3,691)		(50)


				(6,351)


Health Care — (1.5)%
Abbott Laboratories		(78,352)		(3,314)
Acadia Healthcare, Cl A *		(9,842)		(488)
ACADIA Pharmaceuticals *		(12,337)		(392)
Aceto		(12,575)		(239)
Aetna, Cl A		(567)		(65)
Alnylam Pharmaceuticals *		(5,461)		(370)
Amgen, Cl A		(1,267)		(211)
Amsurg *		(14,328)		(961)
Anthem		(730)		(91)
Mylan *		(13,823)		(527)
Neogen, Cl B *		(8,057)		(451)
Novartis		(6,811)		(537)
Ono Pharmaceutical		(6,600)		(183)
ResMed		(4,540)		(294)
Sarepta Therapeutics *		(1,586)		(97)
Team Health Holdings *		(12,629)		(411)


				(8,631)


Industrials — (2.0)%
Abertis Infraestructuras		(36,146)		(563)
Airbus Group		(7,219)		(437)
American Airlines Group		(10,442)		(382)
Argan		(19,195)		(1,136)
Bollore		(87,436)		(304)
Bombardier, Cl B *		(370,000)		(507)
FANUC		(3,500)		(588)
Fastenal, Cl A		(11,700)		(489)
Ferrovial		(27,734)		(590)
Keihan Holdings		(29,000)		(202)
Keppel		(133,100)		(526)
Kubota		(34,800)		(520)
Manitowoc Foodservice *		(35,691)		(579)
Middleby *		(4,366)		(540)
MonotaRO		(10,500)		(280)
Seibu Holdings		(14,700)		(241)
Sembcorp Industries		(241,500)		(459)
Sensata Technologies Holding *		(15,027)		(583)
Siemens		(1,501)		(176)
Stericycle, Cl A *		(6,561)		(526)
Supreme Industries, Cl A		(23,253)		(449)
Volvo, Cl B		(43,465)		(497)



Description	Shares		Market Value ($ Thousands)

COMMON STOCK SOLD SHORT (continued)
Wartsila Abp		(12,668)	$	(570)
XPO Logistics *		(10,013)		(367)


				(11,511)


Information Technology — (4.8)%
Activision Blizzard		(27,877)		(1,235)
Advanced Micro Devices *		(62,673)		(433)
Alibaba Group Holding ADR *		(27,485)		(2,908)
Analog Devices		(11,563)		(745)
Apple		(5,617)		(635)
Avid Technology *		(51,641)		(410)
Blackbaud, Cl A		(8,619)		(572)
BlackBerry *		(50,439)		(402)
Broadcom		(3,668)		(633)
CSRA		(7,630)		(205)
Cvent *		(122)		(4)
Cypress Semiconductor		(51,013)		(620)
Echo Global Logistics *		(7,227)		(167)
Electronic Arts *		(7,135)		(609)
EPAM Systems *		(7,613)		(528)
Facebook, Cl A *		(3,516)		(451)
First Data, Cl A *		(40,163)		(528)
First Solar *		(12,515)		(494)
FleetCor Technologies *		(3,233)		(562)
Global Payments		(7,406)		(568)
Gogo *		(40,920)		(452)
GrubHub *		(12,693)		(546)
InterDigital		(14,908)		(1,181)
j2 Global		(6,691)		(446)
Juniper Networks		(37,721)		(908)
Just Eat *		(96,910)		(675)
Keyence		(900)		(653)
LivePerson *		(80,412)		(676)
Marvell Technology Group		(40,107)		(532)
Micron Technology *		(30,373)		(540)
Microsoft		(10,063)		(580)
Mobileye *		(33,527)		(1,427)
NeuStar, Cl A *		(56,602)		(1,505)
New Relic *		(12,419)		(476)
Palo Alto Networks *		(3,614)		(576)
Pandora Media *		(36,090)		(517)
Rofin-Sinar Technologies *		(1,884)		(61)
Rosetta Stone *		(47,380)		(402)
SS&C Technologies Holdings		(18,897)		(607)
Twitter *		(28,459)		(656)
Tyler Technologies *		(3,552)		(608)
United Internet		(4,452)		(197)
Versum Materials *		(19,313)		(438)


				(27,368)


Materials — (1.7)%
Anglo American		(30,373)		(382)



Description	Shares		Market Value ($ Thousands)

COMMON STOCK SOLD SHORT (continued)
Antofagasta		(60,839)	$	(414)
ArcelorMittal		(69,447)		(425)
BHP Billiton		(35,592)		(610)
Cabot		(14,907)		(781)
CF Industries Holdings		(17,266)		(420)
E.I. Du Pont de Nemours		(1,209)		(81)
FMC		(12,089)		(584)
Franco-Nevada		(7,600)		(530)
Freeport-McMoRan, Cl B		(34,865)		(379)
Goldcorp		(19,200)		(316)
K+S		(11,705)		(222)
LafargeHolcim		(11,231)		(608)
LyondellBasell Industries, Cl A		(3,081)		(249)
Orica		(40,550)		(472)
Randgold Resources ADR		(4,450)		(445)
Rio Tinto		(15,344)		(606)
Royal Gold, Cl A		(6,510)		(504)
RPC Group		(22,435)		(280)
Shin-Etsu Chemical, Cl A		(7,300)		(505)
Silver Wheaton		(19,737)		(532)
Sumitomo Metal Mining		(21,000)		(288)


				(9,633)


Telecommunication Services — (0.4)%
Boingo Wireless *		(58,286)		(599)
CenturyTel		(22,013)		(604)
Freenet		(2,847)		(83)
Frontier Communications		(114,465)		(476)
KDDI		(3,700)		(114)
Manitoba Telecom Services		(11,644)		(334)
SoftBank Group		(5,900)		(380)


				(2,590)


Utilities — (0.1)%
Spark Energy, Cl A		(23,034)		(671)


Total Common Stock Sold Short
(Proceeds $86,031) ($ Thousands)				(89,129)


EXCHANGE TRADED FUNDS SOLD SHORT— (0.4)%
CurrencyShares Japanese Yen Trust		(4,393)		(418)
iShares iBoxx USD High Yield Corporate Bond ETF		(13,375)		(1,167)
SPDR S&P 500 ETF Trust		(3,790)		(820)


Total Exchange Traded Funds Sold Short
(Proceeds $2,287) ($ Thousands)				(2,405)



Description	Shares		Market Value ($ Thousands)

PREFERRED STOCK SOLD SHORT— (0.2)%

Consumer Discretionary — (0.2)%
Porsche Automobil Holding, 0.000%		(10,979)	$	(561)
Volkswagen, 0.000%		(4,268)		(561)


Total Preferred Stock Sold Short
(Proceeds $1,236) ($ Thousands)				(1,122)


Total Investments Sold Short — (16.1)%
(Proceeds $89,554) ($ Thousands)			$	(92,656)


	Contracts


PURCHASED OPTIONS (E) — 0.0%
Abbott Laboratories, Expires 11/19/2016, Strike Price $45.00*		25	$	1
Alibaba Group Holding, Expires 10/22/2016, Strike Price $110.00*		82		9
Apollo Education Group, Expires 01/21/2017, Strike Price $8.00*		139		14
Apollo Education Group Put, Expires 01/21/2017, Strike Price $5.00*		97		4
CBOE Holdings, Expires 01/21/2017, Strike Price $72.50*		56		3
CBOE Holdings, Expires 01/21/2017, Strike Price $70.00*		37		3
CBOE Holdings, Expires 12/17/2016, Strike Price $72.50*		75		2
EI du Pont de Nemours, Expires 10/22/2016, Strike Price $60.00*		22		–
EI du Pont de Nemours, Expires 10/22/2016, Strike Price $62.50*		9		–
Imperva, Expires 10/22/2016, Strike Price $45.00*		112		3
Imperva, Expires 10/22/2016, Strike Price $55.00*		131		20
Intersil, Expires 01/21/2017, Strike Price $20.00*		75		13
Intersil, Expires 10/22/2016, Strike Price $21.00*		56		5
Lexmark International, Expires 10/22/2016, Strike Price $30.00*		76		–
Lexmark International, Expires 10/22/2016, Strike Price $29.00*		85		–
LinkedIn, Expires 01/20/2018, Strike Price $200.00*		2		–
Lions Gate Entertainment, Expires 12/17/2016, Strike Price $23.00*		72		3
Lions Gate Entertainment, Expires 12/17/2016, Strike Price $22.00*		36		3
Lions Gate Entertainment, Expires 10/22/2016, Strike Price $23.00*		30		–
Medivation, Expires 10/22/2016, Strike Price $50.00*		7		–



Description	Contracts		Market Value ($ Thousands)

PURCHASED OPTIONS (E) (continued)
Medivation, Expires 10/22/2016, Strike Price $55.00*		3	$	–
Medivation, Expires 10/22/2016, Strike Price $45.00*		1		–
Monsanto, Expires 01/21/2017, Strike Price $110.00*		78		7
NorthStar Realty Finance, Expires 12/17/2016, Strike Price $11.00*		75		1
October 16 Puts on SPX, Expires 10/22/2016, Strike Price $1,980.00*		32		4
October 16 Puts on SPX, Expires 10/22/2016, Strike Price $2,150.00*		2		4
October 16 Puts on SPX, Expires 10/22/2016, Strike Price $1,990.00*		2		–
October 16 Puts on SPX, Expires 10/22/2016, Strike Price $2,140.00*		32		47
Valspar, Expires 10/22/2016, Strike Price $100.00*		29		1
WhiteWave Foods, Expires 01/21/2017, Strike Price $55.00*		113		11
WhiteWave Foods, Expires 01/21/2017, Strike Price $52.50*		21		2
WhiteWave Foods, Expires 10/22/2016, Strike Price $52.50*		40		–


Total Purchased Options (Cost $214) ($ Thousands)			$	160


WRITTEN OPTIONS (E) — 0.0%
Alibaba Group Holding, Expires 10/22/2016 Strike Price $115.00*		(6)	$	–
October 16 Puts on SPX, Expires 10/22/2016 Strike Price $2,070.00*		(4)		(2)
October 16 Puts on SPX, Expires 10/22/2016 Strike Price $2,060.00*		(64)		(26)
WhiteWave Foods, Expires 01/21/2017 Strike Price $50.00*		(113)		(64)


Total Written Options (Premiums Received $117) ($ Thousands)			$	(92)

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:



Type of Contract	Number of Contracts Short		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)

90-Day Euro$		(12)		Dec-2017		$(3)
Euro-BTP		(10)		Dec-2016		(5)
S&P 500 Index E-MINI		(17)		Dec-2016		5
U.S. 10-Year Treasury Note		(6)		Dec-2016		(1)
U.S. Long Treasury Bond		(6)		Dec-2016		13

						$9

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:



Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)

10/07/16	USD		153	PEN		517		$(2)
12/20/16-12/21/16	USD		1,618	MXN		32,122		27
12/21/16	USD		14	EUR		13		—
12/21/16	USD		529	MXN		10,274		(3)
12/21/16	USD		1,251	RUB		82,939		38
12/21/16	TRY		3,785	USD		1,248		8
12/21/16	EUR		8,071	USD		9,061		(45)
12/21/16	MXN		11,438	USD		573		(13)
12/21/16	CNH		19,760	USD		2,934		(12)
12/21/16	RUB		82,939	USD		1,262		(27)
12/21/16	JPY		102,946	USD		1,017		(4)
01/19/17	USD		2,476	SAR		9,333		7
01/19/17	SAR		9,333	USD		2,431		(52)

								(78)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:



Counterparty	Currency to Deliver ($ Thousands)		Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)

Bank of America		$(572)		$585		$13
Credit Suisse First Boston		(2,946)		2,934		(12)
Merrill Lynch		(1,936)		1,939		3
Morgan Stanley		(19,258)		19,176		(82)

						$(78)

A list of the open OTC swap agreements held by the Fund at September 30, 2016 is as follows:

Percentages are based on Net Assets of $575,104 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of September 30, 2016.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note6)

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2016, the value of these securities amounted to $6,825 ($ Thousands), representing 1.2% of the net assets of the Fund.

(B)

Step Bonds – The rate reflected on the Schedule of Investments is the effective yield on September 30, 2016. The coupon on a step bond changes on a specified date.

(C)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2016.

(D)

The rate reported is the effective yield at the time of purchase.

(E)

For the year ended September 30, 2016, the total amount of open purchased options and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the year.

ADR — American Depositary Receipt

ARS — Argentine Peso

BRL — Brazilian Real

Cl — Class

CNH — Chinese Offshore Yuan

EUR — Euro

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):



Investments in Securities	Level 1		Level 2		Level 3		Total

Registered Investment Companies	$	262,834	$	–	$	–	$	262,834
Common Stock		178,106		–		–		178,106
Sovereign Debt		–		28,347		–		28,347
Preferred Stock		862		–		–		862
Corporate Obligations		–		827		–		827
U.S. Treasury Obligation		–		9,997		–		9,997
Cash Equivalent		94,332		–		–		94,332


Total Investments in Securities	$	536,134	$	39,171	$	–	$	575,305



Securities Sold Short	Level 1		Level 2		Level 3		Total

Common Stock	$	(89,129)	$	–	$	–	$	(89,129)
Exchange Traded Funds		(2,405)		–		–		(2,405)
Preferred Stock		(1,122)		–		–		(1,122)

Total Securities Sold Short	$	(92,656)	$	–	$	–	$	(92,656)



Other Financial Instruments	Level 1		Level 2		Level 3		Total


Purchased Options	$	160	$	—	$	—	$	160

Written Options		(92)		—		—		(92)
Futures Contracts *

Unrealized Appreciation		18		—		—		18

Unrealized Depreciation		(9)		—		—		(9)
Forwards Contracts *

Unrealized Appreciation		—		80		—		80

Unrealized Depreciation		—		(158)		—		(158)
OTC Swaps
Interest Rate Swaps *

Unrealized Appreciation		—		11		—		11
Credit Default Swaps *

Unrealized Appreciation		—		57		—		57
Total Return Swaps *

Unrealized Appreciation		—		131		—		131
Centrally Cleared Swaps
Credit Default Swaps *

Unrealized Appreciation		—		145		—		145

Unrealized Depreciation		—		(104)		—		(104)


Total Other Financial Instruments	$	77	$	162	$	—	$	239

* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.



Description	Face Amount (Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 55.6%
U.S. Treasury Bills
0.541%, 03/16/2017 (A)	$	3,994	$	3,986
0.480%, 11/25/2016 (A)(B)		41,108		41,098
0.477%, 12/01/2016 (A)(B)		43,790		43,777
0.451%, 02/23/2017 (A)(B)		7,347		7,337
0.446%, 02/16/2017 (A)(B)		3,623		3,618
0.431%, 01/19/2017 (A)(B)		488,464		488,077
0.420%, 03/30/2017 (A)		1,068		1,066
0.401%, 10/27/2016 (A)(B)		1,599		1,599
0.395%, 02/02/2017 (A)(B)		97,276		97,167
0.370%, 11/17/2016 (A)(B)		31,481		31,474
0.310%, 10/20/2016 (A)(B)		150,000		149,991
0.266%, 10/06/2016 (A)(B)		36,500		36,500
U.S. Treasury Inflation Protected Securities
3.875%, 04/15/2029		2,079		2,995
3.625%, 04/15/2028		838		1,157
3.375%, 04/15/2032		2,034		2,984
2.625%, 07/15/2017		697		718
2.500%, 01/15/2029		2,080		2,641
2.375%, 01/15/2017		239		241
2.375%, 01/15/2025		3,152		3,756
2.375%, 01/15/2027		776		951
2.125%, 01/15/2019		2,018		2,149
2.125%, 02/15/2041		1,171		1,573
2.000%, 01/15/2026		2,528		2,969
1.875%, 07/15/2019		3,949		4,241
1.750%, 01/15/2028		1,119		1,310
1.375%, 07/15/2018		3,236		3,373
1.375%, 01/15/2020		972		1,032
1.375%, 02/15/2044		1,033		1,225
1.250%, 07/15/2020		3,149		3,365
1.125%, 01/15/2021		2,015		2,145
1.000%, 02/15/2046		5,078		5,527
0.750%, 02/15/2042		1,544		1,591
0.750%, 02/15/2045		766		790
0.625%, 07/15/2021		2,328		2,444
0.625%, 01/15/2024		4,435		4,653
0.625%, 01/15/2026		2,532		2,629
0.625%, 02/15/2043		785		787



Description	Face Amount (Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS (continued)
0.375%, 07/15/2023		$ 2,533	$	2,625
0.375%, 07/15/2025		43,800		45,231
0.250%, 01/15/2025		39,911		40,649
0.125%, 04/15/2017		424		425
0.125%, 04/15/2018		1,510		1,526
0.125%, 04/15/2019		82,452		83,851
0.125%, 04/15/2020		86,510		88,198
0.125%, 04/15/2021		5,077		5,183
0.125%, 01/15/2022		1,807		1,845
0.125%, 07/15/2022		2,041		2,089
0.125%, 01/15/2023		1,720		1,747
0.125%, 07/15/2024		30,954		31,404


Total U.S. Treasury Obligations (Cost $1,257,964) ($ Thousands)				1,267,709


SOVEREIGN DEBT — 15.6%
African Development Bank MTN
2.375%, 09/23/2021 (B)		1,000		1,043
1.375%, 02/12/2020 (B)		1,000		1,005
1.125%, 03/15/2017 (B)		200		200
0.875%, 03/15/2018 (B)		500		499
Andina de Fomento
4.375%, 06/15/2022 (B)		250		277
Asian Development Bank MTN
5.593%, 07/16/2018 (B)		250		269
1.625%, 08/26/2020 (B)		2,000		2,028
1.375%, 01/15/2019 (B)		1,000		1,008
1.125%, 03/15/2017 (B)		150		150
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond
0.750%, 04/15/2018		EUR 4,074		4,699
0.750%, 04/15/2018		336		387
Canada Government International Bond
1.625%, 02/27/2019 (B)		$ 1,500		1,523
0.875%, 02/14/2017 (B)		1,200		1,201
Chile Government International Bond
3.875%, 08/05/2020 (B)		250		272
Council of Europe Development Bank
1.750%, 11/14/2019 (B)		1,000		1,017
1.500%, 02/22/2017 (B)		850		852
Deutsche Bundesrepublik Inflation Linked Bond
1.750%, 04/15/2020		EUR 7,867		9,819
1.750%, 04/15/2020		16,077		20,067
0.500%, 04/15/2030		4,960		6,799
0.100%, 04/15/2023		12,588		15,504
0.100%, 04/15/2026		23,947		30,465
0.100%, 04/15/2026		3,044		3,853
0.100%, 04/15/2046		719		1,045
Development Bank of Japan
5.125%, 02/01/2017 (B)		$ 200		203



Description	Face Amount (Thousands)		Market Value ($ Thousands)

SOVEREIGN DEBT (continued)
European Bank for Reconstruction & Development MTN
1.750%, 11/26/2019 (B)		$ 2,500	$	2,543
1.500%, 03/16/2020 (B)		250		253
1.000%, 02/16/2017 (B)		600		601
0.750%, 09/01/2017 (B)		200		200
European Investment Bank
4.875%, 02/15/2036 (B)		250		346
4.000%, 02/16/2021 (B)		1,000		1,111
2.125%, 10/15/2021 (B)		1,000		1,032
1.625%, 12/15/2020 (B)		1,000		1,012
1.000%, 12/15/2017 (B)		150		150
Export Development Canada
1.750%, 08/19/2019 (B)		500		509
1.750%, 07/21/2020 (B)		1,000		1,021
0.750%, 12/15/2017 (B)		750		749
FMS Wertmanagement AoeR
1.750%, 03/17/2020 (B)		500		508
1.250%, 07/30/2018 (B)		1,000		1,006
1.000%, 11/21/2017 (B)		950		950
France Government Bond OAT
3.400%, 07/25/2029		EUR 873		1,555
3.150%, 07/25/2032		713		1,319
2.250%, 07/25/2020		17,920		23,064
2.100%, 07/25/2023		1,400		1,941
2.100%, 07/25/2023		1,084		1,502
1.850%, 07/25/2027		6,350		9,389
1.800%, 07/25/2040		2,382		4,216
1.300%, 07/25/2019		243		294
1.100%, 07/25/2022		1,231		1,582
1.100%, 07/25/2022		7,410		8,467
1.000%, 07/25/2017		1,087		1,246
0.700%, 07/25/2030 (C)		203		276
0.250%, 07/25/2018		1,579		1,836
0.250%, 07/25/2024		1,234		2,055
0.250%, 07/25/2024		8,225		10,278
0.100%, 03/01/2021		3,000		3,590
0.100%, 07/25/2021		6,629		7,955
0.100%, 03/01/2025		9,303		11,459
Hydro-Quebec
1.375%, 06/19/2017 (B)		$ 150		150
Inter-American Development Bank
7.000%, 06/15/2025 (B)		500		688
3.875%, 09/17/2019 (B)		350		377
1.125%, 03/15/2017 (B)		300		301
International Bank for Reconstruction & Development
4.750%, 02/15/2035 (B)		250		335
2.250%, 06/24/2021 (B)		1,000		1,040
1.625%, 03/09/2021 (B)		1,000		1,014
0.875%, 04/17/2017 (B)		450		450



Description	Face Amount (Thousands)		Market Value ($ Thousands)

SOVEREIGN DEBT (continued)
International Finance MTN
2.125%, 11/17/2017 (B)		$ 750	$	761
1.750%, 09/04/2018 (B)		200		203
1.625%, 07/16/2020 (B)		2,000		2,030
1.125%, 11/23/2016 (B)		750		750
1.000%, 04/24/2017 (B)		300		300
0.875%, 06/15/2018 (B)		1,000		1,000
Italy Buoni Poliennali Del Tesoro
3.100%, 09/15/2026		EUR 2,254		3,208
2.600%, 09/15/2023		2,969		3,971
2.550%, 09/15/2041		968		1,466
2.350%, 09/15/2019		560		686
2.350%, 09/15/2024 (C)		2,136		2,813
2.350%, 09/15/2035		2,426		3,539
2.100%, 09/15/2017		1,000		1,159
2.100%, 09/15/2021		1,480		1,870
1.700%, 09/15/2018		921		1,085
1.700%, 09/15/2018		102		121
Korea Development Bank
4.625%, 11/16/2021 (B)		$ 250		285
Nordic Investment Bank MTN
1.500%, 09/29/2020 (B)		1,000		1,009
1.125%, 03/19/2018 (B)		1,000		1,003
1.000%, 03/07/2017 (B)		750		751
0.750%, 01/17/2018 (B)		200		200
North American Development Bank
2.400%, 10/26/2022 (B)		200		203
Province of British Columbia Canada
6.500%, 01/15/2026 (B)		250		338
2.000%, 10/23/2022 (B)		250		254
Province of Manitoba Canada
3.050%, 05/14/2024 (B)		250		270
Province of Ontario Canada
4.000%, 10/07/2019 (B)		500		539
2.450%, 06/29/2022 (B)		250		260
2.000%, 01/30/2019 (B)		500		508
Province of Quebec Canada
7.500%, 09/15/2029 (B)		200		301
Svensk Exportkredit MTN
5.125%, 03/01/2017 (B)		150		153
1.750%, 03/10/2021 (B)		1,000		1,012
United Kingdom Gilt Inflation Linked
4.125%, 07/22/2030		GBP 1,000		4,904
2.500%, 04/16/2020		429		2,060
2.500%, 07/17/2024		340		1,632
2.000%, 01/26/2035		432		1,544
1.875%, 11/22/2022		4,098		6,773
1.250%, 11/22/2017		204		276
1.250%, 11/22/2027		1,222		2,227
1.250%, 11/22/2032		696		1,446
1.250%, 11/22/2055		1,560		5,407
1.125%, 11/22/2037		1,016		2,325



Description	Face Amount (Thousands)		Market Value ($ Thousands)

SOVEREIGN DEBT (continued)
0.750%, 03/22/2034		GBP 964	$	1,922
0.750%, 11/22/2047		824		2,165
0.625%, 03/22/2040		1,788		3,981
0.625%, 11/22/2042		1,023		2,387
0.500%, 03/22/2050		2,407		6,273
0.375%, 03/22/2062		495		1,577
0.250%, 03/22/2052		653		1,667
0.125%, 03/22/2024		19,721		30,391
0.125%, 03/22/2026		13,668		21,750
0.125%, 03/22/2029		111		186
0.125%, 03/22/2044		1,847		3,970
0.125%, 03/22/2058		1,235		3,409
0.125%, 11/22/2065		750		2,384
0.125%, 03/22/2068		422		1,408


Total Sovereign Debt (Cost $347,778) ($ Thousands)				356,667


	Shares

FOREIGN COMMON STOCK — 4.4%

Australia — 0.3%
AGL Energy		25,712		375
Amcor		3,900		45
APA Group		38,075		248
Aristocrat Leisure		14,947		181
ASX		2,472		91
Aurizon Holdings		21,309		77
AusNet Services		264,595		332
BHP Billiton		5,561		95
Brambles		9,655		89
Caltex Australia		6,748		177
CIMIC Group ‡		4,686		103
Coca-Cola Amatil		19,358		152
Cochlear		2,349		253
Computershare		58,392		461
Crown Resorts		10,576		106
CSL		3,596		294
DUET Group		92,883		178
Fortescue Metals Group		27,506		104
Harvey Norman Holdings		38,002		151
Healthscope		82,236		193
Incitec Pivot		29,314		63
Insurance Australia Group		17,664		74
LendLease Group		3,959		43
Origin Energy		40,531		168
Qantas Airways		25,771		62
Ramsay Health Care		5,073		307
REA Group		2,602		113
Rio Tinto		2,745		109
Santos		26,897		74
Scentre Group ^‡		11,668		42
SEEK		7,445		89



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
Sonic Healthcare		16,500	$	278
South32		36,210		67
Sydney Airport		20,066		107
Tabcorp Holdings		34,462		131
Tatts Group		44,420		124
Telstra, Cl B		88,932		352
TPG Telecom		28,076		185
Transurban Group		13,849		121
Treasury Wine Estates		30,987		262
Vicinity Centres ^‡		28,772		70
Vocus Communications		16,502		79
Wesfarmers		4,028		136
Westfield		9,207		69
Westpac Banking		2,441		55
Woodside Petroleum		6,856		150
Woolworths		9,620		171

				7,206


Austria — 0.0%
Andritz		4,304		234
Erste Group Bank		4,076		121
OMV		9,074		261
Raiffeisen Bank International		8,262		126
voestalpine		5,195		180

				922


Belgium — 0.1%
Ageas		2,714		99
Anheuser-Busch InBev		1,572		206
Colruyt		6,336		351
Groupe Bruxelles Lambert		357		32
KBC Group		1,942		113
Proximus		13,839		413
Solvay		1,290		149
Telenet Group Holding *		7,685		401
UCB, Cl A		6,939		537
Umicore		4,213		265

				2,566


Canada — 0.4%
Alimentation Couche-Tard, Cl B		5,390		261
Atco, Cl I		9,853		350
Bank of Montreal		518		34
Bank of Nova Scotia, Cl C		1,590		84
BCE		8,954		413
BlackBerry *		20,413		163
Bombardier, Cl B *		74,372		102
CAE		9,180		130
Canadian National Railway		2,192		143
Canadian Natural Resources		4,257		136
Canadian Pacific Railway		641		98
Canadian Tire, Cl A		1,352		135
Canadian Utilities, Cl A		11,446		322
CGI Group, Cl A *		6,993		333



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
CI Financial		3,354	$	64
Constellation Software		636		286
Crescent Point Energy, Cl F		4,916		65
Dollarama		3,044		237
Empire, Cl A		8,607		128
Enbridge		913		40
Encana		8,974		94
Fairfax Financial Holdings		200		117
First Capital Realty		4,150		69
First Quantum Minerals (Canada)		2,143		18
Fortis		11,351		364
Franco-Nevada		1,000		70
George Weston		2,265		189
Gildan Activewear		4,096		114
H&R ^‡		4,787		82
Husky Energy		5,232		64
Imperial Oil		2,707		84
Intact Financial		1,580		114
Jean Coutu Group PJC, Cl A		11,072		169
Loblaw		4,092		210
Magna International, Cl A		2,438		105
Methanex		1,070		38
Metro, Cl A		7,776		255
National Bank of Canada		870		31
Open Text		4,874		315
Potash Corp of Saskatchewan		2,157		35
PrairieSky Royalty		2,615		53
Restaurant Brands International		2,608		116
RioCan ^‡		3,430		71
Rogers Communications, Cl B		8,565		363
Royal Bank of Canada		1,066		66
Saputo		5,318		185
Shaw Communications, Cl B		7,879		161
Silver Wheaton		3,032		82
SNC-Lavalin Group		1,669		65
Suncor Energy		1,464		40
Teck Resources, Cl B		2,423		43
TELUS		9,642		317
Thomson Reuters, Cl B		4,373		181
Toronto-Dominion Bank		1,857		82
TransCanada		2,000		95
Turquoise Hill Resources *		6,748		20
Valeant Pharmaceuticals International *		10,021		245
Vermilion Energy		2,483		96

				8,342


Chile — 0.0%
Antofagasta		8,667		59


China — 0.0%
Sands China		18,800		82
Yangzijiang Shipbuilding Holdings		175,548		96

				178



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)

Denmark — 0.2%
AP Moeller - Maersk, Cl A		102	$	143
AP Moeller - Maersk, Cl B		99		145
Carlsberg, Cl B		3,116		297
Chr Hansen Holding		4,349		259
Coloplast, Cl B		4,159		323
Danske Bank		6,879		201
Genmab *		996		170
Novo Nordisk, Cl B		5,821		242
Novozymes, Cl B		7,255		319
Pandora		1,416		171
TDC		68,288		402
Tryg		10,215		205
Vestas Wind Systems		1,356		112
William Demant Holding *		18,776		383

				3,372


Finland — 0.1%
Elisa		10,422		384
Fortum		21,754		352
Kone, Cl B		2,993		152
Metso		2,878		84
Neste		13,857		591
Nokia		58,083		337
Nokian Renkaat		5,363		196
Orion, Cl B		11,412		450
Sampo, Cl A		3,627		161
Stora Enso, Cl R		16,819		150
UPM-Kymmene, Cl V		9,046		191
Wartsila Abp		2,318		104

				3,152


France — 0.3%
Accor		875		35
Aeroports de Paris, Cl A		373		37
Air Liquide		1,030		110
Arkema		1,313		122
Atos		2,646		285
AXA		1,932		41
Bouygues		892		29
Bureau Veritas		900		19
Capgemini		2,596		254
Carrefour		1,443		37
Christian Dior, Cl B		506		91
CNP Assurances		1,903		32
Credit Agricole		5,388		53
Danone		1,646		122
Dassault Systemes		3,513		305
Electricite de France		11,810		144
Engie		8,471		131
Essilor International		3,685		475
Eutelsat Communications		1,501		31
Fonciere Des Regions ^‡		434		41
Gecina ^‡		699		110



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
Groupe Eurotunnel		4,624	$	50
Hermes International		26		11
ICADE ^‡		512		40
Iliad		1,128		237
Ingenico Group		1,988		174
JCDecaux		1,173		38
Kering		389		78
Klepierre ^‡		1,965		90
L’Oreal		607		115
LVMH Moet Hennessy Louis Vuitton		241		41
Natixis		5,679		26
Orange		12,973		203
Pernod Ricard		1,010		120
Remy Cointreau		1,323		113
Renault		450		37
Rexel		3,641		56
Sanofi		4,184		318
Schneider Electric		577		40
SCOR		1,457		45
SES, Cl A		1,713		42
SFR Group		6,317		186
Societe BIC		289		43
Societe Generale		2,531		88
STMicroelectronics		30,387		248
Suez		13,641		225
Technip		5,328		327
Thales, Cl A		1,344		124
TOTAL		5,406		256
Valeo		527		31
Veolia Environnement		8,189		189
Vinci		822		63
Vivendi		5,328		108
Wendel		681		80

				6,346


Germany — 0.3%
adidas		861		150
Allianz		347		52
BASF		1,028		88
Bayer		1,449		145
Beiersdorf		1,696		160
Brenntag		527		29
Commerzbank		5,497		35
Continental		286		60
Covestro (C)		1,507		89
Deutsche Bank		2,043		26
Deutsche Boerse *		283		23
Deutsche Lufthansa		5,273		59
Deutsche Post		2,302		72
Deutsche Telekom		20,670		347
Deutsche Wohnen		1,750		64
E.ON		26,305		187
Fraport Frankfurt Airport Services Worldwide		1,521		83



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
Fresenius		4,273	$	341
Fresenius Medical Care		3,975		347
GEA Group		1,568		87
Hannover Rueck		619		66
HeidelbergCement		879		83
Henkel & KGaA		1,543		180
HUGO BOSS		2,069		114
Infineon Technologies		20,066		358
K+S		2,963		56
LANXESS		1,587		99
Linde		488		83
MAN		398		42
Merck KGaA		2,187		236
Metro		4,277		127
Muenchener Rueckversicherungs-Gesellschaft in Muenchen		274		51
OSRAM Licht		1,575		92
QIAGEN *		7,992		220
RWE		17,258		297
SAP		4,196		382
Siemens		850		100
Symrise		2,361		173
Telefonica Deutschland Holding		49,505		199
thyssenkrupp		3,604		86
TUI		3,217		46
Uniper *		2,630		32
United Internet		6,170		273
Volkswagen		135		20

				5,859


Hong Kong — 0.2%
AIA Group		13,800		92
ASM Pacific Technology		63,400		522
BOC Hong Kong Holdings		15,500		52
Cathay Pacific Airways		77,000		107
Cheung Kong Infrastructure Holdings		43,438		373
Cheung Kong Property Holdings		5,708		42
CK Hutchison Holdings		8,208		105
CLP Holdings, Cl B		58,000		599
Galaxy Entertainment Group		6,000		22
HK Electric Investments & HK Electric Investments (C)		290,500		285
HKT Trust and HKT		283,920		400
Hong Kong & China Gas		200,158		378
Kerry Properties		13,000		42
Li & Fung		154,000		79
Link ^‡		13,500		99
MGM China Holdings		30,000		52
MTR		39,500		218
NWS Holdings		90,000		150
PCCW		686,000		421
Power Assets Holdings		44,602		435
Shangri-La Asia		82,000		90



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
SJM Holdings		52,000	$	38
Swire Pacific, Cl A		4,000		43
Swire Properties		18,400		54
Techtronic Industries		31,500		123
WH Group (C)		469,000		377
Wynn Macau		27,600		46
Yue Yuen Industrial Holdings		30,500		126

				5,370


Ireland — 0.1%
Accenture, Cl A		1,413		173
Bank of Ireland *		430,737		90
CRH		8,888		297
Eaton		2,114		139
Kerry Group, Cl A		4,069		339
Paddy Power Betfair		3,752		424
Ryanair Holdings ADR		4,036		303

				1,765


Israel — 0.1%
Azrieli Group		2,954		130
Bank Hapoalim		29,177		165
Bank Leumi Le-Israel *		39,720		151
Bezeq The Israeli Telecommunication		203,497		383
Check Point Software Technologies *		3,321		258
Israel Chemicals		66,305		258
Mizrahi Tefahot Bank		12,761		162
NICE-Systems		6,857		458
Teva Pharmaceutical Industries		8,087		388

				2,353


Italy — 0.1%
Assicurazioni Generali		2,134		26
Atlantia		3,095		79
CNH Industrial		12,849		92
Enel		67,914		303
Eni		16,512		238
EXOR		1,900		77
Ferrari		3,250		169
Fiat Chrysler Automobiles		18,029		114
Leonardo-Finmeccanica *		10,324		117
Luxottica Group		2,908		139
Mediobanca		8,384		55
Prysmian		5,661		148
Saipem		451,982		191
Snam Rete Gas		39,115		217
Telecom Italia		511,570		380
Tenaris		15,473		221
Terna Rete Elettrica Nazionale		44,057		227
UnipolSai		31,346		51

				2,844


Japan — 0.7%
Aeon, Cl H		5,800		85
AEON Financial Service		4,700		81



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
Air Water		5,000	$	94
Aisin Seiki		800		36
Ajinomoto		7,000		155
Alfresa Holdings		6,800		143
ANA Holdings		20,000		54
Aozora Bank		31,000		106
Asahi Group Holdings		2,800		101
Asahi Kasei		9,000		71
Astellas Pharma		8,000		124
Bank of Kyoto		12,000		87
Benesse, Cl A		2,700		69
Bridgestone		2,000		73
Calbee		2,000		75
Canon		2,600		75
Central Japan Railway		400		68
Chiba Bank, Cl B		21,000		118
Chubu Electric Power		11,300		164
Chugai Pharmaceutical		2,500		90
Chugoku Bank		7,600		92
Chugoku Electric Power		12,200		153
Concordia Financial Group		24,000		104
Credit Saison		5,700		94
Daicel		3,800		48
Daito Trust Construction		500		80
Daiwa House Industry		3,000		82
Daiwa Securities Group		18,000		100
Dentsu		1,000		50
Eisai		2,000		124
Electric Power Development		6,100		146
FamilyMart UNY Holdings, Cl H		2,600		173
Fast Retailing		100		32
Fuji Heavy Industries		900		33
FUJIFILM Holdings		2,200		81
Fukuoka Financial Group		29,000		120
Hachijuni Bank		23,000		119
Hankyu Hanshin Holdings		1,400		48
Hino Motors		3,600		38
Hirose Electric		840		110
Hiroshima Bank		31,000		127
Hisamitsu Pharmaceutical		2,500		134
Hitachi Chemical		3,039		69
Hitachi Metals		5,000		61
Hokuriku Electric Power		11,100		134
Idemitsu Kosan		13,100		269
Inpex		21,000		189
Iyo Bank		13,500		81
J Front Retailing		3,000		39
Japan Prime Realty Investment, Cl A ^‡		24		109
Japan Real Estate Investment ^‡		16		96
Japan Retail Fund Investment, Cl A ^‡		32		79
JX Holdings		56,400		227
Kajima		7,000		49



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
Kamigumi		8,000	$	69
Kaneka		12,000		94
Kansai Electric Power *		10,800		98
Kansai Paint		3,000		65
Kao		1,800		101
KDDI		10,900		335
Keikyu		4,000		42
Keio		3,000		26
Keyence		200		145
Kikkoman		4,000		127
Kintetsu Group Holdings		15,000		63
Kirin Holdings		6,100		101
Konami Holdings		3,656		141
Kyocera		900		43
Kyowa Hakko Kirin		6,400		100
Kyushu Electric Power		9,400		88
Lawson		1,600		126
LIXIL Group		3,000		64
M3		3,600		122
Marubeni		15,700		80
Maruichi Steel Tube		3,200		110
McDonald’s Holdings Japan		1,623		48
Mebuki Financial Group		33,930		120
Medipal Holdings		6,500		112
MEIJI Holdings		2,000		197
Miraca Holdings		2,800		139
Mitsubishi Chemical Holdings, Cl B		4,700		29
Mitsubishi Motors		4,200		20
Mitsubishi Tanabe Pharma		7,400		157
Mitsui Chemicals		9,000		43
Mizuho Financial Group		45,700		76
Murata Manufacturing		500		64
NEC		12,000		30
NGK Spark Plug		2,600		45
NH Foods		4,000		96
NHK Spring		3,000		29
Nintendo		500		131
Nippon Building Fund ^‡		13		82
Nippon Express		13,000		60
Nippon Prologis ^‡		36		91
Nippon Steel & Sumitomo Metal		2,855		58
Nippon Telegraph & Telephone		9,600		437
Nisshin Seifun Group		9,415		143
Nissin Food Products		2,000		121
Nitori Holdings		400		47
NOK		1,500		33
Nomura Research Institute		1,980		68
NTT Data		2,000		99
NTT DOCOMO		16,300		413
Odakyu Electric Railway		1,500		33
Oji Holdings		22,000		87
Ono Pharmaceutical		2,400		67



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
Oracle Japan		1,900	$	107
Osaka Gas		78,000		325
Otsuka Holdings		3,400		154
Resona Holdings		27,900		116
Rohm		800		42
Ryohin Keikaku		200		40
Sankyo		1,100		37
Santen Pharmaceutical		7,500		110
Sekisui Chemical		3,000		43
Seven & i Holdings		2,100		99
Seven Bank		30,200		96
Shikoku Electric Power		9,400		92
Shimadzu		6,000		91
Shimizu		3,000		27
Shin-Etsu Chemical, Cl A		1,100		76
Shiseido		3,900		103
Shizuoka Bank		12,000		95
Showa Shell Sekiyu		29,300		270
SoftBank		4,800		309
Sumitomo		6,500		72
Sumitomo Metal Mining		8,000		109
Sumitomo Rubber Industries		100		2
Suntory Beverage & Food		2,800		120
Suzuken		2,760		90
Sysmex		1,700		125
Taisei		5,000		37
Taisho Pharmaceutical Holdings		1,000		102
Takeda Pharmaceutical		2,600		124
Teijin		4,800		92
Terumo		4,000		153
Tobu Railway		17,000		86
Toho		1,600		53
Toho Gas		42,063		392
Tohoku Electric Power		8,400		109
Tokyo Electric Power Holdings *		4,200		18
Tokyo Gas		62,000		274
Tokyu		4,000		30
TonenGeneral Sekiyu		32,000		322
Toray Industries		10,000		97
TOTO		1,000		37
Toyo Seikan Group Holdings		1,900		33
Toyo Suisan Kaisha		3,000		127
Toyota Industries		1,900		87
Toyota Motor		1,700		97
Unicharm		4,900		126
United Urban Investment ^‡		66		120
USS		5,600		94
Yakult Honsha		1,800		81
Yamaguchi Financial Group		9,000		96
Yamato Holdings		1,400		32
Yamazaki Baking		5,000		122

				16,365



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)

Luxembourg — 0.0%
RTL Group		682	$	57


Netherlands — 0.2%
Aegon		27,244		105
Akzo Nobel		2,588		176
Altice *		7,879		141
Altice, Cl B *		11,055		199
ArcelorMittal		29,025		178
ASML Holding		3,148		346
Coca-Cola European Partners		2,967		118
Gemalto		4,556		292
Heineken		1,925		170
ING Groep		10,046		124
Koninklijke Ahold Delhaize		20,056		457
Koninklijke Boskalis Westminster		1,861		66
Koninklijke DSM		3,445		233
Koninklijke Philips		3,383		100
Koninklijke Vopak		10,682		561
LyondellBasell Industries, Cl A		3,347		270
NN Group		3,780		116
NXP Semiconductors *		2,141		218
OCI *		4,290		63
Randstad Holding		1,641		75
RELX		10,973		197
Royal KPN		91,067		302
Unibail-Rodamco ^‡		139		38
Unilever		3,312		153
Wolters Kluwer		4,597		197

				4,895


New Zealand — 0.1%
Auckland International Airport		70,442		377
Contact Energy		79,201		290
Fletcher Building		46,704		364
Mercury NZ		112,969		250
Meridian Energy		170,649		323
Ryman Healthcare		45,110		316
Spark New Zealand		147,825		388

				2,308


Norway — 0.1%
DNB, Cl A		9,226		121
Gjensidige Forsikring		10,608		198
Marine Harvest		9,931		178
Norsk Hydro		51,688		223
Orkla		30,555		316
Schibsted, Cl B		4,860		130
Statoil		26,354		441
Telenor		17,631		302
Yara International		3,178		106

				2,015



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)

Panama — 0.0%
Carnival		2,195	$	107


Portugal — 0.0%
Banco Espirito Santo *		50,830		–
EDP - Energias de Portugal		85,324		287
Galp Energia SGPS		20,070		274
Jeronimo Martins		16,644		289

				850


Singapore — 0.1%
CapitaLand		33,800		79
CapitaLand Commercial Trust ^‡		53,667		63
DBS Group Holdings		7,800		88
Genting Singapore		238,600		131
Global Logistic Properties		42,000		58
Golden Agri-Resources		928,100		241
Hutchison Port Holdings, Cl U		150,126		67
Jardine Cycle & Carriage		6,200		195
Keppel		16,600		66
Noble Group		170,100		19
Oversea-Chinese Banking		12,800		81
Sembcorp Industries		31,300		59
Sembcorp Marine		42,000		40
Singapore Airlines		21,300		164
Singapore Exchange		22,900		125
Singapore Press Holdings		97,800		273
Singapore Technologies Engineering		25,400		60
Singapore Telecommunications		116,700		340
StarHub		141,300		356
United Overseas Bank		5,300		73
UOL Group		7,072		29
Wilmar International		89,200		211

				2,818


Spain — 0.2%
Abertis Infraestructuras		5,513		86
ACS Actividades de Construccion y Servicios		2,833		86
Aena (C)		765		113
Amadeus IT Group, Cl A		11,484		574
Banco Bilbao Vizcaya Argentaria		10,923		66
Banco Santander		24,737		110
Bankia		80,911		66
CaixaBank		30,255		76
Distribuidora Internacional de Alimentacion		38,251		237
Enagas		5,493		165
Endesa		4,836		104
Ferrovial		4,529		96
Gas Natural SDG		6,561		135
Grifols		14,620		315
Iberdrola		26,058		177
Industria de Diseno Textil		9,200		341
International Consolidated Airlines Group		7,033		36
Red Electrica		8,320		180



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
Repsol, Cl A		25,262	$	343
Telefonica		18,046		183
Zardoya Otis		7,495		72

				3,561


Sweden — 0.2%
Alfa Laval		3,670		57
Atlas Copco, Cl A		1,818		55
Atlas Copco, Cl B		1,891		52
Boliden		12,111		285
Electrolux		4,260		107
Getinge, Cl B		16,980		330
Hennes & Mauritz, Cl B		4,059		115
Hexagon, Cl B		8,618		377
Husqvarna, Cl B		17,924		156
ICA Gruppen		6,378		211
Industrivarden, Cl C		4,865		90
Kinnevik		1,565		40
Lundin Petroleum *		24,445		448
Millicom International Cellular		2,887		150
Nordea Bank		6,982		69
Skandinaviska Enskilda Banken, Cl A		7,936		80
SKF, Cl B		8,542		147
Svenska Cellulosa SCA, Cl B		6,221		185
Svenska Handelsbanken, Cl A		2,082		29
Swedbank, Cl A		2,347		55
Swedish Match		5,303		195
Tele2, Cl B		24,845		215
Telefonaktiebolaget LM Ericsson, Cl B		53,405		386
Telia		44,427		199
Volvo, Cl B		6,277		72

				4,105


Switzerland — 0.2%
ABB		4,545		102
Actelion		1,191		207
Adecco Group		1,187		67
Aryzta		3,114		139
Baloise Holding		496		60
Barry Callebaut		121		161
Chocoladefabriken Lindt & Spruengli		31		305
Cie Financiere Richemont		1,741		106
Coca-Cola HBC		3,429		80
Dufry *		1,505		189
EMS-Chemie Holding		353		190
Galenica		161		171
Geberit		215		94
Givaudan		89		181
Kuehne & Nagel International		661		96
LafargeHolcim		843		46
Lonza Group		1,178		226
Nestle		1,850		146
Novartis		2,503		197
Partners Group Holding		322		163



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
Roche Holding		773	$	192
Schindler Holding		1,164		220
SGS, Cl B		41		92
Sika		37		180
Sonova Holding		1,666		236
Swatch Group, Cl B		331		94
Swatch Group		1,778		99
Swiss Life Holding		254		66
Swisscom		1,049		500
Syngenta *		280		123
TE Connectivity		2,040		131
Transocean		13,803		147

				5,006


United Kingdom — 0.4%
Aberdeen Asset Management		4,451		19
Admiral Group		3,076		82
Anglo American		12,831		161
Associated British Foods		2,191		74
AstraZeneca		3,801		247
Auto Trader Group (C)		48,359		255
Aviva		4,112		24
Barratt Developments		14,410		93
BHP Billiton		4,135		62
BP		50,616		296
British American Tobacco		1,681		107
BT Group, Cl A		59,549		301
Bunzl		3,000		89
Burberry Group		1,376		25
Capita		2,265		20
Centrica		91,279		271
Cobham		76,406		166
Compass Group		5,292		103
Croda International		2,513		114
Delphi Automotive		1,026		73
Diageo		2,888		83
Dixons Carphone		10,596		51
easyJet		3,512		46
Experian		2,610		52
G4S		16,567		49
GlaxoSmithKline		14,130		302
Glencore		35,516		98
IMI		1,574		22
Imperial Brands		2,202		114
Inmarsat		34,123		312
InterContinental Hotels Group		1,274		52
Intertek Group		544		25
ITV		11,950		29
J Sainsbury		21,670		69
Johnson Matthey		1,866		80
Marks & Spencer Group		10,789		46
Mediclinic International		9,495		114
National Grid		20,542		291



Description	Shares		Market Value ($ Thousands)

FOREIGN COMMON STOCK (continued)
Next, Cl A		560	$	35
Pearson		7,800		76
Petrofac		15,865		184
Reckitt Benckiser Group		1,075		101
RELX		3,034		58
Rio Tinto		1,309		44
Royal Dutch Shell, Cl A		9,648		240
Royal Dutch Shell, Cl B		9,779		253
Royal Mail		6,924		44
RSA Insurance Group		7,664		54
SABMiller		1,731		101
Sage Group		34,684		333
Severn Trent		8,989		292
Shire		3,125		203
Sky		5,534		64
Smith & Nephew		15,129		244
Smiths Group		4,570		87
SSE		11,470		234
Tate & Lyle		7,790		76
Travis Perkins		3,353		67
Unilever		2,107		100
United Utilities Group, Cl B		17,772		232
Vodafone Group		121,674		350
Whitbread		1,095		56
Wm Morrison Supermarkets		34,659		98
Worldpay Group (C)		57,601		222
WPP		2,771		65

				8,330

Total Foreign Common Stock (Cost $92,516) ($ Thousands)				100,751


COMMON STOCK — 3.9%

Consumer Discretionary — 0.4%
Advance Auto Parts		730		109
Amazon.com, Cl A *		164		137
Autonation *		1,850		90
Autozone *		115		88
Bed Bath & Beyond		2,455		106
Best Buy		2,195		84
BorgWarner		3,275		115
CarMax *		1,714		91
CBS, Cl B		891		49
Chipotle Mexican Grill, Cl A *		282		119
Coach		5,184		190
Comcast, Cl A		1,221		81
Darden Restaurants		2,025		124
Discovery Communications, Cl A *		1,971		53
Discovery Communications, Cl C *		3,273		86
Dollar General		1,154		81
Dollar Tree *		1,039		82
DR Horton		2,237		68



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Expedia		1,058	$	123
Foot Locker, Cl A		2,052		139
Ford Motor		8,016		97
Gap		3,519		78
Garmin		1,579		76
General Motors		2,216		70
Genuine Parts		684		69
Goodyear Tire & Rubber		1,985		64
H&R Block		4,738		110
Hanesbrands		3,911		99
Harley-Davidson, Cl A		2,718		143
Harman International Industries, Cl A		559		47
Hasbro		950		76
Home Depot		660		85
Interpublic Group		2,930		65
Johnson Controls International		6,450		300
Kohl’s		2,633		115
L Brands		1,688		119
Leggett & Platt		1,629		74
Lennar, Cl A		2,151		91
LKQ *		1,870		66
Lowe’s		1,189		86
Macy’s		2,465		91
Marriott International, Cl A		3,129		211
Mattel		3,641		110
McDonald’s		1,006		116
Michael Kors Holdings *		1,898		89
Mohawk Industries *		603		121
NetFlix *		798		79
Newell Brands, Cl B		1,797		95
News, Cl A		10,261		143
News, Cl B		6,800		97
Nike, Cl B		2,242		118
Nordstrom		1,762		92
Omnicom Group		2,049		174
O’Reilly Automotive *		309		87
Priceline Group *		50		74
PulteGroup		2,869		57
PVH		977		108
Ralph Lauren, Cl A		721		73
Ross Stores		2,214		142
Royal Caribbean Cruises		1,209		91
Scripps Networks Interactive, Cl A		899		57
Signet Jewelers		1,118		83
Staples		8,000		68
Starbucks		1,667		90
Target, Cl A		1,487		102
TEGNA		3,155		69
Tiffany		1,689		123
Time Warner		1,132		90
TJX		1,183		89
Tractor Supply		1,391		94



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
TripAdvisor *		1,460	$	92
Twenty-First Century Fox ADR, Cl A		2,526		61
Twenty-First Century Fox, Cl B		3,644		90
Ulta Salon Cosmetics & Fragrance *		470		112
Under Armour, Cl A *		2,392		92
Under Armour, Cl C *		3,047		103
Urban Outfitters *		3,420		118
VF		1,799		101
Viacom, Cl B		1,904		73
Walt Disney		1,190		111
Whirlpool		397		64
Wyndham Worldwide		1,075		72
Wynn Resorts		1,014		99
Yum! Brands		1,420		129


				8,295


Consumer Staples — 0.5%
Altria Group		3,905		247
Archer-Daniels-Midland		8,119		342
Brown-Forman, Cl B		5,136		244
Campbell Soup		4,237		232
Church & Dwight		7,552		362
Clorox		1,950		244
Coca-Cola		5,902		250
Colgate-Palmolive		5,396		400
ConAgra Foods		6,299		297
Constellation Brands, Cl A		1,639		273
Costco Wholesale		2,243		342
CVS Health		2,823		251
Dr Pepper Snapple Group		2,934		268
Estee Lauder, Cl A		3,029		268
General Mills		4,478		286
Hershey		4,539		434
Hormel Foods		10,103		383
JM Smucker		2,365		321
Kellogg		3,168		245
Kimberly-Clark		2,375		299
Kraft Heinz		4,045		362
Kroger		7,623		226
McCormick		3,299		330
Mead Johnson Nutrition, Cl A		3,862		305
Molson Coors Brewing, Cl B		3,046		334
Mondelez International, Cl A		5,619		247
Monster Beverage *		2,190		321
PepsiCo		2,423		264
Philip Morris International		2,328		226
Procter & Gamble		2,984		268
Reynolds American		4,913		232
SYSCO, Cl A		5,177		254
Tyson Foods, Cl A		3,419		255
Walgreens Boots Alliance		3,532		285
Wal-Mart Stores		4,991		360



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Whole Foods Market		9,948	$	282


				10,539


Energy — 0.3%
Anadarko Petroleum, Cl A		2,311		146
Apache		3,437		220
Baker Hughes		4,278		216
Cabot Oil & Gas		6,882		178
Chesapeake Energy *		26,966		169
Chevron		2,251		232
Cimarex Energy		1,622		218
Concho Resources *		1,972		271
ConocoPhillips		4,596		200
Devon Energy		4,496		198
Diamond Offshore Drilling		8,978		158
EOG Resources		2,565		248
EQT		3,315		241
Exxon Mobil		2,881		252
FMC Technologies *		7,037		209
Halliburton		5,364		241
Helmerich & Payne		3,032		204
Hess		3,644		195
Kinder Morgan		8,493		197
Marathon Oil		10,683		169
Marathon Petroleum		4,014		163
Murphy Oil		5,767		175
National Oilwell Varco, Cl A		6,758		248
Newfield Exploration *		4,105		178
Noble Energy		5,104		182
Occidental Petroleum		3,639		265
Oneok		6,107		314
Phillips 66		3,313		267
Pioneer Natural Resources		1,390		258
Range Resources		3,619		140
Schlumberger, Cl A		3,885		305
Southwestern Energy *		7,514		104
Spectra Energy		8,561		366
Tesoro		2,422		193
Valero Energy		3,835		203
Williams		7,626		234


				7,757


Financials — 0.2%
Affiliated Managers Group *		586		85
Aflac		669		48
Allstate		963		67
American Express		1,241		79
American International Group		2,014		119
Ameriprise Financial		614		61
Aon		1,040		117
Arthur J. Gallagher		2,093		106
Assurant		976		90
Bank of America		3,043		48



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Bank of New York Mellon		1,559	$	62
BB&T		1,795		68
Berkshire Hathaway, Cl B *		698		101
BlackRock		151		55
Capital One Financial		700		50
Charles Schwab		2,369		75
Chubb		1,185		149
Cincinnati Financial		2,017		152
Citigroup		1,388		66
Citizens Financial Group		3,013		74
CME Group		1,198		125
Comerica		1,055		50
Discover Financial Services		1,159		66
ETrade Financial		4,160		121
Fifth Third Bancorp		5,885		120
Franklin Resources		1,671		59
Goldman Sachs Group		268		43
Hartford Financial Services Group		2,184		94
Huntington Bancshares		5,352		53
Intercontinental Exchange		310		84
Invesco		1,903		60
JPMorgan Chase		873		58
KeyCorp		3,605		44
Legg Mason		1,384		46
Leucadia National		7,057		134
Lincoln National		1,000		47
Loews		1,145		47
M&T Bank		901		105
Marsh & McLennan		1,756		118
MetLife		2,745		122
Moody’s		673		73
Morgan Stanley		3,723		119
Nasdaq, Cl A		1,585		107
Navient		5,548		80
Northern Trust		1,046		71
People’s United Financial		4,631		73
PNC Financial Services Group		968		87
Principal Financial Group, Cl A		2,672		138
Progressive		2,974		94
Prudential Financial		1,201		98
Regions Financial		10,217		101
S&P Global		1,004		127
State Street		770		54
SunTrust Banks		1,338		59
Synchrony Financial		3,561		100
T. Rowe Price Group		1,457		97
Torchmark, Cl A		2,083		133
Travelers		849		97
Unum Group		1,475		52
US Bancorp		2,336		100
Wells Fargo		3,144		139
Willis Towers Watson		432		57



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
XL Group		2,550	$	86
Zions Bancorporation		2,651		82


				5,492


Health Care — 0.4%
Abbott Laboratories		3,250		137
AbbVie		2,438		154
Aetna, Cl A		1,342		155
Agilent Technologies		4,929		232
Alexion Pharmaceuticals *		963		118
Allergan *		620		143
AmerisourceBergen		1,376		111
Amgen, Cl A		840		140
Anthem		1,304		164
Baxter International		4,092		195
Becton Dickinson		1,426		256
Biogen *		478		150
Boston Scientific *		9,145		218
Bristol-Myers Squibb		2,001		108
C.R. Bard		1,046		235
Cardinal Health		1,831		142
Celgene, Cl A *		1,304		136
Centene *		1,976		132
Cerner *		3,217		199
Cigna		1,350		176
DaVita HealthCare Partners *		2,885		191
DENTSPLY SIRONA		2,721		162
Edwards Lifesciences, Cl A *		1,836		221
Eli Lilly		1,884		151
Endo International *		6,159		124
Express Scripts Holding *		2,680		189
Gilead Sciences		1,480		117
HCA Holdings *		1,960		148
Henry Schein *		830		135
Hologic *		5,088		198
Humana		1,000		177
Illumina *		1,071		195
Intuitive Surgical *		262		190
Johnson & Johnson		2,358		279
Laboratory Corp of America Holdings *		1,602		220
Mallinckrodt *		1,409		98
McKesson		792		132
Medtronic		2,224		192
Merck		2,621		164
Mylan *		2,967		113
Patterson		4,669		215
PerkinElmer		2,942		165
Perrigo		1,103		102
Pfizer		6,421		217
Quest Diagnostics		2,313		196
Regeneron Pharmaceuticals *		338		136
St. Jude Medical		2,411		192
Stryker		1,505		175



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Taro Pharmaceutical Industries *		3,157	$	349
Thermo Fisher Scientific		1,047		166
UnitedHealth Group		1,173		164
Universal Health Services, Cl B		1,166		144
Varian Medical Systems *		2,224		221
Vertex Pharmaceuticals *		1,215		106
Waters *		1,193		189
Zimmer Biomet Holdings		1,594		207
Zoetis, Cl A		2,648		138


				9,779


Industrials — 0.4%
3M		1,244		219
Acuity Brands		340		90
Alaska Air Group		478		31
Allegion		2,213		153
American Airlines Group		2,945		108
Ametek		1,885		90
Boeing		1,037		137
C.H. Robinson Worldwide		2,024		143
Caterpillar, Cl A		1,117		99
Cintas		1,885		212
CSX		4,880		149
Cummins		1,302		167
Danaher, Cl A		1,081		85
Deere		1,562		133
Delta Air Lines, Cl A		3,091		122
Dover		1,286		95
Dun & Bradstreet		1,003		137
Emerson Electric		3,514		192
Equifax		1,030		139
Expeditors International of Washington		3,505		180
Fastenal, Cl A		2,002		83
FedEx		581		101
Flowserve		1,736		84
Fluor		1,781		91
Fortive		540		27
Fortune Brands Home & Security		1,500		87
General Dynamics		849		132
General Electric		3,393		101
Honeywell International		835		97
Illinois Tool Works		945		113
Ingersoll-Rand		1,653		112
Jacobs Engineering Group *		2,905		150
JB Hunt Transport Services		1,502		122
Kansas City Southern		1,143		107
L-3 Communications Holdings		1,255		189
Lockheed Martin		518		124
Masco		3,446		118
Nielsen Holdings		2,902		155
Norfolk Southern		1,519		147
Northrop Grumman		759		162
PACCAR		1,691		99



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Parker-Hannifin, Cl A		653	$	82
Pentair		2,268		146
Pitney Bowes		4,588		83
Quanta Services *		3,494		98
Raytheon		872		119
Republic Services		3,860		195
Robert Half International		3,077		117
Rockwell Automation		1,359		166
Rockwell Collins		1,112		94
Roper Technologies		466		85
Ryder System		1,472		97
Snap-on		801		122
Southwest Airlines, Cl A		3,040		118
Stanley Black & Decker		854		105
Stericycle, Cl A *		1,394		112
Textron		2,415		96
TransDigm Group *		200		58
Union Pacific		1,324		129
United Continental Holdings *		2,649		139
United Parcel Service, Cl B		975		107
United Rentals *		1,181		93
United Technologies		1,125		114
Verisk Analytics, Cl A *		1,825		148
Waste Management		3,332		212
WW Grainger		632		142
Xylem		3,160		166


				8,225


Information Technology — 0.4%
Activision Blizzard		3,303		146
Adobe Systems *		1,333		145
Akamai Technologies *		2,138		113
Alliance Data Systems *		672		144
Alphabet, Cl A *		135		109
Alphabet, Cl C *		158		123
Amphenol, Cl A		1,661		108
Analog Devices		1,682		108
Apple		1,192		135
Applied Materials		5,515		166
Autodesk, Cl A *		2,022		146
Automatic Data Processing		1,236		109
Broadcom		770		133
CA		4,037		134
Cisco Systems		3,423		109
Citrix Systems *		1,207		103
Cognizant Technology Solutions, Cl A *		1,460		70
Corning, Cl B		6,188		146
CSRA		4,599		124
Dell Technologies - VMware, Cl V *		647		31
eBay *		4,896		161
Electronic Arts *		1,819		155
F5 Networks, Cl A *		1,077		134
Facebook, Cl A *		855		110



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Fidelity National Information Services, Cl B		1,370	$	105
First Solar *		1,938		77
Fiserv, Cl A *		1,220		121
Flir Systems		3,188		100
Global Payments		1,650		127
Harris		1,630		149
Hewlett Packard Enterprise		5,885		134
HP		8,533		132
Intel		4,494		170
International Business Machines		793		126
Intuit		1,158		127
Juniper Networks		4,939		119
KLA-Tencor		1,572		110
Lam Research		1,568		148
Linear Technology		2,768		164
MasterCard, Cl A		1,158		118
Microchip Technology		2,532		157
Micron Technology *		7,551		134
Microsoft		2,267		131
Mobileye *		5,790		247
Motorola Solutions		1,647		126
NetApp		5,224		187
Nvidia		1,767		121
Oracle, Cl B		2,124		83
Paychex		2,240		130
PayPal Holdings *		3,253		133
Qorvo *		1,591		89
Qualcomm		2,828		194
Red Hat *		1,732		140
salesforce.com *		1,252		89
Seagate Technology		4,322		167
Skyworks Solutions		1,430		109
Symantec, Cl A		7,725		194
Teradata *		3,726		115
Texas Instruments		1,935		136
Total System Services		1,926		91
VeriSign *		1,436		112
Visa, Cl A		1,380		114
Western Digital		2,038		119
Western Union		7,451		155
Xerox		11,605		118
Xilinx		2,202		120
Yahoo! *		3,036		131


				8,631


Materials — 0.3%
Air Products & Chemicals		1,914		288
Albemarle		2,600		222
Alcoa		21,544		218
Avery Dennison		3,753		292
Ball		3,476		285
CF Industries Holdings		9,010		219
Dow Chemical, Cl A		3,819		198



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
E.I. Du Pont de Nemours		3,495	$	234
Eastman Chemical		3,217		218
Ecolab		3,373		411
FMC		4,986		241
Freeport-McMoRan, Cl B		15,519		169
International Flavors & Fragrances		3,064		438
International Paper		5,522		265
Martin Marietta Materials, Cl A		1,465		262
Monsanto		3,480		356
Mosaic		8,234		202
Newmont Mining		8,759		344
Nucor		5,150		255
Owens-Illinois *		13,803		254
PPG Industries		2,411		249
Praxair		3,536		427
Sealed Air		6,166		282
Sherwin-Williams, Cl A		861		238
Vulcan Materials		2,659		303
WestRock		5,916		287


				7,157


Real Estate — 0.1%
American Tower, Cl A ^‡		1,449		164
Apartment Investment & Management, Cl A ^‡		2,812		129
AvalonBay Communities ^‡		979		174
Boston Properties ^‡		488		67
CBRE Group, Cl A *		3,263		91
Crown Castle International ^‡		1,247		118
Digital Realty Trust, Cl A ^‡		1,000		97
Equinix ^‡		391		141
Equity Residential ^‡		941		61
Essex Property Trust ^‡		534		119
Extra Space Storage ^‡		1,522		121
Federal Realty Investment Trust ^‡		625		96
General Growth Properties ^‡		3,887		107
HCP ^‡		4,241		161
Host Hotels & Resorts ^‡		7,223		112
Iron Mountain ^‡		3,207		120
Kimco Realty ^‡		2,593		75
Macerich ^‡		1,104		89
ProLogis ^‡		2,009		108
Public Storage ^‡		541		121
Realty Income ^‡		1,430		96
Simon Property Group ^‡		730		151
SL Green Realty ^‡		1,090		118
UDR ^‡		2,944		106
Ventas ^‡		1,347		95
Vornado Realty Trust ^‡		1,108		112
Welltower ^‡		1,515		113
Weyerhaeuser ^‡		4,633		148


				3,210



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Telecommunication Services — 0.4%
AT&T		58,821	$	2,389
CenturyTel		79,156		2,171
Frontier Communications		297,551		1,238
Level 3 Communications *		26,693		1,238
Verizon Communications		43,437		2,258


				9,294


Utilities — 0.5%
AES		42,041		540
Alliant Energy		8,000		306
Ameren		8,493		418
American Electric Power		5,845		375
American Water Works		5,181		388
Centerpoint Energy		18,582		432
CMS Energy		9,350		393
Consolidated Edison		5,188		391
Dominion Resources		5,265		391
DTE Energy		4,990		467
Duke Energy		4,270		342
Edison International		5,948		430
Entergy		5,069		389
Eversource Energy		8,691		471
Exelon		12,325		410
FirstEnergy		11,636		385
NextEra Energy		3,446		422
NiSource		16,382		395
NRG Energy		24,004		269
PG&E		7,506		459
Pinnacle West Capital		5,992		455
PPL		9,870		341
Public Service Enterprise Group		8,502		356
SCANA		5,783		418
Sempra Energy		4,307		462
Southern		6,218		319
WEC Energy Group		6,517		390
Xcel Energy		10,425		429


				11,243

Total Common Stock (Cost $73,775) ($ Thousands)				89,622


	Face Amount (Thousands)

CORPORATE OBLIGATIONS — 1.7%

Consumer Discretionary — 0.0%
Toyota Motor Credit MTN
3.400%, 09/15/2021 (B)	$	150		162
Trustees of Dartmouth College
4.750%, 06/01/2019 (B)		150		164



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
University of Southern California
5.250%, 10/01/2111 (B)	$	100	$	131

				457


Consumer Staples — 0.1%
Coca-Cola
1.150%, 04/01/2018 (B)		1,000		1,001
Colgate-Palmolive MTN
2.300%, 05/03/2022 (B)		250		258
Wal-Mart Stores
5.250%, 09/01/2035 (B)		1,000		1,328

				2,587


Energy — 0.2%
Chevron
4.950%, 03/03/2019 (B)		150		163
Exxon Mobil
3.176%, 03/15/2024 (B)		500		532
Nexen Energy ULC
5.875%, 03/10/2035 (B)		100		124
Shell International Finance
4.375%, 03/25/2020 (B)		1,000		1,091
Statoil
2.450%, 01/17/2023 (B)		250		255
Total Capital International
2.100%, 06/19/2019 (B)		1,000		1,020
XTO Energy
6.750%, 08/01/2037 (B)		300		440
6.500%, 12/15/2018 (B)		750		833

				4,458


Financials — 1.0%
Australia & New Zealand Banking Group NY MTN
2.250%, 06/13/2019 (B)		300		305
1.875%, 10/06/2017 (B)		250		252
Bank of Montreal MTN
2.550%, 11/06/2022 (B)		250		256
1.400%, 09/11/2017 (B)		200		200
Bank of New York Mellon
3.550%, 09/23/2021 (B)		200		215
Bank of Nova Scotia
2.800%, 07/21/2021 (B)		1,000		1,042
2.050%, 10/30/2018 (B)		250		253
Berkshire Hathaway
3.400%, 01/31/2022 (B)		150		162
2.750%, 03/15/2023 (B)		1,000		1,039
Berkshire Hathaway Finance
5.400%, 05/15/2018 (B)		250		267
Canadian Imperial Bank of Commerce
1.550%, 01/23/2018 (B)		500		501
CME Group
3.000%, 09/15/2022 (B)		100		106



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
3.000%, 03/15/2025 (B)	$	1,000	$	1,050
Commonwealth Bank of Australia NY MTN
1.900%, 09/18/2017 (B)		150		151
Commonwealth Bank of Australia NY
2.300%, 09/06/2019 (B)		250		254
2.250%, 03/13/2019 (B)		250		254
Cooperatieve Rabobank UA MTN
3.375%, 01/19/2017 (B)		250		252
HSBC Holdings
5.100%, 04/05/2021 (B)		250		276
KFW MTN
2.750%, 09/08/2020 (B)		1,000		1,056
KFW(B)
2.375%, 08/25/2021		1,500		1,569
1.875%, 06/30/2020		1,000		1,021
1.875%, 11/30/2020		1,000		1,023
0.875%, 09/05/2017		200		200
Landwirtschaftliche Rentenbank
2.250%, 10/01/2021 (B)		2,000		2,076
1.875%, 09/17/2018 (B)		550		560
1.750%, 04/15/2019 (B)		200		203
1.375%, 10/23/2019 (B)		500		503
1.000%, 04/04/2018 (B)		200		200
0.875%, 09/12/2017 (B)		300		300
National Australia Bank
3.000%, 01/20/2023 (B)		200		208
Oesterreichische Kontrollbank
1.875%, 01/20/2021 (B)		1,000		1,021
1.625%, 03/12/2019 (B)		1,000		1,011
Royal Bank of Canada MTN
2.200%, 07/27/2018 (B)		250		254
2.150%, 03/15/2019 (B)		200		203
1.800%, 07/30/2018 (B)		200		202
1.500%, 01/16/2018 (B)		500		501
Svenska Handelsbanken
2.875%, 04/04/2017 (B)		200		202
2.500%, 01/25/2019 (B)		200		204
Svenska Handelsbanken MTN
2.250%, 06/17/2019 (B)		300		305
Toronto-Dominion Bank MTN
2.125%, 07/02/2019 (B)		250		254
Toronto-Dominion Bank
2.375%, 10/19/2016 (B)		250		250
US Bank
2.125%, 10/28/2019 (B)		400		407
Wells Fargo MTN
1.650%, 01/22/2018 (B)		1,000		1,003
Westpac Banking
4.875%, 11/19/2019 (B)		200		219
2.600%, 11/23/2020 (B)		1,000		1,028

				22,818



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)

Health Care — 0.1%
Johns Hopkins University
5.250%, 07/01/2019 (B)	$	18	$	20
Johnson & Johnson
5.950%, 08/15/2037 (B)		300		438
3.375%, 12/05/2023 (B)		500		552
Novartis Securities Investment
5.125%, 02/10/2019 (B)		150		163
Sanofi
4.000%, 03/29/2021 (B)		150		165

				1,338


Industrials — 0.0%
3M MTN
5.700%, 03/15/2037 (B)		150		206


Information Technology — 0.3%
Alphabet
3.625%, 05/19/2021 (B)		150		165
Apple
4.650%, 02/23/2046 (B)		1,000		1,154
3.250%, 02/23/2026 (B)		1,000		1,063
2.850%, 02/23/2023 (B)		1,000		1,053
2.400%, 05/03/2023 (B)		250		254
Microsoft
2.125%, 11/15/2022 (B)		500		506
0.875%, 11/15/2017 (B)		1,500		1,500

				5,695


Telecommunication Services — 0.0%
Nippon Telegraph & Telephone
1.400%, 07/18/2017 (B)		200		200


Utilities — 0.0%
Southern California Gas
5.125%, 11/15/2040 (B)		150		189


Total Corporate Obligations (Cost $37,435) ($ Thousands)				37,948


	Shares

EXCHANGE TRADED FUND — 1.2%

United States — 1.2%
iShares iBoxx Investment Grade Corporate Bond Fund		217,571		26,800


Total Exchange Traded Fund (Cost $25,644) ($ Thousands)				26,800



Description	Shares		Market Value ($ Thousands)

PREFERRED STOCK — 0.0%

Germany — 0.0%
Fuchs Petrolub		1,520	$	70
Henkel & KGaA		1,296		176
Porsche Automobil Holding		342		17
Volkswagen		65		9

Total Preferred Stock (Cost $235) ($ Thousands)				272


	Number of Rights

RIGHTS — 0.0%
Safeway CVR - Casa Ley *^‡‡		2,823		3
Safeway CVR - PDC *^‡‡		2,823		–


Total Rights (Cost $—) ($ Thousands)				3


Total Investments — 82.4% (Cost $1,835,347) ($ Thousands)			$	1,879,772

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Australian 10-Year Bond		1,348		Dec-2016		$1,649
Amsterdam Index		20		Oct-2016		(27)
CAC40 10 Euro Index		279		Oct-2016		53
Canadian 10-Year Bond		1,579		Dec-2016		494
CBT 10-Year T-Bonds		765		Dec-2016		488
Dax Index		79		Dec-2016		181
DJ Euro Stoxx 50 Index		1,315		Dec-2016		476
Dow Jones-UBS Commodity Index		988		Dec-2016		244
Euro-Bob		530		Dec-2016		200
Euro-BTP		674		Dec-2016		(828)
Euro-Bund Index		241		Dec-2016		200
Euro-Bund Index		1,690		Dec-2016		2,115
Euro-Buxl Index		101		Dec-2016		100
FTSE 100 Index		567		Dec-2016		1,163
FTSE/JSE Top 40 Index		220		Dec-2016		(176)
H-Shares		90		Oct-2016		(70)
Hang Seng Index		51		Oct-2016		(59)
IBEX 35 Plus Index		42		Oct-2016		(6)
Japanese 10-Year Bond		70		Dec-2016		316
Japanese 10-Year Bond E-MINI		1,485		Dec-2016		989
KOSPI 200 Index		14		Dec-2016		(22)
Long Gilt 10-Year Bond		387		Dec-2016		(540)
MSCI Emerging Markets E-MINI		1,927		Dec-2016		(1,411)
OMX Index		(73)		Oct-2016		(22)
Russell 2000 Index E-MINI		814		Dec-2016		1,348
S&P 500 Index E-MINI		3,320		Dec-2016		2,573
S&P Composite Index		29		Dec-2016		61
S&P Mid Cap 400 Index E-MINI		227		Dec-2016		157
S&P TSE 60 Index		81		Dec-2016		58
SGX S&P CNX Nifty Index		368		Oct-2016		(97)
SPI 200 Index		153		Dec-2016		420
Taiwan Index		155		Oct-2016		(72)
Topix Index		441		Dec-2016		(555)
U.S. 10-Year Treasury Note		2,477		Dec-2016		(249)
U.S. 2-Year Treasury Note		5		Dec-2016		1
U.S. Long Treasury Bond		464		Dec-2016		(740)
Brent Crude Penultimate**		262		Jan-2017		625
Coffee**		134		Dec-2016		97
Corn**		429		Dec-2016		(610)
Cotton No. 2**		169		Dec-2016		400
Cotton No. 2**		44		Mar-2017		(23)
Crude Oil**		162		Dec-2016		428
Feeder Cattle**		32		Jan-2017		(145)
Feeder Cattle**		119		Nov-2016		(552)
Gasoil**		119		Dec-2016		483
Gasoline RBOB **		269		Dec-2016		861
Gold**		112		Oct-2016		243
Gold**		386		Dec-2016		(959)
Heating Oil**		79		Dec-2016		273
ICE Brent Crude*		109		Dec-2016		417
Lean Hogs**		134		Feb-2017		(630)
Lean Hogs**		362		Dec-2016		(1,790)
Live Cattle**		102		Feb-2017		(247)
Live Cattle**		566		Dec-2016		(1,943)
LME Copper**		123		Dec-2016		114


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
LME Copper**		92		Dec-2016		$99
LME Lead**		56		Dec-2016		366
LME Nickel**		183		Dec-2016		462
LME Primary Aluminum **		714		Dec-2016		(77)
LME Zinc**		214		Dec-2016		565
Natural Gas**		64		Nov-2016		(32)
Natural Gas**		127		Jan-2017		14
NYMEX Cocoa**		205		Mar-2017		(218)
NYMEX Cocoa**		16		Dec-2016		(51)
Silver**		275		Dec-2016		(1,491)
Soybean**		194		Jan-2017		(124)
Soybean Meal**		165		Dec-2016		(1,387)
Soybean Oil**		385		Jan-2017		(123)
Soybean Oil**		47		Dec-2016		76
Sugar No. 11**		705		Mar-2017		1,923
Wheat**		13		Dec-2016		(19)
Wheat**		159		Dec-2016		(301)

						$5,136

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency To Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
10/11/16-12/21/16		USD	11,286		CNH	75,800		$19
10/11/16-12/21/16		CNH	8,100		USD	1,212		1
12/21/16		CNH	16,900		USD	2,513		(6)
10/28/16-12/21/16		GBP	47,116		USD	61,832		536
10/27/16-10/28/16		GBP	48,369		USD	62,739		(120)
12/21/16		EUR	138,079		USD	156,104		322
10/27/16-12/21/16		EUR	191,795		USD	214,903		(1,175)
12/21/16		CHF	185		USD	192		—
10/28/16-12/21/16		CHF	5,172		USD	5,335		(14)
10/28/16		AUD	9,400		USD	7,191		4
10/28/16		CAD	11,000		USD	8,310		(63)
10/28/16-12/21/16		HKD	54,907		USD	7,083		—
12/21/16		HKD	21,510		USD	2,775		(1)
10/28/16		JPY	1,678,200		USD	16,737		143
12/21/16		JPY	31,148		USD	305		(4)
12/21/16		USD	144		JPY	14,668		1
12/21/16		USD	7		JPY	681		—
12/21/16		USD	192		CAD	249		(2)
12/21/16		USD	635		CHF	615		3
12/21/16		USD	361		HKD	2,801		—
12/21/16		USD	2,303		HKD	17,840		—
12/21/16		USD	1,825		GBP	1,406		4
12/21/16		USD	3,381		GBP	2,540		(75)
12/21/16		ZAR	5,800		USD	394		(21)
12/21/16		BRL	8,500		USD	2,572		19
12/21/16		USD	15,128		EUR	13,431		25


Settlement Date	Currency to Deliver (Thousands)			Currency To Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
12/21/16		USD	3,013		EUR	2,670		$(1)
12/21/16		USD	21,736		ZAR	315,100		817
12/21/16		USD	646		ZAR	8,900		(10)
12/21/16		TRY	18,300		USD	6,029		30
12/21/16		TRY	5,500		USD	1,803		—
12/21/16		USD	20,800		INR	1,415,111		199
12/21/16		USD	6,531		INR	439,289		(12)
12/21/16		PLN	28,300		USD	7,303		(83)
12/21/16		USD	24,298		HUF	6,724,985		188
12/21/16		USD	4,186		HUF	1,142,415		(26)
12/21/16		USD	28,831		BRL	97,033		321
12/21/16		USD	5,036		BRL	16,567		(59)
12/21/16		USD	34,871		PLN	134,600		258
12/21/16		USD	127		MXN	2,500		—
12/21/16		USD	36,879		MXN	701,900		(936)
12/21/16		USD	27,293		KRW	30,499,269		395
12/21/16		USD	15,266		KRW	16,714,731		(92)
12/21/16		USD	44,652		TRY	134,400		(593)
12/21/16		INR	80,800		USD	1,201		2
12/21/16		MXN	131,800		USD	6,865		115
12/21/16		MXN	107,900		USD	5,484		(41)
12/21/16		HUF	145,000		USD	529		—
12/21/16		HUF	137,500		USD	499		(1)
12/21/16		KRW	2,790,500		USD	2,544		10
12/21/16		KRW	5,552,000		USD	4,982		(58)

								$19

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:


Counterparty	Currency to Deliver ($ Thousands)		Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Brown Brothers Harriman		$(62,769)		$62,649		$(120)
Citigroup		(668,945)		669,495		550
JPMorgan Chase Bank		(91)		91		—
State Street		(83,270)		82,830		(440)
U.S. Bancorp		(82,194)		82,223		29

						$19

A list of the open OTC swap agreements held by the Fund at September 30, 2016 is as follows:

A list of the open centrally cleared swap agreements held by the Fund at September 30, 2016 is as follows:

Percentages are based on Net Assets of $2,279,105 ($ Thousands).

Non-income producing security.

Futures and swap contracts held by Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2016.

^‡

Real Estate Investment Trust.

^‡‡

Expiration date unavailable.

(A)

The rate reported is the effective yield at the time of purchase.

(B)

Security, or a portion thereof, is held by the Accumulation Commodity Strategy Subsidiary, Ltd. as of September 30, 2016.

(C)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2016, the value of these securities amounted to $4,430 ($ Thousands), representing 0.2% of the Net Assets of the Fund.

ADR — American Depositary Receipt

AUD — Australian Dollar

BRL — Brazilian Real

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

CNH — Chinese Offshore Yuan

DJ — Dow Jones

EUR — Euro

FTSE— Financial Times and the London Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

HUF — Hungarian Forint

INR — Indian Rupee

JPY — Japanese Yen

JSE — Johannesburg Stock Exchange

KOSPI — Korea Composite Stock Price Index

KRW — Korean Won

LIBOR — London Interbank Offered Rate

LME — London Metal Exchange

MSCI — Morgan Stanley Capital International

MTN — Medium Term Note

MXN — Mexican Peso

OTC — Over the Counter

PLN — Polish Zloty

S&P— Standard & Poor’s

SGX — Singapore Exchange

SPI — Share Price Index

TRY — Turkish Lira

TSE — Tokyo Stock Exchange

USD — United States Dollar

ZAR — South African Rand

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):



Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	–	$	1,267,709	$	–	$	1,267,709
Sovereign Debt		–		356,667		–		356,667
Foreign Common Stock		100,751		–		–		100,751
Common Stock		89,622		–		–		89,622
Corporate Obligations		–		37,948		–		37,948
Exchange Traded Fund		26,800		–		–		26,800
Preferred Stock		272		–		–		272
Rights		–		3		–		3


Total Investments in Securities	$	217,445	$	1,662,327	$	–	$	1,879,772


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	20,732	$	—	$	—	$	20,732
Unrealized Depreciation		(15,596)		—		—		(15,596)
Forwards Contracts *
Unrealized Appreciation		—		3,412		—		3,412
Unrealized Depreciation		—		(3,393)		—		(3,393)
OTC Swaps
Total Return Swaps *
Unrealized Appreciation		—		2,485		—		2,485
Unrealized Depreciation		—		(4,205)		—		(4,205)
Centrally Cleared Swaps
Interest Rate Swaps *
Unrealized Appreciation		—		277		—		277
Unrealized Depreciation		—		(83)		—		(83)


Total Other Financial Instruments	$	5,136	$	(1,507)	$	—	$	3,629

* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.



Description		Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES — 25.6%

Credit Cards — 0.0%

Citi Holdings Liquidating Unrated Performing Assets, Ser 2012-BIZ,Cl A
0.128%, 12/15/2049 (A)	$		113	$	91


Mortgage Related Securities — 0.0%

GSAA Home Equity Trust, Ser 2006-14, Cl A3A
0.775%, 09/25/2036 (B)			542		334


Other Asset-Backed Securities —25.6%

ACAS CLO, Ser 2013-1A, Cl C
3.446%, 04/20/2025 (A)(B)			1,000		1,000
ACAS CLO, Ser 2015-1A, Cl F
7.329%, 04/18/2027 (A)(B)			1,000		801
ACIS CLO, Ser 2013-1A, Cl ACOM
1.860%, 04/18/2024 (A)(B)			1,000		966
ACIS CLO, Ser 2013-1A, Cl D
5.179%, 04/18/2024 (A)(B)			800		781
ACIS CLO, Ser 2013-2A, Cl A
1.130%, 10/14/2022 (A)(B)			348		345
ACIS CLO, Ser 2013-2A, Cl D
4.523%, 10/14/2022 (A)(B)			1,100		1,082
ACIS CLO, Ser 2014-4A, Cl A
2.057%, 05/01/2026 (A)(B)			500		499
AIM Aviation Finance, Ser 2015-1A, Cl B1
5.072%, 02/15/2040 (A)			887		854


Description		Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9
1.074%, 03/15/2019 (A)(B)	$		1,341	$	443
ALM VII, Ser 2013-7RA, Cl C
4.165%, 04/24/2024 (A)(B)			1,250		1,237
ALM XIV, Ser 2014-14A, Cl B
3.693%, 07/28/2026 (A)(B)			1,000		1,004
ALM XIV, Ser 2014-14A, Cl C
4.193%, 07/28/2026 (A)(B)			1,250		1,219
AMMC CLO XI, Ser 2012-11A
0.000%, 10/30/2023 (A)			2,100		1,040
AMMC CLO XIV, Ser 2014-14A, Cl A3L
3.515%, 07/27/2026 (A)(B)			1,000		995
Anchorage Capital CLO 4, Ser 2014-4A, Cl A1A
2.084%, 07/28/2026 (A)(B)			300		299
Anchorage Capital CLO 6, Ser 2015-6A, Cl A1
2.168%, 04/15/2027 (A)(B)			750		749
Apidos CLO X, Ser 2012-10A, Cl A
2.177%, 10/30/2022 (A)(B)			2,350		2,348
Apollo Aviation Securitization Equity Trust, Ser 2014-1, Cl A
5.125%, 12/15/2029 (B)			4,760		4,633
Apollo Aviation Securitization Equity Trust, Ser 2014-1, Cl B
7.500%, 12/15/2029 (B)			4,543		4,509
ARES XXV CLO, Ser 2012-3A
0.000%, 01/17/2024 (A)			750		411
ARES XXVI CLO, Ser 2013-1A
0.000%, 04/15/2025 (A)			2,400		1,162
ARES XXVI CLO, Ser 2013-1A, Cl C
3.430%, 04/15/2025 (A)(B)			750		750
ARES XXVI CLO, Ser 2013-1X
0.000%, 04/15/2025			500		242
Atlas Senior Loan Fund II, Ser 2012-2A
0.000%, 01/30/2024 (A)			950		501
Atlas Senior Loan Fund, Ser 2013-2A, Cl A3L
3.517%, 02/17/2026			1,350		1,350
Avery Point III CLO, Ser 2013-3X, Cl COM
0.701%, 01/18/2025 (I)			3,000		2,413
B&M CLO, Ser 2014-1A, Cl A2
2.629%, 04/16/2026 (A)(B)			450		436
Babson CLO, Ser 2012-2A
0.000%, 05/15/2023 (A)			3,000		1,831
Babson CLO, Ser 2014-3A, Cl F
6.680%, 01/15/2026 (A)(B)			2,000		1,556
Babson CLO, Ser 2014-IA
0.797%, 07/20/2025 (A)			2,400		1,460
Bank of America Student Loan Trust, Ser 2010- 1A, Cl A
1.515%, 02/25/2043 (A)(B)			322		317
Black Diamond CLO 2006-1 Luxembourg, Ser 2007-1A, Cl AD
1.002%, 04/29/2019 (A)(B)			2,826		2,810


Description	Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Brad, Ser 2014-1, Cl B
5.438%, 03/12/2026 (C)		877	$	879
Brentwood CLO, Ser 2006-1A, Cl A1A
1.027%, 02/01/2022 (A)(B)		234		232
Burr Ridge CLO Plus, Ser 2006-1A, Cl A1T
0.900%, 03/27/2023 (A)(B)		338		336
Carlyle Global Market Strategies CLO, Ser 2012-3A
0.000%, 10/14/2024 (A)		750		593
Carlyle Global Market Strategies CLO, Ser 2014-2A, Cl DR
4.596%, 07/20/2023 (A)(B)		1,000		996
Castlelake Aircraft Securitization Trust, Ser 2014-1, Cl B
7.500%, 02/15/2029		912		905
Catamaran CLO, Ser 2012-1A, Cl F
7.107%, 12/20/2023 (A)(B)		1,500		1,108
Cedar Funding V CLO, Ser 2016-5A, Cl A1
2.243%, 07/17/2028 (A)(B)		2,000		2,005
Cent CLO 21, Ser 2014-21A, Cl A1B
2.124%, 07/27/2026 (A)(B)		500		498
Cerberus Onshore II CLO, Ser 2014-1A, Cl C
4.180%, 10/15/2023 (A)(B)		250		249
3.978%, 10/15/2023 (A)(B)		750		748
Cerberus Onshore II CLO, Ser 2014-1A, Cl D
4.778%, 10/15/2023 (A)(B)		750		741
4.680%, 10/15/2023 (A)(B)		250		247
CIFC Funding, Ser 2014-1A, Cl A3R
3.887%, 08/14/2024 (A)(B)		1,000		1,000
CIFC Funding, Ser 2014-1A, Cl C
3.479%, 04/18/2025 (A)(B)		750		750
CIFC Funding, Ser 2014-3A, Cl E
5.452%, 07/22/2026 (A)(B)		500		427
CIFC Funding, Ser 2014-3X
0.000%, 07/22/2026		2,000		1,253
CIT Education Loan Trust, Ser 2005-1, Cl A3
0.970%, 03/15/2026 (B)		890		877
Citigroup Mortgage Loan Trust, Ser 2005- OPT4, Cl M5
1.144%, 07/25/2035 (B)		500		461
COA Summit CLO, Ser 2014-1A, Cl C
4.546%, 04/20/2023 (A)(B)		500		495
Copper River CLO, Ser 2007-1A, Cl INC
0.000%, 01/20/2021 (A)(B)		3,000		667
Covenant Credit Partners CLO I, Ser 2014-1A, Cl C
3.616%, 07/20/2026 (A)(B)		500		500
DIVCORE CLO, Ser 2013-1A, Cl B
4.381%, 11/15/2032		750		735
Dryden 37 Senior Loan Fund, Ser 2015-37A, Cl Q
0.211%, 04/15/2027 (A)		1,000		930


Description		Face Amount (Thousands)			Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Dryden 41 Senior Loan Fund, Ser 2015-41A
1.315%, 01/15/2028 (A)	$		1,600	$	1,296
Duane Street CLO IV, Ser 2007-4A, Cl A1R
1.077%, 11/14/2021 (A)(B)			757		748
ECAF I, Ser 2015-1A, Cl B1
5.802%, 06/15/2040 (A)			4,402		4,314
ECMC Group Student Loan Trust 2016-1, Ser 2016-1A, Cl A
1.864%, 07/26/2066 (A)(B)			1,300		1,300
Educational Funding of the South, Ser 2011-1, Cl A2
1.365%, 04/25/2035 (B)			560		552
Emerald Aviation Finance, Ser 2013-1, Cl B
6.350%, 10/15/2038 (A)			1,150		1,152
Fifth Street SLF II, Ser 2015-2A, Cl A2
3.448%, 09/29/2027 (A)(B)			1,000		990
Finn Square CLO, Ser 2012-1A
0.000%, 12/24/2023 (A)			1,000		455
Fortress Credit Funding V, Ser 2015-5A, Cl BR
4.468%, 08/15/2022 (A)(B)			2,000		1,965
Fortress Credit Investments IV, Ser 2015-4A, Cl D
4.179%, 07/17/2023 (A)(B)			1,000		968
Fortress Credit Opportunities III CLO, Ser 2014- 3A, Cl C
3.907%, 04/28/2026 (A)(B)			2,500		2,353
Fortress Credit Opportunities V CLO, Ser 2014-5A, Cl C
4.215%, 10/15/2026 (A)(B)			2,250		2,216
Fortress Credit Opportunities V CLO, Ser 2014- 5A, Cl D
5.165%, 10/15/2026 (A)(B)			1,000		933
Fortress Credit Opportunities VI CLO, Ser 2015- 6A, Cl D
5.845%, 10/10/2026 (A)(B)			1,000		955
Galaxy XIX CLO, Ser 2015-19A, Cl COMB
0.307%, 01/24/2027 (A)			1,000		885
Gale Force 3 Clo, Ser 2007-3A, Cl B1
1.078%, 04/19/2021 (A)(B)			1,550		1,512
Gallatin CLO VII, Ser 2014-1A, Cl D
4.388%, 07/15/2023 (A)(B)			500		476
Garrison Funding 2016-2, Ser 2016-2A, Cl B
4.856%, 09/29/2027 (A)(B)(C)			1,000		989
GCAT, Ser 2015-1, Cl A1
3.625%, 05/26/2020 (A)			1,047		1,049
Golub Capital Partners CLO, Ser 2014-18A, Cl C
4.215%, 04/25/2026 (A)(B)			600		594
Golub Capital Partners CLO, Ser 2014-18A, Cl D
4.715%, 04/25/2026 (A)(B)			300		270
Golub Capital Partners CLO, Ser 2014-21A, Cl C
4.015%, 10/25/2026 (A)(B)			1,200		1,157
Golub Capital Partners CLO, Ser 2015-24A, Cl C
4.528%, 02/05/2027 (A)(B)			2,000		1,990


Description		Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Golub Capital Partners CLO, Ser 2015-25A, Cl C
4.428%, 08/05/2027 (A)(B)	$	1,000	$	953
Gramercy Park CLO, Ser 2012-1A
2.122%, 07/17/2023 (A)		1,100		610
Gramercy Park CLO, Ser 2014-1A, Cl CR
4.729%, 07/17/2023 (A)(B)		600		596
Gramercy Real Estate, Ser 2007-1A, Cl A1
1.097%, 08/15/2056 (A)(B)		3,017		2,849
Grayson CLO, Ser 2006-1A, Cl A2
1.167%, 11/01/2021 (A)(B)		700		675
Great Lakes CLO, Ser 2012-1A
0.000%, 01/15/2023 (A)		1,000		692
Great Lakes CLO, Ser 2014-1A, Cl C
4.380%, 04/15/2025 (A)(B)		2,500		2,428
Great Lakes CLO, Ser 2014-1A, Cl D
4.880%, 04/15/2025 (A)(B)		500		455
Greywolf CLO III, Ser 2014-1A, Cl B
3.552%, 04/22/2026 (A)(B)		750		750
Halcyon Loan Advisors Funding, Ser 2012-1A, Cl B
0.382%, 08/15/2023 (A)(B)		500		481
Halcyon Loan Advisors Funding, Ser 2012-2A, Cl C
3.707%, 12/20/2024 (A)(B)		500		478
Halcyon Loan Advisors Funding, Ser 2013-1A, Cl A1
1.778%, 04/15/2025 (A)(B)		500		496
Halcyon Loan Advisors Funding, Ser 2014-1A, Cl A1
2.163%, 04/18/2026 (A)(B)		650		649
Halcyon Loan Investors CLO II, Ser 2007-2A, Cl C
2.115%, 04/24/2021 (A)(B)		500		487
Helios Series I Multi Asset, Ser 2001-1A, Cl B
1.794%, 12/13/2036 (A)(B)		35		34
JP Morgan Mortgage Acquisition Trust, Ser 2007-CH5, Cl A5
0.784%, 05/25/2037 (B)		1,400		1,156
Kingsland IV, Ser 2007-4A, Cl D
2.129%, 04/16/2021 (A)(B)		500		473
KKR CLO 12, Ser 2015-12, Cl C
3.680%, 07/15/2027 (A)(B)		1,000		999
KVK CLO, Ser 2013-1A
0.000%, 04/14/2025 (A)		3,500		1,326
KVK CLO, Ser 2014-1A, Cl C
3.717%, 05/15/2026 (A)(B)		1,000		967
KVK CLO, Ser 2014-2A, Cl C
3.680%, 07/15/2026 (A)(B)		1,000		979
LCM X, Ser 2014-10A, Cl DR
4.430%, 04/15/2022 (A)(B)		1,000		1,000
Lime Street CLO, Ser 2007-1A, Cl D
3.357%, 06/20/2021 (A)(B)		750		706


Description		Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Long Beach Mortgage Loan Trust, Ser 2006-5, Cl 2A3
0.675%, 06/25/2036 (B)	$	3,007	$	1,529
Marathon CLO II, Ser 2005-2A, Cl INC
0.000%, 12/20/2019 (A)(B)		750		–
Marathon CLO VI, Ser 2014-6A, Cl B
3.667%, 05/13/2025 (A)(B)		1,000		971
MCF CLO III, Ser 2014-3A, Cl D
3.417%, 01/20/2024 (A)(B)		250		213
MCF CLO IV, Ser 2014-1A, Cl E
6.580%, 10/15/2025 (A)(B)		500		429
Mountain Hawk II CLO, Ser 2013-2A, Cl C
3.296%, 07/22/2024 (A)(B)		1,000		935
Mountain Hawk II CLO, Ser 2013-2A, Cl D
3.846%, 07/22/2024 (A)(B)		1,000		820
MT Wilson CLO II, Ser 2007-2A, Cl D
3.415%, 07/11/2020 (A)(B)		3,000		2,892
Navient Student Loan Trust, Ser 2016-2, Cl A2
1.574%, 06/25/2065 (A)(B)		750		757
Navient Student Loan Trust, Ser 2016-5A, Cl A
1.737%, 06/25/2065 (A)(B)		2,370		2,370
Neuberger Berman CLO, Ser 2012-12A
0.000%, 07/25/2023 (A)		3,200		1,630
NewMark Capital Funding CLO, Ser 2014-2A, Cl E
5.431%, 06/30/2026 (A)(B)		3,000		2,332
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl C1
4.015%, 07/25/2025 (A)(B)		1,000		969
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl D
4.965%, 07/25/2025 (A)(B)		750		692
Newstar Commercial Loan Funding, Ser 2013- 1A, Cl D
5.407%, 09/20/2023 (A)(B)		600		559
Newstar Commercial Loan Funding, Ser 2013- 1A, Cl E
6.157%, 09/20/2023 (A)(B)		250		227
Newstar Commercial Loan Funding, Ser 2014- 1A, Cl C
4.296%, 04/20/2025 (A)(B)		1,500		1,474
Newstar Commercial Loan Funding, Ser 2014- 1A, Cl D
5.446%, 04/20/2025 (A)(B)		750		683
Newstar Commercial Loan Funding, Ser 2015- 1A, Cl C
4.484%, 01/20/2027 (A)(B)		1,000		999
Newstar Commercial Loan Trust, Ser 2007-1A, Cl C
2.129%, 09/30/2022 (A)(B)		500		483
Newstar Trust, Ser 2012-2A, Cl D
6.946%, 01/20/2023 (A)(B)		500		487



		Face Amount		Market Value
Description		(Thousands)		($ Thousands)

ASSET-BACKED SECURITIES (continued)
Northwoods Capital XIV, Ser 2014-14A, Cl C
4.168%, 11/12/2025 (A)(B)	$	1,500	$	1,501
NRPL Trust, Ser 2014-2A, Cl A1
3.750%, 10/25/2057 (A)(B)		877		872
NRPL Trust, Ser 2015-1A, Cl A1
3.875%, 11/01/2054 (A)		2,289		2,274
N-Star Reak Estate CDO VIII, Ser 2006-8A, Cl A2
0.883%, 02/01/2041 (A)(B)		1,000		971
Oak Hill Advisors Residential Loan Trust, Ser 2015-NPL2, Cl A1
3.721%, 07/25/2055 (A)(D)		1,876		1,860
Oaktree EIF II, Ser 2014-A2, Cl C
4.017%, 11/15/2025 (A)(B)		1,000		1,000
OCP CLO, Ser 2014-6A, Cl B
3.779%, 07/17/2026 (A)(B)		1,000		1,000
OCP CLO, Ser 2016-12A, Cl A1
2.426%, 10/18/2028 (A)(B)		1,400		1,399
Octagon Investment Partners XV, Ser 2013-1A, Cl C
3.538%, 01/19/2025 (A)(B)		500		499
Octagon Investment Partners XX, Ser 2014-1A, Cl E
6.068%, 08/12/2026 (A)(B)		2,750		2,323
Octagon Loan Funding, Ser 2014-1A
0.000%, 11/18/2026 (A)		1,000		575
OFSI Fund VI, Ser 2014-6A, Cl A1
1.658%, 03/20/2025 (A)(B)		650		641
OFSI Fund VII, Ser 2014-7A, Cl A
1.973%, 10/18/2026 (A)(B)		601		596
OHA Credit Partners IX, Ser 2013-9A, Cl ACOM
0.476%, 10/20/2025 (A)		2,000		1,751
OHA Credit Partners VII, Ser 2012-7A, Cl D
4.811%, 11/20/2023 (A)(B)		1,000		1,000
OZLM Funding V, Ser 2013-5A, Cl B
3.679%, 01/17/2026 (A)(B)		750		750
Palmer Square CLO, Ser 2014-1A, Cl B
3.229%, 10/17/2022 (A)(B)		1,000		991
Palmer Square CLO, Ser 2014-1A, Cl C
4.529%, 10/17/2022 (A)(B)		2,000		1,998
Panhandle-Plains Higher Education Authority, Ser 2011-1, Cl A2
1.596%, 07/01/2024 (B)		1,227		1,226
PHEAA Student Loan Trust, Ser 2016-1A, Cl A
1.728%, 09/25/2065 (A)(B)		1,400		1,400
Primus CLO II, Ser 2007-2A, Cl C
1.630%, 07/15/2021 (A)(B)		1,500		1,445
Putnam Structured Product Funding, Ser 2003- 1A, Cl A2
1.524%, 10/15/2038 (A)(B)		2,000		1,820
Race Point CLO, Ser 2014-5A, Cl DR
4.600%, 12/15/2022 (A)(B)		1,600		1,599



		Face Amount		Market Value
Description		(Thousands)		($ Thousands)

ASSET-BACKED SECURITIES (continued)
RAIT CRE CDO I, Ser 2006-1X, Cl A1B
0.862%, 11/20/2046 (B)	$	1,104	$	1,068
Scholar Funding Trust, Ser 2011-A, Cl A
1.643%, 10/28/2043 (A)(B)		1,660		1,593
Scholar Funding Trust, Ser 2012-B, Cl A2
1.624%, 03/28/2046 (A)(B)		1,650		1,600
Shackleton CLO, Ser 2012-2A, Cl D
4.746%, 10/20/2023 (A)(B)		1,000		991
Sound Point CLO VI, Ser 2014-2A, Cl A1
1.994%, 10/20/2026 (A)(B)		400		399
Sound Point CLO XI, Ser 2016-1A, Cl A
2.285%, 07/20/2028 (A)(B)		2,800		2,807
Sound Point CLO XI, Ser 2016-1A, Cl B1
2.925%, 07/20/2028 (A)(B)		800		807
Steele Creek CLO, Ser 2014-1A, Cl C
4.011%, 08/21/2026 (A)(B)		500		500
Symphony CLO XI, Ser 2013-11A, Cl D
4.679%, 01/17/2025 (A)(B)		1,000		996
Telos CLO, Ser 2013-3A, Cl D
4.929%, 01/17/2024 (A)(B)		1,050		1,010
Telos CLO, Ser 2014-6A, Cl C
3.679%, 01/17/2027 (A)(B)		3,000		2,962
TICP CLO I, Ser 2015-1A, Cl E
6.196%, 07/20/2027 (A)(B)		1,500		1,294
TICP CLO II, Ser 2014-2A, Cl B
3.696%, 07/20/2026 (A)(B)		600		593
Treman Park CLO, Ser 2015-1A, Cl COM
0.459%, 04/20/2027 (A)(I)		3,000		2,667
Triaxx Prime, Ser 2006-2A, Cl A1A
0.785%, 10/02/2039 (A)(B)		5,106		4,897
Turbine Engines Securitization, Ser 2013-1A, Cl A
5.125%, 12/13/2048 (A)		933		924
Turbine Engines Securitization, Ser 2013-1A, Cl B
6.375%, 12/13/2048 (A)		600		552
Venture XV CLO, Ser 2013-15A, Cl C
3.780%, 07/15/2025 (A)(B)		250		250
Wachovia Asset Securitization Issuance II, Ser 2007-HE1, Cl A
0.665%, 07/25/2037 (A)(B)		728		606
West CLO, Ser 2013-1A
0.000%, 11/07/2025 (A)		1,350		442
West CLO, Ser 2013-1A, Cl B
3.688%, 11/07/2025 (A)(B)		1,000		963
WhiteHorse VIII, Ser 2014-1A, Cl C
3.507%, 05/01/2026 (A)(B)		1,000		952
Willis Engine Securitization Trust II, Ser 2012-A, Cl A
5.500%, 09/15/2037 (A)		1,459		1,427



		Face Amount		Market Value
Description		(Thousands)		($ Thousands)

ASSET-BACKED SECURITIES (continued)
Zais CLO 4, Ser 2016-1A, Cl A
2.183%, 05/10/2025 (A)(B)	$	750	$	747

				189,022


Total Asset-Backed Securities (Cost $199,861) ($ Thousands)				189,447


CORPORATE OBLIGATIONS — 19.3%
Consumer Discretionary — 3.3%
21st Century Fox America
4.950%, 10/15/2045		250		283
Ahern Rentals
7.375%, 05/15/2023 (A)		550		356
Altice Financing
7.500%, 05/15/2026 (A)		1,075		1,119
6.625%, 02/15/2023 (A)		500		513
Altice Financing MTN
5.250%, 02/15/2023	EUR	300		350
Altice US Finance I
5.500%, 05/15/2026 (A)	$	200		206
AMC Networks
5.000%, 04/01/2024		400		403
Burger King Worldwide
6.000%, 04/01/2022 (A)		625		655
Cablevision
6.500%, 06/15/2021 (A)		150		156
CCO Holdings
5.750%, 02/15/2026 (A)		1,000		1,060
Charter Communications Operating
6.484%, 10/23/2045 (A)		50		61
4.908%, 07/23/2025 (A)		250		276
3.579%, 07/23/2020 (A)		450		470
Clear Channel Worldwide Holdings
6.500%, 11/15/2022		550		554
Comcast
3.375%, 08/15/2025		300		322
DISH DBS
7.750%, 07/01/2026 (A)		600		638
5.875%, 07/15/2022		300		308
5.875%, 11/15/2024		2,150		2,123
Ford Motor Credit
5.875%, 08/02/2021		350		399
General Motors
3.500%, 10/02/2018		250		258
Gray Television
5.125%, 10/15/2024 (A)(E)		250		245
IHO Verwaltungs GmbH PIK
4.500%, 09/15/2023 (A)		550		555
KFC Holding
5.250%, 06/01/2026 (A)		150		159
5.000%, 06/01/2024 (A)		100		104


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
MDC Partners
6.500%, 05/01/2024 (A)	$	550	$	509
MGM Resorts International
6.750%, 10/01/2020		600		672
Midcontinent Communications & Midcontinent Finance
6.875%, 08/15/2023 (A)		1,200		1,278
Nexstar Escrow
5.625%, 08/01/2024 (A)		200		201
Schaeffler Finance
4.750%, 05/15/2023 (A)		275		285
Scientific Games International
10.000%, 12/01/2022		825		761
Seminole Hard Rock Entertainment
5.875%, 05/15/2021 (A)		300		303
SFR Group
6.250%, 05/15/2024 (A)		700		695
6.000%, 05/15/2022 (A)		1,750		1,785
Sirius XM Radio
5.375%, 04/15/2025 (A)		400		413
4.625%, 05/15/2023 (A)		250		250
Unitymedia GmbH
6.125%, 01/15/2025 (A)		1,050		1,101
Univision Communications
5.125%, 02/15/2025 (A)		800		805
UPC Holding BV
6.750%, 03/15/2023	EUR	350		422
UPCB Finance IV
5.375%, 01/15/2025 (A)	$	200		201
4.000%, 01/15/2027	EUR	350		389
Virgin Media Secured Finance
5.500%, 01/15/2025 (A)	$	1,050		1,074
4.875%, 01/15/2027	GBP	100		130
WMG Acquisition
6.750%, 04/15/2022 (A)	$	705		746
5.625%, 04/15/2022 (A)		250		259
Wynn Las Vegas
5.500%, 03/01/2025 (A)		845		855

				24,707


Consumer Staples — 1.2%
Anheuser-Busch InBev Finance
4.900%, 02/01/2046		725		863
BAT International Finance
3.950%, 06/15/2025 (A)		425		470
2.750%, 06/15/2020 (A)		350		362
Bumble Bee Holdings
9.000%, 12/15/2017 (A)		3,216		3,232
CVS Health
5.125%, 07/20/2045		150		184
3.875%, 07/20/2025		332		361


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
KeHE Distributors
7.625%, 08/15/2021 (A)	$	550	$	546
Kraft Heinz Foods
3.500%, 07/15/2022		350		372
Lindley
4.625%, 04/12/2023		190		195
Performance Food Group
5.500%, 06/01/2024 (A)		250		258
Reynolds American
5.850%, 08/15/2045		250		325
4.450%, 06/12/2025		425		474
SABMiller Holdings
4.950%, 01/15/2042 (A)		300		350
Sigma Alimentos
4.125%, 05/02/2026 (A)		430		431
Sysco
4.850%, 10/01/2045		150		171
3.750%, 10/01/2025		350		377

				8,971


Energy — 4.0%
Anadarko Petroleum
6.450%, 09/15/2036		775		905
3.450%, 07/15/2024		150		148
Antero Resources
6.000%, 12/01/2020		325		336
5.625%, 06/01/2023		100		102
5.125%, 12/01/2022		1,275		1,285
Apache
4.750%, 04/15/2043		150		153
4.250%, 01/15/2044		150		146
Approach Resources
7.000%, 06/15/2021		1,000		800
BreitBurn Energy Partners
9.250%, 05/18/2020 (C)(F)		813		569
Cheniere Corpus Christi Holdings
7.000%, 06/30/2024 (A)		300		324
Comstock Resources
10.000%, 03/15/2020		675		624
ConocoPhillips
4.950%, 03/15/2026		500		564
3.350%, 11/15/2024		350		358
CONSOL Energy
8.000%, 04/01/2023		1,000		970
Crestwood Midstream Partners
6.125%, 03/01/2022		450		455
Devon Energy
5.850%, 12/15/2025		800		900
3.250%, 05/15/2022		200		199
Dolphin Energy
5.500%, 12/15/2021		220		252


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
Dynagas LNG Partners
6.250%, 10/30/2019 (E)	$	1,800	$	1,669
Enterprise Products Operating
3.750%, 02/15/2025		500		518
3.700%, 02/15/2026		300		309
Gazprom Neft OAO Via GPN Capital
6.000%, 11/27/2023		920		992
Gazprom OAO Via Gaz Capital MTN
7.288%, 08/16/2037		610		719
Gazprom OAO Via Gaz Capital
9.250%, 04/23/2019		310		357
Gibson Energy
6.750%, 07/15/2021 (A)		634		648
GNL Quintero
4.634%, 07/31/2029		400		420
Halcon Resources
8.625%, 02/01/2020 (A)		185		186
Hess
7.300%, 08/15/2031		350		415
KazMunayGas National JSC MTN
9.125%, 07/02/2018		600		662
Kinder Morgan
5.050%, 02/15/2046		175		167
Laredo Petroleum
7.375%, 05/01/2022		575		594
6.250%, 03/15/2023		300		294
Oasis Petroleum
6.875%, 03/15/2022		475		455
6.875%, 01/15/2023		400		382
Petroleos de Venezuela
6.000%, 05/16/2024		1,950		833
6.000%, 11/15/2026		790		332
5.500%, 04/12/2037		30		12
5.375%, 04/12/2027		560		234
Petroleos Mexicanos
8.000%, 05/03/2019		160		180
6.625%, 06/15/2035		120		122
6.375%, 02/04/2021		220		240
5.750%, 03/01/2018		310		325
4.875%, 01/24/2022		10		10
Petroleos Mexicanos MTN
6.875%, 08/04/2026 (A)(E)		710		801
6.750%, 09/21/2047 (A)		110		110
5.500%, 02/04/2019		90		95
5.125%, 03/15/2023	EUR	880		1,106
4.500%, 01/23/2026	$	10		10
3.500%, 07/23/2020		100		101
Rice Energy
6.250%, 05/01/2022		425		439
Sabine Pass Liquefaction
5.750%, 05/15/2024		400		431


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
SandRidge Energy
8.750%, 06/01/2020 (A)(E)(F)	$	2,750	$	990
Schahin II Finance
5.875%, 09/25/2022 (A)(F)		1,737		208
SM Energy
6.750%, 09/15/2026		200		202
Sunoco Logistics Partners Operations
5.950%, 12/01/2025		1,500		1,738
TOTAL MTN
2.625%, 12/29/2049 (B)	EUR	800		868
Unit
6.625%, 05/15/2021	$	420		354
Weatherford International
6.500%, 08/01/2036		150		107
Western Gas Partners
4.000%, 07/01/2022		200		205
Whiting Petroleum
5.750%, 03/15/2021		200		187
5.000%, 03/15/2019		425		411
Williams Partners
3.600%, 03/15/2022		800		814
WPX Energy
6.000%, 01/15/2022		400		399
YPF
8.875%, 12/19/2018		130		144
				29,885

Financials — 3.8%
Abe Investment Holdings
10.500%, 10/16/2020 (A)		1,000		950
Banco do Brasil
9.000%, 06/29/2049 (B)		360		310
Banco Regional SAECA
8.125%, 01/24/2019		290		312
Bank of America MTN
4.000%, 04/01/2024		650		701
Bank of America(B)
6.300%, 12/31/2049		700		760
6.250%, 09/29/2049		150		156
6.100%, 12/29/2049		2,000		2,085
BPCE MTN
4.875%, 04/01/2026 (A)		200		208
CIC Receivables Master Trust
4.890%, 10/07/2021 (C)		2,688		2,712
Citigroup(B)
5.950%, 12/29/2049		1,820		1,853
5.950%, 12/31/2049		350		357
5.875%, 12/29/2049		2,595		2,604
CoBank ACB
6.250%, 12/29/2049 (B)		250		273
Credit Suisse Group
6.250%, 12/29/2049 (A)(B)		200		190


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
Deutsche Bank
2.500%, 02/13/2019	$	125	$	121
FBM Finance
8.250%, 08/15/2021 (A)(E)		150		157
Fifth Third Bancorp
4.900%, 12/29/2049 (B)		1,200		1,163
Greystar Real Estate Partners
8.250%, 12/01/2022 (A)		375		397
International Lease Finance
7.125%, 09/01/2018 (A)		500		546
Intesa Sanpaolo MTN
5.017%, 06/26/2024 (A)		475		433
Itau CorpBanca
3.875%, 09/22/2019		250		261
Jefferies Finance
7.375%, 04/01/2020 (A)		2,000		1,950
Jefferies LoanCore
6.875%, 06/01/2020 (A)		300		273
JPMorgan Chase(B)
5.300%, 12/29/2049		800		811
5.000%, 12/29/2049		900		887
Lloyds Banking Group
6.375%, 06/27/2049 (B)	EUR	475		536
4.500%, 11/04/2024	$	200		207
Morgan Stanley MTN
4.000%, 07/23/2025		750		806
3.700%, 10/23/2024		300		317
Nationstar Mortgage
6.500%, 08/01/2018		225		229
Navient MTN
5.500%, 01/15/2019		600		609
NFP
9.000%, 07/15/2021 (A)		400		411
Oxford Finance
7.250%, 01/15/2018 (A)		2,250		2,250
Royal Bank of Scotland Group
8.625%, 12/31/2049 (B)		525		514
Speedy Cash Intermediate Holdings
10.750%, 05/15/2018 (A)		275		198
Trust F
5.250%, 01/30/2026 (A)		200		207
UBS Group(B)
7.000%, 12/29/2049		200		211
6.875%, 12/29/2049		400		392
Wells Fargo MTN
3.000%, 02/19/2025		400		406
				27,763

Health Care — 1.0%
Actavis Funding SCS
3.800%, 03/15/2025		925		979


Description		Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
CHS
5.125%, 08/15/2018	$	101	$	102
Concordia International
7.000%, 04/15/2023 (A)		100		64
DaVita HealthCare Partners
5.125%, 07/15/2024		1,125		1,147
5.000%, 05/01/2025		200		201
Endo
6.000%, 07/15/2023 (A)		400		364
Endo Finance
6.500%, 02/01/2025 (A)		400		354
Fresenius Medical Care US Finance II
4.750%, 10/15/2024 (A)		200		210
HCA
6.500%, 02/15/2020		250		277
5.000%, 03/15/2024		1,250		1,319
Kinetic Concepts
7.875%, 02/15/2021 (A)		400		433
Merck KGaA(B)
3.375%, 12/12/2074	EUR	400		479
2.625%, 12/12/2074		250		290
Opal Acquisition
8.875%, 12/15/2021 (A)	$	400		328
Tenet Healthcare
4.350%, 06/15/2020 (B)		725		728
UnitedHealth Group
4.750%, 07/15/2045		200		240

				7,515

Industrials — 0.7%
Air Canada 2013-1 Class C Pass Through Trust
6.625%, 05/15/2018 (A)		725		754
HD Supply
5.750%, 04/15/2024 (A)		290		305
LMI Aerospace
7.375%, 07/15/2019		250		251
Novelis
5.875%, 09/30/2026 (A)		1,100		1,126
Princess Juliana International Airport Operating
5.500%, 12/20/2027 (A)		923		907
Standard Life
6.546%, 11/29/2049 (B)	GBP	100		139
StandardAero Aviation Holdings
10.000%, 07/15/2023 (A)	$	900		966
United Rentals North America
4.625%, 07/15/2023		375		384
Wharf Finance MTN
4.625%, 02/08/2017		210		212

				5,044


Description		Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Information Technology — 1.0%
Apple
4.650%, 02/23/2046	$	25	$	29
3.850%, 05/04/2043		400		408
Avaya
7.000%, 04/01/2019 (A)		1,250		922
EIG Investors
10.875%, 02/01/2024 (A)(C)		200		166
Fidelity National Information Services
5.000%, 10/15/2025		300		342
First Data
5.750%, 01/15/2024 (A)		600		617
5.000%, 01/15/2024 (A)		150		152
Infor US
6.500%, 05/15/2022		1,000		1,012
Micron Technology
7.500%, 09/15/2023 (A)		1,475		1,638
5.250%, 08/01/2023 (A)		1,150		1,136
NXP BV
3.750%, 06/01/2018 (A)		250		257
Qorvo
6.750%, 12/01/2023		250		270
VeriSign
5.250%, 04/01/2025		150		158
Western Digital
7.375%, 04/01/2023 (A)		250		275

				7,382

Materials — 1.6%
Advanced Disposal Services
8.250%, 10/01/2020		800		840
Alcoa Nederland Holding BV
7.000%, 09/30/2026 (A)(E)		250		258
Axalta Coating Systems Dutch Holding B BV
3.750%, 01/15/2025	EUR	550		607
Berry Plastics
5.500%, 05/15/2022	$	500		517
BHP Billiton Finance USA
6.750%, 10/19/2075 (A)(B)		1,500		1,699
Brazil Minas SPE via State of Minas Gerais
5.333%, 02/15/2028		800		788
BWAY Holding
9.125%, 08/15/2021 (A)		850		882
Cemex Finance
4.625%, 06/15/2024	EUR	300		345
Constellium
7.875%, 04/01/2021 (A)	$	400		427
Crown European Holdings
3.375%, 05/15/2025	EUR	200		230
Eldorado
6.125%, 12/15/2020 (A)	$	850		856


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
Glencore Funding
4.000%, 04/16/2025 (A)	$	300	$	293
Mirabela Nickel
1.000%, 07/31/2044		3		–
Reynolds Group Issuer
5.125%, 07/15/2023 (A)		1,000		1,033
Severstal OAO Via Steel Capital
6.700%, 10/25/2017		200		209
Sociedad Quimica y Minera de Chile
4.375%, 01/28/2025		220		222
Versum Materials
5.500%, 09/30/2024 (A)(E)		410		421
WR Grace & Co.
5.125%, 10/01/2021 (A)		300		319
Yamana
4.950%, 07/15/2024		1,900		1,963

				11,909

Real Estate — 0.9%
American Tower
3.300%, 02/15/2021		350		366
Communications Sales & Leasing
6.000%, 04/15/2023 (A)		825		856
DuPont Fabros Technology
5.875%, 09/15/2021		250		262
5.625%, 06/15/2023		200		210
Equinix
5.875%, 01/15/2026		1,000		1,075
GEO Group
6.000%, 04/15/2026		750		637
5.875%, 01/15/2022		250		225
5.875%, 10/15/2024		450		387
Iron Mountain Europe
6.125%, 09/15/2022	GBP	150		203
Kennedy-Wilson
5.875%, 04/01/2024	$	1,100		1,108
Lamar Media
5.750%, 02/01/2026		200		216
MGM Growth Properties Operating Partnership
5.625%, 05/01/2024 (A)		1,025		1,112

				6,657

Telecommunication Services — 1.3%
Comcel Trust via Comunicaciones Celulares
6.875%, 02/06/2024		200		206
Digicel
6.000%, 04/15/2021		400		353
Digicel Group
6.750%, 03/01/2023 (A)		320		282
Intelsat Jackson Holdings
5.500%, 08/01/2023		125		87


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
Intelsat Luxembourg
8.125%, 06/01/2023	$	50	$	17
Millicom International Cellular
4.750%, 05/22/2020		350		354
SoftBank Group
4.500%, 04/15/2020 (A)(E)		945		980
Sprint
7.875%, 09/15/2023		950		956
7.625%, 02/15/2025		500		495
7.125%, 06/15/2024		300		293
Sprint Communications
11.500%, 11/15/2021		650		743
7.000%, 03/01/2020 (A)		600		643
7.000%, 08/15/2020		500		502
Telecom Italia
5.303%, 05/30/2024 (A)		750		767
Telefonica Europe BV
5.875%, 03/31/2049 (B)	EUR	100		121
T-Mobile USA
6.500%, 01/15/2026	$	250		277
Verizon Communications
5.150%, 09/15/2023		525		612
4.862%, 08/21/2046		275		308
Wind Acquisition Finance
7.375%, 04/23/2021		422		441
7.000%, 04/23/2021	EUR	130		153
4.750%, 07/15/2020 (A)	$	450		453
Windstream
7.750%, 10/01/2021		650		648

				9,691

Utilities — 0.5%
Calpine
7.875%, 01/15/2023 (A)		200		211
Dynegy
6.750%, 11/01/2019		650		666
Electricite de France MTN
4.125%, 01/29/2049 (B)	EUR	400		446
Enel(B)
8.750%, 09/24/2073 (A)	$	200		234
7.750%, 09/10/2075	GBP	200		288
Ferrellgas
6.750%, 06/15/2023	$	900		792
Greenko Investment
4.875%, 08/16/2023 (A)		410		401
Listrindo Capital BV
4.950%, 09/14/2026 (A)		200		201


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
CORPORATE OBLIGATIONS (continued)
Terraform Global Operating
13.750%, 08/15/2022 (A)	$	225	$	232
				3,471
Total Corporate Obligations
(Cost $138,020) ($ Thousands)				142,995

LOAN PARTICIPATIONS — 14.7%
AABS, Bridge Term Loan
4.875%, 01/15/2038		562		559
ABB/Con-Cise Optical Group LLC, Initial Term Loan,
6.000%, 06/15/2023		600		605
Acosta, Revolving Credit Term Loans 1st Lien
0.500%, 09/26/2019 (G)		2,000		(162)
Acrisure, LLC, Term B Loan, 1st Lien
6.500%, 05/19/2022		1,237		1,239
ADS Waste Holdings, Inc., Initial Tranche B-2 Term Loan, 1st Lien
3.750%, 10/09/2019 (B)		275		275
AdvancePierre Foods, Inc., Effective Date Loan, 1st Lien
4.500%, 06/02/2023		274		276
Advantage Sales & Marketing, Revolver Loan
3.250%, 07/25/2019 (G)		102		7
0.500%, 07/25/2019 (G)		361		33
Advantage Sales & Marketing, Revolving Loan 1st Lien
3.770%, 07/25/2019		38		33
Affordable Care Holding Corp., Term B Loan
5.750%, 10/24/2022		993		992
Air Newco LLC, Initial Term Loan, 2nd Lien
10.500%, 01/31/2023		750		690
American Renal Holdings Inc., Term Loan B, 1st Lien
4.750%, 08/20/2019		223		223
American Seafoods Group LLC, Term Loan, 1st Lien
6.000%, 08/19/2021		963		954
American Tire Distributors, Inc., Initial Term Loan, 1st Lien
5.250%, 09/01/2021		249		246
Americold Realty Operating Partnership, L.P., Initial Term Loan, 1st Lien
5.750%, 12/01/2022		848		855
Anaren, Inc., Term Loan, 1st Lien
5.500%, 02/18/2021		469		452
Anaren, Inc., Term Loan, 2nd Lien
9.250%, 08/18/2021		500		445
Arctic Glacier U.S.A., Inc., 2014 Term Loan, 1st Lien
6.000%, 05/10/2019		306		302


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
LOAN PARTICIPATIONS (continued)
Aspect Software, Inc., Term Loan, 1st Lien
10.500%, 05/25/2020	$	518	$	504
Asurion, LLC (fka Asurion Corporation), Incremental Tranche B-4 Term Loan,
5.000%, 08/04/2022		270		271
Asurion, LLC (fka Asurion Corporation), Term Loan, 2nd Lien
8.500%, 03/03/2021		2,500		2,483
Atkore International, Inc., Initial Term Loan, 1st Lien
4.500%, 04/09/2021		274		274
Atkore International, Inc., Initial Term Loan, 2nd Lien
7.750%, 10/09/2021		350		350
Atlas, 1st Lien Term Loan
4.875%, 12/15/2039		1,120		1,109
Authentic Brands, Cov-Lite, Term Loan, 1st Lien
5.500%, 05/27/2021		661		659
Avago Technologies Cayman Holdings Ltd., Term B-3 Loan, 1st Lien
3.520%, 02/01/2023		439		443
Avaya Inc., Term B-7 Loan, 1st Lien
6.250%, 05/29/2020		985		725
Axalta Coating Systems Dutch Holding B B.V. (Axalta Coating Systems U.S. Holdings, Inc.), Refinanced Term B Loan, 1st Lien
3.750%, 02/01/2020		306		308
Belk, Inc., Closing Date Term Loan, 1st Lien
5.750%, 12/12/2022		249		226
Berry Plastics Corporation, Term Loan H, 1st Lien
3.750%, 10/01/2022		231		232
Bioplan USA, Inc. (Tripolis US LLC), Initial Term Loan,
5.750%, 09/23/2021		398		370
BJ’s Wholesale Club, Inc., 2013 (November) Replacement Loan, 2nd Lien
8.500%, 03/26/2020 (H)		1,225		1,229
BJ’s Wholesale Club, Inc., New 2013 (November) Replacement Loan, 1st Lien
4.500%, 09/26/2019		317		317
BMC Software Finance, Inc., Initial US Term Loan, 1st Lien
5.000%, 09/10/2020		546		525
BWay Intermediate Company, Inc., Initial Term Loan, 1st Lien
5.500%, 08/14/2020		646		649
Calpine Corporation, Term Loan, 1st Lien
3.590%, 05/27/2022		2,537		2,543
Capital Automotive L.P., Term Loan, 2nd Lien
6.000%, 04/30/2020		210		211
Carecore National, LLC, Term Loan, 1st Lien
5.500%, 03/05/2021		1,673		1,639


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
LOAN PARTICIPATIONS (continued)
Cengage Learning Inc., 2016 Refinancing Term Loan B, 1st Lien
5.250%, 06/07/2023	$	1,691	$	1,688
Ceridian HCM Holding Inc., Initial Term Loan, 1st Lien
4.500%, 09/15/2020		841		821
Ceva Group PLC (fka Louis No.1 PLC/TNT Logistics), Pre-Funded L/C Loan, 1st Lien
6.500%, 03/19/2021		73		58
Charter Communications Operating, LLC (aka CCO Safari LLC), Term H Loan (2016), 1st Lien
3.250%, 08/24/2021		647		649
Checkout Holding Corp., Term B Loan, 1st Lien
4.500%, 04/09/2021		1,021		927
Chobani, Term Loan B
0.000%, 10/09/2023 (H)		1,000		1,000
CHS/Community Health Systems, Inc., Incremental 2021 Term H Loan
4.000%, 01/27/2021		273		268
CompuCom Systems, Inc., Term Loan, 1st Lien
4.250%, 05/09/2020		900		637
CPI Acquisition, Inc., Term Loan, 1st Lien
5.500%, 08/17/2022		314		306
CSC Holdings, LLC (fka CSC Holdings, Inc.), Initial Term Loan, 1st Lien
5.000%, 10/09/2022		873		874
CTI Foods Holding Co., LLC, Term Loan, 1st Lien
4.500%, 06/29/2020		188		182
CTI Foods Holding Co., LLC, Term Loan, 2nd Lien
8.250%, 06/28/2021		350		312
Cunningham Lindsey U.S. Inc., Initial Term Loan, 1st Lien
5.000%, 12/10/2019		189		158
CVS Holdings I, LP, Tranche B-1 Term Loan, 1st Lien
7.250%, 08/16/2021 (C)		495		491
Cyan Blue Holdco 2 Limited, Initial Term Loan, 1st Lien
6.250%, 02/25/2022		650		848
DAE Aviation Holdings, Inc., Initial Term Loan, 1st Lien
5.250%, 07/07/2022		990		995
Deltek, Inc., Term Loan, 1st Lien
5.000%, 06/25/2022		419		420
DJO Finance LLC, Initial Term Loan, 1st Lien
4.250%, 06/08/2020		241		237
Doncasters US Finance LLC (Doncasters US LLC), Second-Lien Term Loans, 2nd Lien
9.500%, 10/09/2020		84		80
Dynegy Finance IV, Inc., Term Loan, 1st Lien
5.000%, 06/27/2023		700		705


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
LOAN PARTICIPATIONS (continued)
Eastern Power, LLC (Eastern Covert Midco, LLC), Term Loan, 1st Lien
5.000%, 10/02/2021	$	690	$	697
EFS Cogen Holdings I LLC, Term B Advance, 1st Lien
5.250%, 06/28/2023		1,179		1,190
EIG Investors Corp., Incremental Term Loan, 1st Lien
6.000%, 02/09/2023		1,633		1,519
EIG Investors Corp., Term Loan, 1st Lien
6.480%, 11/09/2019		754		731
Endo Luxembourg Finance Company I S.à r.l., 2015 Incremental Term B Loan,
3.750%, 09/26/2022		323		322
EnergySolutions, LLC (aka Envirocare of Utah, LLC), Term Advance, 1st Lien
6.750%, 05/29/2020		2,306		2,294
Epicor Software Corporation (fka Eagle Parent Inc.), Term B Loan, 1st Lien
4.750%, 06/01/2022		599		590
Equinox Holdings Inc., New Initial Term Loan, 1st Lien
5.000%, 01/31/2020		661		665
EWT Holdings III Corp. (fka WTG Holdings III Corp.), Incremental 2016 Term Loan, 1st Lien
5.500%, 01/15/2021		199		200
Eyemart Express LLC, Term Loan, 1st Lien
5.000%, 12/18/2021		925		927
EZE Software Group LLC, New Loan, 2nd Lien
7.250%, 04/05/2021		150		145
Fender Musical Instruments Corporation, Initial Loan, 1st Lien
5.750%, 04/03/2019		149		148
First Data Corporation, 2021 Extended Dollar Term Loan
4.530%, 03/24/2021		94		95
Fitness International, LLC, Term B Loan, 1st Lien
6.000%, 07/01/2020		675		674
Flakt Woods Group, Term Loan
0.000%, 03/20/2017		284		281
Flakt Woods, 2nd Lien Term Loan
4.750%, 03/20/2017 (C)		376		418
Flexera Software LLC (fka Flexera Software, Inc.), Term Loan, 2nd Lien
8.000%, 04/02/2021		150		147
Gates Global LLC, Initial Dollar Term Loan, 1st Lien
4.250%, 07/06/2021 (H)		1,185		1,167
Getty Images, Inc., Initial Term Loan, 1st Lien
4.750%, 10/18/2019		2,664		2,222


Description		Face Amount (Thousands)			Market Value ($ Thousands)
LOAN PARTICIPATIONS (continued)
Global Payments Inc., Heartland Incremental Term B Loan,
4.020%, 04/22/2023 (B)	$		125	$	126
Globallogic Holdings Inc., Term Loan, 1st Lien
6.250%, 06/02/2019			292		291
GOBP Holdings Inc., Initial Term Loan, 1st Lien
5.000%, 10/21/2021			995		992
Greenway Health, LLC (fka Vitera Healthcare Solutions, LLC), Term Loan, 1st Lien
6.000%, 11/04/2020			875		851
Greenway Health, LLC (fka Vitera Healthcare Solutions, LLC), Term Loan, 2nd Lien
9.250%, 11/04/2021			100		92
Gypsum Holdings III Corp., Term Loan Retired 09/27/2016, 1st Lien
4.750%, 04/01/2021			1,104		1,100
Hardware Holdings, Cov-Lite, 1st Lien Term Loan
6.750%, 03/30/2020 (E)			980		956
Hi-Crush Partners, LP, 1st Lien
4.750%, 04/28/2021			597		541
Hoffmaster Group, Inc., Initial Term Loan, 1st Lien
5.250%, 05/09/2020			733		733
Hyperion Insurance Group Limited, Initial Term Loan, 1st Lien
5.500%, 04/29/2022			300		293
IHC Holding, Term Loan, 1st Lien
7.000%, 04/30/2021 (C)			1,234		1,220
Implus Footcare, Term Loan
7.250%, 04/30/2021 (C)			239		237
Infor (US), Inc. (fka Lawson Software Inc.) , Tranche B-5 Term Loan, 1st Lien
3.750%, 06/03/2020			268		266
Insight Fourth Hospitality, Term Loan, 1st Lien
7.250%, 07/15/2021 (C)			1,000		1,282
Intelsat Jackson Holdings S.A., Term Loan, Tranche B-2, 1st Lien
3.750%, 06/30/2019 (B)			975		926
Intrawest Holdings
4.500%, 12/10/2018 (C)(G)			157		–
0.375%, 12/10/2018 (C)(G)			43		–
Invenergy Thermal Opearting I LLC, Term Loan, 1st Lien
6.500%, 10/19/2022			1,450		1,384
iStar Inc., Term Loan, 1st Lien
5.500%, 07/01/2020			1,000		1,009
J. Crew Group, Inc., Initial Loan, 1st Lien
4.000%, 03/05/2021			2,474		1,959
Jacobs Entertainment, Inc., Replacement Tranche B Loan, 1st Lien
5.250%, 10/29/2018			371		371


Description		Face Amount (Thousands)			Market Value ($ Thousands)
LOAN PARTICIPATIONS (continued)
Jazz Acquisition, Inc., Revolving Loan, 1st Lien
4.040%, 06/19/2019	$		90	$	80
Landesk Software, Term Loan
5.500%, 09/16/2022			550		554
Lanyon Solutions, Inc. (Lanyon, Inc.), Term Loan, 1st Lien
5.500%, 11/13/2020			463		460
Learning Care Group (US) No. 2 Inc., Term Loan, 1st Lien
5.000%, 05/05/2021			1,435		1,432
Level 3 Financing, Inc. Term Loan, Tranche B-II 2022
3.500%, 05/31/2022			250		251
Lineage Logistics, LLC, Term Loan, 1st Lien
4.500%, 04/07/2021			2,126		2,099
Lions Gate Entertainment Corp., Term Loan, 2nd Lien
5.000%, 03/17/2022			550		559
LPL Holdings, Inc., Term Loan, 2022 Tranche B
4.750%, 11/21/2022			794		798
Magic Newco, LLC, Term Loan, 2nd Lien
12.000%, 06/12/2019			350		368
Match Group, Inc. (fka The Match Group, Inc.), Term B-1 Loan, 1st Lien
5.500%, 11/16/2022			512		514
Mavis Tire Supply, Term Loan
6.250%, 11/02/2020 (C)(E)			1,481		1,464
McGraw-Hill Global Education Holdings, LLC, Term B Loan
5.000%, 05/04/2022			154		155
MEG Energy Corp., New Term Loan, 1st Lien
3.750%, 03/31/2020 (H)			1,317		1,226
Men’s Wearhouse, Inc., Term Loan, Tranche B, 1st Lien
4.500%, 06/18/2021 (H)			501		496
Mergermarket USA, Inc., 2014 Incremental Term Loan, 1st Lien
4.500%, 02/04/2021			731		720
MGM Growth Properties Operating Partnership L.P., Term B Loan, 1st Lien
4.000%, 04/25/2023			398		401
Micron Technology, Inc., Term Loan, 1st Lien
6.530%, 04/26/2022			1,172		1,184
Milacron LLC, Term Loan, 1st Lien
4.250%, 09/28/2020			150		151
MRP Generation Holdings, LLC (TPF), Term Loan B (2016)
7.000%, 10/18/2022 (H)			500		470
NaNa Development Corporation, Term Loan, 1st Lien
8.000%, 03/15/2018			108		101
Navistar, Inc., Term Loan, Tranche B 1st Lien
6.500%, 08/07/2020			993		994


Description		Face Amount (Thousands)		Market Value ($ Thousands)
LOAN PARTICIPATIONS (continued)
Neiman Marcus Group Inc., Other Term Loan, 1st Lien
4.250%, 10/25/2020	$	2,557	$	2,349
NEP/NCP Holdco, Inc., Amendment No. 4 Incremental Term Loan
4.250%, 01/22/2020		1,218		1,212
NEP/NCP Holdco, Inc., Term Loan, 2nd Lien
10.000%, 07/22/2020		575		576
NES Global Talent Finance US LLC, Term Loan, 1st Lien
6.500%, 10/03/2019		941		837
NVA Holdings, Inc., Incremental Term Loan, B-1
5.500%, 08/14/2021		119		120
NVA Holdings, Inc., Term Loan, 1st Lien
4.750%, 08/14/2021		898		897
Opal Acquisition, Inc., Term Loan B, 1st Lien
5.000%, 11/27/2020		853		797
Packers Holdings, LLC, Initial Term Loan, 1st Lien
4.750%, 12/02/2021		983		985
Panda Hummel Station, Term Loan B, 1st Lien
7.000%, 10/27/2022		200		192
Panda Temple Power II, LLC, Construction Term Loan Advance, 1st Lien
7.250%, 04/03/2019		347		317
Party City Holdings Inc. (Party City Corporation), Term Loan, 1st Lien
4.490%, 08/19/2022		99		100
Pelican Products, Inc., Term Loan, 1st Lien
5.250%, 04/10/2020		250		245
Pelican Products, Inc., Term Loan, 2nd Lien
9.250%, 04/09/2021		1,000		890
Phillips-Medisize Corporation, Initial Term Loan, 1st Lien
4.750%, 06/16/2021		489		488
Project Alpha Intermediate, Term Loan, 1st Lien
9.250%, 08/22/2022 (C)		900		883
Prolampac Intermediate Inc., Initial Term Loan,
5.750%, 08/18/2022		495		497
Prowler Acquisition Corp., Term Loan, 1st Lien
5.500%, 01/28/2020		267		195
Reddy Ice Corporation, Term Loan B, 1st Lien
6.750%, 05/01/2019		338		309
Reddy Ice Corporation, Term Loan B, 2nd Lien
10.750%, 11/01/2019		225		175
Rise Term Loan A
4.750%, 02/12/2039		2,516		2,485
Ryan, LLC, Term Loan, Tranche B , 1st Lien
6.750%, 08/07/2020		469		463


Description		Face Amount (Thousands)		Market Value ($ Thousands)
LOAN PARTICIPATIONS (continued)
SBA Senior Finance II LLC, Incremental Term Loan, Tranche B-1, 1st Lien
3.340%, 03/24/2021	$	248	$	248
Scientific Games International, Inc., Initial Term Loan B-2
6.000%, 10/01/2021		129		129
Scientific Games International, Inc., Initial Term Loan B-2, 1st Lien
6.000%, 10/01/2021		270		270
Sears Roebuck Acceptance Corp. (Kmart Corporation), Term Loan (2015), 1st Lien
5.500%, 06/30/2018		586		574
Sedgwick Claims Management Services, Inc., Initial Term Loan, 1st Lien
3.750%, 03/01/2021		273		271
Sedgwick Claims Management Services, Inc., New Loan
6.750%, 02/28/2022		125		123
Shearer’s Foods, LLC, Term Loan, 1st Lien
4.940%, 06/30/2021		273		271
Shearer’s Foods, LLC, Term Loan, 2nd Lien
7.750%, 06/30/2022		150		136
SIG Combibloc Holdings S.C.A. (fka Onex Wizard Acquisition Company II S.C.A.), Initial Dollar Term Loan, 1st Lien
4.000%, 03/11/2022		248		248
SIRVA Worldwide, Inc., Term Loan, 1st Lien
7.500%, 03/27/2019		662		655
Solera, LLC (Solera Finance, Inc.), Dollar Term Loan, 1st Lien
5.750%, 03/03/2023		846		854
Sparta Systems
6.500%, 07/28/2020 (C)		669		664
Spring Industries, Term Loan, 1st Lien
7.500%, 06/01/2021 (C)		600		587
SRS Distribution Inc., Loan, Tranche B-1, 1st Lien
5.250%, 08/25/2022		1,008		1,016
Stromboli Investissements, Second Lien 1 Facility, 2nd Lien
0.500%, 03/20/2017 (C)		–		35
Thermasys Corporation, Term Loan, 1st Lien
5.250%, 05/03/2019		345		277
TIBCO Software Inc., Term Loan, 1st Lien
6.500%, 12/04/2020 (E)		1,970		1,939
TMS International Corp., Term B Loan, 1st Lien
4.500%, 10/16/2020		383		375
Transdigm Inc., Term Loan, Tranche E, 1st Lien
3.750%, 05/14/2022		670		671
Travelport Finance (Luxembourg) S.à r.l., Term Loan B, 1st Lien
5.000%, 09/02/2021		1,923		1,931


Description		Face Amount (Thousands)			Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
TSAM Delaware
7.750%, 09/12/2019 (C)	$		421	$	419
U.S. Renal Care, Inc., Initial Term Loan
5.250%, 12/30/2022			372		357
Univar USA Inc., Initial Dollar Term Loan
4.250%, 07/01/2022			347		348
US Foods, Inc. (aka U.S. Foodservice, Inc.), Initial Term Loan, 1st Lien
4.000%, 06/27/2023			621		626
Valeant Pharmaceuticals International Inc., Delayed Draw F-1, Term Loan B, 1st Lien
5.500%, 04/01/2022 (H)			1,115		1,118
Vencore, Inc. (fka SI Organization, Inc., The), Initial Term Loan, 1st Lien
5.750%, 11/23/2019			804		807
Violin Finco S.A.R.L., Term Loan, 1st Lien
5.750%, 12/20/2019			283		278
Vouvray US Finance LLC, Initial Term Loan, 1st Lien
4.750%, 06/25/2021			491		491
Wencor, Cov-Lite, Revolving Credit 1st Lien Term Loan
0.500%, 06/19/2019 (G)			346		38
Ziggo B.V., US$ B1 Facility, 1st Lien
3.650%, 01/15/2022			148		148
Ziggo B.V., US$ B2 Facility, 1st Lien
3.650%, 01/15/2022			80		80
Ziggo B.V., US$ B3 Facility, 1st Lien
3.700%, 01/15/2022			27		27
Ziggo, Term Loan B1, 1st Lien
3.650%, 01/15/2022			8		8

Total Loan Participations (Cost $109,790) ($ Thousands)					109,316


	Shares
COMMON STOCK — 10.2%

Consumer Discretionary — 1.2%
Advance Auto Parts			294		44
Amazon.com, Cl A *			1,537		1,287
Autonation *			202		10
Autozone *			117		90
Bed Bath & Beyond			469		20
Best Buy			921		35
BorgWarner			699		25
CarMax *			775		41
Carnival			1,728		84
CBS, Cl B			1,635		90
Cengage Learning Holdings II *			5,114		111
Charter Communications, Cl A *			852		230
Chipotle Mexican Grill, Cl A *			117		50
Coach			1,113		41
Comcast, Cl A			9,377		622


Description	Shares			Market Value ($ Thousands)

COMMON STOCK (continued)
Darden Restaurants		465	$	28
Delphi Automotive		1,079		77
Discovery Communications, Cl A *		406		11
Discovery Communications, Cl C *		778		20
Dollar General		1,114		78
Dollar Tree *		927		73
DR Horton		1,323		40
Expedia		466		54
Foot Locker, Cl A		551		37
Ford Motor		15,217		184
Gap		712		16
Garmin		386		19
General Motors		5,468		174
Genuine Parts		593		60
Goodyear Tire & Rubber		836		27
H&R Block		703		16
Hanesbrands		1,219		31
Harley-Davidson, Cl A		728		38
Harman International Industries, Cl A		228		19
Hasbro		463		37
Home Depot		4,825		621
Interpublic Group		1,621		36
Johnson Controls International		3,728		173
Kohl’s		589		26
L Brands		999		71
Leggett & Platt		439		20
Lennar, Cl A		608		26
LKQ *		1,228		43
Lowe’s		3,448		249
Macy’s		1,230		46
Marriott International, Cl A		1,294		87
Mattel		1,361		41
McDonald’s		3,343		386
Michael Kors Holdings *		713		33
Mohawk Industries *		254		51
NetFlix *		1,673		165
Newell Brands, Cl B		1,794		94
News, Cl A		1,254		18
News, Cl B		450		6
Nike, Cl B		5,178		273
Nordstrom		377		19
Omnicom Group		937		80
O’Reilly Automotive *		378		106
Priceline Group *		193		284
PulteGroup		1,032		21
PVH		263		29
Ralph Lauren, Cl A		168		17
Ross Stores		1,578		101
Royal Caribbean Cruises		670		50
Scripps Networks Interactive, Cl A		303		19
Signet Jewelers		231		17
Staples		2,024		17


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Starbucks	5,695	$	308
Target, Cl A	2,301		158
TEGNA	592		13
Tiffany	358		26
Time Warner	3,061		244
TJX	2,577		193
Tractor Supply	534		36
TripAdvisor *	361		23
Twenty-First Century Fox ADR, Cl A	4,297		104
Twenty-First Century Fox, Cl B	1,724		43
Ulta Salon Cosmetics & Fragrance *	247		59
Under Armour, Cl A *	544		21
Under Armour, Cl C *	547		18
Urban Outfitters *	276		10
VF	1,314		74
Viacom, Cl B	1,375		52
Walt Disney	5,791		538
Whirlpool	302		49
Wyndham Worldwide	454		31
Wynn Resorts	258		25
Yum! Brands	1,465		133
			9,202

Consumer Staples — 1.0%
Altria Group	7,593		480
Archer-Daniels-Midland	2,307		97
Brown-Forman, Cl B	808		38
Campbell Soup	718		39
Church & Dwight	1,022		49
Clorox	512		64
Coca-Cola	15,100		639
Colgate-Palmolive	3,475		258
ConAgra Foods	1,720		81
Constellation Brands, Cl A	691		115
Costco Wholesale	1,704		260
CVS Health	4,171		371
Dr Pepper Snapple Group	734		67
Estee Lauder, Cl A	877		78
General Mills	2,321		148
Hershey	557		53
Hormel Foods	1,086		41
JM Smucker	473		64
Kellogg	993		77
Kimberly-Clark	1,405		177
Kraft Heinz	2,322		208
Kroger	3,737		111
McCormick	461		46
Mead Johnson Nutrition, Cl A	739		59
Molson Coors Brewing, Cl B	727		80
Mondelez International, Cl A	6,040		265
Monster Beverage *	554		81
PepsiCo	5,603		610


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Philip Morris International	6,017	$	585
Procter & Gamble	10,428		936
Reynolds American	3,232		152
SYSCO, Cl A	2,056		101
Tyson Foods, Cl A	1,183		89
Walgreens Boots Alliance	3,362		271
Wal-Mart Stores	5,929		428
Whole Foods Market	1,039		29
			7,247

Energy — 0.8%
Anadarko Petroleum, Cl A	2,002		127
Apache	1,493		95
Baker Hughes	1,723		87
Breitburn Energy Partners *(C)	62,847		10
Cabot Oil & Gas	1,858		48
Chesapeake Energy *	2,296		14
Chevron	7,307		752
Cimarex Energy	378		51
Concho Resources *	550		76
ConocoPhillips	4,826		210
Devon Energy	2,061		91
EOG Resources	2,146		208
EQT	690		50
Exxon Mobil	16,192		1,413
FMC Technologies *	945		28
Halliburton	3,357		150
Helmerich & Payne	337		23
Hess	1,046		56
Kinder Morgan	7,570		175
Marathon Oil	3,373		53
Marathon Petroleum	2,085		85
Murphy Oil	473		14
National Oilwell Varco, Cl A	1,501		55
Newfield Exploration *	630		27
Noble Energy	1,700		61
Occidental Petroleum	2,974		217
Oneok	859		44
Phillips 66	1,756		141
Pioneer Natural Resources	641		119
Range Resources	779		30
Schlumberger, Cl A	5,395		424
Southwestern Energy *	1,617		22
Spectra Energy	2,688		115
Tesoro	385		31
Titan Energy *	13,743		406
Transocean	908		10
Valero Energy	1,844		98
Williams	2,699		83
			5,699


Description	Shares			Market Value ($ Thousands)
COMMON STOCK (continued)

Financials — 1.5%
Affiliated Managers Group *		219	$	32
Aflac		1,622		117
Allstate		1,470		102
American Express		3,054		195
American International Group		3,997		237
Ameriprise Financial		657		66
Aon		1,038		117
Arthur J. Gallagher		570		29
Assurant		193		18
Bank of America		39,844		624
Bank of New York Mellon		4,204		168
BB&T		3,215		121
Berkshire Hathaway, Cl B *		7,416		1,072
BlackRock		491		178
California Republic Bancorp *		48,000		1,784
Capital One Financial		2,003		144
Charles Schwab		4,703		148
Chubb		1,809		227
Cincinnati Financial		592		45
Citigroup		11,388		538
Citizens Financial Group		2,109		52
CME Group		1,324		138
Comerica		566		27
Discover Financial Services		1,620		92
ETrade Financial		923		27
Fifth Third Bancorp		3,046		62
Franklin Resources		1,466		52
Goldman Sachs Group		1,504		243
Hartford Financial Services Group		1,559		67
Huntington Bancshares		4,418		44
Intercontinental Exchange		466		126
Invesco		1,664		52
JPMorgan Chase		14,172		944
KeyCorp		4,310		52
Legg Mason		369		12
Leucadia National		1,070		20
Lincoln National		957		45
Loews		1,072		44
M&T Bank		628		73
Marsh & McLennan		2,039		137
MetLife		4,288		190
Moody’s		668		72
Morgan Stanley		5,895		189
Nasdaq, Cl A		354		24
Navient		961		14
Northern Trust		851		58
People’s United Financial		856		13
PNC Financial Services Group		1,949		176
Principal Financial Group, Cl A		1,074		55
Progressive		2,300		72
Prudential Financial		1,729		141


Description	Shares			Market Value ($ Thousands)
COMMON STOCK (continued)
Regions Financial		5,055	$	50
S&P Global		1,036		131
State Street		1,455		101
SunTrust Banks		1,974		86
Synchrony Financial		3,280		92
T. Rowe Price Group		982		65
Torchmark, Cl A		340		22
Travelers		1,144		131
Unum Group		963		34
US Bancorp		6,313		271
Wells Fargo		17,748		786
Willis Towers Watson		548		73
XL Group		1,145		38
Zions Bancorporation		859		27


				11,182

Health Care — 1.4%
Abbott Laboratories		5,718		242
AbbVie		6,280		396
Aetna, Cl A		1,369		158
Agilent Technologies		1,299		61
Alexion Pharmaceuticals *		878		107
Allergan *		1,536		354
AmerisourceBergen		726		59
Amgen, Cl A		2,915		486
Anthem		1,029		129
Baxter International		1,947		93
Becton Dickinson		830		149
Biogen *		852		267
Boston Scientific *		5,312		127
Bristol-Myers Squibb		6,485		350
C.R. Bard		290		65
Cardinal Health		1,278		99
Celgene, Cl A *		3,010		315
Centene *		681		46
Cerner *		1,187		73
Cigna		1,004		131
Cooper, Cl A		190		34
DaVita HealthCare Partners *		653		43
DENTSPLY SIRONA		931		55
Edwards Lifesciences, Cl A *		832		100
Eli Lilly		3,777		303
Endo International *		597		12
Express Scripts Holding *		2,468		174
Gilead Sciences		5,172		409
HCA Holdings *		1,185		90
Henry Schein *		327		53
Hologic *		977		38
Humana		585		103
Illumina *		578		105
Intuitive Surgical *		149		108
Johnson & Johnson		10,656		1,259


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Laboratory Corp of America Holdings *	407	$	56
Mallinckrodt *	347		24
McKesson	878		146
Medtronic	5,458		472
Merck	10,734		670
Mettler Toledo International *	100		42
Mylan *	1,774		67
Patterson	243		11
PerkinElmer	309		17
Perrigo	571		53
Pfizer	23,510		796
Quest Diagnostics	565		48
Regeneron Pharmaceuticals *	305		123
St. Jude Medical	1,118		89
Stryker	1,229		143
Thermo Fisher Scientific	1,532		244
UnitedHealth Group	3,690		517
Universal Health Services, Cl B	359		44
Varian Medical Systems *	384		38
Vertex Pharmaceuticals *	972		85
Waters *	322		51
Zimmer Biomet Holdings	782		102
Zoetis, Cl A	1,966		102
			10,533

Industrials — 1.0%
3M	2,355		415
Acuity Brands	175		46
Alaska Air Group	400		26
Allegion	276		19
American Airlines Group	2,091		77
Ametek	933		45
Boeing	2,277		300
C.H. Robinson Worldwide	573		40
Caterpillar, Cl A	2,277		202
Cintas	348		39
CSX	3,751		114
Cummins	625		80
Danaher, Cl A	2,337		183
Deere	1,174		100
Delta Air Lines, Cl A	3,025		119
Dover	620		46
Dun & Bradstreet	101		14
Eaton	1,794		118
Emerson Electric	2,516		137
Equifax	472		64
Expeditors International of Washington	733		38
Fastenal, Cl A	1,151		48
FedEx	975		170
Flowserve	405		20
Fluor	446		23
Fortive	1,187		60


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Fortune Brands Home & Security	500	$	29
General Dynamics	1,121		174
General Electric	35,007		1,037
Honeywell International	2,962		345
Illinois Tool Works	1,264		152
Ingersoll-Rand	1,018		69
Jacobs Engineering Group *	348		18
JB Hunt Transport Services	362		29
Kansas City Southern	433		40
L-3 Communications Holdings	308		46
Lockheed Martin	988		237
Masco	1,329		46
Nielsen Holdings	1,424		76
Norfolk Southern	1,161		113
Northrop Grumman	705		151
PACCAR	1,381		81
Parker-Hannifin, Cl A	533		67
Pentair	721		46
Pitney Bowes	554		10
Quanta Services *	532		15
Raytheon	1,159		158
Republic Services	947		48
Robert Half International	380		14
Rockwell Automation	516		63
Rockwell Collins	521		44
Roper Technologies	400		73
Ryder System	144		10
Snap-on	187		28
Southwest Airlines, Cl A	2,511		98
Stanley Black & Decker	593		73
Stericycle, Cl A *	250		20
Textron	1,076		43
TransDigm Group *	210		61
Union Pacific	3,270		319
United Continental Holdings *	1,179		62
United Parcel Service, Cl B	2,685		294
United Rentals *	302		24
United Technologies	3,025		307
Verisk Analytics, Cl A *	617		50
Waste Management	1,621		103
WW Grainger	225		50
Xylem	564		30
			7,296

Information Technology — 2.1%
Accenture, Cl A	2,427		297
Activision Blizzard	2,701		120
Adobe Systems *	1,950		212
Akamai Technologies *	717		38
Alliance Data Systems	235		50
Alphabet, Cl A *	1,152		927
Alphabet, Cl C *	1,145		890


Description	Shares			Market Value ($ Thousands)
COMMON STOCK (continued)
Amphenol, Cl A		1,216	$	79
Analog Devices		1,212		78
Apple		21,029		2,377
Applied Materials		4,268		129
Autodesk, Cl A *		788		57
Automatic Data Processing		1,779		157
Broadcom		1,553		268
CA		1,188		39
Cisco Systems		19,510		619
Citrix Systems *		617		53
Cognizant Technology Solutions, Cl A *		2,370		113
Corning, Cl B		4,226		100
CSRA		385		10
eBay *		4,138		136
Electronic Arts *		1,185		101
F5 Networks, Cl A *		271		34
Facebook, Cl A *		9,073		1,164
Fidelity National Information Services, Cl B		1,302		100
First Solar *		218		9
Fiserv, Cl A *		875		87
Flir Systems		394		12
Global Payments		616		47
Harris		499		46
Hewlett Packard Enterprise		6,498		148
HP		6,720		104
Intel		18,314		691
International Business Machines		3,427		544
Intuit		1,003		110
Juniper Networks		1,430		34
KLA-Tencor		624		44
Lam Research		634		60
Linear Technology		950		56
MasterCard, Cl A		3,772		384
Microchip Technology		855		53
Micron Technology *		4,107		73
Microsoft		30,442		1,753
Motorola Solutions		634		48
NetApp		936		33
Nvidia		1,987		136
Oracle, Cl B		11,781		463
Paychex		1,265		73
PayPal Holdings *		4,306		177
Qlik *(C)		3,600		4
Qlik, Cl A *(C)		56		56
Qlik, Cl B *(C)		13,812		—
Qorvo *		400		22
Qualcomm		5,708		391
Red Hat *		722		58
salesforce.com *		2,484		177
Seagate Technology		1,214		47
Skyworks Solutions		757		58
Symantec, Cl A		2,433		61


Description	Shares			Market Value ($ Thousands)
COMMON STOCK (continued)
TE Connectivity		1,408	$	91
Teradata *		402		13
Texas Instruments		3,907		274
Total System Services		530		25
VeriSign *		283		22
Visa, Cl A		7,389		611
Western Digital		1,122		66
Western Union		1,566		33
Xerox		3,050		31
Xilinx		1,010		55
Yahoo! *		3,416		147

				15,575

Materials — 0.3%
Air Products & Chemicals		857		129
Albemarle		370		32
Alcoa		5,230		53
Avery Dennison		291		23
Ball		691		56
CF Industries Holdings		718		17
Dow Chemical, Cl A		4,373		227
E.I. Du Pont de Nemours		3,401		228
Eastman Chemical		598		40
Ecolab		1,033		126
FMC		378		18
Freeport-McMoRan, Cl B		5,269		57
International Flavors & Fragrances		319		46
International Paper		1,622		78
LyondellBasell Industries, Cl A		1,340		108
Martin Marietta Materials, Cl A		253		45
Mirabela Nickel *(C)		597,236		—
Monsanto		1,704		174
Mosaic		1,406		34
Newmont Mining		2,086		82
Nucor		1,259		63
Owens-Illinois *		471		9
PPG Industries		1,044		108
Praxair		1,116		135
Sealed Air		794		36
Sherwin-Williams, Cl A		309		85
Vulcan Materials		528		60
WestRock		1,010		49

				2,118

Real Estate — 0.3%
American Tower, Cl A ^‡		1,656		188
Apartment Investment & Management, Cl A ^‡		493		23
AvalonBay Communities ^‡		539		96
Boston Properties ^‡		605		82
CBRE Group, Cl A *		1,180		33
Crown Castle International ^‡		1,319		124
Digital Realty Trust, Cl A ^‡		583		57


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Equinix^‡	273	$	98
Equity Residential ^‡	1,436		92
Essex Property Trust ^‡	260		58
Extra Space Storage ^‡	502		40
Federal Realty Investment Trust ^‡	284		44
General Growth Properties ^‡	2,305		63
HCP^‡	1,844		70
Host Hotels & Resorts ^‡	2,973		46
Iron Mountain ^‡	1,005		38
Kimco Realty ^‡	1,673		48
Macerich^‡	506		41
ProLogis^‡	2,060		110
Public Storage ^‡	577		129
Realty Income ^‡	1,019		68
Simon Property Group ^‡	1,204		249
SL Green Realty ^‡	400		43
UDR^‡	1,074		39
Ventas^‡	1,328		94
Vornado Realty Trust ^‡	701		71
Welltower ^‡	1,400		105
Weyerhaeuser ^‡	2,937		94

			2,243


Telecommunication Services — 0.3%
AT&T	23,856		969
CenturyTel	2,163		59
Frontier Communications	3,318		14
Level 3 Communications *	1,152		54
Verizon Communications	15,801		821

			1,917


Utilities — 0.3%
AES	2,134		27
Alliant Energy	934		36
Ameren	968		48
American Electric Power	1,923		123
American Water Works	707		53
Centerpoint Energy	1,731		40
CMS Energy	1,114		47
Consolidated Edison	1,196		90
Dominion Resources	2,404		179
DTE Energy	710		66
Duke Energy	2,684		215
Edison International	1,280		93
Entergy	710		54
Eversource Energy	1,254		68
Exelon	3,609		120
FirstEnergy	1,688		56
NextEra Energy	1,797		220
NiSource	1,333		32
NRG Energy	935		11
PG&E	1,942		119


Description		Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Pinnacle West Capital		449	$	34
PPL		2,661		92
Public Service Enterprise Group		1,991		83
SCANA		573		41
Sempra Energy		931		100
Southern		3,852		198
WEC Energy Group		1,245		75
Xcel Energy		2,000		82

				2,402


Total Common Stock (Cost $70,121) ($ Thousands)				75,414

	Face Amount (Thousands)
SOVEREIGN DEBT — 9.9%
Abu Dhabi Government International Bond
3.125%, 05/03/2026		850		888
2.125%, 05/03/2021		200		201
Angolan Government International Bond
9.500%, 11/12/2025		420		417
Argentine Republic Government International Bond
8.280%, 12/31/2033		112		125
7.820%, 12/31/2033	EUR	199		247
7.500%, 04/22/2026 (A)	$	1,160		1,308
7.125%, 07/06/2036 (A)		400		424
6.875%, 04/22/2021 (A)		260		283
6.625%, 07/06/2028 (A)		150		159
2.500%, 12/31/2038 (D)		320		227
0.000%, 12/15/2035 (B)	EUR	1,060		124
Armenia International Bond
7.150%, 03/26/2025	$	200		213
Brazilian Government International Bond
4.250%, 01/07/2025		210		209
2.625%, 01/05/2023		1,390		1,286
Bulgaria Government International Bond
3.125%, 03/26/2035	EUR	170		199
3.000%, 03/21/2028		360		442
2.950%, 09/03/2024		830		1,038
2.625%, 03/26/2027		100		121
Chile Government International Bond
3.125%, 01/21/2026	$	1,220		1,295
Colombia Government International Bond
4.500%, 01/28/2026		1,810		1,996
3.875%, 03/22/2026	EUR	530		674
2.625%, 03/15/2023	$	860		848
Costa Rica Government International Bond
7.158%, 03/12/2045		880		948
7.000%, 04/04/2044		400		427
5.625%, 04/30/2043		400		366
Croatia Government International Bond
3.000%, 03/11/2025	EUR	190		218


Description		Face Amount (Thousands)		Market Value ($ Thousands)
SOVEREIGN DEBT (continued)
Dominican Republic International Bond
6.875%, 01/29/2026	$	1,060	$	1,227
6.850%, 01/27/2045 (A)		2,450		2,744
6.850%, 01/27/2045		760		851
6.600%, 01/28/2024		300		338
5.875%, 04/18/2024		3,090		3,360
5.500%, 01/27/2025		220		233
Ecuador Government International Bond
10.750%, 03/28/2022		440		449
7.950%, 06/20/2024		690		618
El Salvador Government International Bond
7.650%, 06/15/2035		1,000		1,046
Gabon Government International Bond
6.950%, 06/16/2025		530		487
Ghana Government International Bond
8.125%, 01/18/2026		370		344
Guatemala Government Bond
5.750%, 06/06/2022		700		786
4.875%, 02/13/2028		210		227
4.500%, 05/03/2026 (A)		970		1,010
Honduras Government International Bond
7.500%, 03/15/2024		860		976
Hungary Government International Bond
7.625%, 03/29/2041		80		125
6.375%, 03/29/2021		540		626
6.250%, 01/29/2020		2,310		2,596
5.750%, 11/22/2023		750		883
5.375%, 02/21/2023		250		287
5.375%, 03/25/2024		80		93
4.125%, 02/19/2018		70		72
4.000%, 03/25/2019		30		31
Indonesia Government International Bond MTN
5.950%, 01/08/2046		211		267
5.875%, 01/15/2024		1,130		1,333
4.750%, 01/08/2026		2,270		2,535
4.625%, 04/15/2043		230		245
4.125%, 01/15/2025		300		320
3.750%, 06/14/2028 (A)	EUR	200		246
3.375%, 04/15/2023	$	310		319
3.375%, 07/30/2025	EUR	900		1,094
2.625%, 06/14/2023 (A)		300		354
Ivory Coast Government International Bond
5.750%, 12/31/2032	$	198		195
Kazakhstan Government International Bond MTN
6.500%, 07/21/2045		250		312
5.125%, 07/21/2025		770		866
Kenya Government International Bond
6.875%, 06/24/2024 (A)		2,850		2,793
6.875%, 06/24/2024		300		294
Macedonia Government International Bond
5.625%, 07/26/2023 (A)	EUR	350		423


Description		Face Amount (Thousands)		Market Value ($ Thousands)
SOVEREIGN DEBT (continued)
5.625%, 07/26/2023	EUR	350	$	422
Mexican Bonos
7.750%, 11/23/2034	MXN	3,222		189
Mexico Cetes
4.397%, 10/20/2016 (I)		652,689		3,364
Mexico Government International Bond
4.000%, 10/02/2023	$	2,670		2,853
3.625%, 03/15/2022		70		74
Mongolia Government International Bond MTN
5.125%, 12/05/2022		401		352
Nigeria Government International Bond
6.750%, 01/28/2021		207		209
6.375%, 07/12/2023		200		197
Oman Government International Bond
4.750%, 06/15/2026		200		201
Pakistan Government International Bond
8.250%, 09/30/2025		570		633
7.875%, 03/31/2036		130		128
Paraguay Government International Bond
6.100%, 08/11/2044		350		398
5.000%, 04/15/2026 (A)		440		476
4.625%, 01/25/2023		550		583
Perusahaan Penerbit SBSN Indonesia III
4.550%, 03/29/2026 (A)		330		358
Petrobras Global Finance
5.750%, 01/20/2020		320		330
4.875%, 03/17/2020		640		641
Petroleos Mexicanos MTN
6.875%, 08/04/2026		860		970
Philippine Government International Bond
5.500%, 03/30/2026		200		252
Romanian Government International Bond MTN
2.875%, 05/26/2028	EUR	230		280
Russian Foreign Bond - Eurobond
4.875%, 09/16/2023 (A)	$	400		440
4.750%, 05/27/2026		1,600		1,725
4.500%, 04/04/2022 (A)		200		216
Sberbank of Russia Via SB Capital
5.500%, 02/26/2024 (B)		400		404
Serbia International Bond
7.250%, 09/28/2021		210		244
South Africa Government International Bond
5.875%, 05/30/2022		100		113
5.875%, 09/16/2025		760		861
5.500%, 03/09/2020		180		196
5.000%, 10/12/2046		240		240
4.875%, 04/14/2026		490		515
4.665%, 01/17/2024		190		201
Sri Lanka Government International Bond
6.850%, 11/03/2025		390		418
6.825%, 07/18/2026 (A)		450		484


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
SOVEREIGN DEBT (continued)
6.125%, 06/03/2025	$	200	$	204
5.875%, 07/25/2022		470		483
5.750%, 01/18/2022 (A)		200		204
Turkey Government International Bond
7.375%, 02/05/2025		560		662
7.000%, 06/05/2020		220		243
6.250%, 09/26/2022		1,271		1,395
5.750%, 03/22/2024		616		663
5.125%, 03/25/2022		200		208
4.875%, 10/09/2026		570		580
4.250%, 04/14/2026		200		196
Venezuela Government International Bond
7.750%, 10/13/2019		3,080		1,893
Vietnam Government International Bond
4.800%, 11/19/2024		200		212
Zambia Government International Bond
8.970%, 07/30/2027		1,350		1,332
8.970%, 07/30/2027		200		197
8.500%, 04/14/2024		400		393
5.375%, 09/20/2022		280		246


Total Sovereign Debt (Cost $68,761) ($ Thousands)				73,766


MORTGAGE-BACKED SECURITIES — 7.9%
Non-Agency Mortgage-Backed Obligations — 7.9%
Alliance Bancorp Trust, Ser 2007-OA1, Cl A1
0.764%, 07/25/2037 (B)		1,127		822
Alternative Loan Trust, Ser 2007-J2, Cl 1A1
6.500%, 07/25/2037		660		308
American Home Mortgage Assets Trust, Ser 2006-6, Cl A1A
0.715%, 12/25/2046 (B)		15		10
American Home Mortgage Assets Trust, Ser 2007-1, Cl A1
1.207%, 02/25/2047 (B)		4,841		2,869
American Home Mortgage Investment Trust, Ser 2006-1, Cl 12A1
0.924%, 03/25/2046 (B)		1,557		1,290
Bank of America Funding, Ser 2013-R1, Cl A5
0.714%, 11/03/2041 (A)(B)		4,500		4,100
BCAP Trust 2006-AA2, Ser 2006-AA2, Cl A1
0.695%, 01/25/2037 (B)		939		789
BCAP Trust 2007-AA2, Ser 2007-AA2, Cl 2A7
6.000%, 04/25/2037		1,092		958
Capmark Military Housing Trust, Ser 2007-AET2, Cl A
6.063%, 10/10/2052 (A)		975		984
CDGJ Commercial Mortgage Trust, Ser 2014-BXCH, Cl EPA
4.774%, 12/15/2027 (A)(B)		3,742		3,707


		Face Amount		Market Value
Description		(Thousands)		($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Chase Mortgage Finance Trust Series, Ser 2007-S5, Cl 1A3
6.000%, 07/25/2037	$	1,632	$	1,358
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DN1, Cl M3
4.674%, 01/25/2025 (B)		700		741
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA3, Cl M3
5.525%, 12/25/2028 (B)		250		267
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA4, Cl M3
4.324%, 03/25/2029 (B)		300		302
FNMA Connecticut Avenue Securities, Ser 2016-C04, Cl 1M2
4.775%, 01/25/2029 (B)		300		307
GE Business Loan Trust, Ser 2007-1, Cl C
0.974%, 04/16/2035 (A)(B)		1,475		1,295
GreenPoint Mortgage Funding Trust, Ser 2006-AR1, Cl A1A
0.814%, 02/25/2036 (B)		1,661		1,415
GreenPoint Mortgage Funding Trust, Ser 2007-AR1, Cl 1A1A
0.604%, 02/25/2047 (B)		82		82
GS Mortgage Securities Trust, Ser 2016-ICE2, Cl E
9.024%, 02/15/2033 (A)(B)		3,300		3,293
Lehman XS Trust, Ser 2006-10N, Cl 1A3A
0.734%, 07/25/2046 (B)		1,175		936
Lehman XS Trust, Ser 2006-16N, Cl A4A
0.714%, 11/25/2046 (B)		3,279		2,702
LSTAR Securities Investment Trust, Ser 2015-1, Cl A
2.494%, 01/01/2020 (A)(B)		3,612		3,566
LSTAR Securities Investment, Ser 2016-3, Cl A
2.528%, 09/01/2021 (A)(B)(C)		1,800		1,777
Luminent Mortgage Trust, Ser 2006-2, Cl A1A
0.725%, 02/25/2046 (B)		4,268		2,924
Morgan Stanley Re-REMIC Trust, Ser 2010-R5, Cl 4B
1.053%, 06/26/2036 (A)(B)		814		568
Mortgage Repurchase Agreement Financing Trust, Ser 2016-1, Cl A
1.618%, 09/10/2018 (A)(B)		1,150		1,150
Mortgage Repurchase Agreement Financing Trust, Ser 2016-2, Cl A
1.818%, 03/10/2019 (A)(B)		1,150		1,150
Motel 6 Trust, Ser 2015-MTL6, Cl E
5.279%, 02/05/2030 (A)		3,800		3,804
Nomura Resecuritization Trust, Ser 2012-1R, Cl A
0.964%, 08/27/2047 (A)(B)		1,772		1,735


Description		Face Amount (Thousands)			Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Nomura Resecuritization Trust, Ser 2015-4R, Cl 5A1
1.313%, 03/26/2036 (A)(B)	$		1,010	$		958
RALI Series Trust, Ser 2006-QO2, Cl A2
0.795%, 02/25/2046 (B)			1,940			874
RALI Series Trust, Ser 2007-QO2, Cl A1
0.674%, 02/25/2047 (B)			1,558			886
Resource Capital, Ser 2015-CRE3, Cl D
4.530%, 03/15/2032 (A)(B)			1,000			967
Resource Capital, Ser 2015-CRE4, Cl B
3.530%, 08/15/2032 (A)(B)			1,000			893
SRERS Funding, Ser 2011-RS, Cl A1B1
0.763%, 05/09/2046 (A)(B)			1,066			1,047
SRERS Funding, Ser 2011-RS, Cl A1B2
0.763%, 05/09/2046 (A)(B)			1,500			898
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 2A1
0.824%, 10/25/2035 (B)			1,303			1,232
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR9, Cl 2A
1.347%, 11/25/2046 (B)			6,858			4,920
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR12, Cl 2A5
2.929%, 06/25/2035 (B)			568			581

						58,465


Total Mortgage-Backed Securities (Cost $59,612) ($ Thousands)						58,465

COMMERCIAL PAPER (I) — 3.8%
American Water Capital
0.690%, 10/03/2016 (A)			5,000			5,000
BAT International Finance
0.801%, 10/20/2016 (A)			4,500			4,498
General Mills
0.630%, 10/12/2016 (A)			5,000			4,999
Harley-Davidson Financial Services
0.671%, 10/19/2016 (A)			6,000			5,997
Nissan Motor Acceptance
0.660%, 10/17/2016 (A)			2,500			2,499
VF
0.650%, 10/27/2016 (A)			5,000			4,997


Total Commercial Paper (Cost $27,992) ($ Thousands)						27,990


U.S. TREASURY OBLIGATIONS — 1.5%
U.S. Treasury Bonds
2.250%, 08/15/2046			390			383


Description		Face Amount (Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (continued)
U.S. Treasury Notes
1.625%, 06/30/2020	$		10,200	$	10,422

Total U.S. Treasury Obligations (Cost $10,802) ($ Thousands)					10,805


U.S. GOVERNMENT AGENCY OBLIGATIONS — 1.1%
FHLB DN
0.240%, 10/04/2016 (I)			3,500		3,500
0.210%, 10/21/2016 (I)			5,000		5,000


Total U.S. Government Agency Obligations (Cost $8,499) ($ Thousands)					8,500


MUNICIPAL BONDS — 0.4%
North Carolina — 0.2%
North Carolina State Education Assistance Authority, Ser A-3, RB
1.615%, 10/25/2041(B)			1,250		1,209


Puerto Rico — 0.2%
Commonwealth of Puerto Rico, Ser A, GO
8.000%, 07/01/2035(F)			410		268
Commonwealth of Puerto Rico, Ser B, GO Callable 07/01/2019 @ 100
6.000%, 07/01/2039(F)			35		22
Puerto Rico Commonwealth Aqueduct & Sewer Authority, Ser Senior A, RB Callable 07/01/2018 @ 100
6.000%, 07/01/2038			55		42
5.000%, 07/01/2033			25		19
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser A, RB Callable 08/01/2019 @ 100
6.500%, 08/01/2044			1,020		561
6.000%, 08/01/2042			105		56
5.750%, 08/01/2037			510		270
5.500%, 08/01/2028			35		18
5.500%, 08/01/2037			90		48
5.375%, 08/01/2039			960		504
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser A-1, RB Callable 08/01/2021 @ 100
5.000%, 08/01/2043			40		21


Description		Face Amount (Thousands)			Market Value ($ Thousands)
MUNICIPAL BONDS (continued)
Puerto Rico Sales Tax Financing Sales Tax Revenue, Sub-Ser C, RB Callable 08/01/2020 @ 100
5.250%, 08/01/2041	$		30	$	16

					1,845


Total Municipal Bonds (Cost $2,795) ($ Thousands)					3,054


		Shares


PREFERRED STOCK — 0.4%
Industrials — 0.4%
Seaspan, 6.375%			107,439		2,729


Other Asset-Backed Securities — 0.0%
GSC Partners Fund V, Ser 2004-5A, 0.000% *(A)(B)			1,800		—
GSC Partners Fund V, Ser 2004-5I, 0.000% *(B)			100		—


Total Preferred Stock (Cost $3,408) ($ Thousands)					2,729


		Face Amount (Thousands)

CONVERTIBLE BOND — 0.0%
Mirabela Nickel
9.500%, 06/24/2019 (A)(C)(E)(F)			167		47


Total Convertible Bond (Cost $168) ($ Thousands)					47


		Number of Warrants

WARRANT — 0.0%
Comstock Resources, Expires 06/15/2020 Strike Price $– *			1,857		14


Total Warrant (Cost $—) ($ Thousands)					14


Total Investments — 94.8% (Cost $699,829) ($ Thousands)				$	702,542

		Contracts

WRITTEN OPTIONS(J) — (0.3)%
October 16 Calls on SPX, Expires 10/21/2016 Strike Price $2,155.00*			(124)		(413)
October 16 Calls on SPX, Expires 10/21/2016 Strike Price $2,120.00*			(124)		(749)


Description	Contracts			Market Value ($ Thousands)
WRITTEN OPTIONS(J) (continued)
October 16 Calls on SPX, Expires 10/21/2016 Strike Price $2,125.00*		(186)	$	(1,060)


Total Written Options
(Premiums Received $1,800) ($ Thousands)			$	(2,222)

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
S&P 500 Index E-MINI		209		Dec-2016	$68
U.S. 10-Year Treasury Note		60		Dec-2016	30
U.S. 2-Year Treasury Note		73		Dec-2016	9
U.S. 5-Year Treasury Note		285		Dec-2016	106
U.S. Long Treasury Bond		19		Dec-2016	(28)
U.S. Ultra Long Treasury Bond		14		Dec-2016	(44)
U.S. Ultra Long Treasury Bond		18		Dec-2016	(9)

					$132

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
10/13/16-11/16/16	GBP		2,240	USD		2,973	$62
11/10/16-11/10/16	EUR		10,219	USD		11,525	20
10/13/16-11/10/16	EUR		1,302	USD		1,463	(3)
10/13/16-10/20/16	MXN		69,134	USD		3,697	132
12/21/16	USD		1,280	MXN		25,463	24

							$235

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Bank of America		$(3,508	)		$3,551	$43
Barclays PLC		(3,328	)		3,446	118
Brown Brothers Harriman		(12,643	)		12,686	43
Citigroup		(143	)		143	—
Credit Suisse First Boston		(114	)		114	—
JPMorgan Chase Bank		(991	)		1,022	31

						$235

A list of the open OTC swap agreements held by the Fund at September 30, 2016 is as follows:

A list of the open centrally cleared swap agreements held by the Fund at September 30, 2016 is as follows:

Percentages are based on Net Assets of $741,420 ($ Thousands).

*	Non-income producing security.

^‡	Real Estate Investment Trust.

(A)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2016, the value of these securities amounted to $295,129 ($ Thousands), representing 39.8% of the net assets of the Fund.

(B)	Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of September 30, 2016.

(C)	Security fair valued using methods determined in good faith by the Valuation Committee of the Board of Trustees. The total market value of such securities as of September 30, 2016 was $14,909 ($ Thousands) and represented 2.0% of Net Assets.

(D)	Step Bonds – The rate reflected on the Schedule of Investments is the effective yield on September 30, 2016. The coupon on a step bond changes on a specified date.

(E)	Securities considered illiquid. The total value of such securities as of September 30, 2016 was $9,928 ($ Thousands) and represented 1.3% of Net Assets (Unaudited).

(F)	Security is in default on interest payment.

(G)	Unfunded bank loan.

(H)	Unsettled bank loan. Interest rate not available.

(I)	The rate reported is the effective yield at the time of purchase.

(J)	For the year ended September 30, 2016, the total amount of open purchased swaptions, written options and written swaptions, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period.

ADR — American Depositary Receipt

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

EUR — Euro

EURIBOR — Euro InterBank Rate

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound

GO — General Obligation

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

LP — Limited Partnership

MTN — Medium Term Note

MXN — Mexican Peso

OTC — Over the Counter

PIK — Payment-in-Kind

PLC — Public Limited Company

PLN — Polish Zloty

RB — Revenue Bond

RE-REMIC — Resecuritization of Real Estate Mortgage Investment Conduit

S&P— Standard & Poor’s

Ser — Series

TIIE — Interbank Equilibrium Interest Rate

USD — U.S. Dollar

WIBOR — Warsaw Interbank Offered Rate

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities		Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	–	$	186,887	$	2,560	$	189,447
Corporate Obligations		–		139,548		3,447		142,995
Loan Participations		–		101,160		8,156		109,316
Common Stock		75,343		–		71		75,414
Sovereign Debt		–		73,766		–		73,766
Mortgage-Backed Securities		–		56,688		1,777		58,465
Commercial Paper		–		27,990		–		27,990
U.S. Treasury Obligations		–		10,805		–		10,805
U.S. Government Agency Obligations		–		8,500		–		8,500
Municipal Bonds		–		3,054		–		3,054
Preferred Stock		2,729		–		–		2,729
Convertible Bond		–		–		47		47
Warrant		–		–		14		14

Total Investments in Securities	$	78,072	$	608,398	$	16,072	$	702,542


Other Financial Instruments		Level 1		Level 2		Level 3		Total
Written Options	$	(2,222)	$	—	$	—	$	(2,222)
Futures Contracts *
Unrealized Appreciation		213		—		—		213
Unrealized Depreciation		(81)		—		—		(81)
Forwards Contracts *
Unrealized Appreciation		—		238		—		238
Unrealized Appreciation		—		(3)		—		(3)
OTC Swaps
Total Return Swaps *
Unrealized Appreciation		—		58,323		—		58,323
Unrealized Depreciation		—		(58,562)		—		(58,562)
Centrally Cleared Swaps
Interest Rate Swaps *
Unrealized Appreciation		—		67		—		67
Unrealized Depreciation		—		(294)		—		(294)

Total Other Financial Instruments	$	(2,090)	$	(231)	$	—	$	(2,321)

* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

The following is a reconciliation of the investments in which significant unobservable inputs (Level 3) were used in determining value ($ Thousands):

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.




Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS — 67.7%
U.S. Treasury Bill
0.456%, 12/01/2016 (A)(B)(I)	$	96,500	$	96,471
0.348%, 11/10/2016 (A)(B)(I)		54,400		54,389
0.306%, 10/20/2016 (A)(B)(I)		38,000		37,998
U.S. Treasury Inflation Protected Securities
2.125%, 01/15/2019 (H)		39,183		41,730
1.375%, 01/15/2020 (H)		60,817		64,577
1.250%, 07/15/2020		59,355		63,420
0.625%, 07/15/2021		140,695		147,737
0.125%, 04/15/2018 (H)		27,142		27,438
0.125%, 04/15/2019 (H)		111,378		113,274
0.125%, 04/15/2020 (H)(J)		82,948		84,580

Total U.S. Treasury Obligations (Cost $725,644) ($ Thousands)				731,614


	Shares


COMMON STOCK — 27.1%

Consumer Discretionary — 0.0%
Scholastic, Cl B		800		31


Consumer Staples — 4.3%
Altria Group (K)		104,500		6,608
Campbell Soup (K)		49,700		2,719
Clorox		5,500		689
Coca-Cola		13,400		567
CVS Health (K)		31,400		2,794
Dean Foods		316,700		5,194
Dr Pepper Snapple Group (K)		25,900		2,365
Energizer Holdings		1,900		95
Fresh Del Monte Produce		8,000		479
Herbalife *		12,400		769
Ingredion		2,900		386
Medifast		10,800		408
Mondelez International, Cl A		51,700		2,270
Natural Health Trends		1,800		51
Nu Skin Enterprises, Cl A		20,300		1,315
Omega Protein *		19,000		444
PepsiCo		20,400		2,219
Philip Morris International		600		58
Post Holdings *		10,900		841
Procter & Gamble		39,400		3,536
Sanderson Farms		9,600		925




Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
SpartanNash		3,400	$	99
SYSCO, Cl A		38,900		1,907
Tyson Foods, Cl A		87,600		6,541
Universal		18,600		1,083
Walgreens Boots Alliance		1,800		145
Wal-Mart Stores		30,800		2,221


				46,728

Energy — 7.1%
Antero Resources *		70,000		1,886
Atwood Oceanics, Cl A		22,900		199
Cabot Oil & Gas		39,600		1,022
Chesapeake Energy *		179,500		1,125
Chevron (K)		44,290		4,558
Contango Oil & Gas *		21,800		223
DHT Holdings		504,900		2,115
Diamond Offshore Drilling (K)		155,700		2,742
Energen		8,200		473
Exxon Mobil (K)		180,530		15,757
Gener8 Maritime *		39,600		203
Hallador Energy		43,600		344
McDermott International *		188,000		942
Natural Gas Services Group *		1,800		44
PDC Energy, Cl A *		600		40
PHI *		9,700		176
Pioneer Natural Resources		27,900		5,180
REX American Resources *		13,400		1,136
Rowan, Cl A		307,400		4,660
Schlumberger, Cl A (K)		49,000		3,853
Southwestern Energy *		418,300		5,789
Tesoro (K)		75,400		5,999
Transocean (K)		635,600		6,776
Valero Energy (K)		115,900		6,143
Western Refining		205,700		5,443


				76,828

Financials — 1.9%
Ambac Financial Group *		53,600		986
Annaly Capital Management ^‡(K)		330,300		3,468
Ares Commercial Real Estate ^‡		5,500		69
Assurant		6,900		637
Chimera Investment ^‡		154,000		2,456
Citigroup		10,100		477
Dynex Capital ^‡		29,500		219
Heartland Financial USA		6,500		234
Markel *		631		586
MFA Financial ^‡		365,900		2,737
MGIC Investment *		141,900		1,135
Old Republic International		39,400		694
Popular (K)		146,900		5,615
Two Harbors Investment ^‡		175,100		1,494


				20,807




Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)

Health Care — 7.0%
Aetna, Cl A		29,700	$	3,429
AMAG Pharmaceuticals *		33,400		819
Amedisys *		31,100		1,475
Amgen, Cl A (K)		34,800		5,805
Anthem		30,700		3,847
Baxter International		128,100		6,097
Centene *(K)		28,636		1,918
Charles River Laboratories International *		25,600		2,133
Cigna		300		39
Exactech *		2,700		73
Express Scripts Holding *		8,400		592
Five Prime Therapeutics *		32,200		1,690
Gilead Sciences (K)		93,700		7,414
Healthways *		98,400		2,604
Hologic *		24,700		959
INC Research Holdings, Cl A *		6,800		303
Johnson & Johnson (K)		68,400		8,080
LeMaitre Vascular		7,600		151
Magellan Health *		19,400		1,042
Merck		22,800		1,423
Mettler Toledo International *		9,640		4,047
PDL BioPharma		353,500		1,184
Pfizer		129,600		4,390
Quintiles Transnational *		7,400		600
ResMed		18,000		1,166
United Therapeutics *		17,000		2,007
UnitedHealth Group		19,900		2,786
Waters *		27,700		4,390
WellCare Health Plans *		40,000		4,684


				75,147


Industrials — 1.1%
Argan		15,500		917
Greenbrier		107,150		3,783
Hawaiian Holdings *(K)		34,700		1,686
Heritage-Crystal Clean *		4,100		54
Insteel Industries		6,700		243
United Continental Holdings *		89,400		4,691
Universal Forest Products		1,100		108
Wabash National *		28,600		407


				11,889


Information Technology — 2.8%
Accenture, Cl A		20,600		2,517
EarthLink Holdings		138,100		856
Electronic Arts *(K)		36,700		3,134
ExlService Holdings *		1,200		60
Hackett Group		29,100		481
International Business Machines		45,000		7,148
Leidos Holdings		71,400		3,090
Microsoft		53,600		3,087
NeuStar, Cl A *		133,500		3,550




Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Symantec, Cl A		237,800	$	5,969
Xerox		10,500		106
Zix *		44,400		182


				30,180


Real Estate — 1.8%
Altisource Portfolio Solutions *		96,800		3,136
CorEnergy Infrastructure Trust ^‡		7,400		217
CoreSite Realty ^‡		19,300		1,429
DuPont Fabros Technology ^‡		50,800		2,096
Equity Commonwealth *^‡		44,900		1,357
Equity LifeStyle Properties ^‡		8,500		656
Equity Residential ^‡		41,100		2,644
Gaming and Leisure Properties ^‡		67,400		2,255
Getty Realty ^‡		3,443		82
Hudson Pacific Properties ^‡		1,400		46
Macerich ^‡		18,400		1,488
Monmouth Real Estate Investment, Cl A ^‡		20,200		288
PS Business Parks ^‡		4,400		500
Public Storage ^‡		2,200		491
Retail Opportunity Investments ^‡		38,500		845
RMR Group		4,500		171
Ryman Hospitality Properties		26,900		1,296
Simon Property Group ^‡		1,600		331
SL Green Realty ^‡		400		43


				19,371


Telecommunication Services — 0.5%
AT&T		20,900		849
FairPoint Communications *		29,800		448
IDT, Cl B		23,100		398
Telephone & Data Systems		107,500		2,922
Verizon Communications		24,400		1,268


				5,885


Utilities — 0.6%
Entergy		16,800		1,289
Exelon		55,100		1,834
MDU Resources Group		52,400		1,333
NiSource		69,500		1,676


				6,132

Total Common Stock (Cost $266,268) ($ Thousands)				292,998


	Face Amount (Thousands)

CORPORATE OBLIGATIONS — 10.1%

Consumer Discretionary — 1.4%
21st Century Fox America
6.150%, 02/15/2041	$	165		209
4.500%, 02/15/2021		260		288
4.000%, 10/01/2023		185		203
3.000%, 09/15/2022		405		422




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Adient Global Holdings
4.875%, 08/15/2026 (C)	$	238	$	238
CBS
3.500%, 01/15/2025		835		859
Comcast
6.450%, 03/15/2037		185		255
Cox Communications
2.950%, 06/30/2023 (C)		240		237
CSC Holdings
6.750%, 11/15/2021		160		169
Dana Holding
6.000%, 09/15/2023		148		154
Discovery Communications
3.450%, 03/15/2025		450		445
Ford Motor Credit
5.875%, 08/02/2021		695		794
2.597%, 11/04/2019		1,152		1,170
General Motors
3.500%, 10/02/2018		465		479
Hanesbrands
4.625%, 05/15/2024 (C)		338		347
International Game Technology
6.500%, 02/15/2025 (C)		785		846
6.250%, 02/15/2022 (C)		560		594
KB Home
4.750%, 05/15/2019		382		390
Kohl’s
5.550%, 07/17/2045		710		696
MCE Finance
5.000%, 02/15/2021 (C)		405		407
Newell Brands
3.850%, 04/01/2023		395		420
3.150%, 04/01/2021		1,351		1,408
RELX Capital
8.625%, 01/15/2019		475		547
SFR Group
5.375%, 05/15/2022 (C)	EUR	235		273
Time Warner
3.550%, 06/01/2024	$	745		792
Time Warner Cable
4.500%, 09/15/2042		330		315
Viacom
4.375%, 03/15/2043		569		522
Virgin Media Finance
5.250%, 02/15/2022		200		173
Ziggo Secured Finance BV
5.500%, 01/15/2027 (C)		835		834

				14,486


Consumer Staples — 0.7%
Altria Group
4.750%, 05/05/2021		210		237




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
2.625%, 01/14/2020	$	1,160	$	1,200
Bunge Finance
8.500%, 06/15/2019		9		10
CVS Health
3.875%, 07/20/2025		925		1,007
Grupo Bimbo
3.875%, 06/27/2024 (C)		703		728
Kraft Heinz Foods
3.500%, 07/15/2022		664		706
2.800%, 07/02/2020		520		539
Minerva Luxembourg
6.500%, 09/20/2026 (C)		286		281
Reynolds American
4.000%, 06/12/2022		908		987
Tyson Foods
3.950%, 08/15/2024		715		772
2.650%, 08/15/2019		219		224
Virgolino de Oliveira Finance
10.500%, 01/28/2018 (C)(D)		660		43
Walgreens Boots Alliance
3.800%, 11/18/2024		1,160		1,245

				7,979


Energy — 1.3%
Cenovus Energy
5.700%, 10/15/2019		261		280
3.000%, 08/15/2022		52		50
Diamond Offshore Drilling
4.875%, 11/01/2043		370		257
Ecopetrol
5.875%, 05/28/2045		309		284
Energy Transfer Partners
6.125%, 02/15/2017		200		203
5.200%, 02/01/2022		465		504
EnLink Midstream Partners
5.050%, 04/01/2045		507		449
Enterprise Products Operating
5.200%, 09/01/2020		340		380
3.700%, 02/15/2026		1,103		1,135
Hess
4.300%, 04/01/2027		966		973
Kinder Morgan Energy Partners
3.950%, 09/01/2022		990		1,034
Korea National Oil
3.125%, 04/03/2017 (C)		465		469
Marathon Petroleum
5.125%, 03/01/2021		196		217
Noble Energy
8.250%, 03/01/2019		153		175
4.150%, 12/15/2021		475		505
3.900%, 11/15/2024		606		618




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Petrobras Global Finance
5.750%, 01/20/2020	$	888	$	915
Petroleos Mexicanos MTN
4.625%, 09/21/2023 (C)		1,126		1,128
Plains All American Pipeline
3.600%, 11/01/2024		902		874
Regency Energy Partners
4.500%, 11/01/2023		114		115
Sabine Pass Liquefaction
5.000%, 03/15/2027 (C)		720		738
Schlumberger Holdings
3.000%, 12/21/2020 (C)		1,345		1,402
SM Energy
6.500%, 01/01/2023		43		43
Ultrapar International
5.250%, 10/06/2026 (C)		562		558
Valero Energy
6.125%, 02/01/2020		480		542
Williams Partners
3.900%, 01/15/2025		217		217

				14,065


Financials — 2.1%
American International Group
4.875%, 06/01/2022		520		585
Bank of America
6.500%, 12/31/2049 (E)		292		317
Barclays
3.650%, 03/16/2025		330		326
Barclays Bank
7.750%, 04/10/2023 (E)		393		412
7.625%, 11/21/2022		207		230
6.860%, 09/29/2049 (C)(E)		131		151
Barclays Bank MTN
6.625%, 03/30/2022	EUR	103		142
BNP Paribas MTN
4.375%, 05/12/2026 (C)	$	541		559
Citigroup
3.875%, 03/26/2025		905		934
Cooperatieve Rabobank UA
4.375%, 08/04/2025		657		693
Credit Agricole
8.125%, 12/31/2049 (C)(E)		260		276
4.375%, 03/17/2025 (C)		546		558
Credit Suisse Group Funding Guernsey
4.550%, 04/17/2026 (C)		567		595
Goldman Sachs Group MTN
2.429%, 11/29/2023 (E)		900		915
Goldman Sachs Group
2.350%, 11/15/2027		847		845
Hartford Financial Services Group
5.125%, 04/15/2022		655		744




Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Intesa Sanpaolo MTN
5.017%, 06/26/2024 (C)	$	746	$	681
JPMorgan Chase
5.400%, 01/06/2042		175		219
JPMorgan Chase MTN
2.295%, 08/15/2021		551		552
Lincoln National
4.200%, 03/15/2022		355		384
Lloyds Banking Group
3.100%, 07/06/2021		400		409
MetLife
5.700%, 06/15/2035		80		97
Metropolitan Life Global Funding I
3.875%, 04/11/2022 (C)		275		299
Mitsubishi UFJ Financial Group
2.722%, 03/01/2021 (E)		1,361		1,411
Mizuho Financial Group Cayman 3
4.600%, 03/27/2024 (C)		840		927
Morgan Stanley MTN
5.500%, 07/28/2021		585		667
Murray Street Investment Trust I
4.647%, 03/09/2017 (F)		55		56
Nationwide Building Society
4.000%, 09/14/2026 (C)		1,390		1,385
Nationwide Financial Services
5.375%, 03/25/2021 (C)		470		527
Navient
6.625%, 07/26/2021		770		776
Navient MTN
7.250%, 01/25/2022		52		53
PNC Bank
3.800%, 07/25/2023		960		1,044
Rabobank Capital Funding Trust III
5.254%, 10/21/2016 (C)(E)		380		380
Royal Bank of Scotland MTN
9.500%, 03/16/2022 (E)		32		33
Royal Bank of Scotland Group(E)
8.625%, 12/31/2049		825		807
7.500%, 12/29/2049		525		482
Royal Bank of Scotland Group PLC
7.640%, 09/29/2017 (E)		100		97
Santander Issuances
5.179%, 11/19/2025		600		611
Santander UK
5.000%, 11/07/2023 (C)		700		729
Societe Generale
5.922%, 04/05/2017 (C)(E)		115		116
4.250%, 08/19/2026 (C)		560		563
Standard Chartered
6.409%, 01/30/2049 (C)(E)		400		388
UBS Group Funding Jersey
4.125%, 09/24/2025 (C)		689		722



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
XLIT
5.500%, 03/31/2045	$	225	$	220


				22,917


Health Care — 1.2%
AbbVie
3.600%, 05/14/2025		1,744		1,823
Actavis Funding SCS
3.850%, 06/15/2024		297		316
3.800%, 03/15/2025		1,096		1,160
Baxalta
3.600%, 06/23/2022		1,040		1,093
Bayer US Finance
3.375%, 10/08/2024 (C)		405		418
Becton Dickinson
3.734%, 12/15/2024		513		556
Biogen
3.625%, 09/15/2022		647		693
Celgene
3.875%, 08/15/2025		785		839
Gilead Sciences
3.650%, 03/01/2026		500		538
Laboratory Corp of America Holdings
3.600%, 02/01/2025		385		404
Medtronic
3.500%, 03/15/2025		1,170		1,260
Perrigo Finance Unlimited
3.900%, 12/15/2024		430		436
3.500%, 12/15/2021		227		235
Teva Pharmaceutical Finance Netherlands III BV
3.150%, 10/01/2026		674		677
2.800%, 07/21/2023		1,016		1,019
Thermo Fisher Scientific
4.150%, 02/01/2024		365		397
Valeant Pharmaceuticals International
6.125%, 04/15/2025 (C)		600		517


				12,381


Industrials — 0.3%
AerCap Aviation Solutions BV
6.375%, 05/30/2017		234		240
Allison Transmission
5.000%, 10/01/2024 (C)		286		293
Avis Budget Car Rental
5.250%, 03/15/2025 (C)		467		448
Empresa de Transporte de Pasajeros Metro
4.750%, 02/04/2024 (C)		360		394
General Electric
5.000%, 12/29/2049 (E)		300		317
International Lease Finance
5.875%, 04/01/2019		325		348



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Odebrecht Finance
7.125%, 06/26/2042 (C)	$	844	$	338
5.250%, 06/27/2029 (C)		457		164
SPX FLOW
5.875%, 08/15/2026 (C)		182		184
5.625%, 08/15/2024 (C)		183		186


				2,912


Information Technology — 0.7%
Diamond 1 Finance
7.125%, 06/15/2024 (C)		558		614
4.420%, 06/15/2021 (C)		1,375		1,437
eBay
3.800%, 03/09/2022		357		382
Fidelity National Information Services
5.000%, 10/15/2025		3		4
3.500%, 04/15/2023		188		197
KLA-Tencor
4.650%, 11/01/2024		894		982
Lam Research
2.800%, 06/15/2021		640		657
Micron Technology
7.500%, 09/15/2023 (C)		350		389
NXP BV
4.125%, 06/01/2021 (C)		550		589
Seagate HDD Cayman
4.750%, 01/01/2025		427		404
Tencent Holdings MTN
3.375%, 05/02/2019 (C)		676		700
Total System Services
2.375%, 06/01/2018		262		264
Western Digital
7.375%, 04/01/2023 (C)		762		838


				7,457


Materials — 0.6%
Barrick Gold
4.100%, 05/01/2023		64		69
Basell Finance BV
8.100%, 03/15/2027 (C)		220		296
Dow Chemical
4.250%, 11/15/2020		131		142
Eastman Chemical
3.800%, 03/15/2025		420		445
Glencore Funding
3.125%, 04/29/2019 (C)		1,840		1,847
International Paper
4.750%, 02/15/2022		361		402
LyondellBasell Industries
5.750%, 04/15/2024		1,100		1,312
Minsur
6.250%, 02/07/2024 (C)		168		175



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
NOVA Chemicals
5.250%, 08/01/2023 (C)	$	420	$	429
Reynolds Group
5.750%, 10/15/2020		300		309
Sociedad Quimica y Minera de Chile
3.625%, 04/03/2023 (C)		408		398
Yamana
4.950%, 07/15/2024		462		477


				6,301


Real Estate — 0.2%
American Tower
4.700%, 03/15/2022		365		406
3.500%, 01/31/2023		485		506
Healthcare Realty Trust
5.750%, 01/15/2021		285		324
Host Hotels & Resorts
5.250%, 03/15/2022		190		210
3.750%, 10/15/2023		16		16
Welltower
5.250%, 01/15/2022		695		787


				2,249


Telecommunication Services — 1.0%
America Movil
3.125%, 07/16/2022		1,355		1,388
AT&T
4.750%, 05/15/2046		360		377
3.800%, 03/15/2022		262		281
3.400%, 05/15/2025		1,905		1,957
3.000%, 02/15/2022		465		480
CenturyLink
7.500%, 04/01/2024		364		389
6.450%, 06/15/2021		397		425
Rogers Communications
4.000%, 06/06/2022	CAD	60		50
SBA Tower Trust
3.156%, 10/15/2020 (C)	$	950		959
Sprint Capital
6.900%, 05/01/2019		1,485		1,531
Telefonica Emisiones
5.462%, 02/16/2021		200		227
Verizon Communications
4.600%, 04/01/2021		1,160		1,291
4.272%, 01/15/2036		1,170		1,219
Wind Acquisition Finance
4.750%, 07/15/2020 (C)		535		539


				11,113


Utilities — 0.6%
Berkshire Hathaway Energy
6.125%, 04/01/2036		390		518



Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
CMS Energy
5.050%, 03/15/2022	$	185	$	211
Constellation Energy Group
5.150%, 12/01/2020		70		78
Entergy
4.000%, 07/15/2022		907		984
Exelon
2.850%, 06/15/2020		1,695		1,757
Exelon Generation
4.250%, 06/15/2022		460		494
Israel Electric
5.000%, 11/12/2024 (C)		792		869
NRG Energy
6.250%, 05/01/2024		315		320
Talent Yield Investments
4.500%, 04/25/2022 (C)		1,301		1,428


				6,659


Total Corporate Obligations (Cost $105,542) ($ Thousands)				108,519


MORTGAGE-BACKED SECURITIES — 7.7%

Agency Mortgage-Backed Obligations — 0.7%
FHLMC CMO, Ser 2007-3311, Cl IE, IO
5.886%, 05/15/2037 (E)		2,852		618
FNMA CMO, Ser 2011-15, Cl SA
6.536%, 03/25/2041 (E)		3,101		783
FNMA CMO, Ser 2013-130, Cl SN, IO
6.125%, 10/25/2042 (E)		3,805		743
FNMA CMO, Ser 2015-33, Cl AI, IO
5.000%, 06/25/2045		4,289		767
FNMA CMO, Ser 2015-66, Cl AS, IO
5.725%, 09/25/2045 (E)		3,839		790
FNMA CMO, Ser 2016-11, Cl SG, IO
5.625%, 03/25/2046 (E)		4,033		771
FNMA CMO, Ser 2016-19, Cl SA, IO
5.575%, 04/25/2046 (E)		4,945		913
FNMA CMO, Ser 2016-22, Cl ST, IO
5.575%, 04/25/2046 (E)		4,088		796
GNMA CMO, Ser 2016-108, Cl SM, IO
5.568%, 08/20/2046 (E)		3,193		881


				7,062


Non-Agency Mortgage-Backed Obligations — 7.0%
Alternative Loan Trust, Ser 2005-20CB, Cl 3A6
5.500%, 07/25/2035		137		126
Alternative Loan Trust, Ser 2005-57CB, Cl 4A3
5.500%, 12/25/2035		333		284
Alternative Loan Trust, Ser 2006-23CB, Cl 1A7
6.000%, 08/25/2036		215		196



Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
Alternative Loan Trust, Ser 2006-24CB, Cl A16
5.750%, 06/25/2036	$	548	$	464
Alternative Loan Trust, Ser 2006-28CB, Cl A14
6.250%, 10/25/2036		379		314
Alternative Loan Trust, Ser 2006-9T1, Cl A1
5.750%, 05/25/2036		241		187
Alternative Loan Trust, Ser 2006-J1, Cl 1A13
5.500%, 02/25/2036		319		271
Banc of America Commercial Mortgage Trust, Ser 2007-4, Cl A1A
5.774%, 02/10/2051 (E)		1,540		1,575
Banc of America Commercial Mortgage Trust, Ser 2007-5, Cl AM
5.772%, 02/10/2051 (E)		262		269
Bear Stearns Commercial Mortgage Securities Trust, Ser 2006-PW13, Cl AJ
5.611%, 09/11/2041 (E)		161		161
Bellemeade Re II, Ser 2016-1A, Cl M2B
7.025%, 04/25/2026 (C)(E)		487		488
Bellemeade Re, Ser 2015-1A, Cl M1
3.025%, 07/25/2025 (C)(E)		195		193
BHMS Mortgage Trust, Ser 2014-ATLS, Cl AFX
3.600%, 07/05/2033 (C)		1,180		1,222
CGRBS Commercial Mortgage Trust, Ser 2013- VN05, Cl A
3.187%, 03/13/2035 (C)		915		971
Chase Mortgage Finance Trust Series, Ser 2007-S5, Cl 1A17
6.000%, 07/25/2037		180		150
CHL Mortgage Pass-Through Trust, Ser 2006- 10, Cl 1A8
6.000%, 05/25/2036		310		267
CHL Mortgage Pass-Through Trust, Ser 2006- 13, Cl 1A19
6.250%, 09/25/2036		154		133
CHL Mortgage Pass-Through Trust, Ser 2007- HYB2, Cl 3A1
2.971%, 02/25/2047 (E)		445		365
Citigroup Commercial Mortgage Trust, Ser 2012-GC8, Cl D
5.039%, 09/10/2045 (C)(E)		807		763
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl D
4.603%, 04/10/2046 (C)(E)		784		754
Citigroup Commercial Mortgage Trust, Ser 2015-GC27, Cl A5
3.137%, 02/10/2048		980		1,027
Citigroup Commercial Mortgage Trust, Ser 2016-C1, Cl A4
3.209%, 05/10/2049		1,099		1,158
COBALT Commercial Mortgage Trust, Ser 2007- C3, Cl A4
5.958%, 05/15/2046 (E)		459		468



Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
COMM Mortgage Trust, Ser 2015-CR25, Cl A4
3.759%, 08/10/2048	$	1,000	$	1,097
Commercial Mortgage Loan Trust, Ser 2008- LS1, Cl A1A
6.296%, 12/10/2049 (E)		1,563		1,618
Commercial Mortgage Pass-Through Certificates, Ser 2013-SFS, Cl A1
1.873%, 04/12/2035 (C)		331		331
Commercial Mortgage Pass-Through Certificates, Ser 2014-SAVA, Cl A
1.658%, 06/15/2034 (C)(E)		380		381
Commercial Mortgage Trust, Ser 2006-C8, Cl A1A
5.292%, 12/10/2046		109		109
Commercial Mortgage Trust, Ser 2007-GG9, Cl A4
5.444%, 03/10/2039		459		459
Commercial Mortgage Trust, Ser 2007-GG9, Cl AM
5.475%, 03/10/2039		613		618
Credit Suisse Commercial Mortgage Trust Series, Ser 2007-C2, Cl A3
5.542%, 01/15/2049 (E)		26		26
Credit Suisse Commercial Mortgage Trust Series, Ser 2007-C3, Cl AM
5.889%, 06/15/2039 (E)		581		585
CSAIL Commercial Mortgage Trust, Ser 2014- C3, Cl A4
3.691%, 08/15/2048		959		1,052
CSMC, Ser 2010-6R, Cl 3A2
5.875%, 01/26/2038 (C)		628		497
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2
2.059%, 04/10/2031 (E)		570		562
0.715%, 12/25/2036 (E)		666		418
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2013-DN2, Cl M2
4.775%, 11/25/2023 (E)		1,035		1,097
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN3, Cl M3
4.525%, 08/25/2024 (E)		1,165		1,219
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN4, Cl M3
5.074%, 10/25/2024 (E)		250		265
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-HQ3, Cl M3
5.275%, 10/25/2024 (E)		1,052		1,124
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA1, Cl M3
3.824%, 10/25/2027 (E)		280		290
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA2, Cl M2
3.125%, 12/25/2027 (E)		1,489		1,522



Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M3
5.224%, 04/25/2028 (E)	$	354	$	377
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA4, Cl M3
4.324%, 03/25/2029 (E)		363		365
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ1, Cl M2
2.724%, 03/25/2025 (E)		530		536
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA1, Cl M2
3.174%, 03/25/2028 (E)		1,290		1,320
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA2, Cl M3
5.324%, 05/25/2028 (E)		316		338
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA2, Cl M2
3.325%, 05/25/2028 (E)		476		491
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA1, Cl M3
5.975%, 07/25/2028 (E)		513		562
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA2, Cl M3
5.174%, 10/25/2028 (E)		396		416
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA3, Cl M3
5.525%, 12/25/2028 (E)		1,095		1,169
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-HQA1, Cl M3
6.874%, 09/25/2028 (E)		976		1,095
First Horizon Alternative Mortgage Securities Trust, Ser 2006-FA3, Cl A9
6.000%, 07/25/2036		336		275
FNMA Connecticut Avenue Securities, Ser 2014- C03, Cl 1M1
1.724%, 07/25/2024 (E)		175		176
FNMA Connecticut Avenue Securities, Ser 2014- C04, Cl 1M2
5.424%, 11/25/2024 (E)		678		734
FNMA Connecticut Avenue Securities, Ser 2014- C04, Cl 2M2
5.524%, 11/25/2024 (E)		255		273
FNMA Connecticut Avenue Securities, Ser 2015-C01, Cl 2M2
5.074%, 02/25/2025 (E)		1,321		1,377
FNMA Connecticut Avenue Securities, Ser 2015-C01, Cl 1M2
4.825%, 02/25/2025 (E)		530		556
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 2M2
4.524%, 05/25/2025 (E)		620		644



Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M2
4.524%, 05/25/2025 (E)	$	945	$	983
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M2
5.524%, 07/25/2025 (E)		1,021		1,089
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M1
2.024%, 07/25/2025 (E)		331		332
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 2M2
5.524%, 07/25/2025 (E)		1,129		1,216
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 1M2
5.894%, 04/25/2028 (E)		312		338
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 2M2
6.075%, 04/25/2028 (E)		980		1,056
FNMA Connecticut Avenue Securities, Ser 2016-C01, Cl 1M2
7.275%, 08/25/2028 (E)		978		1,109
FNMA Connecticut Avenue Securities, Ser 2016-C01, Cl 2M2
7.438%, 08/25/2028 (E)		731		829
FNMA Connecticut Avenue Securities, Ser 2016-C02, Cl 1M2
6.525%, 09/25/2028 (E)		814		899
FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 1M2
5.824%, 10/25/2028 (E)		178		192
FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 2M2
6.424%, 10/25/2028 (E)		1,025		1,120
FNMA Connecticut Avenue Securities, Ser 2016-C04, Cl 1M2
4.775%, 01/25/2029 (E)		261		267
FNMA Connecticut Avenue Securities, Ser 2016-C05, Cl 2M2
4.975%, 01/25/2029 (E)		357		370
GS Mortgage Securities II, Ser 2007-GG10, Cl A4
5.988%, 08/10/2045 (E)		756		767
GS Mortgage Securities II, Ser 2013-KING, Cl A
2.706%, 12/10/2027 (C)		785		802
GS Mortgage Securities Trust, Ser 2012-GC6, Cl D
5.847%, 01/10/2045 (C)(E)		716		713
GS Mortgage Securities Trust, Ser 2013-G1, Cl A2
3.557%, 04/10/2031 (C)(E)		1,426		1,473
GS Mortgage Securities Trust, Ser 2014-GC18, Cl D
5.107%, 01/10/2047 (C)(E)		955		811



Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
H/2 Asset Funding, Ser 2015-1A
2.102%, 06/24/2049	$	972	$	962
HomeBanc Mortgage Trust, Ser 2005-1, Cl A1
0.775%, 03/25/2035 (E)		280		235
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C32, Cl C
4.819%, 11/15/2048 (E)		849		808
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2004-LN2, Cl A1A
4.838%, 07/15/2041 (C)(E)		254		254
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP8, Cl AJ
5.480%, 05/15/2045 (E)		84		84
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP9, Cl AM
5.372%, 05/15/2047		548		549
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB19, Cl AM
5.882%, 02/12/2049 (E)		300		305
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LD12, Cl AM
6.209%, 02/15/2051 (E)		254		261
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDPX, Cl A3
5.420%, 01/15/2049		434		437
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDPX, Cl A1A
5.439%, 01/15/2049		1,645		1,660
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-INN, Cl A
1.444%, 06/15/2029 (C)(E)		1,145		1,140
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3
3.801%, 08/15/2048		889		975
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-SGP, Cl A
2.208%, 07/15/2036 (C)(E)		1,283		1,290
JPMorgan Mortgage Trust, Ser 2007-S3, Cl 1A8
6.000%, 08/25/2037		262		233
LB-UBS Commercial Mortgage Trust, Ser 2006- C6, Cl AJ
5.452%, 09/15/2039 (E)		462		430
LB-UBS Commercial Mortgage Trust, Ser C1, Cl AM
5.455%, 02/15/2040		395		398
LSTAR Commercial Mortgage Trust, Ser 2014-2, Cl A2
2.767%, 01/20/2041 (C)		561		563
LSTAR Commercial Mortgage Trust, Ser 2015-3, Cl A2
2.729%, 04/20/2048 (C)(E)		1,028		1,042



Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2
2.458%, 03/10/2049 (C)(E)	$	971	$	972
Merrill Lynch Mortgage Trust, Ser 2006-C2, Cl AJ
5.802%, 08/12/2043 (E)		39		39
ML-CFC Commercial Mortgage Trust, Ser 2007- 9, Cl A4
5.700%, 09/12/2049		1,066		1,099
Morgan Stanley Capital I Trust, Ser 2005-IQ9, Cl D
5.000%, 07/15/2056		545		553
Morgan Stanley Capital I Trust, Ser 2015-XLF2, Cl AFSA
2.458%, 08/15/2026 (C)(E)		270		269
Morgan Stanley Capital I Trust, Ser 2015-XLF2, Cl SNMA
2.458%, 11/15/2026 (C)(E)		270		271
RBSSP Resecuritization Trust, Ser 2009-7, Cl 10A3
6.000%, 08/26/2037 (C)		825		708
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A6
6.289%, 05/26/2037 (C)(E)		771		589
Resource Capital, Ser 2014-CRE2, Cl A
1.580%, 04/15/2032 (C)(E)		246		244
SG Commercial Mortgage Securities Trust, Ser 2016-C5, Cl A4
3.055%, 10/10/2048		644		664
Starwood Retail Property Trust, Ser 2014, Cl A
1.744%, 11/15/2027 (C)(E)		1,818		1,799
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A5
2.850%, 12/10/2045		596		621
UBS-Barclays Commercial Mortgage Trust, Ser 2014-C3, Cl A4
3.091%, 08/10/2049		297		314
UBS-Citigroup Commercial Mortgage Trust, Ser 2011-C1, Cl E
6.266%, 01/10/2045 (C)(E)		361		395
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl A1A
6.009%, 06/15/2045 (E)		65		65
Wells Fargo Commercial Mortgage Trust, Ser 2015-SG1, Cl C
4.620%, 12/15/2047 (E)		794		796
Wells Fargo Commercial Mortgage Trust, Ser 2015-SG1, Cl A4
3.789%, 12/15/2047		485		530
Wells Fargo Commercial Mortgage Trust, Ser 2016-NXS6, Cl C
4.452%, 11/15/2049		925		926



Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 2M2
6.025%, 11/25/2025 (C)(E)	$	163	$	163
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 1M2
5.775%, 11/25/2025 (C)(E)		613		614
Wells Fargo Mortgage Backed Securities Trust, Ser 2007-8, Cl 2A5
5.750%, 07/25/2037		187		185
WFRBS Commercial Mortgage Trust, Ser 2012-C9, Cl D
4.961%, 11/15/2045 (C)(E)		517		510
WFRBS Commercial Mortgage Trust, Ser 2013-C14, Cl A5
3.337%, 06/15/2046		856		911
WFRBS Commercial Mortgage Trust, Ser 2014-C20, Cl A2
3.036%, 05/15/2047		701		727


				75,736


Total Mortgage-Backed Securities (Cost $81,356) ($ Thousands)				82,798


ASSET-BACKED SECURITIES — 3.5%

Automotive — 1.7%
Ally Auto Receivables Trust, Ser 2015-2, Cl A3
1.490%, 11/15/2019		509		511
AmeriCredit Automobile Receivables Trust, Ser 2014-1, Cl A3
0.900%, 02/08/2019		137		137
ARI Fleet Lease Trust, Ser 2014-A, Cl A2
0.810%, 11/15/2022 (C)		67		67
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A
2.100%, 03/20/2019 (C)		435		436
Avis Budget Rental Car Funding AESOP, Ser 2013-2A, Cl A
2.970%, 02/20/2020 (C)		594		606
Avis Budget Rental Car Funding AESOP, Ser 2016-1A, Cl A
2.990%, 06/20/2022 (C)		646		663
Bank of The West Auto Trust, Ser 2015-1, Cl A3
1.310%, 10/15/2019 (C)		1,025		1,026
California Republic Auto Receivables Trust, Ser 2014-2, Cl A4
1.570%, 12/16/2019		907		910
California Republic Auto Receivables Trust, Ser 2015-2, Cl A3
1.310%, 08/15/2019		771		771



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl B
2.220%, 01/22/2019	$	200	$	201
Chrysler Capital Auto Receivables Trust, Ser 2016-AA, Cl A3
1.770%, 10/15/2020 (C)		1,380		1,385
CPS Auto Receivables Trust, Ser 2013-B, Cl A
1.820%, 09/15/2020 (C)		241		240
CPS Auto Receivables Trust, Ser 2014-B, Cl A
1.110%, 11/15/2018 (C)		119		118
Drive Auto Receivables Trust, Ser 2016-AA, Cl A2A
1.500%, 03/15/2018 (C)		15		15
Drive Auto Receivables Trust, Ser 2016-BA, Cl A2
1.380%, 08/15/2018 (C)		1,263		1,263
Enterprise Fleet Financing, Ser 2014-1, Cl A2
0.870%, 09/20/2019 (C)		65		65
Enterprise Fleet Financing, Ser 2015-1, Cl A2
1.300%, 09/20/2020 (C)		604		603
Exeter Automobile Receivables Trust, Ser 2016- 1A, Cl D
8.200%, 02/15/2023 (C)		440		471
First Investors Auto Owner Trust, Ser 2016-2A, Cl A1
1.530%, 11/16/2020 (C)		989		989
Flagship Credit Auto Trust, Ser 2016-2, Cl D
8.560%, 11/15/2023 (C)		545		580
Ford Credit Auto Owner Trust, Ser 2012-D, Cl B
1.010%, 05/15/2018		240		240
Ford Credit Auto Owner Trust, Ser 2014-2, Cl A
2.310%, 04/15/2026 (C)		816		836
Harley-Davidson Motorcycle Trust, Ser 2014-1, Cl A3
1.100%, 09/15/2019		320		320
Harley-Davidson Motorcycle Trust, Ser 2015-2, Cl A3
1.300%, 03/16/2020		1,025		1,026
Hertz Fleet Lease Funding, Ser 2013-3, Cl A
1.068%, 12/10/2027 (C)(E)		299		299
Hertz Vehicle Financing II, Ser 2015-2A, Cl A
2.020%, 09/25/2019 (C)		700		699
Hertz Vehicle Financing, Ser 2013-1A, Cl B2
2.480%, 08/25/2019 (C)		579		568
Hertz Vehicle Financing, Ser 2016-1A, Cl A
2.320%, 03/25/2020 (C)		524		527
Hyundai Auto Lease Securitization Trust, Ser 2015-A, Cl A2
1.000%, 10/16/2017 (C)		124		124
Mercedes Benz Auto Lease Trust, Ser 2015-B, Cl A3
1.340%, 07/16/2018		495		496



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Porsche Innovative Lease Owner Trust, Ser 2015-1, Cl A4
1.430%, 05/21/2021 (C)	$	1,021	$	1,024
Santander Drive Auto Receivables Trust, Ser 2013-2, Cl E
2.980%, 04/15/2020 (C)		1,095		1,109
Santander Drive Auto Receivables Trust, Ser 2015-3, Cl A2A
1.020%, 09/17/2018		78		78
Santander Drive Auto Receivables Trust, Ser 2015-4, Cl A2A
1.200%, 12/17/2018		133		133
TCF Auto Receivables Owner Trust, Ser 2015-1A, Cl A2
1.020%, 08/15/2018 (C)		129		129
Westlake Automobile Receivables Trust, Ser 2015-3A, Cl A2A
1.420%, 05/17/2021 (C)		251		251

				18,916


Credit Cards — 0.4%
Cabela’s Credit Card Master Note Trust, Ser 2014-1, Cl A
0.874%, 03/16/2020 (E)		500		500
First National Master Note Trust, Ser 2013-2, Cl A
1.054%, 10/15/2019 (E)		794		794
Synchrony Credit Card Master Note Trust, Ser 2012-2, Cl A
2.220%, 01/15/2022		1,389		1,413
Synchrony Credit Card Master Note Trust, Ser 2016-1, Cl A
2.040%, 03/15/2022		401		406
World Financial Network Credit Card Master Trust, Ser 2013-A, Cl A
1.610%, 12/15/2021		385		387
World Financial Network Credit Card Master Trust, Ser 2015-A, Cl A
1.004%, 02/15/2022 (E)		571		572

				4,072


Other Asset-Backed Securities — 1.4%
Ally Master Owner Trust, Ser 2014-1, Cl A2
1.290%, 01/15/2019		1,405		1,405
Ally Master Owner Trust, Ser 2015-3, Cl A
1.630%, 05/15/2020		1,079		1,083
BMW Floorplan Master Owner Trust, Ser 2015-1A, Cl A
1.008%, 07/15/2020 (C)(E)		1,565		1,566
Citi Held for Asset Issuance, Ser 2016-PM1, Cl A
4.650%, 04/15/2025 (C)		482		490
CNH Equipment Trust, Ser 2015-A, Cl A4
1.850%, 04/15/2021		673		681



Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Dell Equipment Finance Trust, Ser 2015-1, Cl A3
1.300%, 03/23/2020 (C)	$	333	$	333
Dell Equipment Finance Trust, Ser 2015-2, Cl A2A
1.420%, 12/22/2017 (C)		375		375
Ford Credit Floorplan Master Owner Trust, Ser 2014-1, Cl A1
1.200%, 02/15/2019		999		999
Ford Credit Floorplan Master Owner Trust, Ser 2015-2, Cl A2
1.078%, 01/15/2022 (E)		954		955
GMF Floorplan Owner Revolving Trust, Ser 2015-1, Cl A1
1.650%, 05/15/2020 (C)		496		493
GMF Floorplan Owner Revolving Trust, Ser 2016-1, Cl A1
1.960%, 05/17/2021 (C)		986		993
Marlette Funding Trust, Ser 2016-1A, Cl A
3.060%, 01/17/2023 (C)		494		494
Navistar Financial Dealer Note Master Trust, Ser 2014-1, Cl A
1.274%, 10/25/2019 (C)(E)		768		768
SoFi Consumer Loan Program, Ser 2016-2A, Cl A
3.090%, 10/27/2025 (C)		713		716
Taco Bell Funding, Ser 2016-1A, Cl A2I
3.832%, 05/25/2046 (C)		810		823
Volkswagen Credit Auto Master Trust, Ser 2014-1A, Cl A1
0.862%, 07/22/2019 (C)(E)		500		499
Volvo Financial Equipment, Ser 2015-1A, Cl A3
1.510%, 06/17/2019 (C)		986		988
Wells Fargo Dealer Floorplan Master Note Trust, Ser 2014-1, Cl A
0.892%, 07/20/2019 (E)		579		578
Wells Fargo Dealer Floorplan Master Note Trust, Ser 2015-1, Cl A
1.012%, 01/20/2020 (E)		856		856

				15,095


Total Asset-Backed Securities (Cost $37,870) ($ Thousands)				38,083


SOVEREIGN DEBT — 3.2%
Brazil Notas do Tesouro Nacional, Ser F
10.000%, 01/01/2017	BRL	6,145		1,873
10.000%, 01/01/2027		9,305		2,592
Japan Treasury Discount Bill
(0.081)%, 10/24/2016 (B)(G)	JPY	2,920,000		28,837
Mexico Government International Bond MTN
5.950%, 03/19/2019	$	164		182



Description	Face Amount (Thousands)			Market Value ($ Thousands)


SOVEREIGN DEBT (continued)
Qatar Government International Bond
2.375%, 06/02/2021 (E)	$	1,027		$	1,035


Total Sovereign Debt (Cost $33,097) ($ Thousands)					34,519


Total Investments — 119.3% (Cost $1,249,777) ($ Thousands)				$	1,288,531


		Shares


COMMON STOCK SOLD SHORT— (13.5)%

Consumer Discretionary — (7.3)%
1-800-Flowers.com, Cl A *		(48,500	)	$	(445	)
Amazon.com, Cl A *		(180	)		(151	)
America’s Car-Mart *		(13,400	)		(488	)
Arctic Cat		(36,200	)		(561	)
Ascena Retail Group *		(528,400	)		(2,954	)
Ascent Capital Group, Cl A *		(25,800	)		(598	)
Beazer Homes USA, Cl A *		(191,400	)		(2,232	)
Belmond, Cl A *		(13,100	)		(166	)
Boot Barn Holdings *		(9,100	)		(104	)
BorgWarner		(113,200	)		(3,982	)
Bridgepoint Education *		(14,800	)		(102	)
CarMax *		(65,500	)		(3,494	)
Cherokee *		(7,100	)		(73	)
Chipotle Mexican Grill, Cl A *		(10,174	)		(4,309	)
ClubCorp Holdings		(33,400	)		(483	)
CROCS *		(219,600	)		(1,823	)
Del Frisco’s Restaurant Group *		(16,300	)		(220	)
Delphi Automotive		(4,500	)		(321	)
Destination XL Group *		(15,500	)		(67	)
Dollar Tree *		(16,900	)		(1,334	)
EW Scripps, Cl A *		(76,500	)		(1,216	)
Federal-Mogul Holdings, Cl A *		(9,200	)		(89	)
Fiesta Restaurant Group *		(54,700	)		(1,313	)
Fox Factory Holding *		(29,900	)		(687	)
Fred’s, Cl A		(46,300	)		(419	)
Gentherm *		(24,100	)		(757	)
G-III Apparel Group *		(43,500	)		(1,268	)
Global Eagle Entertainment *		(30,000	)		(249	)
Gray Television *		(45,600	)		(472	)
Groupon, Cl A *		(222,500	)		(1,146	)
H&R Block		(20,600	)		(477	)
Hanesbrands		(136,400	)		(3,444	)
Harley-Davidson, Cl A		(124,200	)		(6,532	)
Harman International Industries, Cl A		(5,300	)		(447	)
Houghton Mifflin Harcourt *		(83,700	)		(1,122	)
Kate Spade *		(102,000	)		(1,747	)
Kona Grill *		(22,700	)		(285	)
La Quinta Holdings *		(17,400	)		(195	)
Liberty Global, Cl A *		(38,000	)		(1,299	)
Liberty Global LiLAC *		(19,907	)		(549	)
Liberty Media – Interactive, Cl A *		(38,000	)		(760	)



Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
Liberty Ventures, Ser A *		(147,300	)	$	(5,873	)
Malibu Boats, Cl A *		(12,700	)		(189	)
Media General *		(61,500	)		(1,134	)
MGM Mirage *		(2,500	)		(65	)
Modine Manufacturing *		(6,300	)		(75	)
Monro Muffler		(10,000	)		(612	)
Motorcar Parts of America *		(42,500	)		(1,223	)
Nautilus *		(15,000	)		(341	)
NetFlix *		(67,700	)		(6,672	)
New Home *		(15,900	)		(170	)
Norwegian Cruise Line Holdings *		(6,900	)		(260	)
Penn National Gaming *		(130,600	)		(1,772	)
Ruby Tuesday *		(195,700	)		(489	)
Signet Jewelers		(16,200	)		(1,207	)
Skechers U.S.A., Cl A *		(40,700	)		(932	)
Sotheby’s		(41,000	)		(1,559	)
Taylor Morrison Home, Cl A *		(45,900	)		(808	)
Time		(239,300	)		(3,465	)
TripAdvisor *		(46,100	)		(2,912	)
Tuesday Morning *		(55,300	)		(331	)
Vince Holding *		(25,600	)		(145	)
William Lyon Homes, Cl A *		(26,700	)		(495	)
ZAGG *		(22,200	)		(180	)


					(79,289	)


Financials — (0.5)%
Genworth Financial, Cl A *		(42,200	)		(209	)
Greenlight Capital Re, Cl A *		(27,300	)		(558	)
Home BancShares		(26,600	)		(554	)
Moody’s		(7,500	)		(812	)
OneMain Holdings, Cl A *		(6,500	)		(201	)
PHH *		(115,000	)		(1,662	)
Safeguard Scientifics *		(6,700	)		(87	)
TFS Financial		(55,400	)		(986	)
Yadkin Financial		(19,400	)		(510	)


					(5,579	)


Industrials — (1.3)%
Acacia Research		(57,545	)		(375	)
Aerovironment *		(8,400	)		(205	)
Builders FirstSource *		(149,100	)		(1,716	)
CDI		(19,900	)		(113	)
Celadon Group		(12,300	)		(107	)
Chart Industries *		(46,400	)		(1,523	)
DXP Enterprises *		(25,300	)		(713	)
Engility Holdings *		(12,000	)		(378	)
Kirby *		(3,900	)		(242	)
KLX *		(13,400	)		(472	)
Kratos Defense & Security Solutions *		(12,000	)		(83	)
LB Foster, Cl A		(13,500	)		(162	)
LMI Aerospace *		(5,200	)		(37	)
MRC Global *		(131,300	)		(2,158	)



Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
NN, Cl A		(8,000	)	$	(146	)
Northwest Pipe *		(7,500	)		(89	)
NOW *		(112,700	)		(2,415	)
Sparton *		(4,900	)		(128	)
SPX *		(14,300	)		(288	)
SPX FLOW *		(3,500	)		(108	)
Team *		(1,900	)		(62	)
Triumph Group		(64,300	)		(1,793	)
Twin Disc		(3,400	)		(41	)
Wesco Aircraft Holdings *		(46,000	)		(618	)
YRC Worldwide *		(30,400	)		(375	)


					(14,347	)


Information Technology — (2.4)%
Apple		(13,800	)		(1,560	)
Applied Micro Circuits *		(105,500	)		(733	)
Applied Optoelectronics *		(8,100	)		(180	)
Bel Fuse, Cl B		(3,900	)		(94	)
Black Box		(20,900	)		(291	)
Cabot Microelectronics		(1,500	)		(79	)
Calix *		(35,800	)		(263	)
Cavium *		(15,500	)		(902	)
CUI Global *		(11,700	)		(68	)
Cypress Semiconductor		(466,200	)		(5,669	)
Electro Scientific Industries *		(23,300	)		(132	)
Exar *		(7,100	)		(66	)
Harmonic, Cl A *		(98,200	)		(582	)
Immersion *		(58,600	)		(478	)
Infinera *		(551,500	)		(4,980	)
Lattice Semiconductor *		(318,100	)		(2,065	)
MACOM Technology Solutions Holdings *		(12,800	)		(542	)
PDF Solutions *		(3,900	)		(71	)
Sonus Networks *		(33,800	)		(263	)
Synaptics *		(1,800	)		(105	)
Veeco Instruments *		(38,000	)		(746	)
VeriFone Holdings *		(154,100	)		(2,425	)
Viasat *		(17,800	)		(1,329	)
Zebra Technologies, Cl A *		(27,800	)		(1,935	)


					(25,558	)


Materials — (1.9)%
Balchem		(2,900	)		(225	)
Century Aluminum *		(485,200	)		(3,372	)
CF Industries Holdings		(102,000	)		(2,484	)
Compass Minerals International, Cl A		(21,100	)		(1,555	)
Deltic Timber		(2,500	)		(169	)
Freeport-McMoRan, Cl B		(564,100	)		(6,126	)
KapStone Paper and Packaging		(28,300	)		(536	)
LSB Industries *		(160,680	)		(1,378	)
Olin		(33,300	)		(683	)
Real Industry *		(18,700	)		(114	)
Rentech *		(10,900	)		(32	)



Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
TimkenSteel		(147,800	)	$	(1,545	)
WestRock		(45,600	)		(2,211	)


					(20,430	)


Real Estate — (0.1)%
Forestar Group *		(51,800	)		(607	)
Kennedy-Wilson Holdings		(6,000	)		(135	)


					(742	)


Total Common Stock Sold Short (Proceeds $145,564) ($ Thousands)				$	(145,945	)

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:



Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)

Euro-Bobl		(118)		Dec-2016		$(30)
MSCI EAFE Index E-MINI		(177)		Dec-2016		(29)
S&P 500 Index E-MINI		(149)		Dec-2016		(64)
U.S. 10-Year Treasury Note		(217)		Dec-2016		(153)
U.S. 5-Year Treasury Note		9		Dec-2016		–
U.S. Ultra Long Treasury Bond		15		Dec-2016		(26)
Brent Crude Penultimate **		396		Jan-2017		1,014
Coffee**		(10)		Dec-2016		(24)
Coffee Robusta**		56		Nov-2016		10
Corn**		692		Dec-2016		211
Corn**		(58)		Dec-2017		(2)
Cotton No. 2**		80		Mar-2017		70
Cotton No. 2**		101		Dec-2016		7
Crude Oil**		(83)		Dec-2017		(21)
Crude Oil**		338		Nov-2017		1,432
Feeder Cattle**		(79)		Oct-2016		487
Feeder Cattle**		(18)		Nov-2016		45
Gold**		157		Dec-2016		(431)
Heating Oil**		141		Nov-2016		705
Heating Oil**		35		Jan-2017		185
ICE Brent Crude**		142		Dec-2017		57
Lean Hogs**		165		Dec-2016		(443)
Live Cattle**		185		Dec-2016		(417)
LME Copper**		209		Dec-2016		224
LME Nickel**		(82)		Dec-2016		(1,005)
LME Nickel**		243		Nov-2016		55
LME Primary Aluminum **		198		Nov-2016		93
LME Zinc**		(44)		Dec-2016		(624)
LME Zinc**		203		Nov-2016		498
Natural Gas**		392		Nov-2016		343
Natural Gas**		355		Jan-2017		(104)
RBOB Gasoline**		162		Nov-2016		999
SGX Iron Ore **		(801)		Nov-2016		(20)
Silver**		107		Dec-2016		(451)
Soybean**		44		Nov-2017		14
Soybean**		285		Nov-2016		(928)
Soybean Meal**		195		Dec-2016		(2,031)


Type of Contract	Number of Contracts Long (Short)		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Soybean Oil**		293		Dec-2016		$63
Sugar No. 11**		723		Mar-2017		2,297
Sugar No. 11**		(331)		May-2017		(1,588)
Wheat**		405		Dec-2016		(712)
Wheat**		(137)		Mar-2017		235
Wheat**		86		Dec-2016		(93)

						$(152)

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
10/04/16	USD		1,346	BRL		4,304		$(23)
11/03/16	BRL		3,982	USD		1,217		4
10/04/16-01/04/17	BRL		14,738	USD		3,929		(549)
10/06/16	USD		1,225	EUR		1,098		9
10/06/16	USD		4,082	TWD		128,738		29
10/06/16-10/06/16	EUR		6,550	USD		7,284		(78)
10/06/16	TWD		128,002	USD		4,041		(46)
10/21/16	USD		2,818	JPY		282,400		(27)
10/21/16-10/27/16	JPY		3,197,666	USD		30,377		(1,240)
10/28/16	AUD		466	USD		359		3
11/10/16	CAD		9,733	USD		7,581		172
11/16/16	GBP		148	USD		192		—
11/22/16	USD		3,943	MXN		77,205		23
12/14/16	SGD		7,524	USD		5,525		3
12/15/16	USD		2,455	INR		166,251		14

								$(1,706)

A list of the open OTC swap agreements held by the Fund at September 30, 2016 is as follows:

A list of the open centrally cleared swap agreements held by the Fund at September 30, 2016 is as follows:

AUD — Australian Dollar

BBR — Australian Bank Bill Rate

BKBM — Bank Bill Reference Rate

BRL — Brazilian Real

CAD — Canadian Dollar

Cl — Class

CMBX — A series of indices designed to reflect the creditworthiness of commercial mortgage-backed securities.

CMO — Collateralized Mortgage Obligation

EAFE — Europe, Australasia and Far East

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

GNMA — Government National Mortgage Association

INR — Indian Rupee

IO — Interest Only — face amount represents notional amount.

JPY — Japanese Yen

LIBOR — London Interbank Offered Rate

MSCI —Morgan Stanley Capital International

MTN — Medium Term Note

MXN — Mexican Peso

NIBOR — Norwegian Interbank Offered Rate

NOK — Norwegian Krone

NZD — New Zealand Dollar

OTC — Over the Counter

PLC — Public Limited Company

S&P— Standard & Poor’s

Ser — Series

SGD — Singapore Dollar

SPX — Standard & Poor’s 500 Index

TWD — Taiwanese Dollar

USD — United States Dollar

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	–	$	731,614	$	–	$	731,614
Common Stock		292,998		–		–		292,998
Corporate Obligations		–		108,519		–		108,519
Mortgage-Backed Securities		–		82,798		–		82,798
Asset-Backed Securities		–		38,083		–		38,083
Sovereign Debt		–		34,519		–		34,519

Total Investments in Securities	$	292,998	$	995,533	$	–	$	1,288,531


Securities Sold Short		Level 1		Level 2		Level 3		Total
Common Stock	$	(145,945)	$	—	$	—	$	(145,945)

Total Securities Sold Short	$	(145,945)	$	—	$	—	$	(145,945)


Other Financial Instruments		Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	9,044	$	—	$	—	$	9,044
Unrealized Depreciation		(9,196)		—		—		(9,196)
Forwards Contracts *
Unrealized Appreciation		—		257		—		257
Unrealized Depreciation		—		(1,963)		—		(1,963)
OTC Swaps
Interest Rate Swaps *
Unrealized Depreciation		—		(678)		—		(678)
Credit Default Swaps *
Unrealized Appreciation		—		27		—		27
Unrealized Depreciation		—		(210)		—		(210)
Centrally Cleared Swaps
Interest Rate Swaps *
Unrealized Appreciation		—		2,118		—		2,118
Unrealized Depreciation		—		(3,568)		—		(3,568)
Reverse Repurchase Agreements**		—		(244,323)		—		(244,323)

Total Other Financial Instruments	$	(152)	$	(248,340)	$	—	$	(248,492)

* Futures contracts, forward contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument.

** See Note 2 for more information on the reverse repurchase agreements.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.



Description	Face Amount (Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS — 12.0%
U.S. Treasury Inflation Protected Securities
3.875%, 04/15/2029	$	1,589	$	2,289
3.625%, 04/15/2028		227		313
3.375%, 04/15/2032		540		793
2.500%, 01/15/2029		1,496		1,899
2.375%, 01/15/2025		2,638		3,144
2.375%, 01/15/2027		1,548		1,899
2.125%, 01/15/2019		1,401		1,492
2.125%, 02/15/2041		1,040		1,397
2.000%, 01/15/2026		1,922		2,258
1.875%, 07/15/2019		1,592		1,710
1.750%, 01/15/2028		1,546		1,809
1.625%, 01/15/2018		1,481		1,527
1.375%, 07/15/2018		1,503		1,567
1.375%, 01/15/2020		1,932		2,052
1.375%, 02/15/2044		2,044		2,425
1.250%, 07/15/2020		5,797		6,194
1.125%, 01/15/2021		3,395		3,613
1.000%, 02/15/2046		662		721
0.750%, 02/15/2042		1,832		1,887
0.750%, 02/15/2045		2,378		2,451
0.625%, 01/15/2024		2,807		2,945
0.625%, 01/15/2026		275		285
0.625%, 02/15/2043		844		846
0.375%, 07/15/2023		6,187		6,411
0.375%, 07/15/2025		4,013		4,144
0.250%, 01/15/2025		4,018		4,093
0.125%, 04/15/2018		3,218		3,253
0.125%, 04/15/2020		4,954		5,051
0.125%, 04/15/2021		2,937		2,999
0.125%, 01/15/2022 (A)		3,977		4,059
0.125%, 07/15/2022		121		124
0.125%, 01/15/2023		4,123		4,188
0.125%, 07/15/2024		4,009		4,067
0.125%, 07/15/2026		1,382		1,398


Total U.S. Treasury Obligations (Cost $82,538) ($ Thousands)				85,303



Description	Face Amount (Thousands)			Market Value ($ Thousands)
U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.3%
FHLMC
1.375%, 05/01/2020	$	16,120		$	16,295
FNMA
5.000%, 05/11/2017		13,860			14,234


Total U.S. Government Agency Obligations (Cost $30,295) ($ Thousands)					30,529


	Shares
PREFERRED STOCK — 0.8%
United States — 0.8%
Apartment Investment & Management ^‡		51,000			1,433
Hersha Hospitality Trust ^‡		49,075			1,276
Pebblebrook Hotel Trust ^‡		54,050			1,400
Sabra Health Care ^‡		43,875			1,162


Total Preferred Stock (Cost $4,950) ($ Thousands)					5,271


EXCHANGE TRADED FUND — 0.4%
United States — 0.4%
iShares MSCI Emerging Markets ETF		73,650			2,758


Total Exchange Traded Fund (Cost $2,513) ($ Thousands)					2,758


Total Investments — 17.5% (Cost $120,296) ($ Thousands)				$	123,861


	Contracts
PURCHASED OPTIONS(B) — 0.0%
iShares MSCI Emerging Markets ETF, Expires 10/22/2016,
Strike Price $38.50*		762		$	21
November 2016, MXN Call, USD Put, Expires 11/19/2016,
Strike Price $19.13*		3,200,000			44


Total Purchased Options (Cost $53) ($ Thousands)					65


WRITTEN OPTIONS(B) — 0.0%
December 2016, CNH Put, USD Call, Expires 12/17/2016
Strike Price $6.92*		(6,870,000	)		(11	)
December 2016, CNH Put, USD Call, Expires 12/17/2016
Strike Price $6.92*		(6,930,000	)		(11	)
December 2016, EUR Call, TRY Put, Expires 12/17/2016
Strike Price $0.27*		(17,131,000	)		(16	)



Description	Contracts			Market Value ($ Thousands)

WRITTEN OPTIONS(B) (continued)
December 2016, TRY Put, EUR Call, Expires 12/17/2016
Strike Price $3.70*		(2,500,000	)	$	(9	)
iShares MSCI Emerging Markets ETF, Expires 10/22/2016
Strike Price $35.50*		(762	)		(14	)
November 2016, MXN Put, USD Call, Expires 11/19/2016
Strike Price $21.05*		(3,200,000	)		(10	)


Total Written Options
(Premiums Received ($272)) ($ Thousands)				$	(71	)

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Canadian 10-Year Bond		169		Dec-2016		$10
H-shares Index		22		Oct-2016		(13)
Long Gilt 10-Year Bond		102		Dec-2016		(125)
MSCI EAFE Index E-MINI		449		Dec-2016		281
S&P 500 Index E-MINI		431		Dec-2016		(298)
S&P TSX 60 Index		32		Dec-2016		5
U.S. 10-Year Treasury Note		301		Dec-2016		(23)
U.S. 2-Year Treasury Note		193		Dec-2016		30
U.S. 5-Year Treasury Note		239		Dec-2016		1
U.S. Ultra Long Treasury Bond		28		Dec-2016		(38)

						$(170)

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
11/03/16-12/15/16	USD		4,113	BRL		13,856		$75
12/02/16	USD		347	BRL		1,136		(4)
11/09/16-01/17/17	USD		1,617	MXN		31,952		21
11/16/16-12/15/16	USD		4,718	MXN		87,998		(208)
11/16/16-12/15/16	MXN		59,608	USD		3,151		91
11/09/16	MXN		32,156	USD		1,614		(40)
11/16/16	USD		1,584	COP		4,746,210		50
11/16/16	USD		1,763	CZK		42,357		3
11/16/16-12/15/16	TRY		3,387	USD		1,124		9
11/16/16	USD		1,750	MYR		7,241		2
11/16/16	USD		1,760	MYR		7,275		—
11/16/16-05/10/21	GBP		2,818	USD		3,746		81
12/15/16	GBP		817	USD		1,061		(2)
11/16/16-12/15/16	USD		3,354	AUD		4,422		26
12/15/16	USD		352	AUD		460		(1)


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
11/16/16-12/15/16	USD		2,434	INR		164,556		$18
12/15/16	USD		3,733	INR		251,092		(4)
11/16/16-01/17/17	USD		4,460	KRW		4,961,518		44
12/15/16-12/15/16	USD		1,814	KRW		1,981,642		(15)
12/15/16-12/15/16	USD		4,350	NZD		6,097		69
11/16/16-01/17/17	USD		1,962	NZD		2,685		(16)
11/16/16-01/17/17	AUD		7,199	USD		5,450		(49)
11/16/16-01/17/17	USD		4,795	TWD		149,688		20
12/15/16	USD		2,832	TWD		87,791		(9)
11/16/16-01/17/17	NZD		7,519	USD		5,472		22
12/15/16	NZD		1,215	USD		879		(1)
11/16/16-11/16/16	USD		2,814	JPY		286,150		18
12/15/16-01/17/17	USD		6,302	JPY		630,985		(47)
12/15/16-12/15/16	CAD		7,885	USD		6,082		78
11/16/16-12/15/16	CAD		4,957	USD		3,761		(12)
11/16/16-12/15/16	RUB		62,076	USD		938		(31)
11/16/16-12/15/16	TWD		100,248	USD		3,166		(55)
12/15/16	INR		1,943	USD		29		—
11/16/16	INR		117,381	USD		1,751		—
11/16/16-01/17/17	JPY		392,386	USD		3,919		32
12/15/16-12/15/16	JPY		524,749	USD		5,126		(75)
11/16/16-01/17/17	KRW		2,207,977	USD		2,005		1
12/15/16-12/15/16	KRW		4,735,183	USD		4,231		(68)
12/02/16	BRL		4,033	USD		1,228		10
12/15/16	BRL		1,175	USD		350		(4)
12/07/16	TRY		1,821	EUR		535		5
12/09/16	TRY		1,200	EUR		340		(11)
12/15/16	USD		1,011	ZAR		14,333		16
12/15/16	USD		2,084	CLP		1,418,448		56
12/15/16	USD		2,126	TRY		6,372		(35)
12/15/16-12/15/16	USD		3,006	RUB		197,142		62
12/15/16-12/15/16	USD		3,169	PEN		10,734		(42)
12/15/16	USD		3,557	EUR		3,129		(28)
12/15/16	PEN		3,631	USD		1,059		1
12/15/16	PLN		4,091	USD		1,056		(12)
12/15/16	USD		4,117	HUF		1,125,298		(21)
12/15/16	USD		4,365	PLN		16,666		(15)
12/15/16	USD		5,046	NOK		41,148		105
12/15/16	USD		1,887	GBP		1,463		16
12/15/16-12/15/16	USD		3,509	GBP		2,682		(20)
01/17/17	CHF		4,126	EUR		3,801		7
12/15/16	CHF		1,691	EUR		1,549		(7)
12/15/16-01/17/17	EUR		5,983	CHF		6,523		17
12/15/16	USD		7,693	SEK		64,239		(163)
12/15/16	USD		1,045	CAD		1,377		3
12/15/16-01/17/17	USD		8,627	CAD		11,202		(96)
12/15/16	CHF		10,099	USD		10,496		26
12/15/16-01/17/17	USD		7,421	CHF		7,173		28
12/15/16-12/15/16	USD		2,829	CHF		2,697		(32)
12/15/16	NOK		12,191	USD		1,480		(47)
12/15/16	EUR		9,386	USD		10,615		30
12/15/16	EUR		3,160	USD		3,541		(23)

A list of the open centrally cleared swap agreements held by the Fund at September 30, 2016 is as follows:

Percentages are based on Net Assets of $709,681 ($ Thousands).

*	Non-income producing security.

^‡	Real Estate Investment Trust.

(A)	Security, or portion thereof, has been pledged as collateral on open options contracts.

(B)	For the year ended September 30, 2016, the total amount of open purchased options and written options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the period.

AUD — Australian Dollar

BBSW — Bank Bill Swap Reference Rate

BRL — Brazilian Real

CAD — Canadian Dollar

CHF — Swiss Franc

CLP — Chilean Peso

CNH — Chinese Offshore Yuan

COP — Colombian Peso

CZK — Czech Koruna

EAFE — Europe, Australasia and Far East

ETF — Exchange Traded Fund

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

HUF — Hungarian Forint

INR — Indian Rupee

JPY — Japanese Yen

KRW — Korean Won

MSCI —Morgan Stanley Capital International

MXN — Mexican Peso

MYR — Malaysian Ringgit

NOK — Norwegian Krone

NZD — New Zealand Dollar

PEN — Peruvian Nuevo Sol

PLN — Polish Zloty

RUB — Russian Ruble

S&P— Standard & Poor’s

SEK — Swedish Krona

TRY — Turkish Lira

TSX — Toronto Stock Exchange

TWD — Taiwan Dollar

USD — United States Dollar

ZAR — South African Rand

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	–	$	85,303	$	–	$	85,303
U.S. Government Agency Obligations		–		30,529		–		30,529
Preferred Stock		–		5,271		–		5,271
Exchange Traded Fund		2,758		–		–		2,758

Total Investments in Securities	$	2,758	$	121,103	$	–	$	123,861


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Purchased Options	$	65	$	—	$	—	$	65
Written Options		(71)		—		—		(71)
Futures Contracts *
Unrealized Appreciation		327		—		—		327
Unrealized Depreciation		(497)		—		—		(497)
Forwards Contracts *
Unrealized Appreciation		—		1,123		—		1,123
Unrealized Depreciation		—		(1,350)		—		(1,350)
Centrally Cleared Swaps
Credit Default Swaps *
Unrealized Appreciation		—		14		—		14
Unrealized Depreciation		—		(21)		—		(21)
Interest Rate Swaps *
Unrealized Appreciation		—		265		—		265
Unrealized Depreciation		—		(4)		—		(4)

Total Other Financial Instruments	$	(176)	$	27	$	—	$	(149)

* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

Sector Weightings (Unaudited)^†:

LOGO

^†Percentages are based on total investments.



Description	Face Amount (Thousands)		Market Value ($ Thousands)
COMMERCIAL PAPER (A) — 83.8%
Banks — 28.6%
Australia & New Zealand Banking Group
0.450%, 10/24/2016 (B)	$	1,500	$	1,499
Bank of Nova Scotia
0.550%, 11/02/2016 (B)		1,500		1,499
DNB Bank
0.651%, 11/14/2016 (B)		605		605
0.480%, 10/03/2016 (B)		1,000		1,000
Nordea Bank
0.561%, 11/23/2016 (B)		1,454		1,453
Skandinaviska Enskilda Banken
0.601%, 10/26/2016 (B)		1,414		1,413
Svenska Handelsbanken
33.428%, 10/13/2016 (B)		1,274		1,274
0.500%, 10/18/2016 (B)		470		470
Toronto-Dominion Holdings USA
0.630%, 10/06/2016 (B)		1,250		1,250
Westpac Banking
0.852%, 12/13/2016 (B)		1,500		1,498


				11,961

Financial — 3.6%
Novartis Finance
0.450%, 11/08/2016 (B)		1,500		1,499

Industrial & Other Commercial Paper — 51.6%
American Honda Finance
0.601%, 11/07/2016		1,608		1,607
BASF
0.500%, 10/12/2016 (B)		834		834
BMW US Capital
0.430%, 10/20/2016 (B)		557		557
Exxon Mobil
0.400%, 10/19/2016		1,500		1,500
Illinois Tool Works
0.380%, 10/05/2016 (B)		1,821		1,821
Microsoft
0.400%, 10/25/2016 (B)		1,500		1,499
Nestle Finance International
0.591%, 12/05/2012		1,500		1,499
PepsiCo
0.370%, 10/07/2016 (B)		1,500		1,500
Pfizer
0.480%, 10/03/2016 (B)		1,615		1,615
Roche Holdings
0.430%, 10/04/2016 (B)		1,544		1,544



Description	Face Amount (Thousands)		Market Value ($ Thousands)
COMMERCIAL PAPER (continued)
Sanofi
0.430%, 10/14/2016 (B)	$	1,632	$	1,632
Toyota Motor Credit
0.611%, 10/31/2016		1,829		1,828
Unilever Capital
0.420%, 10/11/2016 (B)		1,494		1,494
United Parcel Service
0.400%, 10/04/2016 (B)		1,000		1,000
Wal-Mart Stores
0.400%, 10/12/2016 (B)		1,125		1,125
0.310%, 10/11/2016 (B)		504		504


				21,559


Total Commercial Paper (Cost $35,017) ($ Thousands)				35,019


U.S. GOVERNMENT AGENCY OBLIGATIONS (A) — 8.8%
FHLB
0.260%, 11/18/2016		1,666		1,665
FHLMC
0.160%, 10/06/2016		2,000		2,000


Total U.S. Government Agency Obligations (Cost $3,665) ($ Thousands)				3,665


	Shares
EXCHANGE TRADED FUND — 4.7%
iShares iBoxx USD High Yield Corporate Bond ETF		22,609		1,973


Total Exchange Traded Fund (Cost $1,955) ($ Thousands)				1,973


Total Investments — 97.3% (Cost $40,637) ($ Thousands)			$	40,657

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:


Type of Contract	Number of Contracts Long (Short)		Expiration Date	Unrealized Appreciation (Depreciation) ($ Thousands)
MSCI EAFE Index E-MINI		95	Dec-2016		$(95)
MSCI Emerging Markets E-MINI		(153)	Dec-2016		112
NASDAQ 100 Index E-MINI		76	Dec-2016		68
S&P Mid Cap 400 Index E-MINI		57	Dec-2016		(163)
U.S. Dollar Index		(43)	Dec-2016		8
U.S. Long Treasury Bond		7	Dec-2016		(6)

					$(76)

Percentages are based on Net Assets of $41,794 ($ Thousands).

(A)	The rate reported is the effective yield at the time of purchase.

(B)	The rate reported is the effective yield at time of purchase.

(C)

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On September 30, 2016, the value of these securities amounted to $28,585 ($ Thousands), representing 68.4% of the Net Assets of the Fund.

EAFE — Europe, Australasia and Far East

ETF — Exchange Traded Fund

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

MSCI — Morgan Stanley Capital International

NASDAQ — National Association of Securities Dealers and Automated Quotations

S&P — Standard & Poor’s

USD — U.S. Dollar

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):



Investments in Securities	Level 1		Level 2		Level 3		Total
Commercial Paper	$	–	$	35,019	$	–	$	35,019
U.S. Government Agency Obligations		–		3,665		–		3,665
Exchange Traded Fund		1,973		–		–		1,973

Total Investments in Securities	$	1,973	$	38,684	$	–	$	40,657


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	188	$	—	$	—	$	188
Unrealized Depreciation		(264)		—		—		(264)

Total Other Financial Instruments	$	(76)	$	—	$	—	$	(76)

* Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.

STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIES ($ Thousands)

STATEMENTS OF ASSETS AND LIABILITIES/CONSOLIDATED STATEMENT OF ASSETS AND LIABILITIESs ($ Thousands)

^† Includes realized losses of $(24,125) ($ Thousands) due to in-kind transactions (See Note 13).

STATEMENTS OF OPERATIONS/CONSOLIDATED STATEMENTS OF OPERATIONS ($ Thousands)

^† Includes realized losses of $(24,125) ($ Thousands) due to in-kind transactions (See Note 13).

STATEMENTS OF CHANGES IN NET ASSETS/CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS ($ Thousands)

1. ORGANIZATION

SEI Institutional Managed Trust (the “Trust”) is organized as a Massachusetts business trust under a Declaration of Trust dated October 20, 1986.

The Trust is registered under the Investment Company Act of 1940, as amended, as an open-end investment company with 29 funds: Large Cap, Large Cap Value, Large Cap Growth, Tax-Managed Large Cap, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Tax-Managed Small/Mid Cap, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Tax-Managed Managed Volatility, Tax-Managed International Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond, Conservative Income, Tax-Free Conservative Income, Real Return, Dynamic Asset Allocation, Multi-Strategy Alternative, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed, Multi-Asset Capital Stability and Long/Short Alternative (each a “Fund,” collectively the “Funds”) each of which are diversified Funds, with the exception of the Real Estate, Multi-Asset Accumulation, Multi-Asset Inflation Managed and Long/Short Alternative Funds.

The Accumulation Commodity Strategy Subsidiary, Ltd. and Inflation Commodity Strategy Subsidiary, Ltd. are both wholly-owned subsidiaries of the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds, respectively, (each a “Subsidiary”, collectively the “Subsidiaries”). Each Subsidiary is organized under the laws of the Cayman Islands as an exempt limited company. Information regarding the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds and their respective subsidiaries have been consolidated in the Consolidated Schedule of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets and Consolidated Statement of Cash Flows.

The Trust is registered to offer: Class A shares of the Funds and Class Y shares of the Funds; Class E shares of the S&P 500 Index Fund; Class I shares of the Large Cap, Large Cap Value, Large Cap Growth, S&P 500 Index, Small Cap, Small Cap Value, Small Cap Growth, Mid-Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond and Real Return Funds. The assets of each Fund are segregated, and a shareholder’s interest is limited to the Fund in which shares are held. The Funds’ prospectuses provide a description of each Fund’s investment objective and its principal strategies and risks.

As of September 30, 2016, the Tax-Managed International Managed Volatility Fund has not yet commenced operations.

Class T closed on December 30, 2014. Class Y commenced operations on December 31, 2014 in the following Funds: Large Cap, Tax-Managed Large Cap, Small Cap, Tax-Managed Small/Mid Cap, U.S. Managed Volatility, Global Managed Volatility, Real Estate, Enhanced Income, U.S. Fixed Income, High Yield Bond, Real Return, Multi-Asset Accumulation, Multi-Asset Income, Multi-Asset Inflation Managed and Multi-Asset Capital Stability Funds. Class Y commenced operations on April 30, 2015 in the Tax-Managed Managed Volatility, Multi-Strategy Alternative and Long/Short Alternative Funds. Class Y commenced operations on June 30, 2015 in the Core Fixed Income Fund. Class Y commenced operations on October 30, 2015 in the following Funds: Large Cap Value, Large Cap Growth, S&P 500 Index, Small Cap Value, Small Cap Growth and Mid-Cap Funds.

The Conservative Income Fund and Tax-Free Conservative Income Fund each commenced operations on April 22, 2016.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently followed by the Funds. The Funds are investment companies in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Therefore, the Funds follow the accounting and reporting guidelines for investment companies.

Use of Estimates — The preparation of financial statements, in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation — Securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (other than securities traded on National Association of Securities Dealers Automated Quotations (NASDAQ) or as otherwise noted below) at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. The Funds value securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or collateralized debt obligations (including collateralized

loan obligations), such as those held by the Funds, are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations or other methodologies designed to identify the market value for such securities. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable net asset value, with the exception of ETFs, which are priced as equity securities. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above, the Funds will value the securities using a bid price from at least one independent broker. If such prices are not readily available or cannot be valued using the methodologies described above, the Funds will value the security using the Funds’ Fair Value Pricing Policies and Procedures (“Fair Value Procedures”), as described below.

On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Funds’ Fair Value Procedures until a price from an independent source can be secured. Securities held by a Fund with remaining maturities of 60 days or less may be valued by the amortized cost method, which involves valuing a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price a Fund would receive if it sold the instrument. Further, the value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer-specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used.

Options are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price.

Futures and swaps cleared through a central clearing house (“centrally cleared swaps”) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time a Fund calculates its NAV, the settlement price may not be available at the time at which the Fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a Fund’s futures or centrally cleared swaps position.

Foreign currency forward contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety and one-hundred eighty day forward rates provided by an independent source.

Prices for most securities held by a Fund are provided daily by third party independent pricing agents. SEI Investments Management Corporation (“SIMC”) or a Sub-Adviser (“Sub-Adviser”), as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service’s prices will be reliable. SIMC or a Sub-Adviser, as applicable, will continuously monitor the reliability of prices obtained from any pricing service and shall promptly notify the Funds’ administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds’ administrator, in turn, will notify the Fair Value Pricing Committee (the “Committee”) if it receives such notification from SIMC or a Sub-Adviser, as applicable, or if the Funds’ administrator reasonably believes that a particular pricing service is no longer a reliable source for prices.

The Funds’ Fair Value Procedures provide that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board of Trustees (“Board”) or its designated sub-committee. However, when the change would not materially affect valuation of a Fund’s net assets or involve a material departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, approval may be obtained at the next regularly scheduled meeting of the Board.

Securities for which market prices are not readily available, for which market prices are determined to be unreliable, or which cannot be valued using the methodologies described above are valued in accordance with the Fair Value Procedures established by the Board. The Funds’ Fair Value Procedures are implemented through the Committee designated by the Board. The Committee is currently composed of

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

two members of the Board, as well as representatives from SIMC and its affiliates. Some of the more common reasons that may necessitate that a security be valued using Fair Value Procedures include: (i) the security’s trading has been halted or suspended, (ii) the security has been delisted from a national exchange, (iii) the security’s primary trading market is temporarily closed at a time when under normal conditions it would be open, or (iv) the security’s primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. Examples of factors the Committee may consider include: (i) the facts giving rise to the need to fair value, (ii) the last trade price, (iii) the performance of the market or the issuer’s industry, (iv) the liquidity of the security, (v) the size of the holding in a Fund, or (vi) any other appropriate information.

The determination of a security’s fair value price often involves the consideration of a number of subjective factors, and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.

For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its Net Asset Value (“NAV”). The closing prices of such securities may no longer reflect their market value at the time a Fund calculates NAV if an event that could materially affect the value of those securities (a “Significant Event”), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates NAV. A Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares.

A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or a Sub-Adviser becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Funds calculate NAV, it may request that a Committee meeting be called. In addition, the Funds use several processes, with respect to certain securities to

monitor the pricing data supplied by various sources, including price comparisons and price movements. Any identified discrepancies are researched and subject to the procedures described above.

The Global Managed Volatility Fund also uses a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by the Fund based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, the Global Managed Volatility Fund will value the non-U.S. securities in its portfolio that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.

In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 1 — quoted prices in active markets for identical investments

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)

The unobservable inputs used to determine fair value of reoccurring Level 3 assets may have similar or diverging impacts on valuation. Significant increases and decreases in these inputs in isolation and interrelationships between those inputs could result in significantly higher or lower fair value measurement.

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

Amortization and accretion is calculated using the scientific interest method, which is not materially different from the effective interest method. Amortization of premiums and discounts is included in interest income.

For Treasury Inflation-Protected Securities, the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to interest in the accompanying Statements of Operations. Such adjustments may have a significant impact on a Fund’s distributions.

Repurchase Agreements —Securities pledged as collateral for repurchase agreements are held by each Fund’s custodian bank until the repurchase date of the repurchase agreement. The Funds may also invest in tri-party repurchase agreements. Securities held as collateral for tri-party repurchase agreements are maintained by the broker’s custodian bank in a segregated account until the repurchase date of the repurchase agreement. Provisions of the repurchase agreements and the Trust’s policies require that the market value of the collateral, including accrued interest thereon, is sufficient in the event of default by the counterparty. If the counterparty defaults and the value of the collateral declines, or if the counterparty enters into an insolvency proceeding, realization of the collateral by the Funds may be delayed or limited.

Reverse Repurchase Agreements —To the extent consistent with its Investment Objective and Strategies, a Fund may issue reverse repurchase agreements. A reverse repurchase agreement involves the sale of portfolio assets together with an agreement to repurchase the same assets later at a fixed price. The segregated assets may consist of cash, U.S. Government securities, or other liquid securities at least equal in value to the obligations under the reverse repurchase agreements. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds under the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the obligation to repurchase the securities. Reverse repurchase agreements outstanding as of September 30, 2016 were as follows:



MULTI-ASSET INFLATION MANAGED FUND

Principal Amount ($ Thousands)		Counterparty		Value ($ Thousands)

	$(46,669)	Chase Securities	0.41%	$(46,669)
	(35,194)	Chase Securities	0.57%	(35,194)
	(35,110)	Chase Securities	0.59%	(35,110)



MULTI-ASSET INFLATION MANAGED FUND

Principal Amount ($ Thousands)		Counterparty		Value ($ Thousands)

	$(31,200)	Chase Securities	0.41%	$(31,200)
	(21,576)	Chase Securities	0.41%	(21,576)
	(11,258)	Chase Securities	0.41%	(11,258)
	(10,802)	Chase Securities	0.41%	(10,802)
	(10,363)	Merrill Lynch	1.50%	(10,363)
	(10,105)	Merrill Lynch	1.50%	(10,105)
	(9,113)	Chase Securities	0.41%	(9,113)
	(6,776)	Merrill Lynch	1.50%	(6,776)
	(4,755)	Merrill Lynch	1.50%	(4,755)
	(4,150)	Chase Securities	0.46%	(4,150)
	(4,139)	Chase Securities	0.57%	(4,139)
	(3,113)	Chase Securities	0.46%	(3,113)

				$(244,323)

Classes — Class-specific expenses are borne by that class of shares. Income, realized and unrealized gains/ losses and non class-specific expenses are allocated to the respective class on the basis of relative daily net assets.

Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Funds are prorated to the Funds on the basis of relative daily net assets.

Commodity-Linked Investments — To the extent consistent with its Investment Objective and Strategies, the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund may invest in commodity investments to provide exposure to the investment returns of the commodities markets. Commodity investments include notes with interest payments that are tied to an underlying commodity or commodity index, ETFs or other exchange-traded products that are tied to the performance of a commodity or commodity index or other types of investment vehicles or instruments that provide returns that are tied to commodities or commodity indices. The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may also invest in equity securities of issuers in commodity-related industries.

The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may also seek to gain exposure to the commodity markets, in whole or in part, through investments in a wholly owned Subsidiary. The Subsidiary, unlike the Fund, may invest to a significant extent directly in commodities and in equity-linked securities and commodity-linked derivative instruments, including options, futures contracts, swaps, options on futures contracts and commodity-linked structured notes. The Subsidiary may also invest in other instruments in which the Fund is permitted to invest, either as investments or to serve as margin or collateral for its derivative positions. A Fund may invest up to 25% of its total assets in its Subsidiary.

In order for a Fund to qualify as a regulated investment company under Subchapter M of the Code, the Fund must derive at least 90% of its gross income each taxable year from qualifying income. The status of certain commodity-linked derivative instruments as qualifying income has been addressed in Revenue Ruling 2006-1 and Revenue Ruling 2006-31 which provide that income from certain commodity-linked derivative instruments in which the Fund invests will not be considered qualifying income. To the extent the Multi-Asset Accumulation and the Multi-Asset Inflation Managed Funds invest in such instruments directly, each Fund will seek to restrict its income from commodity-linked derivative instruments that do not generate qualifying income, such as commodity-linked swaps, to a maximum of 10% of its gross income (when combined with its other investments that produce non-qualifying income).

Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars on the following basis:

(I) market value of investment securities, assets and liabilities at the current rate of exchange; and

(II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.

The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.

The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.

Forward Foreign Currency Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may enter into forward foreign currency contracts as hedges against either specific transactions, fund positions or anticipated fund positions. A Fund may also engage in currency transactions to enhance that Fund’s returns. All commitments are “marked-to-market” daily at the applicable foreign exchange rate, and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the period are

recognized as ordinary income or loss for Federal income tax purposes.

The Funds could be exposed to risk if the counterparties to the contracts are unable to meet the terms of the contract and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open forward foreign currency contracts as of September 30, 2016, if applicable.

Futures Contracts — To the extent consistent with its Investment Objective and Strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. In addition, fixed income funds will utilize futures contracts to help manage duration and yield curve exposure. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked to market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, the futures contract involves the risk that the Fund could lose more than the original margin deposit required to initiate a futures transaction.

Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities or Consolidated Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open futures contracts as of September 30, 2016 if applicable.

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

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

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 in interest income in the Statement 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.

Master Limited Partnerships — Investments in units of master limited partnerships (“MLPs”) involve risks that differ from an investment in common stock. Holders of the units of master limited partnerships have more limited control and limited rights to vote on matters affecting the partnership. There are also certain tax risks associated with an investment in units of master limited partnerships. In addition, conflicts of interest may exist between common unit holders, subordinated unit holders and the general partner of a master limited partnership, including a conflict arising as a result of incentive distribution payments. The benefit a Fund derives from investment in MLP units is largely dependent on the MLPs being treated as partnerships and not as corporations for federal income tax purposes. If an MLP were classified as a corporation for federal income tax purposes, there would be reduction in the after-tax return to a Fund of distributions from the MLP, likely causing a reduction in the value of a Fund’s shares. MLP entities are typically focused in the energy, natural resources and real estate sectors of the economy. A downturn in the energy, natural resources or real estate sectors of the economy could have an adverse impact on a Fund. At times, the performance of securities of companies in the energy, natural resources and real estate sectors of the economy may lag the performance of other sectors or the broader market as a whole.

Options/Swaptions Writing/Purchasing —To the extent consistent with its Investment Objective and Strategies, a Fund may invest in financial options/swaptions contracts for the purpose of hedging its existing fund securities or to enhance the Fund’s returns. When a Fund writes or purchases an option/swaption, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option/swaption written or purchased. Premiums received or paid from writing or purchasing options/swaptions which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on effecting a closing purchase or sale transaction,

including brokerage commissions, is also treated as a realized gain or loss. If an option/swaption is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss on investment transactions.

The risk in writing a call option/swaption is that the Funds give up the opportunity for profit if the market price of the security increases. The risk in writing a put option/swaption is that the Funds may incur a loss if the market price of the security decreases and the option/swaption is exercised. The risk in purchasing an option/swaption is that the Funds pay a premium whether or not the option/swaption is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option/swaption contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.

Finally, the risk exists that losses on written options could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open option/swaption contracts as of September 30, 2016, if applicable.

Securities Sold Short —To the extent consistent with its Investment Objective and Strategies, a Fund may engage in short sales. Short sales are transactions under which a Fund sells a security it does not own. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. A Fund then is obligated to replace the security borrowed by purchasing the security at the market price at the time of the replacement. The price at such time may be more or less than the price at which the security was sold by a Fund. Until the security is replaced, a Fund is required to pay the lender amounts equal to any dividends or interest that accrue during the period of the loan. Dividends and interest are shown as an expense for financial reporting purposes. To borrow the security, a Fund also may be required to pay a premium, which would decrease proceeds of the security sold. The proceeds of the short sale are retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which a Fund sold the security short, or a loss, unlimited in size, will be recognized upon the close of a short sale.

Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding securities sold short as of September 30, 2016, if applicable.

Swap Agreements — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in swap contracts as an efficient means to synthetically obtain exposure to securities or baskets of securities and to manage a Fund’s interest rate duration and yield curve exposure. Swap contracts may also be used to mitigate a Fund’s overall level of risk and/or a Fund’s risk to particular types of securities, currencies or market segments. Interest rate swaps may further be used to manage a Fund’s yield spread sensitivity. A Fund may buy credit default swaps in an attempt to manage credit risk where a Fund has credit exposure to an issuer, and a Fund may sell credit default swaps to more efficiently gain credit exposure to a security or basket of securities. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit-default swaps involve periodic payments by a Fund or counterparty based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the recovery rate used to settle the contracts. The recovery rate is a function of how many credit default swap investors wish to deliver the security or receive the security. The recovery rate is determined through an auction process. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR or some other form of indices

on the notional amount. Payments received or made are recorded as realized gains or loss. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. Interest rate swap contracts outstanding at year end, if any, are listed after a Fund’s portfolio. In connection with swap agreements securities may be set aside as collateral by a Fund’s custodian.

Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as an unrealized gain or loss in the Statement of Operations or Consolidated Statement of Operations. Centrally cleared swaps are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for centrally cleared swaps are provided by an independent source. Net payments of interest are recorded as realized gains or losses. Daily changes in valuation of Centrally Cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Statement of Assets and Liabilities or Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements.

This risk is mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty. See Note 3 for further details. Refer to each Fund’s Schedule of Investments, Summary Schedule of Investments or Consolidated Schedule of Investments for details regarding open swap agreements as of September 30, 2016, if applicable.

Delayed Delivery Transactions — To the extent consistent with its Investment Objective and Strategies, a Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Fund will set aside liquid assets in

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

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 its net asset value. The Fund may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When the Fund has sold a security on delayed delivery basis, the Fund does not participate in future gains and losses with respect to the security.

Collateralized Debt Obligations — To the extent consistent with its Investment Objective and Strategies, a Fund may invest in collateralized debt obligations (“CDOs”), which include collateralized loan obligations (“CLOs”) and other similarly structured securities. CLOs are a type of asset-backed securities. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. CDOs may charge management fees and administrative expenses.

For CDOs, the cash flows from the trust are split into two or more portions, called tranches, varying in risk and yield. The riskiest portion is the “equity” tranche which bears the bulk of defaults from the bonds or loans in the trust and serves to protect the other, more senior tranches from default in all but the most severe circumstances. Since it is partially protected from defaults, a senior tranche from a CDO trust typically has a higher rating and lower yield than its underlying securities, and can be rated investment grade. Despite the protection from the equity tranche, CDO tranches can experience substantial losses due to actual defaults, increased sensitivity to defaults due to collateral default and disappearance of protecting tranches, market anticipation of defaults, as well as aversion to CDO securities as a class.

The risks of an investment in a CDO depend largely on its Class and its collateral securities. Normally, CLOs and other CDOs are privately offered and sold, and thus, are not registered under the securities laws. As a result, investments in CDOs may be characterized by the Funds as illiquid securities; however, an active dealer market may exist for CDOs, allowing a CDO to qualify for Rule 144A transactions. In addition to the normal risks associated with fixed income securities (e.g., interest rate risk and default risk), CDOs carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the quality of the collateral may decline in value or default; (iii) the Funds may invest in CDOs that are subordinate to other classes; and (iv) the complex structure of the security may not be fully understood at the time of investment and may produce disputes with the issuer or unexpected investment results.

Illiquid Securities — A security is considered illiquid if it cannot be sold or disposed of in the ordinary course of business within seven days or less for its approximate carrying value on the books of a Fund. Valuations of illiquid securities may differ significantly from the values that would have been used had an active market value for these securities existed.

Restricted Securities — At September 30, 2016, the following Funds owned private placement investments that were purchased through private offerings or acquired through initial public offerings and cannot be sold without prior registration under the Securities Act of 1933 or pursuant to an exemption therefrom. In addition, the Funds have generally agreed to further restrictions on the disposition of certain holdings as set forth in various agreements entered into in connection with the purchase of these investments. These investments are valued at fair value as determined in accordance with the procedures approved by the Board of Trustees. The acquisition dates of these investments, the enforceable right to acquire these securities, along with their cost and values at September 30, 2016, were as follows:

are declared and paid annually for the Global Managed Volatility, Tax-Managed International Managed Volatility, Multi-Strategy Alternative, Multi-Asset Accumulation, Multi-Asset Inflation Managed, Multi-Asset Capital Stability, Dynamic Asset Allocation and Long/Short Alternative Funds; are declared daily and paid monthly for the Core Fixed Income, U.S. Fixed Income, High Yield Bond, Conservative Income, Tax-Free Conservative Income, Multi-Asset Income and Multi-Asset Capital Stability Funds. Any net realized capital gains on sales of securities are distributed to shareholders at least annually. Dividends and distributions are recorded on the ex-dividend date.

Investments in Real Estate Investment Trust — With respect to the Real Estate Fund, dividend income is recorded based on the income included in distributions received from the Real Estate Investment Trust (“REIT”) investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of income, return of capital, and capital gains are only determined by each REIT after its fiscal year end, and may differ from the estimated amounts.

Investment in Subsidiary — Each of the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds may invest in its own Subsidiary. By investing in a Subsidiary, each Fund is indirectly exposed to the risks associated with such Subsidiary’s investments. The commodity-related instruments held by a Subsidiary are generally similar to those that are permitted to be held by the applicable Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. A Subsidiary, however, is not registered under the 1940 Act and will not be subject to all of the investor protections of the 1940 Act. Thus, the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds, as investors in their respective Subsidiary, will not have all of the protections offered to investors in registered investment companies.

However, each Fund wholly owns and controls its respective Subsidiary, and the Funds and the Subsidiaries are all managed by SIMC, making it unlikely that a Subsidiary will take action contrary to the interests of the applicable Fund or its shareholders. While a Subsidiary has its own Board of Directors (“Board”) that is responsible for overseeing the operations of such Subsidiary, the respective Fund’s Board has oversight responsibility for the investment activities of the Fund, including its investment in the respective Subsidiary, and the Fund’s role as the sole shareholder of such Subsidiary. It is not currently expected that shares of any

Subsidiary will be sold or offered to investors other than the respective Fund.

Changes in the laws of the United States and/or the Cayman Islands or governmental interpretation of such laws, under which the Funds and the Subsidiaries, respectively, are organized, could result in the inability of a Fund and/or its respective Subsidiary to operate as intended and could negatively affect the Funds and their shareholders. For example, Cayman Islands law does not currently impose any income, corporate or capital gains tax, estate duty, inheritance tax, gift tax or withholding tax on the Subsidiaries. If Cayman Islands law changes such that the Subsidiaries must pay Cayman Islands governmental authority taxes, Fund shareholders would likely suffer decreased investment return.

3. CREDIT DERIVATIVES

A Fund may use credit default swaps to reduce risk where a Fund has exposure to the issuer, or to take an active long or short position with respect to the likelihood of an event of default. The reference obligation of the swap can be a single issuer, a “basket” of issuers, or an index. The underlying referenced assets are corporate debt, sovereign debt and asset backed securities.

The buyer of a credit default swap is generally obligated to pay the seller a periodic stream of payments over the term of the contract in return for a contingent payment upon the occurrence of a credit event with respect to an underlying reference obligation. Generally, a credit event for corporate or sovereign reference obligations means bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down.

If a Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index.

If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

The credit spread disclosed above for each reference obligation where the Fund is the seller of protection is a representation of the current payment/performance risk of the swap.

The following tables include only Funds that had exposure to more than one type of risk on derivatives held throughout the year. For Funds that held derivatives throughout the year with only one type of risk exposure, additional information can be found on the Summary Schedule of Investments, Schedule of Investments or Consolidated Schedule of Investments and the Statement of Operations or Consolidated Statement of Operations.

The fair value of derivative instruments as of September 30, 2016 was as follows ($ Thousands):

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

The effect of derivative instruments on the Statements of Operations/Consolidated Statements of Operations for the year ended September 30, 2016.

Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

the counterparty and the type of Master Agreement. United States Treasury Securities and U.S. dollar cash are generally the preferred forms of collateral. Securities and cash pledged as collateral are reflected as assets on the Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as either a component of investments at value (securities) or deposits due from counterparties (cash). Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities as deposits due to counterparties. The market value of any securities received as collateral is not reflected as a component of net asset value. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement.

Customer Account Agreements and related addendums govern exchange traded derivatives transactions such as futures, options on futures, and centrally cleared swaps. Exchange traded derivative transactions require posting of initial margin as determined by each relevant clearing agency which is segregated at a broker account registered with the Commodities Futures Trading Commission (CFTC), or the applicable regulator. In the US, counterparty risk is reduced as placement due to the Fund assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk to the Funds. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives.

The following is a summary of the market value and variation margin of exchange-traded or centrally cleared financial derivative instruments of the Funds as of September 30, 2016 ($ Thousands):

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of September 30, 2016 ($ Thousands):

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

Securities with an aggregate market value of $0 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2016.

Written Options transactions entered into during the year ended September 30, 2016 are summarized as follows:



Core Fixed Income Fund	Number of Contracts	Premium ($ Thousands)

Balance at the beginning of year	1,132	$ 412
Written	4,959	1,686
Expired	(3,344)	(980)
Closing buys	(1,857)	(650)

Balance at the end of year	890	$ 468



U.S. Fixed Income Fund	Number of Contracts	Premium ($ Thousands)

Balance at the beginning of year	396	$ 142
Written	1,792	619
Expired	(1,153)	(341)
Closing buys	(685)	(236)

Balance at the end of year	350	$ 184



Multi-Strategy Alternative Fund	Number of Contracts	Premium ($ Thousands)

Balance at the beginning of year	–	$ –
Written	8,201	3,240
Exercised	(65)	(6)
Expired	(516)	(39)
Closing buys	(7,433)	(3,078)

Balance at the end of year	187	$ 117



Multi-Asset Income Fund	Number of Contracts	Premium ($ Thousands)

Balance at the beginning of year	2,815	$ 1,870
Written	4,476	16,998
Expired	(2,468)	(354)
Closing buys	(4,389)	(16,714)

Balance at the end of year	434	$ 1,800



Multi-Asset Capital Stability Fund	Number of Contracts	Premium ($ Thousands)

Balance at the beginning of year	1,929	$ 362
Written	89,147,486	902
Expired	(52,516,863)	(867)
Closing buys	(790)	(125)

Balance at the end of year	36,631,762	$ 272

Written Swaptions transactions entered into during the year ended September 30, 2016 are summarized as follows:



Core Fixed Income Fund	Notional Amount ($ Thousands)	Premium ($ Thousands)

Balance at the beginning of year	$ 13,905	$ 360
Closing buys	(13,905)	(360)

Balance at the end of year	$ –	$ –

At September 30, 2016 the Funds had cash and/or securities at least equal to the value of written options/ written swaptions.

5. BASIS FOR CONSOLIDATION FOR THE MULTI-ASSET ACCUMULATION FUND AND MULTI-ASSET INFLATION MANAGED FUND

The consolidated Schedules of Investments, Statements of Assets and Liabilities, Statements of Operations, Statements of Changes in Net Assets, Statement of Cash Flows, and the Financial Highlights of the Multi-Asset Accumulation Fund and Multi-Asset Inflation Managed Fund include the accounts of their respective Subsidiaries. All intercompany accounts and transactions have been eliminated in consolidation for the Funds. Each of the Subsidiaries has a fiscal year end of September 30th for financial statement consolidation purposes and a nonconforming tax year end of August 31.

The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“IRC”). Each Subsidiary’s taxable income is included in the calculation of the relevant Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Funds either in the current period or carried forward to future periods.

Gains and losses attributed to the Funds’ investments in

Subsidiaries are as follows:



	Accumulation Commodity Strategy, Ltd. ($ Thousands)		Inflation Commodity Strategy Subsidiary, Ltd. ($ Thousands)

Investment Income:
Investment Income	$	1,235	$	605
Net Realized Gain (Loss) on:
Investments		640		227
Futures Contracts		7,924		(1,420)
Swap Contracts		(6,165)		—
Purchased Options		—		(374)
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		794		48
Futures Contracts		2,313		5,972
Swap Contracts		764		—
Purchased Options		—		11

Total gains and losses attributed to the Funds’ investment in Subsidiaries	$	7,505	$	5,069

6. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS, INVESTMENT SUBADVISORY AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory, Administration and Distribution Agreements — SIMC serves as investment adviser (the “Adviser”) to each Fund. In connection with serving as Adviser, SIMC is entitled to a fee, which is calculated daily and paid monthly, based on the average daily net assets of each Fund.

SEI Investments Global Funds Services (the “Administrator”) provides administrative and transfer agency services to the Funds for annual fees, based on the average daily net assets of each Fund.

SEI Investments Distribution Co. “SIDCo.” is the Distributor of the shares of the Funds. The Funds have adopted a shareholder services plan and agreement (the “Service Plan”) with respect to Class A and Class I Shares that allows such shares to pay service providers a fee, based on average daily net assets of each respective Class of Shares, in connection with the

ongoing servicing of shareholder accounts owning such shares. The Funds have also adopted an administrative services plan and agreement (the “Administrative Service Plan”) with respect to Class I Shares that allows such Shares to pay service providers a fee, based on average daily net assets of the Class I Shares, in connection with ongoing administrative services for shareholder accounts owning such Shares.

The Service Plan and Administrative Service Plan provide that shareholder service fees and administrative service fees, respectively, on Class A and Class I Shares will be paid to SIDCo., which may then be used by SIDCo. to compensate financial intermediaries for providing shareholder services and administrative services, as applicable, with respect to the Shares.

The Adviser, Administrator and/or Distributor have voluntarily agreed to waive a portion of their fees in order to keep total direct operating expenses (exclusive of interest from borrowings, brokerage commissions, taxes, Trustee fees, proxy fees, prime broker fees, interest and dividend expenses related to short sales and extraordinary expenses not incurred in the ordinary course of the Funds’ business) at a specified level. The waivers by the Funds’ Adviser, Administrator and/ or Distributor are limited to the Funds’ direct operating expenses and, therefore, do not apply to indirect expenses incurred by the Funds, such as acquired fund fees and expenses. The waivers are voluntarily and the Funds’ Adviser, Administrator and/or Distributor may discontinue all or part of any of these waivers at any time. In addition, some Funds may participate in a commission recapture program where the Funds’ trades may be executed through the Funds’ distributor, and a portion of the commissions paid on those trades are then used to pay the Funds’ expenses.

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

The following is a summary of annual fees payable to the Adviser, Administrator and Distributor and the voluntary expense limitations for each fund:

* Voluntary expense limitations in effect as of June 10, 2016. Prior to June 10, 2016, the voluntary expense limitations were 0.91% for Class A and 0.66% for Class Y. Prior to May 3, 2016, the voluntary expense limitations were 0.81% for Class A and 0.56% for Class Y. Prior to December 31, 2016, the voluntary expense limitations were 0.61% for Class A and 0.36% for Class Y.

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

LSV Asset Management

Parametric Portfolio Associates LLC

Snow Capital Management, L.P.

S&P 500 Index Fund

SSgA Funds Management, Inc.

Small Cap Fund

AllianceBernstein, L.P.

AQR Capital Management, LLC

EAM Investors, LLC

Falcon Point Capital, LLC

Mesirow Financial Investment Management, Inc.

Parametric Portfolio Associates LLC

Robeco Investment Management, Inc.

Snow Capital Management L.P.

Small Cap Value Fund

AQR Capital Management, LLC

Cardinal Capital Management, L.L.C.

Mesirow Financial Investment Management, Inc.

LSV Asset Management

Parametric Portfolio Associates LLC

Robeco Investment Management, Inc.

Snow Capital Management, L.P.

Small Cap Growth Fund

AllianceBernstein, L.P.

Arrowpoint Asset Management, LLC

Axiom International Investors LLC

EAM Investors LLC

FalconPoint Capital, LLC

Parametric Portfolio Associates LLC

Tax-Managed Small/Mid Cap Fund

AllianceBernstein, L.P.

AQR Capital Management, LLC

Cardinal Capital Management, L.L.C.

Castle Ark Management, LLC

Mesirow Financial Investment Management, Inc.

Parametric Portfolio Associates LLC

Snow Capital Management L.P.

Mid-Cap Fund

Quantitative Management Associates LLC

U.S. Managed Volatility Fund

AJO, L.P.

Analytic Investors, LLC

LSV Asset Management

Global Managed Volatility Fund

Acadian Asset Management LLC

Analytic Investors, LLC

Tax-Managed Managed Volatility Fund

AJO, L.P.

Analytic Investors LLC

LSV Asset Management

Parametric Portfolio Associates LLC

Real Estate Fund

CenterSquare Investment Management Inc.

Security Capital Research and Management

Incorporated

Enhanced Income Fund

Ares Management LLC

Wellington Management Company, LLP

Core Fixed Income Fund

Jennison Associates LLC

Metropolitan West Asset Management LLC

Wells Capital Management Incorporated

Western Asset Management Company

Western Asset Management Company Limited

U.S. Fixed Income Fund

Jennison Associates LLC

Metropolitan West Asset Management LLC

Wells Capital Management Incorporated

Western Asset Management Company

Western Asset Management Company Limited

High Yield Bond Fund

Ares Management LLC

Benefit Street Partners, LLC

Brigade Capital Management, LLC

J.P. Morgan Investment Management, Inc.

Conservative Income Fund

BlackRock Advisors, LLC

Tax-Free Conservative Income Fund

BlackRock Advisors, LLC

Dynamic Asset Allocation Fund

SSgA Funds Management, Inc.

Multi-Strategy Alternative Fund

Acadian Asset Management LLC

Emso Partners Limited Management, LLC

Kettle Hill Capital Management LLC

Mountaineer Partners Management, LLC

Ramius Advisors, LLC

Multi-Asset Accumulation Fund

AQR Capital Management, LLC

PanAgora Asset Management Inc.

Multi-Asset Income Fund

Goldman Sachs Asset Management, LP

Guggenheim Partners Investment Management,

SSgA Funds Management Inc.

Multi-Asset Inflation Managed Fund

AllianceBernstein, L.P.

QS Investors, LLC

Multi-Asset Capital Stability Fund

AllianceBernstein, L.P.

Long/Short Alternative Fund

Beachhead Capital Management, LLC

Under the investment sub-advisory agreements, each

sub-adviser receives an annual fee paid by SIMC.

Other — The Distribution Agreement between the

Distributor and the Trust provides that the Distributor

may receive compensation on fund transactions

effected for the Trust in accordance with the rules

of the Securities and Exchange Commission (“SEC”).

Accordingly, it is expected that fund transactions may result in brokerage commissions being paid to the Distributor. SEC rules require that such commissions not exceed usual and customary commissions.

Such commissions for the year ended September 30, 2016 were as follows ($ Thousands):


Small Cap Value Fund	$	5
Real Estate Fund		14

	$	19

Payments to Affiliates — Certain officers and/or trustees of the Trust are also officers and/or Directors of the Administrator, Adviser and/or Distributor. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly, interim and committee meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Administrator or Distributor.

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred.

LSV Asset Management (a partially owned indirect subsidiary of SEI Investment Co.) serves as the sub-adviser to the Large Cap, Large Cap Value, Tax-Managed Large Cap, Small Cap Value, U.S. Managed Volatility and Tax-Managed Managed Volatility Funds. For this service LSV Asset Management is entitled to receive a fee from SIMC. Such fees for the year ended September 30, 2016 were as follows ($ Thousands):


Large Cap Fund	$	326
Large Cap Value Fund		298
Tax-Managed Large Cap Fund		481
Small Cap Value Fund		332
U.S. Managed Volatility Fund		1,413
Tax-Managed Managed Volatility Fund		1,117

	$	3,967

Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the Funds’ expenses. Accordingly, the expenses reduced, which were used to pay third party expenses, and the effect on the Funds’ expense ratio, as a percentage of the Funds’ average daily net assets for the year ended September 30, 2016, can be found on the Statements of Operations and Financial Highlights, respectively.

Investment in Affiliated Security — The Funds may invest in the SEI Daily Income Trust Government Fund, and prior to July 22, 2016, the SEI Daily Income Trust Prime Obligation Fund, which closed operations, each an affiliated money market fund to manage excess cash or to serve as margin or collateral for derivative positions. Additionally, the Funds may invest the cash

collateral from the securities lending program in the SEI Liquidity Fund, L.P.

The following is a summary of the transactions with affiliates for the year ended September 30, 2016 ($ Thousands):



SEI Liquidity Fund, L.P.	Value 9/30/15	Purchases at Cost	Proceeds from Sales	Value 9/30/16	Dividend Income

Large Cap Fund	$36,418	$2,374,202	$(2,149,069)	$261,551	$469
Large Cap Value Fund	33,726	347,707	(331,726)	49,707	244
Large Cap Growth Fund	5,199	136,426	(137,581)	4,044	36
Tax-Managed Large Cap Fund	41,280	575,675	(505,038)	111,917	926
S&P 500 Index Fund	1,328	32,900	(31,056)	3,172	30
Small Cap Fund	30,125	236,310	(214,083)	52,352	800
Small Cap Value Fund	16,899	336,325	(249,211)	104,013	454
Small Cap Growth Fund	25,078	180,213	(174,130)	31,161	854
Tax-Managed Small/ Mid Cap Fund	251,945	642,496	(713,733)	180,708	1,125
Mid-Cap Fund	—	95,197	(89,483)	5,714	19
Real Estate Fund	—	12,502	(11,478)	1,024	3
Core Fixed Income Fund	3,456	580,593	(570,029)	14,020	167
U.S. Fixed Income Fund	—	284,162	(283,533)	629	25
High Yield Fund	6	—	—	6	—



SDIT Prime Obligation Fund, Cl A	Value 9/30/15	Purchases at Cost	Proceeds from Sales	Value 9/30/16	Dividend Income

Large Cap Fund	$189,621	$327,256	$(516,877)	$—	$127
Large Cap Value Fund	71,835	232,456	(304,291)	—	67
Large Cap Growth Fund	78,356	330,288	(408,644)	—	76
Tax-Managed Large Cap Fund	188,812	573,037	(761,849)	—	206
S&P 500 Index Fund	9,086	119,057	(128,143)	—	14
Small Cap Fund	40,025	186,625	(226,650)	—	51
Small Cap Value Fund	14,504	168,261	(182,765)	—	26
Small Cap Growth Fund	20,247	86,822	(107,069)	—	20
Tax-Managed Small/ Mid Cap Fund	31,840	110,188	(142,028)	—	46
Mid-Cap Fund	4,774	52,830	(57,604)	—	6
U.S. Managed Volatility Fund	26,035	323,168	(349,203)	—	76
Global Managed Volatility Fund	108,089	512,658	(620,747)	—	155
Tax-Managed Managed Volatility Fund	27,260	325,141	(352,401)	—	61
Real Estate Fund	6,435	59,389	(65,824)	—	11
Enhanced Income Fund	5,674	13,457	(19,131)	—	8
Core Fixed Income Fund	85,704	880,438	(966,142)	—	98
U.S. Fixed Income Fund	55,864	726,692	(782,556)	—	81

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)



SDIT Prime Obligation Fund, Cl A	Value 9/30/15		Purchases at Cost		Proceeds from Sales		Value 9/30/16		Dividend Income

High Yield Fund		$60,505		$510,087		$(570,592)		$—	$96
Real Return Fund		227		29,118		(29,345)		—	3
Multi-Strategy Alternative Fund		22,920		582,431		(605,351)		—	139
Multi-Asset Accumulation Fund		765,254		1,169		(766,423)		—	1,218



SDIT Government Fund, Cl A	Value 9/30/15		Purchases at Cost		Proceeds from Sales		Value 9/30/16		Dividend Income

Large Cap Fund		$—		$279,580		$(130,465)		$149,115	$74
Large Cap Value Fund		—		141,610		(94,406)		47,204	23
Large Cap Growth Fund		—		189,183		(126,557)		62,626	30
Tax-Managed Large Cap Fund		—		339,429		(117,047)		222,382	108
S&P 500 Index Fund		—		43,339		(28,198)		15,141	8
Small Cap Fund		—		74,009		(38,234)		35,775	18
Small Cap Value Fund		—		49,002		(31,302)		17,700	10
Small Cap Growth Fund		—		42,174		(29,773)		12,401	8
Tax-Managed Small/Mid Cap Fund		—		75,674		(41,985)		33,689	19
Mid-Cap Fund		—		16,492		(14,303)		2,189	2
U.S. Managed Volatility Fund		—		165,229		(126,111)		39,118	21
Global Managed Volatility Fund		—		188,686		(105,215)		83,471	52
Tax-Managed Managed Volatility Fund		—		134,582		(100,510)		34,072	20
Real Estate Fund		—		25,519		(17,997)		7,522	3
Enhanced Income Fund		—		11,824		(6,703)		5,121	3
Core Fixed Income Fund		—		408,484		(352,068)		56,416	24
U.S. Fixed Income Fund		—		262,865		(234,120)		28,745	15
High Yield Fund		—		325,837		(274,763)		51,074	41
Conservative Income Fund		—		33,757		(33,706)		51	2
Real Return Fund		—		14,577		(9,121)		5,456	2
Multi-Strategy Alternative Fund		—		183,223		(88,891)		94,332	36



SEI Institutional Managed Trust Long/Short Alternative Fund	Purchases at Cost		Proceeds from Sales		Value 9/30/16		Change in Unrealized Depreciation		Dividend Income

Multi-Strategy Alternative Fund		$—		$—		$41,767		$(596)	$—

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (“the Program”) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the “SEI Funds”). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds.

Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (“Repo Rate”), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (“Bank Loan Rate”). The Bank Loan Rate will be determined using a formula annually reviewed by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate.

During the year ended September 30, 2016, the Trust borrowed funds from the SEI Liquid Asset Trust, Prime Obligation Fund. The amount borrowed, interest paid on the borrowing and the corresponding interest rate were as follows ($ Thousands):

Borrowing
Date

Maturity
Date

Amount
Borrowed

Interest
Paid

Interest
Rate

Mid-Cap Fund

01/21/16

01/22/16

6,750

$–

0.49%

Mid-Cap Fund

01/22/16

01/25/16

6,750

–

0.48

Amounts designated as “—” are $0 or have been rounded to $0.

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

(1) Includes redemptions as a result of affiliated and in-kind transactions (See Notes 6 and 13).

8. INVESTMENT TRANSACTIONS

The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the year ended September 30, 2016, were as follows:



	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)

Large Cap Fund
Purchases		$ —		$ 1,543,316		$ 1,543,316
Sales		—		1,934,947		1,934,947
Large Cap Value Fund
Purchases		—		891,363		891,363
Sales		—		950,822		950,822
Large Cap Growth Fund
Purchases		—		1,303,037		1,303,037
Sales		—		1,415,734		1,415,734
Tax-Managed Large Cap Fund
Purchases		—		3,048,883		3,048,883
Sales		—		2,915,961		2,915,961
S&P 500 Index Fund
Purchases		—		65,039		65,039
Sales		—		123,967		123,967
Small Cap Fund
Purchases		—		574,333		574,333
Sales		—		547,380		547,380
Small Cap Value Fund
Purchases		—		307,855		307,855
Sales		—		325,986		325,986
Small Cap Growth Fund
Purchases		—		369,615		369,615
Sales		—		393,835		393,835



	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)

Tax-Managed Small/Mid Cap Fund
Purchases		$ —		$ 684,211		$ 684,211
Sales		—		659,682		659,682
Mid-Cap Fund
Purchases		—		98,683		98,683
Sales		—		110,954		110,954
U.S. Managed Volatility Fund
Purchases		—		745,763		745,763
Sales		—		627,027		627,027
Global Managed Volatility Fund
Purchases		—		1,283,946		1,283,946
Sales		—		1,911,666⁽¹⁾		1,911,666
Tax-Managed Managed Volatility Fund
Purchases		—		522,657		522,657
Sales		—		329,658		329,658
Real Estate Fund
Purchases		—		167,801		167,801
Sales		—		195,340		195,340
Enhanced Income Fund
Purchases		43,050		42,704		85,754
Sales		51,120		40,155		91,275
Core Fixed Income Fund
Purchases		6,053,273		697,290		6,750,563
Sales		6,024,537		753,119		6,777,656
U.S. Fixed Income Fund
Purchases		4,208,382		685,238		4,893,620
Sales		4,173,095		657,581		4,830,676
High Yield Bond Fund
Purchases		—		972,560		972,560
Sales		—		822,196		822,196

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)



	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)

Conservative Income Fund
Purchases	$	—	$	—	$ —
Sales		—		—	—
Tax-Free Conservative Income Fund
Purchases		—		—	—
Sales		—		—	—
Real Return Fund
Purchases		136,512		—	136,512
Sales		113,302		—	113,302
Dynamic Asset Allocation Fund
Purchases		—		443,097	443,097
Sales		—		32,480	32,480
Multi-Strategy Alternative Fund
Purchases		5,205		692,225	697,430
Sales		4,691		730,087	734,778
Multi-Asset Accumulation Fund
Purchases		329,789		385,859	715,648
Sales		212,260		215,804	428,064
Multi-Asset Income Fund
Purchases		73,748		286,582	360,330
Sales		51,078		230,155	281,233
Multi-Asset Inflation Managed Fund
Purchases		290,496		490,275	780,771
Sales		272,766		500,645	773,411
Multi-Asset Capital Stability Fund
Purchases		302,617		34,308	336,925
Sales		255,403		38,582	293,985
Long/Short Alternative Fund
Purchases		—		1,415	1,415
Sales		—		1,438	1,438

(1) Includes 17a-7 related party transactions of $843,072 ($ Thousands).

9. FEDERAL TAX INFORMATION

It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of The Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for Federal income taxes is required.

The Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds have each requested private letter rulings from the Internal Revenue Service (“IRS”) concluding that the income generated from their investment in their respective Subsidiaries, each of which invests in commodity-linked derivatives, will be “qualifying income” for regulated investment company (“RIC”) qualification purposes, regardless of whether actual distributions are made to the Funds by the respective Subsidiary.

In July 2011, the IRS suspended the issuance of private letter rulings regarding the investment by RICs into controlled foreign corporations which principally invest in commodities, such as the Subsidiaries, indicating that it was reconsidering its policies surrounding the issuance of these rulings. The IRS subsequently stated that it intends to issue public guidance regarding

the use of controlled foreign corporations by RICs to indirectly invest in commodities. It is unclear whether this guidance will continue to permit or somehow restrict the distributions from controlled foreign corporations to be treated as “qualifying income” for purposes of the RIC qualification rules. As a result, there can be no assurance that the IRS will grant the private letter ruling requested by the Funds. The IRS, however, has informally indicated that any guidance regarding the treatment of distributions from controlled foreign corporations will be prospective in application and provide for transition periods for affected RICs. While the private letter ruling request is pending with the IRS, the Multi-Asset Accumulation and Multi-Asset Inflation Managed Funds have secured an opinion of counsel based on customary representations that actual distributions made to the Funds should be treated as “qualifying income.” If the IRS does issue public guidance that results in an adverse determination relating to the treatment of income and gain to the Funds from controlled foreign corporations such as the Subsidiaries, the Funds would likely need to significantly change their investment strategies, which could adversely affect such Funds.

The Real Estate Fund has a tax year that ends on December 31. The following tax disclosures are representative as of September 30, 2016, except for the permanent reclassification and tax character of distributions, which are as of December 31, 2015. Accordingly, the disclosures are for informational use by shareholders and are subject to change attributable to activity through the end of the tax year-ending December 31, 2016.

Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under U.S. GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital, undistributed net investment income or accumulated net realized gain, as appropriate, in the period that the differences arise.

Accordingly, the following permanent differences, primarily attributable to different treatment for gains and losses on paydowns of mortgage and asset-backed securities for tax purposes, defaulted bond basis adjustments, reclassification of long term capital gain distributions on REIT securities, reclassification of income and expense from swap transactions, Treasury Inflation-Protected Securities and net operating losses, basis adjustments for investments in partnerships, and gains and losses on passive foreign investment companies, collateralized loan

obligation basis adjustments, utilization of earnings and profits on shareholder redemptions, certain foreign currency related transactions, and non-taxable in-kind redemptions, have been reclassified to/from the following accounts as of September 30, 2016:



	Undistributed Net Investment Income (Loss) ($ Thousands)		Accumulated Realized Gain (Loss) ($ Thousands)		Paid-in- Capital ($ Thousands)

Large Cap Fund	$	393	$	(393)	$	—
Large Cap Value Fund		149		(149)		—
Large Cap Growth Fund		759		(759)		—
Tax-Managed Large Cap Fund		(149)		149		—
S&P 500 Index Fund		64		(2,629)		2,565
Small Cap Fund		311		(311)		—
Small Cap Value Fund		660		(660)		—
Small Cap Growth Fund		1,399		(41)		(1,358)
Tax-Managed Small/Mid Cap Fund		734		(734)		—
Mid-Cap Fund		(70)		70		—
U.S. Managed Volatility Fund		493		(493)		—



	Undistributed Net Investment Income (Loss) ($ Thousands)		Accumulated Realized Gain (Loss) ($ Thousands)		Paid-in- Capital ($ Thousands)

Global Managed Volatility Fund	$	3,185	$	20,997	$ (24,182)
Tax-Managed Managed Volatility Fund		236		(236)	—
Real Estate Fund		687		(687)	—
Enhanced Income Fund		229		3,106	(3,335)
Core Fixed Income Fund		(2,196)		2,196	—
U.S. Fixed Income Fund		1,013		(1,013)	—
High Yield Bond Fund		(139)		139	—
Real Return Fund		1,461		(4)	(1,457)
Dynamic Asset Allocation Fund		(3,946)		3,946	—
Multi-Strategy Alternative Fund		977		(977)	—
Multi-Asset Accumulation Fund		8,593		(8,593)	—
Multi-Asset Income Fund		(3,923)		3,923	—
Multi-Asset Inflation Managed Fund		1,306		(1,306)	—
Multi-Asset Capital Stability Fund		1,906		(1,906)	—
Long/Short Alternative Fund		314		—	(314)

These reclassifications have no impact on net assets or net asset value per share.

The tax character of dividends and distributions paid during the fiscal years or periods ended September 30, 2016 or September 30, 2015 (unless otherwise indicated) was as follows:

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

As of September 30, 2016, the components of Distributable Earnings/(Accumulated Losses) were as follows:

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains as follows:

Under the Regulated Investment Company Modernization Act of 2010, Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years are required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this ordering rule, pre-enactment capital loss carryforwards are more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. Losses carried forward under these new provisions are as follows:



	Short-Term Loss ($ Thousands)		Long-Term Loss ($ Thousands)		Total * ($ Thousands)

Large Cap Value Fund	$	3,230	$	–	$	3,230
Large Cap Growth Fund		61,171		–		61,171
Tax-Managed Large Cap Fund		20,401		–		20,401
Small Cap Fund		6,430		–		6,430
Small Cap Growth Fund		10,858		–		10,858
Tax-Managed Small/Mid Cap Fund		1,073		–		1,073
Enhanced Income Fund		60		3,647		3,707
High Yield Bond Fund		9,123		59,797		68,920
Real Return Fund		862		2,106		2,968
Dynamic Asset Allocation Fund		1,756		–		1,756
Multi-Strategy Alternative Fund		–		6,376		6,376
Multi-Asset Income Fund		1,404		4,620		6,024
Multi-Asset Inflation Managed Fund		20,588		5,269		25,857
Long/Short Alternative Fund		53		39		92

*	This table should be used in conjunction with the capital loss carryforwards table.

During the fiscal year ended September 30, 2016, the following Funds utilized capital loss carryforward to offset capital gains:



		Amount Utilized ($ Thousands)

Enhanced Income Fund		$203

For Federal income tax purposes, the cost of securities owned at September 30, 2016, and the net realized gains or losses on securities sold for the period, were different from amounts reported for financial reporting

purposes primarily due to investments in partnerships that captures losses from other securities, and wash sales which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years. The Federal tax cost and aggregate gross unrealized appreciation and depreciation on investments held by the Funds at September 30, 2016, were as follows:



	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)

Large Cap Fund	$	2,301,164	$	437,586	$	(70,121)	$	367,465
Large Cap Value Fund		1,237,509		213,986		(72,636)		141,350
Large Cap Growth Fund		1,139,884		347,439		(32,635)		314,804
Tax-Managed Large Cap Fund		2,520,306		1,250,499		(36,045)		1,214,454
S&P 500 Index Fund		342,902		331,348		(10,623)		320,725
Small Cap Fund		595,923		83,706		(37,656)		46,050
Small Cap Value Fund		430,839		65,258		(19,301)		45,957
Small Cap Growth Fund		338,786		35,916		(21,905)		14,011
Tax-Managed Small/Mid Cap Fund		677,536		196,002		(1,995)		194,007
Mid-Cap Fund		88,287		9,390		(2,970)		6,420
U.S. Managed Volatility Fund		1,398,801		253,922		(40,009)		213,913
Global Managed Volatility Fund		1,512,437		233,267		(39,666)		193,601
Tax-Managed Managed Volatility Fund		946,963		262,771		(11,336)		251,435
Real Estate Fund		171,685		45,891		(4,214)		41,677
Enhanced Income Fund		204,208		1,144		(4,058)		(2,914)
Core Fixed Income Fund		2,251,418		78,699		(31,481)		47,218
U.S. Fixed Income Fund		1,367,506		38,473		(5,408)		33,065
High Yield Bond Fund		1,993,254		79,003		(155,710)		(76,707)
Conservative Income Fund		69,278		7		(2)		5
Tax-Free Conservative Income Fund		44,684		2		(16)		(14)
Real Return Fund		321,422		3,215		(685)		2,530
Dynamic Asset Allocation Fund		485,474		53,267		(16,068)		37,199
Multi-Strategy Alternative Fund		578,281		14,993		(17,969)		(2,976)
Multi-Asset Accumulation Fund		2,005,901		60,575		(186,704)		(126,129)



	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)

Multi-Asset Income Fund	$	696,775	$	27,417	$	(21,650)	$	5,767
Multi-Asset Inflation Managed Fund		1,346,864		46,308		(104,641)		(58,333)
Multi-Asset Capital Stability Fund		120,906		3,565		(610)		2,955
Long/Short Alternative Fund		40,641		20		(4)		16

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of September 30, 2016, no provision for income tax would be required in the Funds’ financial statements. The Funds’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

10. SECURITIES LENDING

Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Trust’s Board of Trustees. These loans may not exceed 331/3% of the total asset value of the Fund (including the loan collateral). No Fund will lend portfolio securities to its Adviser, sub-adviser or their affiliates unless it has applied for and received specific authority to do so from the SEC. Loans of portfolio securities will be fully collateralized by cash. Collateral will be maintained in an amount equal to at least 100% of the current market value of the loaned securities by marking to market daily, although the borrower will be required to deliver collateral between 102% and 105% of the market value of borrowed securities for domestic and foreign securities, respectively. However, due to market fluctuations during the day, the value of securities loaned on a particular day may, during the course of the day, exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior day’s market fluctuations and the current day’s lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that the Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities.

Cash collateral received in connection with securities lending is invested in short-term investments by the lending agent. These investments may include the SEI Liquidity Fund L.P., and the Fund bears all of the gains

and losses on such investment. There is no guarantee that these investments will not lose value.

The following is a summary of securities lending agreements held by certain Funds which would be subject to offset as of September 30, 2016 ($ Thousands):



	Securities Loaned at Value		Cash Collateral Received ⁽¹⁾		Net Amount

Large Cap Fund		$258,188		$258,188		$–
Large Cap Value Fund		49,352		49,352		–
Large Cap Growth Fund		3,948		3,948		–
Tax-Managed Large Cap Fund		110,925		110,925		–
S&P 500 Index Fund		3,131		3,131		–
Small Cap Fund		51,461		51,461		–
Small Cap Value Fund		102,682		102,682		–
Small Cap Growth Fund		30,880		30,880		–
Tax-Managed Small/Mid Cap Fund		178,774		178,774		–
Mid-Cap Fund		5,670		5,670		–
Real Estate Fund		1,020		1,020		–
Core Fixed Income Fund		13,544		13,544		–
U.S. Fixed Income Fund		599		599		–
High Yield Bond Fund		1		1		–

(1)	Excess collateral received in connection with the above securities lending transactions is not shown for financial reporting purposes. See each Fund’s Summary Schedule of Investments or Schedule of Investments for the total collateral received.

11. CONCENTRATION/RISKS

In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, Management believes that, based on experience, the risk of loss from such claims is considered remote.

In the normal course of business, the Multi-Strategy Alternative Fund invests substantially in underlying funds that are comprised of fixed income and equity securities in specific industries and that may engage in short selling activities, writing option contracts, and equity swaps, and therefore, the Fund may be affected by events in these industries. The Fund’s Prospectus provides a description of risks associated with the different investments in the underlying affiliated investment companies.

In the normal course of business, the Global Managed Volatility Fund and the Multi-Asset Funds’ invest in securities of foreign issuers in various countries. These investments may involve certain considerations and risks not typically associated with investments in the United States, as a result of, among other factors, the possibility of future political and economic developments and the level of governmental supervision and regulation

Notes to Financial Statements/Consolidated Notes to Financial Statements (Continued)

of securities markets in the respective countries. The Funds’ Prospectus provides a description of the risk associated with the different investments.

The market values of the Enhanced Income, Core Fixed Income, U.S. Fixed Income, High Yield Bond, Conservative Income, Tax-Free Conservative Income, Real Return and Multi-Asset Funds’ investments will change in response to interest rate changes and other factors. During periods of falling interest rates, the values of fixed income securities generally rise. Conversely, during periods of rising interest rates, the values of such securities generally decline. Changes by recognized rating agencies in the ratings of any fixed income security and in the ability of an issuer to make payments of interest and principal may also affect the value of these investments.

The following descriptions provide additional information about some of the risks of investing in the Funds:

Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities, and asset-backed securities may not have the benefit of any security interest in the related assets.

Bank Loans Risk—With respect to bank loans, the Fund will assume the credit risk of both the borrower and the lender that is selling the participation. The Fund may also have difficulty disposing of bank loans because, in certain cases, the market for such instruments is not highly liquid.

Commodity Risk — The value of commodity-linked derivative securities may be affected by a variety of factors, including, but not limited to, overall market movements and other factors affecting the value of particular industries or commodities, such as weather, disease, embargoes, acts of war or terrorism or political and regulatory developments. The prices of commodity-linked derivative securities may move in different directions than investments in traditional equity and debt securities when the value of those traditional securities is declining due to adverse economic conditions.

Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.

Currency Risk — Due to a Fund’s active positions in currencies, it will be subject to the risk that currency exchange rates may fluctuate in response to, among other things, changes in interest rates, intervention or failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the

imposition of currency controls or other political developments in the United States or abroad.

Fixed Income Market Risk — The prices of a Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar.

Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements, and different legal, regulatory and tax environments. These additional risks may be heightened with respect to emerging market countries since political turmoil and rapid changes in economic conditions are more likely to occur in these countries.

Interest Rate Risk — The risk that a rise in interest rates will cause a fall in the value of fixed income securities, including U.S. Government Securities, in which the Fund invests. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly.

Leverage Risk — Certain Fund transactions, such as derivatives or reverse repurchase agreements, may give rise to a form of leverage. The use of leverage can amplify the effects of market volatility on the Funds’ share price and make the Funds’ returns more volatile. This is because leverage tends to exaggerate the effect of any increase or decrease in the value of the Funds’ portfolio securities. The use of leverage may also cause the Funds to liquidate portfolio positions when it would not be advantageous to do so in order to satisfy its obligations.

Mortgage-Backed Securities Risk — Mortgage-backed securities are affected by, among other things, interest rate changes and the possibility of prepayment of the underlying mortgage loans. Mortgagebacked securities are also subject to the risk that underlying borrowers will be unable to meet their obligations.

The foregoing is not intended to be a complete discussion of the risks associated with investing in a Fund. Please review each Fund’s current prospectus for additional disclosures regarding the principal risks associated with investing in a Fund.

12. CONCENTRATION OF SHAREHOLDERS

SEI Private Trust Company (“SPTC”) and SIMC are subsidiaries of SEI Investments Company. As of, September 30, 2016, SPTC held of record the following percentage of outstanding shares of each Fund:



Fund	% held

Large Cap Fund
Class A		98.08%
Class Y		7.66
Large Cap Value Fund
Class A		95.11%
Class I		22.21
Class Y		100.00
Large Cap Growth Fund
Class A		95.14%
Class I		28.52
Class Y		100.00
Tax-Managed Large Cap Fund
Class A		92.97%
Class Y		26.21
S&P 500 Index Fund
Class A		84.56%
Class E		6.53
Class I		47.69
Class Y		100.00
Small Cap Fund
Class A		98.25%
Class Y		14.42
Small Cap Value Fund
Class A		85.61%
Class I		15.15
Class Y		100.00
Small Cap Growth Fund
Class A		92.82%
Class I		20.01
Class Y		100.00
Tax-Managed Small/Mid Cap Fund
Class A		94.32%
Class Y		34.05
Mid-Cap Fund
Class A		81.18%
Class I		0.00
Class Y		96.23
U.S. Managed Volatility Fund
Class A		80.85%
Class I		0.00
Class Y		9.78



Fund	% held

Global Managed Volatility Fund
Class A		84.44%
Class I		3.53
Class Y		53.50
Tax-Managed Managed Volatility Fund
Class A		91.30%
Class Y		81.69
Real Estate Fund
Class A		91.08%
Class I		1.64
Class Y		46.81
Enhanced Income Fund
Class A		96.66%
Class I		0.00
Class Y		36.59
Core Fixed Income Fund
Class A		94.79%
Class I		38.99
Class Y		56.19
U.S. Fixed Income Fund
Class A		98.20%
Class Y		10.51
High Yield Bond Fund
Class A		95.04%
Class I		0.00
Class Y		23.36
Conservative Income Fund
Class A		99.96%
Class Y		1.20
Tax-Free Conservative Income Fund
Class A		99.99%
Class Y		0.00
Real Return Fund
Class A		97.85%
Class Y		11.27
Dynamic Asset Allocation Fund
Class A		97.10%
Class Y		0.04
Multi-Strategy Alternative Fund
Class A		97.12%
Class Y		62.43
Multi-Asset Accumulation Fund
Class A		97.67%
Class Y		1.19
Multi-Asset Income Fund
Class A		97.41%
Class Y		63.86
Multi-Asset Inflation Managed Fund
Class A		97.78%
Class Y		9.51

Notes to Financial Statements/Consolidated Notes to Financial Statements (Concluded)



Fund	% held

Multi-Asset Capital Stability Fund
Class A		97.99%
Class Y		3.83
Long/Short Alternative Fund
Class A		0.00%
Class Y		0.00

SPTC is not a direct service provider to the Funds. However, SPTC performs a key role in the comprehensive investment solution that SEI provides to investors. SPTC holds the vast majority of shares in the Funds as custodian for shareholders that are clients of the advisors and financial planners. SPTC maintains accounts at SEI Institutional Transfer Agency (“SITA”), and operates in an omnibus fund account environment.

13. IN-KIND TRANSACTIONS

During the fiscal year ended September 30, 2016, Global Managed Volatility Fund redeemed shares of beneficial interest in exchange for securities. The securities were redeemed at their current value on the date of the transaction.



Transaction Date	Shares Redeemed (Thousands)		Value ($ Thousands)		Cash ($ Thousands)		Loss ($ Thousands)

01/29/2016		80,677		$ 843,072		$ —		$ (24,125)

During the fiscal year ended September 30, 2015, the S&P 500 Index Fund redeemed shares of beneficial interest in exchange for securities and cash. The securities were redeemed at their current value on the date of the transaction.



Transaction Date	Shares Redeemed (Thousands)		Value ($ Thousands)		Cash ($ Thousands)		Gain ($ Thousands)

10/31/2014		16,201		$ 821,276		$ 59,392		$ 591,363
12/30/2014		14,191		806,037		78,774		534,652
02/27/2015		1,639		81,779		3,461		50,889
03/31/2015		95		4,800		69		2,911

14. SUBSEQUENT EVENTS

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements as of September 30, 2016.

We have audited the accompanying statements of assets and liabilities, including the schedules of investments and summary schedules of investments, of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Conservative Income Fund, Tax-Free Conservative Income Fund, Real Return Fund, Dynamic Asset Allocation Fund, Multi-Strategy Alternative Fund, Multi-Asset Income Fund, Multi- Asset Capital Stability Fund, and the Long/Short Alternative Fund (twenty-six of the twenty-eight funds comprising the SEI Institutional Managed Trust (the Trust)), as of September 30, 2016, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. We have also audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund (two of the twenty-eight funds comprising the Trust), as of September 30, 2016, and the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for the Multi-Asset Inflation Managed Fund, and the consolidated financial highlights for each of the years or periods in the five-year period then ended. These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and consolidated financial statements and financial highlights and consolidated financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2016, by correspondence with the custodians, transfer agent, and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of each of the funds comprising SEI Institutional Managed Trust as of September 30, 2016, the results of their operations, the changes in their net assets, their cash flows, and the financial highlights for the years or periods described in the first paragraph, in conformity with U.S. generally accepted accounting principles.

Set forth below are the names, addresses, ages, position with the Trust, Term of Office and Length of Time Served, the principal occupations for the last five years, number of positions in fund complex overseen by trustee, and other directorships outside the fund complex of each of the persons currently serving as Trustees and Officers of the Trust. The Trust’s Statement of Additional Information (“SAI”) includes additional information about the Trustees and Officers. The SAI may be obtained without charge by calling 1-800-342-5734.

All mutual funds have operating expenses. As a shareholder of a fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

Operating expenses such as these are deducted from the fund’s gross income and directly reduce your final investment return. These expenses are expressed as a percentage of the fund’s average net assets; this percentage is known as the fund’s expense ratio.

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

• Actual fund return. This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

You can use this information, together with the actual amount you invested in the Fund, to estimate the expenses you paid over that period. Simply divide your actual account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

• Hypothetical 5% return. This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that the fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) for the period is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expense Paid During Period” column with those that appear in the same charts in the shareholder reports for other funds.

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown may not apply to your specific investment.


	Beginning Account Value 4/1/16		Ending Account Value 9/30/16		Annualized Expense Ratios			Expenses Paid During Period *
Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,055.90		0.91	%	$	4.67
Class Y Shares		1,000.00		1,058.10		0.66			3.39
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.46		0.91	%	$	4.59
Class Y Shares		1,000.00		1,021.71		0.66			3.33
Large Cap Value Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,061.70		0.91	%	$	4.68
Class I Shares		1,000.00		1,060.50		1.13			5.81
Class Y Shares		1,000.00		1,064.60		0.66			3.39
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.46		0.91	%	$	4.59
Class I Shares		1,000.00		1,019.36		1.13			5.69
Class Y Shares		1,000.00		1,021.71		0.66			3.32


	Beginning Account Value 4/1/16		Ending Account Value 9/30/16		Annualized Expense Ratios			Expenses Paid During Period *
Large Cap Growth Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,063.20		0.91	%	$	4.70
Class I Shares		1,000.00		1,062.30		1.13			5.82
Class Y Shares		1,000.00		1,064.90		0.66			3.40
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.46		0.91	%	$	4.60
Class I Shares		1,000.00		1,019.35		1.13			5.70
Class Y Shares		1,000.00		1,021.71		0.66			3.33
Tax-Managed Large Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,056.60		0.91	%	$	4.69
Class Y Shares		1,000.00		1,057.90		0.66			3.40
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.44		0.91	%	$	4.60
Class Y Shares		1,000.00		1,021.69		0.66			3.34


	Beginning Account Value 4/1/16		Ending Account Value 9/30/16		Annualized Expense Ratios			Expenses Paid During Period *
S&P 500 Index Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,061.60		0.17	%	$	0.90
Class E Shares		1,000.00		1,062.60		0.69			3.55
Class I Shares		1,000.00		1,060.40		0.66			3.42
Class Y Shares		1,000.00		1,062.50		0.27			1.39
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,024.13		0.17	%	$	0.88
Class E Shares		1,000.00		1,021.56		0.69			3.48
Class I Shares		1,000.00		1,021.68		0.66			3.36
Class Y Shares		1,000.00		1,023.65		0.27			1.36
Small Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,074.20		1.16	%	$	6.00
Class Y Shares		1,000.00		1,076.50		0.91			4.71
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.21		1.16	%	$	5.84
Class Y Shares		1,000.00		1,020.46		0.91			4.58
Small Cap Value Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,070.80		1.16	%	$	5.99
Class I Shares		1,000.00		1,069.20		1.38			7.13
Class Y Shares		1,000.00		1,071.70		0.91			4.70
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.21		1.16	%	$	5.85
Class I Shares		1,000.00		1,018.11		1.38			6.95
Class Y Shares		1,000.00		1,020.46		0.91			4.59
Small Cap Growth Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,111.70		1.13	%	$	5.97
Class I Shares		1,000.00		1,110.10		1.38			7.28
Class Y Shares		1,000.00		1,113.10		0.88			4.65
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.35		1.13	%	$	5.70
Class I Shares		1,000.00		1,018.10		1.38			6.96
Class Y Shares		1,000.00		1,020.60		0.88			4.45
Tax-Managed Small/Mid Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,067.30		1.13	%	$	5.84
Class Y Shares		1,000.00		1,068.50		0.91			4.71
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.35		1.13	%	$	5.71
Class Y Shares		1,000.00		1,020.44		0.91			4.60
Mid-Cap Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,067.60		1.00	%	$	5.16
Class I Shares		1,000.00		1,066.00		1.22			6.30
Class Y Shares		1,000.00		1,068.90		0.75			3.88
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.01		1.00	%	$	5.04
Class I Shares		1,000.00		1,018.90		1.22			6.16
Class Y Shares		1,000.00		1,021.25		0.75			3.79


	Beginning Account Value 4/1/16		Ending Account Value 9/30/16		Annualized Expense Ratios			Expenses Paid During Period *
U.S. Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,034.40		1.02	%	$	5.17
Class I Shares		1,000.00		1,033.80		1.27			6.44
Class Y Shares		1,000.00		1,036.20		0.77			3.90
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.92		1.02	%	$	5.14
Class I Shares		1,000.00		1,018.66		1.27			6.40
Class Y Shares		1,000.00		1,021.16		0.77			3.88
Global Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,040.70		1.13	%	$	5.76
Class I Shares		1,000.00		1,040.60		1.38			7.02
Class Y Shares		1,000.00		1,042.40		0.88			4.49
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.36		1.13	%	$	5.70
Class I Shares		1,000.00		1,018.12		1.38			6.95
Class Y Shares		1,000.00		1,020.60		0.88			4.44
Tax-Managed Managed Volatility Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,029.50		1.02	%	$	5.18
Class Y Shares		1,000.00		1,030.00		0.77			3.91
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.90		1.02	%	$	5.15
Class Y Shares		1,000.00		1,021.15		0.77			3.89
Real Estate Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,042.40		1.16	%	$	5.92
Class I Shares		1,000.00		1,041.20		1.38			7.04
Class Y Shares		1,000.00		1,043.70		0.91			4.65
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.20		1.16	%	$	5.86
Class I Shares		1,000.00		1,018.10		1.38			6.96
Class Y Shares		1,000.00		1,020.45		0.91			4.60
Enhanced Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,023.00		0.62	%	$	3.13
Class I Shares		1,000.00		1,021.70		0.87			4.39
Class Y Shares		1,000.00		1,023.80		0.48			2.42
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.91		0.62	%	$	3.13
Class I Shares		1,000.00		1,020.66		0.87			4.39
Class Y Shares		1,000.00		1,022.61		0.48			2.42
Core Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,033.70		0.69	%	$	3.50
Class I Shares		1,000.00		1,032.50		0.91			4.62
Class Y Shares		1,000.00		1,034.90		0.44			2.23
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.56		0.69	%	$	3.48
Class I Shares		1,000.00		1,020.46		0.91			4.59
Class Y Shares		1,000.00		1,022.81		0.44			2.22


	Beginning Account Value 4/1/16		Ending Account Value 9/30/16		Annualized Expense Ratios			Expenses Paid During Period *
U.S. Fixed Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,027.60		0.68	%	$	3.45
Class Y Shares		1,000.00		1,028.90		0.43			2.18
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.60		0.68	%	$	3.44
Class Y Shares		1,000.00		1,022.85		0.43			2.17
High Yield Bond Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,123.30		0.91	%	$	4.83
Class I Shares		1,000.00		1,119.70		1.14			6.04
Class Y Shares		1,000.00		1,124.70		0.66			3.51
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.45		0.91	%	$	4.60
Class I Shares		1,000.00		1,019.30		1.14			5.76
Class Y Shares		1,000.00		1,021.70		0.66			3.34
Conservative Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,001.60		0.30	%	$	1.32**
Class Y Shares		1,000.00		1,002.00		0.20			0.88**
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.50		0.30	%	$	1.52
Class Y Shares		1,000.00		1,024.00		0.20			1.01
Tax-Free Conservative Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,001.20		0.30	%	$	1.32**
Class Y Shares		1,000.00		1,001.60		0.20			0.88**
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,023.50		0.30	%	$	1.52
Class Y Shares		1,000.00		1,024.00		0.20			1.01
Real Return Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,009.00		0.47	%	$	2.36
Class Y Shares		1,000.00		1,009.90		0.37			1.86
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,022.65		0.47	%	$	2.38
Class Y Shares		1,000.00		1,023.15		0.37			1.87
Dynamic Asset Allocation Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,061.50		0.77	%	$	3.97
Class Y Shares		1,000.00		1,062.50		0.52			2.68
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,021.15		0.77	%	$	3.89
Class Y Shares		1,000.00		1,022.40		0.52			2.63

* Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period shown).


	Beginning Account Value 4/1/16		Ending Account Value 9/30/16		Annualized Expense Ratios			Expenses Paid During Period *
Multi-Strategy Alternative Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,029.80		1.40	%	$	7.10
Class Y Shares		1,000.00		1,029.80		1.15			5.84
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,018.00		1.40	%	$	7.06
Class Y Shares		1,000.00		1,019.25		1.15			5.81
Multi-Asset Accumulation Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,075.10		1.19	%	$	6.17
Class Y Shares		1,000.00		1,076.90		0.94			4.88
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,019.05		1.19	%	$	6.01
Class Y Shares		1,000.00		1,020.30		0.94			4.75
Multi-Asset Income Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,079.00		0.82	%	$	4.25
Class Y Shares		1,000.00		1,079.60		0.72			3.73
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,020.91		0.82	%	$	4.13
Class Y Shares		1,000.00		1,021.41		0.72			3.63
Multi-Asset Inflation Managed Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,024.40		1.25	%	$	6.33
Class Y Shares		1,000.00		1,026.80		1.00			5.07
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,018.75		1.25	%	$	6.31
Class Y Shares		1,000.00		1,020.00		1.00			5.05
Multi-Asset Capital Stability Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,009.00		0.64	%	$	3.21
Class Y Shares		1,000.00		1,008.90		0.54			2.71
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	121.80		0.64	%	$	3.23
Class Y Shares		1,000.00		1,022.30		0.54			2.73
Long/Short Alternative Fund
Actual Fund Return
Class A Shares	$	1,000.00	$	1,023.00		2.10	%	$	10.62
Class Y Shares		1,000.00		1,024.00		0.92			4.66
Hypothetical 5% Return
Class A Shares	$	1,000.00	$	1,014.50		2.10	%	$	10.58
Class Y Shares		1,000.00		1,020.40		0.92			4.65

** Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 161/366 (to reflect the period since inception to period end).

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreement (Unaudited)

SEI Institutional Managed Trust (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”). Pursuant to the Advisory Agreement, SIMC is responsible for the investment advisory services provided to the series of the Trust (the “Funds”). Pursuant to separate sub-advisory agreements with SIMC (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to the Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the initial approval of, as well as the continuation of, the Funds’ Investment Advisory Agreements be specifically approved: (i) by the vote of the Board or by a vote of the shareholders of the Funds; and (ii) by the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval(s). In connection with their consideration of such approval(s), the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve an Investment Advisory Agreement.

Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existing Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from counsel regarding the responsibilities of Trustees in connection with their consideration of whether to approve the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.

Specifically, during the course of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of SIMC’s and the Sub-Advisers’ investment management and other services; (ii) SIMC’s and the Sub-Advisers’ investment management personnel; (iii) SIMC’s and the Sub-Advisers’ operations and financial condition; (iv) SIMC’s and the Sub-Advisers’ brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the advisory fees that SIMC charges the Funds and the level of the sub-advisory fees that SIMC pays the Sub-Advisers, compared with fees each charge to comparable accounts; (vi) the advisory fees charged by SIMC and the Funds’ overall fees and operating expenses compared with peer groups of mutual funds prepared by Broadridge, an independent provider of investment company data; (vii) the level of SIMC’s and the Sub-Advisers’ profitability from their Fund-related operations; (viii) SIMC’s and the Sub-Advisers’ compliance program, including a description of material compliance matters and material compliance violations; (ix) SIMC’s potential economies of scale; (x) SIMC’s and the Sub-Advisers’ policies on and compliance procedures for personal securities transactions; (xi) SIMC’s and the Sub-Advisers’ expertise and resources in domestic and/or international financial markets; and (xii) the Funds’ performance over various periods of time compared with peer groups of mutual funds prepared by Broadridge and the Funds’ benchmark indices.

At the March 28-30, 2016 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, each Sub-Advisory Agreement was either initially approved or, if the Sub-Advisory Agreement was already in effect (unless operating under an initial two-year term), renewed at meetings of the Board held during the course of the Trust’s fiscal year on December 7-9, 2015, March 28-30, 2016, June 20-22, 2016 and September 13-14, 2016. In each case, the Board’s approval (or renewal) was based on

its consideration and evaluation of the factors described above, as discussed at the meetings and at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Investment Advisory Agreements.

Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, SIMC’s and each Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by SIMC and the Sub-Advisers to the Funds and the resources of SIMC and the Sub-Advisers and their affiliates dedicated to the Funds were sufficient to support the renewal of the Investment Advisory Agreements. In addition to advisory services, the Board considered the nature and quality of certain administrative, transfer agency and other non-investment advisory services provided to the Funds by SIMC and/or its affiliates.

Performance. In determining whether to renew SIMC’s Advisory Agreement, the Trustees considered the Funds’ performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees reviewed performance information for each Fund, noting that they receive performance reports that permit them to monitor each Fund’s performance at board meetings throughout the year. As part of this review, the Trustees considered the composition of each peer group and selection criteria. In assessing Fund performance, the Trustees considered a report compiled by Broadridge, an independent third-party that was engaged to prepare an assessment of the Funds in connection with the renewal of the Advisory Agreement (the “Broadridge Report”). The Broadridge Report included metrics on risk analysis and volatility versus total return (except when such metric was not available due to a limited operating history), net total return and performance consistency for the Funds and a universe of comparable funds. Based on the materials considered and discussed at the meetings, the Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the approval or renewal of Sub-Advisory Agreements, the Board considered the performance of the Sub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of the Funds was sufficient to support renewal of SIMC’s Advisory Agreement, and the performance of each Sub-Adviser was sufficient to support approval or renewal of the Sub-Advisory Agreement.

Fees. With respect to the Funds’ expenses under the Investment Advisory Agreements, the Trustees considered the rate of compensation called for by the Investment Advisory Agreements and the Funds’ net operating expense ratio in comparison to those of the Funds’ respective peer groups. In assessing Fund expenses, the Trustees considered the information in the Broadridge Report, which included various metrics related to fund expenses, including, but not limited to, contractual management fees at various fee levels, actual management fees (including transfer agent expenses), and actual total expenses (including, solely with respect to the Multi-Strategy Alternative Fund, underlying fund expenses) for the Funds and a universe of comparable funds. Based on the materials considered and discussion at the meetings, the Trustees further determined that fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. The Trustees also considered the effects of SIMC’s voluntary waiver of management and other fees to prevent total Fund operating expenses from exceeding a specified cap and concluded that SIMC, through waivers, has maintained the Funds’ net operating expenses at competitive levels for its distribution channels. In determining the appropriateness of fees, the Board also took into consideration the impact of fees incurred indirectly by the Funds as a result of investments into underlying funds, including funds from which SIMC or its affiliates earn fees. The Board also took into consideration compensation earned from the Funds by SIMC or its affiliates for non-advisory services, such as administration, transfer agency, shareholder services or brokerage, and considered whether SIMC and its affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported renewal of the Investment Advisory Agreements. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreement (Unaudited) (Concluded)

Profitability. With regard to profitability, the Trustees considered compensation flowing to SIMC and the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the approval or renewal of each Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of SIMC and the Sub-Advisers is reasonable and supported renewal of the Investment Advisory Agreements.

Economies of Scale. With respect to the Advisory Agreement, the Trustees considered whether any economies of scale were being realized by SIMC and their affiliates and, if so, whether the benefits of such economies of scale were passed along to the Funds’ shareholders through a graduated investment advisory fee schedule or other means, including any fee waivers by SIMC and its affiliates. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board determined that the fees were reasonable in light of the information that was provided by SIMC with respect to economies of scale.

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the approval or renewal, as applicable, of the Investment Advisory Agreements and concluded that the compensation under the Investment Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.

For shareholders who do not have a September 30, 2016, taxable year end, this notice is for informational purposes only. For shareholders with a September 30, 2016, taxable year end, please consult your tax adviser as to the pertinence of this notice.

For the fiscal year ended September 30, 2016, the Funds are designating long term and qualifying dividend income with regard to distributions paid during the year as follows:

Items (A) and (B) are based on the percentage of each Fund’s total distribution.

Items (C) and (D) are based on the percentage of ordinary income distributions of each Fund.

Please consult your tax adviser for proper treatment of this information. This notification should be kept with your permanent tax records.

A Special Meeting of Shareholders of the SEI Institutional Managed Trust (the “Trust”) was held on March 14, 2016 for the purpose of considering the proposal to elect, as a slate of nominees, each of the current Trustees and one new Trustee to the Board of Trustees of the Trust. The proposal was approved with the following voting results:

A Special Meeting of Shareholders of the SEI Institutional Managed Trust (the “Trust”) was held on March 14, 2016 for the purpose of considering the proposal to amend the Agreement and Declaration of Trust for the Trust to reduce the shareholder quorum requirement from a majority to one-third (33 – 1/3%). The proposal was not approved. The voting results were as follows:

Robert A. Nesher, Chairman

Trustees

William M. Doran

George J. Sullivan, Jr.

Nina Lesavoy

James M. Williams

Mitchell A. Johnson

Hubert L. Harris, Jr.

Susan C. Cote

Officers

Robert A. Nesher

President and Chief Executive Officer

James J. Hoffmayer

Controller and Chief Financial Officer

Russell Emery

Chief Compliance Officer

Timothy D. Barto

Vice President, Secretary

Aaron Buser

Vice President, Assistant Secretary

David F. McCann

Vice President, Assistant Secretary

Stephen G. MacRae

Vice President

Bridget E. Sudall

Anti-Money Laundering Compliance Officer

Privacy Officer

Investment Adviser

SEI Investments Management Corporation

Administrator

SEI Investments Global Funds Services

Distributor

SEI Investments Distribution Co.

Legal Counsel

Morgan, Lewis & Bockius LLP

Independent Registered Public Accounting Firm

KPMG LLP

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.

For more information call

1 800 DIAL SEI

(1 800 342 5734)

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

(a) (1) The Registrant’s Board of Trustees has determined that the Registrant has at least two audit committee financial experts serving on the audit committee.

(a) (2) The audit committee financial experts are George J. Sullivan, Jr. and Hubert L. Harris, Jr. Messrs. Sullivan and Harris are independent as defined in Form N-CSR Item 3 (a) (2).

KPMG billed the Registrant aggregate fees for services rendered to the Registrant for the fiscal years 2016 and 2015 as follows:

(e)(1) The Registrant’s Audit Committee has adopted and the Board of Trustees has ratified an Audit and Non-Audit Services Pre-Approval Policy (the “Policy”), which sets forth the procedures and the conditions pursuant to which services proposed to be performed by the independent auditor of the Registrant may be pre-approved.

The Policy provides that all requests or applications for proposed services to be provided by the independent auditor must be submitted to the Registrant’s Chief Financial Officer (“CFO”) and must include a detailed description of the services proposed to be rendered. The CFO will determine whether such services: (1) require specific pre-approval; (2) are included within the list of services that have received the general pre-approval of the Audit Committee pursuant to the Policy; or (3) have been previously pre-approved in connection with the independent auditor’s annual engagement letter for the applicable year or otherwise. In any instance where services require pre-approval, the Audit Committee will consider whether such services are consistent with SEC rules and whether the provision of such services would impair the auditor’s independence.

Requests or applications to provide services that require specific pre-approval by the Audit Committee will be submitted to the Audit Committee by the CFO. The Audit Committee will be informed by the CFO on a quarterly basis of all services rendered by the independent auditor. The Audit Committee has delegated specific pre-approval authority to either the Audit Committee Chair or financial experts, provided that the estimated fee for any such proposed pre-approved service does not exceed $100,000 and any pre-approval decisions are reported to the Audit Committee at its next regularly scheduled meeting.

Services that have received the general pre-approval of the Audit Committee are identified and described in the Policy. In addition, the Policy sets forth a maximum fee per engagement with respect to each identified service that has received general pre-approval.

All services to be provided by the independent auditor shall be provided pursuant to a signed written engagement letter with the Registrant, the investment advisor or applicable control affiliate (except that matters as to which an engagement letter would be impractical because of timing issues or because the matter is small may not be the subject of an engagement letter) that sets forth both the services to be provided by the independent auditor and the total fees to be paid to the independent auditor for those services.

In addition, the Audit Committee has determined to take additional measures on an annual basis to meet its responsibility to oversee the work of the independent auditor and to assure the auditor’s independence from the Registrant, such as reviewing a formal written statement from the independent auditor delineating all relationships between the independent auditor and the Registrant, and discussing with the independent auditor its methods and procedures for ensuring independence.

(e)(2) Percentage of fees billed applicable to non-audit services pursuant to waiver of pre-approval requirement were as follows:

(g)(1) The aggregate non-audit fees and services billed by KPMG for the fiscal years 2016 and 2015 were $325,515 and $240,350, respectively. Non-audit fees consist of SSAE No. 16 review of fund accounting and administration operations, attestation report in accordance with Rule 17 Ad-13.

(h) During the past fiscal year, Registrant’s principal accountant provided certain non-audit services to Registrant’s investment adviser or to entities controlling, controlled by, or under common control with Registrant’s investment adviser that provide ongoing services to Registrant that were not subject to pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X. The Audit Committee of Registrant’s Board of Trustees reviewed and considered these non-audit services provided by Registrant’s principal accountant to Registrant’s affiliates, including whether the provision of these non-audit services is compatible with maintaining the principal accountant’s independence.

The Schedules of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund and Dynamic Asset Allocation Fund are listed below. The Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period for the Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Conservative Income Fund, Tax-Free Conservative Income Fund, Real Return Fund, Multi-Strategy Alternative Fund, Multi-Asset Accumulation Fund, Multi-Asset Income Fund, Multi-Asset Inflation Managed Fund, Multi-Asset Capital Stability Fund and Long/Short Alternative Fund is included as part of the report to shareholders filed under Item 1 of this form.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.0%

Consumer Discretionary — 12.9%
Amazon.com, Cl A *		23,995	$	20,091
Bed Bath & Beyond (A)		47,030		2,027
Best Buy		147,911		5,647
Chipotle Mexican Grill, Cl A *(A)		12,729		5,391
Darden Restaurants		37,892		2,324
Dick's Sporting Goods		126,233		7,160
Dillard's, Cl A (A)		91,298		5,753
Discovery Communications, Cl C *(A)		189,481		4,985
Dollar General		167,070		11,693
Domino's Pizza		20,961		3,183
Ford Motor (A)		504,488		6,089
General Motors		810,729		25,757
Genuine Parts		40,994		4,118
Goodyear Tire & Rubber		399,199		12,894
Home Depot (A)		61,489		7,912
Interpublic Group		101,740		2,274
Kohl's		213,535		9,342
L Brands		254,873		18,037
Lear		68,325		8,282
Liberty Global, Cl A *		235,985		8,066
Liberty Global, Cl C *		144,008		4,758
Liberty Interactive QVC Group, Cl A *		1,002,388		20,058
Lowe's		26,820		1,937
Macy's (A)		378,298		14,016
Marriott International, Cl A (A)		48,727		3,281
Michael Kors Holdings *(A)		179,921		8,419
NetFlix *		52,392		5,163
Nike, Cl B		121,080		6,375
Norwegian Cruise Line Holdings *		140,155		5,284
Omnicom Group		78,433		6,667
Priceline Group *		1,712		2,519
PulteGroup		277,162		5,554
Ross Stores		67,567		4,345
Target, Cl A		56,344		3,870
TJX (A)		50,220		3,755
Toll Brothers *		75,375		2,251
Toyota Motor ADR (A)		32,746		3,801
TripAdvisor *(A)		284,685		17,986
Tupperware Brands (A)		41,393		2,706
Viacom, Cl B		128,217		4,885
Whirlpool (A)		34,473		5,590
Yum! Brands		51,618		4,687


				308,932


Consumer Staples — 6.1%
Altria Group		99,811		6,311
Anheuser-Busch InBev ADR		46,686		6,135
Archer-Daniels-Midland (A)		107,617		4,538
Bunge (A)		100,130		5,931
Clorox		34,077		4,266
Constellation Brands, Cl A		78,218		13,022



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Costco Wholesale		39,694	$	6,054
Dr Pepper Snapple Group		24,589		2,245
General Mills		90,000		5,749
Ingredion		66,323		8,825
JM Smucker		31,185		4,227
Kroger (A)		395,396		11,735
Mead Johnson Nutrition, Cl A (A)		31,612		2,498
PepsiCo		25,183		2,739
Philip Morris International		64,422		6,263
Procter & Gamble		80,646		7,238
Reynolds American		47,673		2,248
Tyson Foods, Cl A (A)		183,742		13,720
Walgreens Boots Alliance		199,741		16,103
Wal-Mart Stores		225,593		16,270


				146,117


Energy — 5.7%
Anadarko Petroleum, Cl A		66,201		4,195
Apache		97,302		6,215
BP ADR (A)		374,541		13,169
Canadian Natural Resources		132,778		4,254
Chevron		38,574		3,970
Concho Resources *		21,883		3,006
Devon Energy		242,696		10,705
EOG Resources		50,750		4,908
Exxon Mobil		104,761		9,144
Helmerich & Payne (A)		93,588		6,298
Kinder Morgan		441,231		10,206
Marathon Petroleum		267,580		10,861
Occidental Petroleum		57,720		4,209
Oceaneering International, Cl A		91,088		2,506
PBF Energy, Cl A		310,774		7,036
Phillips 66		94,915		7,645
Royal Dutch Shell ADR, Cl A		161,764		8,100
Southwestern Energy *(A)		550,795		7,623
Tesoro		29,203		2,323
Valero Energy		209,932		11,126


				137,499


Financials — 13.6%
Aflac (A)		243,578		17,506
Allstate		114,888		7,948
American Financial Group		32,852		2,464
American National Insurance		2,942		359
Ameriprise Financial (A)		31,220		3,115
Annaly Capital Management ‡		904,291		9,495
Assurant		54,205		5,000
Axis Capital Holdings		41,630		2,262
Bank of America		2,327,751		36,429
Berkshire Hathaway, Cl B *		153,865		22,229
Blackstone Group (B)		84,851		2,166
Capital One Financial		33,400		2,399



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Citigroup		288,601	$	13,631
Cullen/Frost Bankers (A)		39,240		2,823
Discover Financial Services		188,260		10,646
Everest Re Group		42,860		8,142
Fifth Third Bancorp		299,873		6,135
Intercontinental Exchange		66,011		17,781
JPMorgan Chase		605,802		40,340
KeyCorp (A)		185,598		2,259
KKR (B)		543,645		7,752
Lincoln National		47,673		2,240
MetLife (A)		569,914		25,321
Popular		104,491		3,994
Prudential Financial (A)		40,530		3,309
Radian Group		184,980		2,507
Regions Financial		409,319		4,040
Santander Consumer USA Holdings *(A)		245,531		2,986
State Street		71,598		4,985
SunTrust Banks		173,071		7,581
Synchrony Financial		275,795		7,722
Travelers (A)		139,971		16,034
Two Harbors Investment ^‡		838,773		7,155
Unum Group (A)		64,466		2,276
Validus Holdings		46,972		2,340
Voya Financial		500,527		14,425


				327,796


Health Care — 14.5%
Abbott Laboratories (A)		65,397		2,766
AbbVie (A)		153,656		9,691
Aetna, Cl A (A)		46,864		5,410
Alexion Pharmaceuticals *		53,518		6,558
Allergan *		94,418		21,745
AmerisourceBergen		102,993		8,320
Amgen, Cl A (A)		43,295		7,222
Anthem		59,518		7,458
Baxter International		142,750		6,795
Becton Dickinson		58,672		10,545
Biogen *		133,814		41,888
C.R. Bard (A)		39,918		8,953
Cardinal Health		43,556		3,384
Celgene, Cl A *		224,141		23,429
Cigna		18,000		2,346
DENTSPLY SIRONA		196,728		11,692
Gilead Sciences		210,954		16,691
HCA Holdings *		105,452		7,975
Horizon Pharma *(A)		115,275		2,090
Humana		14,000		2,476
Illumina *		41,056		7,458
IMS Health Holdings *(A)		148,265		4,647
Intuitive Surgical *		3,999		2,899
Johnson & Johnson		197,492		23,330
Mallinckrodt *		49,493		3,454



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Merck (A)		285,564	$	17,822
Mettler Toledo International *		6,209		2,607
Mylan *		130,843		4,988
Novo Nordisk ADR (A)		141,033		5,866
Pfizer		417,434		14,138
Quest Diagnostics		35,560		3,009
Quintiles Transnational *		89,708		7,272
Regeneron Pharmaceuticals *(A)		16,851		6,774
Teva Pharmaceutical Industries ADR		144,171		6,633
UnitedHealth Group		159,382		22,313
Vertex Pharmaceuticals *		23,215		2,025
Zimmer Biomet Holdings		36,188		4,705


				347,374


Industrials — 7.1%
3M (A)		13,663		2,408
Acuity Brands (A)		18,195		4,814
AECOM *(A)		93,990		2,794
AerCap Holdings *		137,561		5,295
AGCO		46,758		2,306
Alaska Air Group		70,446		4,640
American Airlines Group (A)		122,191		4,473
BE Aerospace		50,786		2,624
Boeing		55,502		7,312
BWX Technologies, Cl W		69,574		2,670
C.H. Robinson Worldwide (A)		43,889		3,092
Carlisle		37,822		3,879
Caterpillar, Cl A		28,301		2,512
Chicago Bridge & Iron (A)		87,002		2,439
Delta Air Lines, Cl A		505,767		19,907
Dover		31,093		2,290
Eaton		151,484		9,954
Fluor		142,984		7,338
Huntington Ingalls Industries, Cl A		50,310		7,719
Masco		97,863		3,358
Nielsen Holdings (A)		262,822		14,079
Norfolk Southern		40,873		3,967
Northrop Grumman		48,439		10,363
Oshkosh Truck		67,454		3,777
Owens Corning		72,128		3,851
Roper Technologies		19,379		3,536
Southwest Airlines, Cl A (A)		58,970		2,293
Spirit AeroSystems Holdings, Cl A *		49,465		2,203
Stanley Black & Decker		26,548		3,265
Terex		143,870		3,656
TransDigm Group *(A)		25,439		7,355
Triumph Group		257,987		7,193
United Continental Holdings *		86,923		4,561


				171,923


Information Technology — 24.4%
Activision Blizzard (A)		189,383		8,390



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Akamai Technologies *		40,217	$	2,131
Alphabet, Cl A *		60,511		48,654
Alphabet, Cl C *		14,792		11,498
Amdocs		132,826		7,684
Apple		136,529		15,435
Applied Materials		422,791		12,747
Arrow Electronics, Cl A *		50,068		3,203
Automatic Data Processing		41,746		3,682
Avnet		72,898		2,993
Brocade Communications Systems (A)		416,344		3,843
CA		43,400		1,436
Cisco Systems		604,482		19,174
Citrix Systems *		30,587		2,607
CoreLogic *		20,500		804
Dell Technologies - VMware, Cl V *		20,273		969
eBay *		982,539		32,325
Electronic Arts *(A)		280,385		23,945
Facebook, Cl A *		302,143		38,756
FleetCor Technologies *		43,054		7,480
Global Payments		47,111		3,616
Harris		24,980		2,288
Hewlett Packard Enterprise		867,045		19,725
HP		506,873		7,872
Ingram Micro, Cl A *		114,531		4,084
Intel (A)		473,298		17,867
International Business Machines (A)		78,683		12,499
Intuit		171,815		18,901
Juniper Networks		95,031		2,286
Keysight Technologies *		207,276		6,569
MasterCard, Cl A		174,423		17,751
Microchip Technology (A)		20,400		1,268
Micron Technology *(A)		624,103		11,096
Microsoft (A)		782,927		45,097
Motorola Solutions		32,457		2,476
PayPal Holdings *		511,919		20,973
Qualcomm		727,763		49,852
salesforce.com *(A)		63,890		4,557
Skyworks Solutions		134,000		10,203
Symantec, Cl A		407,531		10,229
Tencent Holdings ADR		210,661		5,872
Texas Instruments (A)		66,904		4,695
Visa, Cl A (A)		563,482		46,600
Western Digital		53,726		3,141
Xerox (A)		615,102		6,231
Zynga, Cl A *		735,281		2,140


				585,644


Materials — 3.5%
Cabot		80,518		4,220
Cemex ADR *		907,691		7,207
Eastman Chemical		151,183		10,232
Ecolab (A)		43,203		5,259



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Huntsman		143,031	$	2,327
International Paper (A)		276,851		13,283
Louisiana-Pacific *(A)		159,566		3,005
LyondellBasell Industries, Cl A		121,788		9,823
Mosaic		404,371		9,891
Reliance Steel & Aluminum		109,912		7,917
Sherwin-Williams, Cl A (A)		44,215		12,233


				85,397


Real Estate — 2.0%
CBL & Associates Properties ^‡(A)		176,542		2,143
Crown Castle International ^‡(A)		326,330		30,744
Equinix ^‡		39,653		14,285


				47,172


Telecommunication Services — 1.3%
AT&T		50,618		2,056
SBA Communications, Cl A *		47,570		5,335
Verizon Communications (A)		444,984		23,130


				30,521


Utilities — 2.9%
Ameren		62,345		3,066
American Electric Power		164,703		10,576
Entergy		205,126		15,739
Exelon		518,548		17,263
FirstEnergy		87,516		2,895
Public Service Enterprise Group		456,756		19,124


				68,663


Total Common Stock (Cost $1,863,844) ($ Thousands)				2,257,038


	Face Amount (Thousands)

U.S. TREASURY OBLIGATION — 0.0%
U.S. Treasury Bills
0.239%, 10/20/2016	$	925		925


Total U.S. Treasury Obligation (Cost $925) ($ Thousands)				925


	Shares

AFFILIATED PARTNERSHIP — 10.9%
SEI Liquidity Fund, L.P.
0.440% **^†(C)		261,550,929		261,551


Total Affiliated Partnership (Cost $261,551) ($ Thousands)				261,551



Description	Shares		Market Value ($ Thousands)

CASH EQUIVALENT — 6.2%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		149,114,835	$	149,115


Total Cash Equivalent (Cost $149,115) ($ Thousands)				149,115


Total Investments — 111.1% (Cost $2,275,435) ($ Thousands)			$	2,668,629

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Depreciation
($ Thousands)

S&P 500 Index E-MINI

149

Dec-2016

$(24)

S&P Mid Cap 400 Index E-MINI

Dec-2016

(4)

$(28)

Percentages are based on Net Assets of $2,402,274 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $258,188 ($ Thousands).

(B)	Security is a Master Limited Partnership. At September 30, 2016, such securities amounted to $9,918 ($ Thousands), or 0.41% of Net Assets (see Note 2).

(C)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $261,551 ($ Thousands).

(D)	The rate reported is the effective yield at time of purchase.

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P — Standards and Poor’s

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	2,257,038		$	–	$	–	$	2,257,038
U.S. Treasury Obligation		–			925		–		925
Affiliated Partnership		–			261,551		–		261,551
Cash Equivalent		149,115			–		–		149,115

Total Investments in Securities	$	2,406,153		$	262,476	$	–	$	2,668,629



Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *
Unrealized Depreciation	$	(28	)	$	—	$	—	$	(28	)

Total Other Financial Instruments	$	(28	)	$	—	$	—	$	(28	)

* Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.5%

Consumer Discretionary — 10.2%
Best Buy		150,296	$	5,738
Brinker International		71,546		3,608
Dick's Sporting Goods		94,123		5,339
Dillard's, Cl A		75,273		4,743
Dollar General		77,782		5,444
Ford Motor		480,485		5,799
GameStop, Cl A (A)		66,203		1,827
General Motors		632,729		20,102
Goodyear Tire & Rubber		369,058		11,921
Harley-Davidson, Cl A		26,905		1,415
Kohl's		204,750		8,958
Lear		27,271		3,306
Lowe's		29,259		2,113
Macy's		249,240		9,234
Michael Kors Holdings *		114,800		5,371
Norwegian Cruise Line Holdings *		185,734		7,002
Omnicom Group		106,508		9,053
PulteGroup		194,717		3,902
Signet Jewelers		25,423		1,895
Staples		140,647		1,203
Target, Cl A		24,012		1,649
Toyota Motor ADR (A)		33,518		3,890
Tupperware Brands		36,077		2,358
Viacom, Cl B		85,267		3,249
Whirlpool		42,174		6,839


				135,958


Consumer Staples — 6.9%
Archer-Daniels-Midland		35,965		1,517
Bunge		60,393		3,577
CVS Health		111,992		9,966
Ingredion		55,937		7,443
JM Smucker		52,960		7,178
Kimberly-Clark		30,306		3,823
Kroger		310,514		9,216
Philip Morris International		133,028		12,933
Pilgrim's Pride *		155,207		3,278
Procter & Gamble		86,669		7,778
Reynolds American		103,388		4,875
Tyson Foods, Cl A		152,753		11,406
Wal-Mart Stores		110,785		7,990


				90,980


Energy — 10.4%
Anadarko Petroleum, Cl A		52,763		3,343
Apache		54,557		3,485
BP ADR (A)		352,110		12,380
Canadian Natural Resources		133,114		4,265
Chevron		115,452		11,882
Devon Energy		204,395		9,016
Ensco, Cl A		200,685		1,706



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Exxon Mobil		166,057	$	14,494
Helmerich & Payne (A)		106,797		7,187
HollyFrontier		114,047		2,794
Kinder Morgan		349,638		8,087
Marathon Petroleum		202,420		8,216
Occidental Petroleum		146,728		10,699
Oceaneering International, Cl A		67,066		1,845
PBF Energy, Cl A (A)		228,369		5,170
Phillips 66		121,518		9,788
Royal Dutch Shell ADR, Cl A		142,157		7,118
Southwestern Energy *		404,468		5,598
Tesoro		26,013		2,070
Valero Energy		170,168		9,019


				138,162


Financials — 22.5%
Aflac		173,489		12,469
Allstate		107,848		7,461
Ally Financial		70,898		1,380
American Capital Agency, Cl A ^‡		94,520		1,847
American Financial Group		22,794		1,709
Ameriprise Financial		29,033		2,897
Annaly Capital Management ^‡		628,409		6,598
Assurant		19,613		1,809
Bank of America		2,036,175		31,866
Berkshire Hathaway, Cl B *		60,939		8,804
Blackstone Group (B)		119,495		3,051
Capital One Financial		87,452		6,282
CIT Group		58,606		2,127
Citigroup		378,272		17,866
Cullen/Frost Bankers (A)		66,431		4,779
Discover Financial Services		148,304		8,387
Everest Re Group		42,213		8,019
Fifth Third Bancorp		118,530		2,425
Goldman Sachs Group		8,298		1,338
Huntington Bancshares		322,922		3,184
JPMorgan Chase		510,041		33,964
KKR (B)		467,232		6,663
Lincoln National		28,386		1,333
Marsh & McLennan		85,318		5,738
MetLife		588,502		26,147
MFA Financial ^‡		180,592		1,351
Morgan Stanley		43,957		1,409
Nasdaq, Cl A		18,895		1,276
PNC Financial Services Group		130,000		11,712
Popular		108,137		4,133
Prudential Financial		47,585		3,885
Radian Group		103,250		1,399
Regions Financial		276,285		2,727
Reinsurance Group of America, Cl A		47,194		5,094
Santander Consumer USA Holdings *		136,408		1,659
State Street		172,944		12,042



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
SunTrust Banks		189,525	$	8,301
Synchrony Financial		284,307		7,961
Travelers		65,347		7,485
Two Harbors Investment ^‡		433,365		3,697
Unum Group		52,306		1,847
Voya Financial		496,151		14,299


				298,420


Health Care — 13.5%
Abbott Laboratories		118,290		5,002
AbbVie		83,535		5,269
Aetna, Cl A		54,793		6,326
AmerisourceBergen		71,616		5,785
Amgen, Cl A		77,482		12,925
Anthem		73,740		9,240
Baxter International		176,493		8,401
Becton Dickinson		31,741		5,705
Biogen *		22,482		7,037
Express Scripts Holding *		41,792		2,948
Gilead Sciences		125,409		9,922
HCA Holdings *		99,215		7,504
Horizon Pharma *		108,470		1,967
Johnson & Johnson		243,250		28,735
Laboratory Corp of America Holdings *		11,245		1,546
Mallinckrodt *		59,955		4,184
Merck		216,717		13,525
Mylan *		70,384		2,683
Pfizer		449,009		15,208
Quest Diagnostics		53,172		4,500
Teva Pharmaceutical Industries ADR		130,992		6,027
UnitedHealth Group		70,482		9,867
Universal Health Services, Cl B		11,111		1,369
Zimmer Biomet Holdings		30,741		3,997


				179,672


Industrials — 9.5%
3M		40,100		7,067
AECOM *		50,834		1,511
AerCap Holdings *		93,746		3,608
Alaska Air Group		26,192		1,725
American Airlines Group		241,287		8,834
BE Aerospace		28,696		1,482
Boeing		10,922		1,439
Carlisle		22,997		2,359
Caterpillar, Cl A		57,818		5,133
Chicago Bridge & Iron		91,743		2,572
Delta Air Lines, Cl A		363,710		14,316
Eaton		81,075		5,327
FedEx		30,115		5,261
Fluor		111,063		5,700
General Electric		104,941		3,108
Illinois Tool Works		87,772		10,519



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
JetBlue Airways *		99,671	$	1,718
ManpowerGroup		16,193		1,170
Northrop Grumman		31,120		6,658
Oshkosh Truck		38,255		2,142
Owens Corning		54,642		2,917
Raytheon		16,580		2,257
RR Donnelley & Sons		79,864		1,256
Terex		146,682		3,727
Trinity Industries		132,146		3,195
Triumph Group		204,175		5,692
United Continental Holdings *		76,630		4,021
USG *		51,700		1,336
Waste Management		24,185		1,542
WW Grainger (A)		38,001		8,544


				126,136


Information Technology — 11.3%
Apple		20,805		2,352
Applied Materials		143,764		4,335
Arrow Electronics, Cl A *		23,777		1,521
Automatic Data Processing		103,513		9,130
Avnet		48,618		1,996
Brocade Communications Systems		436,293		4,027
CA		43,393		1,435
Cisco Systems		427,709		13,567
Dell Technologies - VMware, Cl V *		25,354		1,212
Harris		30,285		2,774
Hewlett Packard Enterprise		580,558		13,208
HP		503,743		7,823
Ingram Micro, Cl A *		193,966		6,917
Intel		435,126		16,426
International Business Machines		37,199		5,909
Juniper Networks		75,740		1,822
Keysight Technologies *		167,867		5,320
Microchip Technology (A)		148,088		9,202
Micron Technology *		498,716		8,867
Nuance Communications *		67,079		973
Qualcomm		229,873		15,746
Seagate Technology (A)		51,042		1,968
Skyworks Solutions		80,000		6,091
Symantec, Cl A		74,539		1,871
Tech Data *		17,949		1,520
Western Digital		47,670		2,787
Xerox		156,021		1,581


				150,380


Materials — 4.9%
Cabot		26,288		1,378
Cemex ADR *		747,878		5,938
CF Industries Holdings		48,660		1,185
Domtar		33,526		1,245
Dow Chemical, Cl A		148,129		7,677



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Eastman Chemical		126,251	$	8,545
Huntsman		157,022		2,555
International Paper		210,607		10,105
Louisiana-Pacific *		107,838		2,031
LyondellBasell Industries, Cl A		61,034		4,923
Mosaic		319,081		7,805
Owens-Illinois *		63,621		1,170
Reliance Steel & Aluminum		120,206		8,658
Sonoco Products		28,379		1,499


				64,714


Real Estate — 1.0%
Brandywine Realty Trust ^‡		90,795		1,418
Healthcare Trust of America, Cl A ^‡		69,743		2,275
Hospitality Properties Trust ^‡		192,037		5,707
Howard Hughes *		13,280		1,521
Senior Housing Properties Trust ^‡		130,790		2,970


				13,891


Telecommunication Services — 1.7%
AT&T		172,812		7,018
China Mobile ADR		69,040		4,248
Verizon Communications		214,992		11,175


				22,441


Utilities — 4.6%
Ameren		89,535		4,403
American Electric Power		55,410		3,558
Atmos Energy		37,934		2,825
Edison International		35,217		2,544
Entergy		127,953		9,818
Exelon		452,364		15,059
FirstEnergy		227,678		7,532
Public Service Enterprise Group		307,492		12,875
UGI		28,205		1,276
Vectren		25,472		1,279

				61,169

Total Common Stock (Cost $1,110,077) ($ Thousands)				1,281,923


	Face Amount (Thousands)

U.S. TREASURY OBLIGATION — 0.0%
U.S. Treasury Bills
0.216%, 10/20/2016 (C)	$	25		25


Total U.S. Treasury Obligation (Cost $25) ($ Thousands)				25



Description	Shares		Market Value ($ Thousands)

AFFILIATED PARTNERSHIP — 3.7%
SEI Liquidity Fund, L.P.
0.440% **^†(D)		49,706,717	$	49,707


Total Affiliated Partnership (Cost $49,707) ($ Thousands)				49,707


CASH EQUIVALENT — 3.6%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		47,204,335		47,204


Total Cash Equivalent (Cost $47,204) ($ Thousands)				47,204


Total Investments — 103.8% (Cost $1,207,013) ($ Thousands)			$	1,378,859

Percentages are based on Net Assets of $1,328,198 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $49,352 ($ Thousands).

(B)	Security is a Master Limited Partnership. At September 30, 2016, such securities amounted to $9,714 ($ Thousands), or 0.73% of Net Assets (see Note 2).

(C)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(D)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $49,707 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,281,923	$	–	$	–	$	1,281,923
U.S. Treasury Obligation		–		25		–		25
Affiliated Partnership		–		49,707		–		49,707
Cash Equivalent		47,204		–		–		47,204

Total Investments in Securities	$	1,329,127	$	49,732	$	–	$	1,378,859

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.9%

Consumer Discretionary — 15.8%
Amazon.com, Cl A *		46,767	$	39,159
Chipotle Mexican Grill, Cl A *		19,111		8,094
Discovery Communications, Cl C *		65,613		1,726
Dollar General		181,933		12,734
Domino's Pizza		53,463		8,118
Foot Locker, Cl A		25,602		1,734
Home Depot		92,651		11,922
Interpublic Group		62,328		1,393
L Brands		344,343		24,369
Lear		13,283		1,610
Liberty Global, Cl A *		263,697		9,013
Liberty Global, Cl C *		323,698		10,695
Liberty Interactive QVC Group, Cl A *		1,566,328		31,342
Michael Kors Holdings *		26,171		1,225
NetFlix *		120,124		11,838
Nike, Cl B		219,690		11,567
Nordstrom (A)		26,528		1,376
NVR *		1,280		2,099
Priceline Group *		7,892		11,613
TripAdvisor *		419,085		26,478


				228,105


Consumer Staples — 5.5%
Altria Group		41,450		2,621
Anheuser-Busch InBev ADR		87,507		11,499
Campbell Soup		42,678		2,334
Clorox		55,344		6,928
Constellation Brands, Cl A		104,035		17,321
Costco Wholesale		60,557		9,235
Dr Pepper Snapple Group		63,439		5,793
Hormel Foods		37,665		1,429
Mead Johnson Nutrition, Cl A		47,023		3,715
SYSCO, Cl A		26,613		1,304
Tyson Foods, Cl A		19,413		1,450
Walgreens Boots Alliance		205,556		16,572


				80,201


Energy — 1.2%
Concho Resources *		50,838		6,982
EOG Resources		67,924		6,569
Pioneer Natural Resources		20,289		3,767


				17,318


Financials — 3.2%
Berkshire Hathaway, Cl B *		104,419		15,085
CBOE Holdings		51,860		3,363
Intercontinental Exchange		102,706		27,665


				46,113


Health Care — 18.4%
Alexion Pharmaceuticals *		113,605		13,921
Allergan *		136,819		31,511



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Anthem		10,922	$	1,369
AstraZeneca ADR (A)		78,312		2,573
Becton Dickinson		81,304		14,613
Biogen *		133,179		41,689
Boston Scientific *		228,385		5,436
Cardinal Health		16,126		1,253
Celgene, Cl A *		328,873		34,377
DENTSPLY SIRONA		298,269		17,726
Gilead Sciences		50,142		3,967
Illumina *		61,671		11,203
IMS Health Holdings *		284,475		8,915
Intuitive Surgical *		2,018		1,463
Novo Nordisk ADR		260,343		10,828
Quintiles Transnational *		226,064		18,325
Regeneron Pharmaceuticals *		28,149		11,316
UnitedHealth Group		238,659		33,412
Vertex Pharmaceuticals *		24,333		2,122


				266,019


Industrials — 5.1%
Acuity Brands		22,249		5,887
C.H. Robinson Worldwide		51,742		3,646
Delta Air Lines, Cl A		106,451		4,190
Huntington Ingalls Industries, Cl A		9,040		1,387
JB Hunt Transport Services		25,548		2,073
Lennox International		19,246		3,022
Nielsen Holdings		397,806		21,311
Norfolk Southern		89,217		8,659
Roper Technologies		40,889		7,461
Snap-on		17,379		2,641
Southwest Airlines, Cl A		44,257		1,721
Toro		41,774		1,957
TransDigm Group *		35,540		10,275


				74,230


Information Technology — 40.3%
Activision Blizzard		270,819		11,997
Alphabet, Cl A *		83,962		67,510
Alphabet, Cl C *		28,869		22,440
Apple		133,029		15,039
Applied Materials		191,427		5,772
ASML Holding, Cl G		34,819		3,815
Broadcom		15,571		2,686
CDW		62,718		2,868
eBay *		935,848		30,789
Electronic Arts *		405,875		34,662
F5 Networks, Cl A *		11,629		1,449
Facebook, Cl A *		465,968		59,770
Fiserv, Cl A *		93,185		9,269
FleetCor Technologies *		65,197		11,327
Global Payments		119,098		9,142
Intuit		191,540		21,071
Jack Henry & Associates		15,883		1,359



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
MasterCard, Cl A		293,441	$	29,863
Microsoft		977,374		56,297
PayPal Holdings *		874,367		35,823
Qualcomm		623,798		42,730
salesforce.com *		73,803		5,264
Symantec, Cl A		596,567		14,974
Tencent Holdings ADR		436,761		12,175
Texas Instruments		53,984		3,789
Vantiv, Cl A *		92,552		5,208
Visa, Cl A		799,040		66,081

				583,169


Materials — 1.8%
Ecolab		70,309		8,558
LyondellBasell Industries, Cl A		28,606		2,308
Sherwin-Williams, Cl A		53,333		14,755

				25,621


Real Estate — 3.9%
Crown Castle International ^‡		410,045		38,630
Equinix ^‡		49,967		18,001

				56,631


Telecommunication Services — 0.7%
SBA Communications, Cl A *		69,653		7,812
Verizon Communications		53,366		2,774

				10,586


Total Common Stock (Cost $1,053,964) ($ Thousands)				1,387,993


	Face Amount (Thousands)
U.S. TREASURY OBLIGATION — 0.0%
U.S. Treasury Bills
0.216%, 10/20/2016 (B) (C)	$	25		25


Total U.S. Treasury Obligation (Cost $25) ($ Thousands)				25


	Shares

AFFILIATED PARTNERSHIP — 0.3%
SEI Liquidity Fund, L.P.
0.440% **^†(D)		4,044,105		4,044


Total Affiliated Partnership
(Cost $4,044) ($ Thousands)				4,044



Description	Shares		Market Value ($ Thousands)

CASH EQUIVALENT — 4.3%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		62,625,698	$	62,626


Total Cash Equivalent (Cost $62,626) ($ Thousands)				62,626


Total Investments — 100.5% (Cost $1,120,659) ($ Thousands)			$	1,454,688

Percentages are based on Net Assets of $1,446,920 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

^††	Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $3,948 ($ Thousands).

(B)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C)	The rate reported is the effective yield at time of purchase.

(D)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $4,044 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,387,993	$	–	$	–	$	1,387,993
U.S. Treasury Obligation		–		25		–		25
Affiliated Partnership		–		4,044		–		4,044
Cash Equivalent		62,626		–		–		62,626

Total Investments in Securities	$	1,450,619	$	4,069	$	–	$	1,454,688

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 93.8%

Consumer Discretionary — 13.1%
Amazon.com, Cl A *		49,176	$	41,176
Bed Bath & Beyond		48,438		2,088
Best Buy		186,465		7,119
Brinker International		22,523		1,136
Charter Communications, Cl A *		29,337		7,920
Chipotle Mexican Grill, Cl A *		13,013		5,511
Comcast, Cl A		81,471		5,405
Darden Restaurants		34,626		2,123
Delphi Automotive		91,343		6,515
Dick's Sporting Goods		202,635		11,493
Dollar General		81,182		5,682
Domino's Pizza		25,114		3,814
Ford Motor		1,028,932		12,419
GameStop, Cl A (A)		89,722		2,475
General Motors		839,917		26,684
Genuine Parts		27,400		2,752
Goodyear Tire & Rubber		179,472		5,797
Graham Holdings, Cl B		809		389
Groupon, Cl A *(A)		347,146		1,788
Harley-Davidson, Cl A		30,157		1,586
Home Depot		118,848		15,293
International Game Technology		79,819		1,946
Interpublic Group		55,709		1,245
Kohl's (A)		256,630		11,228
L Brands		364,619		25,804
Las Vegas Sands		22,879		1,316
Lear		115,549		14,007
Liberty Global, Cl A *		112,201		3,835
Liberty Global, Cl C *		307,545		10,161
Liberty Interactive QVC Group, Cl A *		1,198,119		23,974
Lowe's		45,020		3,251
Macy's		305,845		11,332
Magna International, Cl A		255,130		10,958
Marriott International, Cl A		40,040		2,696
Michael Kors Holdings *		279,901		13,097
Murphy USA *		24,225		1,729
NetFlix *		63,236		6,232
Nike, Cl B		329,743		17,361
Norwegian Cruise Line Holdings *		369,890		13,945
Omnicom Group		191,057		16,240
Priceline Group *		7,673		11,291
PulteGroup		435,000		8,717
PVH		19,211		2,123
Ross Stores		84,479		5,432
Scripps Networks Interactive, Cl A		16,630		1,056
Signet Jewelers		11,777		878
Staples		721,965		6,173
Starbucks		227,286		12,305
Target, Cl A		21,414		1,471
TEGNA		153,973		3,366
Time Warner		41,985		3,342



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
TJX		44,758	$	3,347
TopBuild *		51,618		1,714
Toyota Motor ADR (A)		49,676		5,765
TripAdvisor *		326,096		20,603
Tupperware Brands		21,691		1,418
Urban Outfitters *		33,167		1,145
Walt Disney		54,000		5,014
Whirlpool		68,064		11,037
Yum! Brands		89,577		8,134


				473,853


Consumer Staples — 6.6%
Altria Group		127,397		8,055
Anheuser-Busch InBev ADR		85,244		11,202
Archer-Daniels-Midland		148,154		6,248
Bunge		31,232		1,850
Clorox		53,141		6,652
Coca-Cola		84,125		3,560
ConAgra Foods		54,663		2,575
Constellation Brands, Cl A		84,705		14,103
Costco Wholesale		111,223		16,963
CVS Health		185,772		16,532
Dr Pepper Snapple Group		25,908		2,366
General Mills		16,297		1,041
Hershey		3,593		343
Hormel Foods		20,520		778
Ingredion		40,323		5,365
JM Smucker		34,455		4,670
Kimberly-Clark		51,071		6,442
Kraft Heinz		13,143		1,176
Kroger		530,992		15,760
Mead Johnson Nutrition, Cl A		88,188		6,968
Mondelez International, Cl A		122,182		5,364
PepsiCo		3,825		416
Philip Morris International		115,139		11,194
Procter & Gamble		80,986		7,268
Reynolds American		242,984		11,457
Tyson Foods, Cl A		359,376		26,835
Walgreens Boots Alliance		289,947		23,376
Wal-Mart Stores		276,893		19,969


				238,528


Energy — 6.1%
Anadarko Petroleum, Cl A		53,445		3,386
Apache		141,776		9,055
BP ADR (A)		639,751		22,494
Canadian Natural Resources		311,948		9,995
Chevron		213,036		21,926
Concho Resources *		34,048		4,676
Devon Energy		606,496		26,752
Diamond Offshore Drilling *		284,470		5,009
EP Energy, Cl A *(A)		349,551		1,531



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Exxon Mobil		164,776	$	14,382
FMC Technologies *		105,032		3,116
Helmerich & Payne (A)		52,920		3,561
Hess		52,408		2,810
HollyFrontier		163,780		4,013
Kinder Morgan		704,998		16,307
Marathon Oil		290,425		4,592
Marathon Petroleum		270,012		10,960
Occidental Petroleum		33,020		2,408
Phillips 66		151,255		12,184
Royal Dutch Shell ADR, Cl A		42,286		2,117
Southwestern Energy *(A)		1,163,610		16,104
Teekay Shipping (A)		146,650		1,131
Tesoro		62,488		4,972
Valero Energy		245,630		13,018
Williams		102,633		3,154


				219,653


Financials — 13.8%
Aflac		255,654		18,374
Allstate		59,438		4,112
Ally Financial		156,993		3,057
American Financial Group		39,790		2,984
American International Group		232,082		13,772
Ameriprise Financial		82,444		8,225
Assurant		132,522		12,225
Bank of America		2,378,236		37,219
BB&T		41,703		1,573
Berkshire Hathaway, Cl B *		148,096		21,395
Blackstone Group (B)		116,035		2,962
Capital One Financial		113,167		8,129
CIT Group		106,074		3,850
Citigroup		379,987		17,947
CME Group		87,815		9,178
Cullen/Frost Bankers (A)		37,402		2,691
Discover Financial Services		241,586		13,662
Everest Re Group		57,218		10,870
Fifth Third Bancorp (A)		478,279		9,786
Franklin Resources		88,854		3,161
Goldman Sachs Group		21,644		3,490
Hartford Financial Services Group		101,910		4,364
Huntington Bancshares		321,477		3,170
Intercontinental Exchange		72,626		19,563
Invesco		126,803		3,965
JPMorgan Chase		651,575		43,388
KeyCorp		816,571		9,938
KKR, Cl Miscellaneous (B)		593,261		8,460
Lincoln National		182,558		8,577
Marsh & McLennan		102,651		6,903
MetLife		591,627		26,286
MFA Financial ‡		161,550		1,208
Morgan Stanley		311,935		10,001



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
PNC Financial Services Group		124,968	$	11,258
Popular		193,445		7,393
Principal Financial Group, Cl A		139,391		7,180
Progressive		44,272		1,395
Prudential Financial		125,547		10,251
Radian Group		138,469		1,876
Regions Financial		507,300		5,007
Reinsurance Group of America, Cl A		61,098		6,595
S&P Global		23,272		2,945
Santander Consumer USA Holdings *		691,937		8,414
Starwood Property Trust ^‡		153,603		3,459
State Street		165,424		11,518
SunTrust Banks		142,000		6,220
Synchrony Financial		39,416		1,104
Travelers		120,419		13,794
Two Harbors Investment ^‡		456,366		3,893
Unum Group		155,168		5,479
Validus Holdings		28,272		1,408
Voya Financial		615,401		17,736
Wells Fargo		427,725		18,940


				500,350


Health Care — 13.7%
Abbott Laboratories		99,343		4,201
AbbVie		206,293		13,011
Aetna, Cl A		79,792		9,212
Alexion Pharmaceuticals *		79,977		9,800
Allergan *		89,650		20,647
AmerisourceBergen		97,471		7,874
Amgen, Cl A		120,417		20,087
Anthem		91,456		11,460
AstraZeneca ADR (A)		146,056		4,799
Baxter International		180,158		8,575
Becton Dickinson		43,917		7,893
Biogen *		176,222		55,163
Boston Scientific *		218,646		5,204
Bruker BioSciences		114,861		2,602
C.R. Bard		30,808		6,910
Cardinal Health		83,112		6,458
Celgene, Cl A *		340,478		35,590
Centene *		39,088		2,617
Charles River Laboratories International *		14,173		1,181
Cigna		68,071		8,871
DENTSPLY SIRONA (A)		153,475		9,121
Edwards Lifesciences, Cl A *		47,124		5,681
Endo International *		86,639		1,746
Gilead Sciences		185,910		14,709
HCA Holdings *		144,187		10,905
Hologic *		34,000		1,320
Horizon Pharma *(A)		196,339		3,560
Humana		44,504		7,872
Idexx Laboratories *		72,356		8,157



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Illumina *		55,646	$	10,109
IMS Health Holdings *		79,937		2,505
Intuitive Surgical *		7,226		5,238
Ionis Pharmaceuticals *		109,925		4,028
Jazz Pharmaceuticals *		16,083		1,954
Johnson & Johnson		224,386		26,507
Mallinckrodt *		75,667		5,280
McKesson		33,384		5,567
Merck		290,561		18,134
Mettler Toledo International *		2,765		1,161
Mylan *		89,707		3,420
Novo Nordisk ADR		326,982		13,599
Pfizer		706,138		23,917
Quest Diagnostics		12,728		1,077
Quintiles Transnational *		134,735		10,922
Regeneron Pharmaceuticals *		24,257		9,752
Teva Pharmaceutical Industries ADR		148,926		6,852
United Therapeutics *		47,682		5,630
UnitedHealth Group		127,790		17,891
Universal Health Services, Cl B		10,672		1,315
Vertex Pharmaceuticals *		42,616		3,716
Zimmer Biomet Holdings		82,010		10,663
Zoetis, Cl A		43,368		2,255


				496,718


Industrials — 7.3%
3M		52,661		9,280
Acuity Brands		17,836		4,719
AECOM *		38,691		1,150
AerCap Holdings *		231,360		8,905
AGCO		52,600		2,594
Alaska Air Group		181,446		11,950
American Airlines Group		251,322		9,201
BE Aerospace		20,939		1,082
BWX Technologies, Cl W		37,080		1,423
C.H. Robinson Worldwide		31,918		2,249
Caterpillar, Cl A		47,565		4,222
Deere (A)		31,142		2,658
Delta Air Lines, Cl A		448,474		17,652
Eaton		239,695		15,750
FedEx		20,626		3,603
Fluor		99,000		5,081
General Dynamics		19,797		3,072
General Electric		224,840		6,660
Huntington Ingalls Industries, Cl A		63,273		9,707
Illinois Tool Works (A)		117,212		14,047
Lockheed Martin		35,370		8,479
ManpowerGroup		18,167		1,313
Masco		39,457		1,354
Nielsen Holdings		171,337		9,179
Norfolk Southern		64,160		6,227
Northrop Grumman		88,312		18,894



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Oshkosh Truck		98,940	$	5,541
Owens Corning		28,000		1,495
Raytheon		135,818		18,489
Roper Technologies		24,000		4,379
RR Donnelley & Sons		93,388		1,468
Southwest Airlines, Cl A		233,769		9,091
Spirit AeroSystems Holdings, Cl A *		31,308		1,394
SPX *		206,472		4,158
SPX FLOW *		145,067		4,485
Terex		202,319		5,141
Textron		18,331		729
TransDigm Group *		7,723		2,233
Trinity Industries		142,401		3,443
United Continental Holdings *		219,507		11,518
USG *		38,000		982
Waste Management		18,232		1,163
WW Grainger (A)		30,341		6,822


				262,982


Information Technology — 23.6%
Accenture, Cl A		96,547		11,795
Activision Blizzard		225,719		9,999
Adobe Systems *		144,353		15,668
Alphabet, Cl A *		72,514		58,306
Alphabet, Cl C *		31,880		24,780
Amdocs		87,071		5,037
Apple		329,490		37,249
Applied Materials		507,844		15,311
Automatic Data Processing		65,350		5,764
Broadcom		35,768		6,171
Brocade Communications Systems		213,029		1,966
CA		81,679		2,702
Cisco Systems		518,629		16,451
Citrix Systems *		61,566		5,247
Cognizant Technology Solutions, Cl A *		90,285		4,307
Computer Sciences		28,981		1,513
CoreLogic *		19,431		762
Corning, Cl B		234,159		5,538
Dell Technologies - VMware, Cl V *		1		—
DST Systems		11,635		1,372
eBay *		1,003,808		33,025
Electronic Arts *		396,259		33,841
Facebook, Cl A *		430,310		55,196
First Solar *		102,904		4,064
FleetCor Technologies *		41,862		7,273
Genpact *		160,287		3,839
Harris		25,220		2,310
Hewlett Packard Enterprise		1,248,924		28,413
HP		787,986		12,237
Ingram Micro, Cl A *		158,717		5,660
Intel		570,596		21,540
International Business Machines		70,641		11,221



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Intuit		156,005	$	17,162
Jabil Circuit		58,700		1,281
Juniper Networks		66,060		1,589
Keysight Technologies *		333,391		10,565
Lam Research (A)		22,006		2,084
Lexmark International, Cl A		59,121		2,362
LinkedIn, Cl A *		10,951		2,093
Marvell Technology Group		578,567		7,678
MasterCard, Cl A		394,592		40,158
Microchip Technology (A)		35,826		2,226
Micron Technology *		1,497,104		26,619
Microsoft		834,465		48,065
Motorola Solutions		25,730		1,963
Nuance Communications *		67,888		984
Oracle, Cl B		334,529		13,140
PayPal Holdings *		706,306		28,937
Qualcomm		809,951		55,482
Rackspace Hosting *		152,258		4,825
Red Hat *		16,812		1,359
salesforce.com *		15,984		1,140
Seagate Technology		112,151		4,323
ServiceNow *		18,268		1,446
Skyworks Solutions		160,949		12,255
Symantec, Cl A		433,589		10,883
Tableau Software, Cl A *		45,010		2,488
Tech Data *		22,300		1,889
Tencent Holdings ADR		508,111		14,164
Teradata *		50,205		1,556
Texas Instruments		211,061		14,812
VeriSign *(A)		91,384		7,150
Visa, Cl A		556,476		46,021
Vishay Intertechnology		88,686		1,250
Western Digital		128,989		7,542
Western Union		109,331		2,276
Xerox		392,593		3,977
Yelp, Cl A *		51,177		2,134
Zynga, Cl A *		591,995		1,723


				854,158


Materials — 3.6%
Cabot		99,097		5,194
Celanese, Ser A		28,298		1,884
Cemex ADR *		1,944,078		15,436
Domtar		28,000		1,040
Dow Chemical, Cl A (A)		250,839		13,001
Eastman Chemical		133,827		9,057
Ecolab		48,941		5,957
Freeport-McMoRan, Cl B *		229,050		2,488
Huntsman		312,058		5,077
Ingevity *		14,131		651
International Paper		408,052		19,578
Louisiana-Pacific *		240,753		4,533



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
LyondellBasell Industries, Cl A		171,434	$	13,828
Mosaic		186,525		4,562
Nucor		66,958		3,311
Owens-Illinois *		225,590		4,149
Reliance Steel & Aluminum		65,718		4,734
Sealed Air		22,988		1,053
Sherwin-Williams, Cl A		39,129		10,825
Westlake Chemical		14,664		785
WestRock		84,787		4,110


				131,253


Real Estate — 2.1%
Brandywine Realty Trust ^‡		185,374		2,896
CBL & Associates Properties ^‡		361,216		4,385
CBRE Group, Cl A *		32,365		906
Columbia Property Trust ^‡		46,664		1,045
Corporate Office Properties Trust ^‡		203,059		5,757
Crown Castle International ^‡		320,212		30,167
Equinix ^‡		48,540		17,486
Hospitality Properties Trust ^‡		97,540		2,899
Host Hotels & Resorts ^‡		135,804		2,114
NorthStar Realty Finance ^‡		260,207		3,427
Outfront Media ^‡		134,267		3,175
Public Storage ^‡		4,106		916
Simon Property Group ^‡		6,723		1,392
Weyerhaeuser ^‡		41,353		1,321


				77,886


Telecommunication Services — 1.4%
AT&T		348,990		14,172
China Mobile ADR		107,908		6,639
SBA Communications, Cl A *		51,639		5,792
Verizon Communications		483,896		25,153


				51,756


Utilities — 2.5%
Ameren		113,300		5,572
American Electric Power		179,636		11,534
Calpine *		387,320		4,896
Centerpoint Energy		201,621		4,684
Consolidated Edison		18,914		1,424
Edison International		234,583		16,949
Entergy		131,055		10,056
Exelon		612,172		20,379
Public Service Enterprise Group		316,913		13,269
WEC Energy Group		57,461		3,441


				92,204


Total Common Stock (Cost $2,151,810) ($ Thousands)				3,399,341



Description	Number of Rights		Market Value ($ Thousands)

RIGHTS — 0.0%
United States — 0.0%
Safeway CVR - Casa Ley *^‡‡		107,954	$	110
Safeway CVR - PDC *^‡‡		107,954		5


Total Rights (Cost $—) ($ Thousands)				115


	Face Amount (Thousands)

U.S. TREASURY OBLIGATION — 0.0%
U.S. Treasury Bills
0.237%, 10/20/2016 (C) (D)	$	1,005		1,005


Total U.S. Treasury Obligation (Cost $1,005) ($ Thousands)				1,005


	Shares

AFFILIATED PARTNERSHIP — 3.1%
SEI Liquidity Fund, L.P.
0.440% **^†(E)		111,916,706		111,917


Total Affiliated Partnership (Cost $111,917) ($ Thousands)				111,917


CASH EQUIVALENT — 6.1%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		222,381,770		222,382


Total Cash Equivalent (Cost $222,382) ($ Thousands)				222,382


Total Investments — 103.0% (Cost $2,487,114) ($ Thousands)			$	3,734,760

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

146

Dec-2016

$23

S&P Mid Cap 400 Index E-MINI

Dec-2016

–

$23

Percentages are based on Net Assets of $3,625,346 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^‡‡	Expiration date unavailable.

^†	Investment in Affiliated Security (see Note 6).

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $110,925 ($ Thousands).

(B)	Security is a Master Limited Partnership. At September 30, 2016, such securities amounted to $11,422 ($ Thousands), or 0.32% of Net Assets (see Note 2).

(C)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(D)	The rate reported is the effective yield at time of purchase.

(E)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $111,917 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

CVR — Contingent Value Rights

L.P. — Limited Partnership

S&P— Standard & Poor's

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	3,399,341	$	–	$	–	$	3,399,341
Rights		–		115		–		115
U.S. Treasury Obligation		–		1,005		–		1,005
Affiliated Partnership		–		111,917		–		111,917
Cash Equivalent		222,382		–		–		222,382

Total Investments in Securities	$	3,621,723	$	113,037	$	–	$	3,734,760


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	23	$	—	$	—	$	23

Total Other Financial Instruments	$	23	$	—	$	—	$	23

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.0%

Consumer Discretionary — 12.0%
Advance Auto Parts		2,500	$	373
Amazon.com, Cl A *		13,504		11,307
Autonation *		2,526		123
Autozone *		994		764
Bed Bath & Beyond		5,333		230
Best Buy		9,254		353
BorgWarner		6,500		229
CarMax *		6,800		363
Carnival		15,184		741
CBS, Cl B		14,295		782
Charter Communications, Cl A *		7,500		2,025
Chipotle Mexican Grill, Cl A *		1,004		425
Coach		9,619		352
Comcast, Cl A		82,348		5,463
Darden Restaurants		4,018		246
Delphi Automotive		9,400		670
Discovery Communications, Cl A *		5,300		143
Discovery Communications, Cl C *		7,100		187
Dollar General		9,000		630
Dollar Tree *		8,154		644
DR Horton		11,358		343
Expedia		4,055		473
Foot Locker, Cl A		4,700		318
Ford Motor		134,937		1,629
Gap		8,031		179
Garmin		3,705		178
General Motors		48,413		1,538
Genuine Parts		5,136		516
Goodyear Tire & Rubber		9,393		303
H&R Block		7,713		179
Hanesbrands		13,000		328
Harley-Davidson, Cl A		6,208		326
Harman International Industries, Cl A		2,462		208
Hasbro		3,896		309
Home Depot		42,409		5,457
Interpublic Group		13,801		308
Johnson Controls International		32,809		1,527
Kohl's		6,356		278
L Brands		8,527		603
Leggett & Platt		4,759		217
Lennar, Cl A		6,216		263
LKQ *		10,700		379
Lowe's		29,849		2,155
Macy's		10,664		395
Marriott International, Cl A		11,224		756
Mattel		11,731		355
McDonald's		29,483		3,401
Michael Kors Holdings *		6,200		290
Mohawk Industries *		2,200		441
NetFlix *		14,800		1,459
Newell Brands, Cl B		15,855		835



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
News, Cl A		13,375	$	187
News, Cl B		4,000		57
Nike, Cl B		45,994		2,422
Nordstrom (A)		4,107		213
Omnicom Group		8,204		697
O'Reilly Automotive *		3,300		924
Priceline Group *		1,657		2,438
PulteGroup		10,999		220
PVH		2,800		309
Ralph Lauren, Cl A		2,005		203
Ross Stores		13,836		890
Royal Caribbean Cruises		5,800		435
Scripps Networks Interactive, Cl A		3,300		210
Signet Jewelers		2,700		201
Staples		22,636		194
Starbucks		50,634		2,741
Target, Cl A		19,528		1,341
TEGNA		7,747		169
Tiffany (A)		3,778		274
Time Warner		26,525		2,112
TJX		22,843		1,708
Tractor Supply		4,600		310
TripAdvisor *		3,955		250
Twenty-First Century Fox ADR, Cl A		35,959		871
Twenty-First Century Fox, Cl B		14,900		369
Ulta Salon Cosmetics & Fragrance *		2,100		500
Under Armour, Cl A *(A)		6,205		240
Under Armour, Cl C *		6,249		212
Urban Outfitters *		3,100		107
VF		11,465		643
Viacom, Cl B		12,001		457
Walt Disney		50,644		4,703
Whirlpool		2,605		422
Wyndham Worldwide		3,902		263
Wynn Resorts (A)		2,800		273
Yum! Brands		12,770		1,160


				80,721


Consumer Staples — 9.5%
Altria Group		66,973		4,235
Archer-Daniels-Midland		20,275		855
Brown-Forman, Cl B		5,892		280
Campbell Soup		6,184		338
Church & Dwight		8,600		412
Clorox		4,442		556
Coca-Cola		133,949		5,669
Colgate-Palmolive		30,895		2,291
ConAgra Foods		13,965		658
Constellation Brands, Cl A		6,100		1,016
Costco Wholesale		15,118		2,306
CVS Health		36,852		3,279
Dr Pepper Snapple Group		6,400		584



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Estee Lauder, Cl A		7,700	$	682
General Mills		20,586		1,315
Hershey		4,812		460
Hormel Foods		9,408		357
JM Smucker		4,153		563
Kellogg		8,767		679
Kimberly-Clark		12,403		1,565
Kraft Heinz		20,608		1,845
Kroger		33,036		980
McCormick		3,966		396
Mead Johnson Nutrition, Cl A		6,434		508
Molson Coors Brewing, Cl B		6,351		697
Mondelez International, Cl A		53,620		2,354
Monster Beverage *		4,518		663
PepsiCo		49,307		5,363
Philip Morris International		53,387		5,190
Procter & Gamble		92,231		8,278
Reynolds American		28,642		1,350
SYSCO, Cl A		17,720		868
Tyson Foods, Cl A		10,403		777
Walgreens Boots Alliance		29,257		2,359
Wal-Mart Stores		51,861		3,740
Whole Foods Market		11,209		318


				63,786


Energy — 6.9%
Anadarko Petroleum, Cl A		17,685		1,121
Apache		13,100		837
Baker Hughes		14,349		724
Cabot Oil & Gas		15,913		411
Chesapeake Energy *(A)		17,822		112
Chevron		64,800		6,669
Cimarex Energy		3,304		444
Concho Resources *		4,500		618
ConocoPhillips		42,760		1,859
Devon Energy		18,113		799
EOG Resources		18,997		1,837
EQT		5,905		429
Exxon Mobil		142,846		12,468
FMC Technologies *		7,900		234
Halliburton		29,742		1,335
Helmerich & Payne (A)		3,805		256
Hess		9,175		492
Kinder Morgan		66,382		1,535
Marathon Oil		29,556		467
Marathon Petroleum		18,364		745
Murphy Oil		5,772		175
National Oilwell Varco, Cl A		12,968		476
Newfield Exploration *		6,900		300
Noble Energy		14,900		533
Occidental Petroleum		26,064		1,901
Oneok		7,309		376



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Phillips 66		15,375	$	1,238
Pioneer Natural Resources		5,604		1,040
Range Resources		6,000		232
Schlumberger, Cl A		48,000		3,775
Southwestern Energy *		16,400		227
Spectra Energy		23,661		1,012
Tesoro		4,100		326
Transocean *(A)		12,000		128
Valero Energy		15,608		827
Williams		23,669		727


				46,685


Financials — 12.3%
Affiliated Managers Group *		1,900		275
Aflac		14,317		1,029
Allstate		12,959		897
American Express		26,428		1,692
American International Group		35,130		2,085
Ameriprise Financial		5,684		567
Aon		9,129		1,027
Arthur J. Gallagher		6,200		315
Assurant		2,105		194
Bank of America		349,945		5,477
Bank of New York Mellon		37,199		1,484
BB&T		28,306		1,068
Berkshire Hathaway, Cl B *		65,169		9,415
BlackRock		4,161		1,508
Capital One Financial		17,166		1,233
Charles Schwab		40,936		1,292
Chubb		16,034		2,015
Cincinnati Financial		5,183		391
Citigroup		99,551		4,702
Citizens Financial Group		18,300		452
CME Group		11,740		1,227
Comerica		6,092		288
Discover Financial Services		13,630		771
ETrade Financial		9,552		278
Fifth Third Bancorp		26,511		542
Franklin Resources		11,650		414
Goldman Sachs Group		13,065		2,107
Hartford Financial Services Group		13,586		582
Huntington Bancshares		37,014		365
Intercontinental Exchange		4,081		1,099
Invesco		14,400		450
JPMorgan Chase		124,000		8,257
KeyCorp		37,283		454
Legg Mason		2,705		91
Leucadia National		11,713		223
Lincoln National		8,298		390
Loews		9,262		381
M&T Bank		5,525		641
Marsh & McLennan		18,059		1,214



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
MetLife		37,939	$	1,686
Moody's		5,708		618
Morgan Stanley		50,161		1,608
Nasdaq, Cl A		3,900		263
Navient		11,343		164
Northern Trust		7,409		504
People's United Financial		11,000		174
PNC Financial Services Group		16,684		1,503
Principal Financial Group, Cl A		9,357		482
Progressive		20,285		639
Prudential Financial		15,266		1,247
Regions Financial		41,963		414
S&P Global		9,121		1,154
State Street		12,691		884
SunTrust Banks		17,296		758
Synchrony Financial		26,663		747
T. Rowe Price Group		8,608		572
Torchmark, Cl A		3,839		245
Travelers		10,056		1,152
Unum Group		8,161		288
US Bancorp		54,923		2,356
Wells Fargo		155,815		6,900
Willis Towers Watson		4,321		574
XL Group		10,005		336
Zions Bancorporation		7,160		222


				82,382


Health Care — 13.9%
Abbott Laboratories		50,763		2,147
AbbVie		55,868		3,524
Aetna, Cl A		12,107		1,398
Agilent Technologies		11,315		533
Alexion Pharmaceuticals *		7,700		944
Allergan *		13,653		3,144
AmerisourceBergen		6,296		509
Amgen, Cl A		25,864		4,314
Anthem		9,102		1,141
Baxter International		16,935		806
Becton Dickinson		7,358		1,322
Biogen *		7,500		2,348
Boston Scientific *		46,812		1,114
Bristol-Myers Squibb		57,692		3,111
C.R. Bard		2,488		558
Cardinal Health		10,759		836
Celgene, Cl A *		26,513		2,771
Centene *		5,900		395
Cerner *		10,100		624
Cigna		8,871		1,156
Cooper, Cl A		1,700		305
DaVita HealthCare Partners *		5,705		377
DENTSPLY SIRONA		8,109		482
Edwards Lifesciences, Cl A *		7,300		880



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Eli Lilly		33,539	$	2,692
Endo International *		7,300		147
Express Scripts Holding *		21,870		1,542
Gilead Sciences		45,166		3,573
HCA Holdings *		10,405		787
Henry Schein *		2,800		456
Hologic *		8,500		330
Humana		5,101		902
Illumina *		5,100		926
Intuitive Surgical *		1,320		957
Johnson & Johnson		94,012		11,106
Laboratory Corp of America Holdings *		3,563		490
Mallinckrodt *		3,804		265
McKesson		7,769		1,295
Medtronic		47,772		4,127
Merck		95,174		5,940
Mettler Toledo International *		900		378
Mylan *		14,915		569
Patterson		2,900		133
PerkinElmer		3,740		210
Perrigo		4,904		453
Pfizer		208,656		7,067
Quest Diagnostics		4,924		417
Regeneron Pharmaceuticals *		2,600		1,045
St. Jude Medical		9,856		786
Stryker		10,846		1,263
Thermo Fisher Scientific		13,552		2,156
UnitedHealth Group		32,660		4,572
Universal Health Services, Cl B		3,100		382
Varian Medical Systems *		3,305		329
Vertex Pharmaceuticals *		8,500		741
Waters *		2,797		443
Zimmer Biomet Holdings		6,860		892
Zoetis, Cl A		17,146		892


				93,002


Industrials — 9.6%
3M		20,791		3,664
Acuity Brands		1,500		397
Alaska Air Group		4,300		283
Allegion		3,370		232
American Airlines Group		17,809		652
Ametek		7,700		368
Boeing		20,041		2,640
C.H. Robinson Worldwide		5,005		353
Caterpillar, Cl A		20,206		1,794
Cintas		3,012		339
CSX		32,972		1,006
Cummins		5,444		698
Danaher, Cl A		20,696		1,622
Deere		9,806		837
Delta Air Lines, Cl A		25,313		996



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Dover		5,437	$	400
Dun & Bradstreet		1,205		165
Eaton		15,515		1,019
Emerson Electric		22,315		1,216
Equifax		4,130		556
Expeditors International of Washington		6,409		330
Fastenal, Cl A		10,009		418
FedEx		8,305		1,451
Flowserve		4,500		217
Fluor		4,744		243
Fortive		10,448		532
Fortune Brands Home & Security		5,300		308
General Dynamics		9,930		1,541
General Electric		307,709		9,114
Honeywell International		26,168		3,051
Illinois Tool Works		11,129		1,334
Ingersoll-Rand		8,904		605
Jacobs Engineering Group *		4,304		223
JB Hunt Transport Services		3,100		252
Kansas City Southern		3,600		336
L-3 Communications Holdings		2,623		395
Lockheed Martin		8,636		2,070
Masco		11,568		397
Nielsen Holdings		11,200		600
Norfolk Southern		10,230		993
Northrop Grumman		6,223		1,331
PACCAR		12,191		717
Parker-Hannifin, Cl A		4,671		586
Pentair		5,466		351
Pitney Bowes		6,475		118
Quanta Services *		5,100		143
Raytheon		10,273		1,398
Republic Services		8,283		418
Robert Half International		4,532		172
Rockwell Automation		4,530		554
Rockwell Collins		4,278		361
Roper Technologies		3,500		639
Ryder System		1,859		123
Snap-on		1,953		297
Southwest Airlines, Cl A		20,862		811
Stanley Black & Decker		5,040		620
Stericycle, Cl A *		2,904		233
Textron		9,307		370
TransDigm Group *		1,700		491
Union Pacific		28,801		2,809
United Continental Holdings *		10,100		530
United Parcel Service, Cl B		23,624		2,583
United Rentals *		3,000		235
United Technologies		26,641		2,707
Verisk Analytics, Cl A *		5,400		439
Waste Management		14,228		907
WW Grainger (A)		1,965		442



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Xylem		6,300	$	330


				64,362


Information Technology — 20.4%
Accenture, Cl A		21,404		2,615
Activision Blizzard		23,600		1,045
Adobe Systems *		17,241		1,871
Akamai Technologies *		6,104		323
Alliance Data Systems *		2,000		429
Alphabet, Cl A *		10,167		8,175
Alphabet, Cl C *		10,095		7,847
Amphenol, Cl A		10,709		695
Analog Devices		10,599		683
Apple		185,182		20,935
Applied Materials		37,750		1,138
Autodesk, Cl A *		6,717		486
Automatic Data Processing		15,759		1,390
Broadcom		13,646		2,354
CA		10,340		342
Cisco Systems		172,861		5,483
Citrix Systems *		5,342		455
Cognizant Technology Solutions, Cl A *		20,905		997
Corning, Cl B		35,008		828
CSRA		4,838		130
Dell Technologies - VMware, Cl V *		1		—
eBay *		36,649		1,206
Electronic Arts *		10,478		895
F5 Networks, Cl A *		2,300		287
Facebook, Cl A *		79,822		10,239
Fidelity National Information Services, Cl B		11,365		875
First Solar *		2,640		104
Fiserv, Cl A *		7,660		762
Flir Systems		4,800		151
Global Payments		5,300		407
Harris		4,300		394
Hewlett Packard Enterprise		57,591		1,310
HP		58,991		916
Intel		162,363		6,129
International Business Machines		29,846		4,741
Intuit		8,286		912
Juniper Networks		12,200		294
KLA-Tencor		5,471		381
Lam Research (A)		5,522		523
Linear Technology		7,998		474
MasterCard, Cl A		32,813		3,339
Microchip Technology (A)		7,304		454
Micron Technology *		35,969		640
Microsoft		267,789		15,425
Motorola Solutions		5,289		403
NetApp		10,185		365
Nvidia		18,465		1,265
Oracle, Cl B		104,023		4,086



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Paychex		11,169	$	646
PayPal Holdings *		37,649		1,542
Qorvo *		4,500		251
Qualcomm		50,754		3,477
Red Hat *		6,300		509
salesforce.com *		22,009		1,570
Seagate Technology		10,200		393
Skyworks Solutions		6,604		503
Symantec, Cl A		21,147		531
TE Connectivity		12,409		799
Teradata *		4,568		142
Texas Instruments		34,366		2,412
Total System Services		5,889		278
VeriSign *(A)		3,300		258
Visa, Cl A		64,718		5,352
Western Digital		9,674		566
Western Union		17,234		359
Xerox		27,706		281
Xilinx		8,809		479
Yahoo! *		30,247		1,304


				136,850


Materials — 2.8%
Air Products & Chemicals		7,526		1,131
Albemarle		3,900		333
Alcoa		45,535		462
Avery Dennison		3,115		242
Ball		5,986		491
CF Industries Holdings		8,150		198
Dow Chemical, Cl A		38,792		2,011
E.I. Du Pont de Nemours		30,148		2,019
Eastman Chemical		5,120		347
Ecolab		9,134		1,112
FMC		4,600		222
Freeport-McMoRan, Cl B *		43,336		471
International Flavors & Fragrances		2,794		399
International Paper		14,274		685
LyondellBasell Industries, Cl A		11,804		952
Martin Marietta Materials, Cl A		2,200		394
Monsanto		15,057		1,539
Mosaic		12,009		294
Newmont Mining		18,325		720
Nucor		10,995		544
Owens-Illinois *		5,600		103
PPG Industries		9,190		950
Praxair		9,699		1,172
Sealed Air		6,728		308
Sherwin-Williams, Cl A		2,716		751
Vulcan Materials		4,649		529
WestRock		8,784		426


				18,805



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Real Estate — 2.9%
American Tower, Cl A ^‡		14,700	$	1,666
Apartment Investment & Management, Cl A ^‡		5,539		254
AvalonBay Communities ^‡		4,708		837
Boston Properties ^‡		5,300		722
CBRE Group, Cl A *		10,209		286
Crown Castle International ^‡		11,604		1,093
Digital Realty Trust, Cl A ^‡		5,100		495
Equinix ^‡		2,356		849
Equity Residential ^‡		12,644		813
Essex Property Trust ^‡		2,200		490
Extra Space Storage ^‡		4,400		349
Federal Realty Investment Trust ^‡		2,400		370
General Growth Properties ^‡		20,200		558
HCP ^‡		16,100		611
Host Hotels & Resorts ^‡		26,074		406
Iron Mountain ^‡		8,238		309
Kimco Realty ^‡		14,313		414
Macerich ^‡		4,404		356
ProLogis ^‡		18,200		974
Public Storage ^‡		5,033		1,123
Realty Income ^‡		8,600		576
Simon Property Group ^‡		10,906		2,258
SL Green Realty ^‡		3,500		378
UDR ^‡		9,200		331
Ventas ^‡		11,632		822
Vornado Realty Trust ^‡		5,777		585
Welltower ^‡		12,300		920
Weyerhaeuser ^‡		25,961		829


				19,674


Telecommunication Services — 2.5%
AT&T		211,959		8,608
CenturyTel		18,870		518
Frontier Communications		40,960		170
Level 3 Communications *		10,000		464
Verizon Communications		140,296		7,292


				17,052


Utilities — 3.2%
AES		22,790		293
Alliant Energy		7,900		303
Ameren		8,453		416
American Electric Power		17,015		1,092
American Water Works		6,200		464
Centerpoint Energy		14,885		346
CMS Energy		9,601		403
Consolidated Edison		10,533		793
Dominion Resources		21,240		1,577
DTE Energy		6,245		585
Duke Energy		23,816		1,906
Edison International		11,257		813



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Entergy		6,164	$	473
Eversource Energy		11,035		598
Exelon		31,955		1,064
FirstEnergy		14,723		487
NextEra Energy		15,920		1,947
NiSource		11,192		270
NRG Energy		11,113		125
PG&E		17,129		1,048
Pinnacle West Capital		3,849		292
PPL		23,371		808
Public Service Enterprise Group		17,530		734
SCANA		5,004		362
Sempra Energy		8,170		876
Southern		33,835		1,736
WEC Energy Group		10,919		654
Xcel Energy		17,636		726


				21,191


Total Common Stock (Cost $321,045) ($ Thousands)				644,510


	Face Amount (Thousands)

U.S. TREASURY OBLIGATIONS — 0.1%
U.S. Treasury Bills
0.421%, 03/02/2017 (B)(C)	$	525		524
0.292%, 12/08/2016 (B)(C)		280		280


Total U.S. Treasury Obligations (Cost $804) ($ Thousands)				804


	Shares

AFFILIATED PARTNERSHIP — 0.5%
SEI Liquidity Fund, L.P.
0.440% **^†(D)		3,172,128		3,172


Total Affiliated Partnership (Cost $3,172) ($ Thousands)				3,172


CASH EQUIVALENT — 2.3%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		15,140,528		15,141


Total Cash Equivalent (Cost $15,141) ($ Thousands)				15,141


Total Investments — 98.9% (Cost $340,162) ($ Thousands)			$	663,627

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Appreciation
($ Thousands)

S&P 500 Index E-MINI

160

Dec-2016

$304

Percentages are based on Net Assets of $670,972 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $3,131 ($ Thousands).

(B)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C)	The rate reported is the effective yield at time of purchase.

(D)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $3,172 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

S&P— Standard & Poor's

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	644,510	$	–	$	–	$	644,510
U.S. Treasury Obligations		–		804		–		804
Affiliated Partnership		–		3,172		–		3,172
Cash Equivalent		15,141		–		–		15,141

Total Investments in Securities	$	659,651	$	3,976	$	–	$	663,627


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	304	$	—	$	—	$	304

Total Other Financial Instruments	$	304	$	—	$	—	$	304

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 93.8%

Consumer Discretionary — 10.9%
2U *		30,962	$	1,186
American Axle & Manufacturing Holdings *		40,634		700
American Eagle Outfitters (A)		30,994		554
Big Lots		64,093		3,060
Bloomin' Brands		40,646		701
Bright Horizons Family Solutions *		42,498		2,843
Buffalo Wild Wings *		4,399		619
Callaway Golf		99,851		1,159
Carrols Restaurant Group *		27,658		365
Cavco Industries *(A)		2,934		291
Century Communities *		30,103		647
Cooper Tire & Rubber		24,846		945
Cooper-Standard Holding *		9,897		978
Core-Mark Holding, Cl A (A)		59,294		2,123
Cracker Barrel Old Country Store (A)		1,589		210
CROCS *		51,875		431
Dave & Buster's Entertainment *		17,149		672
Del Taco Restaurants *(A)		52,112		621
Destination XL Group *		41,000		178
Express *		33,947		400
Fiesta Restaurant Group *		147,779		3,547
Five Below *(A)		20,824		839
Hooker Furniture		2,893		71
IMAX *(A)		16,626		482
Installed Building Products *		15,697		563
J Alexander's Holdings *		2,750		28
Jack in the Box		37,181		3,567
Libbey		144,553		2,580
Lithia Motors, Cl A (A)		9,355		894
Lumber Liquidators Holdings *(A)		34,956		688
Marriott Vacations Worldwide		22,611		1,658
Matthews International, Cl A		33,724		2,049
MDC Partners, Cl A (A)		353,676		3,791
Monro Muffler		26,893		1,645
NACCO Industries, Cl A		153		10
National CineMedia		81,267		1,196
Nexstar Broadcasting Group, Cl A (A)		12,480		720
Nutrisystem		22,883		679
Ollie's Bargain Outlet Holdings *		22,442		588
Planet Fitness, Cl A *(A)		71,969		1,444
Pool		19,540		1,847
Ruth's Chris Steak House		47,615		672
Select Comfort *		45,422		981
Sequential Brands Group *(A)		104,870		839
Shoe Carnival		25,419		678
SodaStream International *(A)		38,605		1,025
Steven Madden *		83,077		2,871
Strayer Education *		221		10
Superior Industries International		21,373		623
Tempur-Pedic International *(A)		11,571		657
Tenneco *		9,985		582



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Texas Roadhouse, Cl A		51,009	$	1,991
Tile Shop Holdings *(A)		32,638		540
Tilly's, Cl A *		23,604		222
Tower International		6,660		160
Visteon *		15,475		1,109
William Lyon Homes, Cl A *		104,006		1,929
Wolverine World Wide		35,286		813
ZAGG *		32,647		264
Zoe's Kitchen *(A)		15,779		350


				63,885


Consumer Staples — 2.8%
Andersons		38,760		1,402
B&G Foods, Cl A		37,869		1,862
Cal-Maine Foods *(A)		11,445		441
Central Garden & Pet, Cl A *		61,871		1,534
Chefs' Warehouse Holdings *		46,991		524
Dean Foods (A)		31,055		509
Fresh Del Monte Produce		18,614		1,115
Freshpet *		113,313		980
Ingredion		5,000		665
John B Sanfilippo & Son		12,062		619
Landec *		110,729		1,485
Omega Protein *		81,388		1,902
Performance Food Group *		45,286		1,123
Sanderson Farms (A)		11,435		1,102
Snyder's-Lance		14,520		488
SUPERVALU *		114,535		572


				16,323


Energy — 4.5%
Alberta Oilsands *		184,500		17
Approach Resources, Cl A *(A)		144,968		490
Ardmore Shipping		71,555		504
Atwood Oceanics, Cl A *(A)		61,558		535
Bill Barrett *(A)		83,827		466
CARBO Ceramics *(A)		108,511		1,187
Carrizo Oil & Gas *		55,373		2,249
Clayton Williams Energy *(A)		7,604		650
Dril-Quip *(A)		7,838		437
Eclipse Resources *		176,317		580
Gulfport Energy *		68,633		1,939
Matrix Service *		56,537		1,061
Oil States International *		45,587		1,439
Pacific Ethanol *(A)		111,576		771
Patterson-UTI Energy (A)		35,463		793
PBF Energy, Cl A		126,720		2,869
PDC Energy, Cl A *		8,195		549
Resolute Energy *		28,961		755
Scorpio Tankers (A)		320,855		1,486
Seadrill *(A)		178,967		424
Southwestern Energy *		91,817		1,271



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
StealthGas *(A)		99,434	$	344
Superior Energy Services *		45,515		815
Synergy Resources *		94,683		656
TETRA Technologies *		241,658		1,476
Tidewater, Cl A *(A)		298,845		843
Transocean *(A)		44,803		478
Western Refining		28,485		754
Westmoreland Coal *(A)		97,326		862


				26,700


Financials — 14.0%
American Capital Agency, Cl A ^‡		27,927		546
American Equity Investment Life Holding		115,931		2,055
Argo Group International Holdings		53,181		3,000
Axis Capital Holdings		14,697		799
Banc of California (A)		61,674		1,077
Bancorp *		164,563		1,057
Capitol Federal Financial		185,603		2,611
Central Pacific Financial		93,659		2,359
Chemical Financial (A)		17,958		793
CNO Financial Group (A)		85,630		1,308
Colony Capital, Cl A ^‡		3,686		67
Customers Bancorp *		79,837		2,009
Employers Holdings		26,238		783
Evercore Partners, Cl A		12,470		642
Everest Re Group		2,650		503
FBL Financial Group, Cl A (A)		3,392		217
FBR		74,075		981
Fidelity Southern		1,096		20
First Commonwealth Financial (A)		186,262		1,879
First Foundation *		38,156		941
First Interstate BancSystem, Cl A		18,580		585
FNB (Pennsylvania)		257,388		3,166
FNFV Group *		111,737		1,394
Fulton Financial		84,159		1,222
Great Western Bancorp		61,313		2,043
Green Dot, Cl A *		161,841		3,732
Hanover Insurance Group, Cl A		39,334		2,967
Houlihan Lokey, Cl A		38,115		955
IBERIABANK		24,660		1,655
Independent Bank		2,893		49
Infinity Property & Casualty (A)		111		9
International. FCStone *		6,193		241
Investors Bancorp		260,858		3,133
KCG Holdings, Cl A *		55,392		860
Kearny Financial		88,105		1,199
Kemper, Cl A		50,300		1,978
Maiden Holdings		168,927		2,144
Meridian Bancorp		148,390		2,310
MGIC Investment *		63,913		511
National Bank Holdings, Cl A		74,498		1,741
Northfield Bancorp		141,191		2,273



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
OFG Bancorp		302,636	$	3,060
Popular		68,678		2,625
ProAssurance		10,285		540
Selective Insurance Group		26,441		1,054
Signature Bank, Cl B *		5,568		660
State Bank Financial		96,720		2,207
Towne Bank		1,290		31
Two Harbors Investment ‡		231,809		1,977
United Community Banks		111,286		2,339
United Fire Group		11,803		500
Voya Financial		36,310		1,046
Webster Financial		39,300		1,494
Western Alliance Bancorp *		48,916		1,836
White Mountains Insurance Group		635		527
Wintrust Financial		79,383		4,411


				82,121


Health Care — 14.0%
ABIOMED *		4,616		593
Acadia Healthcare, Cl A *(A)		11,337		562
Accuray *(A)		401,988		2,561
Adamas Pharmaceuticals *		31,166		511
Advaxis *		36,936		395
Aerie Pharmaceuticals *		14,114		533
Aimmune Therapeutics *(A)		12,736		191
Akorn *		37,677		1,027
Alder Biopharmaceuticals *(A)		20,909		685
Align Technology *		8,175		766
AMAG Pharmaceuticals *(A)		136,710		3,351
Amedisys *		11,119		527
AMN Healthcare Services *		91,839		2,927
Amsurg *		7,241		485
Analogic		29,849		2,645
Audentes Therapeutics *		30,016		535
BioDelivery Sciences International *		455,902		1,231
Cambrex *		11,193		498
Capital Senior Living *		124,007		2,083
CoLucid Pharmaceuticals *(A)		17,653		673
Community Health Systems *(A)		162,949		1,880
Cotiviti Holdings *		18,007		604
Cynosure, Cl A *		76,795		3,912
Dermira *		16,133		546
DexCom *		5,953		522
Diplomat Pharmacy *(A)		21,000		588
Emergent BioSolutions *(A)		27,301		861
Ensign Group (A)		25,787		519
Exelixis *(A)		37,180		476
Five Prime Therapeutics *		13,593		713
Flamel Technologies ADR *		143,234		1,776
Glaukos *		22,378		845
Globus Medical, Cl A *(A)		122,619		2,767
ICON *		10,548		816



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Integra LifeSciences Holdings *		89,949	$	7,425
Kindred Healthcare		128,908		1,317
Lannett *(A)		110,280		2,930
LHC Group *		18,889		697
Ligand Pharmaceuticals *		39,138		3,994
Masimo *		9,662		575
Medicines *(A)		8,910		336
Molina Healthcare *(A)		61,824		3,606
Myriad Genetics *		29,658		610
NeoGenomics *		60,484		497
Nevro *		14,684		1,533
Omnicell *		14,633		560
PDL BioPharma *		181,096		607
Penumbra *		13,769		1,046
PharMerica *		27,431		770
Premier, Cl A *		19,004		615
Prestige Brands Holdings, Cl A *		96,657		4,666
Puma Biotechnology *		8,131		545
Quality Systems *		35,978		407
Radius Health *		9,830		532
Sage Therapeutics *		6,962		321
Sarepta Therapeutics *		9,572		588
Supernus Pharmaceuticals *		77,055		1,906
Surgical Care Affiliates *		11,199		546
TESARO *(A)		6,503		652
Trinity Biotech ADR *		130,160		1,721
Triple-S Management, Cl B *		30,403		667
Ultragenyx Pharmaceutical *(A)		6,948		493
Vocera Communications *		61,938		1,047
WellCare Health Plans *		5,101		597
Zeltiq Aesthetics *		18,611		730


				82,140


Industrials — 16.0%
Acacia Research *		201,045		1,311
ACCO Brands *		231,183		2,229
Actuant, Cl A		12,300		286
Air Transport Services Group *		70,450		1,011
Apogee Enterprises		70,919		3,169
ARC Document Solutions *		136,300		510
Astec Industries		9,372		561
Atlas Air Worldwide Holdings *		80,224		3,435
Babcock & Wilcox Enterprises *		36,887		609
Barnes Group		52,235		2,118
BWX Technologies, Cl W		50,530		1,939
Carlisle		14,061		1,442
Celadon Group (A)		78,429		686
CIRCOR International (A)		19,798		1,179
Comfort Systems USA		19,697		577
Covanta Holding		30,500		469
Crane, Cl A		37,820		2,383
Curtiss-Wright		12,230		1,114



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Deluxe		26,389	$	1,763
DXP Enterprises *		28,470		803
Dycom Industries *		8,322		681
EMCOR Group		52,082		3,105
Energy Recovery *		36,809		588
Engility Holdings *		30,135		949
Ennis		29,919		504
Essendant		38,507		790
Forward Air		27,595		1,194
Franklin Electric (A)		30,327		1,235
FreightCar America, Cl A (A)		120,465		1,732
Generac Holdings *(A)		18,000		653
Genesee & Wyoming, Cl A *		10,825		746
Gibraltar Industries *		16,851		626
Global Brass & Copper Holdings		19,424		561
Great Lakes Dredge & Dock *		446,800		1,564
Greenbrier (A)		19,045		672
H&E Equipment Services		42,084		705
Hawaiian Holdings *		17,143		833
Hexcel, Cl A		15,616		692
Huron Consulting Group *(A)		43,691		2,611
ICF International, Cl A *		71,884		3,186
IDEX		12,447		1,165
InnerWorkings *		104,853		988
ITT		34,190		1,225
John Bean Technologies, Cl A		18,338		1,294
KBR		69,839		1,057
Keyw Holding, Cl A *(A)		68,116		752
Kirby *(A)		11,675		726
Korn/Ferry International		38,131		801
LB Foster, Cl A		102,020		1,225
Lincoln Electric Holdings		12,610		790
Manitowoc		99,038		474
MasTec *		78,388		2,331
Matson (A)		15,508		619
Middleby *		5,907		730
MRC Global *		37,325		613
MSA Safety		15,473		898
NN, Cl A		34,894		637
On Assignment *		92,090		3,342
Orion Group Holdings *(A)		172,931		1,185
Oshkosh Truck		18,813		1,054
Patrick Industries *		8,968		555
RBC Bearings *		9,022		690
Resources Connection (A)		8,277		124
SiteOne Landscape Supply *		33,196		1,193
Skywest		29,034		767
Spirit Airlines *		17,868		760
Sterling Construction *		67,876		525
Swift Transportation, Cl A *		114,331		2,455
Titan Machinery *(A)		123,352		1,283
Triumph Group (A)		89,028		2,482



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
TrueBlue *		15,285	$	346
Tutor Perini *		91,730		1,969
Universal Forest Products		1,683		166
Wabash National *(A)		37,371		532
WageWorks *		55,317		3,369
Wesco Aircraft Holdings *		201,182		2,702
XPO Logistics *(A)		38,816		1,423


				94,468


Information Technology — 18.6%
Acxiom *		125,840		3,354
Advanced Energy Industries *		7,526		356
Amkor Technology *		91,055		885
Applied Micro Circuits *(A)		85,000		591
Aspen Technology *		38,533		1,803
Atlassian, Cl A *		26,356		790
AVG Technologies *		22,458		562
Bankrate *		58,507		496
Bazaarvoice *		97,252		575
Black Box (A)		99,116		1,378
Blackbaud, Cl A (A)		31,522		2,091
Blackhawk Network Holdings, Cl A *		20,358		614
Bottomline Technologies *		32,068		747
BroadSoft *		6,292		293
CACI International, Cl A *		16,125		1,627
CalAmp *		219,948		3,068
Callidus Software *		173,491		3,184
Cardtronics *		12,083		539
Cavium *		70,945		4,129
Cimpress *(A)		10,581		1,071
Cirrus Logic *		17,101		909
Coherent *(A)		2,895		320
Cohu		3,286		39
CommVault Systems *		27,360		1,454
Convergys		25,374		772
Cornerstone OnDemand *		63,107		2,900
Cypress Semiconductor		74,980		912
DHI Group *		9,999		79
Digi International *		99,749		1,137
EarthLink Holdings		6,160		38
Electronics For Imaging *(A)		17,450		854
EMCORE *		17,708		101
Exar *		313,097		2,915
ExlService Holdings *		31,175		1,554
Finisar *		20,814		620
FireEye *		194,618		2,867
Five9 *		41,085		644
Guidewire Software, Cl Z *		17,665		1,060
HubSpot *		13,341		769
II-VI *		12,425		302
Inphi *		31,238		1,359
Insight Enterprises *		19,060		620



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Ixia *		46,678	$	583
IXYS		6,111		74
Keysight Technologies *		76,435		2,422
Liquidity Services *		8,846		99
Littelfuse		15,108		1,946
LogMeIn *		7,325		662
Lumentum Holdings *(A)		72,414		3,025
MAXIMUS		38,366		2,170
MaxLinear, Cl A *		47,406		961
Mellanox Technologies *(A)		11,410		493
Mentor Graphics		23,860		631
Mercury Systems *		17,800		437
Methode Electronics		15,950		558
Microsemi *		16,924		710
Mitek Systems *		70,856		587
MKS Instruments		33,215		1,652
Monolithic Power Systems		34,129		2,747
NeoPhotonics *		41,598		680
NETGEAR *		25,138		1,521
NeuStar, Cl A *		21,206		564
Oclaro *		98,978		846
Open Text (A)		48,434		3,141
Orbotech *		39,408		1,167
OSI Systems *		37,807		2,472
Pandora Media *(A)		43,014		616
Paylocity Holding *(A)		17,097		760
PDF Solutions *		129,210		2,348
Perficient *		122,234		2,463
Photronics *		86,838		895
Progress Software		7,668		209
Proofpoint *		52,098		3,900
Q2 Holdings *		21,249		609
QAD, Cl A (A)		32,674		731
QuinStreet *		4,338		13
RetailMeNot *		21,829		216
RingCentral, Cl A *		38,013		899
Rudolph Technologies *		13,643		242
Sanmina *		73,294		2,087
Silicon Laboratories *		19,045		1,120
SuperCom *		79,000		271
Sykes Enterprises *		41,217		1,159
Synaptics *		12,972		760
SYNNEX		7,471		852
Take-Two Interactive Software, Cl A *		58,922		2,656
Tech Data *		15,734		1,333
TeleTech Holdings		2,988		87
Ultratech *		49,192		1,135
Viavi Solutions *		74,953		554
Xcerra *		100,052		606
Zebra Technologies, Cl A *		33,668		2,344
Zendesk *		7,471		229


				109,620



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Materials — 4.1%
Allegheny Technologies (A)		35,100	$	634
Berry Plastics Group *		81,534		3,575
Cabot (A)		16,409		860
Carpenter Technology (A)		22,499		928
Chemours		60,106		962
Commercial Metals, Cl A		58,068		940
FMC		11,000		532
FutureFuel		3,082		35
Headwaters, Cl A *		46,759		791
Ingevity *		31,021		1,430
Innospec		21,669		1,318
LSB Industries *(A)		153,709		1,319
Neenah Paper, Cl A		2,857		226
Owens-Illinois *		30,569		562
PolyOne		41,714		1,410
Rayonier Advanced Materials (A)		53,930		721
Ryerson Holding *		40,539		458
Schulman A		66,295		1,931
Schweitzer-Mauduit International		49,849		1,922
Sensient Technologies		7,920		600
Stepan		1,464		107
Summit Materials, Cl A *		34,052		632
Trinseo		11,266		637
United States Steel (A)		67,025		1,264
Worthington Industries		12,727		611


				24,405


Real Estate — 5.7%
Agree Realty ^‡		53,294		2,635
Armada Hoffler Properties ^‡		47,903		642
Brandywine Realty Trust ^‡		56,167		877
CatchMark Timber Trust, Cl A ^‡		117,916		1,378
Cedar Realty Trust ^‡		294,278		2,119
Colony Starwood Homes ^‡(A)		137,395		3,943
Columbia Property Trust ^‡		23,442		525
Corporate Office Properties Trust ^‡		19,353		549
Corrections Corp of America ^‡(A)		29,376		407
EPR Properties, Cl A ^‡		11,373		896
Equity Commonwealth *^‡		66,251		2,002
FelCor Lodging Trust ^‡		67,753		436
Four Corners Property Trust ^‡		28,486		608
Franklin Street Properties ^‡		5,316		67
GEO Group ^‡(A)		79,666		1,894
Gramercy Property Trust ^‡		278,764		2,687
Healthcare Trust of America, Cl A ^‡		63,815		2,082
Highwoods Properties ^‡		37,300		1,944
Kennedy-Wilson Holdings		88,073		1,986
Life Storage		11,344		1,009
Physicians Realty Trust ^‡		75,311		1,622
QTS Realty Trust, Cl A ^‡		43,390		2,293
Saul Centers ^‡		2,177		145



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Seritage Growth Properties ^‡(A)		16,803	$	852


				33,598


Telecommunication Services — 0.3%
8x8 *		19,315		298
Cincinnati Bell, Cl A *		17,877		73
Inteliquent		25,369		410
Telephone & Data Systems		19,091		519
Windstream Holdings (A)		55,749		560


				1,860


Utilities — 2.9%
ALLETE		26,260		1,565
Cadiz *(A)		46,300		343
Chesapeake Utilities		24,252		1,481
NorthWestern		12,860		740
ONE Gas		1,098		68
PNM Resources		114,941		3,761
Portland General Electric		70,881		3,019
South Jersey Industries, Cl A		18,702		553
Southwest Gas		20,858		1,457
Spire		48,138		3,068
Talen Energy *(A)		40,716		564
UGI		12,321		557


				17,176


Total Common Stock
(Cost $497,624) ($ Thousands)				552,296


EXCHANGE TRADED FUND — 0.2%

Financials — 0.2%
iShares Russell 2000 Value ETF		9,550		1,000


Total Exchange Traded Fund (Cost $974) ($ Thousands)				1,000


	Number of Rights

RIGHTS — 0.0%

United States — 0.0%
Allos Therapeutics *^‡‡		45,500		–


Total Rights (Cost $—) ($ Thousands)				–



Description	Face Amount (Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill
0.240%, 10/20/2016 (B)(C)	$	550	$	550


Total U.S. Treasury Obligation (Cost $550) ($ Thousands)				550


	Shares

AFFILIATED PARTNERSHIP — 8.9%
SEI Liquidity Fund, L.P.
0.440% **^†(D)		52,352,212		52,352


Total Affiliated Partnership (Cost $52,352) ($ Thousands)				52,352


CASH EQUIVALENT — 6.1%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		35,775,093		35,775


Total Cash Equivalent (Cost $35,775) ($ Thousands)				35,775


Total Investments — 109.1% (Cost $587,275) ($ Thousands)			$	641,973

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
(Depreciation)
($ Thousands)

Russell 2000 Index E-MINI

Dec-2016

$(38)

Percentages are based on Net Assets of $588,415 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^‡‡	Expiration date unavailable.

^†	Investment in Affiliated Security (see Note 6).

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $51,461 ($ Thousands).

(B)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C)	The rate reported is the effective yield at time of purchase.

(D)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $52,352 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	552,296	$	–	$	–	$	552,296
Exchange Traded Fund		1,000		–		–		1,000
Rights		–		–		–		–
U.S. Treasury Obligation		–		550		–		550
Affiliated Partnership		–		52,352		–		52,352
Cash Equivalent		35,775		–		–		35,775

Total Investments in Securities	$	589,071	$	52,902	$	–	$	641,973


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Depreciation	$	(38)	$	—	$	—	$	(38)

Total Other Financial Instruments	$	(38)	$	—	$	—	$	(38)

* Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 94.9%

Consumer Discretionary — 8.7%
Aaron's		14,761	$	375
American Axle & Manufacturing Holdings *		33,900		584
Big 5 Sporting Goods		25,362		345
Big Lots (A)		34,258		1,636
Bloomin' Brands		16,770		289
Bright Horizons Family Solutions *		9,549		639
Brinker International		13,690		690
CalAtlantic Group (A)		15,234		509
Callaway Golf		48,836		567
Century Communities *		4,300		93
Cooper Tire & Rubber		21,105		802
Cooper-Standard Holding *		16,327		1,613
CROCS *(A)		40,900		340
CSS Industries		19,629		502
Dana Holding		55,391		864
Deckers Outdoor *		3,731		222
Del Taco Restaurants *(A)		37,145		443
Destination XL Group *(A)		44,600		193
Express *		62,553		738
Finish Line, Cl A (A)		21,700		501
GameStop, Cl A (A)		13,391		369
Gannett		23,588		275
Group 1 Automotive		3,600		230
Haverty Furniture		9,400		188
Installed Building Products *(A)		15,459		555
Libbey		113,055		2,018
Lithia Motors, Cl A		9,616		919
Lumber Liquidators Holdings *(A)		24,677		485
Marriott Vacations Worldwide (A)		15,443		1,132
Matthews International, Cl A (A)		27,020		1,642
MDC Partners, Cl A (A)		118,337		1,269
Meritage Homes *		9,962		346
Murphy USA *		6,462		461
Nexstar Broadcasting Group, Cl A (A)		7,731		446
Office Depot		97,283		347
Pool		9,082		858
Rent-A-Center (A)		49,052		620
Select Comfort *		32,811		709
Sequential Brands Group *(A)		89,081		713
Shoe Carnival		7,100		189
Six Flags Entertainment (A)		22,218		1,191
Smith & Wesson Holding *(A)		18,394		489
SodaStream International *		18,835		500
Sonic Automotive, Cl A (A)		14,700		276
Steven Madden *(A)		25,022		865
Stoneridge *		23,900		440
Texas Roadhouse, Cl A (A)		21,315		832
Vera Bradley *		21,900		332
Visteon *		4,677		335
Wendy's (A)		84,744		915



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Wolverine World Wide (A)		21,841	$	503


				32,394


Consumer Staples — 4.0%
Andersons		28,606		1,035
B&G Foods, Cl A		19,818		975
Central Garden & Pet, Cl A *		43,936		1,090
Dean Foods (A)		44,650		732
Fresh Del Monte Produce		12,890		772
Freshpet *(A)		49,768		430
Ingles Markets, Cl A		9,983		395
John B Sanfilippo & Son (A)		7,887		405
Landec *(A)		110,629		1,483
Omega Protein *		59,096		1,381
Performance Food Group *		24,715		613
Pinnacle Foods		21,405		1,074
Sanderson Farms (A)		20,031		1,930
SpartanNash		35,478		1,026
SUPERVALU *		118,570		592
Universal (A)		15,000		873
Weis Markets		4,700		249


				15,055


Energy — 5.7%
Ardmore Shipping (A)		84,361		594
Atwood Oceanics, Cl A *(A)		45,378		394
Bill Barrett *		53,920		300
Callon Petroleum *		54,439		855
CARBO Ceramics *(A)		55,439		607
Carrizo Oil & Gas *(A)		19,221		781
Concho Resources *		10,376		1,425
DHT Holdings (A)		60,347		253
Eclipse Resources *		124,920		411
Exterran *		27,760		435
Frontline (A)		45,603		327
Gulfport Energy *(A)		46,793		1,322
Matrix Service *		46,806		878
Oil States International *		17,885		565
Pacific Ethanol *(A)		66,620		460
Parsley Energy, Cl A *		35,588		1,193
Patterson-UTI Energy (A)		20,263		453
PBF Energy, Cl A (A)		100,508		2,276
Scorpio Tankers (A)		200,671		929
Southwestern Energy *(A)		58,079		804
StealthGas *		108,300		375
Superior Energy Services *		38,258		685
Synergy Resources *(A)		59,495		412
TETRA Technologies *		204,662		1,250
Tidewater, Cl A *(A)		225,301		635
Western Refining (A)		22,519		596
Westmoreland Coal *		57,272		507



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
World Fuel Services		29,815	$	1,379


				21,101


Financials — 23.0%
1st Source		14,280		510
AG Mortgage Investment Trust ^‡		31,051		489
American Equity Investment Life Holding		71,459		1,267
AmTrust Financial Services		11,200		300
Apollo Commercial Real Estate Finance ^‡		19,300		316
Argo Group International Holdings		24,241		1,368
Aspen Insurance Holdings		16,741		780
Axis Capital Holdings		9,760		530
Banc of California		50,845		888
Banco Latinoamericano de Exportaciones, Cl E		31,400		885
Bancorp *		104,278		669
Berkshire Hills Bancorp		19,546		542
BGC Partners, Cl A		122,404		1,071
BlackRock Capital Investment		76,269		631
Camden National		10,400		496
Capitol Federal Financial (A)		71,595		1,007
Central Pacific Financial		72,803		1,834
Chemical Financial		7,985		352
CNO Financial Group		106,871		1,632
Columbia Banking System (A)		42,915		1,404
Community Trust Bancorp		14,480		537
Customers Bancorp *(A)		64,300		1,618
CYS Investments ^‡		45,374		396
Dynex Capital ^‡		47,377		352
Employers Holdings		13,762		411
Endurance Specialty Holdings		20,182		1,321
Enterprise Financial Services		4,550		142
Everest Re Group		2,920		555
FBR (A)		49,200		651
Federal Agricultural Mortgage, Cl C		16,494		652
First Busey		17,533		396
First Commonwealth Financial		182,254		1,839
First Community Bancshares		24,295		603
First Foundation *		27,682		683
First Interstate BancSystem, Cl A		23,250		733
First NBC Bank Holding *		26,075		246
FirstCash		13,938		656
Flagstar Bancorp *		13,823		384
Flushing Financial		29,300		695
FNB (Pennsylvania) (A)		70,473		867
FNFV Group *		61,500		768
Fulton Financial (A)		167,050		2,426
Great Western Bancorp		31,909		1,063
Green Dot, Cl A *		80,924		1,866
Hancock Holding, Cl A (A)		15,536		504
Hanover Insurance Group, Cl A		30,346		2,289
Hercules Capital, Cl A		37,894		514
IBERIABANK		14,325		961



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Investors Bancorp		167,160	$	2,008
Kearny Financial		80,707		1,098
Kemper, Cl A (A)		44,447		1,748
Maiden Holdings (A)		175,865		2,232
MainSource Financial Group		32,593		813
MB Financial		24,311		925
Meridian Bancorp		134,614		2,096
MFA Financial ^‡(A)		90,161		674
MGIC Investment *		80,884		647
National Bank Holdings, Cl A (A)		71,890		1,680
National General Holdings		16,961		377
Nelnet, Cl A		18,916		764
Northfield Bancorp		150,091		2,416
OceanFirst Financial		33,563		646
OFG Bancorp (A)		219,525		2,219
Old National Bancorp, Cl A		65,505		921
PacWest Bancorp		38,520		1,653
PennyMac Mortgage Investment Trust ^‡(A)		31,400		489
Piper Jaffray *(A)		14,622		706
Popular		62,900		2,404
Preferred Bank		4,500		161
Radian Group		30,107		408
Republic Bancorp, Cl A		16,500		513
Selective Insurance Group		18,214		726
SLM *		144,624		1,080
Starwood Property Trust ^‡		79,897		1,799
State Bank Financial		85,600		1,953
TCF Financial		71,902		1,043
Two Harbors Investment ^‡		113,016		964
Union Bankshares		18,400		493
United Community Banks		69,000		1,450
United Fire Group		9,380		397
Validus Holdings		27,291		1,360
Voya Financial		22,783		657
Walker & Dunlop *		12,492		316
Webster Financial (A)		27,435		1,043
WesBanco		10,000		329
Western Alliance Bancorp *		26,912		1,010
Western Asset Mortgage Capital ^‡(A)		41,719		435
White Mountains Insurance Group		517		429
Wintrust Financial		19,045		1,058
World Acceptance *(A)		9,653		473


				85,712


Health Care — 5.9%
Accuray *		331,209		2,110
Air Methods *(A)		32,615		1,027
Akorn *		31,432		857
Analogic (A)		17,166		1,521
Community Health Systems *(A)		131,803		1,521
Emergent BioSolutions *		21,395		675
Ensign Group (A)		18,312		369



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Exactech *		12,600	$	341
Five Prime Therapeutics *(A)		8,015		421
Integra LifeSciences Holdings *		29,273		2,416
Kindred Healthcare		112,270		1,147
Lannett *(A)		74,604		1,982
LHC Group *		9,111		336
LifePoint Health *(A)		8,400		497
Ligand Pharmaceuticals *(A)		18,870		1,926
Magellan Health *		5,464		294
Omnicell *		9,214		353
PDL BioPharma *		112,744		378
Prestige Brands Holdings, Cl A *		12,668		611
Sucampo Pharmaceuticals, Cl A *		33,101		407
Trinity Biotech ADR *		125,200		1,655
Triple-S Management, Cl B *		23,461		514
Vocera Communications *		31,045		525


				21,883


Industrials — 16.1%
AAR		20,200		633
Acacia Research *		119,793		781
ACCO Brands *		214,480		2,068
Actuant, Cl A (A)		8,427		196
Aegion, Cl A *		23,278		444
Air Transport Services Group *		50,500		725
Alamo Group		5,400		356
Alaska Air Group		4,500		296
American Railcar Industries (A)		10,156		421
ARC Document Solutions *		96,637		361
ArcBest		20,312		386
Atlas Air Worldwide Holdings *		56,390		2,415
Babcock & Wilcox Enterprises *		78,581		1,297
Barnes Group		31,420		1,274
Briggs & Stratton		29,533		551
BWX Technologies, Cl W		47,148		1,809
CEB		5,770		314
Celadon Group (A)		34,195		299
CIRCOR International		8,674		517
Covanta Holding (A)		33,200		511
Crane, Cl A		19,781		1,246
Deluxe (A)		8,100		541
DXP Enterprises *(A)		13,555		382
EMCOR Group		34,990		2,086
Engility Holdings *		20,215		637
Ennis		37,091		625
Essendant		6,500		133
Federal Signal		26,789		355
Forward Air		19,163		829
Franklin Electric		16,199		659
FreightCar America, Cl A		82,709		1,189
Generac Holdings *(A)		22,839		829
Genesee & Wyoming, Cl A *(A)		18,271		1,260



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Great Lakes Dredge & Dock *(A)		444,813	$	1,557
Greenbrier (A)		11,649		411
Hawaiian Holdings *		18,300		889
Hillenbrand (A)		10,600		335
Hyster-Yale Materials Handling		16,739		1,006
ICF International, Cl A *		54,664		2,423
InnerWorkings *		87,012		820
ITT		27,429		983
JetBlue Airways *		20,636		356
John Bean Technologies, Cl A (A)		10,246		723
Kadant		13,205		688
Kaman, Cl A (A)		35,674		1,567
KAR Auction Services		39,486		1,704
KBR		46,469		703
Keyw Holding, Cl A *(A)		39,645		438
Korn/Ferry International		20,861		438
LB Foster, Cl A		67,001		805
Manitowoc (A)		69,494		333
Meritor *		88,965		990
MRC Global *		26,314		432
MSA Safety		6,542		380
Navigant Consulting *		24,108		487
Orion Group Holdings *(A)		138,349		948
Oshkosh Truck		10,717		600
Quad Graphics		22,979		614
Roadrunner Transportation Systems *		41,310		330
RPX *		45,075		482
RR Donnelley & Sons		18,986		298
Skywest		32,357		855
Spirit Airlines *		12,545		533
Sterling Construction *		39,782		308
Teledyne Technologies *(A)		11,139		1,202
Titan Machinery *(A)		92,675		964
Triton International		22,304		294
Triumph Group (A)		67,821		1,891
TrueBlue *		16,011		363
Tutor Perini *(A)		63,138		1,356
Universal Forest Products		5,120		504
VSE		7,000		238
Wabash National *(A)		65,789		937
Wesco Aircraft Holdings *(A)		120,050		1,612
West		15,758		348
XPO Logistics *(A)		15,697		576


				60,146


Information Technology — 12.6%
ACI Worldwide *(A)		53,745		1,042
Amkor Technology *		108,249		1,052
Applied Micro Circuits *		94,452		656
Aspen Technology *		8,036		376
Bazaarvoice *		70,495		417
Benchmark Electronics *(A)		53,334		1,331



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Black Box		68,208	$	948
Blackbaud, Cl A (A)		10,035		666
Blackhawk Network Holdings, Cl A *		11,418		344
Bottomline Technologies *		23,198		541
CACI International, Cl A *		9,252		933
Cavium *(A)		5,903		344
CommVault Systems *		17,985		955
Convergys		29,580		900
CSG Systems International		13,339		551
Cypress Semiconductor (A)		33,174		403
Digi International *		98,852		1,127
ePlus *		2,800		264
Exar *		208,974		1,945
ExlService Holdings *		15,714		783
Fabrinet *		7,100		317
IAC *		19,148		1,196
Inphi *		15,139		659
Insight Enterprises *		39,523		1,286
InterDigital		8,068		639
j2 Global		18,530		1,234
Keysight Technologies *		37,453		1,187
Kulicke & Soffa Industries *		29,000		375
Littelfuse		8,494		1,094
MaxLinear, Cl A *(A)		31,723		643
Mentor Graphics		31,691		838
Mercury Systems *		18,642		458
MKS Instruments		8,017		399
MoneyGram International *		26,500		188
Monolithic Power Systems		8,770		706
NETGEAR *		31,721		1,919
NeuStar, Cl A *(A)		15,747		419
Open Text		30,677		1,990
Orbotech *		23,524		696
OSI Systems *		19,656		1,285
Pandora Media *(A)		–		—
Photronics *		80,388		829
QAD, Cl A		34,400		770
Sanmina *		89,010		2,534
Silicon Motion Technology ADR		12,438		644
SuperCom *(A)		86,200		296
Sykes Enterprises *		34,045		958
SYNNEX		15,760		1,798
Take-Two Interactive Software, Cl A *		24,532		1,106
Tech Data *		15,103		1,279
TeleTech Holdings		15,517		450
Ultratech *		34,036		786
Viavi Solutions *		53,280		394
Xcerra *		106,900		648
Zebra Technologies, Cl A *		18,684		1,301


				46,899



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Materials — 5.1%
AK Steel Holding *(A)		71,706	$	346
Allegheny Technologies (A)		26,799		484
Ashland Global Holdings		6,442		747
Cabot		27,814		1,458
Carpenter Technology (A)		16,400		677
Chemtura *		8,821		289
Clearwater Paper *		10,489		678
Commercial Metals, Cl A		63,752		1,032
Compass Minerals International, Cl A (A)		7,241		533
Domtar		7,700		286
FMC		29,434		1,423
Glatfelter		14,800		321
Headwaters, Cl A *		34,085		577
Huntsman		24,908		405
Ingevity *		23,385		1,078
Innospec		29,911		1,819
LSB Industries *(A)		92,173		791
Rayonier Advanced Materials		37,270		498
Ryerson Holding *		24,949		282
Schulman A (A)		37,687		1,097
Schweitzer-Mauduit International		42,088		1,623
Sensient Technologies		8,348		633
Silgan Holdings (A)		27,729		1,403
United States Steel (A)		33,175		626


				19,106


Real Estate — 9.7%
Agree Realty ^‡		27,274		1,348
Ashford Hospitality Trust ^‡		64,106		378
Brandywine Realty Trust ^‡(A)		61,174		956
Camden Property Trust ^‡(A)		475		40
CatchMark Timber Trust, Cl A ^‡		122,726		1,435
CBL & Associates Properties ^‡		28,700		348
Cedar Realty Trust ^‡		165,585		1,192
Chatham Lodging Trust ^‡		24,600		474
Colony Starwood Homes ^‡(A)		114,777		3,294
Corrections Corp of America ^‡		17,735		246
DiamondRock Hospitality ^‡(A)		35,180		320
EPR Properties, Cl A ^‡		20,515		1,615
Equity Commonwealth *^‡		71,225		2,152
FelCor Lodging Trust ^‡(A)		46,824		301
Forest City Realty Trust, Cl A ^‡		46,788		1,082
Franklin Street Properties ^‡		112,407		1,416
Gaming and Leisure Properties ^‡		39,650		1,326
GEO Group ^‡(A)		69,447		1,652
Gladstone Commercial ^‡		26,801		499
Gramercy Property Trust ^‡(A)		168,979		1,629
Healthcare Trust of America, Cl A ^‡(A)		47,778		1,559
Hersha Hospitality Trust, Cl A ^‡(A)		62,189		1,121
Highwoods Properties ^‡		21,772		1,135
Hospitality Properties Trust ^‡(A)		12,900		383



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Howard Hughes *		13,511	$	1,547
Kennedy-Wilson Holdings (A)		58,951		1,329
Mack-Cali Realty ^‡(A)		15,200		414
Medical Properties Trust ^‡(A)		74,492		1,100
Physicians Realty Trust ^‡(A)		36,002		776
Piedmont Office Realty Trust, Cl A ^‡(A)		25,550		556
Post Properties ^‡		550		36
QTS Realty Trust, Cl A ^‡(A)		24,135		1,276
RLJ Lodging Trust ^‡		16,665		351
Select Income ^‡		44,514		1,197
Seritage Growth Properties ^‡(A)		10,761		545
Summit Hotel Properties ^‡		78,954		1,039


				36,067


Telecommunication Services — 0.4%
Cincinnati Bell, Cl A *		75,000		306
Inteliquent		24,177		390
Iridium Communications *(A)		82,575		670


				1,366


Utilities — 3.7%
ALLETE (A)		21,493		1,281
Avista		13,700		573
Black Hills, Cl A (A)		7,100		435
Cadiz *(A)		50,400		373
Chesapeake Utilities (A)		15,748		962
Idacorp, Cl A		4,621		362
Pinnacle West Capital		6,076		462
PNM Resources		77,025		2,520
Portland General Electric		66,477		2,831
SJW		9,485		414
South Jersey Industries, Cl A (A)		19,571		578
Southwest Gas		18,375		1,284
Spire		27,070		1,725


				13,800


Total Common Stock (Cost $304,053) ($ Thousands)				353,529


EXCHANGE TRADED FUND — 0.2%

Exchange Traded Fund — 0.2%
iShares Russell 2000 Value ETF		7,150		749


Total Exchange Traded Fund (Cost $729) ($ Thousands)				749



Description	Face Amount (Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION — 0.2%
U.S. Treasury Bills
0.240%, 10/20/2016 (B) (C)	$	805	$	805


Total U.S. Treasury Obligation (Cost $805) ($ Thousands)				805


	Shares

AFFILIATED PARTNERSHIP — 27.9%
SEI Liquidity Fund, L.P.
0.440% **^†(D)		104,012,713		104,013


Total Affiliated Partnership (Cost $104,013) ($ Thousands)				104,013


CASH EQUIVALENT — 4.8%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		17,700,145		17,700


Total Cash Equivalent (Cost $17,700) ($ Thousands)				17,700


Total Investments — 128.0% (Cost $427,300) ($ Thousands)			$	476,796

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Depreciation
($ Thousands)

Russell 2000 Index E-MINI

Dec-2016

$(3)

Percentages are based on Net Assets of $372,465 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $102,682 ($ Thousands).

(B)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(C)	The rate reported is the effective yield at time of purchase.

(D)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $104,013 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

ETF — Exchange Traded Fund

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	353,529	$	–	$	–	$	353,529
Exchange Traded Fund		749		–		–		749
U.S. Treasury Obligation		–		805		–		805
Affiliated Partnership		–		104,013		–		104,013
Cash Equivalent		17,700		–		–		17,700

Total Investments in Securities	$	371,978	$	104,818	$	–	$	476,796


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Depreciation	$	(3)	$	—	$	—	$	(3)

Total Other Financial Instruments	$	(3)	$	—	$	—	$	(3)

* Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 96.1%††

Consumer Discretionary — 15.6%
2U *(A)		64,602	$	2,474
American Eagle Outfitters (A)		22,013		393
Arctic Cat *(A)		22,117		343
Big Lots		12,388		591
Bloomin' Brands		16,649		287
Boot Barn Holdings *(A)		28,232		321
Bright Horizons Family Solutions *		45,102		3,017
Buffalo Wild Wings *		4,065		572
Callaway Golf		37,737		438
Carriage Services (A)		42,560		1,007
Cavco Industries *		4,166		413
Cooper-Standard Holding *		7,719		763
Core-Mark Holding, Cl A		57,387		2,054
Dave & Buster's Entertainment *		30,293		1,187
Del Frisco's Restaurant Group *		38,599		520
Dorman Products *(A)		14,162		905
Drew Industries		7,141		700
Duluth Holdings, Cl B *		11,645		309
Dunkin' Brands Group		15,640		814
Fenix Parts *(A)		70,449		279
Fiesta Restaurant Group *		88,056		2,113
Five Below *		33,682		1,357
Francesca's Holdings *		22,005		340
GNC Holdings, Cl A		23,259		475
Grand Canyon Education *		24,742		999
Helen of Troy *		16,836		1,451
Hibbett Sports *(A)		32,092		1,280
IMAX *(A)		34,891		1,011
Jack in the Box		26,199		2,513
Lithia Motors, Cl A (A)		7,805		746
Malibu Boats, Cl A *		42,567		634
MarineMax *		15,433		323
MDC Partners, Cl A (A)		154,346		1,655
Monro Muffler		30,140		1,844
Motorcar Parts of America *		18,655		537
National CineMedia		151,530		2,230
Nautilus *		35,678		811
Nutrisystem		13,973		415
Ollie's Bargain Outlet Holdings *		16,674		437
Planet Fitness, Cl A *		91,915		1,845
Pool		3,974		376
Sally Beauty Holdings *		34,144		877
Smith & Wesson Holding *(A)		10,914		290
Spartan Motors		36,523		350
Steven Madden *		23,096		798
Superior Industries International		11,509		336
Tempur-Pedic International *(A)		9,895		561
Tenneco *		6,872		400
Texas Roadhouse, Cl A		13,402		523
Tile Shop Holdings *(A)		31,951		529
Universal Electronics *		21,168		1,576



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
William Lyon Homes, Cl A *		52,582	$	975
Wingstop, Cl A *		10,708		314
Winmark		5,247		554
Wolverine World Wide		44,554		1,026
Zoe's Kitchen *(A)		11,144		247


				50,135


Consumer Staples — 3.0%
AdvancePierre Foods Holdings		20,518		565
Amplify Snack Brands *(A)		22,519		365
B&G Foods, Cl A		6,279		309
Cal-Maine Foods *(A)		5,803		224
Central Garden & Pet *(A)		49,187		1,279
Chefs' Warehouse Holdings *		32,217		359
Dean Foods (A)		16,552		271
Freshpet *		39,134		338
MGP Ingredients		8,955		363
Primo Water *		72,867		884
Spectrum Brands Holdings (A)		21,998		3,029
WD-40 (A)		14,417		1,621


				9,607


Energy — 2.0%
Carrizo Oil & Gas *		34,390		1,397
Clayton Williams Energy *(A)		6,077		519
Dril-Quip *		7,089		395
Evolution Petroleum		188,027		1,181
Matador Resources *		14,102		343
Oil States International *		11,834		374
Pacific Ethanol *		48,026		332
PDC Energy, Cl A *		4,399		295
Resolute Energy *		15,514		404
RigNet, Cl A *		51,243		775
US Silica Holdings (A)		12,067		562


				6,577


Financials — 4.5%
Amerisafe (A)		7,877		463
Bank of the Ozarks		9,651		371
Bats Global Markets		40,462		1,219
Eagle Bancorp *		28,835		1,422
Financial Engines (A)		31,406		933
Franklin Financial Network *		16,807		628
Houlihan Lokey, Cl A		19,877		498
KCG Holdings, Cl A *		34,444		535
National General Holdings		65,405		1,455
Opus Bank		22,540		797
PennantPark Investment		124,243		934
Signature Bank, Cl B *		2,673		317
Stifel Financial *		9,366		360
Trupanion *(A)		24,397		412
United Community Banks		62,453		1,313
Univest Corp of Pennsylvania		24,833		580



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Value Creation *(B)(C)		145,600	$	58
Western Alliance Bancorp *		11,881		446
Wintrust Financial		21,987		1,222
WisdomTree Investments (A)		54,291		559


				14,522


Health Care — 21.6%
ABIOMED *		2,520		324
Acadia Healthcare, Cl A *(A)		11,583		574
Accelerate Diagnostics *(A)		20,046		546
Adamas Pharmaceuticals *		18,095		297
Advaxis *		19,890		213
Aerie Pharmaceuticals *		18,071		682
Aimmune Therapeutics *		9,003		135
Akorn *		17,419		475
Alder Biopharmaceuticals *		11,687		383
Align Technology *		5,145		482
AMAG Pharmaceuticals *(A)		89,156		2,185
AMN Healthcare Services *		98,966		3,154
Amphastar Pharmaceuticals *(A)		18,712		355
Amsurg *		9,271		622
Atara Biotherapeutics *		13,830		296
Atrion		635		271
Audentes Therapeutics *		28,400		506
BioDelivery Sciences International *		271,200		732
BioTelemetry *		24,355		452
Bluebird Bio *		10,025		679
Cambrex *		25,770		1,146
Capital Senior Living *		83,539		1,403
Cardiovascular Systems *		11,721		278
Castlight Health, Cl B *(A)		102,652		427
Chimerix *		95,801		531
CoLucid Pharmaceuticals *		16,268		621
Cotiviti Holdings *		10,019		336
Cynosure, Cl A *		51,780		2,638
DBV Technologies ADR *		10,805		393
Depomed *		12,458		311
Dermira *		9,475		320
DexCom *		4,215		369
Diplomat Pharmacy *(A)		27,275		764
Emergent BioSolutions *		13,758		434
Endologix *(A)		66,534		852
Entellus Medical *		9,817		218
Exact Sciences *(A)		26,325		489
Exelixis *(A)		33,242		425
Flamel Technologies ADR *		79,933		991
Glaukos *		21,212		801
Globus Medical, Cl A *(A)		72,271		1,631
GW Pharmaceuticals ADR *(A)		3,419		454
Heska *		6,916		376
ICON *		5,561		430
INC Research Holdings, Cl A *		44,901		2,002



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Inogen *(A)		9,140	$	547
Insulet *		12,183		499
Integra LifeSciences Holdings *		31,756		2,621
LeMaitre Vascular		30,957		614
Ligand Pharmaceuticals *		27,700		2,827
Masimo *		10,738		639
Medicines *(A)		6,330		239
Medidata Solutions *		31,396		1,751
Medpace Holdings *		16,144		482
Merit Medical Systems *		23,032		559
Molina Healthcare *		37,932		2,212
Myriad Genetics *		14,854		306
NeoGenomics *		106,931		879
Neurocrine Biosciences *		11,354		575
Neuroderm *		23,089		427
Nevro *		17,370		1,813
Novadaq Technologies *		40,323		467
Omnicell *		36,826		1,410
OraSure Technologies *		27,803		222
Otonomy *(A)		17,505		318
OvaScience *(A)		30,802		221
Pacific Biosciences of California *(A)		44,130		395
Penumbra *		9,300		707
PRA Health Sciences *		25,047		1,415
Premier, Cl A *		13,419		434
Press Ganey Holdings *		40,416		1,633
Prestige Brands Holdings, Cl A *		67,487		3,258
Puma Biotechnology *		5,154		346
Quidel *(A)		21,713		480
Radius Health *		8,900		481
Repligen *		10,924		330
Revance Therapeutics *		18,674		303
Sarepta Therapeutics *(A)		5,482		337
Spectranetics *		42,350		1,063
Supernus Pharmaceuticals *		67,751		1,675
Surgical Care Affiliates *		8,149		397
Syndax Pharmaceuticals *(A)		22,131		336
TESARO *(A)		7,710		773
Ultragenyx Pharmaceutical *(A)		5,005		355
Vascular Solutions *		7,405		357
Versartis *		39,463		483
Vocera Communications *		42,301		715
Xencor *		24,590		602
Zeltiq Aesthetics *		22,645		888


				69,394


Industrials — 18.3%
ABM Industries		31,750		1,260
Advisory Board *		10,568		473
Air Transport Services Group *		79,895		1,146
Albany International, Cl A		10,904		462
American Woodmark *		12,873		1,037



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Apogee Enterprises		56,608	$	2,530
Argan		6,991		414
Astec Industries		25,754		1,542
BWX Technologies, Cl W		28,462		1,092
Carlisle		6,856		703
CEB		17,584		958
Clean Harbors *		24,308		1,166
Deluxe		59,800		3,996
Dycom Industries *		15,914		1,301
Energy Recovery *		20,658		330
Exponent		24,304		1,241
Forward Air		22,684		981
Genesee & Wyoming, Cl A *		5,942		410
Gibraltar Industries *		9,645		358
Global Brass & Copper Holdings		10,957		317
H&E Equipment Services		24,573		412
Hawaiian Holdings *		7,861		382
Healthcare Services Group (A)		28,473		1,127
Heartland Express (A)		69,741		1,317
Heico, Cl A		19,453		1,177
Heritage-Crystal Clean *		123,630		1,642
Hexcel, Cl A		9,159		406
Hudson Technologies *		56,304		374
Huron Consulting Group *(A)		29,411		1,758
IDEX		9,592		897
InnerWorkings *		82,522		777
Insteel Industries		21,317		772
John Bean Technologies, Cl A		27,265		1,923
Kennametal		22,454		652
Keyw Holding, Cl A *(A)		29,544		326
Kirby *(A)		20,925		1,301
Lincoln Electric Holdings		8,490		532
MasTec *		57,929		1,723
Matson		7,328		292
Middleby *		2,422		299
MSC Industrial Direct, Cl A (A)		10,415		765
Nordson		3,318		331
NV5 Global *		10,497		339
On Assignment *		51,585		1,872
Park-Ohio Holdings		13,851		505
Patrick Industries *		10,383		643
Paylocity Holding *(A)		9,698		431
Proto Labs *		11,514		690
RBC Bearings *		11,730		897
Ritchie Bros. Auctioneers		14,835		520
Roadrunner Transportation Systems *		32,205		257
Saia *		18,157		544
SiteOne Landscape Supply *		25,790		927
Skywest		12,077		319
SP Plus *		57,590		1,473
Swift Transportation, Cl A *		93,151		2,000
TASER International *(A)		16,155		462



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Tennant (A)		25,937	$	1,681
TriNet Group *		69,193		1,497
TrueBlue *		20,032		454
WageWorks *		33,063		2,014
XPO Logistics *(A)		17,380		637


				59,064


Information Technology — 25.2%
Acacia Communications *(A)		2,688		278
Acxiom *		78,734		2,098
Advanced Energy Industries *		10,866		514
Advanced Micro Devices *		51,721		357
Alarm.com Holdings *(A)		33,542		968
Aspen Technology *		24,470		1,145
Atlassian, Cl A *		12,586		377
Barracuda Networks *		28,249		720
Blackbaud, Cl A		28,948		1,920
Booz Allen Hamilton Holding, Cl A		24,244		766
BroadSoft *		8,387		390
CalAmp *		150,093		2,094
Callidus Software *		153,824		2,823
Carbonite *		102,699		1,577
Cavium *		43,795		2,549
ChannelAdvisor *		86,990		1,125
Cimpress *(A)		15,231		1,541
Cirrus Logic *		26,576		1,413
Coherent *		9,862		1,090
comScore *		21,206		650
Cornerstone OnDemand *		39,136		1,798
CSG Systems International		20,603		852
Descartes Systems Group *		15,735		339
DST Systems		11,948		1,409
DTS		22,991		978
EarthLink Holdings		9,903		61
Ebix (A)		5,905		336
Envestnet *(A)		23,826		868
EPAM Systems *(A)		10,976		761
Euronet Worldwide *		22,470		1,839
Everbridge *		21,318		359
Exa *		71,051		1,140
ExlService Holdings *		7,552		376
Fabrinet *		7,648		341
Finisar *		14,470		431
FireEye *		122,884		1,810
Five9 *		30,149		473
Fleetmatics Group *		20,245		1,214
Forrester Research (A)		11,076		431
Fortinet *		9,950		367
Gigamon *		11,381		624
Globant *(A)		10,180		429
Guidewire Software, Cl Z *		27,349		1,640
Hackett Group		39,383		651



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
HubSpot *		9,608	$	554
Infoblox *		13,291		351
Instructure *(A)		37,108		941
Integrated Device Technology *		15,975		369
Littelfuse		21,395		2,756
LivePerson *		102,571		863
LogMeIn *		18,204		1,645
Lumentum Holdings *		68,350		2,855
Manhattan Associates *		8,644		498
MAXIMUS		21,220		1,200
MaxLinear, Cl A *		18,175		368
Mellanox Technologies *		10,682		462
Mercury Systems *		36,983		909
Mesa Laboratories		3,255		372
Microsemi *		17,508		735
Mitek Systems *		37,179		308
Monolithic Power Systems		39,791		3,203
Nanometrics *(A)		13,953		312
NeoPhotonics *		22,435		367
NETGEAR *		5,609		339
New Relic *(A)		11,587		444
Oclaro *		102,709		878
Pandora Media *(A)		31,159		447
Paycom Software *(A)		7,434		373
PDF Solutions *		89,629		1,629
Perficient *		88,245		1,778
Proofpoint *		40,412		3,025
Q2 Holdings *		49,721		1,425
RealPage *		21,702		558
RingCentral, Cl A *		20,574		487
Rudolph Technologies *		28,959		514
Shutterstock *(A)		10,143		646
Silicon Laboratories *		13,478		793
SPS Commerce *		6,060		445
Stratasys *(A)		16,463		397
Synaptics *		8,080		473
Take-Two Interactive Software, Cl A *		24,943		1,124
Tessera Technologies		8,303		319
TTM Technologies *		29,026		332
Tyler Technologies *		5,937		1,017
Virtusa *		11,781		291
Yelp, Cl A *		7,996		333


				81,057


Materials — 4.0%
AEP Industries		2,758		302
Balchem		7,544		585
Berry Plastics Group *		86,692		3,801
Chemours		20,825		333
Clearwater Paper *		4,891		316
Ingevity *		23,822		1,098
Innospec		6,783		413



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Kraton *(A)		25,077	$	879
Neenah Paper, Cl A		6,232		492
PolyOne		29,417		995
Rayonier Advanced Materials		24,815		332
Sensient Technologies		25,375		1,923
Summit Materials, Cl A *		51,386		953
Trinseo		5,810		329


				12,751


Real Estate — 1.4%
Agree Realty ^‡		9,080		449
CoreSite Realty ^‡		8,939		662
Four Corners Property Trust ^‡		21,862		466
Jernigan Capital ^‡(A)		35,368		678
National Storage Affiliates Trust ^‡		91,120		1,908
STORE Capital ^‡		8,982		265


				4,428


Telecommunication Services — 0.5%
8x8 *		110,207		1,700


Total Common Stock (Cost $293,595) ($ Thousands)				309,235


	Number of Rights

RIGHTS — 0.0%
United States — 0.0%
Durata Therapeutics *^‡‡		8,500		–
Dyax, Expires 12/31/2019 *		7,184		–


Total Rights (Cost $—) ($ Thousands)				–


	Shares

AFFILIATED PARTNERSHIP — 9.7%
SEI Liquidity Fund, L.P.
0.440% **^†(D)		31,160,567		31,161


Total Affiliated Partnership (Cost $31,161) ($ Thousands)				31,161



Description	Shares		Market Value ($ Thousands)

CASH EQUIVALENT — 3.9%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		12,401,264	$	12,401


Total Cash Equivalent (Cost $12,401) ($ Thousands)				12,401


Total Investments — 109.7% (Cost $337,157) ($ Thousands)			$	352,797

Percentages are based on Net Assets of $321,736 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^‡‡	Expiration date unavailable.

^†	Investment in Affiliated Security (see Note 6).

^††	Narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting.

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $30,880 ($ Thousands).

(B)	Securities considered illiquid. The total value of such securities as of September 30, 2016 was $58 ($ Thousands) and represented 0.0% of Net Assets.

(C)	Securities considered restricted. The total market value of such securities as of September 30, 2016 was $58 ($ Thousands) and represented 0.0% of Net Assets.

(D)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $31,161 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Common Stock	$	309,177	$	–	$	58	$	309,235
Rights		–		–		–		–
Affiliated Partnership		–		31,161		–		31,161
Cash Equivalent		12,401		–		–		12,401

Total Investments in Securities	$	321,578	$	31,161	$	58	$	352,797

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 95.1%

Consumer Discretionary — 10.8%
2U *(A)		40,016	$	1,532
Aaron's		41,041		1,043
Abercrombie & Fitch, Cl A (A)		30,971		492
American Axle & Manufacturing Holdings *		49,577		854
American Eagle Outfitters (A)		91,705		1,638
Aramark		66,097		2,514
Autoliv (A)		7,000		748
Beazer Homes USA, Cl A *(A)		95,749		1,116
Big 5 Sporting Goods		33,898		462
Big Lots (A)		60,114		2,870
Bloomin' Brands		51,081		881
Bright Horizons Family Solutions *		31,693		2,120
Brinker International		15,448		779
Buffalo Wild Wings *		8,233		1,159
Burlington Stores *		21,198		1,717
Carter's		2,200		191
Cato, Cl A		9,700		319
Cooper Tire & Rubber		40,319		1,533
Cooper-Standard Holding *		8,000		790
Core-Mark Holding, Cl A		19,658		704
Dave & Buster's Entertainment *		25,145		985
Denny's, Cl A *		32,085		343
Dillard's, Cl A (A)		7,747		488
DineEquity		3,910		310
Domino's Pizza		2,231		339
DR Horton		6,100		184
Fiesta Restaurant Group *		16,434		394
Five Below *(A)		37,142		1,496
Foot Locker, Cl A		4,907		332
Francesca's Holdings *		20,351		314
GameStop, Cl A (A)		23,776		656
Gannett (A)		63,701		742
GNC Holdings, Cl A		31,751		648
Goodyear Tire & Rubber		20,773		671
Hasbro		8,180		649
IMAX *		13,560		393
Installed Building Products *		17,478		627
Interpublic Group		48,781		1,090
J.C. Penney *(A)		45,399		419
Jack in the Box		3,488		335
John Wiley & Sons, Cl A		7,029		363
Lear		15,285		1,853
Libbey		18,365		328
Lithia Motors, Cl A		43,282		4,134
LKQ *		20,430		724
Marriott Vacations Worldwide (A)		16,786		1,231
MDC Partners, Cl A (A)		66,728		715
Michaels *		18,669		451
Murphy USA *		7,798		556
National CineMedia		87,651		1,290
Newell Brands, Cl B		20,677		1,089



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Nexstar Broadcasting Group, Cl A (A)		20,328	$	1,173
NVR *		262		430
Office Depot		85,227		304
Ollie's Bargain Outlet Holdings *(A)		40,289		1,056
Panera Bread, Cl A *(A)		2,763		538
Planet Fitness, Cl A *		74,589		1,497
Polaris Industries (A)		1,000		77
Pool		32,128		3,037
PVH		5,832		644
RetailMeNot *		42,858		424
Signet Jewelers (A)		3,000		224
Six Flags Entertainment (A)		20,170		1,081
Skechers U.S.A., Cl A *		19,536		447
Smith & Wesson Holding *(A)		26,801		713
SodaStream International *		74,058		1,967
Starz - Liberty Capital *		13,322		416
Tempur Sealy International *(A)		10,383		589
Tenneco *(A)		28,072		1,636
Texas Roadhouse, Cl A (A)		39,879		1,557
Tile Shop Holdings *		63,059		1,044
Tower International		14,866		358
Ulta Salon Cosmetics & Fragrance *		3,283		781
US Foods Holding *		32,416		765
Vail Resorts		7,682		1,205
Vista Outdoor *(A)		8,030		320
Visteon *		5,986		429
Wendy's (A)		180,995		1,955
Whirlpool (A)		5,200		843
Wolverine World Wide (A)		43,355		999
Zoe's Kitchen *(A)		7,676		170


				74,290


Consumer Staples — 3.4%
Andersons		48,086		1,740
B&G Foods, Cl A		26,595		1,308
Cal-Maine Foods *(A)		7,066		272
Central Garden & Pet, Cl A *		40,635		1,008
Energizer Holdings		19,026		951
Fresh Del Monte Produce		10,000		599
Freshpet *(A)		114,620		992
Ingredion		27,141		3,611
J&J Snack Foods (A)		7,030		837
John B Sanfilippo & Son (A)		6,294		323
Kroger		19,039		565
Molson Coors Brewing, Cl B		6,535		718
Omega Protein *		78,738		1,840
Pilgrim's Pride *(A)		8,724		184
Pinnacle Foods		21,455		1,076
Post Holdings *		14,734		1,137
Sanderson Farms (A)		13,270		1,278
SpartanNash		14,576		422
Spectrum Brands Holdings		9,521		1,311



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
SUPERVALU *		236,895	$	1,182
TreeHouse Foods *(A)		5,261		459
USANA Health Sciences *		3,091		428
WhiteWave Foods, Cl A *		20,031		1,090


				23,331


Energy — 5.0%
Callon Petroleum *		45,700		718
CARBO Ceramics *(A)		135,932		1,487
Carrizo Oil & Gas *(A)		44,145		1,793
Concho Resources *		20,638		2,835
Contango Oil & Gas *		29,732		304
Denbury Resources *(A)		147,146		475
Diamondback Energy, Cl A *(A)		6,772		654
Dril-Quip *(A)		2,441		136
Ensco, Cl A		105,365		896
Forum Energy Technologies *(A)		31,746		630
Frank's International (A)		24,311		316
HollyFrontier (A)		12,959		318
Matador Resources *(A)		34,174		832
Murphy Oil (A)		5,089		155
Newfield Exploration *		39,763		1,728
Noble (A)		128,907		817
Oasis Petroleum *(A)		62,111		712
Oceaneering International, Cl A		14,038		386
Oil States International *		55,605		1,755
Parsley Energy, Cl A *		70,099		2,349
Patterson-UTI Energy (A)		70,106		1,568
PBF Energy, Cl A (A)		67,075		1,519
PDC Energy, Cl A *		13,281		891
Pioneer Natural Resources		2,474		459
Prothena *(A)		5,294		317
Rowan, Cl A *(A)		106,998		1,622
Seadrill *(A)		273,647		649
Ship Finance International (A)		20,548		303
Southwestern Energy *(A)		102,511		1,419
Superior Energy Services *		54,184		970
Tesoro		7,278		579
US Silica Holdings (A)		26,082		1,214
Western Refining (A)		49,288		1,304
World Fuel Services		59,253		2,741


				34,851


Financials — 13.6%
Affiliated Managers Group *		12,845		1,859
Allied World Assurance Holdings		12,900		521
Allstate		8,087		559
American Equity Investment Life Holding		118,034		2,093
American Financial Group		13,800		1,035
Ameriprise Financial		4,701		469
Amerisafe		1,639		96
AmTrust Financial Services		11,628		312



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Arch Capital Group *		3,676	$	291
Argo Group International Holdings		5,428		306
Artisan Partners Asset Management, Cl A		20,184		549
Aspen Insurance Holdings		8,500		396
Assurant		10,159		937
Assured Guaranty		12,310		342
Axis Capital Holdings		2,535		138
Bank of the Ozarks		26,740		1,027
BankUnited		42,286		1,277
Beneficial Bancorp		71,421		1,051
BGC Partners, Cl A		398,000		3,483
Capitol Federal Financial (A)		104,787		1,474
Central Pacific Financial		15,480		390
Chemical Financial (A)		17,703		781
CNO Financial Group		75,798		1,157
Cohen & Steers		7,006		300
Columbia Banking System (A)		58,121		1,902
ETrade Financial		11,727		341
Eagle Bancorp *(A)		33,168		1,636
East West Bancorp		36,967		1,357
Employers Holdings		17,888		534
Endurance Specialty Holdings		18,808		1,231
Erie Indemnity, Cl A (A)		5,598		571
EverBank Financial, Cl A		45,939		889
Evercore Partners, Cl A		15,008		773
Everest Re Group		6,060		1,151
FBL Financial Group, Cl A (A)		3,708		237
Federal Agricultural Mortgage, Cl C		7,433		294
Federated Investors, Cl B (A)		37,377		1,107
Fidelity Southern		20,478		377
First American Financial		8,776		345
First Citizens BancShares, Cl A (A)		1,150		338
First Commonwealth Financial		156,875		1,583
First Interstate BancSystem, Cl A (A)		19,006		599
FirstCash		24,398		1,149
FNB (Pennsylvania) (A)		102,113		1,256
FNF Group		6,136		226
FNFV Group *		32,120		401
Green Dot, Cl A *		181,408		4,183
Greenhill		25,986		612
Hanover Insurance Group, Cl A		38,140		2,877
Hilltop Holdings *		15,949		358
Horace Mann Educators, Cl A (A)		23,303		854
Houlihan Lokey, Cl A		42,219		1,058
Huntington Bancshares		127,744		1,260
Infinity Property & Casualty		6,577		543
International Bancshares		20,180		601
International. FCStone *		11,359		441
Investors Bancorp		57,756		694
LendingTree *(A)		3,685		357
LPL Financial Holdings (A)		51,260		1,533
MarketAxess Holdings		3,601		596



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
MB Financial		63,446	$	2,413
MGIC Investment *		183,662		1,469
Nasdaq, Cl A		5,050		341
OFG Bancorp		426,661		4,314
PacWest Bancorp (A)		98,114		4,210
PennyMac Mortgage Investment Trust ^‡		25,807		402
Piper Jaffray *(A)		8,894		430
Popular		47,861		1,829
PrivateBancorp, Cl A		20,103		923
ProAssurance (A)		4,901		257
Reinsurance Group of America, Cl A		13,096		1,414
RenaissanceRe Holdings (A)		1,520		183
Santander Consumer USA Holdings *		48,153		586
Selective Insurance Group		45,314		1,806
ServisFirst Bancshares (A)		7,609		395
Signature Bank, Cl B *		11,813		1,399
SLM *		260,629		1,947
Starwood Property Trust ^‡		138,635		3,122
Stifel Financial *		12,532		482
SunTrust Banks		17,965		787
SVB Financial Group, Cl B *(A)		10,502		1,161
Synovus Financial		17,477		569
TCF Financial		55,027		798
Unum Group		29,327		1,036
Validus Holdings		15,363		765
Voya Financial		40,024		1,154
Webster Financial (A)		7,700		293
Western Alliance Bancorp *		71,507		2,684
WSFS Financial		28,005		1,022
Zions Bancorporation		19,800		614


				93,912


Health Care — 12.0%
ABIOMED *		8,661		1,114
Acadia Healthcare, Cl A *(A)		34,736		1,721
Adamas Pharmaceuticals *(A)		24,345		400
Aerie Pharmaceuticals *		21,500		811
Aimmune Therapeutics *(A)		26,200		393
Akorn *(A)		92,909		2,533
Alder Biopharmaceuticals *(A)		16,379		537
Alere *		3,176		137
Align Technology *		26,782		2,511
Alkermes *(A)		13,865		652
AmerisourceBergen		6,362		514
Amicus Therapeutics *(A)		48,568		359
AMN Healthcare Services *		20,799		663
Amsurg *(A)		34,469		2,311
Analogic (A)		19,010		1,684
C.R. Bard		1,624		364
Centene *(A)		8,307		556
Cepheid *		22,791		1,201
Charles River Laboratories International *		14,525		1,211



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Chemed		7,200	$	1,016
Community Health Systems *(A)		210,131		2,425
Cooper, Cl A		1,915		343
Cynosure, Cl A *		22,740		1,158
DBV Technologies ADR *		4,828		175
DENTSPLY SIRONA		25,057		1,489
DexCom *(A)		26,872		2,356
Diplomat Pharmacy *(A)		11,095		311
Emergent BioSolutions *		22,875		721
Ensign Group (A)		16,233		327
Exelixis *		63,713		815
Five Prime Therapeutics *(A)		11,200		588
Glaukos *		18,293		690
GW Pharmaceuticals ADR *(A)		3,127		415
HealthSouth		50,304		2,041
Horizon Pharma *(A)		29,601		537
Humana		5,500		973
ICON *(A)		20,157		1,560
ICU Medical *		5,669		716
Idexx Laboratories *		6,675		752
INC Research Holdings, Cl A *		8,498		379
Incyte *		3,300		311
Insulet *		10,776		441
Integra LifeSciences Holdings *		50,072		4,133
Kindred Healthcare		113,393		1,159
Lannett *(A)		130,610		3,470
LHC Group *		8,754		323
LifePoint Health *(A)		10,538		624
Ligand Pharmaceuticals *(A)		55,043		5,618
Luminex *		15,633		355
Magellan Health *		8,334		448
Masimo *		15,397		916
Medicines *(A)		16,794		634
Medidata Solutions *		5,534		309
MEDNAX *(A)		14,152		938
Mettler Toledo International *(A)		2,460		1,033
MiMedx Group *(A)		48,064		412
Molina Healthcare *(A)		23,101		1,347
Neurocrine Biosciences *		10,042		509
Nevro *(A)		19,869		2,074
NuVasive *		10,376		692
Orthofix International *		8,084		346
Otonomy *(A)		21,739		395
Parexel International *		15,050		1,045
PDL BioPharma *		245,771		823
Penumbra *		15,074		1,145
PerkinElmer		14,013		786
PRA Health Sciences *		5,799		328
Premier, Cl A *		20,465		662
Quintiles Transnational *		31,043		2,516
Radius Health *		7,937		429
Sage Therapeutics *(A)		15,894		732



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
STERIS		4,494	$	329
Teleflex		3,980		669
TESARO *(A)		12,579		1,261
Triple-S Management, Cl B *		13,520		297
Ultragenyx Pharmaceutical *(A)		10,062		714
United Therapeutics *(A)		14,367		1,696
VCA *		7,484		524
WellCare Health Plans *		7,864		921
West Pharmaceutical Services		4,288		319
Wright Medical Group *		12,485		306
Zeltiq Aesthetics *(A)		34,524		1,354


				82,802


Industrials — 16.9%
AAR		13,157		412
Acacia Research *		425,615		2,775
ACCO Brands *		285,499		2,752
Actuant, Cl A (A)		42,636		991
Acuity Brands		7,636		2,020
Aegion, Cl A *		16,638		317
Alaska Air Group		16,037		1,056
Allegiant Travel, Cl A		2,338		309
American Woodmark *		3,752		302
AO Smith		14,044		1,387
Apogee Enterprises (A)		8,228		368
ArcBest		36,582		696
Atlas Air Worldwide Holdings *(A)		98,024		4,197
Babcock & Wilcox Enterprises *		88,878		1,466
Beacon Roofing Supply *		19,239		809
BWX Technologies, Cl W		142,775		5,478
Carlisle		34,980		3,588
CEB		13,321		726
Cintas		12,501		1,408
CIRCOR International (A)		12,386		738
Comfort Systems USA		6,327		185
Copa Holdings, Cl A (A)		5,789		509
Copart *		6,297		337
Crane, Cl A		51,163		3,224
Curtiss-Wright		15,306		1,395
Deluxe (A)		12,883		861
Dun & Bradstreet		8,152		1,114
DXP Enterprises *(A)		44,495		1,254
Dycom Industries *(A)		28,929		2,366
EMCOR Group		24,206		1,443
Engility Holdings *		23,184		730
Equifax		2,212		298
Federal Signal		26,947		357
FreightCar America, Cl A		20,718		298
G&K Services		16,788		1,603
Genesee & Wyoming, Cl A *(A)		58,031		4,001
Global Brass & Copper Holdings		11,651		337
Greenbrier (A)		22,252		785



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
H&E Equipment Services		46,602	$	781
Hawaiian Holdings *		26,352		1,281
HD Supply Holdings *		39,572		1,266
Herc Holdings *		9,993		337
Hertz Global Holdings *		23,339		937
Hexcel, Cl A (A)		24,458		1,083
HNI		13,162		524
Huntington Ingalls Industries, Cl A		7,861		1,206
Hyster-Yale Materials Handling		6,202		373
IDEX (A)		18,517		1,733
ITT		31,123		1,115
Jacobs Engineering Group *		6,039		312
JetBlue Airways *		77,930		1,344
John Bean Technologies, Cl A (A)		7,131		503
Kadant		25,142		1,310
Kaman, Cl A (A)		35,491		1,559
KAR Auction Services		85,739		3,700
Kirby *(A)		17,144		1,066
L-3 Communications Holdings		7,300		1,100
LB Foster, Cl A		75,966		912
Lennox International (A)		7,466		1,172
Lincoln Electric Holdings (A)		18,611		1,165
ManpowerGroup		25,113		1,815
Masco		22,855		784
MasTec *		29,249		870
Matson (A)		17,260		688
Meritor *		119,937		1,335
Middleby *		11,790		1,457
MRC Global *		20,993		345
MSA Safety		5,363		311
MYR Group *		12,505		376
Old Dominion Freight Line, Cl A *(A)		25,477		1,748
Orbital ATK		6,990		533
Oshkosh Truck		35,569		1,992
Owens Corning		13,810		737
Paylocity Holding *(A)		21,432		953
Quad Graphics		18,303		489
RBC Bearings *(A)		14,377		1,100
Resources Connection		20,994		314
Roadrunner Transportation Systems *		60,561		483
Robert Half International		35,045		1,327
RPX *		31,949		342
Ryder System		8,900		587
Saia *(A)		9,826		294
SiteOne Landscape Supply *		16,776		603
Skywest		25,407		671
Spirit AeroSystems Holdings, Cl A *		28,103		1,252
Spirit Airlines *		7,026		299
SPX FLOW *		12,449		385
TASER International *(A)		10,881		311
Teledyne Technologies *		20,481		2,211
Tetra Tech (A)		16,037		569



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Titan Machinery *(A)		118,090	$	1,228
Toro		10,348		485
TransDigm Group *		3,700		1,070
Trinity Industries (A)		60,530		1,464
Triumph Group (A)		1,013		28
TrueBlue *		18,524		420
Unifirst (A)		644		85
United Rentals *		9,199		722
Universal Forest Products		8,704		857
Wabash National *(A)		41,485		591
Wabtec (A)		3,600		294
WageWorks *(A)		8,366		510
Waste Connections		4,781		357
Watsco (A)		6,700		944
Wesco Aircraft Holdings *(A)		209,569		2,815
XPO Logistics *(A)		30,205		1,108
Xylem		18,430		967


				116,797


Information Technology — 17.3%
ACI Worldwide *(A)		61,709		1,196
Acxiom *(A)		29,729		792
Advanced Energy Industries *		1,400		66
Alliance Data Systems *(A)		1,158		248
Amkor Technology *		37,824		368
Ansys *		3,217		298
Arista Networks *(A)		4,501		383
Arrow Electronics, Cl A *		4,925		315
Aspen Technology *		41,409		1,938
Atlassian, Cl A *		23,427		702
AVG Technologies *		17,281		432
Avnet		8,652		355
Bankrate *		39,418		334
Belden		9,618		664
Benchmark Electronics *(A)		25,072		626
Black Box		54,931		764
Blackbaud, Cl A (A)		13,951		926
Blackhawk Network Holdings, Cl A *		22,561		681
Bottomline Technologies *		42,540		992
Broadcom		9,282		1,601
Broadridge Financial Solutions		28,670		1,944
BroadSoft *		8,619		401
Brocade Communications Systems		100,100		924
CACI International, Cl A *		10,545		1,064
Cadence Design Systems *(A)		73,065		1,865
CDW		10,820		495
Cimpress *(A)		10,766		1,089
Cirrus Logic *		44,230		2,351
Coherent *		5,166		571
CommScope Holding *		10,267		309
CommVault Systems *		39,535		2,100
Convergys		84,081		2,558



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
CoStar Group *		11,236	$	2,433
CSG Systems International		16,700		690
Cypress Semiconductor (A)		123,886		1,506
Dolby Laboratories, Cl A		17,896		972
Electronic Arts *		13,002		1,110
Electronics For Imaging *(A)		9,392		459
Ellie Mae *		4,713		496
Entegris *		26,270		458
EPAM Systems *(A)		7,056		489
Euronet Worldwide *		20,534		1,680
ExlService Holdings *		24,455		1,219
Fair Isaac		6,500		810
Fidelity National Information Services, Cl B		12,644		974
First Solar *(A)		8,716		344
Fleetmatics Group *		9,640		578
Fortinet *		20,199		746
Gartner *		2,600		230
Gigamon *		19,328		1,059
Global Payments		23,656		1,816
Guidewire Software, Cl Z *		28,765		1,725
Harris		11,871		1,088
HubSpot *(A)		20,052		1,155
IAC *		49,937		3,120
Ingram Micro, Cl A *		8,623		308
Inphi *		24,989		1,087
Insight Enterprises *		21,641		704
InterDigital		32,257		2,555
Intersil, Cl A		28,169		618
InterXion Holding *		26,628		964
Ixia *		24,958		312
j2 Global		28,988		1,931
Jabil Circuit		70,363		1,535
Keysight Technologies *		71,100		2,253
Leidos Holdings		7,816		338
Littelfuse		16,324		2,103
Lumentum Holdings *		17,046		712
Manhattan Associates *		10,280		592
Marvell Technology Group		35,377		469
MaxLinear, Cl A *(A)		30,144		611
Mellanox Technologies *		14,590		631
Mentor Graphics		16,556		438
Methode Electronics		11,078		387
Microchip Technology (A)		16,167		1,005
Microsemi *(A)		44,787		1,880
MKS Instruments (A)		14,407		716
Monolithic Power Systems		22,891		1,843
NCR *		10,826		348
NETGEAR *		16,427		994
NeuStar, Cl A *(A)		25,797		686
Oclaro *		120,042		1,026
ON Semiconductor *		42,625		525
Open Text		52,506		3,406



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Orbotech *		53,910	$	1,596
OSI Systems *		37,509		2,452
Palo Alto Networks *(A)		5,733		913
Pandora Media *(A)		54,424		780
Paycom Software *		9,028		453
Photronics *		30,706		317
Proofpoint *(A)		20,816		1,558
Q2 Holdings *(A)		29,886		857
Qorvo *(A)		10,870		606
Rackspace Hosting *		17,788		564
RingCentral, Cl A *		52,403		1,240
Rubicon Project *		30,043		249
Sabre (A)		20,405		575
Sanmina *		39,282		1,118
Science Applications International		11,933		828
Shopify, Cl A *		16,098		691
Silicon Graphics International *		152,937		1,178
Silicon Laboratories *		19,462		1,144
Silicon Motion Technology ADR		21,597		1,119
Skyworks Solutions (A)		4,477		341
SS&C Technologies Holdings		17,556		564
Super Micro Computer *		14,225		332
Sykes Enterprises *		20,228		569
Synaptics *(A)		3,844		225
SYNNEX		9,640		1,100
Synopsys *		20,308		1,205
Take-Two Interactive Software, Cl A *		35,738		1,611
Tech Data *		11,750		995
Teradyne		40,298		870
Tessera Technologies		15,131		582
Trimble Navigation *		28,030		801
Tyler Technologies *(A)		4,765		816
Ultimate Software Group *(A)		10,632		2,173
Western Digital		6,200		363
Yelp, Cl A *		8,179		341
Zebra Technologies, Cl A *(A)		38,075		2,650


				119,262


Materials — 6.2%
Albemarle		25,763		2,202
Ashland Global Holdings		18,288		2,121
Avery Dennison		30,430		2,367
Ball		9,183		753
Bemis (A)		2,836		145
Berry Plastics Group *		41,193		1,806
Boise Cascade *		20,506		521
Cabot		44,463		2,330
Chemtura *		13,358		438
Cliffs Natural Resources *(A)		48,623		284
Commercial Metals, Cl A		26,650		431
Compass Minerals International, Cl A (A)		13,714		1,011
Crown Holdings *		31,797		1,815



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Eagle Materials		4,019	$	311
FMC		62,794		3,035
Gold Resource		24,572		182
Graphic Packaging Holding		53,005		742
Headwaters, Cl A *		66,598		1,127
Huntsman		23,455		382
Kaiser Aluminum		3,573		309
LSB Industries *(A)		189,964		1,630
Martin Marietta Materials, Cl A		420		75
Materion		12,245		376
Neenah Paper, Cl A		14,000		1,106
Olympic Steel		15,772		349
Owens-Illinois *		42,341		779
Packaging Corp of America (A)		10,242		832
PolyOne		61,364		2,075
Rayonier Advanced Materials		43,416		580
Reliance Steel & Aluminum		24,004		1,729
Schulman A		33,230		968
Sensient Technologies		16,062		1,218
Silgan Holdings (A)		50,049		2,532
Steel Dynamics		52,104		1,302
Stepan		6,908		502
Summit Materials, Cl A *		50,034		928
SunCoke Energy *		48,154		386
United States Steel (A)		80,675		1,522
Worthington Industries		20,346		977
WR Grace		7,676		566


				42,744


Real Estate — 7.2%
Acadia Realty Trust ^‡		50,493		1,830
Alexandria Real Estate Equities ^‡		10,497		1,142
American Assets Trust ^‡(A)		28,220		1,224
American Campus Communities ^‡(A)		37,670		1,916
American Homes 4 Rent, Cl A ^‡		62,696		1,357
Armada Hoffler Properties ^‡		28,819		386
Brixmor Property Group ^‡		13,478		375
CBL & Associates Properties ^‡		126,782		1,539
Cedar Realty Trust ^‡		44,843		323
Chesapeake Lodging Trust ^‡(A)		17,222		394
Colony Starwood Homes ^‡(A)		51,237		1,471
Columbia Property Trust ^‡		13,787		309
CoreSite Realty ^‡(A)		5,244		388
CyrusOne ^‡(A)		25,221		1,200
Digital Realty Trust, Cl A ^‡(A)		4,193		407
Douglas Emmett ^‡(A)		4,298		157
DuPont Fabros Technology ^‡		28,525		1,177
Education Realty Trust ^‡		46,530		2,007
EPR Properties, Cl A ^‡		33,739		2,657
Equity One, Cl A ^‡		16,882		517
First Potomac Realty Trust ^‡		32,931		301
Forest City Realty Trust, Cl A ^‡		104,433		2,416



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Franklin Street Properties ^‡		28,037	$	353
Gaming and Leisure Properties ^‡		66,751		2,233
GEO Group ^‡(A)		20,515		488
Healthcare Trust of America, Cl A ^‡(A)		33,399		1,090
Hersha Hospitality Trust, Cl A ^‡(A)		79,289		1,429
Highwoods Properties ^‡		65,492		3,413
Hospitality Properties Trust ^‡(A)		46,609		1,385
Howard Hughes *(A)		34,536		3,954
InfraREIT ^‡		17,700		321
Jones Lang LaSalle		10,068		1,146
Lamar Advertising, Cl A ^‡(A)		11,919		778
Life Storage		1,800		160
Medical Properties Trust ^‡(A)		190,106		2,808
Mid-America Apartment Communities ^‡		8,042		756
Omega Healthcare Investors ^‡(A)		19,600		695
Parkway Properties ^‡		43,809		745
Pebblebrook Hotel Trust ^‡(A)		25,055		666
PS Business Parks ^‡		8,411		955
QTS Realty Trust, Cl A ^‡(A)		13,887		734
Ryman Hospitality Properties		14,227		685
Summit Hotel Properties ^‡		40,648		535
Sun Communities ^‡		1,825		143
Sunstone Hotel Investors ^‡(A)		22,405		287
Washington Prime Group		51,848		642


				49,894


Telecommunication Services — 0.4%
Cincinnati Bell, Cl A *		97,720		399
Cogent Communications Holdings (A)		21,690		798
Level 3 Communications *		5,076		235
SBA Communications, Cl A *		2,217		249
Telephone & Data Systems		21,150		575
Vonage Holdings *		86,245		570


				2,826


Utilities — 2.3%
Atmos Energy		20,484		1,525
Avista		21,700		907
Black Hills, Cl A (A)		9,464		579
Calpine *		22,624		286
CMS Energy		17,866		751
Edison International		6,342		458
Great Plains Energy		42,356		1,156
Idacorp, Cl A		10,909		854
National Fuel Gas		19,648		1,062
New Jersey Resources (A)		1,500		49
ONE Gas		9,553		591
PNM Resources		26,970		883
Portland General Electric		43,378		1,848
SCANA		22,344		1,617
Southwest Gas		15,642		1,093
Spire		7,863		501



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
UGI		35,168	$	1,591
Vectren		7,055		354


				16,105


Total Common Stock (Cost $462,053) ($ Thousands)				656,814


	Number of Rights

RIGHTS — 0.0%
United States — 0.0%
Central European Media Enterprises ^‡‡		53		–
Chelseea Therapeutics International CVR ^‡‡		3,004		–
Dyax, Expires 12/31/2019		6,884		–
Endo Pharmaceuticals ^‡‡		1,900		–
Safeway CVR - Casa Ley ^‡‡		11,400		12
Safeway CVR - PDC ^‡‡		11,400		–


Total Rights (Cost $—) ($ Thousands)				12


	Shares
AFFILIATED PARTNERSHIP — 26.2%
SEI Liquidity Fund, L.P.
0.440% **^†(B)		180,708,367		180,708


Total Affiliated Partnership (Cost $180,708) ($ Thousands)				180,708


	Face Amount (Thousands)
U.S. TREASURY OBLIGATION — 0.0%
U.S. Treasury Bills
0.241%, 10/20/2016 (C)	$	320		320


Total U.S. Treasury Obligation (Cost $320) ($ Thousands)				320


	Shares
CASH EQUIVALENT — 4.9%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		33,688,560		33,689


Total Cash Equivalent (Cost $33,689) ($ Thousands)				33,689


Total Investments — 126.2% (Cost $676,770) ($ Thousands)			$	871,543

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized

Appreciation
(Depreciation)
($ Thousands)

Russell 2000 Index E-MINI

Dec-2016

S&P Mid Cap 400 Index E-MINI

Dec-2016

(3)

Percentages are based on Net Assets of $690,473 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^‡‡	Expiration date unavailable.

^†	Investment in Affiliated Security (see Note 6).

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $178,774 ($ Thousands).

(B)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $180,708 ($ Thousands).

(C)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

ADR — American Depositary Receipt

Cl — Class

L.P.— Limited Partnership

S&P— Standard & Poor's

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	656,814		$	–	$	–	$	656,814
Rights		–			12		–		12
Affiliated Partnership		–			180,708		–		180,708
U.S. Treasury Obligation		–			320		–		320
Cash Equivalent		33,689			–		–		33,689

Total Investments in Securities	$	690,503		$	181,040	$	–	$	871,543


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Forwards Contracts *
Unrealized Appreciation	$	5		$	—	$	—	$	5
Unrealized Depreciation		(3	)		—		—		(3	)

Total Other Financial Instruments	$	2		$	—	$	—	$	2

* Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.3%

Consumer Discretionary — 14.2%
Bed Bath & Beyond (A)		12,300	$	530
Best Buy		18,400		702
Carter’s		5,200		451
Cooper-Standard Holding *		2,800		277
Dillard’s, Cl A (A)		2,100		133
Discovery Communications, Cl A *(A)		1,900		51
Discovery Communications, Cl C *		21,200		558
Dollar General		6,500		455
DR Horton		19,100		577
Express *		3,300		39
Extended Stay America		18,300		260
Foot Locker, Cl A		800		54
FTD *(A)		3,100		64
Genuine Parts		6,700		673
Kohl’s (A)		3,183		139
Lear		5,300		642
Lennar, Cl A		2,600		110
Lennar, Cl B		3,000		101
Liberty Interactive QVC Group, Cl A *		29,700		594
Macy’s		18,200		674
Murphy USA *		6,200		442
NACCO Industries, Cl A		3,100		211
News, Cl A		22,400		313
NVR *		100		164
Penske Auto Group, Cl A (A)		8,500		410
PVH		5,700		630
Ross Stores		6,200		399
Royal Caribbean Cruises (A)		8,600		645
Staples		22,800		195
TEGNA		11,100		242
Thor Industries		3,200		271
Ulta Salon Cosmetics & Fragrance *		2,400		571
Viacom, Cl B		14,800		564
Wyndham Worldwide		8,100		545


				12,686


Consumer Staples — 6.0%
Blue Buffalo Pet Products *		6,600		157
Bunge		9,600		569
Campbell Soup		6,000		328
Clorox		5,300		663
ConAgra Foods		15,900		749
Dr Pepper Snapple Group		7,500		685
Ingredion		2,500		333
JM Smucker		4,600		623
Pilgrim's Pride *(A)		18,000		380
Tyson Foods, Cl A		11,600		866


				5,353


Energy — 4.5%
Energen *		7,400		427



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Ensco, Cl A		28,600	$	243
Marathon Oil		3,800		60
Marathon Petroleum		19,200		779
Newfield Exploration *		12,700		552
Oneok		9,800		504
PBF Energy, Cl A (A)		20,100		455
Rice Energy *		15,400		402
Tesoro		7,800		621


				4,043


Financials — 10.4%
Ally Financial		32,800		639
American Financial Group		6,900		517
Ameriprise Financial		6,900		688
Annaly Capital Management ^‡		54,600		574
Assured Guaranty		2,800		78
Chimera Investment ^‡		30,540		487
Citizens Financial Group		23,300		576
East West Bancorp		14,600		536
Fifth Third Bancorp		11,600		237
Genworth Financial, Cl A *		9,700		48
Invesco		15,800		494
Invesco Mortgage Capital ^‡		3,300		50
Lincoln National		1,500		70
Navient (A)		8,500		123
Old Republic International		27,400		483
Progressive		7,900		249
Raymond James Financial		10,600		617
Regions Financial		62,300		615
Reinsurance Group of America, Cl A		1,500		162
Starwood Property Trust ^‡		4,000		90
SunTrust Banks		18,200		797
Unum Group		17,200		607
Voya Financial		300		9
XL Group		16,500		555


				9,301


Health Care — 11.4%
Alkermes *		1,300		61
AmerisourceBergen		2,200		178
Anthem		1,200		150
Boston Scientific *		18,900		450
Bruker BioSciences		18,200		412
C.R. Bard		3,300		740
Cerner *(A)		11,200		692
DaVita HealthCare Partners *		900		60
Edwards Lifesciences, Cl A *		8,400		1,013
Hill-Rom Holdings		7,900		490
Hologic *		16,600		644
IDEXX Laboratories *		600		68
Incyte *		7,700		726
Intuitive Surgical *		1,150		833



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Jazz Pharmaceuticals *		3,860	$	469
Mallinckrodt *		9,000		628
Quintiles Transnational *		6,200		503
Universal Health Services, Cl B		4,500		555
Vertex Pharmaceuticals *		800		70
VWR *		16,800		476
WellCare Health Plans *		4,000		468
West Pharmaceutical Services		1,400		104
Zimmer Biomet Holdings		600		78
Zoetis, Cl A		6,200		322


				10,190


Industrials — 11.9%
Alaska Air Group		700		46
Babcock & Wilcox Enterprises *		19,700		325
BWX Technologies, Cl W		14,600		560
Carlisle		5,400		554
Continental Building Products *		6,300		132
Cummins		5,800		743
Global Brass & Copper Holdings		1,500		43
HD Supply Holdings *		8,800		281
Hubbell, Cl B		900		97
Huntington Ingalls Industries, Cl A		4,200		644
Ingersoll-Rand		10,800		734
KBR		32,600		493
L-3 Communications Holdings		500		75
Lennox International (A)		2,300		361
ManpowerGroup		6,400		463
Masco		8,800		302
PACCAR		12,100		711
Parker-Hannifin, Cl A		4,300		540
Republic Services (A)		1,100		56
RR Donnelley & Sons		3,000		47
Southwest Airlines, Cl A		11,900		463
Spirit AeroSystems Holdings, Cl A *		12,000		535
SPX FLOW *		3,700		115
Stanley Black & Decker		6,000		738
Textron		15,900		632
United Continental Holdings *		15,700		824
Wabash National *(A)		2,100		30
Wesco Aircraft Holdings *(A)		2,400		32


				10,576


Information Technology — 16.0%
Advanced Energy Industries *		2,400		114
Akamai Technologies *		6,800		360
Analog Devices		4,900		316
Ansys *		1,600		148
Applied Materials		5,100		154
Arista Networks *(A)		5,500		468
Arrow Electronics, Cl A *		4,400		281
Avnet		4,300		177



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Booz Allen Hamilton Holding, Cl A		4,700	$	149
CA		1,200		40
Cardtronics *(A)		7,300		326
CDK Global		4,400		252
CDW		13,400		613
Citrix Systems *		7,600		648
CommScope Holding *		17,500		527
CoreLogic *		1,200		47
CoStar Group *		2,700		585
eBay *		18,100		595
Electronic Arts *		4,100		350
F5 Networks, Cl A *		4,600		573
First Data, Cl A *		30,800		405
Fiserv, Cl A *		5,400		537
HP		26,200		407
IAC *		10,000		625
Intuit		1,100		121
Juniper Networks		25,100		604
Leidos Holdings		1,100		48
Linear Technology		10,800		640
Manhattan Associates *		8,200		473
Maxim Integrated Products		6,600		263
NCR *		11,400		367
Nuance Communications *		20,400		296
Red Hat *		6,500		525
Seagate Technology (A)		8,700		335
Symantec, Cl A		31,600		793
Synopsys *		10,500		623
Total System Services		9,700		457


				14,242


Materials — 5.5%
Alcoa (A)		6,400		65
Celanese, Ser A		9,300		619
Crown Holdings *		10,600		605
GCP Applied Technologies *		4,900		139
Newmont Mining		21,700		853
Nucor		13,500		667
Owens-Illinois *		18,400		338
RPM International		10,100		543
Steel Dynamics		21,200		530
Westlake Chemical		10,400		556


				4,915


Real Estate — 9.5%
American Campus Communities ^‡		6,800		346
Apple Hospitality (A)		15,100		280
Ashford Hospitality Trust ^‡		13,300		78
Boston Properties ^‡		3,000		409
Brixmor Property Group ^‡		18,200		506
CBRE Group, Cl A *		12,600		353
Chesapeake Lodging Trust ^‡		5,200		119



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Empire State Realty Trust, Cl A ^‡		7,400	$	155
Forest City Realty Trust, Cl A ^‡		22,500		520
Franklin Street Properties ^‡		22,300		281
General Growth Properties ^‡		22,300		616
GEO Group ^‡(A)		19,700		468
HCP ^‡		18,900		717
Jones Lang LaSalle		5,060		576
Marcus & Millichap *		3,500		91
NexPoint Residential Trust		2,100		41
NorthStar Realty Finance ^‡		22,700		299
Paramount Group ^‡		10,000		164
ProLogis ^‡		14,600		782
Rayonier ^‡		4,900		130
Ryman Hospitality Properties		8,500		409
VEREIT ^‡		56,500		586
WP Carey ^‡		8,200		529


				8,455


Telecommunication Services — 0.3%
Telephone & Data Systems		7,900		215


Utilities — 7.6%
AES		51,200		658
American Electric Power		4,100		263
DTE Energy		7,500		703
Edison International		4,000		289
Entergy		8,500		652
Eversource Energy		11,600		629
FirstEnergy		16,500		546
Hawaiian Electric Industries		12,600		376
MDU Resources Group		10,900		277
National Fuel Gas		4,500		243
PPL		22,300		771
Public Service Enterprise Group		17,500		733
UGI		14,100		638


				6,778


Total Common Stock (Cost $79,974) ($ Thousands)				86,754


AFFILIATED PARTNERSHIP — 6.4%
SEI Liquidity Fund, L.P.
0.440% **^†(B)		5,714,002		5,714


Total Affiliated Partnership (Cost $5,714) ($ Thousands)				5,714



Description	Face Amount (Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bill
0.238%, 10/20/2016 (C)(D)	$	50	$	50


Total U.S. Treasury Obligation (Cost $50) ($ Thousands)				50


	Shares

CASH EQUIVALENT — 2.5%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		2,188,571		2,189


Total Cash Equivalent (Cost $2,189) ($ Thousands)				2,189


Total Investments — 106.3% (Cost $87,927) ($ Thousands)			$	94,707

Percentages are based on Net Assets of $89,130 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	This security or a partial position of this security is on loan at September 30, 2016 (see Note 10). The total market value of securities on loan at September 30, 2016 was $5,670 ($ Thousands).

(B)	This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of September 30, 2016 was $5,714 ($ Thousands).

(C)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

Cl — Class

L.P. — Limited Partnership

Ser — Series

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	86,754	$	–	$	–	$	86,754
U.S. Treasury Obligation		–		50		–		50
Affiliated Partnership		–		5,714		–		5,714
Cash Equivalent		2,189		–		–		2,189

Total Investments in Securities	$	88,943	$	5,764	$	–	$	94,707

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.4%

Consumer Discretionary — 10.3%
American Eagle Outfitters		182,290	$	3,256
Aramark		242,246		9,213
Bed Bath & Beyond		159,924		6,894
Best Buy		31,153		1,189
Big Lots		129,291		6,174
BJ's Restaurants *		12,392		440
Brinker International		85,406		4,307
Canadian Tire, Cl A		30,700		3,069
Carriage Services		12,539		297
Cheesecake Factory		178,130		8,917
Children's Place		46,400		3,706
Comcast, Cl A		49,100		3,257
Cooper Tire & Rubber		17,450		663
Cooper-Standard Holding *		8,838		873
Cracker Barrel Old Country Store		3,069		406
CST Brands		12,623		607
Darden Restaurants		83,246		5,105
Del Frisco's Restaurant Group *		9,995		135
Del Taco Restaurants *		44,759		533
Dillard's, Cl A		47,256		2,977
Discovery Communications, Cl C *		13,093		345
Dollar General		109,500		7,664
Eldorado Resorts *		39,801		559
Escalade		6,743		86
Foot Locker, Cl A		62,655		4,243
GameStop, Cl A		68,633		1,894
General Motors		9,491		301
Genuine Parts		19,662		1,975
Goodyear Tire & Rubber		14,668		474
Graham Holdings, Cl B		975		469
Grand Canyon Education *		3,784		153
Hemisphere Media Group, Cl A *		12,906		165
Hooker Furniture		5,949		146
Kohl's		89,800		3,929
Lear		15,993		1,939
Lindblad Expeditions Holdings *		27,763		250
Macy's		37,300		1,382
Mattel		277,602		8,406
McDonald's		124,799		14,397
Michael Kors Holdings *		200,786		9,395
Murphy USA *		58,900		4,203
National CineMedia		24,332		358
NVR *		3,342		5,480
Panera Bread, Cl A *		11,286		2,198
PetMed Express		35,402		718
Regal Entertainment Group, Cl A		15,740		342
Sally Beauty Holdings *		142,800		3,667
Scripps Networks Interactive, Cl A		51,600		3,276
Staples		152,215		1,301
Superior Uniform Group		2,724		54
Target, Cl A		301,008		20,673



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Tenneco *		15,288	$	891
TJX		7,671		574
Viacom, Cl B		40,400		1,539
Wayfair, Cl A *		1,780		70
Yum! Brands		2,608		237


				165,771


Consumer Staples — 17.7%
Altria Group		329,611		20,841
Amplify Snack Brands *		20,924		339
Brown-Forman, Cl B		4,684		222
Bunge		85,408		5,059
Calavo Growers		1,988		130
Cal-Maine Foods *		1,241		48
Campbell Soup		46,724		2,556
Clorox		83,056		10,397
Coca-Cola		189,454		8,018
Coca-Cola European Partners		36,600		1,460
Costco Wholesale		74,318		11,334
Coty, Cl A		61,236		1,439
CVS Health		88,800		7,902
Dean Foods		263,002		4,313
Dr Pepper Snapple Group		287,944		26,292
Flowers Foods		320,072		4,839
Fresh Del Monte Produce		94,401		5,655
General Mills		168,008		10,732
Hormel Foods		137,734		5,224
Ingredion		36,252		4,824
J&J Snack Foods		6,446		768
John B Sanfilippo & Son		9,094		467
Kellogg		59,300		4,594
Kimberly-Clark		96,029		12,113
Kroger		316,876		9,405
Lancaster Colony		9,105		1,203
McCormick		111,502		11,141
Metro, Cl A		92,100		3,018
National Beverage, Cl A *		4,077		180
Nu Skin Enterprises, Cl A		55,876		3,620
Orchids Paper Products		8,767		239
PepsiCo		157,328		17,113
Philip Morris International		165,454		16,085
Pinnacle Foods		110,188		5,528
Sanderson Farms		41,900		4,036
Snyder's-Lance		8,820		296
SYSCO, Cl A		325,257		15,941
Tyson Foods, Cl A		166,658		12,444
Universal		36,082		2,101
Vector Group		53,626		1,155
Wal-Mart Stores		441,835		31,865
Weis Markets		10,536		559


				285,495



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Energy — 0.8%
Exxon Mobil		111,500	$	9,732
Frank's International		125,003		1,625
Range Resources		20,117		779


				12,136


Financials — 14.3%
Aflac		93,600		6,727
Allied World Assurance Holdings		160,971		6,506
Allstate		120,809		8,358
American Capital Agency, Cl A ^‡		55,100		1,077
American Capital Mortgage Investment ^‡		59,245		1,018
American Financial Group		93,497		7,012
American National Insurance		30,666		3,740
Amerisafe		3,186		187
Annaly Capital Management ^‡		516,100		5,419
Anworth Mortgage Asset ^‡		93,474		460
Apollo Commercial Real Estate Finance ^‡		200,248		3,278
Arch Capital Group *		90,931		7,207
Ares Commercial Real Estate ^‡		8,823		111
Argo Group International Holdings		5,484		309
Aspen Insurance Holdings		155,200		7,231
Assured Guaranty		88,885		2,467
Atlas Financial Holdings *		21,013		331
Axis Capital Holdings		228,855		12,434
Bank of Marin Bancorp		2,321		115
BankUnited		29,171		881
Berkshire Hathaway, Cl B *		75,500		10,908
BNC Bancorp		12,825		312
BOK Financial		15,452		1,066
Capitol Federal Financial		64,763		911
Capstead Mortgage ^‡		73,999		698
Carolina Financial		8,605		192
CBOE Holdings		210,763		13,668
Charter Financial		11,684		151
Chemical Financial		4,366		193
Chimera Investment ^‡		92,995		1,483
Citigroup		15,441		729
Citizens Financial Group		21,122		522
CME Group		9,925		1,037
CU Bancorp *		14,194		324
Cullen/Frost Bankers		6,470		466
CYS Investments ^‡		8,834		77
Employers Holdings		8,614		257
Endurance Specialty Holdings		87,833		5,749
Enstar Group *		3,173		522
Essent Group *		5,160		137
Everest Re Group		98,136		18,643
Farmers Capital Bank		3,810		113
Fidelity Southern		18,137		334
First Business Financial Services		8,452		199
First Foundation *		5,967		147



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
First Interstate BancSystem, Cl A		3,249	$	102
First Mid-Illinois Bancshares		2,150		59
Genworth MI Canada		71,000		1,824
Great Ajax ^‡		7,494		102
Green Dot, Cl A *		23,086		533
Guaranty Bancorp		5,796		103
Heritage Insurance Holdings		17,876		258
Horizon Bancorp		5,018		147
Houlihan Lokey, Cl A		1,906		48
James River Group Holdings		8,608		312
MBT Financial		4,566		41
MFA Financial ^‡		1,055,596		7,896
Middleburg Financial		1,280		36
MidWestOne Financial Group		3,341		102
Morningstar, Cl A		6,151		488
National Bank Holdings, Cl A		18,485		432
National Bank of Canada		96,800		3,426
Northwest Bancshares		25,491		400
Old Line Bancshares		6,115		121
Old Second Bancorp		15,242		127
OneBeacon Insurance Group, Cl A		8,763		125
Opus Bank		6,870		243
Oritani Financial		4,965		78
Pacific Premier Bancorp *		35,227		932
Peoples Financial Services		3,918		160
People's Utah Bancorp		2,867		58
PNC Financial Services Group		42,000		3,784
Popular		39,866		1,524
Preferred Bank		6,905		247
ProAssurance		19,684		1,033
QCR Holdings		3,057		97
Reinsurance Group of America, Cl A		46,470		5,016
RenaissanceRe Holdings		96,068		11,543
RLI		1,568		107
Royal Bank of Canada		58,700		3,629
Santander Consumer USA Holdings *		132,590		1,612
Starwood Property Trust ^‡		112,600		2,536
Stonegate Bank		22,618		763
TFS Financial		8,105		144
Thomson Reuters		43,256		1,790
Travelers		136,430		15,628
Triumph Bancorp *		2,715		54
Two Harbors Investment ^‡		830,743		7,086
United Financial Bancorp		107,408		1,487
United Insurance Holdings		1,941		33
Validus Holdings		309,657		15,427
Virtu Financial, Cl A		49,065		734
Voya Financial		15,890		458
WashingtonFirst Bankshares		4,516		111
Waterstone Financial		17,315		294
Wells Fargo		90,400		4,003


				230,999



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Health Care — 16.2%
Abbott Laboratories		18,093	$	765
AbbVie		71,404		4,503
Aetna, Cl A		57,900		6,684
Allscripts Healthcare Solutions *		188,297		2,480
Amgen, Cl A		51,811		8,643
Anthem		48,900		6,128
AxoGen *		69,759		630
Baxter International		143,424		6,827
Biogen *		6,585		2,061
Bristol-Myers Squibb		175,186		9,446
C.R. Bard		18,334		4,112
Cardinal Health		198,143		15,396
Chemed		5,505		777
Computer Programs & Systems		10,362		270
Conmed		755		30
DaVita HealthCare Partners *		61,084		4,036
Eli Lilly		59,937		4,811
Enzo Biochem *		9,883		50
Express Scripts Holding *		90,388		6,375
Gilead Sciences		58,958		4,665
HCA Holdings *		71,160		5,382
Healthways *		7,631		202
Henry Schein *		10,470		1,706
Heska *		13,256		722
Hill-Rom Holdings		40,928		2,537
Humana		18,500		3,272
ICON *		63,847		4,940
ICU Medical *		6,015		760
Johnson & Johnson		299,129		35,336
Laboratory Corp of America Holdings *		53,172		7,310
LeMaitre Vascular		18,622		370
Mallinckrodt *		4,822		336
Masimo *		5,970		355
McKesson		69,018		11,509
Merck		366,497		22,873
Meridian Bioscience		38,281		738
Myriad Genetics *		31,180		642
NeoGenomics *		48,210		396
Owens & Minor		131,847		4,579
Patterson		95,086		4,368
Pfizer		638,521		21,627
PharMerica *		5,224		147
Press Ganey Holdings *		10,499		424
Quality Systems *		49,408		560
Quest Diagnostics		118,057		9,991
Quintiles Transnational *		18,550		1,504
Teleflex		55,217		9,279
United Therapeutics *		39,432		4,656
UnitedHealth Group		52,700		7,378
Utah Medical Products		6,072		363
Varian Medical Systems *		50,940		5,070



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Vocera Communications *		7,111	$	120
Waters *		26,703		4,232


				262,373


Industrials — 7.1%
Alaska Air Group		8,816		581
Babcock & Wilcox Enterprises *		37,453		618
Blue Bird *		5,409		79
Boeing		23,700		3,122
BWX Technologies, Cl W		122,897		4,716
Copa Holdings, Cl A		11,295		993
Danaher, Cl A		7,462		585
Deere		63,600		5,428
Delta Air Lines, Cl A		94,053		3,702
EMCOR Group		54,410		3,244
FedEx		15,900		2,777
General Dynamics		19,000		2,948
Global Brass & Copper Holdings		18,008		520
Huntington Ingalls Industries, Cl A		43,546		6,681
IES Holdings *		4,298		77
Landstar System		64,949		4,422
Lockheed Martin		54,845		13,147
Masonite International *		11,362		707
MSC Industrial Direct, Cl A		4,187		307
Northrop Grumman		47,300		10,120
Owens Corning		18,717		999
Quanta Services *		185,249		5,185
Raytheon		66,945		9,113
Republic Services		146,000		7,365
Southwest Airlines, Cl A		73,237		2,848
Spirit AeroSystems Holdings, Cl A *		56,104		2,499
Supreme Industries, Cl A		2,519		49
United Continental Holdings *		27,078		1,421
United Parcel Service, Cl B		36,300		3,970
United Technologies		45,000		4,572
Waste Management		180,423		11,504


				114,299


Information Technology — 11.9%
Accenture, Cl A		37,078		4,530
Alphabet, Cl A *		1,140		917
Amdocs		427,486		24,730
Apple		46,500		5,257
Applied Materials		41,836		1,261
Aspen Technology *		107,933		5,050
Atlassian, Cl A *		44,359		1,329
Booz Allen Hamilton Holding, Cl A		162,751		5,145
Broadridge Financial Solutions		42,956		2,912
CA		109,761		3,631
CDW		56,354		2,577
Cisco Systems		293,400		9,307
Citrix Systems *		37,208		3,171



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Convergys		136,140	$	4,141
CSG Systems International		18,623		770
CSRA		118,838		3,197
Dell Technologies - VMware Inc, Cl V *		15,147		724
DST Systems		5,054		596
eBay *		158,105		5,202
First Data, Cl A *		163,688		2,154
Forrester Research		24,608		957
Genpact *		31,821		762
Harris		37,426		3,429
HP		85,223		1,323
IAC *		64,938		4,057
Ingram Micro, Cl A *		53,090		1,893
Intel		264,400		9,981
International Business Machines		76,760		12,193
Intuit		40,792		4,488
Jack Henry & Associates		8,732		747
Lumentum Holdings *		14,735		615
Microsoft		33,755		1,944
MINDBODY, Cl A *		38,033		748
Motorola Solutions		57,007		4,348
NetApp		161,994		5,803
NIC		6,108		143
Oracle, Cl B		157,535		6,188
Planet Payment *		71,965		267
Qualcomm		126,000		8,631
RealPage *		10,303		265
Reis		10,586		216
Sapiens International		11,726		150
Square, Cl A *		213,899		2,494
Symantec, Cl A		590,040		14,810
Synopsys *		29,404		1,745
Take-Two Interactive Software, Cl A *		111,719		5,036
Tech Data *		30,000		2,542
Teradata *		11,052		343
Teradyne		57,783		1,247
VeriSign *		61,295		4,796
Western Union		154,100		3,208


				191,970


Materials — 1.9%
Avery Dennison		44,400		3,454
Bemis		104,603		5,336
Cabot		45,196		2,369
Celanese, Ser A		20,544		1,367
Compass Minerals International, Cl A		42,805		3,155
Kaiser Aluminum		41,600		3,598
LyondellBasell Industries, Cl A		13,970		1,127
Reliance Steel & Aluminum		13,877		999
Schweitzer-Mauduit International		60,500		2,333
Scotts Miracle-Gro, Cl A		16,988		1,415
Sonoco Products		103,900		5,489



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Steel Dynamics		9,476	$	237
Tahoe Resources		25,908		332


				31,211


Real Estate — 2.5%
Brixmor Property Group ^‡		145,800		4,052
CBL & Associates Properties ^‡		143,132		1,738
City Office ^‡		25,978		330
CorEnergy Infrastructure Trust ^‡		11,196		328
Easterly Government Properties ^‡		40,203		767
Forest City Realty Trust, Cl A ^‡		13,199		305
Four Corners Property Trust ^‡		12,509		267
Mid-America Apartment Communities ^‡		34,700		3,262
Monogram Residential Trust ^‡		20,773		221
Outfront Media ^‡		24,779		586
Piedmont Office Realty Trust, Cl A ^‡		377,883		8,227
Preferred Apartment Communities, Cl A ^‡		4,457		60
PS Business Parks ^‡		7,787		884
Retail Properties of America, Cl A ^‡		238,300		4,003
Ryman Hospitality Properties		63,950		3,080
Select Income ^‡		15,967		430
Senior Housing Properties Trust ^‡		156,600		3,556
Silver Bay Realty Trust ^‡		32,418		568
Tanger Factory Outlet Centers ^‡		102,200		3,982
Taubman Centers ^‡		4,824		359
Welltower ^‡		51,400		3,843


				40,848


Telecommunication Services — 5.8%
AT&T		843,923		34,272
BCE		82,400		3,799
Hawaiian Telcom Holdco *		12,860		288
Nippon Telegraph & Telephone ADR		86,900		3,981
NTT DoCoMo ADR		260,300		6,614
Rogers Communications, Cl B		47,400		2,007
SK Telecom ADR		191,000		4,317
TELUS		142,100		4,680
Verizon Communications		649,368		33,754


				93,712


Utilities — 8.9%
AES		153,916		1,978
ALLETE		10,633		634
Ameren		71,700		3,526
American Electric Power		203,085		13,040
Artesian Resources, Cl A		1,545		44
Avista		57,764		2,414
California Water Service Group, Cl A		11,941		383
CMS Energy		107,255		4,506
Consolidated Edison		107,163		8,069
DTE Energy		24,700		2,314
Edison International		153,245		11,072
El Paso Electric, Cl A		12,081		565



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Entergy		177,552	$	13,623
Exelon		215,659		7,179
FirstEnergy		131,671		4,356
Great Plains Energy		84,710		2,312
Hawaiian Electric Industries		12,794		382
Idacorp, Cl A		12,298		963
Korea Electric Power ADR		172,200		4,198
MGE Energy		4,670		264
NiSource		16,649		402
Northwest Natural Gas		17,621		1,059
NorthWestern		9,252		532
PG&E		76,491		4,679
Pinnacle West Capital		106,215		8,071
PNM Resources		24,085		788
Portland General Electric		140,939		6,003
Public Service Enterprise Group		284,103		11,895
SCANA		89,200		6,455
Southern		217,141		11,139
Southwest Gas		51,430		3,593
Spire		3,852		246
Talen Energy *		9,517		132
UGI		14,373		650
Unitil		23,422		915
Vectren		9,464		475
Xcel Energy		120,578		4,961


				143,817


Total Common Stock (Cost $1,355,387) ($ Thousands)				1,572,631


	Face Amount (Thousands)

U.S. TREASURY OBLIGATION — 0.0%
U.S. Treasury Bills
0.226%, 10/20/2016 (A)	$	965		965


Total U.S. Treasury Obligation (Cost $965) ($ Thousands)				965


	Shares

CASH EQUIVALENT — 2.4%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		39,118,496		39,118


Total Cash Equivalent (Cost $39,118) ($ Thousands)				39,118


Total Investments — 99.8% (Cost $1,395,470) ($ Thousands)			$	1,612,714

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Depreciation
($ Thousands)

S&P 500 Index E-MINI

238

Dec-2016

$(102)

Percentages are based on Net Assets of $1,615,168 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

ADR — American Depositary Receipt

Cl — Class

S&P— Standard & Poor's

Ser — Series

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1			Level 2		Level 3		Total
Common Stock	$	1,572,631		$	–	$	–	$	1,572,631
U.S. Treasury Obligation		–			965		–		965
Cash Equivalent		39,118			–		–		39,118

Total Investments in Securities	$	1,611,749		$	965	$	–	$	1,612,714


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *
Unrealized Depreciation	$	(102	)	$	—	$	—	$	(102	)

Total Other Financial Instruments	$	(102	)	$	—	$	—	$	(102	)

*	Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 93.6%

Australia — 4.3%
AGL Energy		648,811	$	9,506
Amcor		376,169		4,390
Aristocrat Leisure		57,568		702
ASX		67,189		2,495
Aurizon Holdings		711,576		2,577
Ausdrill *		221,202		246
AusNet Services		1,796,653		2,266
CIMIC Group ^‡		17,471		387
Coca-Cola Amatil		420,513		3,317
Cochlear		18,795		2,040
CSL		89,529		7,364
Flight Centre Travel Group		72,846		2,043
Goodman Group ^‡		143,577		805
GPT Group ^‡		14,739		57
Harvey Norman Holdings		78,967		317
LendLease Group		244,197		2,647
Mirvac Group ^‡		546,549		944
Newcrest Mining		56,337		953
Orica		124,835		1,464
Qantas Airways		97,093		233
Sonic Healthcare		147,471		2,499
South32		112,339		207
Stockland ^‡		993,861		3,646
Tabcorp Holdings		551,012		2,107
Tatts Group		1,074,396		3,021
Telstra, Cl B		982,644		3,916
Treasury Wine Estates		24,496		209
Wesfarmers		400,112		13,565


				73,923


Austria — 0.9%
BUWOG *		125,492		3,399
CA Immobilien Anlagen *		10,733		205
Conwert Immobilien Invest *		114,844		2,166
Flughafen Wien		18,588		460
Oesterreichische Post		63,397		2,251
OMV		20,188		582
Telekom Austria, Cl A *		112,758		639
UNIQA Insurance Group		36,114		235
Verbund ^‡		16,404		274
voestalpine		177,420		6,150


				16,361


Belgium — 0.3%
Befimmo ^‡		5,970		361
Colruyt		48,798		2,708
Elia System Operator		15,067		770
Proximus		68,756		2,057


				5,896


Canada — 9.2%
Alimentation Couche-Tard, Cl B		11,051		535
Allied Properties, Cl A ^‡		28,700		823



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Atco, Cl I		99,600	$	3,533
Bank of Montreal		162,917		10,657
Barrick Gold		124,800		2,206
BCE		273,694		12,638
Canadian Imperial Bank of Commerce		72,168		5,586
Canadian Real Estate Investment Trust ^‡		13,500		483
Canadian Tire, Cl A		29,578		2,957
Canadian Utilities, Cl A		16,600		468
Capital Power, Cl B		15,500		243
CCL Industries, Cl B		20,148		3,873
CI Financial		20,020		383
Cineplex		5,485		211
Constellation Software		8,952		4,028
Dollarama		85,290		6,647
Emera		215,229		7,748
Empire, Cl A		62,156		926
Fairfax Financial Holdings		3,345		1,957
First Capital Realty		330,680		5,530
Fortis		137,880		4,426
George Weston		90,575		7,542
Goldcorp		43,600		718
H&R ‡		121,485		2,073
Industrial Alliance Insurance & Financial Services		2,858		103
Intact Financial		61,090		4,408
Jean Coutu Group PJC, Cl A		33,264		509
Kinross Gold *		252,100		1,061
Loblaw		77,700		3,991
Manitoba Telecom Services		109,683		3,146
Maple Leaf Foods		119,227		2,732
Masonite International *		10,658		663
Metro, Cl A		140,200		4,595
Morguard ^‡		18,037		216
National Bank of Canada		92,090		3,260
Open Text		54,407		3,518
Power Financial		10,683		247
Pure Industrial Real Estate Trust ^‡		316,400		1,327
RioCan ^‡		130,658		2,706
Rogers Communications, Cl B		428,024		18,127
Royal Bank of Canada		38,386		2,373
Saputo		119,750		4,154
Shaw Communications, Cl B		388,906		7,945
Sienna Senior Living		22,871		295
Smart Real Estate Investment Trust ^‡		21,458		577
Toronto-Dominion Bank		110,664		4,904
Valener		37,628		625
Yamana Gold		159,400		685


				158,358


Denmark — 0.8%
Carlsberg, Cl B		14,764		1,417
Chr Hansen Holding		3,084		184
Coloplast, Cl B		6,713		524



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Novo Nordisk, Cl B		236,090	$	9,904
Schouw		8,465		556
TDC *		74,362		440
William Demant Holding *		68,675		1,402

				14,427


Finland — 0.0%
Orion, Cl B		10,874		429


France — 0.2%
Boiron		3,901		397
Dassault Systemes		1,658		144
Eutelsat Communications		43,633		903
Iliad		2,211		465
Ipsen		4,636		326
SES, Cl A		25,244		621
Tessi		181		29
Vilmorin & Cie		1,799		118

				3,003


Germany — 1.1%
Celesio		64,013		1,856
Commerzbank		365,719		2,366
Merck KGaA		47,887		5,182
RHOEN-KLINIKUM		122,774		3,737
STADA Arzneimittel		74,071		4,124
Suedzucker		33,817		941
Zalando *(A)		16,752		699

				18,905


Guernsey — 0.6%
Amdocs		174,841		10,115


Hong Kong — 3.2%
ASM Pacific Technology		37,500		312
Cathay Pacific Airways		605,626		849
Cheung Kong Infrastructure Holdings		348,215		3,010
CLP Holdings, Cl B		1,939,046		20,115
First Pacific		897,661		643
Hang Seng Bank		82,357		1,481
HK Electric Investments & HK Electric Investments (A)		1,272,197		1,248
HKT Trust & HKT		1,991,483		2,811
Hopewell Holdings		64,500		236
Kerry Properties		204,832		673
Link ‡		1,145,369		8,452
MTR		225,974		1,250
NWS Holdings		282,436		473
PCCW		2,361,220		1,451
Power Assets Holdings		163,957		1,605
Shangri-La Asia		184,597		204
Sunlight ‡		378,721		242
Swire Pacific, Cl A		316,181		3,435
WH Group (A)		4,057,773		3,286
Wheelock		76,514		455



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Yue Yuen Industrial Holdings		651,756	$	2,707

				54,938


Ireland — 0.1%
Hibernia ‡		422,769		651
Kerry Group, Cl A		5,899		492
UDG Healthcare		28,027		233

				1,376


Israel — 1.4%
Amot Investments		141,941		634
Bank Hapoalim		2,047,460		11,613
Bank Leumi Le-Israel *		1,843,717		7,022
First International Bank of Israel		17,956		229
Formula Systems 1985		2,472		96
Israel Discount Bank, Cl A *		1,447,292		2,663
Teva Pharmaceutical Industries		42,844		1,967

				24,224


Italy — 1.0%
Amplifon		46,603		479
CSP International Fashion Group		775		1
DiaSorin		28,303		1,821
Hera		2,042,730		5,507
Parmalat		69,038		183
Terna Rete Elettrica Nazionale		1,839,170		9,491

				17,482


Japan — 7.4%
Alfresa Holdings		9,400		199
Alpen		35,569		642
Amada Holdings		57,100		595
Aozora Bank		556,555		1,923
Asahi Glass		45,000		292
Asahi Group Holdings		22,100		806
Astellas Pharma		192,800		3,017
Can Do		24,649		396
Canon		175,300		5,087
Chubu Electric Power		11,200		164
Coca-Cola West		179,411		5,027
Daiichi Sankyo		239,179		5,758
Daito Trust Construction		8,300		1,332
Dunlop Sports		9,821		99
Dydo Drinco		45,190		2,515
Earth Chemical		12,781		604
Eisai		52,600		3,284
Electric Power Development		34,700		836
GungHo Online Entertainment *		177,100		435
Hisamitsu Pharmaceutical		5,100		276
Hoya *		58,262		2,347
ITOCHU		177,600		2,239
Itochu-Shokuhin		2,503		100
Japan Airlines *		46,600		1,370
Japan Prime Realty Investment, Cl A ^‡		38		172
Japan Tobacco		215,100		8,821



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
KDDI		104,275	$	3,221
Key Coffee		10,848		204
KFC Holdings Japan		11,875		217
Kohnan Shoji		60,146		1,170
Kuraray		42,200		626
Kurita Water Industries		6,700		159
Kyowa Hakko Kirin		20,000		316
Lawson		45,324		3,584
Lion		499,526		8,092
LIXIL Group		8,100		174
Marudai Food		52,636		257
Maruha Nichiro		89,673		2,424
Maruichi Steel Tube		16,400		567
Matsuya Foods		17,716		552
Maxvalu Tokai		1,605		29
McDonald's Holdings Japan		36,300		1,069
Medipal Holdings		21,700		376
Ministop		59,055		1,022
Mitsubishi Electric		112,000		1,435
Mitsubishi Gas Chemical		31,500		452
Mitsubishi Tanabe Pharma		146,600		3,148
MOS Food Services		47,958		1,526
Mr Max		94,103		300
NEC		164,000		423
Nihon Shokuhin Kako		1,284		5
Nikon		26,900		402
Nippon Building Fund ^‡		74		470
Nippon Express		177,973		833
Nippon Flour Mills		60,535		930
Nisshin Oillio Group		256,760		1,196
Noevir Holdings		11,757		360
NTT DOCOMO		400,492		10,193
Okinawa Electric Power		10,000		226
Oracle Japan *		50,480		2,851
Osaka Gas		986,356		4,142
Otsuka		5,700		270
Otsuka Holdings		8,800		402
Pola Orbis Holdings		11,100		997
Ricoh		53,400		483
Rock Field		35,562		532
Sankyo		29,373		1,004
Santen Pharmaceutical		20,800		307
Sega Sammy Holdings		53,900		770
Shimadzu		28,000		427
Shionogi		6,800		349
Start Today		42,900		740
Starzen		5,000		255
Studio Alice		21,632		475
Sumitomo Dainippon Pharma		309,100		5,999
Suzuken		37,474		1,238
Taisho Pharmaceutical Holdings		8,100		830
Takeda Pharmaceutical		8,000		383



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Toho Gas		53,000	$	496
Tokai		5,905		210
Tokyo Gas		176,000		785
Toppan Printing		13,000		117
Trend Micro *		114,945		4,007
Tsuruha Holdings		900		104
Vital KSK Holdings		73,400		778
West Japan Railway		17,500		1,085
Yamada Denki		182,900		908
Yamazaki Baking		57,700		1,420
Yoshinoya Holdings		95,904		1,379

				128,037


Luxembourg — 0.1%
RTL Group		14,986		1,245


Netherlands — 0.3%
Heineken Holding		55,906		4,493


New Zealand — 2.4%
Air New Zealand		422,867		575
Auckland International Airport		1,550,869		8,297
Chorus		344,587		981
Contact Energy		1,876,343		6,897
Fisher & Paykel Healthcare		769,509		5,610
Fletcher Building		485,797		3,802
Genesis Energy		113,154		172
Infratil		65,956		156
Kiwi Property Group ^‡		614,432		670
Mercury NZ		302,272		669
Meridian Energy		238,261		452
Restaurant Brands New Zealand		13,581		57
Ryman Healthcare		283,731		1,988
Sky City Entertainment Group		953,366		3,177
Spark New Zealand		2,597,479		6,825
Summerset Group Holdings		76,122		293
Z Energy		51,819		316

				40,937


Norway — 2.4%
Austevoll Seafood		54,975		463
DNB, Cl A		65,490		858
Leroy Seafood Group		49,024		2,479
Marine Harvest		152,602		2,727
Norsk Hydro		2,572,894		11,090
Orkla		1,248,316		12,908
Telenor		652,264		11,195

				41,720


Portugal — 0.1%
EDP - Energias de Portugal		228,329		768
REN - Redes Energeticas Nacionais SGPS		425,291		1,244
Sonaecom - SGPS		34,299		101

				2,113



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Singapore — 1.1%
Ascendas ^‡		794,114	$	1,471
CapitaLand Commercial Trust ^‡		1,981,321		2,321
CapitaLand Mall Trust ^‡		1,836,125		2,932
ComfortDelGro		866,928		1,795
First ^‡		89,866		89
Hutchison Port Holdings, Cl U		1,397,913		624
Metro Holdings		47,205		32
Singapore Airlines		31,919		247
Singapore Press Holdings		450,716		1,265
Singapore Technologies Engineering		24,300		58
StarHub		2,060,623		5,205
Suntec Real Estate Investment Trust ^‡		62,015		78
Venture		162,459		1,076
Wilmar International		712,259		1,694

				18,887


Spain — 1.8%
Acciona		5,294		401
Ebro Foods		108,474		2,525
Enagas		51,901		1,564
Endesa		230,788		4,952
Gas Natural SDG		75,176		1,550
Grifols		25,217		544
Iberdrola		1,430,990		9,738
Red Electrica		481,326		10,388

				31,662


Sweden — 1.2%
Axfood		298,518		5,285
ICA Gruppen		37,069		1,226
Swedish Match		360,153		13,241
Tele2, Cl B		110,785		958

				20,710


Switzerland — 4.3%
ABB		40,608		914
Actelion		47,346		8,222
Allreal Holding, Cl A		19,927		3,032
Alpiq Holding *		2,696		250
Barry Callebaut		529		704
Basler Kantonalbank, Cl H		592		41
Bell		300		131
Chocoladefabriken Lindt & Spruengli		17		1,163
Coca-Cola HBC		95,820		2,232
EMS-Chemie Holding		748		403
Flughafen Zuerich		11,641		2,279
Galenica		5,643		6,003
Kuehne & Nagel International		898		131
Mobilezone Holding		253		4
Mobimo Holding		8,069		2,061
Nestle		271,140		21,411
Orior		424		36
Pargesa Holding		7,090		487



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Roche Holding		5,774	$	1,440
Schindler Holding		6,847		1,288
SGS, Cl B		41		92
Siegfried Holding		1,199		262
Sika		129		629
Sonova Holding		8,965		1,272
Swiss Prime Site, Cl H		106,299		9,343
Swisscom		5,526		2,639
Valora Holding		10,380		2,964
Ypsomed Holding AG		19,104		3,929

				73,362


United Kingdom — 4.9%
BCA Marketplace		75,693		177
British American Tobacco		165,864		10,635
Britvic		69,576		546
BTG *		89,045		734
Cranswick		39,278		1,193
DCC		30,643		2,797
Dechra Pharmaceuticals		23,823		432
Diageo		175,553		5,048
EMIS Group		34,658		424
GlaxoSmithKline		184,715		3,946
Greggs		261,838		3,449
Hill & Smith Holdings		14,970		220
Imperial Brands		288,753		14,923
Inchcape		247,589		2,123
Indivior		70,783		282
J Sainsbury		340,891		1,091
JD Sports Fashion		1,504		29
KCOM Group		22,026		33
Kennedy Wilson Europe Real Estate		79,097		1,032
Kingfisher		116,173		569
LondonMetric Property ^‡		145,234		302
McBride		72,348		176
Melrose Industries		49,717		113
National Grid		689,472		9,763
Next, Cl A		20,559		1,277
QinetiQ Group		236,942		728
Reckitt Benckiser Group		88,705		8,383
Rentokil Initial		1,108,242		3,206
Sage Group		336,756		3,233
Shaftesbury ^‡		45,239		571
Smith & Nephew		12,366		200
Spectris		11,601		297
SSE		272,778		5,568
Tate & Lyle		9,411		92
Tritax Big Box ^‡		231,224		417

				84,009


United States — 44.5%
AbbVie		24,208		1,527
Activision Blizzard		84,453		3,741
Alleghany *		1,031		541



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Allscripts Healthcare Solutions *		258,189	$	3,400
Alphabet, Cl A *		804		646
Altria Group		221,141		13,983
American Capital Agency, Cl A ^‡		484,030		9,458
American Capital Mortgage Investment ^‡		86,074		1,480
American National Insurance		1,898		231
AmerisourceBergen		140,293		11,333
Amgen, Cl A		32,624		5,442
Annaly Capital Management ^‡		532,036		5,586
Apple Hospitality		78,459		1,452
Ares Commercial Real Estate ^‡		116,798		1,472
AT&T		483,387		19,630
Autozone *		1,048		805
Baxter International		31,785		1,513
Beneficial Bancorp		262,207		3,857
Berkshire Hathaway, Cl B *		48,842		7,056
Bio-Rad Laboratories, Cl A *		18,213		2,983
Bristol-Myers Squibb		126,906		6,843
Bunge		54,774		3,244
C.R. Bard		51,707		11,597
CACI International, Cl A *		77,415		7,811
Capitol Federal Financial		477,092		6,713
Capstead Mortgage ^‡		39,630		374
Cardinal Health		134,707		10,467
Chemed		65,359		9,220
Chimera Investment ^‡		457,623		7,299
Church & Dwight		227,952		10,923
Clifton Bancorp		24,776		379
Clorox		168,546		21,099
CME Group		4,023		421
Coca-Cola		258,267		10,930
Colgate-Palmolive		145,431		10,782
Consolidated Edison		101,783		7,664
Costco Wholesale		52,855		8,061
CSG Systems International		21,071		871
Darden Restaurants		78,344		4,804
DaVita HealthCare Partners *		171,636		11,340
Dime Community Bancshares		30,139		505
Dollar General		57,076		3,995
Dr Pepper Snapple Group		46,790		4,272
Duke Energy		91,047		7,287
Ellington Residential Mortgage ^‡		7,588		99
Equity Residential ^‡		33,029		2,125
Estee Lauder, Cl A		115,533		10,232
Exactech *		5,765		156
Expeditors International of Washington		7,715		397
Express Scripts Holding *		26,101		1,841
First Defiance Financial		4,932		220
Flagstar Bancorp *		7,412		206
Fresh Del Monte Produce		196,100		11,746
GameStop, Cl A		198,032		5,464
General Mills		275,123		17,575



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Genworth Financial, Cl A *		161,632	$	802
Gilead Sciences		106,468		8,424
Great Plains Energy		95,508		2,606
Henry Schein *		63,568		10,360
Hershey		22,972		2,196
Hill-Rom Holdings		38,127		2,363
Hormel Foods		40,057		1,519
IAC *		10,927		683
Ingredion		48,221		6,416
Intuitive Surgical *		7,456		5,404
J&J Snack Foods		14,468		1,723
Jack Henry & Associates		100,274		8,578
JM Smucker		46,020		6,238
Johnson & Johnson		126,488		14,942
Kaiser Aluminum		94,256		8,152
Kearny Financial		229,279		3,121
Kellogg		133,497		10,342
Kimberly-Clark		162,723		20,526
Kohl's		33,735		1,476
Lancaster Colony		3,665		484
Liberty Media Group, Cl A *		134,209		3,845
LifePoint Health *		68,811		4,076
Lockheed Martin		4,472		1,072
Mantech International, Cl A		60,927		2,296
Masimo *		27,753		1,651
McCormick		103,839		10,376
McDonald's		110,050		12,695
McKesson		2,603		434
Medifast		10,061		380
Merck		168,977		10,546
Meridian Bancorp		39,255		611
Meridian Bioscience		50,441		973
Mettler Toledo International *		13,057		5,482
Michael Kors Holdings *		17,311		810
National HealthCare		15,961		1,053
NETGEAR *		4,552		275
New York Times, Cl A		50,385		602
Newmont Mining		137,625		5,407
NII Holdings *		346,321		1,153
Northfield Bancorp		61,626		992
Northwest Bancshares		241,552		3,795
Nucor		27,901		1,380
Oil-Dri Corp of America		2,201		83
Otter Tail		6,228		215
Owens & Minor		272,449		9,462
PepsiCo		125,828		13,686
Pfizer		300,268		10,170
Philip Morris International		109,808		10,676
Pinnacle West Capital		23,937		1,819
PPL		31,406		1,086
Prestige Brands Holdings, Cl A *		13,186		637
Procter & Gamble		200,966		18,037



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Progress Software		13,757	$	374
Quality Systems *		42,611		482
Quest Diagnostics		132,457		11,210
Reading International, Cl A *		10,388		139
Reliance Steel & Aluminum		148,601		10,704
Republic Services		221,347		11,167
ResMed		10,213		662
Southern		215,618		11,061
Spectrum Brands Holdings		85,005		11,704
Stryker		15,654		1,822
Sykes Enterprises *		19,217		541
Symantec, Cl A		184,084		4,621
Synopsys *		31,188		1,851
SYSCO, Cl A		462,691		22,677
Target, Cl A		30,597		2,101
Teleflex		64,954		10,916
Telephone & Data Systems		92,648		2,518
Territorial Bancorp		4,643		133
Trustco Bank NY		50,155		356
United Parcel Service, Cl B		100,910		11,036
United Therapeutics *		37,660		4,447
Unitil		53,025		2,071
Universal		104,464		6,082
US Cellular *		9,756		355
Varian Medical Systems *		87,589		8,718
Vector Group		172,255		3,709
VMware, Cl A *		33,908		2,487
Voya Financial		322,602		9,297
Wal-Mart Stores		287,665		20,746
Walt Disney		84,745		7,869
Waste Management		180,447		11,505
Waters *		8,262		1,309
Waterstone Financial		28,828		490
WD-40		18,425		2,072
Weis Markets		8,823		468
Xcel Energy		96,284		3,961

				766,889


Total Common Stock (Cost $1,406,520) ($ Thousands)				1,613,501


PREFERRED STOCK — 0.3%
Germany — 0.3%
Henkel & KGaA		30,981		4,218


Sweden — 0.0%
Akelius Residential Property		14,552		546


Total Preferred Stock (Cost $4,580) ($ Thousands)				4,764



Description	Number of Rights		Market Value ($ Thousands)

RIGHTS — 0.0%
United Kingdom — 0.0%
Tritax Big Box, Expires 10/18/2016 *		21,020	$	2


Total Rights (Cost $—) ($ Thousands)				2


	Face Amount (Thousands)

U.S. TREASURY OBLIGATION — 0.3%
U.S. Treasury Bills
0.232%, 10/20/2016 (B)	$	4,300		4,300


Total U.S. Treasury Obligation (Cost $4,299) ($ Thousands)				4,300


	Shares

CASH EQUIVALENT — 4.8%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		83,471,339		83,471


Total Cash Equivalent (Cost $83,471) ($ Thousands)				83,471


Total Investments — 99.0% (Cost $1,498,870) ($ Thousands)			$	1,706,038

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		238		Dec-2016		$72
FTSE 100 Index		61		Dec-2016		149
Hang Seng Index		8		Oct-2016		(6)
S&P 500 Index E-MINI		358		Dec-2016		(199)
SPI 200 Index		27		Dec-2016		71
Topix Index		41		Dec-2016		(11)

						$76

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
10/28/16	USD		30	DKK		201		$—
10/28/16	USD		35	DKK		232		—
10/28/16	USD		3	SEK		28		—
10/28/16	USD		139	SEK		1,190		—
10/28/16	USD		194	SGD		264		—
10/28/16	USD		487	HKD		3,779		—
10/28/16	USD		192	AUD		251		—
10/28/16	USD		409	AUD		535		—
10/28/16	USD		356	NOK		2,878		4
10/28/16	USD		251	NOK		2,007		—
10/28/16	USD		133	CHF		129		—
10/28/16	USD		477	CHF		461		(1)
10/28/16	USD		617	NZD		848		(1)
10/28/16	USD		389	GBP		300		—
10/28/16	USD		441	GBP		339		—
10/28/16	USD		471	EUR		419		—
10/28/16	USD		616	EUR		547		(1)
10/28/16	USD		316	CAD		418		2
10/28/16	USD		1,003	CAD		1,315		(2)
10/28/16	USD		1,695	JPY		170,242		(12)
10/28/16	SGD		16,987	USD		12,492		26
10/28/16	DKK		25,951	USD		3,928		6
10/28/16	DKK		84	USD		13		—
10/28/16	NZD		36,376	USD		26,406		(13)
10/28/16	GBP		37,259	USD		48,367		(52)
10/28/16	CHF		38,264	USD		39,611		71
10/28/16	CHF		109	USD		113		—
10/28/16	AUD		88	USD		68		—
10/28/16	AUD		43,193	USD		32,973		(57)
10/28/16	EUR		62,735	USD		70,780		201
10/28/16	EUR		192	USD		215		(1)
10/28/16	SEK		106,124	USD		12,463		58
10/28/16	SEK		245	USD		28		—


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
10/28/16	CAD		108,544	USD		82,421		$(195)
10/28/16	NOK		172,764	USD		21,315		(309)
10/28/16	HKD		670	USD		86		—
10/28/16	HKD		224,627	USD		28,969		(1)
10/28/16	JPY		6,491,083	USD		64,722		548
10/28/16	JPY		79,048	USD		778		(3)

								$268

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:

Counterparty

Currency to
Deliver
($ Thousands)

Currency to
Receive
($ Thousands)

Unrealized
Appreciation
($ Thousands)

Brown Brothers Harriman

$(453,727)

$453,995

$268

Percentages are based on Net Assets of $1,723,671 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^†	Investment in Affiliated Security (see Note 6).

(A)

(B)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — Class

DJ — Dow Jones

DKK — Danish Krone

EUR — Euro

FTSE— Financial Times and Stock Exchange

GBP — British Pound Sterling

HKD — Hong Kong Dollar

JPY — Japanese Yen

NOK — Norwegian Krone

NZD — New Zealand Dollar

S&P— Standard & Poor's

SEK — Swedish Krona

SGD — Singapore Dollar

SPI — Share Price Index

USD — United States Dollar

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,606,477	$	7,024	$	–	$	1,613,501
Preferred Stock		4,764		–		–		4,764
Rights		2		–		–		2
U.S. Treasury Obligation		–		4,300		–		4,300
Cash Equivalent		83,471		–		–		83,471

Total Investments in Securities	$	1,694,714	$	11,324	$	–	$	1,706,038


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	292	$	—	$	—	$	292
Unrealized Depreciation		(216)		—		—		(216)
Forwards Contracts *
Unrealized Appreciation		—		916		—		916
Unrealized Depreciation		—		(648)		—		(648)

Total Other Financial Instruments	$	76	$	268	$	—	$	344

* Futures contracts and forward contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.0%

Consumer Discretionary — 7.0%
American Eagle Outfitters		141,410	$	2,526
Autozone *		3,400		2,612
Bed Bath & Beyond		64,070		2,762
Best Buy		13,870		530
Big Lots		90,390		4,316
Brinker International		63,223		3,188
Canadian Tire, Cl A		29,600		2,959
Charter Communications, Cl A *		5,444		1,470
Cheesecake Factory		44,100		2,208
Children's Place		37,800		3,019
Cogeco Communications		10,500		517
Comcast, Cl A		42,900		2,846
Darden Restaurants		34,900		2,140
Dillard's, Cl A		30,212		1,904
Dollar General		18,394		1,287
Dunkin' Brands Group		40,288		2,098
Fiat Chrysler Automobiles *		30,990		198
Foot Locker, Cl A		71,400		4,835
Graham Holdings, Cl B		1,400		674
Grand Canyon Education *		9,070		366
Kohl's		69,100		3,023
Lear		3,680		446
McDonald's		62,343		7,192
Michael Kors Holdings *		56,395		2,639
NVR *		2,250		3,690
Panera Bread, Cl A *		29,875		5,817
Sally Beauty Holdings *		111,200		2,856
Scripps Networks Interactive, Cl A		46,400		2,946
Target, Cl A		167,437		11,500
Tenneco *		8,210		478
Urban Outfitters *		6,130		212
Viacom, Cl B		28,600		1,090


				84,344


Consumer Staples — 18.6%
Altria Group		261,314		16,523
Archer-Daniels-Midland		45,200		1,906
Bunge		41,700		2,470
Cal-Maine Foods *		68,600		2,644
Campbell Soup		19,049		1,042
Church & Dwight		123,346		5,911
Clorox		66,941		8,380
Coca-Cola		110,792		4,689
Coca-Cola European Partners		49,400		1,971
Colgate-Palmolive		108,720		8,060
ConAgra Foods		123,574		5,822
Costco Wholesale		46,833		7,142
CVS Health		49,900		4,441
Dean Foods		171,136		2,807
Dr Pepper Snapple Group		126,030		11,508
General Mills		87,916		5,616



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Hershey		51,971	$	4,968
Ingredion		47,527		6,324
JM Smucker		38,052		5,158
Kellogg		109,824		8,508
Kimberly-Clark		43,939		5,542
Kroger		213,256		6,329
McCormick		77,336		7,727
Metro, Cl A		58,400		1,914
Nu Skin Enterprises, Cl A		58,731		3,805
PepsiCo		92,067		10,014
Philip Morris International		103,617		10,074
Pinnacle Foods		18,100		908
Procter & Gamble		93,908		8,428
Reynolds American		137,289		6,473
Sanderson Farms		28,200		2,716
SYSCO, Cl A		207,100		10,150
Tyson Foods, Cl A		129,190		9,647
Universal		16,000		931
Wal-Mart Stores		262,663		18,943
Weis Markets		43,300		2,295
Whole Foods Market		62,425		1,770


				223,556


Energy — 0.7%
Exxon Mobil		94,000		8,204


Financials — 15.0%
Aflac		56,400		4,053
Allied World Assurance Holdings		131,751		5,325
Allstate		86,300		5,970
American Capital Agency, Cl A ^‡		147,233		2,877
American Financial Group		90,130		6,760
Arch Capital Group *		83,237		6,597
Aspen Insurance Holdings		90,015		4,194
Assurant		13,330		1,230
Assured Guaranty		145,920		4,049
Axis Capital Holdings		205,917		11,187
Berkshire Hathaway, Cl B *		59,100		8,538
BOK Financial		52,300		3,607
Canadian Imperial Bank of Commerce		31,000		2,400
CBOE Holdings		148,665		9,641
Chubb		12,399		1,558
Endurance Specialty Holdings		42,200		2,762
Everest Re Group		63,442		12,052
Genworth MI Canada		23,900		614
Hanover Insurance Group, Cl A		22,140		1,670
Maiden Holdings		62,300		791
Markel *		4,220		3,919
MFA Financial ^‡		787,489		5,890
Morningstar, Cl A		57,051		4,522
National Bank of Canada		71,400		2,527
Popular		21,070		805



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
ProAssurance		78,979	$	4,145
Progressive		115,800		3,648
Reinsurance Group of America, Cl A		38,990		4,209
RenaissanceRe Holdings		113,370		13,623
Starwood Property Trust ^‡		113,800		2,563
TFS Financial		173,405		3,088
Travelers		97,150		11,129
Two Harbors Investment ^‡		309,947		2,644
Validus Holdings		295,336		14,714
Voya Financial		13,830		399
White Mountains Insurance Group		5,757		4,778
XL Group		30,035		1,010


				179,488


Health Care — 14.9%
AbbVie		53,300		3,362
Aetna, Cl A		63,300		7,308
AmerisourceBergen		78,858		6,370
Amgen, Cl A		40,710		6,791
Anthem		56,500		7,080
AstraZeneca ADR		107,200		3,523
Baxter International		18,420		877
Biogen *		5,620		1,759
C.R. Bard		8,000		1,794
Cardinal Health		112,500		8,741
DaVita HealthCare Partners *		51,260		3,387
Edwards Lifesciences, Cl A *		2,820		340
Eli Lilly		48,900		3,925
Express Scripts Holding *		61,100		4,309
Gilead Sciences		48,360		3,826
HCA Holdings *		39,500		2,987
Hill-Rom Holdings		18,200		1,128
Hologic *		62,870		2,441
Humana		11,900		2,105
ICON *		26,640		2,061
Johnson & Johnson		221,361		26,149
Laboratory Corp of America Holdings *		53,374		7,338
Mallinckrodt *		5,080		355
Masimo *		14,010		834
McKesson		11,300		1,884
Merck		252,680		15,770
Owens & Minor		85,370		2,965
Patterson		75,082		3,449
Pfizer		659,915		22,351
Quest Diagnostics		88,320		7,475
Stryker		21,000		2,445
United Therapeutics *		33,320		3,934
UnitedHealth Group		61,650		8,631
Varian Medical Systems *		5,500		547


				178,241



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Industrials — 8.1%
3M		34,896	$	6,150
Alaska Air Group		18,187		1,198
Allegiant Travel, Cl A		3,000		396
Boeing		21,700		2,859
BWX Technologies, Cl W		101,770		3,905
Delta Air Lines, Cl A		12,230		481
EMCOR Group		42,345		2,525
Expeditors International of Washington		104,761		5,397
General Dynamics		8,600		1,334
Huntington Ingalls Industries, Cl A		18,140		2,783
Kaman, Cl A		32,900		1,445
L-3 Communications Holdings		24,400		3,678
Landstar System		88,124		6,000
Lockheed Martin		35,667		8,550
Northrop Grumman		49,100		10,505
Orbital ATK		24,500		1,868
Owens Corning		8,530		455
Quanta Services *		157,569		4,410
Raytheon		66,100		8,998
Republic Services		118,700		5,988
Southwest Airlines, Cl A		38,120		1,483
Spirit AeroSystems Holdings, Cl A *		37,380		1,665
United Continental Holdings *		18,050		947
United Parcel Service, Cl B		26,600		2,909
United Technologies		41,800		4,247
Waste Management		116,082		7,401


				97,577


Information Technology — 10.3%
Amdocs		202,640		11,723
Apple		22,500		2,544
Applied Materials		22,810		688
Aspen Technology *		90,163		4,219
Automatic Data Processing		41,459		3,657
Broadridge Financial Solutions		44,500		3,017
CA		84,690		2,801
Canon ADR		87,700		2,546
Cisco Systems		242,600		7,695
Citrix Systems *		23,740		2,023
Convergys		85,000		2,586
CSG Systems International		37,600		1,554
eBay *		130,590		4,296
Flex *		16,170		220
Harris		20,200		1,850
HP		26,700		415
Intel		210,500		7,946
International Business Machines		59,400		9,436
Intuit		35,440		3,899
Jack Henry & Associates		13,800		1,180
Leidos Holdings		4,230		183
Microsoft		105,410		6,072



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Motorola Solutions		48,500	$	3,699
NetApp		68,870		2,467
Oracle, Cl B		105,830		4,157
Qualcomm		51,900		3,555
Science Applications International		14,671		1,018
Symantec, Cl A		460,474		11,558
Synopsys *		58,000		3,442
Take-Two Interactive Software, Cl A *		93,259		4,204
Tech Data *		22,200		1,880
Teradyne		14,264		308
VeriSign *		51,200		4,006
Western Union		118,100		2,459


				123,303


Materials — 1.6%
AptarGroup		7,900		612
Avery Dennison		31,600		2,458
Bemis		44,400		2,265
Cabot		35,076		1,838
Celanese, Ser A		2,780		185
Compass Minerals International, Cl A		11,576		853
Kaiser Aluminum		33,600		2,906
LyondellBasell Industries, Cl A		7,480		603
Pan American Silver		18,260		322
Reliance Steel & Aluminum		13,741		990
Royal Gold, Cl A		3,538		274
Sonoco Products		74,703		3,947
Steel Dynamics		13,850		346
Trinseo		30,180		1,707


				19,306


Real Estate — 3.3%
Brixmor Property Group ^‡		118,700		3,299
Equity LifeStyle Properties ^‡		51,170		3,949
Mid-America Apartment Communities ^‡		28,000		2,632
National Health Investors ^‡		26,300		2,064
Piedmont Office Realty Trust, Cl A ^‡		267,330		5,820
Post Properties ^‡		55,654		3,680
Retail Properties of America, Cl A ^‡		193,600		3,252
Select Income ^‡		65,000		1,749
Senior Housing Properties Trust ^‡		132,100		3,000
Tanger Factory Outlet Centers ^‡		156,504		6,097
Welltower ^‡		51,300		3,836


				39,378


Telecommunication Services — 5.0%
AT&T		586,491		23,817
BCE		67,200		3,098
CenturyTel		105,200		2,886
NTT DoCoMo ADR		130,100		3,306
Rogers Communications, Cl B		38,700		1,639
SK Telecom ADR		129,800		2,933
Telephone & Data Systems		19,850		540



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
TELUS		115,600	$	3,808
Verizon Communications		353,624		18,381


				60,408


Utilities — 12.5%
AES		173,305		2,227
Alliant Energy		12,600		483
Ameren		60,200		2,961
American Electric Power		162,970		10,464
Atmos Energy		7,375		549
CMS Energy		89,620		3,765
Consolidated Edison		165,942		12,495
DTE Energy		52,332		4,902
Duke Energy		55,583		4,449
Edison International		155,510		11,236
Entergy		144,460		11,084
Eversource Energy		126,703		6,865
Exelon		161,500		5,376
FirstEnergy		167,080		5,527
Great Plains Energy		23,336		637
ITC Holdings		75,342		3,502
Korea Electric Power ADR		123,300		3,006
NRG Energy		75,200		843
PG&E		171,750		10,506
Pinnacle West Capital		81,212		6,171
Portland General Electric		64,100		2,730
PPL		53,000		1,832
Public Service Enterprise Group		239,620		10,033
SCANA		41,600		3,011
Southern		162,833		8,353
Southwest Gas		37,601		2,627
UGI		57,750		2,613
Vectren		73,315		3,680
WEC Energy Group		121,631		7,283


				149,210


Total Common Stock (Cost $909,663) ($ Thousands)				1,163,015


	Number of Rights

RIGHTS — 0.0%
United States — 0.0%
Safeway CVR - Casa Ley *^‡‡		85,430		87
Safeway CVR - PDC *^‡‡		85,430		4


Total Rights (Cost $—) ($ Thousands)				91



Description	Face Amount (Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATION — 0.1%
U.S. Treasury Bills
0.306%, 10/20/2016 (A)(B)	$	1,220	$	1,220


Total U.S. Treasury Obligation (Cost $1,220) ($ Thousands)				1,220


	Shares

CASH EQUIVALENT — 2.8%
SEI Daily Income Trust, Government Fund, Cl A
0.220%**^†		34,071,775		34,072


Total Cash Equivalent (Cost $34,072) ($ Thousands)				34,072


Total Investments — 99.9% (Cost $944,955) ($ Thousands)			$	1,198,398

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Depreciation
($ Thousands)

S&P 500 Index E-MINI

196

Dec-2016

$(42)

Percentages are based on Net Assets of $1,199,495 ($ Thousands).

*	Non-income producing security.

**	Rate shown is the 7-day effective yield as of September 30, 2016.

^‡	Real Estate Investment Trust.

^‡‡	Expiration date unavailable.

^†	Investment in Affiliated Security (see Note 6).

(A)	Security, or portion thereof, has been pledged as collateral on open futures contracts.

(B)	The rate reported is the effective yield at time of purchase.

ADR — American Depositary Receipt

Cl — Class

S&P— Standard & Poor's

Ser — Series

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,163,015	$	–	$	–	$	1,163,015
Rights		–		91		–		91
U.S. Treasury Obligation		–		1,220		–		1,220
Cash Equivalent		34,072		–		–		34,072

Total Investments in Securities	$	1,197,087	$	1,311	$	–	$	1,198,398


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Depreciation	$	(42)	$	—	$	—	$	(42)

Total Other Financial Instruments	$	(42)	$	—	$	—	$	(42)

* Futures contracts are valued at the unrealized depreciation on the instrument.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

The accompanying notes are an integral part of the financial statements.



Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.3%

Consumer Discretionary — 12.2%
Advance Auto Parts		2,094	$	312
Amazon.com, Cl A *		11,036		9,241
Autonation *		2,116		103
Autozone *		825		634
Bed Bath & Beyond		4,655		201
Best Buy		7,878		301
BorgWarner		5,801		204
CarMax *		5,456		291
Carnival		11,880		580
CBS, Cl B		11,588		634
Charter Communications, Cl A *		6,000		1,620
Chipotle Mexican Grill, Cl A *		823		349
Coach		7,634		279
Comcast, Cl A		67,390		4,471
Darden Restaurants		3,234		198
Delphi Automotive		7,741		552
Discovery Communications, Cl A *		4,029		108
Discovery Communications, Cl C *		6,593		173
Dollar General		7,873		551
Dollar Tree *		6,585		520
DR Horton		9,286		280
Expedia		3,415		399
Foot Locker, Cl A		3,700		251
Ford Motor		107,776		1,301
Gap		6,198		138
Garmin		3,304		159
General Motors		39,977		1,270
Genuine Parts		4,004		402
Goodyear Tire & Rubber		7,416		240
H&R Block		6,610		153
Hanesbrands		10,667		269
Harley-Davidson, Cl A		4,955		261
Harman International Industries, Cl A		1,789		151
Hasbro		3,098		246
Home Depot		34,682		4,463
Interpublic Group		11,197		250
Johnson Controls International		25,938		1,207
Kohl's		4,927		216
L Brands		6,908		489
Leggett & Platt		3,565		163
Lennar, Cl A		4,874		206
LKQ *		8,200		291
Lowe's		24,545		1,772
Macy's		8,430		312
Marriott International, Cl A		9,051		609
Mattel		9,299		282
McDonald's		23,907		2,758
Michael Kors Holdings *		4,828		226
Mohawk Industries *		1,858		372
NetFlix *		11,820		1,165
Newell Brands, Cl B		13,613		717



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
News, Cl A		9,930	$	139
News, Cl B		2,300		33
Nike, Cl B		37,238		1,961
Nordstrom		3,766		195
Omnicom Group		6,569		558
O'Reilly Automotive *		2,712		760
Priceline Group *		1,409		2,073
PulteGroup		8,243		165
PVH		2,120		234
Ralph Lauren, Cl A		1,660		168
Ross Stores		11,035		710
Royal Caribbean Cruises		4,710		353
Scripps Networks Interactive, Cl A		2,494		158
Signet Jewelers		2,113		157
Staples		19,201		164
Starbucks		40,957		2,217
Target, Cl A		16,484		1,132
TEGNA		5,938		130
Tiffany		3,098		225
Time Warner		22,023		1,753
TJX		18,538		1,386
Tractor Supply		3,546		239
TripAdvisor *		3,097		196
Twenty-First Century Fox ADR, Cl A		30,862		747
Twenty-First Century Fox, Cl B		13,900		344
Ulta Salon Cosmetics & Fragrance *		1,700		405
Under Armour, Cl A *		4,946		191
Under Armour, Cl C *		4,981		169
Urban Outfitters *		2,059		71
VF		9,140		512
Viacom, Cl B		9,330		355
Walt Disney		41,581		3,861
Whirlpool		2,109		342
Wyndham Worldwide		3,219		217
Wynn Resorts		2,117		206
Yum! Brands		10,397		944


				65,810


Consumer Staples — 9.6%
Altria Group		54,469		3,444
Archer-Daniels-Midland		16,341		689
Brown-Forman, Cl B		5,628		267
Campbell Soup		4,872		267
Church & Dwight		7,400		355
Clorox		3,522		441
Coca-Cola		107,882		4,566
Colgate-Palmolive		24,948		1,850
ConAgra Foods		11,992		565
Constellation Brands, Cl A		4,870		811
Costco Wholesale		12,176		1,857
CVS Health		29,799		2,652
Dr Pepper Snapple Group		5,089		465



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Estee Lauder, Cl A		6,044	$	535
General Mills		16,541		1,057
Hershey		3,786		362
Hormel Foods		7,316		277
JM Smucker		3,304		448
Kellogg		7,194		557
Kimberly-Clark		9,977		1,259
Kraft Heinz		16,500		1,477
Kroger		26,248		779
McCormick		3,314		331
Mead Johnson Nutrition, Cl A		5,138		406
Molson Coors Brewing, Cl B		5,224		574
Mondelez International, Cl A		43,053		1,890
Monster Beverage *		4,055		595
PepsiCo		40,140		4,366
Philip Morris International		43,137		4,194
Procter & Gamble		74,609		6,696
Reynolds American		23,064		1,087
SYSCO, Cl A		14,843		727
Tyson Foods, Cl A		8,375		625
Walgreens Boots Alliance		23,907		1,927
Wal-Mart Stores		42,376		3,056
Whole Foods Market		9,251		262


				51,716


Energy — 7.1%
Anadarko Petroleum, Cl A		14,393		912
Apache		10,701		683
Baker Hughes		12,415		627
Cabot Oil & Gas		12,898		333
Chesapeake Energy *		18,802		118
Chevron		52,726		5,427
Cimarex Energy		2,649		356
Concho Resources *		3,900		536
ConocoPhillips		34,186		1,486
Devon Energy		14,726		650
EOG Resources		15,327		1,482
EQT		4,705		342
Exxon Mobil		115,900		10,116
FMC Technologies *		5,813		172
Halliburton		24,042		1,079
Helmerich & Payne		2,843		191
Hess		7,274		390
Kinder Morgan		54,014		1,249
Marathon Oil		23,892		378
Marathon Petroleum		15,037		610
Murphy Oil		4,295		131
National Oilwell Varco, Cl A		10,530		387
Newfield Exploration *		5,573		242
Noble Energy		11,737		419
Occidental Petroleum		21,100		1,539
Oneok		5,954		306



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Phillips 66		12,799	$	1,031
Pioneer Natural Resources		4,792		890
Range Resources		4,487		174
Schlumberger, Cl A		38,737		3,046
Southwestern Energy *		13,886		192
Spectra Energy		18,957		810
Tesoro		3,203		255
Transocean		9,031		96
Valero Energy		13,097		694
Williams		18,746		576


				37,925


Financials — 12.4%
Affiliated Managers Group *		1,529		221
Aflac		11,409		820
Allstate		10,312		713
American Express		22,313		1,429
American International Group		28,505		1,691
Ameriprise Financial		4,617		461
Aon		7,409		833
Arthur J. Gallagher		4,700		239
Assurant		1,782		164
Bank of America		285,545		4,469
Bank of New York Mellon		29,843		1,190
BB&T		22,956		866
Berkshire Hathaway, Cl B *		53,130		7,676
BlackRock		3,515		1,274
Capital One Financial		14,215		1,021
Charles Schwab		33,635		1,062
Chubb		12,866		1,617
Cincinnati Financial		4,093		309
Citigroup		81,345		3,842
Citizens Financial Group		15,100		373
CME Group		9,548		998
Comerica		5,073		240
Discover Financial Services		11,446		647
ETrade Financial		8,170		238
Fifth Third Bancorp		21,751		445
Franklin Resources		10,436		371
Goldman Sachs Group		10,721		1,729
Hartford Financial Services Group		10,961		469
Huntington Bancshares		29,847		294
Intercontinental Exchange		3,256		877
Invesco		11,212		351
JPMorgan Chase		101,017		6,727
KeyCorp		29,652		361
Legg Mason		3,009		101
Leucadia National		8,640		165
Lincoln National		6,609		311
Loews		7,389		304
M&T Bank		4,508		523
Marsh & McLennan		14,417		970



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
MetLife		30,812	$	1,369
Moody's		4,704		509
Morgan Stanley		41,717		1,337
Nasdaq, Cl A		2,987		202
Navient		10,409		151
Northern Trust		6,071		413
People's United Financial		8,289		131
PNC Financial Services Group		13,997		1,261
Principal Financial Group, Cl A		7,733		398
Progressive		16,521		520
Prudential Financial		12,377		1,011
Regions Financial		34,660		342
S&P Global		7,278		921
SunTrust Banks		13,839		606
Synchrony Financial		22,801		638
T. Rowe Price Group		6,740		448
Torchmark, Cl A		3,035		194
Travelers		8,052		922
Unum Group		6,163		218
US Bancorp		45,202		1,939
Wells Fargo		127,033		5,625
Willis Towers Watson		3,747		497
XL Group		8,014		270
Zions Bancorporation		5,337		166


				66,479


Health Care — 14.0%
Abbott Laboratories		40,915		1,730
AbbVie		45,125		2,846
Aetna, Cl A		9,616		1,110
Agilent Technologies		9,285		437
Alexion Pharmaceuticals *		6,208		761
Allergan *		10,980		2,529
AmerisourceBergen		5,154		416
Amgen, Cl A		20,863		3,480
Anthem		7,338		920
Baxter International		13,792		657
Becton Dickinson		5,952		1,070
Biogen *		6,050		1,894
Boston Scientific *		37,592		895
Bristol-Myers Squibb		46,538		2,509
C.R. Bard		1,997		448
Cardinal Health		9,003		700
Celgene, Cl A *		21,394		2,236
Centene *		4,600		308
Cerner *		8,212		507
Cigna		7,010		914
Cooper, Cl A		1,400		251
DaVita HealthCare Partners *		4,357		288
DENTSPLY SIRONA		6,671		396
Edwards Lifesciences, Cl A *		5,872		708
Eli Lilly		26,913		2,160



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Endo International *		5,438	$	110
Express Scripts Holding *		17,632		1,244
Gilead Sciences		37,013		2,928
HCA Holdings *		8,343		631
Henry Schein *		2,222		362
Hologic *		8,000		311
Humana		4,090		724
Illumina *		4,100		745
Intuitive Surgical *		1,046		758
Johnson & Johnson		76,544		9,042
Laboratory Corp of America Holdings *		2,917		401
Mallinckrodt *		3,211		224
McKesson		6,237		1,040
Medtronic		39,141		3,382
Merck		76,966		4,803
Mettler Toledo International *		800		336
Mylan *		12,626		481
Patterson		2,462		113
PerkinElmer		2,969		167
Perrigo		4,076		376
Pfizer		168,857		5,719
Quest Diagnostics		4,078		345
Regeneron Pharmaceuticals *		2,215		890
St. Jude Medical		7,909		631
Stryker		8,876		1,033
Thermo Fisher Scientific		11,011		1,751
UnitedHealth Group		26,411		3,698
Universal Health Services, Cl B		2,542		313
Varian Medical Systems *		2,565		255
Vertex Pharmaceuticals *		6,758		589
Waters *		2,320		368
Zimmer Biomet Holdings		5,553		722
Zoetis, Cl A		13,973		727


				75,389


Industrials — 9.7%
3M		16,926		2,983
Acuity Brands		1,200		318
Alaska Air Group		3,300		217
Allegion		2,494		172
American Airlines Group		15,925		583
Ametek		6,364		304
Boeing		16,509		2,175
C.H. Robinson Worldwide		3,887		274
Caterpillar, Cl A		16,245		1,442
Cintas		2,552		287
CSX		26,188		799
Cummins		4,463		572
Danaher, Cl A		16,791		1,316
Deere		8,313		710
Delta Air Lines, Cl A		21,522		847
Dover		4,246		313



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Dun & Bradstreet		952	$	130
Eaton		12,539		824
Emerson Electric		17,926		977
Equifax		3,276		441
Expeditors International of Washington		5,208		268
Fastenal, Cl A		7,722		323
FedEx		6,969		1,217
Flowserve		3,454		167
Fluor		3,692		189
Fortive		8,195		417
Fortune Brands Home & Security		4,200		244
General Dynamics		7,965		1,236
General Electric		250,493		7,420
Honeywell International		21,252		2,478
Illinois Tool Works		8,931		1,070
Ingersoll-Rand		7,103		483
Jacobs Engineering Group *		3,321		172
JB Hunt Transport Services		2,345		190
Kansas City Southern		2,863		267
L-3 Communications Holdings		2,219		334
Lockheed Martin		7,093		1,700
Masco		9,323		320
Nielsen Holdings		9,880		529
Norfolk Southern		8,302		806
Northrop Grumman		4,961		1,061
PACCAR		9,519		560
Parker-Hannifin, Cl A		3,652		458
Pentair		5,077		326
Pitney Bowes		5,551		101
Quanta Services *		4,382		123
Raytheon		8,299		1,130
Republic Services		6,662		336
Robert Half International		3,459		131
Rockwell Automation		3,535		432
Rockwell Collins		3,630		306
Roper Technologies		2,914		532
Ryder System		1,523		100
Snap-on		1,555		236
Southwest Airlines, Cl A		17,433		678
Stanley Black & Decker		4,211		518
Stericycle, Cl A *		2,226		178
Textron		7,737		308
TransDigm Group *		1,500		434
Union Pacific		23,419		2,284
United Continental Holdings *		8,300		435
United Parcel Service, Cl B		19,211		2,101
United Rentals *		2,499		196
United Technologies		21,532		2,188
Verisk Analytics, Cl A *		4,300		350
Waste Management		11,682		745
WW Grainger		1,547		348



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Xylem		5,248	$	275


				52,384


Information Technology — 20.7%
Accenture, Cl A		17,248		2,107
Activision Blizzard		19,200		851
Adobe Systems *		13,864		1,505
Akamai Technologies *		4,774		253
Alliance Data Systems *		1,646		353
Alphabet, Cl A *		8,269		6,649
Alphabet, Cl C *		8,293		6,446
Amphenol, Cl A		8,320		540
Analog Devices		8,443		544
Apple		150,530		17,017
Applied Materials		31,171		940
Autodesk, Cl A *		5,605		405
Automatic Data Processing		12,642		1,115
Broadcom		11,075		1,911
CA		8,433		279
Cisco Systems		140,072		4,443
Citrix Systems *		4,126		352
Cognizant Technology Solutions, Cl A *		16,977		810
Corning, Cl B		29,371		695
CSRA		3,466		93
eBay *		29,347		966
Electronic Arts *		8,428		720
F5 Networks, Cl A *		1,791		223
Facebook, Cl A *		64,971		8,334
Fidelity National Information Services, Cl B		9,253		713
First Solar *		2,122		84
Fiserv, Cl A *		6,182		615
Flir Systems		3,792		119
Global Payments		4,147		318
Harris		3,527		323
Hewlett Packard Enterprise		45,510		1,035
HP		47,710		741
Intel		131,297		4,956
International Business Machines		24,468		3,887
Intuit		6,985		768
Juniper Networks		10,033		241
KLA-Tencor		4,249		296
Lam Research		4,520		428
Linear Technology		6,536		388
MasterCard, Cl A		26,982		2,746
Microchip Technology		6,037		375
Micron Technology *		29,071		517
Microsoft		218,096		12,562
Motorola Solutions		4,302		328
NetApp		8,228		295
Nvidia		15,048		1,031
Oracle, Cl B		84,233		3,309
Paychex		9,100		527



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
PayPal Holdings *		30,985	$	1,269
Qorvo *		3,805		212
Qualcomm		40,968		2,806
Red Hat *		4,960		401
salesforce.com *		17,572		1,253
Seagate Technology		8,043		310
Skyworks Solutions		5,207		396
Symantec, Cl A		17,208		432
TE Connectivity		9,703		625
Teradata *		3,999		124
Texas Instruments		27,711		1,945
Total System Services		4,667		220
VeriSign *		2,478		194
Visa, Cl A		53,032		4,386
Western Digital		7,638		447
Western Union		13,877		289
Xerox		27,356		277
Xilinx		6,887		374
Yahoo! *		24,432		1,053


				111,166


Materials — 2.8%
Air Products & Chemicals		6,061		911
Albemarle		3,000		256
Alcoa		37,178		377
Avery Dennison		2,376		185
Ball		4,856		398
CF Industries Holdings		5,937		145
Dow Chemical, Cl A		30,989		1,606
E.I. Du Pont de Nemours		24,165		1,618
Eastman Chemical		4,198		284
Ecolab		7,354		895
FMC		3,549		172
Freeport-McMoRan, Cl B		37,562		408
International Flavors & Fragrances		2,215		317
International Paper		11,273		541
LyondellBasell Industries, Cl A		9,543		770
Martin Marietta Materials, Cl A		1,765		316
Monsanto		12,028		1,229
Mosaic		9,410		230
Newmont Mining		14,604		574
Nucor		8,948		443
Owens-Illinois *		5,128		94
PPG Industries		7,270		751
Praxair		8,033		971
Sealed Air		5,658		259
Sherwin-Williams, Cl A		2,213		612
Vulcan Materials		3,730		424
WestRock		6,892		334


				15,120



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)

Real Estate — 3.0%
American Tower, Cl A ^‡		11,916	$	1,350
Apartment Investment & Management, Cl A ^‡		4,543		209
AvalonBay Communities ^‡		3,722		662
Boston Properties ^‡		4,308		587
CBRE Group, Cl A *		7,925		222
Crown Castle International ^‡		9,428		888
Digital Realty Trust, Cl A ^‡		4,200		408
Equinix ^‡		1,959		706
Equity Residential ^‡		9,933		639
Essex Property Trust ^‡		1,760		392
Extra Space Storage ^‡		3,500		278
Federal Realty Investment Trust ^‡		2,000		308
General Growth Properties ^‡		15,697		433
HCP ^‡		13,130		498
Host Hotels & Resorts ^‡		21,312		332
Iron Mountain ^‡		6,776		254
Kimco Realty ^‡		11,396		330
Macerich ^‡		3,565		288
ProLogis ^‡		14,671		785
Public Storage ^‡		4,100		915
Realty Income ^‡		7,218		483
Simon Property Group ^‡		8,658		1,792
SL Green Realty ^‡		2,815		304
UDR ^‡		7,000		252
Ventas ^‡		9,910		700
Vornado Realty Trust ^‡		4,831		489
Welltower ^‡		9,907		741
Weyerhaeuser ^‡		21,060		673


				15,918


Telecommunication Services — 2.6%
AT&T		171,003		6,945
CenturyTel		15,242		418
Frontier Communications		30,139		125
Level 3 Communications *		7,981		370
Verizon Communications		113,498		5,900


				13,758


Utilities — 3.2%
AES		17,212		221
Alliant Energy		6,200		237
Ameren		6,544		322
American Electric Power		13,729		882
American Water Works		4,800		359
Centerpoint Energy		11,917		277
CMS Energy		7,513		316
Consolidated Edison		8,378		631
Dominion Resources		17,604		1,307
DTE Energy		4,841		453
Duke Energy		18,998		1,521
Edison International		9,190		664



Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Entergy		4,777	$	367
Eversource Energy		8,544		463
Exelon		25,390		845
FirstEnergy		11,621		384
NextEra Energy		13,098		1,602
NiSource		9,413		227
NRG Energy		8,464		95
PG&E		13,693		838
Pinnacle West Capital		3,094		235
PPL		18,839		651
Public Service Enterprise Group		14,357		601
SCANA		3,980		288
Sempra Energy		6,668		715
Southern		27,482		1,410
WEC Energy Group		8,537		511
Xcel Energy		14,246		586


				17,008


Total Common Stock (Cost $484,206) ($ Thousands)				522,673


Total Investments — 97.3% (Cost $484,206) ($ Thousands)			$	522,673


	Contracts

PURCHASED OPTION (A) — 0.1%
January 2017 EUR Put, USD Call,
Expires 01/21/2017,
Strike Price $1.07*		92,284,855		415


Total Purchased Option (Cost $524) ($ Thousands)			$	415

A list of the open futures contracts held by the Fund at September 30, 2016, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized

Appreciation

($ Thousands)

S&P 500 Index E-MINI

102

Dec-2016

$22

A list of the open forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:



Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
10/19/16	USD		496	EUR		441		$—
10/19/16	USD		1,147	KRW		1,260,000		(3	)
10/19/16	INR		17,400	USD		261		—
10/19/16-10/19/16	EUR		48,113	USD		53,506		(611	)
10/19/16	USD		52,969	INR		3,597,822		926
10/19/16	KRW		60,086,360	USD		52,582		(1,979	)
01/09/17	USD		928	SAR		3,533		12
01/09/17-01/19/17	SAR		104,069	USD		27,050		(642	)


								$(2,297)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at September 30, 2016, is as follows:



Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
BNP Paribas		$(1,192	)		$1,183		$(9)
Bank of America		(81,849	)		82,145		296
Goldman Sachs		(2,557	)		2,549		(8)
Societe Generale		(50,864	)		50,270		(594)
Standard Chartered		(55,709	)		53,727		(1,982)

							$(2,297)

A list of the open OTC swap agreements held by the Fund at September 30, 2016 is as follows:

Percentages are based on Net Assets of $537,301 ($ Thousands).

*	Non-income producing security.

^‡	Real Estate Investment Trust.

(A)	For the year ended September 30, 2016, the total amount of open purchased options, as presented in the Schedule of Investments, are representative of the volume of activity for these derivative types during the year.

ADR — American Depositary Receipt

Cl — Class

CPI — Consumer Price Index

EUR — Euro

INR — Indian Rupee

KRW — Korean Won

NSA — Not seasonally adjusted

OTC — Over the Counter

S&P— Standard & Poor's

SAR— Saudi Riyal

USD — United States Dollar

The following is a list of the level of inputs used as of September 30, 2016, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2			Level 3		Total
Common Stock	$	522,673	$	–		$	–	$	522,673

Total Investments in Securities	$	522,673	$	–		$	–	$	522,673


Other Financial Instruments	Level 1		Level 2			Level 3		Total
Purchased Options	$	415	$	—		$	—	$	415
Futures Contracts *
Unrealized Appreciation		22		—			—		22
Forwards Contracts *
Unrealized Appreciation		—		938			—		938
Unrealized Depreciation		—		(3,235	)		—		(3,235	)
OTC Swaps
Interest Rate Swaps *
Unrealized Appreciation		—		576			—		576

Total Other Financial Instruments	$	437	$	(1,721	)	$	—	$	(1,284	)

* Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instruments.

For the year ended September 30, 2016, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the year ended September 30, 2016, there were no transfers between Level 2 and Level 3 assets and liabilities.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

Amounts designated as “—” are $0 or have been rounded to $0.

We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, Real Estate Fund, Enhanced Income Fund, Core Fixed Income Fund, U.S. Fixed Income Fund, High Yield Bond Fund, Conservative Income Fund, Tax-Free Conservative Income Fund, Real Return Fund, Dynamic Asset Allocation Fund, Multi-Strategy Alternative Fund, Multi-Asset Income Fund, Multi-Asset Capital Stability Fund, and the Long/Short Alternative Fund (twenty-six of the twenty-eight funds comprising the SEI Institutional Managed Trust (the Trust)), as of September 30, 2016, and the related statements of operations for the year or period then ended, the statements of changes in net assets for each of the years or periods in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. We have also audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of the Multi-Asset Accumulation Fund and the Multi-Asset Inflation Managed Fund (two of the twenty-eight funds comprising the Trust), as of September 30, 2016, and the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, the consolidated statement of cash flows for the year then ended for the Multi-Asset Inflation Managed Fund, and the consolidated financial highlights for each of the years or periods in the five-year period then ended. The financial statements and consolidated financial statements and financial highlights and consolidated financial highlights, are included in Item 1 of this Form N-CSR and the schedules of investments in securities of the Large Cap Fund, Large Cap Value Fund, Large Cap Growth Fund, Tax-Managed Large Cap Fund, S&P 500 Index Fund, Small Cap Fund, Small Cap Value Fund, Small Cap Growth Fund, Tax-Managed Small/Mid Cap Fund, Mid-Cap Fund, U.S. Managed Volatility Fund, Global Managed Volatility Fund, Tax-Managed Managed Volatility Fund, and the Dynamic Asset Allocation Fund as of September 30, 2016 are included in Item 6 of this Form N-CSR. These financial statements and consolidated financial statements and financial highlights and consolidated financial highlights and the schedules of investments in securities and consolidated schedules of investments in securities are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements, consolidated financial statements, financial highlights, consolidated financial highlights and schedules of investments in securities and consolidated schedules of investments in securities based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2016, by correspondence with custodians, transfer agent and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and consolidated financial statements and financial highlights and consolidated financial highlights and schedules of investments in securities and consolidated schedules of

investments in securities referred to above present fairly, in all material respects, the financial position of each of the funds comprising the SEI Institutional Managed Trust as of September 30, 2016, the results of their operations, the changes in their net assets, their cash flows, and the financial highlights for each of the years or periods described in the first paragraph, in conformity with U.S. generally accepted accounting principles.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Registrant’s Board of Trustees (the “Board”). Pursuant to the Committee’s Charter, adopted on June 18, 2004, as amended, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

(a) The Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrants internal control over financial reporting.

(a)(2) A separate certification for the principal executive officer and the principal financial officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)), are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(b)) also accompany this filing as exhibits.

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.




Letter to Shareholders			1


Management’s Discussion and Analysis of Fund Performance			6


Summary Schedules of Investments/Schedules of Investments/Consolidated Schedule of Investments			51


Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities			274


Statements of Operations/Consolidated Statements of Operations			286


Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets			292


Consolidated Statement of Cash Flows			300


Financial Highlights/Consolidated Financial Highlights			301


Notes to Financial Statements/Consolidated Notes to Financial Statements			310


Report of Independent Registered Public Accounting Firm			351


Trustees and Officers of the Trust			352


Disclosure of Fund Expenses			355


Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreement			358


Notice to Shareholders			361


Shareholder Voting Results			364


SEI Institutional Managed Trust / Annual Report / September 30, 2016		1



Interest Rate Swaps

Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount ($ Thousands)	Net Unrealized Appreciation (Depreciation) ($ Thousands)

Citibank	3.676%	3 Month USD-LIBOR	11/15/43	$ 2,275	$	(963)
UBS	1.27%	3 Month USD-LIBOR	05/15/23	22,656		35
UBS	1.90%	3 Month USD-LIBOR	11/30/22	34,472		(1,301)
UBS	3 Month USD-LIBOR	1.58%	06/13/26	9,520		(91)
UBS	3 Month USD-LIBOR	1.19%	06/13/21	9,530		3
UBS	1.897%	3 Month USD-LIBOR	08/31/22	22,800		(848)

					$	(3,165)



	Investments in Corporate Obligations		Investments in Asset- Backed Securities		Investments in Loan Participations		Investments in Municipal Bonds		Investments in Common Stock		Investments in Convertible Bonds		Investments in Preferred Stock		Investments in Warrants

Balance as of October 1, 2015	$	5,626	$	167,799	$	6,047	$	—	$	1,569	$	435	$	—	$	9

Accrued discounts/premiums		42		(187)		(107)		—		—		(3)		—		—

Realized gain/(loss)		(13)		2,224		(1,050)		—		296		—		—		—
Change in unrealized appreciation/depreciation		(164)		5,906		752		—		41		(137)		—		(4)

Purchases		79		38,141		859		—		269		137		—		—

Sales		(5)		(51,855)		(1,007)		—		(33)		—		—		—

Net transfer into Level 3		1		—		10,337		7,946		196		—		425		—

Net transfer out of Level 3		—		—		(2,297)		—		—		—		—		—

Ending Balance as of September 30, 2016	$	5,566	$	162,028	$	13,534	$	7,946	$	2,338	$	432	$	425	$	5

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	(3,084)	$	7,601	$	(2,384)	$	401	$	(200)	$	(176)	$	(668)	$	(4)


		Investments in Asset- Backed Securities			Investments in Corporate Obligations		Investments in Loan Participations			Investments in Common Stock			Investments in Mortgage-Backed Securities			Investments in Convertible Bonds			Investments in Warrants
Balance as of September 30, 2015	$		2,970	$		4,185	$	8,925	$		315	$		–	$		47	$		–
Accrued discounts/premiums			–			(3)		27			–			–			–			–
Realized gain/(loss)			–			(186)		273			–			–			–			–
Change in unrealized appreciation/ depreciation			53			(70)		(260)			(323)			3			(15)			–
Purchases			989			–		2,150			79			1,774			15			14
Sales			(72)			(645)		(816)			–			–			–			–
Net transfer into Level 3			–			166		36			–			–			–			–
Net transfer out of Level 3			(1,380)			–		(2,179)			–			–			–			–

Ending Balance as of September 30, 2016	$		2,560	$		3,447	$	8,156	$		71	$		1,777	$		47	$		14

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$		(601)	$		(171)	$	(56)	$		(324)	$		3	$		(15)	$		14


SEI Institutional Management Trust / Annual Report / September 30, 2016			267


Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/Receives Rate	Termination Date	Notional Amount ($Thousands)		Net Unrealized Appreciation (Depreciation) ($Thousands)
Morgan Stanley	CDX.HY.IG, SERIES 26, VERSION 1	SELL	5.00	06/20/21		$(1,400)		$(8)
Morgan Stanley	CDX.HY.IG, SERIES 26, VERSION 1	SELL	5.00	06/20/21		(3,300)		9
Morgan Stanley	CDX.NA.IG, SERIES 26, VERSION 1	SELL	1.00	06/20/21		(140)		—
Morgan Stanley	CDX.NA.IG, SERIES 26, VERSION 1	SELL	1.00	06/20/21		(690)		2
Morgan Stanley	CDX.NA.IG, SERIES 26, VERSION 1	SELL	1.00	06/20/21		(1,310)		1
Morgan Stanley	CDX.NA.IG, SERIES 26, VERSION 1	SELL	1.00	06/20/21		(900)		—
Morgan Stanley	CDX.NA.IG, SERIES 26, VERSION 1	SELL	1.00	06/20/21		(550)		—
Morgan Stanley	CDX.NA.IG, SERIES 26, VERSION 1	SELL	1.00	06/20/21		(1,370)		—
Morgan Stanley	CDX.NA.IG, SERIES 26, VERSION 1	SELL	1.00	06/20/21		(1,130)		(1)
Morgan Stanley	CDX.NA.IG, SERIES 26, VERSION 1	SELL	1.00	06/20/21		(1,320)		(1)
Morgan Stanley	CDX.NA.IG, SERIES 27, VERSION 1	SELL	1.00	12/20/21		(2,480)		2
Morgan Stanley	ITRAXX.XO.VER.SERIES 25, VERSION 1	SELL	5.00	06/20/21		(40)		—
Morgan Stanley	ITRAXX.XO.VER.SERIES 25, VERSION 1	SELL	5.00	06/20/21		(620)		(11)
Morgan Stanley	ITRAXX.XO.VER.SERIES 26, VERSION 1	SELL	5.00	12/20/21		(1,450)		—

								$(7)


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Currency	Notional Amount (Thousands)		Net Unrealized Appreciation (Depreciation) ($ Thousands)
Morgan Stanley	6-Month AUD - BBSW	2.15%	09/30/2026	AUD		5,830	$	20
Morgan Stanley	6-Month AUD - BBSW	2.15%	09/27/2026	AUD		1,230		4
Morgan Stanley	6-Month AUD - BBSW	2.11%	09/09/2026	AUD		1,390		2
Morgan Stanley	6-Month AUD - BBSW	2.08%	07/12/2026	AUD		2,960		(4)
Morgan Stanley	6-Month AUD - BBSW	2.18%	07/04/2026	AUD		1,390		9
Morgan Stanley	6-Month AUD - BBSW	2.34%	06/09/2026	AUD		2,080		38
Morgan Stanley	6-Month AUD - BBSW	2.40%	05/30/2026	AUD		3,180		70
Morgan Stanley	6-Month AUD - BBSW	2.42%	05/24/2026	AUD		5,110		122

							$	261


	Large Cap Fund		Large Cap Value Fund
Assets:
Investments, at value ^†	$	2,257,963*	$	1,281,948*
Affiliated investments, at value ^††		410,666		96,911
Cash and cash equivalents		21		–
Foreign currency, at value ^†††		–		–
Receivable for fund shares sold		1,112		228
Receivable for investment securities sold		5,750		1,438
Dividends and Interest receivable		1,827		1,860
Receivable for variation margin		100		–
Foreign tax reclaim receivable		1		1
Receivable from investment adviser		–		–
Other receivables		–		1
Prepaid expenses		41		26
Total Assets		2,677,481		1,382,413
Liabilities:
Payable upon return on securities loaned		261,551		49,707
Payable for investment securities purchased		9,494		2,090
Payable for fund shares redeemed		2,473		1,460
Administration fees payable		588		327
Shareholder servicing fees payable Class A		456		266
Shareholder servicing fees payable Class E		–		–
Shareholder servicing fees payable Class I		–		–
Payable to custodian		–		1
Payable for variation margin		–		–
Investment advisory fees payable		542		300
Chief Compliance Officer fees payable		3		1
Trustees fees payable		1		–
Administration servicing fees payable Class I		–		1
Accrued expense payable		99		62
Total Liabilities		275,207		54,215
Net Assets	$	2,402,274	$	1,328,198
^† Cost of investments and repurchase agreements	$	1,864,769	$	1,110,102
^†† Cost of affiliated investments		410,666		96,911
^††† Cost of foreign currency		–		–
* Includes market value of securities on loan		258,188		49,352


Large Cap Growth Fund		Tax-Managed Large Cap Fund		S&P 500 Index Fund		Small Cap Fund		Small Cap Value Fund		Small Cap Growth Fund		Tax-Managed Small/ Mid Cap Fund		Mid-Cap Fund

$	1,388,018*	$	3,400,461*	$	645,314*	$	553,846*	$	355,083*	$	309,235*	$	657,146*	$ 86,804*
	66,670		334,299		18,313		88,127		121,713		43,562		214,397	7,903
	–		28		–		3		20		–		24	25
	–		129		–		–		–		–		–	–
	120		2,460		10,264		322		82		80		500	47
	11,323		1,764		39		4,850		3,147		657		292	–
	192		2,976		731		514		570		107		625	158
	–		1,949		95		109		23		–		57	–
	–		–		–		–		–		–		–	1
	–		–		–		–		1		–		–	–
	1		–		–		–		–		–		–	–
	25		60		11		10		7		5		11	2
	1,466,349		3,744,126		674,767		647,781		480,646		353,646		873,052	94,940

	4,044		111,917		3,172		52,352		104,013		31,161		180,708	5,714
	12,679		–		–		5,918		3,477		132		719	–
	1,667		2,492		402		580		359		330		559	22
	295		887		119		144		91		79		169	22
	290		699		48		113		74		64		115	18
	–		–		10		–		–		–		–	–
	–		–		1		–		–		–		–	–
	–		–		2		–		–		–		–	–
	–		1,843		–		–		–		–		–	–
	384		812		16		227		147		129		284	29
	2		4		1		1		–		–		1	–
	–		1		–		–		–		–		–	–
	1		–		2		–		1		–		–	–
	67		125		22		31		19		15		24	5
	19,429		118,780		3,795		59,366		108,181		31,910		182,579	5,810
$	1,446,920	$	3,625,346	$	670,972	$	588,415	$	372,465	$	321,736	$	690,473	$ 89,130
$	1,053,989	$	2,152,815	$	321,849	$	499,148	$	305,587	$	293,595	$	462,373	$ 80,024
	66,670		334,299		18,313		88,127		121,713		43,562		214,397	7,903
	–		129		–		–		–		–		–	–
	3,948		110,925		3,131		51,461		102,682		30,880		178,774	5,670


	Large Cap Fund			Large Cap Value Fund
Net Assets:
Paid-in capital — (unlimited authorization — no par value)	$	2,088,555		$	1,219,659
Undistributed (distributions in excess of) net investment income		5,051			9,711
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency		(84,498	)		(73,018	)
Net unrealized appreciation on investments and securities sold short		393,194			171,846
Net unrealized appreciation (depreciation) on futures contracts		(28	)		–
Net unrealized depreciation on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		–			–
Net Assets	$	2,402,274		$	1,328,198
Net Asset Value, Offering and Redemption Price Per Share — Class A	$	12.54 ($2,237,662,894 178,391,154 share	÷ s)	$	21.20 ($1,300,028,797 61,310,604 share	÷ s)
Net Asset Value, Offering and Redemption Price Per Share — Class E		N/A			N/A


Net Asset Value, Offering and Redemption Price Per Share — Class I		N/A		$	21.21 ($ 6,164,527 290,634 share	÷ s)
Net Asset Value, Offering and Redemption Price Per Share — Class Y	$	12.55 ($164,611,458 13,115,536 share	÷ s)	$	21.21 ($22,004,398 1,037,604 share	÷ s)


Large Cap Growth Fund			Tax-Managed Large Cap Fund			S&P 500 Index Fund			Small Cap Fund			Small Cap Value Fund			Small Cap Growth Fund			Tax-Managed Small/ Mid Cap Fund			Mid-Cap Fund

$	1,192,055		$	2,539,463		$	327,989		$	548,305		$	335,274		$	336,749		$	500,508		$	82,663
	1,233			6,797			2,548			416			1,105			(901	)		1,093			46

	(80,397	)		(168,583	)		16,666			(14,966	)		(13,407	)		(29,752	)		(5,902	)		(359	)
	334,029			1,247,646			323,465			54,698			49,496			15,640			194,773			6,780
	–			23			304			(38	)		(3	)		–			2			–

	–			–			–			–			–			–			(1	)		–
$	1,446,920		$	3,625,346		$	670,972		$	588,415		$	372,465		$	321,736		$	690,473		$	89,130
$	29.74 ($1,421,655,602 47,794,785 share	÷ s)	$	20.74 ($3,427,251,372 165,282,645 share	÷ s)	$	53.32 ($386,476,820 7,248,117 share	÷ s)	$	11.61 ($550,555,788 47,412,455 share	÷ s)	$	22.75 ($362,348,337 15,928,742 share	÷ s)	$	28.86 ($312,240,401 10,819,772 share	÷ s)	$	18.97 ($643,288,207 33,916,448 share	÷ s)	$	24.00 ($87,780,766 3,658,038 share	÷ s)
	N/A			N/A		$	53.68 ($277,241,855 5,165,158 share	÷ s)		N/A			N/A			N/A			N/A			N/A
$	29.17 ($4,782,931 163,979 share	÷ s)		N/A		$	53.58 ($6,473,537 120,810 share	÷ s)		N/A		$	22.57 ($2,910,191 128,930 share	÷ s)	$	27.83 ($2,252,515 80,938 share	÷ s)		N/A		$	23.96 ($870,755 36,338 share	÷ s)
$	29.80 ($20,481,065 687,299 share	÷ s)	$	20.75 ($198,094,406 9,547,943 share	÷ s)	$	53.33 ($779,619 14,619 share	÷ s)	$	11.66 ($37,859,579 3,247,872 share	÷ s)	$	22.76 ($7,206,417 316,565 share	÷ s)	$	28.93 ($7,242,900 250,364 share	÷ s)	$	18.98 ($47,184,838 2,486,406 share	÷ s)	$	24.01 ($478,905 19,943 share	÷ s)


	U.S. Managed Volatility Fund		Global Managed Volatility Fund
Assets:
Investments, at value ^†	$	1,573,596	$	1,622,567
Affiliated investments, at value ^††		39,118		83,471
Repurchase agreements^†		–		–
Cash and cash equivalents		173		8,939
Due from Broker		–		–
Cash pledged as collateral on swap contracts		–		–
Cash pledged as collateral on futures contracts		–		–
Foreign currency, at value ^†††		1,177		3,444
Receivable for fund shares sold		1,495		792
Receivable for investment securities sold		4,968		3
Dividends and Interest receivable		2,891		4,108
Receivable for variation margin		135		254
Unrealized gain on forward foreign currency contracts		–		916
Options purchased, at value ^{†††††}		–		–
Foreign tax reclaim receivable		–		2,429
Receivable from investment adviser		–		–
Other receivables		–		–
Prepaid expenses		26		31
Total Assets		1,623,579		1,726,954
Liabilities:
Payable for investment securities purchased		5,726		–
Payable for fund shares redeemed		1,467		893
Administration fees payable		397		420
Shareholder servicing fees payable Class A		231		328
Shareholder servicing fees payable Class I		–		1
Payable upon return on securities loaned		–		–
Income distribution payable		–		–
OTC Swap contracts, at value ^††††		–		–
Options written, at value ^{†††††}		–		–
Payable to custodian		–		–
Payable for variation margin		–		154
Unrealized loss on forward foreign currency contracts		–		648
Investment advisory fees payable		507		689
Chief Compliance Officer fees payable		2		2
Trustees fees payable		–		–
Administration servicing fees payable Class I		–		1
Other payables		–		–
Accrued expense payable		81		147
Total Liabilities		8,411		3,283
Net Assets	$	1,615,168	$	1,723,671
^† Cost of investments and repurchase agreements	$	1,356,352	$	1,415,399
^†† Cost of affiliated investments		39,118		83,471
^††† Cost of foreign currency		1,173		3,442
^†††† Cost (premiums received)		–		–
^{†††††} Cost (premiums received)		–		–
* Includes market value of securities on loan		–		–


Tax-Managed Managed Volatility Fund		Real Estate Fund		Enhanced Income Fund		Core Fixed Income Fund			U.S. Fixed Income Fund			High Yield Bond Fund		Conservative Income Fund

$	1,164,326	$	204,816*	$	194,173	$	2,228,200*		$	1,368,300*		$	1,865,467*	$	57,832
	34,072		8,546		5,121		70,436			32,271			51,080		51
	–		–		2,000		–			–			–		11,400
	150		–		342		103			–			395		–
	–		–		–		–			–			348		–
	–		–		–		3,287			158			893		–
	–		–		11		1,059			943			–		–
	758		–		–		355			–			–		–
	1,531		2,124		141		1,355			1,055			1,137		19,182
	1,121		3,451		2,759		95,006			68,695			18,377		3,500
	1,830		1,040		715		10,647			6,199			30,874		49
	113		–		4		1,446			1,389			34		–
	–		–		–		450			9			–		–
	–		–		–		208			81			–		–
	2		–		–		8			8			13		–
	–		–		–		2			–			–		11
	–		–		–		–			–			400		–
	19		4		4		37			22			31		1
	1,203,922		219,981		205,270		2,412,599			1,479,130			1,969,049		92,026

	2,479		7,031		6,298		241,760			172,492			26,661		–
	977		320		241		2,321			1,265			2,080		166
	294		52		16		351			213			317		12
	238		35		21		423			247			355		5
	–		–		–		–			–			–		–
	–		1,024		–		14,020			629			6		–
	–		–		–		353			271			928		20
	–		–		–		684			173			–		–
	–		–		–		315			123			–		–
	–		–		–		–			45			–		–
	–		–		1		640			839			–		–
	–		–		–		925			168			–		–
	373		90		43		240			148			575		6
	1		–		–		2			1			2		–
	–		–		–		1			–			1		–
	–		–		–		2			–			1		–
	–		–		–		4			–			–		–
	65		9		26		216			122			123		10
	4,427		8,561		6,646		262,257			176,736			31,049		219
$	1,199,495	$	211,420	$	198,624	$	2,150,342		$	1,302,394		$	1,938,000	$	91,807
$	910,883	$	159,456	$	199,014	$	2,178,162		$	1,332,901		$	1,885,562	$	69,227
	34,072		8,546		5,121		70,436			32,271			51,080		51
	764		–		–		331			–			–		–
	–		–		–		13			–			–		–
	–		–		–		(160	)		(62	)		–		–
	–		1,020		–		13,544			599			1		–


	U.S. Managed Volatility Fund			Global Managed Volatility Fund
Net Assets:
Paid-in capital — (unlimited authorization — no par value)	$	1,350,819		$	1,453,138
Undistributed (distributions in excess of) net investment income		5,726			21,778
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency		41,478			41,376
Net unrealized appreciation (depreciation) on investments and securities sold short		217,244			207,168
Net unrealized appreciation on option contracts		–			–
Net unrealized appreciation (depreciation) on futures contracts		(102	)		76
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		3			135
Net unrealized appreciation (depreciation) on swap contracts		–			–
Net Assets	$	1,615,168		$	1,723,671
Net Asset Value, Offering and Redemption Price Per Share — Class A	$	17.04		$	11.51
		($1,126,684,758 66,115,893 share	÷ s)		($1,618,548,555 140,572,556 share	÷ s)
Net Asset Value, Offering and Redemption Price Per Share — Class I	$	17.03		$	11.29
		($1,928,461 113,270 share	÷ s)		($2,734,462 242,305 share	÷ s)
Net Asset Value, Offering and Redemption Price Per Share — Class Y	$	17.05		$	11.55
		($486,555,063 28,537,396 share	÷ s)		($102,388,311 8,866,795 share	÷ s)


Tax-Managed Managed Volatility Fund			Real Estate Fund			Enhanced Income Fund			Core Fixed Income Fund			U.S. Fixed Income Fund			High Yield Bond Fund			Conservative Income Fund

$	930,260		$	153,133		$	324,462		$	2,089,251		$	1,254,250		$	2,100,479		$	91,801
	3,919			2,193			974			(3,948	)		165			16,847			–
	11,922			10,734			(123,972	)		17,556			12,215			(159,424	)		1
	253,443			45,360			(2,841	)		50,038			35,399			(20,095	)		5
	–			–			–			53			20			–			–
	(42	)		–			1			1,694			971			–			–
	(7	)		–			–			(441	)		(159	)		–			–
	–			–			–			(3,861	)		(467	)		193			–
$	1,199,495		$	211,420		$	198,624		$	2,150,342		$	1,302,394		$	1,938,000		$	91,807
$	14.74		$	19.37		$	7.49		$	11.71		$	10.58		$	7.18		$	10.00
	($1,162,477,654 78,889,551 share	÷ s)		($174,178,580 8,991,371 share	÷ s)		($181,058,741 24,180,396 share	÷ s)		($2,070,113,148 176,817,380 share	÷ s)		($1,205,262,289 113,942,724 share	÷ s)		($1,737,907,584 241,916,664 share	÷ s)		($75,010,907 7,500,664 share	÷ s)
	N/A		$	19.35		$	7.47		$	11.70			N/A		$	6.93			N/A
				($650,929 33,633 share	÷ s)		($255,237 34,156 share	÷ s)		($9,313,119 795,866 share	÷ s)					($1,077,576 155,565 share	÷ s)
$	14.74		$	19.38		$	7.48		$	11.71		$	10.58		$	7.18		$	10.00
	($37,017,186 2,511,039 share	÷ s)		($36,590,712 1,888,387 share	÷ s)		($17,309,952 2,313,851 share	÷ s)		($70,916,227 6,055,602 share	÷ s)		($97,131,412 9,184,289 share	÷ s)		($199,015,009 27,703,642 share	÷ s)		($16,796,526 1,679,517 share	÷ s)


	Tax-Free Conservative Income Fund		Real Return Fund
Assets:
Investments, at value ^†	$	44,670	$	318,496
Affiliated investments, at value ^††		–		5,456
Cash and cash equivalents		20		–
Due from Broker		–		–
Cash pledged as collateral on swap contracts		–		–
Cash pledged as collateral on futures contracts		–		–
Foreign currency, at value ^†††		–		–
Receivable for fund shares sold		183		176
Receivable for investment securities sold		500		–
Dividends and Interest receivable		124		499
Unrealized gain on forward foreign currency contracts		–		–
Unrealized gain on foreign spot currency contracts		–		–
OTC Swap contracts, at value ^††††		–		–
Options purchased, at value ^{†††††}		–		–
Foreign tax reclaim receivable		–		–
Receivable for variation margin		–		–
Prepaid expenses		1		5
Total Assets		45,498		324,632
Liabilities:
Payable for investment securities purchased		515		3,820
Payable for fund shares redeemed		89		485
Income distribution payable		12		–
Shareholder servicing fees payable Class A		3		24
Administration fees payable		2		52
Payable for securities sold short@		–		–
OTC Swap contracts, at value ^††††		–		–
Options written, at value ^{†††††}		–		–
Due to broker		–		–
Reverse repurchase agreements		–		–
Payable for variation margin		–		–
Unrealized loss on foreign currency spot contracts		–		–
Unrealized loss on forward foreign currency contracts		–		–
Investment advisory fees payable		4		21
Interest payable		–		–
Chief Compliance Officer fees payable		–		–
Accrued expense payable		5		15
Total Liabilities		630		4,417
Net Assets	$	44,868	$	320,215
^† Cost of investments and repurchase agreements	$	44,684	$	315,426
^†† Cost of affiliated investments		–		5,456
^††† Cost of foreign currency		–		–
^†††† Cost (premiums received)		–		–
^{†††††} Cost (premiums received)		–		–
@Proceeds from securities sold short		–		–


Dynamic Asset Allocation Fund		Multi-Strategy Alternative Fund			Multi-Asset Accumulation Fund		Multi-Asset Income Fund		Multi-Asset Inflation Managed Fund			Multi-Asset Capital Stability Fund			Long/Short Alternative Fund

$	522,673	$	439,206		$	1,879,772	$	702,542	$	1,288,531		$	123,861		$	40,657
	–		136,099			–		–		–			–			–
	5,231		84,480			331,237		26,068		182,745			576,479			1
	9,745		523			3,586		–		–			–			–
	–		3,283			7,737		22,180		967			1,159			–
	428		171			60,338		1,442		1,803			5,948			1,027
	–		131			3,993		74		6			2,268			–
	547		465			1,678		636		1,040			546			–
	24		26,897			814		2,527		10,734			–			–
	584		517			1,668		4,627		2,886			599			–
	938		80			3,412		238		257			1,123			–
	–		–			33		–		5			–			–
	576		142			2,485		58,323		22			–			–
	415		160			–		–		–			65			–
	–		3			136		9		15			–			–
	61		28			2,514		209		3,272			705			192
	8		10			37		12		20			12			1
	541,230		692,195			2,299,440		818,887		1,492,303			712,765			41,878

	–		23,163			2,313		15,022		12,044			–			–
	367		613			1,825		612		1,185			851			–
	–		–			–		378		–			–			–
	99		97			421		52		201			54			–
	131		–			555		120		219			90			10
	–		92,656			–		–		145,945			–			–
	–		–			4,205		58,562		1,160			–			–
	–		92			–		2,222		–			71			–
	–		–			2,574		–		1,930			–			–
	–		–			–		–		244,323			–			–
	–		32			3,877		175		2,642			460			53
	–		–			18		–		8			–			–
	3,235		158			3,393		3		1,963			1,350			–
	43		238			1,021		226		282			174			18
	–		11			–		–		15			–			–
	1		1			3		1		1			1			–
	53		30			130		94		193			33			3
	3,929		117,091			20,335		77,467		412,111			3,084			84
$	537,301	$	575,104		$	2,279,105	$	741,420	$	1,080,192		$	709,681		$	41,794
$	484,206	$	437,563		$	1,835,347	$	699,829	$	1,249,777		$	120,296		$	40,637
	–		137,027			–		–		–			–			–
	–		506			3,986		71		6			2,138			–
	–		(57	)		–		–		(277	)		–			–
	524		97			–		1,800		–			(219	)		–
	–		(89,554	)		–		–		(145,564	)		–			–


	Tax-Free Conservative Income Fund			Real Return Fund
Net Assets:
Paid-in capital — (unlimited authorization — no par value)	$	44,882		$	321,573
Undistributed (distributions in excess of) net investment income		–			(336)
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency		–			(4,092)
Net unrealized appreciation (depreciation) on investments and securities sold short		(14)			3,070
Net unrealized appreciation (depreciation) on option contracts		–			–
Net unrealized appreciation (depreciation) on futures contracts		–			–
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		–			–
Net unrealized appreciation (depreciation) on swap contracts		–			–
Net Assets	$	44,868		$	320,215
Net Asset Value, Offering and Redemption Price Per Share — Class A	$	10.00		$	10.14
		($30,946,244 3,095,559 share	÷ s)		($291,379,675 28,723,821 share	÷ s)
Net Asset Value, Offering and Redemption Price Per Share — Class Y	$	10.00		$	10.17
		($13,922,107 1,392,631 share	÷ s)		($28,835,391 2,834,951 share	÷ s)


	U.S. Managed Volatility Fund			Global Managed Volatility Fund			Tax-Managed Managed Volatility Fund
Investment Income:
Dividends	$	38,307		$	53,926		$	27,036
Dividends from affiliated investment company ⁽¹⁾		97			207			81
Interest income		5			18			4
Security lending income — net ⁽¹⁾⁽²⁾		–			–			–
Less: foreign taxes withheld		(216	)		(2,770	)		(142	)
Total Investment Income		38,193			51,381			26,979
Expenses:
Investment advisory fees		9,737			12,677			6,914
Administration fees		4,494			5,851			3,191
Shareholder servicing fees Class A		2,610			4,621			2,602
Shareholder servicing fees Class I		5			5			–
Trustees’ fees		23			32			16
Chief compliance officer fees		9			11			6
Administration servicing fees Class I		5			5			–
Proxy fees		232			294			149
Printing fees		194			267			136
Professional fees		89			109			64
Custodian/Wire agent fees		71			202			52
Registration fees		33			58			38
Interest expense		–			–			–
Other expenses		36			63			25
Total Expenses		17,538			24,195			13,193
Less:
Waiver of investment advisory fees		(3,428	)		(2,463	)		(2,448	)
Waiver of shareholder servicing fees Class A		–			–			–
Waiver of shareholder servicing fees Class I		–			–			–
Waiver of administration fees		–			–			–
Fees paid indirectly		–			–			–
Net Expenses		14,110			21,732			10,745
Net Investment Income		24,083			29,649			16,234
Net Realized Gain (Loss) on:
Investments		42,322			22,120			10,890
Futures contracts		4,200			6,390			3,047
Foreign currency transactions		66			880			(21	)
Purchased and written options		–			–			–
Purchased and written swaptions		–			–			–
Swap contracts		–			–			–
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		97,077			162,326	^†		90,197
Futures contracts		124			1,554			245
Purchased and written options		–			–			–
Purchased and written swaptions		–			–			–
Swap contracts		–			–			–
Foreign currency translation of other assets and liabilities denominated in foreign currencies		10			(2,264	)		(7	)
Net Increase in Net Assets Resulting from Operations	$	167,882		$	220,655		$	120,585


	Tax-Free Conservative Income Fund⁽³⁾			Real Return Fund			Dynamic Asset Allocation Fund
Investment Income:
Dividends	$	–		$	–		$	10,519
Dividends from Affiliated Investment Company ⁽¹⁾		–			5			–
Interest Income		108			1,366			–
Security Lending Income — net ⁽¹⁾⁽²⁾		–			–			–
Less: Foreign Taxes Withheld		–			–			–
Total Investment Income		108			1,371			10,519
Expenses:
Administration Fees		38			909			1,443
Shareholder Servicing Fees Class A		32			691			1,083
Investment Advisory Fees		19			667			2,886
Trustees’ Fees		–			5			7
Chief Compliance Officer Fees		–			2			3
Registration Fees		3			10			33
Printing Fees		2			39			79
Professional Fees		2			18			28
Custodian/Wire Agent Fees		1			15			24
Dividend Expense on Securities Sold Short		–			–			–
Proxy Fees		–			60			83
Interest Expense		–			–			–
Other Expenses		2			6			13
Total Expenses		99			2,422			5,682
Less:
Waiver of Investment Advisory Fees		–			(303	)		(2,104	)
Waiver of Shareholder Servicing Fees Class A		(19	)		(414	)		–
Waiver of Administration Fees		(29	)		(303	)		–
Net Expenses		51			1,402			3,578
Net Investment Income (Loss)		57			(31	)		6,941
Net Realized Gain (Loss) on:
Investments		–			(745	)		(516	)
Securities Sold Short		–			–			–
Futures Contracts		–			–			(2,981	)
Foreign Currency Transactions		–			–			(3,995	)
Purchased and Written Options		–			–			(195	)
Purchased and Written Swaptions		–			–			–
Swap Contracts		–			–			1,437
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(14	)		8,054			44,680
Securities Sold Short		–			–			–
Affiliated Investments		–			–			–
Futures Contracts		–			–			59
Purchased and Written Options		–			–			(109	)
Swap Contracts		–			–			576
Foreign Currency Translation of Other Assets and Liabilities Denominated in Foreign Currencies		–			–			(2,358	)
Net Increase in Net Assets Resulting from Operations	$	43		$	7,278		$	43,539


Multi-Strategy Alternative Fund			Multi-Asset Accumulation Fund			Multi-Asset Income Fund			Multi-Asset Inflation Managed Fund			Multi-Asset Capital Stability Fund			Long/Short Alternative Fund

$	8,348		$	5,562		$	5,015		$	7,176		$	362		$	140
	175			1,218			–			–			–			–
	2,866			8,128			33,375			11,839			3,401			109
	–			–			–			–			–			–
	(65	)		(401	)		(102	)		10			–			–
	11,324			14,507			38,288			19,025			3,763			249

	1,648			6,396			2,021			3,143			1,993			124
	1,370			4,824			1,501			2,400			1,532			–
	8,238			15,990			4,043			5,762			2,658			331
	8			33			10			16			10			1
	3			12			4			6			4			–
	17			49			22			29			22			–
	166			277			88			137			86			5
	32			128			40			61			39			2
	26			76			29			34			40			2
	1,461			–			–			1,586			–			–
	105			321			115			177			108			7
	–			–			20			1,656			–			–
	22			108			189			93			18			4
	13,096			28,214			8,082			15,100			6,510			476

	(6,040	)		(3,418	)		(1,452	)		(1,936	)		(313	)		(96	)
	(20	)		–			(901	)		–			(919	)		–
	(894	)		–			(264	)		(524	)		(1,093	)		–
	6,142			24,796			5,465			12,640			4,185			380
	5,182			(10,289	)		32,823			6,385			(422	)		(131	)

	(3,722	)		729			(3,010	)		(12,000	)		1,209			(9	)
	(4,357	)		–			–			8,534			–			–
	(290	)		144,544			(240	)		(5,288	)		3,030			206
	275			10,203			597			(28	)		1,589			–
	(1,165	)		–			(1,873	)		(338	)		(587	)		–
	–			–			–			–			356			–
	1,030			28,352			(3,517	)		(1,218	)		(326	)		–

	24,156			56,138			23,723			54,961			4,289			103
	(3,102	)		–			–			(41,293	)		–			–
	596			–			–			–			–			–
	9			6,227			698			5,333			269			442
	(29	)		–			(1,471	)		11			406			–
	240			(1,930	)		1,184			(391	)		788			–
	(78	)		(1,282	)		306			(2,228	)		(345	)		–
$	18,745		$	232,692		$	49,220		$	12,440		$	10,256		$	611


	Large Cap Fund⁽¹⁾
	2016			2015
Operations:
Net investment income	$	24,209		$	20,982
Net realized gain (loss) from investments, securities sold short, futures contracts, options, swaptions and swap contracts		(40,384	)		383,661
Net realized (Loss) on foreign currency transactions		–			–
Net change in unrealized appreciation (depreciation) on investments, securities sold short, futures contracts, options and swap contracts		252,691			(452,335	)
Net Increase (Decrease) in Net Assets Resulting from Operations		236,516			(47,692	)
Dividends and Distributions to Shareholders:
Net investment income:
Class A		(22,122	)		(16,450	)
Class E		N/A			N/A
Class I		N/A			N/A
Class T		N/A			N/A
Class Y		(2,019	)		(1,174	)
Net capital gains:
Class A		(369,451	)		(207,875	)
Class E		N/A			N/A
Class I		N/A			N/A
Class T		N/A			N/A
Class Y		(25,458	)		–
Total Dividends and Distributions		(419,050	)		(225,499	)
Capital Share Transactions:⁽³⁾
Class A:
Proceeds from shares issued		572,117			782,487
Reinvestment of dividends & distributions		355,095			203,519
Cost of shares redeemed		(1,000,085	)		(818,271	)
Net increase (decrease) from Class A transactions		(72,873	)		167,735
Class E:
Proceeds from shares issued		N/A			N/A
Reinvestment of dividends & distributions		N/A			N/A
Cost of shares redeemed		N/A			N/A
Net increase (decrease) from Class E transactions		N/A			N/A
Class I:
Proceeds from shares issued		N/A			N/A
Reinvestment of dividends & distributions		N/A			N/A
Cost of shares redeemed		N/A			N/A
Net increase (decrease) from Class I transactions		N/A			N/A
Class T:
Proceeds from shares issued		N/A			N/A
Reinvestment of dividends & distributions		N/A			N/A
Cost of shares redeemed		N/A			N/A
Net increase (decrease) from Class T transactions		N/A			N/A
Class Y:
Proceeds from shares issued		35,851			243,048
Reinvestment of dividends & distributions		27,475			1,174
Cost of shares redeemed		(45,385	)		(80,970	)
Net increase (decrease) from Class Y transactions		17,941			163,252
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(54,932	)		330,987
Net Increase (Decrease) in Net Assets		(237,466	)		57,796
Net Assets
Beginning of year or period		2,639,740			2,581,944
End of year or period	$	2,402,274		$	2,639,740
Undistributed Net Investment Income Included in Net Assets at Year or Period End	$	5,051		$	4,590


Large Cap Value Fund⁽²⁾						Large Cap Growth Fund⁽²⁾						Tax-Managed Large Cap Fund⁽¹⁾⁽³⁾						S&P 500 Index Fund⁽²⁾
2016			2015			2016			2015			2016			2015			2016			2015

$	20,665		$	19,388		$	932		$	3,767		$	33,081		$	23,526		$	11,509		$	16,255
	(38,340	)		171,067			(70,590	)		250,177			(23,600	)		114,462			22,525			1,258,319	^@
	–			–			–			–			(1	)		–			–			–
	146,991			(271,656	)		203,284			(203,071	)		297,817			(213,359	)		56,121			(1,199,416	)
	129,316			(81,201	)		133,626			50,873			307,297			(75,371	)		90,155			75,158


	(18,523	)		(14,922	)		(440	)		(2,496	)		(30,096	)		(20,052	)		(6,553	)		(6,880	)
	N/A			N/A			N/A			N/A			N/A			N/A			(4,549	)		(17,505	)
	(79	)		(69	)		–			(4	)		N/A			N/A			(110	)		(113	)
	N/A			N/A			N/A			N/A			–			(1	)		N/A			N/A
	(195	)		–			(18	)		–			(1,885	)		(704	)		(9	)		–

	(170,943	)		(100,168	)		(247,678	)		(116,418	)		–			–			(563	)		(35,643	)
	N/A			N/A			N/A			N/A			N/A			N/A			(352	)		(103,471	)
	(838	)		(623	)		(854	)		(538	)		N/A			N/A			(10	)		(692	)
	N/A			N/A			N/A			N/A			–			–			N/A			N/A
	(3	)		–			(3	)		–			–			–			–			–
	(190,581	)		(115,782	)		(248,993	)		(119,456	)		(31,981	)		(20,757	)		(12,146	)		(164,304	)


	175,232			172,834			213,121			175,310			678,227			695,876			105,268			108,597
	178,150			108,520			234,095			112,489			27,092			17,867			6,660			40,147
	(289,549	)		(312,977	)		(351,098	)		(327,559	)		(609,417	)		(642,867	)		(158,094	)		(112,883	)
	63,833			(31,623	)		96,118			(39,760	)		95,902			70,876			(46,166	)		35,861

	N/A			N/A			N/A			N/A			N/A			N/A			33,726			41,342
	N/A			N/A			N/A			N/A			N/A			N/A			4,442			119,019
	N/A			N/A			N/A			N/A			N/A			N/A			(33,888	)		(1,943,969)⁽⁴	⁾
	N/A			N/A			N/A			N/A			N/A			N/A			4,280			(1,783,608	)

	1,924			1,079			1,555			1,138			N/A			N/A			5,253			2,602
	731			583			627			428			N/A			N/A			71			487
	(3,668	)		(2,545	)		(2,584	)		(2,987	)		N/A			N/A			(7,598	)		(2,435	)
	(1,013	)		(883	)		(402	)		(1,421	)		N/A			N/A			(2,274	)		654

	N/A			N/A			N/A			N/A			N/A			–			N/A			N/A
	N/A			N/A			N/A			N/A			N/A			1			N/A			N/A
	N/A			N/A			N/A			N/A			N/A			(498	)		N/A			N/A
	N/A			N/A			N/A			N/A			N/A			(497	)		N/A			N/A

	19,939			–			19,291			–			69,611			153,508			1,046			–
	195			–			18			–			1,857			704			9			–
	(1,001	)		–			(942	)		–			(20,114	)		(16,000	)		(411	)		–
	19,133			–			18,367			–			51,354			138,212			644			–
	81,953			(32,506	)		114,083			(41,181	)		147,256			208,591			(43,516	)		(1,747,093	)
	20,688			(229,489	)		(1,284	)		(109,764	)		422,572			112,463			34,493			(1,836,239	)

	1,307,510			1,536,999			1,448,204			1,557,968			3,202,774			3,090,311			636,479			2,472,718
$	1,328,198		$	1,307,510		$	1,446,920		$	1,448,204		$	3,625,346		$	3,202,774		$	670,972		$	636,479
$	9,711		$	7,694		$	1,233		$	–		$	6,797		$	5,846		$	2,548		$	2,196



	Small Cap Fund⁽¹⁾						Small Cap Value Fund⁽²⁾						Small Cap Growth Fund⁽²⁾
	2016			2015			2016			2015			2016			2015
Operations:
Net investment Income (Loss)	$	245		$	(520	)	$	2,358		$	2,129		$	(966	)	$	(1,716	)
Net realized gain (loss) from investments, securities sold short, futures contracts, options, swaptions and swap contracts		(4,935	)		52,132			(4,387	)		20,141			(9,414	)		60,950
Net realized Gain (Loss) on foreign currency transactions		—			—			—			—			—			—
Net change in unrealized appreciation (depreciation) on investments, securities sold short, futures contracts, options and swap contracts		47,891			(55,301	)		39,715			(23,946	)		35,793			(49,856	)
Net change in unrealized appreciation (depreciation) on foreign currency transactions		—			—			—			—			—			—
Net Increase (Decrease) in Net Assets Resulting from Operations		43,201			(3,689	)		37,686			(1,676	)		25,413			9,378
Dividends and Distributions to Shareholders:
Net investment income:
Class A		(81	)		—			(2,620	)		(2,503	)		—			—
Class I		N/A			N/A			(17	)		(18	)		—			—
Class Y		(30	)		—			(26	)		—			—			—
Net capital gains:
Class A		(53,729	)		(40,220	)		(23,148	)		(29,816	)		—			—
Class I		N/A			N/A			(176	)		(337	)		—			—
Class Y		(3,378	)		—			(1	)		—			—			—
Total Dividends and Distributions		(57,218	)		(40,220	)		(25,988	)		(32,674	)		—			—
Capital Share Transactions:⁽⁴⁾
Class A:
Proceeds from shares issued		152,199			165,162			91,045			49,533			37,779			47,183
Reinvestment of dividends & distributions		47,634			35,322			24,137			29,963			N/A			N/A
Cost of shares redeemed		(130,137	)		(146,610	)		(108,797	)		(74,752	)		(74,997	)		(67,002	)
Net increase (decrease) from Class A transactions		69,696			53,874			6,385			4,744			(37,218	)		(19,819	)
Class I:
Proceeds from shares issued		N/A			N/A			1,365			797			1,127			951
Reinvestment of dividends & distributions		N/A			N/A			164			317			—			—
Cost of shares redeemed		N/A			N/A			(2,458	)		(1,185	)		(1,807	)		(1,200	)
Net increase (decrease) from Class I transactions		N/A			N/A			(929	)		(71	)		(680	)		(249	)
Class Y:
Proceeds from shares issued		13,098			40,512			6,260			—			6,390			—
Reinvestment of dividends & distributions		3,408			—			26			—			—			—
Cost of shares redeemed		(11,825	)		(5,704	)		(305	)		—			(296	)		—
Net increase (decrease) from Class Y transactions		4,681			34,808			5,981			—			6,094			—
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		74,377			88,682			11,437			4,673			(31,804	)		(20,068	)
Net Increase (Decrease) in Net Assets		60,360			44,773			23,135			(29,677	)		(6,391	)		(10,690	)
Net Assets
Beginning of year or period		528,055			483,282			349,330			379,007			328,127			338,817
End of year or period	$	588,415		$	528,055		$	372,465		$	349,330		$	321,736		$	328,127
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year or Period End	$	416		$	(29	)	$	1,105		$	750		$	(901	)	$	(1,334	)


Tax-Managed Small/Mid Cap Fund⁽¹⁾						Mid-Cap Fund⁽²⁾						U.S. Managed Volatility Fund⁽¹⁾						Global Managed Volatility Fund⁽¹⁾						Tax-Managed Managed Volatility Fund⁽³⁾
2016			2015			2016			2015			2016			2015			2016			2015			2016			2015

$	2,358		$	813		$	1,045		$	593		$	24,083		$	19,059		$	29,649		$	35,558		$	16,234		$	12,159

	(1,434	)		(2,210	)		(12	)		15,211			46,522			78,952			28,510	^†		31,072			13,937			41,085
	—			—			—			—			66			(64	)		880			111,849			(21	)		(36	)

	51,653			2,088			9,570			(15,787	)		97,201			(60,314	)		163,880			(68,468	)		90,442			(9,817	)
	—			—			—			—			10			2			(2,264	)		(5,649	)		(7	)		8
	52,577			691			10,603			17			167,882			37,635			220,655			104,362			120,585			43,399


	(1,942	)		(492	)		(1,316	)		(229	)		(16,243	)		(14,740	)		(121,131	)		(96,403	)		(15,355	)		(11,964	)
	N/A			N/A			(11	)		(1	)		(22	)		(20	)		(66	)		(54	)		N/A			N/A
	(205	)		(24	)		(3	)		—			(7,953	)		(3,149	)		(4,789	)		—			(291	)		—

	—			(6,161	)		(14,310	)		(8,477	)		(49,368	)		(109,056	)		(30,756	)		(108,330	)		(37,938	)		(50,428	)
	N/A			N/A			(133	)		(74	)		(78	)		(175	)		(17	)		(69	)		N/A			N/A
	—			—			(3	)		—			(19,030	)		—			(1,174	)		—			(8	)		—
	(2,147	)		(6,677	)		(15,776	)		(8,781	)		(92,694	)		(127,140	)		(157,933	)		(204,856	)		(53,592	)		(62,392	)


	140,278			146,045			45,846			56,163			485,649			346,255			686,309			849,169			422,637			299,438
	1,729			5,876			13,666			7,637			57,534			108,070			142,990			190,920			45,387			52,717
	(134,198	)		(130,722	)		(60,453	)		(54,886	)		(422,085	)		(420,910	)		(1,499,613	) *		(504,130	)		(269,936	)		(197,877	)
	7,809			21,199			(941	)		8,914			121,098			33,415			(670,314	)		535,959			198,088			154,278

	N/A			N/A			104			216			555			1,200			1,745			356			N/A			N/A
	N/A			N/A			144			75			100			196			83			123			N/A			N/A
	N/A			N/A			(229	)		(484	)		(298	)		(1,046	)		(511	)		(146	)		N/A			N/A
	N/A			N/A			19			(193	)		357			350			1,317			333			N/A			N/A

	20,131			33,638			517			—			183,651			473,581			60,214			106,183			36,398			320
	201			24			2			—			26,906			3,139			5,963			—			250			—
	(5,900	)		(4,248	)		(100	)		—			(144,982	)		(70,875	)		(66,830	)		(12,258	)		(3,583	)		—
	14,432			29,414			419			—			65,575			405,845			(653	)		93,925			33,065			320
	22,241			50,613			(503	)		8,721			187,030			439,610			(669,650	)		630,217			231,153			154,598
	72,671			44,627			(5,676	)		(43	)		262,218			350,105			(606,928	)		529,723			298,146			135,605

	617,802			573,175			94,806			94,849			1,352,950			1,002,845			2,330,599			1,800,876			901,349			765,744
$	690,473		$	617,802		$	89,130		$	94,806		$	1,615,168		$	1,352,950		$	1,723,671		$	2,330,599		$	1,199,495		$	901,349

$	1,093		$	148		$	46		$	401		$	5,726		$	5,368		$	21,778		$	114,930		$	3,919		$	3,095


	Real Estate Fund⁽¹⁾						Enhanced Income Fund⁽¹⁾						Core Fixed Income Fund⁽²⁾
	2016			2015			2016			2015			2016			2015
Operations:
Net investment Income (Loss)	$	3,204		$	1,079		$	3,995		$	4,023		$	48,193		$	48,651
Net realized gain (loss) from investments, securities sold short, futures contracts, options, swaptions and swap contracts		22,656			13,008			(892	)		(520	)		31,083			30,840
Net realized Gain (Loss) on foreign currency transactions		–			–			–			–			(2,737	)		2,242
Net change in unrealized appreciation (depreciation) on investments, securities sold short, futures contracts, options and swap contracts		6,545			10,977			1,978			(3,013	)		38,869			(31,800	)
Net change in unrealized appreciation (depreciation) on foreign currency transactions		–			–			–			–			388			(2,305	)
Net Increase (Decrease) in Net Assets Resulting from Operations		32,405			25,064			5,081			490			115,796			47,628
Dividends and Distributions to Shareholders:
Net investment income:
Class A		(1,492	)		(3,342	)		(4,041	)		(3,921	)		(47,320	)		(48,772	)
Class I		(5	)		(8	)		(4	)		(6	)		(196	)		(215	)
Class Y		(289	)		(147	)		(333	)		(366	)		(1,281	)		(99	)
Net capital gains:
Class A		(13,478	)		(9,691	)		–			–			(22,282	)		–
Class I		(50	)		(29	)		–			–			(88	)		–
Class Y		(2,072	)		(355	)		–			–			(251	)		–
Total Dividends and Distributions		(17,386	)		(13,572	)		(4,378	)		(4,293	)		(71,418	)		(49,086	)
Capital Share Transactions:⁽⁴⁾
Class A:
Proceeds from shares issued		53,758			57,178			64,014			79,695			370,267			378,385
Reinvestment of dividends & distributions		13,986			12,341			3,328			3,219			62,831			44,243
Cost of shares redeemed		(98,481	)		(116,047	)		(77,456	)		(119,541	)		(473,871	)		(394,000	)
Net increase (decrease) from Class A transactions		(30,737	)		(46,528	)		(10,114	)		(36,627	)		(40,773	)		28,628
Class I:
Proceeds from shares issued		51			53			56			67			7,030			5,064
Reinvestment of dividends & distributions		55			38			5			6			181			147
Cost of shares redeemed		(224	)		(23	)		(38	)		(213	)		(10,645	)		(3,212	)
Net increase (decrease) from Class I transactions		(118	)		68			23			(140	)		(3,434	)		1,999
Class Y:
Proceeds from shares issued		20,904			24,117			9,533			34,988			48,188			23,516
Reinvestment of dividends & distributions		2,288			502			325			366			1,528			99
Cost of shares redeemed		(8,223	)		(4,766	)		(3,986	)		(23,930	)		(3,615	)		(470	)
Net increase (decrease) from Class Y transactions		14,969			19,853			5,872			11,424			46,101			23,145
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(15,886	)		(26,607	)		(4,219	)		(25,343	)		1,894			53,772
Net Increase (Decrease) in Net Assets		(867	)		(15,115	)		(3,516	)		(29,146	)		46,272			52,314
Net Assets
Beginning of year or period		212,287			227,402			202,140			231,286			2,104,070			2,051,756
End of year or period	$	211,420		$	212,287		$	198,624		$	202,140		$	2,150,342		$	2,104,070
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year or Period End	$	2,193		$	88		$	974		$	1,128		$	(3,948	)	$	(1,148	)


U.S. Fixed Income Fund⁽¹⁾						High Yield Bond Fund⁽¹⁾						Conservative Income Fund⁽³⁾		Tax-Free Conservative Income Fund⁽³⁾		Real Return Fund⁽¹⁾
2016			2015			2016			2015			2016		2016		2016			2015

$	22,667		$	22,338		$	108,548		$	99,796		$	117	$	57	$	(31	)	$	(2,742)
	23,992			12,791			(52,524	)		(17,997	)		1		–		(745	)		(742)
	72			(2	)		–			–			–		–		–			–
	13,681			(5,940	)		128,300			(139,096	)		5		(14)		8,054			(1,056)
	(111	)		(48	)		–			–			–		–		–			–
	60,301			29,139			184,324			(57,297	)		123		43		7,278			(4,540)


	(21,692	)		(21,502	)		(97,388	)		(91,740	)		(82)		(35)		–			(344)
	N/A			N/A			(303	)		(373	)		N/A		N/A		N/A			N/A
	(1,995	)		(1,561	)		(11,336	)		(6,435	)		(35)		(22)		–			–

	(11,458	)		(1,985	)		(20,752	)		(9,791	)		–		–		–			–
	N/A			N/A			(14	)		(21	)		N/A		N/A		N/A			N/A
	(904	)		–			(1,965	)		–			–		–		–			–
	(36,049	)		(25,048	)		(131,758	)		(108,360	)		(117)		(57)		–			(344)


	341,832			325,292			557,107			585,697			79,708		34,618		101,105			90,001
	27,978			20,101			104,534			89,537			2		N/A		–			294
	(300,552	)		(335,149	)		(516,086	)		(677,590	)		(4,704)		(3,662)		(80,211	)		(106,478)
	69,258			10,244			145,555			(2,356	)		75,006		30,956		20,894			(16,183)

	N/A			N/A			17,111			30,476			N/A		N/A		N/A			N/A
	N/A			N/A			257			351			N/A		N/A		N/A			N/A
	N/A			N/A			(17,757	)		(32,994	)		N/A		N/A		N/A			N/A
	N/A			N/A			(389	)		(2,167	)		N/A		N/A		N/A			N/A

	28,070			101,947			73,327			168,948			33,606		13,904		11,568			29,060
	2,884			1,581			13,277			6,525			34		22		–			–
	(24,672	)		(13,741	)		(39,455	)		(23,450	)		(16,845)		–		(8,938	)		(3,524)
	6,282			89,787			47,149			152,023			16,795		13,926		2,630			25,536
	75,540			100,031			192,315			147,500			91,801		44,882		23,524			9,353
	99,792			104,122			244,881			(18,157	)		91,807		44,868		30,802			4,469

	1,202,602			1,098,480			1,693,119			1,711,276			–		–		289,413			284,944
$	1,302,394		$	1,202,602		$	1,938,000		$	1,693,119		$	91,807	$	44,868	$	320,215		$	289,413
$	165		$	172		$	16,847		$	17,465		$	–	$	–	$	(336	)	$	(1,766)


	Dynamic Asset Allocation Fund⁽¹⁾						Multi-Strategy Alternative Fund⁽²⁾						Multi-Asset Accumulation Fund⁽³⁾
	2016			2015			2016			2015			2016			2015
Operations:
Net investment Income (Loss)	$	6,941		$	209		$	5,182		$	8,025		$	(10,289	)	$	(17,632	)
Net realized gain (loss) from investments, securities sold short, futures contracts, options, swaptions and swap contracts		(2,255	)		(742	)		(8,504	)		10,930			173,625			(81,069	)
Net realized Gain (Loss) on foreign currency transactions		(3,995	)		4			275			–			10,203			(8,451	)
Net change in unrealized appreciation (depreciation) on investments, securities sold short, futures contracts, options and swap contracts		45,206			(6,250	)		21,870			(35,082	)		60,435			14,046
Net change in unrealized appreciation (depreciation) on foreign currency transactions		(2,358	)		61			(78	)		–			(1,282	)		1,263
Net Increase (Decrease) in Net Assets Resulting from Operations		43,539			(6,718	)		18,745			(16,127	)		232,692			(91,843	)
Dividends and Distributions to Shareholders:
Net investment income:
Class A		(1,545	)		–			(8,678	)		(8,032	)		–			(21,898	)
Class Y		(203	)		–			–	*		–			–			–
Net capital gains:
Class A		–			–			(5,493	)		–			(52,441	)		(155,829	)
Class Y		–			–			–	*		–			(5,687	)		–
Total Dividends and Distributions		(1,748	)		–			(14,171	)		(8,032	)		(58,128	)		(177,727	)
Capital Share Transactions:⁽⁵⁾
Class A:
Proceeds from shares issued		528,103			24,838			171,102			165,330			552,145			668,657
Reinvestment of dividends & distributions		1,436			–			12,521			7,058			48,391			161,925
Cost of shares redeemed		(98,390	)		(1,318	)		(142,145	)		(118,528	)		(486,245	)		(636,334	)
Net increase (decrease) from Class A transactions		431,149			23,520			41,478			53,860			114,291			194,248
Class Y:
Proceeds from shares issued		6,305			54,351			4,953			20			27,220			233,302
Reinvestment of dividends & distributions		202			–			–			–			5,687			–
Cost of shares redeemed		(11,889	)		(1,410	)		(3,712	)		–			(48,587	)		(17,896	)
Net increase (decrease) from Class Y transactions		(5,382	)		52,941			1,241			20			(15,680	)		215,406
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		425,767			76,461			42,719			53,880			98,611			409,654
Net Increase in Net Assets		467,558			69,743			47,293			29,721			273,175			140,084
Net Assets
Beginning of year or period		69,743			–			527,811			498,090			2,005,930			1,865,846
End of year or period	$	537,301		$	69,743		$	575,104		$	527,811		$	2,279,105		$	2,005,930
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Year or Period End	$	1,461		$	214		$	415		$	2,934		$	(17,755	)	$	(16,059	)


Multi-Asset Income Fund⁽³⁾						Multi-Asset Inflation Managed Fund⁽³⁾						Multi-Asset Capital Stability Fund⁽³⁾						Long/Short Alternative Fund⁽²⁾⁽⁴⁾
2016			2015			2016			2015			2016			2015			2016			2015

$	32,823		$	30,610		$	6,385		$	(17	)	$	(422	)	$	(2,202	)	$	(131	)	$	(266	)

	(8,640	)		1,276			(10,310	)		(85,398	)		3,682			7,875			197			(665	)
	597			4,342			(28	)		2,781			1,589			1,638			–			–

	24,134			(17,363	)		18,621			15,262			5,752			(4,834	)		545			(601	)

	306			(626	)		(2,228	)		(234	)		(345	)		25			–			–
	49,220			18,239			12,440			(67,606	)		10,256			2,502			611			(1,532	)


	(31,119	)		(23,778	)		(4,527	)		–			–			(254	)		–			–
	(3,724	)		(1,166	)		(590	)		–			–			–			–			–

	(6,367	)		(2,779	)		–			–			(6,779	)		(10,427	)		–			–
	(332	)		–			–			–			(583	)		–			–			–
	(41,542	)		(27,723	)		(5,117	)		–			(7,362	)		(10,681	)		–			–


	216,121			225,257			313,191			333,123			252,346			209,534			–			36,289
	30,116			21,766			3,967			–			5,291			8,724			–			–
	(222,050	)		(162,300	)		(256,694	)		(267,036	)		(167,823	)		(185,686	)		–			(36,631	)
	24,187			84,723			60,464			66,087			89,814			32,572			–			(342	)

	69,963			37,444			21,292			94,894			12,540			57,966			–			43,057
	4,001			1,166			590			–			583			–			–			–
	(12,892	)		(4,870	)		(16,773	)		(9,620	)		(12,521	)		(7,590	)		–			–
	61,072			33,740			5,109			85,274			602			50,376			–			43,057

	85,259			118,463			65,573			151,361			90,416			82,948			–			42,715
	92,937			108,979			72,896			83,755			93,310			74,769			611			41,183

	648,483			539,504			1,007,296			923,541			616,371			541,602			41,183			–
$	741,420		$	648,483		$	1,080,192		$	1,007,296		$	709,681		$	616,371		$	41,794		$	41,183

$	(823	)	$	5,120		$	(1,933	)	$	(4,507	)	$	1,249		$	(235	)	$	(83	)	$	(266	)


	Multi-Asset Inflation Managed Fund
Cash Flows from Operating Activities:
Net Increase in net assets from operations	$	12,440
Adjustments to reconcile net increase in net assets resulting from operations to net cash used in operating activities:
Purchase of Investment Securities		(1,196,714	)
Proceeds from disposition of investment securities		1,217,235
Proceeds from securities sold short		264,483
Purchases to cover securities sold short		(295,924	)
Purchased options/purchases to cover written options		(228	)
Proceeds from sale of options/expired options		36
Amortization (accretion of market discount)		(368	)
Net Realized Loss on:
Investments and securities sold short		3,466
Options		338
Net Change in Unrealized (Appreciation) Depreciation on:
Investments and securities sold short		(13,668	)
Options		(11	)
Changes in Assets:
Cash collateral on swaps		(548	)
Cash collateral on futures		456
Foreign currency, at value		39
Receivable for investment securities sold		(7,130	)
Dividends and interest receivable		(345	)
Unrealized gain on foreign currency contracts		214
Unrealized gain of foreign spot currency contracts		9
OTC swap contracts, at value		257
Receivable for variation margin		254
Foreign tax reclaim receivable		(2	)
Prepaid expenses		(10	)
Changes in Liabilities:
Administration fees payable		14
Shareholder servicing fees payable, Class A		13
Payable for investment securities purchased		7,133
OTC swap contracts, at value		915
Payable for variation margin		(783	)
Investment advisory fees payable		(9	)
Unrealized loss on forward foreign currency contracts		1,771
Unrealized loss on foreign currency spot contracts		5
Interest payable		15
Due to broker		1,930
Accrued expenses payable		(20	)
Net Cash Used in Operating Activities		(4,737	)
Cash Flows from Financing Activities
Reverse repurchase agreements		(21,967	)
Dividends and distributions		(5,117	)
Proceeds from shares issued		335,421
Reinvestment of dividends and distributions		4,557
Cost of shares redeemed		(273,680	)
Net Cash Provided by Financing Activities		39,214
Net Change in Cash		34,477
Cash at Beginning of Year	$	148,268
Cash at End of Year	$	182,745