SEI Institutional Managed Trust

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.

LOGO


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


COMMON STOCK — 94.3%

Consumer Discretionary — 12.4%
Amazon.com, Cl A*		1.1	%		28,263	$	25,056
Dollar General		0.9			308,946		21,543
General Motors		0.7			484,804		17,143
Home Depot		0.6			99,393		14,594
Lear		0.6			94,223		13,340
Lowe’s		1.2			344,579		28,328
Nike, Cl B		0.9			387,182		21,578
TJX		1.0			307,346		24,305
Other Securities		5.4					123,338

							289,225


Consumer Staples — 7.9%
CVS Health		1.3			385,359		30,251
JM Smucker		0.6			111,999		14,681
Kroger		0.6			463,813		13,678
Wal-Mart Stores		0.7			218,181		15,726
Other Securities (A)		4.7					110,742

							185,078


Energy — 4.8%
Other Securities (A)		4.8					113,242


Financials — 16.4%
Aflac		0.7			237,030		17,166
Allstate		0.7			207,732		16,928
Bank of America		0.8			839,072		19,794
Berkshire Hathaway, Cl B*		0.7			95,167		15,862
Citigroup		1.1			427,385		25,566
JPMorgan Chase		1.1			285,284		25,059
Moody’s		0.8			173,656		19,456
State Street		0.6			171,397		13,645
SunTrust Banks		0.6			247,259		13,673
Travelers		0.7			137,264		16,546
Other Securities‡ (A) (B)		8.6					200,655

							384,350


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


COMMON STOCK(continued)

Health Care — 15.5%
Amgen, Cl A		0.6	%		86,920	$	14,261
Becton Dickinson		1.8			224,138		41,116
Biogen*		1.1			98,305		26,878
Gilead Sciences		0.6			219,826		14,931
Johnson & Johnson		2.2			405,377		50,490
Mettler Toledo International*		1.0			47,126		22,569
Pfizer		0.6			417,434		14,280
UnitedHealth Group		2.4			340,674		55,874
Other Securities		5.2					122,868

							363,267


Industrials — 9.5%
3M		1.2			143,159		27,391
Delta Air Lines, Cl A		0.9			461,272		21,200
Graco		0.6			150,604		14,178
Other Securities (A)		6.8					158,961

							221,730


Information Technology — 18.7%
Alphabet, Cl A*		1.2			33,402		28,318
Alphabet, Cl C*		0.4			11,792		9,782
Apple		0.8			131,653		18,913
Applied Materials		0.9			511,790		19,909
Cisco Systems		0.8			539,163		18,224
Facebook, Cl A*		0.7			113,750		16,158
HP		0.6			746,230		13,343
Intel		0.8			514,638		18,563
International Business Machines		0.6			78,683		13,702
Intuit		0.6			123,143		14,283
MasterCard, Cl A		0.8			174,423		19,617
Microsoft		1.6			563,040		37,082
Qualcomm		0.6			253,021		14,508
Visa, Cl A		1.0			263,388		23,407
Other Securities (A)		7.3					170,577

							436,386


Materials — 4.9%
Eastman Chemical		0.7			193,748		15,655
LyondellBasell Industries, Cl A		0.6			148,123		13,507
Sherwin-Williams, Cl A		1.3			97,419		30,218
Other Securities		2.3					55,077

							114,457


Real Estate — 1.6%
Other Securities‡ (A)		1.6					37,897


Telecommunication Services — 0.9%
Verizon Communications		0.9			414,110		20,188


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


COMMON STOCK (continued)

Utilities — 1.7%
Other Securities		1.7	%			$	40,404

Total Common Stock (Cost $1,752,963) ($ Thousands)							2,206,224


AFFILIATED PARTNERSHIP — 0.4%
SEI Liquidity Fund, L.P.
0.870%**† (C)		0.4			10,441,084		10,441

Total Affiliated Partnership (Cost $10,431) ($ Thousands)							10,441


CASH EQUIVALENT — 5.7%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		5.7			133,918,973		133,919

Total Cash Equivalent (Cost $133,919) ($ Thousands)							133,919

Total Investments — 100.4% (Cost $1,897,313)($ Thousands)						$	2,350,584

A list of the open futures contracts held by the Fund at March 31, 2017 is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		32		Jun-2017	$	33
S&P Mid Cap 400 Index E-MINI		2		Jun-2017		6

					$	39

Percentages are based on a Net Assets of $2,340,557 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017, was $10,190 ($ Thousands).

(B)

Security is a Master Limited Partnership. At March 31, 2017, such securities amounted to $7,062 ($ Thousands), or 0.30% 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 March 31, 2017 was $10,441 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

S&P — Standard & 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 March 31, 2017, 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	$	2,206,224	$	—	$	—	$	2,206,224
Affiliated Partnership		—		10,441		—		10,441
Cash Equivalent		133,919		—		—		133,919

Total Investments in Securities	$	2,340,143	$	10,441	$	—	$	2,350,584


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	39	$	—	$	—	$	39

Total Other Financial Instruments	$	39	$	—	$	—	$	39

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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


COMMON STOCK — 94.7%

Consumer Discretionary — 9.7%
Dollar General		0.7	%		139,112	$	9,700
General Motors		1.3			508,462		17,979
Lowe’s		0.9			153,153		12,591
Norwegian Cruise Line Holdings*		0.8			224,074		11,367
Omnicom Group		1.0			161,348		13,910
Other Securities (A)		5.0					68,811

							134,358


Consumer Staples — 8.3%
CVS Health		1.7			299,247		23,491
JM Smucker		1.3			132,332		17,346
Kroger		0.7			346,174		10,209
Philip Morris International		1.2			147,564		16,660
Reynolds American		0.8			182,206		11,483
Other Securities		2.6					35,822

							115,011


Energy — 9.5%
BP ADR		0.9			378,113		13,052
Chevron		1.3			164,816		17,696
ExxonMobil		0.9			146,681		12,029
Occidental Petroleum		1.1			235,634		14,930
Valero Energy		0.7			148,387		9,837
Other Securities (A)		4.6					64,354

							131,898


Financials — 22.8%
Aflac		1.1			210,468		15,242
Allstate		0.9			148,345		12,089
Bank of America		2.4			1,414,804		33,375
Citigroup		2.0			469,349		28,076
Discover Financial Services		0.7			148,304		10,142
JPMorgan Chase		2.5			388,370		34,114
MetLife		1.3			339,161		17,914
State Street		1.2			216,328		17,222
SunTrust Banks		0.9			220,296		12,182
Synchrony Financial		0.7			284,307		9,752


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


COMMON STOCK (continued)
Voya Financial		0.9	%		345,475	$	13,114
Other Securities‡ (B)		8.2					113,978

							317,200


Health Care — 13.8%
Abbott Laboratories		0.8			259,647		11,531
Aetna, Cl A		0.8			91,657		11,691
Amgen, Cl A		1.7			140,865		23,112
Anthem		1.0			82,914		13,712
Johnson & Johnson		1.9			210,112		26,169
Merck		0.9			198,524		12,614
Pfizer		1.2			472,266		16,156
Other Securities		5.5					77,206

							192,191


Industrials — 9.0%
Delta Air Lines, Cl A		1.1			329,176		15,129
Eaton		0.8			141,548		10,496
Illinois Tool Works		0.8			87,772		11,627
WW Grainger (A)		0.8			45,832		10,668
Other Securities (A)		5.5					76,855

							124,775


Information Technology — 11.2%
Applied Materials		0.7			258,833		10,069
Automatic Data Processing		0.9			118,314		12,114
Cisco Systems		1.3			528,718		17,871
Hewlett Packard Enterprise		1.1			658,594		15,609
Intel		0.7			273,499		9,865
Microchip Technology (A)		0.8			141,564		10,445
Qualcomm		0.8			191,311		10,970
Skyworks Solutions		0.7			103,343		10,125
Other Securities (A)		4.2					58,262

							155,330


Materials — 4.4%
Eastman Chemical		0.8			146,559		11,842
International Paper		1.0			264,266		13,420
LyondellBasell Industries, Cl A		0.7			106,570		9,718
Other Securities		1.9					26,479

							61,459


Real Estate — 1.4%
Other Securities‡		1.4					20,141


Telecommunication Services — 1.5%
Verizon Communications		0.9			243,135		11,853
Other Securities		0.6					8,344

							20,197


Utilities — 3.1%
FirstEnergy		0.7			331,180		10,538
Other Securities		2.4					32,055

							42,593

Total Common Stock (Cost $1,038,814) ($ Thousands)							1,315,153


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


AFFILIATED PARTNERSHIP — 2.1%
SEI Liquidity Fund, L.P. 0.870%**† (C)		2.1	%		28,891,414	$	28,890

Total Affiliated Partnership (Cost $28,891) ($ Thousands)							28,890


CASH EQUIVALENT — 5.5%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		5.5			76,059,351		76,059

Total Cash Equivalent (Cost $76,059) ($ Thousands)							76,059

Total Investments — 102.3% (Cost $1,143,764)($ Thousands)						$	1,420,102

Percentages are based on a Net Assets of $1,388,247 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017, was $28,205 ($ Thousands).

(B)

Security is a Master Limited Partnership. At March 31, 2017, such securities amounted to $10,182 ($ 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 market value of such securities as of March 31, 2017 was $28,890 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,315,153	$	—	$	—	$	1,315,153
Affiliated Partnership		—		28,890		—		28,890
Cash Equivalent		76,059		—		—		76,059

Total Investments in Securities	$	1,391,212	$	28,890	$	—	$	1,420,102

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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


COMMON STOCK — 97.5%

Consumer Discretionary — 17.7%
Amazon.com, Cl A*		2.9	%		46,452	$	41,182
Autozone*		0.9			16,845		12,180
Home Depot		1.2			112,101		16,460
Lowe’s		1.4			246,892		20,297
NetFlix*		1.0			94,764		14,007
Nike, Cl B		2.2			555,242		30,944
Priceline Group*		1.4			10,811		19,243
TJX		1.7			311,851		24,661
Tractor Supply		0.8			164,061		11,315
Other Securities (A)		4.2					59,882

							250,171


Consumer Staples — 4.7%
Colgate-Palmolive		1.1			209,349		15,322
Constellation Brands, Cl A		1.0			82,655		13,396
PepsiCo		1.6			206,469		23,096
Other Securities		1.0					13,843

							65,657


Energy — 0.5%
Other Securities		0.5					6,522


Financials — 10.7%
Berkshire Hathaway, Cl B*		0.9			73,613		12,270
Citigroup		0.8			174,515		10,439
Moody’s		2.0			250,210		28,033
MSCI, Cl A		1.0			146,922		14,279
US Bancorp		0.8			227,159		11,699
Wells Fargo		1.5			362,802		20,194
Other Securities		3.7					53,557

							150,471


Health Care — 17.4%
Alexion Pharmaceuticals*		0.9			106,365		12,896
Becton Dickinson		2.3			177,785		32,613
Biogen*		1.9			96,641		26,424
Celgene, Cl A*		1.3			151,599		18,863
Johnson & Johnson		1.5			174,678		21,756


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


COMMON STOCK (continued)
Mettler Toledo International*		1.7	%		49,199	$	23,562
Quintiles Transnational*		0.9			166,807		13,433
UnitedHealth Group		3.5			296,815		48,681
Varian Medical Systems*		0.8			125,145		11,404
Other Securities		2.6					35,603

							245,235


Industrials — 8.5%
3M		0.8			61,707		11,806
Equifax		0.9			95,137		13,009
Graco		1.3			189,591		17,848
United Technologies		0.7			93,235		10,462
Other Securities (A)		4.8					66,201

							119,326


Information Technology — 30.8%
Alphabet, Cl A*		2.8			45,781		38,813
Alphabet, Cl C*		1.2			20,792		17,248
Apple		1.5			148,310		21,306
ASML Holding, Cl G		1.0			109,218		14,504
Cognizant Technology Solutions, Cl A*		0.8			196,853		11,717
Electronic Arts*		1.0			159,649		14,292
Facebook, Cl A*		2.0			197,066		27,993
Intuit		0.9			108,893		12,630
MasterCard, Cl A		2.5			313,933		35,308
Microsoft		3.7			784,564		51,671
PayPal Holdings*		0.8			271,180		11,666
Qualcomm		0.7			175,349		10,055
Vantiv, Cl A*		1.0			212,581		13,631
Visa, Cl A		2.4			379,643		33,739
Other Securities		8.5					119,706

							434,279


Materials — 4.5%
Praxair		0.9			101,704		12,062
Sherwin-Williams, Cl A		2.3			103,162		32,000
Other Securities		1.3					20,121

							64,183


Real Estate — 2.7%
Crown Castle International‡		0.7			109,140		10,309
Equinix‡		1.1			38,182		15,287
SBA Communications, Cl A*‡		0.9			100,376		12,082

							37,678

Total Common Stock (Cost $1,061,898) ($ Thousands)							1,373,522


AFFILIATED PARTNERSHIP — 0.6%
SEI Liquidity Fund, L.P. 0.870% **† (B)		0.6			8,772,972		8,772

Total Affiliated Partnership (Cost $8,773) ($ Thousands)							8,772


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


CASH EQUIVALENT — 2.6%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		2.6	%		36,133,195	$	36,133

Total Cash Equivalent (Cost $36,133) ($ Thousands)							36,133

Total Investments — 100.7% (Cost $1,106,804)($ Thousands)						$	1,418,427

Percentages are based on a Net Assets of $1,408,733 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017, was $8,598 ($ 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 March 31, 2017 was $8,772 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

MSCI — Morgan Stanley Capital International

The following is a list of the level of inputs used as of March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,373,522	$	—	$	—	$	1,373,522
Affiliated Partnership		—		8,772		—		8,772
Cash Equivalent		36,133		—		—		36,133

Total Investments in Securities	$	1,409,655	$	8,772	$	—	$	1,418,427

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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


COMMON STOCK — 94.2%

Consumer Discretionary — 13.8%
Amazon.com, Cl A*		1.1	%		43,128	$	38,235
Autozone*		0.6			28,750		20,788
Dollar General		0.9			450,186		31,391
Home Depot		0.5			118,848		17,450
Lowe’s		0.9			372,467		30,621
Nike, Cl B		0.7			445,778		24,843
TJX		0.6			282,625		22,350
Other Securities (A)		8.5					291,606

							477,284


Consumer Staples — 8.2%
CVS Health		1.0			421,911		33,120
Kimberly-Clark		0.5			125,774		16,556
Philip Morris International		0.7			209,277		23,627
Tyson Foods, Cl A		0.5			281,181		17,352
Walgreens Boots Alliance		0.5			219,542		18,233
Other Securities		5.0					176,514

							285,402


Energy — 5.0%
Chevron		0.7			213,036		22,874
Other Securities (A)		4.3					150,124

							172,998


Financials — 15.9%
Bank of America		1.3			1,841,396		43,439
Citigroup		0.7			379,987		22,731
Discover Financial Services		0.5			241,586		16,522
JPMorgan Chase		1.4			549,498		48,268
Moody’s		0.8			251,546		28,183
Wells Fargo		0.7			427,725		23,807
Other Securities (A) (B)		10.5					367,625

							550,575


Health Care — 14.5%
Amgen, Cl A		0.8			167,917		27,550
Becton Dickinson		1.0			192,791		35,366
Biogen*		0.9			118,701		32,455


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


COMMON STOCK (continued)
Celgene, Cl A*		0.9	%		245,980	$	30,607
Johnson & Johnson		1.6			452,116		56,311
Pfizer		0.7			706,138		24,157
UnitedHealth Group		1.8			371,767		60,973
Other Securities (A)		6.8					235,561

							502,980


Industrials — 9.7%
3M		0.9			165,685		31,701
Delta Air Lines, Cl A		0.5			388,636		17,862
Graco		0.5			190,940		17,975
Illinois Tool Works		0.6			158,062		20,939
Raytheon		0.5			120,803		18,422
Other Securities (A)		6.7					227,214

							334,113


Information Technology — 18.3%
Adobe Systems*		0.5			137,412		17,881
Alphabet, Cl A*		0.7			27,622		23,418
Alphabet, Cl C*		0.6			26,751		22,192
Apple		1.3			321,205		46,144
Applied Materials		0.6			507,844		19,755
Cisco Systems		0.5			488,328		16,506
Facebook, Cl A*		0.9			209,203		29,717
Intel		0.6			570,596		20,581
Intuit		0.5			156,005		18,095
MasterCard, Cl A		1.2			372,740		41,922
Microsoft		1.3			660,683		43,513
Qualcomm		0.5			308,957		17,716
Texas Instruments		0.5			211,061		17,003
Visa, Cl A		1.1			425,642		37,827
Other Securities (A)		7.5					262,211

							634,481


Materials — 4.1%
International Paper		0.5			367,473		18,660
Sherwin-Williams, Cl A		0.8			90,944		28,210
Other Securities		2.8					94,149

							141,019


Real Estate — 1.7%
Crown Castle International‡		0.5			198,875		18,784
Equinix‡		0.5			41,936		16,790
Other Securities‡		0.7					24,433

							60,007


Telecommunication Services — 1.0%
Verizon Communications		0.5			350,334		17,079
Other Securities		0.5					16,055

							33,134


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


COMMON STOCK (continued)

Utilities — 2.0%
Other Securities		2.0	%			$	68,849

Total Common Stock (Cost $1,925,155) ($ Thousands)							3,260,842


RIGHTS* — 0.0%
Other Securities		0.0					115

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


AFFILIATED PARTNERSHIP — 1.7%
SEI Liquidity Fund, L.P. 0.870%**† (C)		1.7			57,227,694		57,225

Total Affiliated Partnership (Cost $57,228) ($ Thousands)							57,225


CASH EQUIVALENT — 5.7%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		5.7			198,626,109		198,626

Total Cash Equivalent (Cost $198,626) ($ Thousands)							198,626

Total Investments — 101.6% (Cost $2,181,009)($ Thousands)						$	3,516,808

A list of the open futures contracts held by the Fund at March 31, 2017 is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
S&P 500 Index E-MINI		62		Jun-2017	$	(7	)
S&P Mid Cap 400 Index E-MINI		4		Jun-2017		4

					$	(3	)

For the period ended March 31, 2017, the total amount of all open futures contracts, as presented in the table above, are representative of activity for this derivative type during the year.

Percentages are based on a Net Assets of $3,461,119 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017, was $55,808 ($ Thousands).

(B)

Security is a Master Limited Partnership. At March 31, 2017, such securities amounted to $6,186 ($ Thousands), or 0.18% 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 March 31, 2017 was $57,225 ($ 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 March 31, 2017, 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	$	3,260,842		$	—	$	—	$	3,260,842
Rights		—			115		—		115
Affiliated Partnership		—			57,225		—		57,225
Cash Equivalent		198,626			—		—		198,626

Total Investments in Securities	$	3,459,468		$	57,340	$	–	$	3,516,808


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	4		$	—	$	—	$	4
Unrealized Depreciation		(7	)		—		—		(7	)

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

Future contracts are valued at the unrealized appreciation/(depreciation) on the instrument.

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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


COMMON STOCK — 97.7%

Consumer Discretionary — 12.3%
Amazon.com, Cl A*		1.7	%		14,549	$	12,898
Comcast, Cl A		0.9			173,396		6,518
Home Depot		0.9			44,645		6,555
McDonald’s		0.5			30,017		3,891
Priceline Group*		0.4			1,806		3,215
Starbucks		0.4			53,434		3,120
Walt Disney		0.8			53,253		6,038
Other Securities (A)		6.7					50,875

							93,110


Consumer Staples — 9.1%
Altria Group		0.7			71,073		5,076
Coca-Cola		0.8			141,549		6,007
PepsiCo		0.8			52,215		5,841
Philip Morris International		0.8			56,787		6,411
Procter & Gamble		1.1			93,608		8,411
Wal-Mart Stores		0.5			55,161		3,976
Other Securities		4.4					33,379

							69,101


Energy — 6.4%
Chevron		1.0			69,323		7,443
ExxonMobil		1.6			151,946		12,461
Schlumberger, Cl A		0.5			51,000		3,983
Other Securities (A)		3.3					24,980

							48,867


Financials — 14.0%
Bank of America		1.1			367,245		8,663
Berkshire Hathaway, Cl B*		1.5			69,617		11,604
Citigroup		0.8			101,451		6,069
JPMorgan Chase		1.5			130,900		11,498
Wells Fargo		1.2			164,915		9,179
Other Securities		7.9					59,709

							106,722


Health Care — 13.3%
AbbVie		0.5			58,368		3,803
Amgen, Cl A		0.6			26,929		4,418
Bristol-Myers Squibb		0.4			61,292		3,333


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


COMMON STOCK (continued)
Celgene, Cl A*		0.5	%		28,505	$	3,547
Gilead Sciences		0.4			47,766		3,244
Johnson & Johnson		1.6			99,354		12,375
Medtronic		0.5			50,072		4,034
Merck		0.8			100,574		6,390
Pfizer		1.0			218,056		7,460
UnitedHealth Group		0.8			35,228		5,778
Other Securities (A)		6.2					47,015

							101,397


Industrials — 9.9%
3M		0.5			21,801		4,171
Boeing		0.5			20,841		3,686
General Electric		1.3			319,609		9,524
Honeywell International		0.5			27,851		3,478
Union Pacific		0.4			29,793		3,156
Other Securities (A)		6.7					51,288

							75,303


Information Technology — 21.6%
Alphabet, Cl A*		1.2			10,846		9,195
Alphabet, Cl C*		1.2			10,870		9,017
Apple		3.6			192,182		27,609
Broadcom, Cl A		0.4			14,646		3,207
Cisco Systems		0.8			183,461		6,201
Facebook, Cl A*		1.6			86,309		12,260
Intel		0.8			173,163		6,246
International Business Machines		0.7			31,433		5,474
MasterCard, Cl A		0.5			34,517		3,882
Microsoft		2.5			283,089		18,644
Oracle, Cl B		0.6			109,823		4,899
Visa, Cl A		0.8			68,018		6,045
Other Securities (A)		6.9					51,321

							164,000


Materials — 2.8%
Other Securities		2.8					21,096


Real Estate — 2.9%
Other Securities‡		2.9					21,807


Telecommunication Services — 2.3%
AT&T		1.2			224,959		9,347
Verizon Communications		0.9			149,296		7,278
Other Securities (A)		0.2					1,086

							17,711


Utilities — 3.1%
Other Securities		3.1					23,678

Total Common Stock (Cost $364,200) ($ Thousands)							742,792


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


U.S. TREASURY OBLIGATIONS — 0.1%
Other Securities (B)		0.1	%			$	805

Total U.S. Treasury Obligations (Cost $806) ($ Thousands)							805


AFFILIATED PARTNERSHIP — 0.5%
SEI Liquidity Fund, L.P. 0.870%**† (C)		0.5			3,491,979		3,492

Total Affiliated Partnership (Cost $3,492) ($ Thousands)							3,492


CASH EQUIVALENT — 2.3%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		2.3			17,403,458		17,403

Total Cash Equivalent (Cost $17,403) ($ Thousands)							17,403

Total Investments — 100.6% (Cost $385,901)($ Thousands)						$	764,492

A list of the open futures contracts held by the Fund at March 31, 2017 is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		143		Jun-2017	$	(46	)

Percentages are based on a Net Assets of $760,194 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡

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 March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017, was $3,412 ($ 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 market value of such securities as of March 31, 2017 was $3,492 ($ 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 March 31, 2017, 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	$	742,792		$	—	$	—	$	742,792
U.S. Treasury Obligations		—			805		—		805
Affiliated Partnership		—			3,492		—		3,492
Cash Equivalent		17,403			—		—		17,403

Total Investments in Securities	$	760,195		$	4,297	$	–	$	764,492


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Depreciation	$	(46	)	$	—	$	—	$	(46	)

Total Other Financial Instruments	$	(46	)	$	—	$	—	$	(46	)

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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


COMMON STOCK — 93.5%

Consumer Discretionary — 11.5%
Big Lots(A)		0.5	%		64,248	$	3,128
Jack in the Box		0.7			40,318		4,101
Monro Muffler		0.5			52,710		2,746
Pool		0.5			25,091		2,994
William Lyon Homes, Cl A* (A)		0.5			137,388		2,833
Other Securities (A)		8.8					52,399

							68,201


Consumer Staples — 3.2%
Hostess Brands*		0.6			216,121		3,430
Snyder’s-Lance (A)		0.8			113,955		4,594
Other Securities (A)		1.8					10,935

							18,959


Energy — 4.3%
Gulfport Energy*		0.5			184,651		3,174
Other Securities (A)		3.8					22,283

							25,457


Financials — 16.5%
American Equity Investment Life Holding		0.6			144,883		3,424
Bank of the Ozarks (A)		0.5			56,901		2,959
Central Pacific Financial		0.5			101,535		3,101
FNB (Pennsylvania)		0.9			347,445		5,166
Fulton Financial		0.5			168,505		3,008
Green Dot, Cl A*		0.5			85,397		2,849
OFG Bancorp		0.5			238,270		2,812
Popular		0.5			68,678		2,797
Wintrust Financial		0.8			68,633		4,744
Other Securities‡ (A)		11.2					67,023

							97,883


Health Care — 12.3%
Acadia Healthcare, Cl A* (A)		0.5			69,899		3,048


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


COMMON STOCK (continued)
AMN Healthcare Services*		0.8	%		113,966	$	4,627
Integra LifeSciences Holdings*		0.7			93,265		3,929
Lannett* (A)		0.6			150,109		3,355
Ligand Pharmaceuticals* (A)		0.9			48,216		5,103
Prestige Brands Holdings, Cl A*		1.0			108,730		6,041
Supernus Pharmaceuticals*		0.5			100,563		3,148
Other Securities (A)		7.3					43,972

							73,223


Industrials — 15.6%
Apogee Enterprises (A)		0.8			84,159		5,017
Deluxe (A)		0.5			42,715		3,083
Masonite International*		0.7			52,734		4,179
On Assignment*		0.7			88,426		4,291
Tetra Tech		0.6			87,478		3,574
WageWorks*		0.5			40,357		2,918
XPO Logistics*		0.5			57,656		2,761
Other Securities (A)		11.3					66,855

							92,678


Information Technology — 19.3%
Acxiom*		0.7			154,212		4,390
CalAmp*		0.8			269,971		4,533
Callidus Software*		0.6			175,256		3,742
Cavium*		0.7			58,085		4,162
Cornerstone OnDemand*		0.5			75,167		2,923
Criteo ADR* (A)		0.6			67,858		3,392
FireEye* (A)		0.5			223,512		2,818
Integrated Device Technology*		0.5			114,707		2,715
MAXIMUS		0.9			87,508		5,443
ON Semiconductor*		0.6			209,456		3,244
PDF Solutions*		0.5			124,986		2,827
Sanmina*		0.6			82,159		3,336
Stamps.com* (A)		0.6			27,649		3,272
Tech Data*		0.5			33,632		3,158
TrueCar* (A)		0.6			209,323		3,238
Other Securities (A)		10.1					61,325

							114,518


Materials — 3.6%
Ferroglobe Representation*		0.0			56,257		6
Other Securities (A)		3.6					21,142

							21,148


Real Estate — 4.1%
Colony Starwood Homes‡ (A)		0.5			80,746		2,741
Other Securities‡ (A)		3.6					21,411

							24,152


Telecommunication Services — 0.0%
Other Securities (A)		0.0					304


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

COMMON STOCK (continued)

Utilities — 3.1%
ALLETE		0.5	%		40,656	$	2,753
PNM Resources		0.5			85,509		3,164

Other Securities (A)		2.1					12,351

							18,268

Total Common Stock (Cost $481,450) ($ Thousands)							554,791


RIGHTS* — 0.0%
Other Securities		0.0					—

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


AFFILIATED PARTNERSHIP — 10.0%
SEI Liquidity Fund, L.P. 0.870%**† (B)		10.0			59,676,493		59,673

Total Affiliated Partnership (Cost $59,677) ($ Thousands)							59,673


CASH EQUIVALENT — 6.5%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		6.5			38,414,296		38,414

Total Cash Equivalent (Cost $38,414) ($ Thousands)							38,414

Total Investments — 110.0% (Cost $579,541)($ Thousands)						$	652,878

A list of the open futures contracts held by the Fund at March 31, 2017 is as follows:

Type of Contract

Number of
Contracts
Long

Expiration Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

182

Jun-2017

181

Percentages are based on a Net Assets of $593,387 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (See Note 6).

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017, was $58,442 ($ 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 March 31, 2017 was $59,673 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of March 31, 2017, 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	$	554,791	$	—	$	—	$	554,791
Rights		—		—		—		—
Affiliated Partnership		—		59,673		—		59,673
Cash Equivalent		38,414		—		—		38,414

Total Investments in Securities	$	593,205	$	59,673	$	—	$	652,878


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts
* Unrealized Appreciation	$	181	$	—	$	—	$	181

Total Other Financial Instruments	$	181	$	—	$	—	$	181

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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


COMMON STOCK — 94.7%

Consumer Discretionary — 8.8%
Big Lots (A)		0.5	%		44,404	$	2,162
Cooper-Standard Holdings*		0.5			16,327		1,811
Dana		0.6			115,528		2,231
Other Securities (A)		7.2					28,775

							34,979


Consumer Staples — 3.6%
Sanderson Farms (A)		0.5			20,031		2,080
Other Securities (A)		3.1					12,316

							14,396


Energy — 6.1%
Gulfport Energy*		0.7			167,073		2,872
Parsley Energy, Cl A*		0.5			63,353		2,060
PBF Energy, Cl A (A)		0.6			100,508		2,228
Other Securities (A)		4.3					17,126

							24,286


Financials — 26.7%
American Equity Investment Life Holding		0.6			106,916		2,526
Argo Group International Holdings		0.5			31,177		2,114
BGC Partners, Cl A		0.5			166,087		1,887
Central Pacific Financial		0.7			92,461		2,824
CNO Financial Group		0.7			129,197		2,649
Customers Bancorp*		0.5			58,396		1,841
First Commonwealth Financial		0.7			220,259		2,921
FNB (Pennsylvania)		1.0			263,632		3,920
Fulton Financial		0.7			159,491		2,847
Green Dot, Cl A*		0.5			63,841		2,130
Hanover Insurance Group, Cl A		0.6			24,510		2,207
IBERIABANK		0.6			30,650		2,424
Kemper, Cl A		0.5			44,447		1,773
Maiden Holdings (A)		0.6			166,188		2,327
Meridian Bancorp		0.5			112,704		2,063
OFG Bancorp		0.6			206,561		2,437


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


COMMON STOCK (continued)
Old National Bancorp, Cl A		0.6	%		144,844	$	2,513
PacWest Bancorp		0.6			41,971		2,235
Popular		0.7			68,331		2,783
Starwood Property Trust‡		0.7			128,852		2,910
United Community Banks		0.5			69,000		1,911
Other Securities‡ (A)		13.8					54,464

							105,706


Health Care — 4.7%
Lannett* (A)		0.7			121,607		2,718
Ligand Pharmaceuticals* (A)		0.7			27,382		2,898
Other Securities (A)		3.3					12,879

							18,495


Industrials — 15.3%
ACCO Brands*		0.6			166,616		2,191
Atlas Air Worldwide Holdings*		0.5			38,787		2,151
BWX Technologies, Cl W		0.5			41,548		1,978
Genesee & Wyoming, Cl A*		0.5			29,661		2,013
KAR Auction Services		0.5			46,360		2,025
Other Securities (A)		12.7					50,034

							60,392


Information Technology — 10.9%
Benchmark Electronics*		0.5			67,860		2,158
IAC*		0.5			28,912		2,131
Sanmina*		0.9			84,584		3,434
Tech Data*		0.6			26,091		2,450
Other Securities (A)		8.4					32,970

							43,143


Materials — 5.6%
Ferroglobe Representation*		0.0			53,302		6
FMC		0.5			27,575		1,919
Silgan Holdings		0.6			39,167		2,325
Other Securities (A)		4.5					17,808

							22,058


Real Estate — 8.7%
Colony Starwood Homes‡ (A)		1.0			111,210		3,776
Equity Commonwealth*‡		0.6			71,225		2,224
Gramercy Property Trust‡ (A)		0.5			74,522		1,960
Howard Hughes*		0.6			20,585		2,414
Other Securities‡ (A)		6.0					23,965

							34,339


Telecommunication Services — 0.2%
Other Securities (A)		0.2					601


Utilities — 4.1%
ALLETE		0.6			34,689		2,349
PNM Resources		0.6			59,679		2,208
Portland General Electric		0.6			54,437		2,418
Southwest Gas		0.6			27,969		2,319
Spire		0.5			27,070		1,827


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


COMMON STOCK (continued)
Other Securities (A)		1.2	%			$	4,939

							16,060

Total Common Stock (Cost $307,130) ($ Thousands)							374,455


AFFILIATED PARTNERSHIP — 13.1%
SEI Liquidity Fund, L.P. 0.870%**† (B)		13.1			51,675,206		51,673

Total Affiliated Partnership (Cost $51,676) ($ Thousands)							51,673


CASH EQUIVALENT — 5.2%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		5.2			20,587,318		20,587

Total Cash Equivalent (Cost $20,587) ($ Thousands)							20,587

Total Investments — 113.0% (Cost $379,393)($ Thousands)						$	446,715

A list of the open futures contracts held by the Fund at March 31, 2017 is as follows:

Type of Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

Jun-2017

Percentages are based on a Net Assets of $395,395 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

(A)

Certain securities or partial positions of certain securities are on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017, was $50,922 ($ 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 March 31, 2017 was $51,673 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of March 31, 2017, 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	$	374,455	$	—	$	—	$	374,455
Affiliated Partnership		—		51,673		—		51,673
Cash Equivalent		20,587		—		—		20,587

Total Investments in Securities	$	395,042	$	51,673	$	—	$	446,715


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	60	$	—	$	—	$	60

Total Other Financial Instruments	$	60	$	—	$	—	$	60

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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


COMMON STOCK †† — 96.6%

Consumer Discretionary — 12.9%
Bright Horizons Family Solutions*		1.0	%		45,102	$	3,269
Dave & Buster’s Entertainment*		0.6			31,750		1,940
Five Below*		0.5			41,796		1,810
Grand Canyon Education*		0.7			31,260		2,239
Jack in the Box		0.7			23,259		2,366
National CineMedia		0.6			151,530		1,914
Planet Fitness, Cl A		0.6			104,813		2,020
Other Securities (A)		8.2					27,302

							42,860


Consumer Staples — 2.4%
Hostess Brands*		0.6			115,386		1,831
Other Securities (A)		1.8					6,223

							8,054


Energy — 1.7%
Other Securities (A)		1.7					5,755


Financials — 6.6%
Eagle Bancorp*		0.7			36,275		2,166
Evercore Partners, Cl A		0.9			36,667		2,856
Wintrust Financial		0.9			43,435		3,002
Other Securities (A) (B) (C)		4.1					13,920

							21,944


Health Care — 21.8%
AMAG Pharmaceuticals*		0.5			77,061		1,738
AMN Healthcare Services*		1.1			90,440		3,672
INC Research Holdings, Cl A*		0.6			45,197		2,072
Integra LifeSciences Holdings*		0.7			56,260		2,370
Nevro*		0.6			21,758		2,039
PRA Health Sciences*		0.7			36,881		2,406
Prestige Brands Holdings, Cl A*		1.2			70,202		3,900
Supernus Pharmaceuticals*		0.8			87,211		2,730
Vocera Communications*		0.6			84,553		2,099


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


COMMON STOCK (continued)
Other Securities (A)		15.0	%			$	49,249

							72,275


Industrials — 20.5%
Apogee Enterprises		1.1			62,006		3,696
Astec Industries		0.6			30,457		1,873
Deluxe		1.1			50,564		3,649
John Bean Technologies, Cl A		1.1			41,481		3,648
Masonite International*		0.7			29,481		2,336
Mercury Systems*		1.0			82,519		3,222
On Assignment*		0.8			54,226		2,632
SP Plus*		0.6			57,590		1,944
Tennant		0.5			23,944		1,739
TriNet Group*		0.6			69,193		2,000
WageWorks*		0.6			27,037		1,955
Other Securities (A)		11.8					39,445

							68,139


Information Technology — 26.0%
2U*		0.8			68,102		2,701
Acxiom*		0.7			78,734		2,242
CalAmp*		0.8			150,093		2,520
Callidus Software*		1.1			169,597		3,621
Cavium*		0.8			38,493		2,758
Coherent*		1.1			17,357		3,569
Euronet Worldwide*		0.6			22,470		1,922
FireEye* (A)		0.6			145,365		1,833
Littelfuse		1.0			21,395		3,421
LogMeIn		0.9			30,289		2,953
MAXIMUS		0.6			34,045		2,118
Microsemi*		0.7			44,008		2,268
Monolithic Power Systems		1.1			38,105		3,509
PDF Solutions*		0.7			95,513		2,160
Proofpoint* (A)		0.7			32,437		2,412
TrueCar* (A)		0.7			142,515		2,205
Other Securities (A)		13.1					44,040

							86,252


Materials — 3.1%
Sensient Technologies		0.6			25,375		2,011
Summit Materials, Cl A*		0.6			74,979		1,853
Other Securities		1.9					6,250

							10,114


Real Estate — 1.4%
National Storage Affiliates Trust‡		0.6			83,885		2,005
Other Securities‡		0.8					2,504

							4,509


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


COMMON STOCK (continued)

Telecommunication Services — 0.2%
Other Securities		0.2	%			$	539

Total Common Stock (Cost $286,463) ($ Thousands)							320,441


RIGHTS* — 0.0%
Other Securities		0.0					—

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


AFFILIATED PARTNERSHIP — 8.2%
SEI Liquidity Fund, L.P. 0.870%**† (D)		8.2			27,190,111		27,189

Total Affiliated Partnership (Cost $27,190) ($ Thousands)							27,189


CASH EQUIVALENT — 3.2%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		3.2			10,588,465		10,588

Total Cash Equivalent (Cost $10,588) ($ Thousands)							10,588

Total Investments — 108.0% (Cost $324,241)($ Thousands)						$	358,218

Percentages are based on a Net Assets of $331,743 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡

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 March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017, was $26,556 ($ Thousands).

(B)

Securities considered illiquid. The total value of such securities as of March 31, 2017 was $57 ($ Thousands) and represented 0.0% of Net Assets.

(C)

Securities considered restricted. The total market value of such securities as of March 31, 2017 was $57 ($ 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 March 31, 2017 was $27,189 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Common Stock	$	320,384	$	—	$	57	$	320,441
Rights		—		—		—		—
Affiliated Partnership		—		27,189		—		27,189
Cash Equivalent		10,588		—		—		10,588

Total Investments in Securities	$	330,972	$	27,189	$	57	$	358,218

(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 period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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


COMMON STOCK — 95.1%

Consumer Discretionary — 11.0%
Big Lots (A)		0.5	%		74,802	$	3,641
Dave & Buster’s Entertainment*		0.4			50,979		3,114
Lithia Motors, Cl A (A)		0.5			43,282		3,707
Nexstar Broadcasting Group, Cl A		0.3			39,111		2,744
Pool		0.5			32,128		3,834
Skechers U.S.A., Cl A*		0.4			106,546		2,925
Vail Resorts		0.4			16,565		3,179
Visteon*		0.4			30,376		2,975
Other Securities (A)		7.6					61,143

							87,262


Consumer Staples — 3.4%
Pinnacle Foods		0.3			46,739		2,705
Other Securities(A)		3.1					24,263

							26,968


Energy — 4.1%
Concho Resources*		0.3			20,638		2,649
PBF Energy, Cl A (A)		0.5			168,390		3,733
Other Securities (A)		3.3					25,932

							32,314


Financials — 17.8%
American Equity Investment Life Holding		0.5			169,281		4,000
BGC Partners, Cl A		0.4			251,172		2,853
Columbia Banking System		0.4			77,842		3,035
Everest Re Group		0.6			18,928		4,426
Green Dot, Cl A*		0.5			111,315		3,713
Hanover Insurance Group, Cl A		0.4			34,803		3,134
MB Financial		0.3			63,446		2,717
OFG Bancorp		0.5			327,331		3,862
PacWest Bancorp		0.7			106,993		5,698
Selective Insurance Group		0.3			56,285		2,654
SLM*		0.4			260,629		3,154


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


COMMON STOCK (continued)
Starwood Property Trust‡		0.4	%		138,635	$	3,130
Western Alliance Bancorp*		0.4			71,507		3,510
Zions Bancorporation		0.6			115,555		4,853
Other Securities‡ (A)		11.4					91,062

							141,801


Health Care — 10.0%
Akorn* (A)		0.4			121,650		2,929
Align Technology*		0.4			26,782		3,072
Chemed (A)		0.3			14,754		2,695
Integra LifeSciences Holdings*		0.4			69,164		2,914
Lannett* (A)		0.4			134,725		3,011
Ligand Pharmaceuticals* (A)		0.6			45,961		4,864
Nevro* (A)		0.4			31,728		2,973
Other Securities (A)		7.1					57,164

							79,622


Industrials — 17.1%
Atlas Air Worldwide Holdings*		0.4			58,031		3,218
BWX Technologies, Cl W		0.7			120,611		5,741
Carlisle		0.5			34,980		3,722
Crane, Cl A		0.4			40,914		3,062
Genesee & Wyoming, Cl A*		0.6			66,657		4,523
KAR Auction Services		0.5			92,593		4,043
Kennametal		0.3			71,073		2,788
United Rentals*		0.5			29,278		3,661
Other Securities (A)		13.2					104,808

							135,566


Information Technology — 16.7%
Cypress Semiconductor		0.4			244,827		3,369
IAC*		0.5			49,937		3,681
Take-Two Interactive Software, Cl A*		0.4			50,559		2,997
VeriFone Holdings* (A)		0.4			177,965		3,333
Zebra Technologies, Cl A*		0.6			48,012		4,381
Other Securities (A)		14.4					114,621

							132,382


Materials — 6.4%
FMC		0.7			75,514		5,255
United States Steel		0.4			100,926		3,412
Other Securities (A)		5.3					42,553

							51,220


Real Estate — 6.1%
CoreCivic‡		0.5			115,755		3,637
Highwoods Properties‡		0.3			53,933		2,650
Howard Hughes*		0.5			31,877		3,738
Other Securities‡ (A)		4.8					38,680

							48,705


Telecommunication Services — 0.2%
Other Securities (A)		0.2					1,827


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


COMMON STOCK (continued)

Utilities — 2.3%
Other Securities		2.3	%			$	18,279

Total Common Stock (Cost $509,630) ($ Thousands)							755,946


RIGHTS* — 0.0%
Other Securities		0.0					12

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


AFFILIATED PARTNERSHIP — 12.2%
SEI Liquidity Fund, L.P. 0.870%**† (B)		12.2			97,018,933		97,014

Total Affiliated Partnership (Cost $97,018) ($ Thousands)							97,014


CASH EQUIVALENT — 5.4%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		5.4			42,539,766		42,540

Total Cash Equivalent (Cost $42,540) ($ Thousands)							42,540

Total Investments — 112.7% (Cost $649,188)($ Thousands)						$	895,512

A list of the open futures contracts held by the Fund at March 31, 2017, are as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		53		Jun-2017	$	49
S&P Mid Cap 400 Index E-MINI		25		Jun-2017		23

					$	72

Percentages are based on a Net Assets of $794,918 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (See Note 6).

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017, was $95,303 ($ 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 March 31, 2017 was $97,014 ($ Thousands).

— Class

L.P.

— Limited Partnership

S&P

— Standard & Poor’s

The following is a list of the level of inputs used as of March 31, 2017, 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	$	755,946	$	—	$	—	$	755,946
Rights		—		12		—		12
Affiliated Partnership		—		97,014		—		97,014
Cash Equivalent		42,540		—		—		42,540

Total Investments in Securities	$	798,486	$	97,026	$	—	$	895,512


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	72	$	—	$	—	$	72

Total Other Financial Instruments	$	72	$	—	$	—	$	72

Futures contracts are valued at unrealized appreciation on the instrument.

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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


COMMON STOCK — 93.5%

Consumer Discretionary — 14.9%
Best Buy		0.8	%		17,800	$	875
DR Horton		0.6			22,200		740
Genuine Parts		0.7			8,100		749
Lear		0.7			5,300		750
NVR*		0.6			340		716
Ross Stores		0.7			12,000		790
Ulta Salon Cosmetics & Fragrance*		0.7			2,800		799
Viacom, Cl B		0.7			17,200		802
Other Securities (A)		9.4					10,820

							17,041


Consumer Staples — 3.8%
Bunge		0.7			9,500		753
ConAgra Foods		0.7			20,800		839
Tyson Foods, Cl A		0.7			13,500		833
Other Securities		1.7					1,901

							4,326


Energy — 5.6%
Devon Energy		0.8			22,200		926
Marathon Oil		0.7			49,800		787
Marathon Petroleum		0.9			19,500		985
Noble Energy		0.7			22,800		783
Oneok (A)		0.6			13,600		754
Williams		0.8			32,100		950
Other Securities		1.1					1,281

							6,466


Financials — 10.4%
Ameriprise Financial		0.7			6,600		856
Citizens Financial Group		0.7			22,300		770
Loews		0.6			15,200		711
Raymond James Financial		0.7			10,600		808
Unum Group		0.7			17,200		806
Other Securities‡		7.0					7,983

							11,934


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


COMMON STOCK (continued)

Health Care — 9.8%
C.R. Bard		0.7	%		3,300	$	820
Centene*		0.7			10,600		755
Cerner*		0.8			14,700		865
IDEXX Laboratories*		0.7			5,300		819
Quintiles Transnational*		0.6			8,900		717
Zoetis, Cl A		0.8			18,000		961
Other Securities		5.5					6,273

							11,210


Industrials — 11.8%
Cummins		0.8			5,800		877
Huntington Ingalls Industries, Cl A		0.7			4,200		841
Ingersoll-Rand		0.6			9,100		740
Parker-Hannifin, Cl A		0.6			4,400		706
Rockwell Automation		0.8			5,500		856
Stanley Black & Decker		0.7			5,600		744
Other Securities		7.6					8,742

							13,506


Information Technology — 15.6%
CDW		0.7			13,400		773
CommScope Holding*		0.6			17,500		730
Electronic Arts*		0.9			11,200		1,003
Micron Technology*		0.9			35,300		1,020
Motorola Solutions		0.6			8,500		733
Skyworks Solutions		0.8			9,000		882
Symantec, Cl A		0.8			31,000		951
Synopsys*		0.7			10,500		757
Other Securities (A)		9.6					11,062

							17,911


Materials — 4.8%
Nucor		0.7			13,300		794
Other Securities		4.1					4,732

							5,526


Real Estate — 8.9%
CBRE Group, Cl A*		0.6			20,600		717
ProLogis‡		0.7			14,600		757
Other Securities‡ (A)		7.6					8,670

							10,144


Telecommunication Services — 1.3%
CenturyLink (A)		0.7			31,900		752
Other Securities		0.6					700

							1,452


Utilities — 6.6%
Centerpoint Energy		0.6			26,300		725
FirstEnergy		0.7			24,700		786
PPL		0.7			22,300		834
UGI		0.6			14,300		706


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


COMMON STOCK (continued)
Other Securities		4.0	%			$	4,516

							7,567

Total Common Stock (Cost $95,721) ($ Thousands)							107,083


AFFILIATED PARTNERSHIP — 2.8%
SEI Liquidity Fund, L.P. 0.870%**† (B)		2.8			3,198,676		3,198

Total Affiliated Partnership (Cost $3,198) ($ Thousands)							3,198


CASH EQUIVALENT — 5.4%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		5.4			6,211,561		6,212

Total Cash Equivalent (Cost $6,212) ($ Thousands)							6,212

Total Investments — 101.7% (Cost $105,131)($ Thousands)						$	116,493

A list of the open futures contracts held by the Fund at March 31, 2017 is as follows:

Type of Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

S&P Mid Cap 400 Index E-MINI

Jun-2017

Percentages are based on a Net Assets of $114,514 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (See Note 6).

‡

Real Estate Investment Trust.

(A)

Certain securities or partial positions of certain securities are on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017, was $3,124 ($ 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 March 31, 2017 was $3,198 ($ 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 March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	107,083	$	—	$	—	$	107,083
Affiliated Partnership		—		3,198		—		3,198
Cash Equivalent		6,212		—		—		6,212

Total Investments in Securities	$	113,295	$	3,198	$	—	$	116,493


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	22	$	—	$	—	$	22

Total Other Financial Instruments	$	22	$	—	$	—	$	22

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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

COMMON STOCK — 98.1%

Consumer Discretionary — 9.5%
Aramark		0.6	%		251,461	$	9,271
Cheesecake Factory		0.6			150,906		9,561
Darden Restaurants		0.9			176,707		14,785
McDonald’s		0.9			117,262		15,198
Target, Cl A		1.0			294,166		16,235
Other Securities		5.5					91,753

							156,803


Consumer Staples — 16.5%
Altria Group		1.3			311,666		22,259
Colgate-Palmolive		0.6			128,558		9,409
Costco Wholesale		0.8			76,610		12,847
Dr Pepper Snapple Group		1.7			279,455		27,364
General Mills		0.6			168,008		9,914
Kimberly-Clark		0.7			90,119		11,862
Kroger		0.6			344,584		10,162
McCormick		0.7			111,502		10,877
PepsiCo		1.1			155,863		17,435
Philip Morris International		0.8			122,390		13,818
Sysco, Cl A		0.8			268,189		13,924
Wal-Mart Stores		2.1			472,037		34,024
Other Securities		4.7					79,119

							273,014


Energy — 0.8%
Other Securities		0.8					13,984


Financials — 15.0%
Allstate		0.7			151,475		12,344
Axis Capital Holdings		1.0			242,517		16,256
Berkshire Hathaway, Cl B*		0.8			75,500		12,584
Everest Re Group		1.5			102,642		23,999
RenaissanceRe Holdings		0.8			88,451		12,794
Travelers		1.0			131,026		15,794
Validus Holdings		1.0			301,053		16,976
Other Securities‡		8.2					137,075

							247,822


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

COMMON STOCK (continued)

Health Care — 15.0%
Baxter International		0.8	%		244,465	$	12,678
Cardinal Health		0.7			144,431		11,778
Johnson & Johnson		2.3			298,436		37,170
Merck		2.0			524,740		33,342
Pfizer		1.7			814,253		27,856
Quest Diagnostics		0.7			110,677		10,867
UnitedHealth Group		0.6			63,968		10,491
Other Securities		6.2					104,717

							248,899


Industrials — 9.1%
Lockheed Martin		0.9			52,483		14,045
Northrop Grumman		0.9			64,429		15,324
Raytheon		0.6			66,945		10,209
Republic Services		0.7			180,600		11,344
United Parcel Service, Cl B		1.0			153,703		16,492
Waste Management		1.4			319,782		23,319
Other Securities		3.6					59,502

							150,235


Information Technology — 12.6%
Amdocs		1.5			417,188		25,444
Apple		0.6			67,400		9,683
Cisco Systems		0.8			412,845		13,954
eBay*		0.6			276,736		9,290
Intel		0.6			272,687		9,836
International Business Machines		0.9			82,677		14,397
Other Securities		7.6					125,333

							207,937


Materials — 1.4%
Other Securities		1.4					23,220


Real Estate — 3.4%
Other Securities‡		3.4					56,109


Telecommunication Services — 5.6%
AT&T		2.1			817,127		33,952
Verizon Communications		2.0			676,896		32,999
Other Securities		1.5					26,018

							92,969


Utilities — 9.2%
American Electric Power		1.0			240,863		16,169
Edison International		0.7			146,115		11,632
Entergy		0.8			169,092		12,844
Exelon		1.1			485,054		17,452
Public Service Enterprise Group		0.8			279,978		12,417
Other Securities		4.8					81,052

							151,566

Total Common Stock (Cost $1,345,533) ($ Thousands)							1,622,558


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

CASH EQUIVALENT — 1.6%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		1.6	%		27,037,261	$	27,037

Total Cash Equivalent (Cost $27,037) ($ Thousands)							27,037

Total Investments — 99.7% (Cost $1,372,570)($ Thousands)						$	1,649,595

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized (Depreciation) ($ Thousands)
S&P 500 Index E-MINI		100		Jun-2017	$	(14	)

Percentages are based on a Net Assets of $1,654,952 ($ Thousands).

*	Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

Cl — Class

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of March 31, 2017, 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	$	1,622,558		$	—	$	—	$	1,622,558
Cash Equivalent		27,037			—		—		27,037

Total Investments in Securities	$	1,649,595		$	—	$	—	$	1,649,595


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Depreciation	$	(14	)	$	—	$	—	$	(14	)

Total Other Financial Instruments	$	(14	)	$	—	$	—	$	(14	)

Futures Contracts are valued at the unrealized depreciation on the instrument.

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, there were no transfers between Level 2 and Level 3 assets and liabilities.

LOGO


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

COMMON STOCK — 97.4%

Australia — 4.1%
Wesfarmers		1.4	%		551,423	$	18,959
Other Securities‡		2.7					38,079

							57,038


Austria — 1.2%
voestalpine		0.7			229,696		9,065
Other Securities		0.5					7,425

							16,490


Belgium — 0.5%
Other Securities		0.5					6,362


Canada — 8.1%
Bank of Montreal		0.7			135,517		10,093
BCE		0.6			202,182		8,951
Rogers Communications, Cl B		0.9			272,910		12,033
Other Securities‡		5.9					80,067

							111,144


Denmark — 0.8%
Other Securities		0.8					11,587


Finland — 0.0%
Other Securities		0.0					543


France — 1.2%
Other Securities		1.2					16,625


Germany — 1.0%
Other Securities		1.0					13,373


Guernsey — 0.6%
Amdocs		0.6			141,376		8,622

							8,622


Hong Kong — 3.7%
CLP Holdings, Cl B		1.2			1,624,656		16,986


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

COMMON STOCK (continued)
Other Securities‡ (A)		2.5	%			$	34,156

							51,142


Ireland — 0.1%
Other Securities‡		0.1					654


Israel — 1.5%
Bank Hapoalim		0.7			1,621,055		9,861
Other Securities		0.8					11,184

							21,045


Italy — 0.8%
Other Securities		0.8					11,032


Japan — 7.0%
Other Securities		7.0					96,218


Luxembourg — 0.2%
Other Securities		0.2					3,110


Netherlands — 0.1%
Other Securities (A)		0.1					1,755


New Zealand — 2.0%
Other Securities‡		2.0					27,707


Norway — 1.5%
Orkla		0.7			1,009,388		9,038
Other Securities		0.8					11,974

							21,012


Portugal — 0.1%
Other Securities		0.1					1,038


Singapore — 1.4%
Other Securities‡		1.4					19,255


Spain — 0.5%
Other Securities		0.5					6,187


Sweden — 1.1%
Swedish Match		0.9			366,358		11,961
Other Securities		0.2					3,154

							15,115


Switzerland — 5.3%
Nestle		1.3			237,291		18,218
Novartis		0.9			172,420		12,807
Other Securities		3.1					42,636

							73,661


United Kingdom — 3.8%
Imperial Brands		0.7			198,549		9,601
Other Securities‡		3.1					42,333

							51,934


United States — 50.8%
AGNC Investment‡		1.1			746,713		14,852
Altria Group		1.0			186,895		13,348


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

COMMON STOCK (continued)
AmerisourceBergen, Cl A		0.7	%		109,127	$	9,658
AT&T		0.7			226,294		9,403
Berkshire Hathaway, Cl B*		0.7			59,964		9,995
Bio-Rad Laboratories, Cl A*		0.7			47,156		9,400
C.R. Bard		0.8			41,810		10,391
Chemed		0.7			52,849		9,655
Clorox		1.5			149,292		20,129
Coca-Cola		0.7			217,458		9,229
Colgate-Palmolive		0.7			135,965		9,951
Comcast, Cl A		0.7			254,004		9,548
Costco Wholesale		0.7			58,852		9,869
Danaher, Cl A		0.7			108,621		9,290
DaVita HealthCare Partners*		0.7			133,753		9,091
Fresh Del Monte Produce		0.7			158,566		9,392
General Electric		0.6			284,327		8,473
Johnson & Johnson		1.4			151,588		18,880
Kimberly-Clark		0.7			75,642		9,957
McDonald’s		1.0			109,963		14,252
Merck		0.7			148,933		9,463
Mettler Toledo International*		0.6			17,574		8,416
PepsiCo		0.9			106,334		11,895
Pfizer		0.6			242,797		8,306
Philip Morris International		0.7			88,791		10,025
Procter & Gamble		1.2			176,826		15,888
Quest Diagnostics		0.8			107,105		10,517
Reliance Steel & Aluminum		0.7			123,148		9,854
Republic Services		0.8			178,981		11,242
Spectrum Brands Holdings		0.8			74,943		10,418
Sysco, Cl A		1.3			356,946		18,533
Teleflex		0.7			52,522		10,175
United Parcel Service, Cl B		0.6			81,596		8,755
Voya Financial		0.8			285,179		10,825
Wal-Mart Stores		0.8			156,688		11,294
Walt Disney		0.8			93,497		10,602
Waste Management		0.8			145,909		10,640
Other Securities‡		20.7					287,784

							699,395

Total Common Stock (Cost $1,172,832) ($ Thousands)							1,342,044


PREFERRED STOCK — 0.3%

Germany — 0.3%
Other Securities		0.3					3,218


Sweden — 0.0%
Other Securities		0.0					407

Total Preferred Stock (Cost $3,751) ($ Thousands)							3,625


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

CASH EQUIVALENT — 1.3%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		1.3	%		17,874,529	$	17,875

Total Cash Equivalent (Cost $17,875) ($ Thousands)							17,875

Total Investments — 99.0% (Cost $1,194,458)($ Thousands)						$	1,363,544

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		46		Jun-2017	$	45
FTSE 100 Index		12		Jun-2017		—
Hang Seng Index		2		Apr-2017		(4	)
S&P 500 Index E-MINI		65		Jun-2017		(7	)
SPI 200 Index		5		Jun-2017		9
TOPIX Index		10		Jun-2017		(22	)

					$	21


A list of the open forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:
Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
04/27/17	USD		15	NOK		127	$	—
04/27/17	USD		19	NZD		27		—
04/27/17	USD		44	DKK		303		(1	)
04/27/17	USD		49	SEK		425		(1	)
04/27/17	USD		56	HKD		436		—
04/27/17	USD		66	SGD		92		—
04/27/17	USD		159	AUD		208		—
04/27/17	USD		347	EUR		319		(6	)
04/27/17	USD		368	CHF		361		(6	)
04/27/17	USD		402	JPY		44,302		(4	)
04/27/17	USD		194	GBP		155		—
04/27/17	USD		245	GBP		195		(1	)
04/27/17	USD		143	CAD		191		—
04/27/17	USD		348	CAD		462		(1	)
04/27/17	SGD		12,783	USD		9,174		22
04/27/17	SGD		59	USD		43		—
04/27/17	NZD		21,340	USD		15,019		114
04/27/17	NZD		183	USD		128		—
04/27/17	GBP		24,848	USD		31,258		176
04/27/17	GBP		424	USD		527		(3	)
04/27/17	CHF		35,865	USD		36,517		630
04/27/17	CHF		233	USD		233		—
04/27/17	AUD		11	USD		8		—
04/27/17	AUD		40,194	USD		30,594		(50	)
04/27/17	EUR		41,520	USD		45,238		790
04/27/17	DKK		41,854	USD		6,129		102
04/27/17	DKK		291	USD		42		—
04/27/17	SEK		69,155	USD		7,892		136
04/27/17	SEK		416	USD		47		—
04/27/17	CAD		73,440	USD		54,896		(195	)
04/27/17	NOK		133,979	USD		15,807		200
04/27/17	NOK		1,089	USD		127		—
04/27/17	HKD		190,606	USD		24,553		12
04/27/17	HKD		383	USD		49		—
04/27/17	JPY		5,230,535	USD		47,407		416
04/27/17	JPY		24,478	USD		220		—

							$	2,330

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Brown Brothers Harriman	$	(326,012	)	$	328,342	$	2,330

						$	2,330

Percentages are based on a Net Assets of $1,377,919 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡

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 March 31, 2017, the value of these securities amounted to $6,472 ($ Thousands), representing 0.5% of the net assets of the Fund.

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — 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

TOPIX — Tokyo Price Index

USD — United States Dollar

The following is a list of the level of inputs used as of March 31, 2017, 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	$	1,287,590		$	54,454		$	—	$	1,342,044
Preferred Stock		3,625			—			—		3,625
Cash Equivalent		17,875			—			—		17,875

Total Investments in Securities	$	1,309,090		$	54,454		$	–	$	1,363,544


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	54		$	—		$	—	$	54
Unrealized Depreciation		(33	)		—			—		(33	)
Forwards Contracts*
Unrealized Appreciation		—			2,598			—		2,598
Unrealized Depreciation		—			(268	)		—		(268	)

Total Other Financial Instruments	$	21		$	2,330		$	—	$	2,351

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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

LOGO


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

COMMON STOCK — 98.2%

Consumer Discretionary — 5.6%
Target, Cl A		0.8	%		144,537	$	7,977
Other Securities		4.8					49,062

							57,039


Consumer Staples — 20.3%
Altria Group		1.6			234,072		16,717
Clorox		0.7			54,877		7,399
Coca-Cola		0.8			185,969		7,893
Costco Wholesale		0.7			40,733		6,831
Dr Pepper Snapple Group		1.2			127,825		12,517
Hershey		0.8			72,705		7,943
Kimberly-Clark		0.9			67,862		8,933
McCormick		0.7			72,119		7,035
PepsiCo		1.1			100,850		11,281
Procter & Gamble		0.8			93,908		8,438
Reynolds American		0.8			137,289		8,652
SYSCO, Cl A		0.8			163,536		8,491
Wal-Mart Stores		1.6			226,005		16,290
Other Securities		7.8					79,340

							207,760


Energy — 1.0%
ExxonMobil		0.7			94,000		7,709
Other Securities		0.3					2,625

							10,334


Financials — 16.7%
Arch Capital Group*		0.7			78,888		7,476
Axis Capital Holdings		1.2			179,222		12,013
Berkshire Hathaway, Cl B*		1.0			59,100		9,851
CBOE Holdings		1.0			123,794		10,036
Everest Re Group		1.2			52,221		12,210
RenaissanceRe Holdings		1.4			100,686		14,564
Travelers		1.0			87,605		10,560
Validus Holdings		1.3			233,913		13,190
Other Securities‡		7.9					80,375

							170,275


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

COMMON STOCK (continued)
Health Care — 13.5%
Anthem		0.8	%		47,563	$	7,866
Johnson & Johnson		2.5			201,336		25,077
Merck		1.5			243,657		15,482
Pfizer		2.4			707,414		24,201
Other Securities		6.3					65,694

							138,320


Industrials — 11.4%
Landstar System		0.7			81,428		6,974
Lockheed Martin		0.8			30,905		8,270
Northrop Grumman		1.3			55,397		13,176
Raytheon		1.5			97,987		14,943
Republic Services		0.9			146,100		9,177
United Parcel Service, Cl B		1.0			97,036		10,412
Waste Management		1.0			137,382		10,018
Other Securities		4.2					43,066

							116,036


Information Technology — 10.4%
Amdocs		1.1			178,571		10,891
Apple		0.7			51,000		7,327
Cisco Systems		0.8			242,600		8,200
Intel		0.7			210,500		7,593
International Business Machines		1.0			59,400		10,344
Symantec, Cl A		0.8			253,470		7,776
Other Securities		5.3					53,557

							105,688


Materials — 1.4%
Other Securities		1.4					14,124


Real Estate — 1.5%
Other Securities‡		1.5					15,629


Telecommunication Services — 4.9%
AT&T		2.4			599,940		24,928
Verizon Communications		1.2			256,685		12,513
Other Securities		1.3					13,015

							50,456


Utilities — 11.5%
American Electric Power		0.8			122,164		8,201
Consolidated Edison		1.3			165,942		12,887
Edison International		1.0			125,527		9,993
Entergy		0.8			109,672		8,331
PG&E		0.9			133,963		8,890
Public Service Enterprise Group		0.8			194,029		8,605
Southern		0.7			138,614		6,900
WEC Energy Group		0.7			119,032		7,217


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

COMMON STOCK (continued)
Other Securities		4.5	%			$	46,738

							117,762

Total Common Stock (Cost $705,775) ($ Thousands)							1,003,423


*RIGHTS — 0.0%**
Other Securities		0.0					91

Total Rights (Cost $–) ($ Thousands)							91


CASH EQUIVALENT — 1.6%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		1.6			16,154,053		16,154

Total Cash Equivalent (Cost $16,154) ($ Thousands)							16,154

Total Investments — 99.8% (Cost $721,929)($ Thousands)						$	1,019,668

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		58		Jun-2017	$	(9	)

Percentages are based on a Net Assets of $1,021,987 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

Cl — Class

S&P — Standard & Poors

The following is a list of the level of inputs used as of March 31, 2017, 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	$	1,003,423		$	—	$	—	$	1,003,423
Rights		—			91		—		91
Cash Equivalent		16,154			—		—		16,154

Total Investments in Securities	$	1,019,577		$	91	$	—	$	1,019,668


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Depreciation	$	(9	)	$	—	$	—	$	(9	)

Total Other Financial Instruments	$	(9	)	$	—	$	—	$	(9	)

Futures contracts are valued at unrealized depreciation on the instrument.

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


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

COMMON STOCK — 96.9%

Australia — 6.7%
AGL Energy		1.4	%		205,787	$	4,140
Telstra, Cl B		1.6			1,316,198		4,679
Other Securities		3.7					11,122

							19,941


Austria — 2.4%
Other Securities		2.4					6,999


Belgium — 1.2%
Other Securities		1.2					3,612


Canada — 2.4%
TELUS		0.7			62,262		2,015
Toronto-Dominion Bank		0.8			48,511		2,423
Other Securities		0.9					2,634

							7,072


Denmark — 2.6%
Danske Bank		0.8			64,629		2,208
Other Securities		1.8					5,527

							7,735


Finland — 1.0%
Orion, Cl B		0.6			31,515		1,647
Other Securities		0.4					1,295

							2,942


France — 4.7%
Atos		0.5			12,547		1,556
Sanofi		1.5			48,741		4,411
TOTAL		0.6			32,739		1,660
Other Securities		2.1					6,441

							14,068


Germany — 5.8%
Muenchener Rueckversicherungs- Gesellschaft in Muenchen		0.8			12,362		2,425
Siemens		0.7			14,297		1,963
Other Securities		4.3					13,012

							17,400


Hong Kong — 4.7%
ASM Pacific Technology		0.5			115,900		1,576
CLP Holdings, Cl B		0.7			205,000		2,143
Kerry Properties		0.6			480,000		1,664
Other Securities (A)		2.9					8,632

							14,015


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

COMMON STOCK (continued)
Ireland — 0.4%
Other Securities		0.4	%			$	1,306


Israel — 1.7%
Bank Hapoalim		0.8			381,085		2,318
Other Securities		0.9					2,737

							5,055


Italy — 0.9%
Other Securities		0.9					2,620


Japan — 20.9%
Asahi Kasei		0.6			177,000		1,715
Astellas Pharma		0.8			168,500		2,217
Canon		0.6			55,500		1,729
Mitsubishi Tanabe Pharma		1.2			163,100		3,393
Nippon Telegraph & Telephone		1.2			81,800		3,488
Nissan Motor		0.7			210,400		2,027
NTT DOCOMO		0.6			80,700		1,878
Osaka Gas		0.6			498,000		1,890
West Japan Railway		0.5			23,300		1,514
Other Securities		14.1					42,320

							62,171


Luxembourg — 1.0%
SES, Cl A		0.6			76,966		1,795
Other Securities		0.4					1,299

							3,094


Netherlands — 1.4%
NN Group		0.7			61,181		1,995
Other Securities (A)		0.7					2,225

							4,220


New Zealand — 2.1%
Other Securities		2.1					6,122


Norway — 2.2%
Other Securities		2.2					6,595


Portugal — 0.3%
Other Securities		0.3					886


Singapore — 4.1%
DBS Group Holdings		0.8			175,600		2,438
Wilmar International		0.7			818,200		2,067
Other Securities		2.6					7,780

							12,285


Spain — 3.0%
Enagas		0.6			65,712		1,711
Endesa		1.0			126,341		2,977
Iberdrola		0.6			239,110		1,715
Other Securities		0.8					2,541

							8,944


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

COMMON STOCK (continued)
Sweden — 1.9%
Swedish Match		0.6	%		56,400	$	1,842
Other Securities		1.3					3,715

							5,557


Switzerland — 10.6%
Nestle		0.8			31,510		2,419
Novartis		0.8			32,373		2,405
Roche Holding		1.9			21,574		5,513
Sonova Holding		0.6			11,977		1,662
Swiss Life Holding		1.2			10,672		3,446
Swiss Prime Site, Cl H		0.8			26,240		2,311
Swiss Re		0.9			31,122		2,797
Zurich Insurance Group		0.7			7,778		2,078
Other Securities		2.9					8,859

							31,490


United Kingdom — 14.4%
BAE Systems		1.1			417,134		3,351
British American Tobacco		0.6			24,792		1,643
Carnival		0.6			29,319		1,678
GlaxoSmithKline		1.8			258,069		5,355
HSBC Holdings		0.5			186,206		1,516
Imperial Brands		1.6			96,973		4,689
Kingfisher		0.6			401,317		1,637
Rio Tinto		0.6			35,873		1,655
SSE		0.9			143,512		2,649
Tate & Lyle		0.7			202,537		1,936
Other Securities		5.4					16,779

							42,888


United States — 0.5%
Other Securities		0.5					1,373

Total Common Stock (Cost $269,363) ($ Thousands)							288,390


PREFERRED STOCK — 0.3%

Germany — 0.3%
Other Securities		0.3					951

Total Preferred Stock (Cost $878) ($ Thousands)							951


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

CASH EQUIVALENT — 1.8%
SEI Daily Income Trust, Government Fund, Cl F 0.530% **†		1.8	%		5,246,175	$	5,246

Total Cash Equivalent (Cost $5,246) ($ Thousands)							5,246

Total Investments — 99.0% (Cost $275,487) ($ Thousands)						$	294,587

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		40		Jun-2017	$	40
FTSE 100 Index		8		Jun-2017		–
Hang Seng Index		1		Apr-2017		(1	)
SPI 200 Index		3		Jun-2017		4
TOPIX Index		7		Jun-2017		(15	)

					$	28

Percentages are based on a Net Assets of $297,434 ($ Thousands).

The rate reported is the 7-day effective yield as of March 31, 2017.

†

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 March 31, 2017, the value of these securities amounted to $2,290 ($ Thousands), representing 0.8% of the net assets of the Fund.

Cl — Class

DJ — Dow Jones

FTSE— Financial Times and Stock Exchange

SPI — Share Price Index

TOPIX — Tokyo Price Index

The following is a list of the level of inputs used as of March 31, 2017, 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	$	275,482		$	12,908	$	—	$	288,390
Preferred Stock		951			—		—		951
Cash Equivalent		5,246			—		—		5,246

Total Investments in Securities	$	281,679		$	12,908	$	—	$	294,587


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	44		$	—	$	—	$	44
Unrealized Depreciation		(16	)		—		—		(16	)

Total Other Financial Instruments	$	28		$	—	$	—	$	28

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


Description	Shares		Market Value ($ Thousands)

COMMON STOCK — 97.5%

Consumer Discretionary — 0.8%
Hilton Worldwide Holdings *		25,090	$	1,467


Real Estate — 96.7%
Alexandria Real Estate Equities‡		42,195		4,663
American Homes 4 Rent, Cl A‡		112,950		2,593
Apartment Investment & Management, Cl A‡		61,515		2,728
AvalonBay Communities‡		51,726		9,497
Boston Properties‡		32,950		4,363
Brixmor Property Group‡		32,580		699
Chesapeake Lodging Trust‡		23,174		555
Colony Starwood Homes‡		63,510		2,156
Columbia Property Trust‡		31,000		690
CoreSite Realty‡		16,400		1,477
Cousins Properties, Cl A‡		96,060		794
CubeSmart‡		202,190		5,249
CyrusOne‡		56,665		2,917
DDR‡		241,550		3,027
Digital Realty Trust, Cl A‡		22,265		2,369
Douglas Emmett‡		122,435		4,701
Duke Realty‡		76,090		1,999
Education Realty Trust‡		33,010		1,348
Equinix‡		22,405		8,970
Equity Residential‡		87,335		5,434
Essex Property Trust‡		15,314		3,546
Extra Space Storage‡		29,350		2,183
Federal Realty Investment Trust‡		7,775		1,038
First Industrial Realty Trust‡		24,010		639
GGP		82,490		1,912
HCP‡		247,590		7,745
Healthcare Trust of America, Cl A‡		33,470		1,053
Highwoods Properties‡		24,090		1,184
Host Hotels & Resorts‡		245,684		4,584
Hudson Pacific Properties‡		88,390		3,062
Invitation Homes*		31,530		688
Kimco Realty‡		135,440		2,992
Kite Realty Group Trust‡		47,875		1,029
LaSalle Hotel Properties‡		27,400		793
Liberty Property Trust‡		58,100		2,240
Life Storage		37,675		3,094
Macerich‡		73,409		4,727
Mack-Cali Realty‡		37,860		1,020
Medical Properties Trust‡		52,980		683
Omega Healthcare Investors ‡(A)		19,300		637


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Park Hotels & Resorts		20,101	$	516
Parkway		38,810		772
Pebblebrook Hotel Trust‡		29,875		873
ProLogis‡		188,962		9,803
PS Business Parks‡		5,914		679
Public Storage‡		27,571		6,036
Regency Centers‡		60,370		4,008
RLJ Lodging Trust‡		49,170		1,156
Senior Housing Properties Trust‡		171,050		3,464
Simon Property Group‡		84,448		14,528
SL Green Realty‡		11,950		1,274
STAG Industrial‡		24,480		612
Sunstone Hotel Investors‡		80,910		1,240
Taubman Centers‡		13,300		878
UDR‡		106,565		3,864
Ventas‡		13,570		883
Vornado Realty Trust‡		67,210		6,742
Weingarten Realty Investors‡		141,715		4,732
Welltower‡		65,925		4,669

				177,807

Total Common Stock (Cost $146,625) ($ Thousands)				179,274


AFFILIATED PARTNERSHIP — 0.3%
SEI Liquidity Fund, L.P. 0.870% **†(B)		488,184		488

Total Affiliated Partnership (Cost $488) ($ Thousands)				488


CASH EQUIVALENT — 2.4%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		4,519,299		4,519

Total Cash Equivalent (Cost $4,519) ($ Thousands)				4,519

Total Investments — 100.2% (Cost $151,632) ($ Thousands)			$	184,281

Percentages are based on Net Assets of $183,928 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡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 March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $478 ($ 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 March 31, 2017 was $488 ($ Thousands).

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	179,274	$	—	$	—	$	179,274
Affiliated Partnership		—		488		—		488
Cash Equivalent		4,519		—		—		4,519

Total Investments in Securities	$	183,793	$	488	$	—	$	184,281

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS — 34.7%

Consumer Discretionary — 4.2%
American Honda Finance MTN
1.700%, 02/22/2019	$	250	$	250
AutoZone
1.625%, 04/21/2019		70		69
Daimler Finance North America LLC
1.650%, 05/18/2018 (A)		300		300
1.500%, 07/05/2019 (A)		285		281
Ford Motor Credit LLC
1.950%, 03/12/2019 (B)		200		201
1.897%, 08/12/2019		350		346
General Motors Financial
2.400%, 04/10/2018		200		201
Hyundai Capital America MTN
2.000%, 07/01/2019 (A)		300		297
NBCUniversal Enterprise
1.707%, 04/15/2018 (A) (B)		300		302
Nissan Motor Acceptance MTN
1.912%, 01/13/2022 (A) (B)		200		201
Sinclair Television Group
5.625%, 08/01/2024 (A)		200		203
Sirius XM Radio
5.375%, 04/15/2025 (A)		200		205
Six Flags Entertainment
4.875%, 07/31/2024 (A)		225		223
Volkswagen Group of America Finance
1.520%, 05/22/2018 (A) (B)		300		300

				3,379


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)

Consumer Staples — 3.4%
Anheuser-Busch InBev Finance
1.900%, 02/01/2019	$	320	$	321
Anheuser-Busch InBev Worldwide
1.724%, 08/01/2018 (B)		250		252
CVS Health
1.900%, 07/20/2018		350		351
JM Smucker
1.750%, 03/15/2018		180		180
Kroger
2.000%, 01/15/2019		220		220
Kroger MTN
1.500%, 09/30/2019		285		281
Molson Coors Brewing
1.450%, 07/15/2019		140		138
Mondelez International
1.554%, 02/01/2019 (B)		225		226
Reynolds American
2.300%, 06/12/2018		245		247
Skandinaviska Enskilda Banken
1.690%, 09/13/2019 (A) (B)		300		300
Walgreens Boots Alliance
1.750%, 05/30/2018		225		225

				2,741


Energy — 2.6%
Anadarko Petroleum
6.950%, 06/15/2019		235		258
BP Capital Markets PLC
1.783%, 09/26/2018 (B)		250		252
ConocoPhillips
1.500%, 05/15/2018		200		200
Energy Future Holdings
3.720%, 12/31/2034		4		—
Energy Transfer Partners
2.500%, 06/15/2018		350		352
Kinder Morgan
2.000%, 12/01/2017		270		270
Noble Energy
8.250%, 03/01/2019		250		278
Suncor Energy
6.100%, 06/01/2018		225		237
Total Capital International
1.604%, 08/10/2018 (B)		225		226

				2,073


Financials — 14.8%
ABN AMRO Bank
1.662%, 01/18/2019 (A) (B)		300		301
Bank of America MTN
5.650%, 05/01/2018		110		114
2.190%, 01/20/2023 (B)		150		152


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
2.000%, 01/11/2018	$	190	$	191
Bank of Montreal MTN
1.720%, 12/12/2019 (B)		350		352
Bank of New York Mellon MTN
1.540%, 03/06/2018 (B)		300		301
Bank of Nova Scotia
1.650%, 06/14/2019		200		199
Barclays Bank PLC MTN
6.050%, 12/04/2017 (A)		150		154
BB&T MTN
1.694%, 02/01/2019 (B)		325		327
Branch Banking & Trust
1.450%, 05/10/2019		260		257
Capital One
2.189%, 01/30/2023 (B)		250		251
Citigroup
1.602%, 08/25/2036 (B)		500		404
Cooperatieve Rabobank UA
1.835%, 01/10/2022 (B)		300		302
Credit Agricole MTN
2.079%, 06/10/2020 (A)(B)		250		251
Credit Suisse NY
1.700%, 04/27/2018		250		250
Danske Bank
1.680%, 09/06/2019 (A)(B)		200		200
Deutsche Bank
1.714%, 02/13/2018 (B)		240		240
Fifth Third Bank MTN
1.967%, 08/20/2018 (B)		250		251
Goldman Sachs Group (B)
2.209%, 11/15/2021		275		278
2.142%, 04/26/2022		250		252
HSBC Bank PLC
1.679%, 05/15/2018 (A)(B)		300		301
Huntington National Bank
1.619%, 03/10/2020 (B)		250		250
ING Bank
1.688%, 10/01/2019 (A)(B)		200		201
Jackson National Life Global Funding
1.875%, 10/15/2018 (A)		200		200
JPMorgan Chase
1.669%, 01/28/2019 (B)		300		302
KeyBank
2.350%, 03/08/2019		250		252
Metropolitan Life Global Funding I (B)
1.582%, 12/19/2018 (A)		300		301
1.461%, 09/14/2018 (A)		200		200
Morgan Stanley (B)
2.205%, 01/20/2022		175		176
1.893%, 01/24/2019		225		227
Morgan Stanley MTN
5.950%, 12/28/2017		140		144


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Nordea Bank MTN
1.772%, 09/30/2019 (A)(B)	$	200	$	201
PNC Bank
1.502%, 12/07/2018 (B)		350		351
Protective Life Global Funding
1.722%, 04/15/2019 (A)		235		232
Principal Life Global Funding II
1.500%, 04/18/2019 (A)		250		248
Prudential Financial MTN
1.819%, 08/15/2018 (B)		250		252
Royal Bank of Canada MTN (B)
1.809%, 12/10/2018		200		202
1.422%, 01/10/2019		200		200
Santander UK MTN
1.904%, 08/24/2018 (B)		300		302
Societe Generale MTN
2.078%, 10/01/2018 (B)		300		302
Standard Chartered MTN
1.663%, 04/17/2018 (A) (B)		200		200
State Street
2.131%, 06/15/2037 (B)		375		329
Sumitomo Mitsui Banking
1.549%, 01/11/2019 (B)		250		250
SunTrust Bank
1.556%, 01/31/2020 (B)		250		251
Synchrony Financial
2.265%, 02/03/2020 (B)		200		201
Toronto-Dominion Bank MTN
1.450%, 08/13/2019		200		198
UBS MTN
1.676%, 08/14/2019 (B)		250		251
Wells Fargo
2.134%, 01/24/2023 (B)		150		152
Wells Fargo MTN
1.719%, 01/30/2020 (B)		250		251

				11,954


Health Care — 2.5%
Actavis Funding SCS
2.200%, 03/12/2018 (B)		300		302
Aetna
1.700%, 06/07/2018		350		350
Baxalta
1.936%, 06/22/2018 (B)		250		250
Celgene
2.125%, 08/15/2018		275		276
DaVita
5.000%, 05/01/2025		177		178
Medtronic
1.500%, 03/15/2018		340		340


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Teva Pharmaceutical Finance Netherlands III BV
1.400%, 07/20/2018	$	325	$	323

				2,019


Industrials — 2.9%
Air Lease
2.125%, 01/15/2020		250		248
Catholic Health Initiatives
2.600%, 08/01/2018		305		307
Fortive
1.800%, 06/15/2019 (A)		315		313
Hutchison Whampoa International 14
1.625%, 10/31/2017 (A)		250		250
ILFC E-Capital Trust I
4.660%, 12/21/2065 (A) (B)		500		473
Nielsen Finance
5.000%, 04/15/2022 (A)		300		307
PACCAR Financial MTN
1.300%, 05/10/2019		195		193
Sensata Technologies
5.000%, 10/01/2025 (A)		300		302

				2,393


Information Technology — 1.1%
Broadcom
2.375%, 01/15/2020 (A)		300		300
Cisco Systems
1.492%, 09/20/2019 (B)		225		226
DXC Technology
2.875%, 03/27/2020 (A)		105		106
Fidelity National Information Services
2.850%, 10/15/2018		250		253

				885


Materials — 0.7%
Air Liquide Finance
1.375%, 09/27/2019 (A)		225		222
Boart Longyear Management Properties
10.000%, 10/01/2018 (A)		350		262
Owens-Brockway Glass Container
5.875%, 08/15/2023 (A)		121		128

				612


Real Estate — 0.3%
Equinix
5.750%, 01/01/2025		200		211


Telecommunication Services — 0.8%
AT&T
2.082%, 06/30/2020 (B)		300		304


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Inmarsat Finance
4.875%, 05/15/2022 (A)	$	250	$	247
Verizon Communications
1.375%, 08/15/2019		145		143

				694


Utilities — 1.4%
DTE Energy
1.500%, 10/01/2019		260		256
Emera US Finance
2.150%, 06/15/2019		175		175
Great Plains Energy
2.500%, 03/09/2020		80		80
NextEra Energy Capital Holdings
1.649%, 09/01/2018		90		90
Sempra Energy
1.625%, 10/07/2019		155		153
Southern
1.550%, 07/01/2018		350		349

				1,103

Total Corporate Obligations (Cost $28,230) ($ Thousands)				28,064


LOAN PARTICIPATIONS — 28.8%

Aerospace/Defense — 0.3%
Transdigm, Tranche D Term Loan, 1st Lien
3.998%, 06/04/2021		249		249

				249


Airlines — 0.3%
Air Medical Group Holdings, Initial Term Loan,
1st Lien
4.250%, 04/28/2022		217		217


Building Materials — 1.8%
Ceramtec Acquisition, Dollar Term Loan B1, 1st Lien
4.304%, 08/30/2020		175		175
Ceramtec Acquisition, Dollar Term Loan B3, 1st Lien
4.304%, 08/30/2020		53		54
Ceramtec Acquisition, Initial Dollar Term Loan B2, 1st Lien
4.304%, 08/30/2020		20		20
Constantia Flexibles, Cov-Lite, Initial Term Loan, 1st Lien
4.000%, 04/30/2022		32		32
Constantia Flexibles, Cov-Lite, Term Loan B2A, 1st Lien
4.000%, 04/30/2022		165		165


Description	Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Fairmount Minerals Ltd., Term Loan B2, 1st Lien
4.500%, 09/05/2019	$	160	$	157
Forterra Finance, LLC, Senior Lien Term Loan, 1st Lien
4.500%, 10/25/2023		299		302
Jeld-Wen, Term B-3 Loan, 1st Lien
4.750%, 07/01/2022		537		540

				1,445


Chemicals — 2.4%
Alpha 3 B.V., Initial Term B-1 Loan, 1st Lien
4.000%, 01/31/2024		70		70
Berlin Packaging LLC, Initial Term Loan, 1st Lien
4.500%, 10/01/2021		199		200
Emerald Performance Materials, LLC, Initial Term Loan, 1st Lien
4.500%, 07/30/2021		98		99
Huntsman International LLC, 2023 Term B Loan, 1st Lien
3.842%, 04/01/2023		81		82
3.781%, 04/01/2023		218		220
INEOS, Dollar Term Loan
3.531%, 03/31/2022		355		356
Kleopatra Holdings 2 SCA, Initial German Borrower Dollar Term Loan
4.250%, 04/28/2020		32		32
Kleopatra Holdings 2 SCA, Initial U.S. Dollar Term Loan
4.250%, 04/28/2020		75		76
Kraton Polymers LLC, Term Loan B, 1st Lien
5.000%, 01/06/2022		125		126
Royal Adhesives & Sealants, Cov-Lite, Term Loan, 1st Lien
4.250%, 06/20/2022		125		126
Signode Industrial Group Lux S.A. (Signode Industrial Group US), Initial Term B Loan, 1st Lien
4.000%, 05/01/2021		178		178
Tricorbraun Holdings, Closing Date Term Loan, 1st Lien
4.750%, 11/30/2023		69		70
Wilsonart LLC, Tranche C Term Loan , 1st Lien
4.500%, 12/19/2023		300		303

				1,938


Computers & Electronics — 3.8%
Applied Systems, Initial Term Loan, 1st Lien
4.000%, 01/25/2021		300		301
Avast Software B.V., Term Loan B, 1st Lien
5.000%, 09/30/2022		114		114


Description	Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Dell International LLC (EMC Corporation), New Term B Loan, 1st Lien
3.350%, 09/07/2023	$	182	$	182
Diebold, Dollar Term B Loan, 1st Lien
5.375%, 11/06/2023		80		81
EIG Investors, Term Loan, 1st Lien
6.532%, 11/09/2019		386		387
6.480%, 11/09/2019		2		2
Epicor Software (fka Eagle Parent), Term B Loan, 1st Lien
4.750%, 06/01/2022		295		295
Evergreen Skills Lux SARL, Initial Term Loan, 1st Lien
5.750%, 04/28/2021		285		262
First Data, Extended Term Loan, 1st Lien
3.984%, 03/24/2021		225		227
Go Daddy Operating LLC (GD Finance Co), Initial Term Loan, 1st Lien
3.412%, 02/15/2024 (C)		106		106
GTT Communications, Term Loan, 1st Lien
5.000%, 01/09/2024		78		78
Infoblox, Term Loan, 1st Lien
6.000%, 11/07/2023		178		179
ION Trading Technologies SARL, Tranche B-1 Dollar Term Loan,
4.250%, 08/11/2023		133		133
Kronos, Initial Term Loan,
5.000%, 11/01/2023		—		—
Kronos, Initial Term Loan, 1st Lien
5.034%, 11/01/2023		103		103
LANDesk Group, Cov-Lite, Term Loan B, 1st Lien
5.250%, 01/20/2024		64		64
Oberthur Technologies Holding SAS. (fka OT Frenchco 1 SAS), Facility Term Loan B1 (USD), 1st Lien
4.701%, 01/10/2024		56		57
ON Semiconductor, 2016 New Replacement Term Loan Retired 03/31/2017, 1st Lien
4.031%, 03/31/2023		100		100
Optiv, Initial Term Loan, 1st Lien
4.250%, 02/01/2024		116		116
Optiv, Initial Term Loan, 2nd Lien
8.250%, 01/31/2025		47		47
Rocket Software, Loan, 2nd Lien
10.500%, 10/14/2024		25		25
Rocket Software, Term Loan, 1st Lien
5.250%, 10/14/2023		72		72
Solera, LLC (Solera Finance), Dollar Term Loan, 1st Lien
4.250%, 03/03/2023		47		47


Description	Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
VF Holding, Term B-1 Loan, 1st Lien
4.250%, 06/30/2023 (C)	$	100	$	100

				3,078


Diversified Media — 0.0%
Harland Clarke, Cov-Lite, Term B6 Loan, 1st Lien
6.500%, 02/09/2022		11		11


Entertainment And Leisure — 0.0%
Regal Cinemas, Refinancing Term Loan, 1st Lien
3.281%, 04/01/2022		—		—


Environmental Services — 0.5%
Environmental Resources, Cov-Lite, Term Loan B1, 1st Lien
5.000%, 05/14/2021		21		20
Pardus Oil & Gas LLC, Cov-Lite PIK, Term Loan, 2nd Lien
5.000%, 05/13/2022		33		17
Waste Industries USA, Term B Loan, 1st Lien
3.531%, 02/27/2020		393		395

				432


Equipment leasing — 0.5%
Headwaters, Term Loan B, 1st Lien
4.000%, 03/24/2022		369		369


Food And Beverage — 0.2%
JBS USA Lux SA (fka JBS USA, LLC), Initial Term Loan, 1st Lien
3.289%, 10/30/2022		142		142


Gaming And Hotels — 1.3%
CCM Merger (MotorCity Casino Hotel), Term Loan, 1st Lien
4.031%, 08/06/2021		164		165
ESH Hospitality, Repriced Term Loan, 1st Lien
3.284%, 08/30/2023		424		426
Mohegan Tribal Gaming Authority, Term B Loan, 1st Lien
5.500%, 10/13/2023		295		296
Penn National Gaming, Term B Facility Refinancing Loan, 1st Lien
3.281%, 01/19/2024		40		40
Scientific Games International, Initial Term B-3 Loan,
4.943%, 10/01/2021		1		1
4.846%, 10/01/2021		25		25
Scientific Games International, Initial Term B-3 Loan, 1rst Lien
4.856%, 10/01/2021		90		92


Description	Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Station Casinos LLC, Term B Facility Loan, 1st Lien
3.280%, 06/08/2023	$	—	$	—

				1,045


Health Care — 3.3%
Acadia Healthcare, Term B Loan, 1st Lien
3.781%, 02/11/2022		196		197
Acadia Healthcare, Term B-2 Loan, 1st Lien
3.781%, 02/16/2023		198		199
American Renal Holdings, Term B Loan, 1st Lien
4.750%, 08/20/2019		218		218
BPA Laboratories, Initial Term Loan, 2nd Lien
0.000%, 07/03/2017 (C)		44		29
DJO Finance LLC, Initial Term Loan, 1st Lien
4.250%, 06/08/2020		229		221
Envision Healthcare (fka Emergency Medical Services), Initial Term Loan, 1st Lien
4.000%, 12/01/2023		210		212
Equinox, Cov-Lite, Term Loan, 1st Lien
4.250%, 03/08/2024		287		289
Equinox, Cov-Lite, Term Loan, 2nd Lien
8.000%, 09/06/2024		75		76
Jaguar Holding I, Initial Term Loan, 1st Lien
4.250%, 08/18/2022		120		120
Peabody Energy, Term Loan, 1st Lien
4.250%, 09/24/2020		127		129
Quintiles IMS, Term B-1 Dollar Loan, 1st Lien
3.539%, 03/07/2024		—		—
Siemens Audiology, Term B7 Loan, 1st Lien
4.000%, 01/17/2022		319		322
Sterigenics-Nordion Holdings, LLC, Initial Term
Loan Retired 04/04/2017, 1st Lien
4.250%, 05/15/2022		266		266
Surgical Care Affiliates, Term Loan, 1st Lien
3.750%, 03/17/2022		169		169
U.S. Renal Care, Initial Term Loan, 1st Lien
5.250%, 12/30/2022		197		185
Valeant Pharmaceuticals International, Series
F Tranche B Term Loan,
5.570%, 04/01/2022		57		57

				2,689


Home Furnishings — 0.1%
Comfort Holding, LLC, Initial Term Loan, 1st Lien
5.750%, 02/05/2024		118		118


Insurance — 0.8%
AmWINS Group, Term Loan, 1st Lien
3.750%, 01/25/2024		130		130


Description	Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Asurion, LLC (fka Asurion), Term Loan, 2nd Lien
8.500%, 03/03/2021	$	180	$	182
Hub International Limited, Initial Term Loan, 1st Lien
4.035%, 10/02/2020		299		301

				613


Leasing — 0.1%
CH Hold, Initial Term Loan, 1st Lien
4.000%, 02/01/2024		32		32
CH Hold, Initial Term Loan, 2nd Lien
8.250%, 02/03/2025 (C)		22		22

				54


Machinery — 0.6%
Columbus McKinnon, Initial Term Loan, 1st Lien
4.000%, 01/31/2024		56		57
RBS Global, (Rexnord LLC), Term B Loan Refinancing, 1st Lien
3.903%, 08/21/2023		121		121
3.793%, 08/21/2023		130		130
3.750%, 08/21/2023		27		27
Terex, U.S. Term Loan (2017), 1st Lien
3.539%, 01/31/2024		180		180

				515


Manufacturing — 0.1%
Samsonite International SA, Initial Tranche B
Term Loan, 1st Lien
4.020%, 08/01/2023		45		46


Media — 1.2%
Cumulus Media Holdings, Term Loan, 1st Lien
4.250%, 12/23/2020		144		108
Mission Broadcasting, Term B Loan, 1st Lien
3.943%, 01/17/2024		23		23
Nexstar Broadcasting, Term B Loan, 1st Lien
3.943%, 01/17/2024		244		246
Quebecor Media, Facility B-1 Tranche, 1st Lien
3.539%, 08/17/2020		—		—
Univision Communications, Cov-Lite, Term Loan, 1st Lien
3.750%, 03/15/2024		230		228
WaveDivision Holdings, LLC, Initial Term Loan, 1st Lien
3.750%, 10/15/2019		399		398
3.600%, 10/15/2019		1		1

				1,004


Metals & Mining — 0.3%
Murray Energy, Term B-2 Loan, 1st Lien
8.250%, 04/16/2020		262		254


Description	Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)

Metals/Minerals — 0.1%
Peabody Energy, Term Loan, 1st Lien
0.000%, 02/08/2022 (C)	$	103	$	103


Oil & Gas — 1.6%
California Resources, Loan, 1st Lien
11.375%, 12/31/2021		68		74
Chief Exploration & Development LLC, Term Loan, 2nd Lien
7.932%, 05/16/2021		460		448
Energy Transfer Equity, LP, Loan, 1st Lien
3.539%, 02/02/2024		250		249
Pardus Oil and Gas, LLC (fka Energy & Exploration Partners, LLC), Tranche A Term Loan, 1st Lien
13.000%, 11/12/2021		63		60
Seadrill Operating LP (Seadrill Partners Finco LLC), Initial Term Loan, 1st Lien
4.000%, 02/21/2021		624		422

				1,253


Personal Services — 0.2%
Weight Watchers International, Initial Tranche B-2 Term Loan, 1st Lien
4.250%, 04/02/2020		114		105
4.070%, 04/02/2020		39		37

				142


Printing & Publishing — 0.6%
A-L Parent LLC, Initial Term Loan, 1st Lien
4.250%, 12/01/2023		45		45
Dex Media, Loan, 1st Lien
11.000%, 07/29/2021		62		62
DH Publishing, LP, Term B-4 Loan, 1st Lien
3.580%, 08/22/2022		202		203
Fort Dearborn Holding, Initial Term Loan, 1st Lien
6.750%, 10/19/2023		—		—
5.000%, 10/19/2023		37		38
McGraw-Hill Global Education Holdings, LLC, Term B Loan, 1st Lien
5.000%, 05/04/2022		100		99

				447


Professional & Business Services — 4.1%
Affinion Group, Initial Second Lien Term Loan, 2nd Lien
8.500%, 10/31/2018		80		78
Affinion Group, Tranche B Term Loan, 1st Lien
6.750%, 04/30/2018		298		296
Albertson’s LLC, Term B4 Loan, 1st Lien
3.781%, 08/25/2021		100		100
Ancestry.com Operations, Term Loan, 1st Lien
4.250%, 10/19/2023 (C)		—		—


Description	Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Bright Horizons Family Solutions, Delayed Term Loan, 1st Lien
3.500%, 11/07/2023	$	263	$	265
Checkout Holding, Term Loan B, 1st Lien
4.500%, 04/09/2021		141		127
Conduent Incorporated, Term B Loan, 1st Lien
6.334%, 12/07/2023		107		108
Flex Acquisition, Initial Term Loan, 1st Lien
4.250%, 12/29/2023		136		137
LBM Borrower, LLC, Cov-Lite, Term Loan, 1st Lien
6.304%, 08/20/2022		90		91
6.250%, 08/20/2022		38		38
Nelson Education Ltd., Term Loan, 1st Lien
12.000%, 10/01/2020		161		83
Onex York Acquisition, Term Loan B, 1st Lien
4.750%, 10/01/2021		470		456
Press Ganey Holdings, Initial Term Loan, 1st Lien
4.250%, 10/23/2023		300		301
Reynolds Group Holdings, U.S. Term Loan, 1st Lien
3.980%, 02/05/2023		384		385
Sai Global, Term Loan B, 1st Lien
5.500%, 12/08/2023		74		75
Team Health Holdings, Initial Term Loan, 1st Lien
3.750%, 02/06/2024		204		202
Trans Union LLC, 2016 Incremental Term B-2 Commitment
3.281%, 04/09/2023		175		176
UPC Financing Partnership , Facility AP, 1st Lien
3.662%, 04/15/2025		360		361

				3,279


Real Estate — 0.2%
RE/MAX, LLC (fka RE/MAX International, LLC), Term Loan, 1st Lien
3.662%, 12/15/2023		256		256


Retail Food & Drug — 0.3%
1011778 BC ULC/ New Red Finance (aka Burger King/Tim Horton’s), Term Loan B2, 1st Lien
3.250%, 02/16/2024		65		65
BJ’s Wholesale Club, Cov-Lite, Term Loan B, 1st Lien
4.750%, 02/03/2024		70		69
Focus Brands, Cov-Lite, Term Loan, 1st Lien
5.000%, 10/05/2023		50		50

				184


Description	Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)

Retailing — 1.3%
Academy Ltd., Term Loan B, 1st Lien
5.102%, 07/01/2022	$	49	$	36
5.000%, 07/01/2022		98		72
Academy, Ltd., Initial Term Loan, 1st Lien
5.000%, 07/01/2022		20		15
Harbor Freight Tools USA, Initial Loan (2016), 1st Lien
3.789%, 08/18/2023		214		213
Party City, Cov-Lite, Term Loan B, 1st Lien
3.860%, 08/19/2022		65		65
3.790%, 08/19/2022		1		1
PETCO Animal Supplies, Cov-Lite, Term Loan B1, 1st Lien
4.287%, 01/26/2023		84		79
PetSmart, Term Loan B, 1st Lien
4.020%, 03/11/2022		99		94
Seminole Hard Rock Entertainment (Seminole Hard Rock International, LLC), Term Loan, 1st Lien
3.520%, 05/14/2020		489		491

				1,066


Securities & Trusts — 0.3%
Communications Sales & Leasing (CSL Capital, LLC), Shortfall Term Loan, 1st Lien
4.000%, 10/24/2022		274		273


Telecommunications — 2.0%
Coral-US Co-Borrower LLC, Term B-1 Loan, 1st Lien
5.531%, 12/30/2022		51		52
DigitalGlobe, Term Loan, 1st Lien
3.531%, 01/15/2024		200		201
Greeneden U.S. Holdings I, LLC, Tranche B-1 Dollar Term Loan, 1st Lien
5.025%, 12/01/2023		5		5
Intelsat Jackson Holdings S.A., Tranche B-2 Term Loan, 1st Lien
3.750%, 06/30/2019 (B)		144		141
LTS Buyer LLC (Sidera Networks, Inc.), Term B Loan, 1st Lien
4.248%, 04/13/2020		278		279
Masergy Holdings, Term B Loan, 1st Lien
5.500%, 12/15/2023		60		60
Radiate Holdco, LLC, Closing Date Term Loan, 1st Lien
3.781%, 02/01/2024		121		121
SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan
3.040%, 03/24/2021		—		—


Description	Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Sprint Communications, Initial Term Loan, 1st Lien
3.313%, 02/02/2024	$	234	$	234
Telenet Financing USD LLC, Term Loan AF Facility, 1st Lien
3.912%, 01/31/2025		150		150
WideOpenWest Finance, LLC, New Term B Loan, 1st Lien
4.500%, 08/18/2023		308		310
Zayo Group LLC (Zayo Capital), 2017 Incremental Refinancing B-2 Term Loan, 1st Lien
3.500%, 01/19/2024		43		43

				1,596


Transportation — 0.2%
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		145

				191


Utilities — 0.3%
Dynegy, Tranche C-1 Term Loan, 1st Lien
4.250%, 06/27/2023		45		45
Environmental Resources, Cov-Lite, Term Loan B1, 1st Lien
5.000%, 05/14/2021		25		23
Mueller Water Products, Initial Loan, 1st Lien
3.279%, 11/25/2021		96		97
Vistra Operations LLC (fka Tex Operations LLC), 2016 Incremental Term Loan, 1st Lien
4.193%, 12/14/2023		114		114
Vistra Operations LLC (fka Tex Operations LLC), Initial Term C Loan, 1st Lien
3.531%, 08/04/2023		—		—

				279

Total Loan Participations (Cost $23,752) ($ Thousands)				23,288


ASSET-BACKED SECURITIES — 16.8%

Automotive — 6.1%
AmeriCredit Automobile Receivables Trust, Ser 2014-2, Cl A3
0.940%, 02/08/2019		78		78
AmeriCredit Automobile Receivables Trust, Ser 2015-1, Cl A3
1.260%, 11/08/2019		122		122


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
AmeriCredit Automobile Receivables Trust, Ser 2016-2, Cl A3
1.600%, 11/09/2020	$	205	$	205
Americredit Automobile Receivables Trust, Ser 2016-4, Cl A2A
1.340%, 04/08/2020		325		325
Capital Auto Receivables Asset Trust, Ser 2015- 3, Cl A2
1.720%, 01/22/2019		445		445
Chesapeake Funding LLC, Ser 2013-1A, Cl A
1.226%, 01/07/2025 (A)(B)		83		83
Chesapeake Funding LLC, Ser 2014-1A, Cl A
1.196%, 03/07/2026 (A)(B)		186		185
Chrysler Capital Auto Receivables Trust, Ser 2014-AA, Cl A4
1.310%, 05/15/2019 (A)		47		47
Enterprise Fleet Financing, Ser 2016-2, Cl A2
1.740%, 02/22/2022 (A)		255		254
First Investors Auto Owner Trust, Ser 2016-1A, Cl A1
1.920%, 05/15/2020 (A)		172		172
Ford Credit Auto Lease Trust, Ser 2015-B, Cl B
1.920%, 03/15/2019		325		324
Ford Credit Floorplan Master Owner Trust, Ser 2016-4, Cl A
1.300%, 07/15/2020 (B)		290		291
Ford Credit Floorplan Master Owner Trust, Ser 2016-5, Cl A1
1.950%, 11/15/2021		150		150
GLS Auto Receivables Trust, Ser 2016-1A, Cl A
2.730%, 10/15/2020 (A)		199		199
GM Financial Automobile Leasing Trust, Ser 2015-1, Cl A3
1.530%, 09/20/2018		210		210
GM Financial Automobile Leasing Trust, Ser 2015-2, Cl A3
1.680%, 12/20/2018		85		85
GM Financial Automobile Leasing Trust, Ser 2016-2, Cl A3
1.620%, 09/20/2019		230		230
Hyundai Auto Lease Securitization Trust, Ser 2016-B, Cl A3
1.520%, 10/15/2019 (A)		200		200
Hyundai Auto Lease Securitization Trust, Ser 2017-A, Cl A2A
1.560%, 07/15/2019 (A)		195		195
Santander Drive Auto Receivables Trust, Ser 2015-5, Cl A3
1.580%, 09/16/2019		285		285
Toyota Auto Receivables Owner Trust, Ser 2016-B, Cl A3
1.300%, 04/15/2020		100		100


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Westlake Automobile Receivables Trust, Ser 2015-2A, Cl A2A
1.280%, 07/16/2018 (A)	$	13	$	13
Westlake Automobile Receivables Trust, Ser 2016-2A, Cl A2
1.570%, 06/17/2019 (A)		258		258
Westlake Automobile Receivables Trust, Ser 2016-2A, Cl B
2.300%, 11/15/2019 (A)		350		351
Westlake Automobile Receivables Trust, Ser 2017-1A, Cl A2
1.780%, 04/15/2020 (A)		100		100
Wheels SPV 2 LLC, Ser 2014-1A, Cl A2
0.840%, 03/20/2023 (A)		4		4

				4,911


Credit Cards — 0.8%
Cabela’s Credit Card Master Note Trust, Ser 2016-1, Cl A1
1.780%, 06/15/2022		355		354
Capital One Multi-Asset Execution Trust, Ser 2016-A1, Cl A1
1.362%, 02/15/2022 (B)		300		302

				656


Other Asset-Backed Securities — 9.9%
Accredited Mortgage Loan Trust, Ser 2004-4, Cl A1A
1.458%, 01/25/2035 (B)		167		165
Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates, Ser 2004-3, Cl A2B
1.878%, 09/25/2034 (B)		59		59
Apidos CLO XII, Ser 2013-12A, Cl A
1.980%, 04/15/2025 (A) (B)		550		551
Cent CLO 20, Ser 2014-20A, Cl A
2.362%, 01/25/2026 (A) (B)		625		625
Cent CLO, Ser 2014-16AR, Cl A1AR
2.136%, 08/01/2024 (A) (B)		482		482
CIFC Funding Ltd., Ser 2013-1A, Cl A1
2.030%, 04/16/2025 (A) (B)		485		485
CNH Equipment Trust, Ser 2016-B, Cl A2A
1.310%, 10/15/2019		184		184
Dryden XXXI Senior Loan Fund, Ser 2014-31A, Cl A
2.232%, 04/18/2026 (A) (B)		510		510
Dryden XXXI Senior Loan Fund, Ser 2017-31A, Cl AR
%, 04/18/2026 (A) (B)		350		350
First Franklin Mortgage Loan Trust, Ser 2006- FF1, Cl 2A3
1.018%, 01/25/2036 (B)		118		117


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Limerock CLO II, Ser 2017-2A, Cl AR
2.310%, 04/18/2026 (A) (B)	$	300	$	300
Nationstar HECM Loan Trust, Ser 2015-2A, Cl A
2.883%, 11/25/2025 (A)		39		39
Nationstar HECM Loan Trust, Ser 2016-1A, Cl A
2.981%, 02/25/2026 (A)		67		67
Nationstar HECM Loan Trust, Ser 2016-2A, Cl A
2.239%, 06/25/2026 (A)		122		123
NYCTL Trust, Ser 2015-A, Cl A
1.340%, 11/10/2028 (A)		112		111
NYCTL Trust, Ser 2016-A, Cl A
1.470%, 11/10/2029 (A)		102		102
Octagon Investment Partners XVI Ltd., Ser 2013-1A, Cl A
2.000%, 07/17/2025 (A) (B)		550		550
OHA Credit Partners VIII Ltd., Ser 2013-8A, Cl A
2.001%, 04/20/2025 (A) (B)		330		330
Race Point VI CLO Ltd., Ser 2014-6A, Cl BR
3.080%, 05/24/2023 (A) (B)		525		525
SLM Student Loan Trust, Ser 2004-1, Cl A3
1.092%, 04/25/2023 (B)		352		352
SLM Student Loan Trust, Ser 2005-4, Cl A3
1.002%, 01/25/2027 (B)		137		136
SLM Student Loan Trust, Ser 2008-5, Cl A4
2.582%, 07/25/2023 (B)		334		341
SLM Student Loan Trust, Ser 2008-9, Cl A
2.538%, 04/25/2023 (B)		156		159
SLM Student Loan Trust, Ser 2011-1, Cl A1
1.298%, 03/25/2026 (B)		277		278
SPS Servicer Advance Receivables Trust, Ser 2016-T1, Cl AT1
2.530%, 11/16/2048 (A)		151		150
Structured Asset Securities Mortgage Loan Trust, Ser 2006-GEL3, Cl A2
1.008%, 07/25/2036 (A) (B)		55		55
Symphony CLO Ltd., Ser 2014-8AR, Cl BR
2.626%, 01/09/2023 (A) (B)		805		805
Volvo Financial Equipment LLC, Ser 2014-1A, Cl A3
0.820%, 04/16/2018 (A)		19		19

				7,970

Total Asset-Backed Securities (Cost $13,532) ($ Thousands)				13,537


MORTGAGE-BACKED SECURITIES — 11.5%

Agency Mortgage-Backed Obligations — 3.2%
FHLMC
6.000%, 09/01/2026		55		62
FNMA
6.500%, 09/01/2026		41		46
6.000%, 11/01/2026 to 04/01/2040		328		370


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
5.000%, 02/01/2023 to 03/01/2025	$	78	$	83
FNMA TBA
3.500%, 04/01/2041		900		936
FNMA, Ser 2017-KT01
1.091%, 02/25/2020		65		65
FREMF Mortgage Trust, Ser 2013-K502, Cl C
2.900%, 03/25/2045 (A) (B)		260		260
FREMF Mortgage Trust, Ser 2014-K503, Cl C
3.002%, 10/25/2047 (A) (B)		155		152
NCUA Guaranteed Notes, Ser 2010-R1, Cl 1A
1.227%, 10/07/2020 (B)		224		224
NCUA Guaranteed Notes, Ser 2011-R1, Cl 1A
1.227%, 01/08/2020 (B)		302		303
NCUA Guaranteed Notes, Ser 2011-R3, Cl 1A
1.165%, 03/11/2020 (B)		95		95
NCUA Guaranteed Notes, Ser 2011-R4, Cl 1A
1.157%, 03/06/2020 (B)		25		25

				2,621


Non-Agency Mortgage-Backed Obligations — 8.3%
Adjustable Rate Mortgage Trust, Ser 2005-4, Cl 7A2
1.238%, 08/25/2035 (B)		27		27
Banc of America Mortgage Securities, Ser 2004-J, Cl 2A1
3.391%, 11/25/2034 (B)		52		51
Banc of America Mortgage Securities, Ser 2005-C, Cl 2A2
3.207%, 04/25/2035 (B)		163		151
Banc of America Mortgage Securities, Ser 2005-I, Cl 2A1
3.239%, 10/25/2035 (B)		135		125
Citigroup Commercial Mortgage Trust, Ser 2007-C6, Cl A4
5.724%, 12/10/2049 (B)		205		205
Citigroup Commercial Mortgage Trust, Ser 2008-C7, Cl A4
6.126%, 12/10/2049 (B)		398		402
Citigroup Mortgage Loan Trust, Ser 2004- HYB3, Cl 1A
3.107%, 09/25/2034 (B)		43		42
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD5, Cl A4
5.886%, 11/15/2044 (B)		275		277
COMM Mortgage Trust, Ser 2013-CR10, Cl A1
1.278%, 08/10/2046		116		116
COMM Mortgage Trust, Ser 2014-BBG, Cl A
1.570%, 03/15/2029 (A)(B)		340		340
FHLMC Structured Agency Credit Risk Debt
1.970%, 04/25/2029		248		249


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2013-DN1, Cl M1
4.178%, 07/25/2023 (B)	$	221	$	224
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DN1, Cl M2
3.382%, 01/25/2025 (B)		238		239
FNMA Connecticut Avenue Securities, Ser 2014- C02, Cl 1M1
1.728%, 05/25/2024 (B)		135		135
FNMA Connecticut Avenue Securities, Ser 2014- C02, Cl 2M1
1.728%, 05/25/2024 (B)		48		48
FNMA Connecticut Avenue Securities, Ser 2014- C03, Cl 1M1
1.978%, 07/25/2024 (B)		145		146
FNMA Connecticut Avenue Securities, Ser 2017- C02, Cl 2M1
2.093%, 09/25/2029 (B)		105		105
GS Mortgage Securities, Ser 2010-C2, Cl A1
3.849%, 12/10/2043 (A)		54		55
GS Mortgage Securities, Ser 2013-GC13, Cl A1
1.206%, 07/10/2046		27		27
Impac CMB Trust, Ser 2005-1, Cl 1A1
1.298%, 04/25/2035 (B)		159		146
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C13, Cl A1
1.303%, 01/15/2046		22		22
JPMorgan Mortgage Trust, Ser 2006-A6, Cl 4A1
3.140%, 10/25/2036 (B)		319		299
LB-UBS Commercial Mortgage Trust, Ser 2007- C6, Cl A4
5.858%, 07/15/2040 (B)		252		252
LB-UBS Commercial Mortgage Trust, Ser 2008- C1, Cl A2
6.120%, 04/15/2041 (B)		283		291
Merrill Lynch Mortgage Investors, Ser 2005- A1, Cl 1A
3.290%, 12/25/2034 (B)		116		115
Morgan Stanley Re-REMIC Trust, Ser 2012-IO, Cl AXA
1.000%, 03/27/2051 (A)		118		117
Mortgage Repurchase Agreement Financing Trust, Ser 2016-5, Cl A
1.942%, 06/10/2019 (A)(B)		300		300
MortgageIT Trust, Ser 2005-5, Cl A1
1.038%, 12/25/2035 (B)		458		424
Option One Mortgage Loan Trust, Ser 2005-1, Cl A1A
1.278%, 02/25/2035 (B)		90		90
Sequoia Mortgage Trust, Ser 2004-10, Cl A2
1.421%, 11/20/2034 (B)		105		97
Sequoia Mortgage Trust, Ser 2004-11, Cl A1
1.381%, 12/20/2034 (B)		81		79


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
Sequoia Mortgage Trust, Ser 2005-2, Cl A1
1.001%, 03/20/2035 (B)	$	51	$	47
Towd Point Mortgage Trust, Ser 2015-4, Cl A1B
2.750%, 04/25/2055 (A) (B)		126		126
Towd Point Mortgage Trust, Ser 2015-5, Cl A1B
2.750%, 05/25/2055 (A) (B)		131		131
Towd Point Mortgage Trust, Ser 2016-1, Cl A1B
2.750%, 02/25/2055 (A) (B)		137		137
Towd Point Mortgage Trust, Ser 2016-3, Cl A1
2.250%, 08/25/2055 (A) (B)		273		270
Towd Point Mortgage Trust, Ser 2016-4, Cl A1
2.250%, 07/25/2056 (A) (B)		423		419
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C3, Cl A1
0.726%, 08/10/2049		7		7
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR2, Cl 1A1
2.822%, 03/25/2036 (B)		196		182
Wells Fargo Commercial Mortgage Trust, Ser 2012-LC5, Cl A1
0.687%, 10/15/2045		20		20
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-BB, Cl A2
3.074%, 01/25/2035 (B)		129		129
WFRBS Commercial Mortgage Trust, Ser 2012- C9, Cl A1
0.673%, 11/15/2045		15		15

				6,679

Total Mortgage-Backed Securities (Cost $9,433) ($ Thousands)				9,300


MUNICIPAL BONDS — 0.6%

Florida — 0.5%
Florida State, Board of Administration Finance, Ser A, RB
2.163%, 07/01/2019		350		352


Indiana — 0.1%
City of Whiting, RB, AMT
1.660%, 12/01/2044 (B)		100		100

Total Municipal Bonds (Cost $450) ($ Thousands)				452


Description	Shares		Market Value ($ Thousands)

PREFERRED STOCK — 0.3%
TE Holdcorp, 0.000% *		16,542	$	203

Total Preferred Stock (Cost $154) ($ Thousands)				203


COMMON STOCK — 0.2%
Dex Media *		23,332		63
Energy & Exploration Partners *		85		1
Nelson Education *		26,098		1
TE Holdcorp *		11,340		84
Vistra Energy		2,451		40

Total Common Stock (Cost $594) ($ Thousands)				189


	Number of Rights

RIGHTS — 0.0%
Texas Competitive Electric Holdings LLC, Taxable Recievable Agreement Rights
0.000*‡‡		2,451		3

Total Rights (Cost $3) ($ Thousands)				3


	Shares

CASH EQUIVALENT — 3.3%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		2,646,086		2,646

Total Cash Equivalent (Cost $2,646) ($ Thousands)				2,646


	Face Amount (Thousands)

REPURCHASE AGREEMENT(D) — 5.9%
Goldman Sachs 0.790%, dated 03/31/2017, to be repurchased on 04/03/2017, repurchase price $4,800,316 (collateralized by FNMA obligation, par value $5,396,983, 3.500%, 02/01/2018; total market value $4,896,000)	$	4,800		4,800

Total Repurchase Agreement (Cost $4,800) ($ Thousands)				4,800

Total Investments — 102.1% (Cost $83,594) ($ Thousands)			$	82,482

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
U.S. 2-Year Treasury Note		(16	)		Jul-2017	$	(3	)
U.S. 5-Year Treasury Note		4			Jun-2017		1
U.S. 10-Year Treasury Note		(8	)		Jun-2017		(3	)

						$	(5	)

Percentages are based on Net Assets of $80,816 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

‡‡

No expiration date available.

(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 March 31, 2017, the value of these securities amounted to $19,059 ($ Thousands), representing 23.6% 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 March 31, 2017.

(C)

Unsettled bank loan. Interest rate not available.

(D)

Tri-Party Repurchase Agreement.

AMT — Alternative Minimum Tax

Cl — 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

LP — Limited Partnership

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 March 31, 2017, 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	$	—	$	28,064	$	—	$	28,064
Loan Participations		—		23,271		17		23,288
Asset-Backed Securities		—		13,537		—		13,537
Mortgage-Backed Securities		—		9,300		—		9,300
Repurchase Agreement		—		4,800		—		4,800
Municipal Bonds		—		452		—		452
Preferred Stock		—		203		—		203
Common Stock		40		148		1		189
Rights		—		3		—		3
Cash Equivalent		2,646		—		—		2,646

Total Investments in Securities	$	2,686	$	79,778	$	18	$	82,482


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	1		$	—	$	—	$	1
Unrealized Depreciation		(6	)		—		—		(6	)

Total Other Financial Instruments	$	(5	)	$	—	$	—	$	(5	)

Futures contracts are valued at the unrealized appreciation (depreciation) 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 period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 32.1%

Agency Mortgage-Backed Obligations — 26.4%
FHLMC
7.500%, 05/01/2031 to 09/01/2032	$	276	$	301
7.000%, 05/01/2024 to 03/01/2039		306		339
6.500%, 06/01/2017 to 09/01/2039		165		185
6.000%, 03/01/2020 to 07/01/2037		962		1,035
5.500%, 06/01/2020 to 11/01/2035		834		884
5.000%, 10/01/2018 to 06/01/2044		4,728		5,165
4.500%, 08/01/2020 to 01/01/2045		2,585		2,763
4.000%, 04/01/2019 to 03/01/2047		14,781		15,570
3.500%, 06/01/2026 to 12/01/2046		45,291		46,754
3.000%, 02/01/2027 to 01/01/2047		24,279		24,142
2.500%, 12/01/2031		3,288		3,292
FHLMC ARM
3.090%, 02/01/2045 (A)		373		384
FHLMC CMO, Ser 1988-1, Cl Z
9.300%, 04/15/2019		2		2
FHLMC CMO, Ser 1997-1983, Cl Z
6.500%, 12/15/2023		421		457
FHLMC CMO, Ser 2001-2277, Cl B
7.500%, 01/15/2031		80		96
FHLMC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/2032		508		569
FHLMC CMO, Ser 2005-2945, Cl SA
10.652%, 03/15/2020 (A)		121		126
FHLMC CMO, Ser 2006-R007, Cl ZA
6.000%, 05/15/2036		986		1,109
FHLMC CMO, Ser 2007-3294, Cl CB
5.500%, 03/15/2037		199		221


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FHLMC CMO, Ser 2008-3451, Cl SB, IO
5.118%, 05/15/2038 (A)	$	70	$	10
FHLMC CMO, Ser 2010-3621, Cl SB, IO
5.318%, 01/15/2040 (A)		83		14
FHLMC CMO, Ser 2011-3829, Cl ED
3.500%, 10/15/2028		176		178
FHLMC CMO, Ser 2011-3838, Cl QE
3.500%, 01/15/2029		278		283
FHLMC CMO, Ser 2011-3947, Cl SG, IO
5.038%, 10/15/2041 (A)		613		105
FHLMC CMO, Ser 2012-4054, Cl SA, IO
5.138%, 08/15/2039 (A)		1,063		141
FHLMC CMO, Ser 2012-4092, Cl AI, IO
3.000%, 09/15/2031		1,073		107
FHLMC CMO, Ser 2013-4174, Cl SA, IO
5.288%, 05/15/2039 (A)		353		46
FHLMC CMO, Ser 2013-4203, Cl PS, IO
5.338%, 09/15/2042 (A)		356		59
FHLMC CMO, Ser 2014-4415, Cl IO, IO
1.887%, 04/15/2041 (A)		611		34
FHLMC CMO, Ser 2015-4425, Cl A
4.000%, 09/15/2040		628		665
FHLMC CMO, Ser 2015-4529, Cl HC
3.000%, 10/15/2039		263		266
FHLMC CMO, Ser 2016-4640, Cl LD
4.000%, 09/15/2043		1,965		2,080
FHLMC Multifamily Structured Pass-Through Certificates, Ser KW02, Cl A1
2.896%, 04/25/2026		935		947
FHLMC Multifamily Structured Pass-Through Certificates, Ser K008, Cl X1, IO
1.619%, 06/25/2020 (A)		2,754		103
FHLMC Multifamily Structured Pass-Through Certificates, Ser K015, Cl X1, IO
1.611%, 07/25/2021 (A)		1,328		77
FHLMC Multifamily Structured Pass-Through Certificates, Ser K016, Cl X1, IO
1.537%, 10/25/2021 (A)		285		16
FHLMC Multifamily Structured Pass-Through Certificates, Ser K151, Cl A3
3.511%, 04/25/2030		1,465		1,486
FHLMC TBA
4.000%, 05/15/2041 to 04/15/2045		9,540		9,998
3.500%, 04/01/2041 to 05/01/2041		10,300		10,527
3.000%, 04/15/2043 to 05/15/2043		8,000		7,919
FNMA
7.000%, 09/01/2026 to 02/01/2039		1,123		1,266
6.500%, 05/01/2017 to 05/01/2040		990		1,136
6.000%, 10/01/2019 to 07/01/2037		2,379		2,701
5.500%, 06/01/2018 to 08/01/2038		306		332
5.000%, 01/01/2020 to 07/01/2044		6,518		7,210
4.500%, 01/01/2020 to 02/01/2047		23,234		25,117


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
4.000%, 08/01/2020 to 12/31/2049	$	64,289	$	67,899
3.840%, 08/01/2021		2,922		3,094
3.762%, 12/01/2020		2,732		2,859
3.665%, 10/01/2020		1,554		1,625
3.619%, 12/01/2020		1,825		1,905
3.500%, 10/01/2025 to 12/31/2050		31,204		32,519
3.330%, 10/01/2029		1,246		1,267
3.080%, 01/01/2027		560		563
3.010%, 04/01/2028		1,320		1,312
3.000%, 11/01/2026 to 02/01/2047		14,616		14,773
2.830%, 06/01/2022		1,159		1,189
2.600%, 10/01/2031		1,370		1,268
2.510%, 08/01/2026		1,328		1,292
2.500%, 10/01/2026 to 10/01/2042		3,830		3,839
FNMA ACES, Ser 2012-M14, Cl X2, IO
0.494%, 09/25/2022 (A)		18,645		391
FNMA ACES, Ser 2014-M12, Cl FA
1.074%, 10/25/2021 (A)		867		870
FNMA ACES, Ser 2014-M2, Cl A2
3.513%, 12/25/2023 (A)		1,770		1,867
FNMA ACES, Ser 2015-M13, Cl A2
2.711%, 06/25/2025 (A)		130		129
FNMA ACES, Ser 2015-M2, Cl A3
3.046%, 12/25/2024 (A)		2,546		2,564
FNMA ACES, Ser 2015-M3, Cl FA
0.991%, 06/25/2018 (A)		827		827
FNMA ACES, Ser 2016-M11, Cl A2
2.369%, 07/25/2026 (A)		802		764
FNMA ACES, Ser 2017-M1, Cl A2
2.416%, 10/25/2026 (A)		608		580
FNMA ARM
4.377%, 04/01/2040 (A)		264		277
3.259%, 04/01/2047 (A)		946		971
3.192%, 10/01/2043 (A)		340		352
3.139%, 03/01/2047 (A)		799		826
2.567%, 11/01/2035 (A)		237		246
2.528%, 11/01/2035 (A)		942		978
2.482%, 10/01/2035 (A)		1,050		1,090
2.421%, 10/01/2035 (A)		152		158
FNMA CMO STRIPS, Ser 2012-409, Cl C13, IO
3.500%, 11/25/2041		522		92
FNMA CMO STRIPS, Ser 2012-409, Cl C2, IO
3.000%, 04/25/2027		782		69
FNMA CMO STRIPS, Ser 2012-409, Cl C22, IO
4.500%, 11/25/2039		601		123
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/2029		224		245
FNMA CMO, Ser 2005-117, Cl LC
5.500%, 11/25/2035		694		743
FNMA CMO, Ser 2005-360, Cl 2, IO
5.000%, 08/01/2035		1,673		336


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2006-112, Cl ST, IO
5.922%, 11/25/2036 (A)	$	1,481	$	173
FNMA CMO, Ser 2007-108, Cl AN
8.204%, 11/25/2037 (A)		114		137
FNMA CMO, Ser 2008-22, Cl SI, IO
5.652%, 03/25/2037 (A)		2,187		101
FNMA CMO, Ser 2009-86, Cl BO, PO(B)
0.000%, 03/25/2037 (B)		1,813		1,642
FNMA CMO, Ser 2010-150, Cl SK, IO
6.345%, 01/25/2041 (A)		479		78
FNMA CMO, Ser 2011-43, Cl AN
3.500%, 12/25/2028		332		336
FNMA CMO, Ser 2011-59, Cl NZ
5.500%, 07/25/2041		2,331		2,657
FNMA CMO, Ser 2011-90, Cl QI, IO
5.000%, 05/25/2034		683		53
FNMA CMO, Ser 2011-96, Cl SA, IO
5.568%, 10/25/2041 (A)		1,661		271
FNMA CMO, Ser 2012-133, Cl CS, IO
5.372%, 12/25/2042 (A)		472		93
FNMA CMO, Ser 2012-28, Cl B
6.500%, 06/25/2039		89		98
FNMA CMO, Ser 2012-46, Cl BA
6.000%, 05/25/2042		433		490
FNMA CMO, Ser 2012-70, Cl YS, IO
5.872%, 02/25/2041 (A)		132		18
FNMA CMO, Ser 2012-74, Cl SA, IO
5.872%, 03/25/2042 (A)		515		86
FNMA CMO, Ser 2012-74, Cl OA, PO(B)
0.000%, 03/25/2042 (B)		40		36
FNMA CMO, Ser 2012-75, Cl AO, PO(B)
0.000%, 03/25/2042 (B)		79		73
FNMA CMO, Ser 2013-35, Cl CL
3.000%, 02/25/2043		6,875		6,819
FNMA CMO, Ser 2013-9, Cl BC
6.500%, 07/25/2042		478		545
FNMA CMO, Ser 2013-9, Cl SA, IO
5.372%, 03/25/2042 (A)		633		97
FNMA CMO, Ser 2013-9, Cl CB
5.500%, 04/25/2042		3,487		3,865
FNMA CMO, Ser 2014-40, Cl EP
3.500%, 10/25/2042		440		458
FNMA CMO, Ser 2014-M4, Cl A2
3.346%, 03/25/2024 (A)		2,795		2,898
FNMA CMO, Ser 2015-55, Cl IO, IO
1.690%, 08/25/2055 (A)		1,182		65
FNMA CMO, Ser 2016-106, Cl BA
3.000%, 06/25/2045		713		722
FNMA CMO, Ser 2016-59, Cl CA
3.500%, 09/25/2043		1,864		1,938
FNMA CMO, Ser 2016-60, Cl QS, IO
5.322%, 09/25/2046 (A)		537		93


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2016-89, Cl HA
3.000%, 12/25/2046	$	415	$	422
FNMA Interest CMO, Ser 2009-397, Cl 6
2.000%, 09/25/2039		607		591
FNMA Multifamily Megas, Ser 141, Cl 1
2.966%, 05/01/2027 (A)		2,235		2,221
FNMA TBA
5.000%, 04/30/2037		1,500		1,639
4.500%, 04/14/2033		24,855		26,649
4.000%, 04/01/2039 to 06/15/2045		25,650		26,870
3.500%, 04/01/2041 to 05/15/2045		10,140		10,370
3.000%, 04/25/2026 to 04/01/2043		24,115		24,097
FREMF Mortgage Trust, Ser 2012-K20, Cl X2A, IO
0.200%, 05/25/2045 (C)		12,607		101
GNMA
8.000%, 11/15/2029 to 09/15/2030		53		57
7.500%, 03/15/2029		63		74
6.500%, 07/15/2028 to 08/15/2039		2,096		2,412
6.000%, 10/15/2023 to 10/20/2040		3,874		4,453
5.000%, 12/20/2039 to 11/20/2045		934		1,029
4.500%, 03/15/2041 to 05/15/2046		2,923		3,186
4.000%, 07/15/2045 to 01/20/2047		8,677		9,214
3.500%, 03/20/2046 to 02/20/2047		11,739		12,186
3.000%, 12/20/2046		4,804		4,852
GNMA CMO, Ser 2007-17, Cl IB, IO
5.272%, 04/20/2037 (A)		730		122
GNMA CMO, Ser 2010-31, Cl GS, IO
5.522%, 03/20/2039 (A)		90		8
GNMA CMO, Ser 2010-4, Cl NS, IO
5.462%, 01/16/2040 (A)		5,459		971
GNMA CMO, Ser 2010-85, Cl HS, IO
5.672%, 01/20/2040 (A)		96		14
GNMA CMO, Ser 2010-H27, Cl FA
1.152%, 12/20/2060 (A)		1,462		1,450
GNMA CMO, Ser 2010-H28, Cl FE
1.172%, 12/20/2060 (A)		804		799
GNMA CMO, Ser 2011-H08, Cl FG
1.252%, 03/20/2061 (A)		874		870
GNMA CMO, Ser 2011-H09, Cl AF
1.272%, 03/20/2061 (A)		630		627
GNMA CMO, Ser 2012-152, Cl IO, IO
0.754%, 01/16/2054 (A)		8,520		439
GNMA CMO, Ser 2012-34, Cl SA, IO
5.072%, 03/20/2042 (A)		598		105
GNMA CMO, Ser 2012-43, Cl SN, IO
5.672%, 04/16/2042 (A)		47		11
GNMA CMO, Ser 2012-66, Cl CI, IO
3.500%, 02/20/2038		755		71
GNMA CMO, Ser 2012-98, Cl SA, IO
5.666%, 08/16/2042 (A)		386		61


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
GNMA CMO, Ser 2013-178, Cl IO, IO
0.789%, 06/16/2055 (A)	$	1,468	$	58
GNMA CMO, Ser 2015-167, Cl OI, IO
4.000%, 04/16/2045		164		38
GNMA CMO, Ser 2016-135, Cl SB, IO
5.172%, 10/16/2046 (A)		376		107
GNMA TBA
4.500%, 04/01/2039 to 05/01/2039		3,900		4,161
3.500%, 05/15/2041 to 04/15/2045		20,730		21,477
3.000%, 04/15/2043 to 05/01/2043		20,145		20,314
NCUA Guaranteed Notes, Ser 2010-R2, Cl 1A
1.147%, 11/06/2017 (A)		836		836

				532,923


Non-Agency Mortgage-Backed Obligations — 5.7%
Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 3A1
2.684%, 02/25/2035 (A)		1,676		1,588
Adjustable Rate Mortgage Trust, Ser 2007-1, Cl 5A31
0.918%, 03/25/2037 (A)		2,315		1,773
Alternative Loan Trust, Ser 2005-36, Cl 3A1
2.982%, 08/25/2035 (A)		1,961		1,600
Alternative Loan Trust, Ser 2006-18CB, Cl A6
25.487%, 07/25/2036 (A)		332		466
Alternative Loan Trust, Ser 2006-OA11, Cl A4
0.968%, 09/25/2046 (A)		474		362
Alternative Loan Trust, Ser 2007-23CB, Cl A7
1.178%, 09/25/2037 (A)		2,575		1,645
American Home Mortgage Assets Trust, Ser 2006-6, Cl A1A
0.968%, 12/25/2046 (A)		1,648		1,257
American Home Mortgage Investment Trust, Ser 2005-1, Cl 6A
3.352%, 06/25/2045 (A)		1,593		1,581
American Home Mortgage Investment Trust, Ser 2005-4, Cl 5A
3.107%, 11/25/2045 (A)		1,686		1,265
Avenue of the Americas Trust, Ser 2015-1211, Cl A1A2
3.901%, 08/10/2035 (C)		805		847
BAMLL Commercial Mortgage Securities Trust, Ser 2014-520M, Cl A
4.185%, 08/15/2034 (A)(C)		440		462
BAMLL Re-REMIC Trust, Ser 2016-RRGG10, Cl AJA
5.949%, 08/10/2045 (A)(C)		1,812		1,268
BBCMS Mortgage Trust, Ser 2017-C1, Cl A4
3.674%, 02/15/2050		256		264
BCAP Trust, Ser 2015-RR2, Cl 21A1
1.171%, 03/28/2037 (A)(C)		1,252		1,203


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Bear Stearns Adjustable Rate Mortgage Trust, Ser 2004-2, Cl 24A
2.680%, 05/25/2034 (A)	$	144	$	133
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC6, Cl 1A3
5.500%, 09/25/2035 (A)		1,510		1,489
Bear Stearns Asset-Backed Securities I Trust, Ser 2005-AC8, Cl A3, IO
6.668%, 11/25/2035 (A)		4,630		1,322
CD Commercial Mortgage Trust, Ser 2006- CD2, Cl AJ
5.474%, 01/15/2046 (A)		214		200
CD Commercial Mortgage Trust, Ser 2006- CD3, Cl AJ
5.688%, 10/15/2048		170		91
CD Commercial Mortgage Trust, Ser 2007-CD4, Cl AJ
5.398%, 12/11/2049 (A)		137		115
CD Commercial Mortgage Trust, Ser 2016-CD1, Cl A1
1.443%, 08/10/2021		174		171
CD Commercial Mortgage Trust, Ser 2016-CD1, Cl ASB
2.622%, 07/10/2026		517		506
CFCRE Commercial Mortgage Trust, Ser 2011- C1, Cl A4
4.961%, 04/15/2044 (A)(C)		459		491
CFCRE Commercial Mortgage Trust, Ser 2016- C3, Cl A1
1.793%, 01/10/2021		295		293
CFCRE Commercial Mortgage Trust, Ser 2016- C4, Cl A4
3.283%, 02/10/2026		294		291
CFCRE Commercial Mortgage Trust, Ser 2016- C7, Cl A3
3.839%, 12/10/2026		226		233
CFCRE Commercial Mortgage Trust, Ser 2016- C7, Cl A2
3.585%, 12/10/2054		290		293
CG-CCRE Commercial Mortgage Trust, Ser 2014-FL1, Cl A
1.720%, 06/15/2031 (A)(C)		475		474
Citigroup Commercial Mortgage Trust, Ser 2006-C5, Cl AJ
5.482%, 10/15/2049		221		209
Citigroup Commercial Mortgage Trust, Ser 20098-C7, Cl AJA
6.126%, 12/10/2049 (A)		140		93
Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A
3.251%, 05/10/2035 (C)		1,205		1,230


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	$	484	$	485
Citigroup Commercial Mortgage Trust, Ser 2014-GC19, Cl E
4.401%, 03/10/2047 (A)(C)		780		563
COMM Mortgage Trust, Ser 2010-C1, Cl A2
3.830%, 07/10/2046 (C)		70		71
COMM Mortgage Trust, Ser 2010-C1, Cl XWB, IO
0.791%, 07/10/2046 (A)(C)		13,060		317
COMM Mortgage Trust, Ser 2012-CR4, Cl A2
1.801%, 10/15/2045		166		167
COMM Mortgage Trust, Ser 2012-LC4, Cl A3
3.069%, 12/10/2044		69		71
COMM Mortgage Trust, Ser 2013-300P, Cl A1
4.353%, 08/10/2030 (C)		620		672
COMM Mortgage Trust, Ser 2013-CR10, Cl A2
2.972%, 08/10/2046		211		215
COMM Mortgage Trust, Ser 2013-CR11, Cl A1
1.468%, 10/10/2046		94		94
COMM Mortgage Trust, Ser 2013-CR12, Cl AM
4.300%, 10/10/2046		100		106
COMM Mortgage Trust, Ser 2013-CR12, Cl B
4.762%, 10/10/2046 (A)		90		96
COMM Mortgage Trust, Ser 2013-CR12, Cl A1
1.295%, 10/10/2046		31		31
COMM Mortgage Trust, Ser 2013-CR12, Cl C
5.083%, 10/10/2046 (A)		40		40
COMM Mortgage Trust, Ser 2013-CR12, Cl A4
4.046%, 10/10/2046		57		61
COMM Mortgage Trust, Ser 2013-CR6, Cl A1
0.719%, 03/10/2046		50		50
COMM Mortgage Trust, Ser 2013-CR6, Cl A2
2.122%, 03/10/2046		918		922
COMM Mortgage Trust, Ser 2013-CR9, Cl E
4.256%, 07/10/2045 (A)(C)		780		586
COMM Mortgage Trust, Ser 2014-UBS5, Cl ASB
3.548%, 09/10/2047		191		199
COMM Mortgage Trust, Ser 2014-UBS6, Cl AM
4.048%, 12/10/2047		488		506
COMM Mortgage Trust, Ser 2016-787S, Cl A
3.545%, 02/10/2036 (C)		650		664
COMM Mortgage Trust, Ser 2016-COR1, Cl ASB
2.972%, 10/10/2049		226		226
Commercial Mortgage Pass-Through Certificates, Ser 2012-CR3, Cl A3
2.822%, 11/15/2045		60		60
Commercial Mortgage Pass-Through Certificates, Ser 2013-WWP, Cl A2
3.424%, 03/10/2031 (C)		100		103
Core Industrial Trust, Ser 2015-TEXW, Cl E
3.849%, 02/10/2034 (A)(C)		630		618


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Credit Suisse Commercial Mortgage Trust, Ser 2006-C3, Cl AJ
6.209%, 06/15/2038 (A)	$	306	$	164
Credit Suisse Commercial Mortgage Trust, Ser 2006-C5, Cl AJ
5.373%, 12/15/2039		380		362
Credit Suisse Commercial Mortgage Trust, Ser 2007-C5, Cl AM
5.869%, 09/15/2040 (A)		270		257
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4
3.222%, 10/25/2033 (A)		1,096		1,075
Credit Suisse Group Funding Guernsey, Ser 2015-3GNA, Cl A2
4.273%, 03/12/2020		386		473
Credit Suisse Group Funding Guernsey, Ser 2015-3GNA, Cl A1
3.007%, 03/12/2020		1,098		1,345
Credit Suisse Mortgage Trust, Ser 2014-USA, Cl A2
3.953%, 09/15/2037 (C)		250		256
Credit Suisse Mortgage Trust, Ser 2014-USA, Cl E
4.373%, 09/15/2037 (C)		590		506
Credit Suisse Mortgage Trust, Ser 2015-3R, Cl 1A1
0.979%, 07/29/2037 (A) (C)		811		768
Credit Suisse Mortgage Trust, Ser 2015-4R, Cl 3A1
1.081%, 10/27/2036 (A) (C)		834		811
Credit Suisse Mortgage Trust, Ser 2015-SAMZ, Cl MZ
6.506%, 08/15/2022 (A) (C)		2,500		2,526
Credit Suisse Mortgage Trust, Ser 2015-Town, Cl F
5.270%, 03/15/2028 (A) (C)		650		648
Credit Suisse Mortgage Trust, Ser 2016-NXSR, Cl A4
3.795%, 12/15/2049 (A)		393		407
CSAIL Commercial Mortgage Trust, Ser 2015- C2, Cl C
4.211%, 06/15/2057 (A)		635		601
CSAIL Commercial Mortgage Trust, Ser 2015- C4, Cl A4
3.808%, 11/15/2048		365		378
CSAIL Commercial Mortgage Trust, Ser 2016- C5, Cl ASB
3.533%, 11/15/2048		112		117
CSMC Trust, Ser 2014-11R, Cl 9A2
0.918%, 10/27/2036 (A) (C)		2,620		1,575
CSMC Trust, Ser 2014-TIKI, Cl F
4.593%, 09/15/2038 (A) (C)		1,600		1,587


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Downey Savings & Loan Association Mortgage Loan Trust, Ser 2004-AR2, Cl A2B
1.579%, 11/19/2044 (A)	$	929	$	813
EQTY Mortgage Trust, Ser 2014-INNS, Cl D
3.126%, 05/08/2031 (A) (C)		530		528
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA2, Cl M3
5.428%, 10/25/2028 (A)		1,480		1,600
FNMA Connecticut Avenue Securities, Ser 2014- C03, Cl 1M2
3.778%, 07/25/2024 (A)		4,810		4,960
GS Mortgage Securities II, Ser 2015-GC30, Cl B
4.014%, 05/10/2050 (A)		680		663
GS Mortgage Securities Trust, Ser 2006-GG8, Cl AJ
5.622%, 11/10/2039		348		328
GS Mortgage Securities Trust, Ser 2007-GG10, Cl AM
5.865%, 08/10/2045 (A)		2,350		2,352
GS Mortgage Securities Trust, Ser 2011-GC5, Cl XA, IO
1.365%, 08/10/2044 (A) (C)		742		36
GS Mortgage Securities Trust, Ser 2011-GC5, Cl A2
2.999%, 08/10/2044		13		13
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl AAB
2.935%, 05/10/2045		78		79
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl A2
2.318%, 05/10/2045		139		139
GS Mortgage Securities Trust, Ser 2013-GC16, Cl A2
3.033%, 11/10/2018		201		204
GS Mortgage Securities Trust, Ser 2013-GC16, Cl A1
1.264%, 11/10/2046		1		1
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B
5.161%, 11/10/2046 (A)		180		196
GS Mortgage Securities Trust, Ser 2014-GC26, Cl B
4.215%, 11/10/2047 (A)		680		699
GS Mortgage Securities Trust, Ser 2016-GS3, Cl A4
2.850%, 10/10/2049		808		783
GS Mortgage Securities Trust, Ser 2016-GS3, Cl AAB
2.777%, 10/10/2049		342		340
GS Mortgage Securities Trust, Ser 2016-GS4, Cl A4
3.442%, 11/10/2049		292		297


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
GS Mortgage Securities Trust, Ser 2017-GS5, Cl A3
3.409%, 03/10/2050	$	474	$	481
GSMPS Mortgage Loan Trust, Ser 1998-1, Cl A
8.000%, 09/19/2027 (A) (C)		22		22
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1
2.869%, 10/25/2033 (A)		309		311
GSR Mortgage Loan Trust, Ser 2005-AR4, Cl 3A5
3.104%, 07/25/2035 (A)		3,706		3,454
HarborView Mortgage Loan, Ser 2004-3, Cl 1A
3.077%, 05/19/2034 (A)		1,757		1,766
Impact Funding LLC, Ser 2010-1, Cl A1
5.314%, 01/25/2051 (C)		1,515		1,669
IndyMac IMSC Mortgage Loan Trust, Ser 2007- HOA1, Cl A22
1.162%, 07/25/2047 (A)		1,682		1,064
IndyMac INDX Mortgage Loan Trust, Ser 2007- AR7, Cl 2A1
2.680%, 06/25/2037 (A)		2,555		2,206
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl A2
2.977%, 11/15/2045		208		212
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl C
5.046%, 11/15/2045 (A)		190		199
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B
4.886%, 01/15/2047 (A)		100		107
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C21, Cl A5
3.775%, 08/15/2047		330		344
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C24, Cl AS
3.914%, 11/15/2047 (A)		610		629
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3
2.912%, 10/15/2048		984		967
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A2
2.773%, 10/15/2048		211		214
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl AS
4.226%, 07/15/2048 (A)		523		546
JPMBB Commercial Mortgage Securities Trust, Ser 2016-C1, Cl ASB
3.316%, 03/15/2049		462		475
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl ASB
3.492%, 10/15/2026		87		90
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl A5
3.694%, 01/15/2027		270		279


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB18, Cl AJ
5.502%, 06/12/2047 (A)	$	1,495	$	1,290
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB19, Cl AJ
5.740%, 05/12/2017 (A)		250		201
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LDP12, Cl AJ
6.066%, 02/15/2051 (A)		45		43
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C2, Cl A2
3.616%, 11/15/2043 (C)		156		158
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A2
4.311%, 08/05/2032 (C)		805		839
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A1
3.300%, 08/05/2032 (C)		160		162
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C3, Cl A3
4.388%, 02/15/2046 (C)		2,627		2,683
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C4, Cl A3
4.106%, 07/15/2046 (C)		1,182		1,208
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A2
1.677%, 12/15/2047		101		101
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl C
4.572%, 07/15/2047 (A)		610		603
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A5
3.805%, 07/15/2047		500		522
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A2
2.872%, 07/15/2047		202		205
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-JP1, Cl ASB
3.733%, 01/15/2049		125		131
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl A1
1.324%, 08/15/2049		218		215
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl ASB
2.713%, 09/15/2025		308		305
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP3, Cl A5
2.870%, 08/15/2026		980		947
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2017-JP5, Cl ASB
3.549%, 11/15/2026		934		968


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities, Ser 2011-C3, Cl A4
4.717%, 02/16/2046 (C)	$	220	$	237
JPMorgan Chase Commercial Mortgage Securities, Ser 2013-C13, Cl A2
2.665%, 01/15/2046		120		121
Liberty Street Trust, Ser 2016-225L, Cl A
3.597%, 02/10/2036 (C)		650		666
LSTAR Commercial Mortgage Trust, Ser 2015-3, Cl A2
2.729%, 04/20/2048 (A) (C)		1,673		1,680
MASTR Reperforming Loan Trust, Ser 2005-1, Cl 1A1
6.000%, 08/25/2034 (C)		1,639		1,531
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A
3.625%, 02/25/2034 (A)		142		143
ML-CFC Commercial Mortgage Trust, Ser 2007- 5, Cl AJ
5.450%, 08/12/2048 (A)		480		375
ML-CFC Commercial Mortgage Trust, Ser 2007- 5, Cl AJFL
5.450%, 08/12/2048 (A) (C)		57		45
ML-CFC Commercial Mortgage Trust, Ser 2007- 9, Cl AJ
6.193%, 09/12/2049 (A)		1,200		844
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl A2
1.868%, 11/15/2045		163		163
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A1
1.394%, 07/15/2046		18		18
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A2
2.964%, 06/15/2018		143		144
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl AS
3.214%, 02/15/2046		83		83
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl A2
1.970%, 05/15/2046		190		190
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C21, Cl E
3.012%, 03/15/2048 (C)		1,000		635
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C22, Cl C
4.242%, 04/15/2048 (A)		630		593
Morgan Stanley Capital I Trust, Ser 2006-IQ12, Cl AJ
5.399%, 12/15/2043		625		500
Morgan Stanley Capital I Trust, Ser 2007-IQ16, Cl AJ
6.094%, 12/12/2049 (A)		1,010		938


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Capital I Trust, Ser 2016-UB11, Cl ASB
2.606%, 01/15/2021	$	258	$	254
Morgan Stanley Capital I Trust, Ser 2016-UB11, Cl A1
1.445%, 04/15/2021		521		513
Morgan Stanley Capital I Trust, Ser 2016-UBS9, Cl A1
1.711%, 03/15/2049		293		289
Motel 6 Trust, Ser 2015-MTL6, Cl F
5.000%, 02/05/2030 (C)		1,470		1,440
Nomura Resecuritization Trust, Ser 2015-6R, Cl 3A5
0.961%, 05/26/2046 (A) (C)		3,440		2,599
OBP Depositor Trust, Ser 2010-OBP, Cl A
4.646%, 07/15/2045 (C)		560		597
One Market Plaza Trust, Ser 2017-1MKT, Cl A
3.614%, 02/10/2032		1,360		1,407
Prime Mortgage Trust, Ser 2006-DR1, Cl 2A1
5.500%, 05/25/2035 (C)		1,374		1,280
RAMP Trust, Ser 2004-SL1, Cl A8
6.500%, 11/25/2031		121		123
RBS Commercial Funding Trust, Ser 2013-1A, Cl A
3.834%, 01/13/2032 (A) (C)		640		674
Residential Asset Securitization Trust, Ser 2004-A6, Cl A1
5.000%, 08/25/2019		39		39
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
3.174%, 12/25/2034 (A)		313		312
Structured Asset Securities, Ser 2005-17, Cl 5A1
5.500%, 10/25/2035		838		667
Towd Point Mortgage Funding, Ser 2016-V1A, Cl A1
1.538%, 02/20/2054 (A) (C)	GBP	830		1,035
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A2
2.113%, 05/10/2063	$	55		54
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A2
1.712%, 12/10/2017		361		361
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl D
4.496%, 12/10/2045 (A) (C)		670		643
VNDO Mortgage Trust, Ser 2012- 6AVE, Cl A
2.996%, 11/15/2030 (C)		225		228
WaMu Mortgage Pass-Through Certificates Trust, Ser 2007-OA1, Cl A1A
1.314%, 02/25/2047 (A)		2,726		2,209
Washington Mutual Mortgage Pass-Through Certificates Trust, Ser 2007-OA2, Cl 2A
1.314%, 01/25/2047 (A)		1,649		1,199


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Washington Mutual MSC Mortgage Pass- Through Certificates, Ser 2003-MS1, Cl 1A
5.000%, 02/25/2018	$	7	$	7
Waterfall Commercial Mortgage Trust, Ser 2015-SBC5, Cl A
4.104%, 09/19/2022 (A) (C)		1,674		1,670
Wells Fargo Commercial Mortgage Trust, Ser 2013-LC12, Cl B
4.296%, 07/15/2046 (A)		20		21
Wells Fargo Commercial Mortgage Trust, Ser 2016-C37, Cl A5
3.794%, 11/15/2026		550		569
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A1
3.051%, 06/25/2034 (A)		631		638
WFRBS Commercial Mortgage Trust, Ser 2011- C3, Cl XA, IO
1.542%, 03/15/2044 (A) (C)		7,458		299
WFRBS Commercial Mortgage Trust, Ser 2011- C4, Cl A3
4.394%, 06/15/2044 (C)		1,662		1,708
WFRBS Commercial Mortgage Trust, Ser 2012- C7, Cl XA, IO
1.483%, 06/15/2045 (A) (C)		329		19
WFRBS Commercial Mortgage Trust, Ser 2014- C19, Cl B
4.723%, 03/15/2047 (A)		110		116

				113,517

Total Mortgage-Backed Securities (Cost $663,246) ($ Thousands)				646,440


CORPORATE OBLIGATIONS — 29.3%

Consumer Discretionary — 1.9%
1011778 BC ULC / New Red Finance
6.000%, 04/01/2022 (C)		390		405
21st Century Fox America
6.650%, 11/15/2037		180		225
6.200%, 12/15/2034		65		77
Altice Financing
6.625%, 02/15/2023 (C)		400		416
Amazon.com
4.950%, 12/05/2044		360		407
American Axle & Manufacturing
6.625%, 10/15/2022 (D)		380		391
American Honda Finance MTN
3.875%, 09/21/2020 (C)		1,065		1,123
BMW US Capital
2.150%, 04/06/2020 (C)		555		555
CCO Holdings
5.125%, 05/01/2027 (C)		160		161


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Charter Communications Operating
6.484%, 10/23/2045	$	449	$	517
6.384%, 10/23/2035		10		11
5.375%, 05/01/2047 (C)		485		487
4.908%, 07/23/2025		600		634
4.464%, 07/23/2022		1,700		1,793
Comcast
6.950%, 08/15/2037		20		27
6.550%, 07/01/2039		270		350
6.400%, 03/01/2040		100		128
4.400%, 08/15/2035		315		326
4.200%, 08/15/2034		200		204
Daimler Finance North America
2.300%, 01/06/2020 (C)		830		832
Daimler Finance North America LLC
2.375%, 08/01/2018 (C)		735		740
Discovery Communications
4.950%, 05/15/2042		120		109
4.900%, 03/11/2026		230		239
4.875%, 04/01/2043		245		222
DISH DBS
6.750%, 06/01/2021		80		86
5.875%, 07/15/2022		180		189
5.875%, 11/15/2024 (D)		570		599
Dollar Tree
5.750%, 03/01/2023 (D)		240		256
ERAC USA Finance (C)
4.500%, 02/15/2045		105		101
3.300%, 12/01/2026		615		589
Fiat Chrysler Automobiles
4.500%, 04/15/2020		200		204
Ford Motor
5.291%, 12/08/2046 (D)		565		564
4.750%, 01/15/2043		230		216
4.346%, 12/08/2026 (D)		295		301
Ford Motor Credit
5.875%, 08/02/2021		230		256
3.810%, 01/09/2024		865		868
3.339%, 03/28/2022		760		763
Ford Motor Credit LLC
3.219%, 01/09/2022		480		483
2.597%, 11/04/2019		775		779
1.684%, 09/08/2017		2,000		2,000
General Motors
6.750%, 04/01/2046		457		536
6.600%, 04/01/2036		670		770
6.250%, 10/02/2043 (D)		100		110
General Motors Financial
4.750%, 08/15/2017		1,000		1,011
4.375%, 09/25/2021		180		189
4.350%, 01/17/2027 (D)		220		222
4.250%, 05/15/2023		110		113


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
3.700%, 05/09/2023	$	955	$	959
3.450%, 04/10/2022		90		91
3.250%, 05/15/2018		60		61
Goodyear Tire & Rubber (D)
5.125%, 11/15/2023		220		229
5.000%, 05/31/2026		140		144
Grupo Televisa
6.125%, 01/31/2046		255		269
5.000%, 05/13/2045 (D)		270		246
Hilton Worldwide Finance
4.875%, 04/01/2027 (C)		290		293
Hyundai Capital America
2.125%, 10/02/2017 (C)		140		140
McDonald’s MTN
4.875%, 12/09/2045		605		643
3.500%, 03/01/2027		450		451
2.750%, 12/09/2020		275		279
NBCUniversal Media
4.375%, 04/01/2021		270		290
NCL (C)
4.750%, 12/15/2021		40		41
4.625%, 11/15/2020		310		316
Netflix
5.875%, 02/15/2025		110		118
5.500%, 02/15/2022		50		53
Newell Brands
4.200%, 04/01/2026		260		270
3.850%, 04/01/2023		290		300
3.150%, 04/01/2021		170		174
QVC
5.950%, 03/15/2043		20		18
SFR Group
7.375%, 05/01/2026 (C)		400		412
Taylor Morrison Communities
5.250%, 04/15/2021 (C)		460		474
Time Warner
6.250%, 03/29/2041		265		304
4.850%, 07/15/2045 (D)		255		248
4.750%, 03/29/2021		730		784
4.650%, 06/01/2044		35		33
3.800%, 02/15/2027		575		569
3.550%, 06/01/2024		1,365		1,367
Time Warner Cable
8.250%, 04/01/2019		2,265		2,525
7.300%, 07/01/2038		420		520
6.550%, 05/01/2037		155		178
Time Warner Entertainment
8.375%, 07/15/2033		270		360
Toyota Motor Credit MTN
2.600%, 01/11/2022		990		995
1.250%, 10/05/2017		1,150		1,149


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Viacom
4.850%, 12/15/2034	$	285	$	276
4.375%, 03/15/2043		280		243
4.250%, 09/01/2023		100		103
3.875%, 04/01/2024 (D)		100		100
2.250%, 02/04/2022		335		321
Walt Disney MTN
2.450%, 03/04/2022		570		571

				38,501


Consumer Staples — 2.2%
Altria Group
9.250%, 08/06/2019		1,250		1,452
4.750%, 05/05/2021		670		726
2.850%, 08/09/2022		260		260
Anheuser-Busch InBev Finance
4.900%, 02/01/2046 (D)		2,745		2,967
3.650%, 02/01/2026		3,068		3,102
3.300%, 02/01/2023		2,485		2,529
2.650%, 02/01/2021		1,525		1,537
Anheuser-Busch InBev Worldwide
5.375%, 01/15/2020		1,140		1,240
5.000%, 04/15/2020		430		465
2.500%, 07/15/2022 (D)		330		326
Coca-Cola Femsa
2.375%, 11/26/2018		680		684
Cott Holdings
5.500%, 04/01/2025 (C)		220		224
CVS Health
5.125%, 07/20/2045 (D)		1,750		1,931
3.875%, 07/20/2025 (D)		266		274
3.500%, 07/20/2022		100		103
Danone (C)
2.947%, 11/02/2026		590		564
2.589%, 11/02/2023		1,040		1,006
Diageo Capital PLC
4.828%, 07/15/2020		1,450		1,570
Kraft Heinz Foods
6.500%, 02/09/2040		225		270
5.375%, 02/10/2020		455		494
5.200%, 07/15/2045		60		63
5.000%, 07/15/2035		180		187
5.000%, 06/04/2042		50		51
4.375%, 06/01/2046		1,565		1,469
3.950%, 07/15/2025		700		711
3.500%, 06/06/2022		1,150		1,176
3.500%, 07/15/2022		500		511
3.000%, 06/01/2026		910		855
2.800%, 07/02/2020		845		857
1.600%, 06/30/2017		1,018		1,018
Kroger
2.950%, 11/01/2021		375		377


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Lamb Weston Holdings
4.625%, 11/01/2024 (C)	$	210	$	214
Molson Coors Brewing
3.500%, 05/01/2022 (D)		100		103
Mondelez International Holdings Netherlands
BV (C)
2.000%, 10/28/2021		2,030		1,950
1.625%, 10/28/2019		2,055		2,022
PepsiCo
4.000%, 03/05/2042		110		109
Pernod Ricard
4.450%, 01/15/2022 (C)		180		192
Philip Morris International
4.500%, 03/20/2042		60		61
2.900%, 11/15/2021		370		375
2.500%, 08/22/2022		340		336
2.000%, 02/21/2020		1,130		1,127
Reynolds American
8.125%, 06/23/2019		20		23
5.850%, 08/15/2045		1,146		1,346
3.250%, 06/12/2020		162		166
Spectrum Brands
5.750%, 07/15/2025 (D)		130		137
Tyson Foods
5.150%, 08/15/2044		80		84
Walgreens Boots Alliance
4.800%, 11/18/2044		470		480
3.450%, 06/01/2026		2,785		2,723
3.300%, 11/18/2021		590		605
Wal-Mart Stores
4.300%, 04/22/2044		855		903
Wm Wrigley Jr (C)
3.375%, 10/21/2020		685		708
2.900%, 10/21/2019		1,119		1,139
2.400%, 10/21/2018		130		131

				43,933


Energy — 3.2%
Anadarko Finance, Ser B
7.500%, 05/01/2031		810		1,029
Anadarko Petroleum
6.600%, 03/15/2046		160		194
6.450%, 09/15/2036		30		36
4.850%, 03/15/2021		190		203
4.500%, 07/15/2044		400		377
Apache
5.100%, 09/01/2040		130		134
4.250%, 01/15/2044		850		797
APT Pipelines
4.250%, 07/15/2027 (C)		295		299
BG Energy Capital PLC
4.000%, 10/15/2021 (C)		910		963


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
BP Capital Markets
3.723%, 11/28/2028	$	395	$	400
3.588%, 04/14/2027		670		674
3.216%, 11/28/2023		1,600		1,608
BP Capital Markets PLC
3.561%, 11/01/2021		50		52
3.506%, 03/17/2025 (D)		530		533
3.245%, 05/06/2022		160		164
3.119%, 05/04/2026		100		98
Chesapeake Energy
5.750%, 03/15/2023		70		64
Chevron
2.954%, 05/16/2026		730		721
2.895%, 03/03/2024		1,130		1,133
Cimarex Energy
4.375%, 06/01/2024		395		410
CNOOC Finance
3.500%, 05/05/2025		1,370		1,356
Concho Resources
5.500%, 10/01/2022		130		134
Conoco Funding
7.250%, 10/15/2031		50		67
ConocoPhillips
5.900%, 10/15/2032		10		12
5.900%, 05/15/2038		420		507
4.150%, 11/15/2034		630		630
Devon Energy
5.850%, 12/15/2025 (D)		450		516
5.600%, 07/15/2041 (D)		380		402
5.000%, 06/15/2045		580		582
3.250%, 05/15/2022 (D)		270		267
Devon Financing LLC
7.875%, 09/30/2031		260		336
Ecopetrol
5.875%, 05/28/2045		1,290		1,174
Enbridge
5.500%, 12/01/2046		315		335
4.250%, 12/01/2026		340		347
Enbridge Energy Partners
5.875%, 10/15/2025 (D)		750		838
Encana
6.500%, 08/15/2034 (D)		310		349
6.500%, 02/01/2038		200		223
Energy Transfer Partners
8.250%, 11/15/2029		1,315		1,690
6.125%, 12/15/2045		170		182
2.500%, 06/15/2018		425		427
Ensco
8.000%, 01/31/2024 (D)		218		221
4.700%, 03/15/2021		2		2
Enterprise Products Operating LLC
6.450%, 09/01/2040		60		72


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
5.100%, 02/15/2045	$	105	$	110
EOG Resources
4.150%, 01/15/2026		230		240
ExxonMobil
4.114%, 03/01/2046 (D)		150		154
3.043%, 03/01/2026		500		500
Florida Gas Transmission LLC
7.900%, 05/15/2019 (C)		1,000		1,109
Halliburton
5.000%, 11/15/2045		600		632
4.850%, 11/15/2035		60		63
3.800%, 11/15/2025		540		547
Hess
5.800%, 04/01/2047		300		310
4.300%, 04/01/2027		320		314
HollyFrontier
5.875%, 04/01/2026		170		181
Kerr-McGee
7.875%, 09/15/2031		430		551
Kinder Morgan
5.550%, 06/01/2045		435		445
4.300%, 06/01/2025		1,635		1,670
Kinder Morgan Energy Partners
5.400%, 09/01/2044		225		223
Marathon Petroleum
5.000%, 09/15/2054		100		87
4.750%, 09/15/2044		315		285
MPLX
4.875%, 12/01/2024		320		337
4.875%, 06/01/2025		110		115
Newfield Exploration
5.625%, 07/01/2024 (D)		490		516
Noble Energy
5.250%, 11/15/2043		180		187
4.150%, 12/15/2021 (D)		690		724
3.900%, 11/15/2024		500		507
Occidental Petroleum
4.625%, 06/15/2045		150		157
4.400%, 04/15/2046		90		91
4.100%, 02/15/2047		320		309
3.400%, 04/15/2026		270		270
3.125%, 02/15/2022		330		337
3.000%, 02/15/2027		230		221
ONEOK
6.000%, 06/15/2035		135		140
Panhandle Eastern Pipeline
8.125%, 06/01/2019		2,500		2,774
Petrobras Global Finance
6.850%, 06/05/2115		620		552
6.250%, 03/17/2024 (D)		1,084		1,112
Petrobras Global Finance BV
7.375%, 01/17/2027		310		328


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
6.125%, 01/17/2022	$	130	$	136
Petrobras International Finance
5.375%, 01/27/2021		1,090		1,119
Petro-Canada
6.800%, 05/15/2038		825		1,060
Petroleos Mexicanos MTN
6.750%, 09/21/2047		330		335
Petroleos Mexicanos
6.625%, 06/15/2035		727		749
6.500%, 03/13/2027 (C)		746		803
6.375%, 01/23/2045		490		478
5.625%, 01/23/2046		395		353
5.500%, 06/27/2044		90		79
2.460%, 12/15/2025		1,062		1,062
2.378%, 04/15/2025		561		560
Phillips 66 Partners
4.900%, 10/01/2046		220		209
QEP Resources
6.875%, 03/01/2021 (D)		340		361
Range Resources
5.000%, 03/15/2023 (C) (D)		340		335
4.875%, 05/15/2025		30		29
Regency Energy Partners
4.500%, 11/01/2023 (D)		690		708
Sabine Pass Liquefaction
5.875%, 06/30/2026 (C)		220		243
5.750%, 05/15/2024		220		240
5.625%, 04/15/2023		320		347
5.625%, 03/01/2025 (D)		700		759
5.000%, 03/15/2027 (C)		670		700
4.200%, 03/15/2028 (C)		615		607
Schlumberger Holdings (C)
4.000%, 12/21/2025		330		344
3.000%, 12/21/2020		1,690		1,728
SESI LLC
7.125%, 12/15/2021 (D)		60		61
Shelf Drilling Holdings
9.500%, 11/02/2020 (C)		36		34
Shell International Finance
4.375%, 03/25/2020		690		735
4.375%, 05/11/2045		280		284
4.125%, 05/11/2035		1,825		1,839
4.000%, 05/10/2046		522		500
3.400%, 08/12/2023		595		612
2.875%, 05/10/2026		700		680
Shell International Finance BV
4.550%, 08/12/2043		200		208
Sinopec Group Overseas Development (C)
4.375%, 04/10/2024		860		908
2.750%, 05/17/2017		490		491
SM Energy
5.000%, 01/15/2024 (D)		40		38


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Southern Natural Gas LLC
8.000%, 03/01/2032	$	170	$	227
Spectra Energy Partners
3.500%, 03/15/2025		415		404
Statoil
3.700%, 03/01/2024		355		369
Tennessee Gas Pipeline LLC
8.375%, 06/15/2032		1,638		2,080
Total Capital International
2.875%, 02/17/2022		850		858
TransCanada PipeLines
4.625%, 03/01/2034		815		853
Transcanada Trust
5.300%, 03/15/2077 (A)		605		598
Transcontinental Gas Pipe Line
7.850%, 02/01/2026		590		758
Williams
7.875%, 09/01/2021		475		547
7.750%, 06/15/2031		461		542
Williams Partners
5.100%, 09/15/2045		210		208
4.875%, 03/15/2024		100		103
WPX Energy
8.250%, 08/01/2023		50		56
6.000%, 01/15/2022		10		10

				64,003


Financials — 10.5%
ABN AMRO Bank
4.750%, 07/28/2025 (C)		360		370
Allstate
3.150%, 06/15/2023		555		564
Ally Financial
7.500%, 09/15/2020		526		591
American Express
7.000%, 03/19/2018 (D)		800		840
American Express Credit MTN
2.700%, 03/03/2022		2,030		2,028
2.250%, 08/15/2019		1,025		1,033
2.200%, 03/03/2020		1,500		1,502
American International Group
6.250%, 05/01/2036		335		396
6.250%, 03/15/2037 (A)		1,220		1,244
4.375%, 01/15/2055		80		71
3.900%, 04/01/2026		934		937
Bank of America
7.625%, 06/01/2019		1,000		1,115
6.875%, 11/15/2018		1,250		1,346
6.250%, 09/29/2049 (A)		720		758
6.000%, 09/01/2017		1,675		1,705
5.750%, 12/01/2017		305		313
5.700%, 05/02/2017		1,300		1,304


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Bank of America MTN
8.950%, 05/18/2017 (A)	$	1,790	$	1,705
8.633%, 05/02/2017 (A)		3,160		3,022
6.875%, 04/25/2018		675		711
5.650%, 05/01/2018		1,270		1,321
5.625%, 07/01/2020		110		121
5.000%, 01/21/2044		770		839
4.450%, 03/03/2026		432		443
4.200%, 08/26/2024		830		845
4.183%, 11/25/2027		195		196
4.000%, 04/01/2024		3,310		3,432
4.000%, 01/22/2025		810		809
3.875%, 08/01/2025 (D)		580		590
3.500%, 04/19/2026		60		59
3.300%, 01/11/2023		160		161
2.625%, 04/19/2021		2,365		2,359
2.600%, 01/15/2019		670		677
2.503%, 10/21/2022		1,085		1,058
Bank of New York Mellon
3.400%, 05/15/2024		1,865		1,902
Bank of New York Mellon MTN
3.442%, 02/07/2028 (A)		595		599
2.200%, 03/04/2019		630		635
Barclays
4.950%, 01/10/2047		345		345
Barclays Bank PLC MTN
6.050%, 12/04/2017 (C)		420		431
Bear Stearns
6.400%, 10/02/2017		70		72
4.650%, 07/02/2018		995		1,029
Berkshire Hathaway
3.125%, 03/15/2026		1,110		1,109
Berkshire Hathaway Finance
4.400%, 05/15/2042		1,000		1,050
BNP Paribas
4.625%, 03/13/2027 (C)		200		200
BNP Paribas MTN
3.800%, 01/10/2024 (C)		660		657
2.375%, 09/14/2017		320		321
Boeing Capital
4.700%, 10/27/2019		490		527
BPCE
5.150%, 07/21/2024 (C)		210		216
Capital One Financial
4.200%, 10/29/2025		501		503
3.750%, 07/28/2026		355		344
Chubb INA Holdings
4.350%, 11/03/2045		395		417
3.350%, 05/03/2026		210		212
2.300%, 11/03/2020		160		161
CIT Group
5.000%, 08/15/2022		120		126


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
5.000%, 08/01/2023	$	320	$	333
Citigroup
8.125%, 07/15/2039		69		101
6.675%, 09/13/2043 (D)		70		89
6.625%, 06/15/2032		100		122
6.300%, 12/29/2049 (A)		520		542
5.950%, 12/29/2049 (A)		360		376
5.950%, 12/31/2049 (A)		1,250		1,301
5.900%, 12/29/2049 (A)		140		146
5.500%, 09/13/2025		750		820
5.350%, 05/29/2049 (A)		390		390
5.300%, 05/06/2044		178		191
4.750%, 05/18/2046		70		69
4.650%, 07/30/2045		567		591
4.450%, 09/29/2027		1,510		1,528
4.400%, 06/10/2025		810		825
4.300%, 11/20/2026		180		182
4.050%, 07/30/2022		70		73
3.700%, 01/12/2026		905		906
3.500%, 05/15/2023		500		504
3.400%, 05/01/2026		605		589
3.200%, 10/21/2026		180		172
2.500%, 09/26/2018		3,330		3,360
1.750%, 05/01/2018		1,835		1,834
1.550%, 08/14/2017		955		955
Citigroup Capital III
7.625%, 12/01/2036		1,500		1,773
Commonwealth Bank of Australia MTN
5.000%, 10/15/2019 (C)		10		11
Compass Bank
3.875%, 04/10/2025		430		422
Cooperatieve Centrale Raiffeisen-Boerenleenbank
5.250%, 08/04/2045		310		334
4.625%, 12/01/2023		1,100		1,159
4.375%, 08/04/2025 (D)		650		667
Cooperatieve Rabobank UA
11.000%, 12/31/2049 (A) (C)		920		1,074
2.750%, 01/10/2022		800		805
Credit Agricole
8.375%, 12/31/2049 (A) (C)		1,090		1,211
Credit Suisse Group (C)
4.282%, 01/09/2028		415		413
3.574%, 01/09/2023		610		609
Credit Suisse Group Funding Guernsey
4.875%, 05/15/2045 (D)		890		906
Farmers Exchange Capital
7.050%, 07/15/2028 (C)		1,000		1,225
Farmers Exchange Capital II
6.151%, 11/01/2053 (A) (C)		2,150		2,325
Ford Motor Credit LLC
8.125%, 01/15/2020		660		758


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
General Electric MTN
4.375%, 09/16/2020	$	30	$	32
Goldman Sachs Capital II
4.000%, 06/01/2043 (A)		10		8
Goldman Sachs Group
6.750%, 10/01/2037		503		621
6.450%, 05/01/2036		30		36
6.250%, 02/01/2041		750		942
6.150%, 04/01/2018		2,780		2,896
6.125%, 02/15/2033		20		24
5.950%, 01/18/2018		260		269
5.750%, 01/24/2022		110		124
5.250%, 07/27/2021		340		373
5.150%, 05/22/2045		600		630
4.750%, 10/21/2045		842		887
4.250%, 10/21/2025		520		530
3.750%, 02/25/2026		435		437
3.500%, 11/16/2026		360		352
3.000%, 04/26/2022		1,016		1,018
2.750%, 09/15/2020		505		509
2.625%, 04/25/2021		395		394
2.375%, 01/22/2018		4,370		4,394
2.350%, 11/15/2027		835		816
Goldman Sachs Group MTN
7.500%, 02/15/2019		1,930		2,118
6.000%, 06/15/2020		170		188
5.375%, 03/15/2020		2,860		3,101
4.000%, 03/03/2024		490		508
3.850%, 07/08/2024		830		850
Guardian Life Global Funding MTN
2.000%, 04/26/2021 (C)		1,000		974
Guardian Life Global Funding
1.950%, 10/27/2021 (C)		750		729
Guardian Life Insurance of America
4.850%, 01/24/2077 (C)		475		463
HBOS PLC MTN
6.750%, 05/21/2018 (C)		2,100		2,199
HSBC Bank PLC
4.750%, 01/19/2021 (C)		1,760		1,890
HSBC Holdings
4.375%, 11/23/2026		947		954
4.041%, 03/13/2028 (A)		570		576
3.262%, 03/13/2023 (A)		1,020		1,026
HSBC Holdings PLC
4.250%, 03/14/2024		985		1,000
4.250%, 08/18/2025		750		755
4.000%, 03/30/2022		330		346
3.400%, 03/08/2021		1,020		1,043
2.650%, 01/05/2022		1,250		1,234
ILFC E-Capital Trust II
4.910%, 12/21/2065 (A) (C)		400		376


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
ING Bank
5.800%, 09/25/2023 (C)	$	920	$	1,024
ING Groep
3.950%, 03/29/2027		200		201
3.150%, 03/29/2022		495		496
International Lease Finance
7.125%, 09/01/2018 (C)		2,080		2,223
Intesa Sanpaolo MTN
5.017%, 06/26/2024 (C)		1,610		1,515
John Deere Capital
1.700%, 01/15/2020		160		159
JPMorgan Chase
6.000%, 01/15/2018		3,635		3,758
4.950%, 06/01/2045		150		158
4.500%, 01/24/2022		180		194
4.400%, 07/22/2020		210		224
4.350%, 08/15/2021		215		230
4.260%, 02/22/2048 (A)		590		588
4.250%, 10/15/2020		330		350
4.250%, 10/01/2027		130		133
3.900%, 07/15/2025		2,115		2,186
3.875%, 09/10/2024		620		628
3.782%, 02/01/2028 (A)		600		606
3.625%, 12/01/2027 (D)		985		956
2.972%, 01/15/2023		1,085		1,084
2.950%, 10/01/2026		610		580
2.700%, 05/18/2023		1,045		1,024
JPMorgan Chase MTN
2.295%, 08/15/2021 (D)		935		925
JPMorgan Chase Bank
6.000%, 07/05/2017		2,250		2,277
6.000%, 10/01/2017		1,600		1,633
KFW
4.000%, 01/27/2020 (D)		495		526
1.000%, 07/15/2019		3,005		2,967
KKR Group Finance II
5.500%, 02/01/2043 (C)		60		63
Lazard Group LLC
3.750%, 02/13/2025		675		671
Lincoln National
3.625%, 12/12/2026 (D)		415		413
Macquarie Bank MTN
1.662%, 10/27/2017 (A) (C)		1,180		1,184
Marsh & McLennan
3.750%, 03/14/2026		285		293
2.750%, 01/30/2022		395		397
Massachusetts Mutual Life Insurance (C)
8.875%, 06/01/2039		107		174
4.900%, 04/01/2077		240		241
MetLife Capital Trust IV
7.875%, 12/15/2037 (C)		800		984


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Metropolitan Life Global Funding I (C)
3.450%, 12/18/2026	$	1,450	$	1,460
1.950%, 09/15/2021		740		718
1.550%, 09/13/2019		335		330
Metropolitan Life Global Funding I MTN
1.950%, 12/03/2018 (C)		155		155
Mitsubishi UFJ Financial Group
3.677%, 02/22/2027		885		895
2.998%, 02/22/2022		230		232
Morgan Stanley
4.375%, 01/22/2047		705		705
3.625%, 01/20/2027		385		382
1.842%, 02/14/2020 (A)		3,500		3,508
Morgan Stanley MTN
7.300%, 05/13/2019		545		602
6.625%, 04/01/2018		1,000		1,047
5.950%, 12/28/2017		2,000		2,062
5.500%, 07/24/2020		500		546
3.125%, 07/27/2026		135		129
2.625%, 11/17/2021		3,595		3,571
2.500%, 04/21/2021		575		572
National Australia Bank
2.400%, 12/07/2021 (C)		865		861
Nationwide Mutual Insurance
3.421%, 12/15/2024 (A) (C)		2,975		2,930
New York Life Global Funding
1.550%, 11/02/2018 (C)		1,000		998
New York Life Insurance
6.750%, 11/15/2039 (C)		415		561
Northwestern Mutual Life Insurance
6.063%, 03/30/2040 (C)		690		875
PNC Bank
2.550%, 12/09/2021		250		249
2.250%, 07/02/2019		545		549
PNC Bank MTN
2.400%, 10/18/2019		625		630
Protective Life Global Funding
1.722%, 04/15/2019 (C)		1,600		1,583
Quicken Loans
5.750%, 05/01/2025 (C)		200		197
Royal Bank of Scotland
4.650%, 06/04/2018		270		276
Royal Bank of Scotland Group PLC
6.125%, 12/15/2022		390		413
6.100%, 06/10/2023		550		584
6.000%, 12/19/2023		860		909
5.125%, 05/28/2024 (D)		490		496
Santander Holdings USA
4.500%, 07/17/2025		80		81
Santander UK Group Holdings
2.875%, 08/05/2021		1,485		1,466


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Stadshypotek
2.500%, 04/05/2022 (C)	$	730	$	729
Standard Chartered
5.700%, 03/26/2044 (C) (D)		1,160		1,196
State Street
4.956%, 03/15/2018		1,300		1,337
Sumitomo Mitsui Financial Group
2.058%, 07/14/2021		340		331
Synchrony Financial
3.700%, 08/04/2026		640		621
Teachers Insurance & Annuity Association of America (C)
6.850%, 12/16/2039		1,300		1,718
4.900%, 09/15/2044		190		206
Toronto-Dominion Bank (C)
2.500%, 01/18/2022		670		671
2.250%, 03/15/2021		1,415		1,412
UBS MTN
1.375%, 06/01/2017		2,000		2,000
UBS Group Funding Jersey (C)
4.125%, 09/24/2025		200		203
2.650%, 02/01/2022		1,025		1,005
UBS Group Funding Switzerland (C)
4.253%, 03/23/2028		1,375		1,395
3.491%, 05/23/2023		1,655		1,665
US Bancorp MTN
2.625%, 01/24/2022		995		999
US Bank
2.125%, 10/28/2019		435		437
Visa
4.300%, 12/14/2045		570		598
3.150%, 12/14/2025		1,050		1,054
2.800%, 12/14/2022		620		625
Wachovia MTN
5.750%, 02/01/2018		2,000		2,063
Wachovia Capital Trust III
5.570%, 05/31/2016 (A)		2,410		2,411
WEA Finance (C)
4.750%, 09/17/2044		230		224
3.750%, 09/17/2024		780		789
3.250%, 10/05/2020		1,750		1,784
3.150%, 04/05/2022		555		555
Wells Fargo
5.875%, 12/31/2049 (A)		120		129
3.000%, 04/22/2026		1,935		1,857
3.000%, 10/23/2026		690		661
2.125%, 04/22/2019		420		421
2.100%, 07/26/2021		2,635		2,581
Wells Fargo MTN
4.900%, 11/17/2045		650		678
4.750%, 12/07/2046		500		511
4.650%, 11/04/2044		260		261


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
4.600%, 04/01/2021	$	160	$	172
4.400%, 06/14/2046		820		794
4.300%, 07/22/2027		1,500		1,559
3.450%, 02/13/2023		430		434
3.000%, 01/22/2021		1,010		1,028
1.650%, 01/22/2018		1,670		1,669
Wells Fargo Bank
6.000%, 11/15/2017		250		257
Wells Fargo Bank MTN
2.150%, 12/06/2019		830		833

				212,144


Health Care — 2.6%
Abbott Laboratories
4.900%, 11/30/2046		435		451
4.750%, 11/30/2036		170		175
3.750%, 11/30/2026		2,765		2,762
3.400%, 11/30/2023		2,080		2,101
AbbVie
4.700%, 05/14/2045		500		499
4.500%, 05/14/2035		320		318
4.450%, 05/14/2046 (D)		455		434
3.600%, 05/14/2025		90		90
3.200%, 05/14/2026		970		932
2.500%, 05/14/2020		815		820
1.800%, 05/14/2018		750		751
Actavis Funding SCS
4.750%, 03/15/2045		650		653
4.550%, 03/15/2035		10		10
3.800%, 03/15/2025 (D)		3,010		3,037
3.450%, 03/15/2022		1,380		1,409
1.300%, 06/15/2017		500		500
Aetna
2.800%, 06/15/2023		1,665		1,651
2.200%, 03/15/2019		310		312
Amgen
5.150%, 11/15/2041		745		798
4.663%, 06/15/2051		614		614
4.563%, 06/15/2048		210		209
4.400%, 05/01/2045		1,095		1,063
3.625%, 05/22/2024		100		102
Anthem
5.875%, 06/15/2017		1,155		1,165
4.650%, 08/15/2044		950		964
Baxalta
3.600%, 06/23/2022		920		940
Becton Dickinson
4.685%, 12/15/2044		120		125
3.734%, 12/15/2024		162		167
2.675%, 12/15/2019		397		403
Biogen
5.200%, 09/15/2045		1,289		1,394


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
3.625%, 09/15/2022	$	260	$	268
Celgene
5.000%, 08/15/2045		2,035		2,130
3.875%, 08/15/2025		220		225
3.550%, 08/15/2022		300		309
Centene
6.125%, 02/15/2024		110		118
4.750%, 05/15/2022		210		216
4.750%, 01/15/2025		130		131
DaVita
5.000%, 05/01/2025		80		80
EMD Finance
2.400%, 03/19/2020 (C)		1,045		1,045
Express Scripts Holding
3.400%, 03/01/2027		1,000		942
Fresenius Medical Care US Finance II (C)
5.875%, 01/31/2022		170		184
4.125%, 10/15/2020		100		101
Gilead Sciences
4.750%, 03/01/2046		470		479
3.700%, 04/01/2024 (D)		775		796
3.650%, 03/01/2026 (D)		310		313
3.500%, 02/01/2025		1,030		1,037
3.250%, 09/01/2022		405		414
GlaxoSmithKline Capital
5.650%, 05/15/2018		810		847
Humana
7.200%, 06/15/2018		1,150		1,222
4.950%, 10/01/2044		50		52
4.800%, 03/15/2047		20		21
4.625%, 12/01/2042		130		132
3.950%, 03/15/2027		50		51
3.850%, 10/01/2024		790		809
3.150%, 12/01/2022		170		171
Johnson & Johnson
4.500%, 12/05/2043		600		662
3.625%, 03/03/2037		260		258
Medtronic
3.625%, 03/15/2024		465		482
3.500%, 03/15/2025		840		860
Medtronic Global Holdings SCA
3.350%, 04/01/2027		330		332
Merck
2.750%, 02/10/2025 (D)		230		227
2.350%, 02/10/2022		685		685
Northwell Healthcare
3.979%, 11/01/2046		1,030		946
Perrigo Finance Unlimited
4.375%, 03/15/2026		365		371
Pfizer
4.000%, 12/15/2036		610		616


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
RWJ Barnabas Health
3.949%, 07/01/2046	$	1,030	$	971
Shire Acquisitions Investments Ireland
3.200%, 09/23/2026		1,135		1,081
2.875%, 09/23/2023		705		683
1.900%, 09/23/2019		2,200		2,184
Tenet Healthcare
8.125%, 04/01/2022 (D)		60		63
Teva Pharmaceutical Finance Netherlands III BV
3.150%, 10/01/2026 (D)		385		355
2.800%, 07/21/2023		860		817
Thermo Fisher Scientific
3.600%, 08/15/2021		350		363
UnitedHealth Group
6.000%, 06/15/2017		51		52
5.800%, 03/15/2036		280		345
3.875%, 10/15/2020		530		559
2.875%, 12/15/2021		580		591
Valeant Pharmaceuticals International (C)
7.500%, 07/15/2021		1,040		911
7.000%, 03/15/2024		150		154
6.500%, 03/15/2022		120		123
5.875%, 05/15/2023		90		70
5.375%, 03/15/2020 (D)		60		54
Wyeth LLC
5.950%, 04/01/2037		340		420

				52,177


Industrials — 1.6%
ABB Finance USA
4.375%, 05/08/2042		80		84
AerCap Ireland Capital
4.625%, 07/01/2022		210		221
3.750%, 05/15/2019		520		534
Air Lease
3.625%, 04/01/2027		515		501
American Airlines Pass-Through Trust, Ser 2013-2
4.950%, 01/15/2023		1,332		1,417
BAE Systems
4.750%, 10/11/2021 (C)		1,350		1,457
Burlington Northern Santa Fe
4.150%, 04/01/2045		505		504
Caterpillar Financial Services MTN
2.750%, 08/20/2021		620		624
2.100%, 01/10/2020		265		265
Catholic Health Initiatives
4.350%, 11/01/2042		80		68
2.950%, 11/01/2022		800		774
Cintas No. 2
3.700%, 04/01/2027		260		265


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
2.900%, 04/01/2022	$	230	$	233
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl C-2
7.256%, 03/15/2020		1,034		1,091
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		1,283		1,411
Delta Air Lines
3.625%, 03/15/2022 (D)		610		623
2.875%, 03/13/2020		610		615
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A
6.821%, 08/10/2022		955		1,103
Eaton
4.150%, 11/02/2042		440		435
2.750%, 11/02/2022		450		447
1.500%, 11/02/2017		270		270
FedEx
4.550%, 04/01/2046		530		529
4.400%, 01/15/2047		330		321
GE Capital International Funding
4.418%, 11/15/2035		1,160		1,225
2.342%, 11/15/2020		530		532
General Electric
4.500%, 03/11/2044 (D)		220		237
General Electric MTN
6.875%, 01/10/2039		521		740
5.875%, 01/14/2038		187		236
5.300%, 02/11/2021		184		204
1.519%, 08/15/2036 (A)		1,550		1,349
Illinois Tool Works
2.650%, 11/15/2026		275		265
International Lease Finance
8.625%, 01/15/2022		10		12
Lockheed Martin
4.500%, 05/15/2036		90		95
3.550%, 01/15/2026		530		539
3.350%, 09/15/2021		920		953
3.100%, 01/15/2023		50		51
Northrop Grumman
3.850%, 04/15/2045		210		197
3.250%, 08/01/2023		2,645		2,705
3.200%, 02/01/2027 (D)		530		525
Park Aerospace Holdings (C)
5.500%, 02/15/2024 (D)		160		167
5.250%, 08/15/2022		80		83
Penske Truck Leasing L.P. (C)
3.400%, 11/15/2026		900		865
3.375%, 02/01/2022		390		395
3.200%, 07/15/2020		490		499
Raytheon
3.125%, 10/15/2020		430		444


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Siemens Financieringsmaatschappij (C)
2.900%, 05/27/2022	$	825	$	831
2.200%, 03/15/2020		695		698
2.000%, 09/15/2023		1,030		978
Union Pacific
3.000%, 04/15/2027		985		974
United Business Media
5.750%, 11/03/2020 (C)		490		515
United Rentals North America
5.500%, 07/15/2025		310		319
United Technologies
4.500%, 06/01/2042		200		212
US Airways Pass-Through Trust, Ser 2012-2, Cl A
4.625%, 06/03/2025		765		803
Valmont Industries
5.250%, 10/01/2054		305		275
Wabtec
3.450%, 11/15/2026 (C)		490		477
Waste Management
7.375%, 05/15/2029		330		430
3.500%, 05/15/2024		280		289
West (C)
5.375%, 07/15/2022		300		295
4.750%, 07/15/2021		90		91

				33,297


Information Technology — 1.5%
Analog Devices
3.500%, 12/05/2026		560		554
3.125%, 12/05/2023		475		473
2.500%, 12/05/2021		445		441
Apple
4.375%, 05/13/2045		405		415
4.250%, 02/09/2047		180		183
3.850%, 05/04/2043		640		613
3.350%, 02/09/2027		780		789
3.000%, 02/09/2024		790		797
2.700%, 05/13/2022		140		142
2.500%, 02/09/2022		840		844
2.450%, 08/04/2026		680		643
1.900%, 02/07/2020		750		752
Cisco Systems
1.850%, 09/20/2021		1,330		1,304
1.400%, 09/20/2019		1,215		1,206
CommScope Technologies
5.000%, 03/15/2027 (C)		130		130
Diamond 1 Finance (C)
6.020%, 06/15/2026		365		398
4.420%, 06/15/2021		820		857
3.480%, 06/01/2019		980		1,004


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Fidelity National Information Services
3.625%, 10/15/2020	$	490	$	509
2.850%, 10/15/2018		615		623
2.250%, 08/15/2021 (D)		347		340
Harris
5.054%, 04/27/2045		190		208
Hewlett Packard Enterprise
6.350%, 10/15/2045		775		798
5.015%, 10/15/2025		200		208
Intel
4.900%, 07/29/2045		120		135
3.700%, 07/29/2025		140		146
Microsoft
4.500%, 02/06/2057		480		494
4.250%, 02/06/2047		395		405
4.100%, 02/06/2037		880		908
3.950%, 08/08/2056		100		94
3.750%, 02/12/2045		950		901
3.700%, 08/08/2046		650		610
3.500%, 02/12/2035		685		659
3.450%, 08/08/2036		20		19
3.300%, 02/06/2027		1,695		1,721
2.875%, 02/06/2024		1,335		1,344
2.700%, 02/12/2025		160		157
2.400%, 02/06/2022		795		800
2.400%, 08/08/2026		2,260		2,138
2.000%, 08/08/2023		1,120		1,077
National Semiconductor
6.600%, 06/15/2017		170		172
Oracle
3.900%, 05/15/2035		1,195		1,180
2.400%, 09/15/2023		1,050		1,022
1.200%, 10/15/2017		1,050		1,050
TSMC Global
1.625%, 04/03/2018 (C)		875		873

				30,136


Materials — 1.1%
Air Liquide Finance (C)
2.250%, 09/27/2023		795		762
1.750%, 09/27/2021		550		531
Amcor Finance USA
3.625%, 04/28/2026 (C)		1,050		1,040
ArcelorMittal
8.000%, 10/15/2039		120		136
7.250%, 02/25/2022 (D)		120		137
Barrick
5.250%, 04/01/2042		70		76
Barrick Gold
4.100%, 05/01/2023 (D)		142		152
Barrick North America Finance
5.700%, 05/30/2041		465		526


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
4.400%, 05/30/2021	$	397	$	426
BHP Billiton Finance USA
6.750%, 10/19/2075 (A) (C)		620		701
5.000%, 09/30/2043 (D)		510		571
2.875%, 02/24/2022		55		56
Celulosa Arauco y Constitucion
4.750%, 01/11/2022		520		545
CF Industries (C)
4.500%, 12/01/2026		550		559
3.400%, 12/01/2021		440		439
Dow Chemical
3.000%, 11/15/2022		1,265		1,278
Eastman Chemical
2.700%, 01/15/2020		695		704
Ecolab
4.350%, 12/08/2021		220		238
Equate Petrochemical BV MTN
4.250%, 11/03/2026 (C)		410		410
Fibria Overseas Finance
5.500%, 01/17/2027 (D)		395		396
Freeport-McMoRan
6.875%, 02/15/2023 (C)		75		78
6.500%, 11/15/2020 (C)		104		106
5.450%, 03/15/2043		170		144
4.000%, 11/14/2021 (D)		360		347
Glencore Finance Canada
2.700%, 10/25/2017 (C)		1,080		1,084
Glencore Funding (C)
4.125%, 05/30/2023		60		61
4.000%, 03/27/2027		890		879
International Paper
5.150%, 05/15/2046		480		501
5.000%, 09/15/2035		360		382
LYB International Finance II BV
3.500%, 03/02/2027		690		677
LyondellBasell Industries
5.750%, 04/15/2024		200		229
OCP
4.500%, 10/22/2025 (C)		1,650		1,626
Potash Corp of Saskatchewan
4.875%, 03/30/2020		280		297
4.000%, 12/15/2026		805		824
Reynolds Group Issuer
6.875%, 02/15/2021		117		120
5.125%, 07/15/2023 (C)		170		174
Southern Copper
5.250%, 11/08/2042		900		882
Steel Dynamics
6.375%, 08/15/2022		220		229
Vale Overseas
6.875%, 11/21/2036		1,510		1,623
6.250%, 08/10/2026		555		603


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
5.875%, 06/10/2021 (D)	$	235	$	252
Westlake Chemical (C)
4.875%, 05/15/2023		140		146
4.625%, 02/15/2021		60		62
WestRock RKT
4.000%, 03/01/2023		70		72
3.500%, 03/01/2020		320		329

				21,410


Real Estate — 0.7%
Alexandria Real Estate Equities
2.750%, 01/15/2020		2,000		2,006
Boston Properties
3.800%, 02/01/2024		1,250		1,280
DDR
4.625%, 07/15/2022 (D)		705		740
3.375%, 05/15/2023		585		565
First Industrial MTN
7.500%, 12/01/2017		970		1,006
GLP Capital
5.375%, 04/15/2026		80		83
HCP
4.200%, 03/01/2024		765		783
3.150%, 08/01/2022		1,000		998
Highwoods Properties
7.500%, 04/15/2018		1,142		1,206
Mid-America Apartments
4.300%, 10/15/2023		225		237
4.000%, 11/15/2025		250		257
3.750%, 06/15/2024		525		534
SL Green Realty
7.750%, 03/15/2020		1,000		1,123
Tanger Properties
3.875%, 12/01/2023		285		289
3.750%, 12/01/2024		260		257
Ventas Realty L.P.
2.700%, 04/01/2020		1,450		1,462
2.000%, 02/15/2018		1,000		1,002
Welltower
4.950%, 01/15/2021		820		879
4.000%, 06/01/2025		625		634

				15,341


Telecommunication Services — 1.5%
America Movil
5.625%, 11/15/2017		440		450
5.000%, 03/30/2020		750		804
AT&T
6.000%, 08/15/2040		845		926
5.450%, 03/01/2047		1,105		1,130
5.250%, 03/01/2037		2,230		2,274
4.750%, 05/15/2046		1,530		1,428


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
4.500%, 03/09/2048	$	1,998	$	1,777
4.450%, 04/01/2024		580		608
4.350%, 06/15/2045		240		211
4.250%, 03/01/2027		650		657
3.950%, 01/15/2025		750		756
3.600%, 02/17/2023 (D)		400		405
3.400%, 05/15/2025		3,367		3,252
Bharti Airtel
4.375%, 06/10/2025 (C)		940		939
Sprint
7.875%, 09/15/2023		340		376
7.625%, 02/15/2025 (D)		310		339
7.250%, 09/15/2021		40		43
Sprint Capital
8.750%, 03/15/2032		300		361
Telefonica Emisiones SAU
6.221%, 07/03/2017		100		101
5.877%, 07/15/2019		90		98
5.134%, 04/27/2020		300		323
Verizon Communications
5.500%, 03/16/2047		60		63
5.250%, 03/16/2037		1,050		1,085
5.150%, 09/15/2023 (D)		1,450		1,596
4.862%, 08/21/2046		475		457
4.522%, 09/15/2048		285		258
4.400%, 11/01/2034		2,530		2,394
4.272%, 01/15/2036		1,335		1,236
4.125%, 03/16/2027		2,445		2,486
4.125%, 08/15/2046		1,045		902
3.850%, 11/01/2042		130		109
2.946%, 03/15/2022 (C)		770		767
2.625%, 08/15/2026		820		749
Vodafone Group PLC
2.950%, 02/19/2023		430		423

				29,783


Utilities — 2.5%
AEP Texas Central Transition Funding II
5.170%, 01/01/2018		84		86
AEP Transmission
3.100%, 12/01/2026 (C)		1,700		1,678
AES
4.875%, 05/15/2023 (D)		470		468
Alabama Power
2.450%, 03/30/2022		510		505
American Electric Power
1.650%, 12/15/2017		730		730
Berkshire Hathaway Energy
6.500%, 09/15/2037 (D)		1,160		1,509
Commonwealth Edison
3.700%, 03/01/2045		115		109


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Consolidated Edison of New York
4.450%, 03/15/2044	$	810	$	854
3.850%, 06/15/2046		185		178
Dominion Resources
2.000%, 08/15/2021 (D)		305		296
1.600%, 08/15/2019		410		405
DTE Energy
1.500%, 10/01/2019		490		482
Duke Energy
3.750%, 09/01/2046		250		225
2.650%, 09/01/2026 (D)		580		540
1.800%, 09/01/2021		465		449
Duke Energy Carolinas
4.250%, 12/15/2041		600		621
4.000%, 09/30/2042		1,000		996
3.875%, 03/15/2046 (D)		215		210
2.500%, 03/15/2023		425		421
Duke Energy Florida
3.850%, 11/15/2042		165		161
3.400%, 10/01/2046		200		179
3.200%, 01/15/2027		635		639
Duquesne Light Holdings
6.400%, 09/15/2020 (C)		1,450		1,619
Electricite de France
6.000%, 01/22/2114 (C)		230		234
Emera US Finance
2.150%, 06/15/2019		2,049		2,048
Exelon
5.625%, 06/15/2035		760		868
FirstEnergy
2.750%, 03/15/2018		280		281
FirstEnergy, Ser C
7.375%, 11/15/2031		2,965		3,864
Florida Gas Transmission LLC
3.875%, 07/15/2022 (C)		1,000		1,025
Fortis
2.100%, 10/04/2021 (C)		370		359
Great Plains Energy
4.850%, 04/01/2047		395		405
3.900%, 04/01/2027		565		571
3.150%, 04/01/2022		455		459
Indiana Michigan Power
4.550%, 03/15/2046 (D)		215		227
IPALCO Enterprises
5.000%, 05/01/2018		1,200		1,233
KCP&L Greater Missouri Operations
8.270%, 11/15/2021		2,700		3,179
KeySpan Gas East (C)
5.819%, 04/01/2041		1,250		1,516
2.742%, 08/15/2026		675		645
Majapahit Holding BV
7.750%, 01/20/2020		420		474


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Metropolitan Edison
3.500%, 03/15/2023 (C)	$	2,425	$	2,460
MidAmerican Energy
4.800%, 09/15/2043		510		572
4.250%, 05/01/2046		790		816
NextEra Energy Capital Holdings
2.056%, 09/01/2017		2,000		2,006
NiSource Finance
6.800%, 01/15/2019		2,261		2,446
Oklahoma Gas & Electric
4.150%, 04/01/2047		300		299
Oncor Electric Delivery LLC
6.800%, 09/01/2018		1,075		1,150
4.550%, 12/01/2041		690		740
Pacific Gas & Electric
8.250%, 10/15/2018		280		306
6.050%, 03/01/2034		340		426
5.800%, 03/01/2037 (D)		710		877
4.450%, 04/15/2042		700		735
2.950%, 03/01/2026		363		354
PECO Energy
4.150%, 10/01/2044		625		639
3.150%, 10/15/2025		500		503
PPL Electric Utilities
4.150%, 10/01/2045		365		373
Public Service of New Hampshire
3.500%, 11/01/2023		310		319
Public Service of New Mexico
7.950%, 05/15/2018		1,265		1,348
Sierra Pacific Power
2.600%, 05/01/2026		470		450
Southern
4.400%, 07/01/2046		175		167
2.150%, 09/01/2019		615		615
Southern Gas Capital
2.450%, 10/01/2023		200		192
Southwestern Electric Power
3.900%, 04/01/2045		140		132
Virginia Electric & Power
4.650%, 08/15/2043		405		440
4.000%, 11/15/2046		295		291
3.500%, 03/15/2027		565		577
2.950%, 11/15/2026		295		288
Westar Energy
3.100%, 04/01/2027		505		499

				50,768

Total Corporate Obligations (Cost $578,130) ($ Thousands)				591,493


Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS — 27.6%
U.S. Treasury Bills(B)
0.712%, 04/20/2017	$	12,830	$	12,826
0.583%, 04/27/2017		17,570		17,561
0.035%, 04/06/2017 (E)		433		433
U.S. Treasury Bonds
5.250%, 11/15/2028		5,795		7,405
3.816%, 02/15/2045 (B)		4,000		1,679
3.750%, 11/15/2043		16,190		18,423
3.625%, 02/15/2044		1,520		1,694
3.375%, 05/15/2044		1,360		1,451
3.000%, 05/15/2045		16,560		16,464
3.000%, 11/15/2045		1,726		1,715
3.000%, 02/15/2047		35,085		34,960
2.875%, 08/15/2045		49,895		48,388
2.875%, 11/15/2046		5,904		5,729
2.843%, 08/15/2045 (B)		2,120		876
2.750%, 11/15/2042		5,740		5,465
2.625%, 11/15/2020		8,525		8,803
2.500%, 02/15/2045 (E)		25,565		22,972
2.500%, 02/15/2046		17,949		16,087
2.500%, 05/15/2046		10,105		9,050
2.250%, 08/15/2046		970		821
2.000%, 10/31/2021		5,924		5,951
1.000%, 11/30/2019		336		332
U.S. Treasury Inflation Protected Securities
1.375%, 02/15/2044		792		873
0.875%, 02/15/2047		995		980
0.750%, 02/15/2042		2,096		2,014
0.750%, 02/15/2045		3,950		3,760
0.625%, 01/15/2024		2,977		3,047
0.375%, 07/15/2023		4,310		4,378
0.375%, 07/15/2025		6,584		6,601
0.125%, 04/15/2021		11,086		11,201
0.125%, 07/15/2026		3,657		3,568
U.S. Treasury Notes
2.250%, 02/15/2027		43,324		42,771
2.125%, 08/31/2020		8,300		8,431
2.125%, 12/31/2022		305		306
2.125%, 03/31/2024		5,234		5,203
2.000%, 08/31/2021		1,460		1,468
2.000%, 12/31/2021		6,074		6,097
2.000%, 11/30/2022		3,545		3,532
2.000%, 02/15/2025		175		171
2.000%, 11/15/2026		1,428		1,379
1.875%, 01/31/2022		6,010		5,997
1.875%, 02/28/2022		46,163		46,064
1.875%, 03/31/2022		23,254		23,194
1.875%, 08/31/2022		3,990		3,959
1.750%, 12/31/2020		11,585		11,594
1.625%, 03/15/2020		12,535		12,580
1.625%, 06/30/2020		1,585		1,586
1.625%, 11/30/2020		7,010		6,989


Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS (continued)
1.500%, 05/31/2020	$	4,786	$	4,774
1.500%, 01/31/2022		17,230		16,891
1.500%, 08/15/2026		6,038		5,587
1.375%, 01/15/2020		3		3
1.375%, 02/15/2020		14,041		13,997
1.375%, 04/30/2020		1,858		1,848
1.375%, 01/31/2021		7,612		7,505
1.250%, 12/31/2018		4,000		4,002
1.250%, 03/31/2019		3,930		3,929
1.125%, 01/31/2019 (D)		15,587		15,556
1.125%, 02/28/2019		200		200
1.125%, 02/28/2021		3,366		3,284
1.125%, 07/31/2021		5,613		5,444
1.125%, 09/30/2021		11,923		11,535
0.750%, 10/31/2017		4,355		4,350

Total U.S. Treasury Obligations (Cost $559,111) ($ Thousands)				555,733


ASSET-BACKED SECURITIES — 10.1%

Automotive — 1.8%
Ally Auto Receivables Trust, Ser 2015-1, Cl A3
1.390%, 09/16/2019		544		544
Ally Auto Receivables Trust, Ser 2016-1, Cl A2A
1.200%, 08/15/2018		115		115
Ally Auto Receivables Trust, Ser 2016-3, Cl A2
1.190%, 12/17/2018		256		255
Ally Auto Receivables Trust, Ser 2017-1, Cl A4
1.990%, 11/15/2021		221		221
Ally Auto Receivables Trust, Ser 2017-2, Cl A4
2.100%, 03/15/2022		411		411
Ally Master Owner Trust, Ser 2012-5, Cl A
1.540%, 09/15/2019		1,699		1,700
Ally Master Owner Trust, Ser 2014-4, Cl A2
1.430%, 06/17/2019		1,330		1,330
Ally Master Owner Trust, Ser 2017-1, Cl A
1.170%, 02/15/2021 (A)		328		329
Americredit Automobile Receivables Trust, Ser 2016-4, Cl A3
1.530%, 07/08/2021		713		709
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A
2.100%, 03/20/2019 (C)		560		562
Avis Budget Rental Car Funding AESOP, Ser 2014-1A, Cl A
2.460%, 07/20/2020 (C)		804		808
Avis Budget Rental Car Funding AESOP, Ser 2014-2A, Cl A
2.500%, 02/20/2021 (C)		935		940


Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Avis Budget Rental Car Funding AESOP, Ser 2017-1A, Cl A
3.070%, 09/20/2023 (C)	$	728	$	734
Bank of The West Auto Trust, Ser 2014-1, Cl A3
1.090%, 03/15/2019 (C)		124		124
California Republic Auto Receivables Trust, Ser 2015-1, Cl A4
1.820%, 09/15/2020		513		512
California Republic Auto Receivables Trust, Ser 2015-4, Cl A2
1.600%, 09/17/2018 (C)		46		46
California Republic Auto Receivables Trust, Ser 2015-4, Cl A4
2.580%, 06/15/2021 (C)		603		606
California Republic Auto Receivables Trust, Ser 2016-1, Cl A3
1.890%, 05/15/2020		685		687
California Republic Auto Receivables Trust, Ser 2016-1, Cl A4
2.240%, 10/15/2021		381		383
California Republic Auto Receivables Trust, Ser 2016-2, Cl A4
1.830%, 12/15/2021		634		632
California Republic Auto Receivables Trust, Ser 2017-1, Cl A2
1.550%, 11/15/2019		491		490
California Republic Auto Receivables Trust, Ser 2017-1, Cl A3
1.900%, 03/15/2021		491		489
California Republic Auto Receivables Trust, Ser 2017-1, Cl A4
2.280%, 06/15/2022		225		224
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4
1.690%, 10/22/2018		177		177
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A2
1.390%, 09/20/2018		208		208
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 A4
1.970%, 01/21/2020		453		455
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A1A
1.390%, 02/20/2018 (C)		164		164
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A3
1.940%, 01/21/2020		691		693
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A2
1.620%, 03/20/2019		425		425


Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A4
2.010%, 07/20/2020	$	349	$	347
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A2A
1.500%, 11/20/2018		390		390
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A3
1.730%, 04/20/2020		725		726
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A4
1.980%, 10/20/2020		325		326
Capital Auto Receivables Asset Trust, Ser 2016-2, Cl A2A
1.320%, 01/20/2019		170		170
Capital Auto Receivables Asset Trust, Ser 2016-2, Cl A3
1.460%, 06/20/2020		533		532
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A2A
1.360%, 04/22/2019		320		320
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 A4
1.690%, 03/22/2021		268		267
Chrysler Capital Auto Receivables Trust, Ser 2016-AA, Cl A3
1.770%, 10/15/2020 (C)		1,106		1,108
Flagship Credit Auto Trust, Ser 2016-3, Cl A2
2.050%, 11/15/2020 (C)		365		365
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A
2.260%, 11/15/2025 (C)		1,340		1,351
Ford Credit Auto Owner Trust, Ser 2015-1, Cl A
2.120%, 07/15/2026 (C)		965		967
Ford Credit Auto Owner Trust, Ser 2017-1, Cl A
2.620%, 02/15/2022 (C)		585		589
Ford Credit Floorplan Master Owner Trust, Ser 2014-4, Cl A1
1.400%, 08/15/2019		1,735		1,736
Hertz Vehicle Financing II, Ser 2015-1A, Cl A
2.730%, 03/25/2021 (C)		937		936
Hertz Vehicle Financing II, Ser 2015-1A, Cl C
4.350%, 03/25/2021 (C)		650		640
Hertz Vehicle Financing II, Ser 2015-3A, Cl A
2.670%, 09/25/2021 (C)		802		795
Hertz Vehicle Financing, Ser 2013-1A, Cl A2
1.830%, 08/25/2019 (C)		299		298
Hertz Vehicle Financing, Ser 2016-2A, Cl A
2.950%, 03/25/2022 (C)		220		219
Hertz Vehicle Financing, Ser 2016-3A, Cl A
2.270%, 07/25/2020 (C)		716		711


Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Hertz Vehicle Financing, Ser 2016-3A, Cl B
3.110%, 07/25/2020 (C)	$	233	$	232
Hertz Vehicle Financing, Ser 2016-4A, Cl A
2.650%, 07/15/2022 (C)		639		626
Honda Auto Receivables Owner Trust, Ser 2014-4, Cl A4
1.460%, 10/15/2020		473		473
Honda Auto Receivables Owner Trust, Ser 2015-4, Cl A2
0.820%, 07/23/2018		588		588
Honda Auto Receivables Owner Trust, Ser 2016-1, Cl A2
1.010%, 06/18/2018		43		43
Honda Auto Receivables Owner Trust, Ser 2016-2, Cl A2
1.130%, 09/17/2018		700		700
Hyundai Auto Receivables Trust, Ser 2017-A, Cl A4
2.090%, 04/17/2023		287		287
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A
0.870%, 11/15/2018		650		649
Nissan Auto Receivables Owner Trust, Ser 2016-C, Cl A2A
1.070%, 05/15/2019		295		295
Nissan Auto Receivables Owner Trust, Ser 2017-A, Cl A4
2.110%, 05/15/2023		421		422
Santander Drive Auto Receivables Trust, Ser 2016-2, Cl A2A
1.380%, 07/15/2019		452		452
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A2
1.390%, 11/15/2019 (C)		583		582
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A3
1.710%, 04/15/2021 (C)		248		247
TCF Auto Receivables Owner Trust, Ser 2016-1A, Cl A4
2.030%, 02/15/2022 (C)		184		183
TCF Auto Receivables Owner Trust, Ser 2016-PT1A, Cl A
1.930%, 06/15/2022 (C)		1,044		1,043
Toyota Auto Receivables Owner Trust, Ser 2017-A, Cl A4
2.100%, 09/15/2022		586		587
World Omni Auto Receivables Trust, Ser 2016-B, Cl A3
1.300%, 02/15/2022		610		604

				36,727


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)

Credit Cards — 0.9%
American Express Credit Account Master Trust, Ser 2014-2, Cl A
1.260%, 01/15/2020	$	360	$	360
American Express Credit Account Master Trust, Ser 2017-1, Cl A
1.930%, 09/15/2022		2,352		2,357
BA Credit Card Trust, Ser 2017-A1, Cl A1
1.950%, 08/15/2022		1,637		1,640
Capital One Multi-Asset Execution Trust, Ser 2007-A7, Cl A7
5.750%, 07/15/2020		480		490
Capital One Multi-Asset Execution Trust, Ser 2014-A5, Cl A5
1.480%, 07/15/2020		3,960		3,964
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 2017-A1, Cl A1
2.000%, 01/17/2023		2,333		2,334
Chase Issuance Trust, Ser 2012-A2, Cl A2
1.182%, 05/15/2019 (A)		1,015		1,015
Chase Issuance Trust, Ser 2014-A6, Cl A6
1.260%, 07/15/2019		335		335
Chase Issuance Trust, Ser 2014-A7, Cl A7
1.380%, 11/15/2019		675		675
Chase Issuance Trust, Ser 2016-A6, Cl A6
1.100%, 01/15/2020		100		100
Citibank Credit Card Issuance Trust, Ser 2007- A8, Cl A8
5.650%, 09/20/2019		475		485
Synchrony Credit Card Master Note Trust, Ser 2014-1, Cl A
1.610%, 11/15/2020		389		389
Synchrony Credit Card Master Note Trust, Ser 2016-2, Cl A
2.210%, 05/15/2024		456		453
World Financial Network Credit Card Master Trust, Ser 2012-B, Cl A
1.760%, 05/17/2021		474		475
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		869		856
World Financial Network Credit Card Master Trust, Ser 2016-B, Cl A
1.440%, 06/15/2022		746		744


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
World Financial Network Credit Card Master Trust, Ser 2016-C, Cl A
1.720%, 08/15/2023	$	502	$	499

				17,346


Mortgage Related Securities — 0.7%
AFC Home Equity Loan Trust, Ser 1998-1, Cl 1A2
1.448%, 04/25/2028 (A)		6		6
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3
1.178%, 08/25/2043 (A)		295		293
Centex Home Equity, Ser 2006-A, Cl AV4
1.028%, 06/25/2036 (A)		3,926		3,843
Citigroup Mortgage Loan Trust, Ser 2006-HE2, Cl A2D
1.018%, 08/25/2036 (A)		4,200		3,974
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/2028		—		—
EMC Mortgage Loan Trust, Ser 2002-AA, Cl A1
1.922%, 05/25/2039 (A) (C)		271		258
Master Asset-Backed Securities Trust, Ser 2007-HE1, Cl A4
1.058%, 05/25/2037 (A)		5,500		3,341
New Century Home Equity Loan Trust, Ser 2005-2, Cl M1
1.423%, 06/25/2035 (A)		429		429
New Century Home Equity Loan Trust, Ser 2005-3, Cl M2
1.268%, 07/25/2035 (A)		2,923		2,885

				15,029


Other Asset-Backed Securities — 6.7%
Academic Loan Funding Trust, Ser 2012-1A, Cl A2
1.878%, 12/27/2044 (A) (C)		2,100		2,093
Bravo Mortgage Asset Trust, Ser 2006-1A, Cl A2
1.018%, 07/25/2036 (A) (C)		1,252		1,220
Brazos Higher Education Authority, Ser 2010-1, Cl A2
2.125%, 02/25/2035 (A)		2,200		2,234
Brazos Higher Education Authority, Ser 2011-2, Cl A3
1.882%, 10/27/2036 (A)		1,750		1,754
CIT Education Loan Trust, Ser 2007-1, Cl A
1.087%, 03/25/2042 (A) (C)		1,203		1,129
Citicorp Residential Mortgage Trust, Ser 2007-1, Cl A5
5.697%, 03/25/2037		1,970		2,020
Community Funding CLO, Ser 2015-1A, Cl A
5.750%, 11/01/2027 (C)		1,510		1,405


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Conseco Financial, Ser 1993-4, Cl A5
7.050%, 01/15/2019	$	7	$	7
Consumer Credit Origination Loan Trust, Ser 2015-1, Cl A
2.820%, 03/15/2021 (C)		5		5
Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2
1.578%, 10/25/2047 (A)		2,507		2,278
CWABS Revolving Home Equity Loan Trust, Ser 2004-K, Cl 2A
1.070%, 02/15/2034 (A)		211		196
Eaton Vance CLO, Ser 2014-1A, Cl AR
2.232%, 07/15/2026 (A) (C)		900		900
Educational Funding of the South, Ser 2011-1, Cl A2
1.688%, 04/25/2035 (A)		1,306		1,300
First Franklin Mortgage Loan Trust, Ser 2005- FF8, Cl M1
1.268%, 09/25/2035 (A)		1,993		1,960
Flatiron CLO, Ser 2014-1A, Cl A1R
2.018%, 07/17/2026 (A) (C)		1,600		1,601
Global SC Finance II SRL, Ser 2014-1A, Cl A2
3.090%, 07/17/2029 (C)		931		878
Greenpoint Manufactured Housing, Ser 1999-2, Cl A2
4.270%, 03/18/2029 (A)		400		372
Greenpoint Manufactured Housing, Ser 1999- 3, Cl 1A7
7.270%, 06/15/2029		799		820
Greenpoint Manufactured Housing, Ser 1999-3, Cl 2A2
4.890%, 06/19/2029 (A)		225		210
Greenpoint Manufactured Housing, Ser 1999-4, Cl A2
4.270%, 02/20/2030 (A)		375		342
Greenpoint Manufactured Housing, Ser 2001-2, Cl IA2
4.272%, 02/20/2032 (A)		50		45
Greenpoint Manufactured Housing, Ser 2001- 2, Cl IIA2
4.271%, 03/13/2032 (A)		250		226
GSAMP Trust, Ser 2003-SEA, Cl A1
1.178%, 02/25/2033 (A)		1,186		1,117
GSAMP Trust, Ser 2006-HE3, Cl A2D
1.028%, 05/25/2046 (A)		3,300		2,488
Higher Education Funding I, Ser 2014-1, Cl A
1.980%, 05/25/2034 (A) (C)		1,500		1,496
HSI Asset Securitization Trust, Ser 2006-OPT3, Cl 3A3
0.958%, 02/25/2036 (A)		376		363
JGWPT XXX LLC, Ser 2013-3A, Cl A
4.080%, 01/17/2073 (C)		862		862


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
JGWPT XXXII, Ser 2014-2A, Cl A
3.610%, 01/17/2073 (C)	$	1,162	$	1,094
Lehman Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 09/15/2018		362		371
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/2038		2,140		2,267
Morgan Stanley Re-REMIC Trust, Ser 2015-R7, Cl 1BXA
10.379%, 02/26/2036 (A) (C)		930		1,021
National Collegiate Student Loan Trust, Ser 2005-3, Cl A4
1.058%, 04/25/2029 (A)		43		43
National Collegiate Student Loan Trust, Ser 2007-4, Cl A3L
1.628%, 03/25/2038 (A)		4,059		2,341
Navient Private Education Loan Trust, Ser 2014-AA, Cl A3
2.370%, 10/15/2031 (A) (C)		535		542
Navient Private Education Loan Trust, Ser 2014-CTA, Cl A
1.470%, 09/16/2024 (A) (C)		470		471
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2B
1.970%, 12/15/2028 (A) (C)		216		219
Navient Private Education Loan Trust, Ser 2015-CA, Cl B
3.250%, 05/15/2040 (C)		408		394
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2A
3.910%, 12/15/2045 (C)		996		1,036
Navient Student Loan Trust, Ser 2014-1, Cl A3
1.288%, 06/25/2031 (A)		3,748		3,655
Navient Student Loan Trust, Ser 2014-2, Cl A
1.418%, 03/25/2083 (A)		2,573		2,534
Navient Student Loan Trust, Ser 2014-3, Cl A
1.398%, 03/25/2083 (A)		2,594		2,557
Navient Student Loan Trust, Ser 2014-4, Cl A
1.398%, 03/25/2083 (A)		1,920		1,892
Navient Student Loan Trust, Ser 2016-5A, Cl A
2.028%, 06/25/2065 (A) (C)		337		342
Navient Student Loan Trust, Ser 2016-7A, Cl A
1.928%, 03/25/2066 (A) (C)		719		728
Navient Student Loan Trust, Ser 2017-1A, Cl A3
2.228%, 07/25/2066 (A) (C)		2,283		2,283
Navient Student Loan Trust, Ser 2017-2A, Cl A
1.962%, 12/27/2066 (A) (C)		1,572		1,572
Nelnet Student Loan Trust, Ser 2004-3, Cl A5
1.062%, 10/27/2036 (A)		687		672
Nelnet Student Loan Trust, Ser 2004-4, Cl A5
1.042%, 01/25/2037 (A)		584		576
Nelnet Student Loan Trust, Ser 2005-1, Cl A5
0.992%, 10/25/2033 (A)		679		664


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
1.096%, 03/23/2037 (A)	$	671	$	655
Nelnet Student Loan Trust, Ser 2005-3, Cl A5
1.116%, 12/24/2035 (A)		690		678
Nelnet Student Loan Trust, Ser 2005-4, Cl A4
1.176%, 03/22/2032 (A)		393		365
Nelnet Student Loan Trust, Ser 2006-2, Cl A6
1.002%, 04/25/2031 (A)		1,337		1,331
Nelnet Student Loan Trust, Ser 2010-4A, Cl A
1.578%, 04/25/2046 (A) (C)		205		205
Nelnet Student Loan Trust, Ser 2012-5A, Cl A
1.378%, 10/27/2036 (A) (C)		1,573		1,564
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2
1.728%, 11/25/2043 (A) (C)		1,655		1,618
Nelnet Student Loan Trust, Ser 2015-2A, Cl A2
1.378%, 09/25/2042 (A) (C)		2,497		2,476
Nelnet Student Loan Trust, Ser 2016-1A, Cl A
1.782%, 09/25/2065 (A) (C)		1,298		1,305
North Carolina State Education Assistance Authority, Ser 2011-2, Cl A2
1.682%, 07/25/2025 (A)		679		681
Origen Manufactured Housing, Ser 2006-A, Cl A2
3.006%, 10/15/2037 (A)		2,315		2,057
RAMP Trust, Ser 2003-RS11, Cl MII1
1.873%, 12/25/2033 (A)		156		145
RAMP Trust, Ser 2006-RZ3, Cl M1
1.128%, 08/25/2036 (A)		6,530		5,468
RSB BondCo LLC, Ser 2007-A, Cl A3
5.820%, 06/28/2019		268		268
Scholar Funding Trust, Ser 2011-A, Cl A
1.939%, 10/28/2043 (A) (C)		739		733
SLC Student Loan Trust, Ser 2007-1, Cl A4
0.966%, 05/15/2029 (A)		894		882
SLM Private Education Loan Trust, Ser 2012-D, Cl A2
2.950%, 02/15/2046 (C)		488		491
SLM Private Education Loan Trust, Ser 2013-1, Cl B
2.578%, 11/25/2043 (A)		245		243
SLM Private Education Loan Trust, Ser 2013-B, Cl A2A
1.850%, 06/17/2030 (C)		782		779
SLM Private Education Loan Trust, Ser 2013-B, Cl A2B
1.870%, 06/17/2030 (A) (C)		130		131
SLM Private Education Loan Trust, Ser 2014-A, Cl A2B
1.920%, 01/15/2026 (A) (C)		246		249
SLM Student Loan Trust, Ser 2003-1, Cl A5C
1.713%, 12/15/2032 (A) (C)		491		479
SLM Student Loan Trust, Ser 2003-12, Cl A5
1.243%, 09/15/2022 (A) (C)		183		183


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Ser 2004-10, Cl A7A
1.788%, 10/25/2029 (A) (C)	$	1,078	$	1,068
SLM Student Loan Trust, Ser 2004-8, Cl B
1.342%, 01/25/2040 (A)		124		112
SLM Student Loan Trust, Ser 2004-8A, Cl A5
1.382%, 04/25/2024 (A) (C)		718		720
SLM Student Loan Trust, Ser 2005-6, Cl A5B
2.082%, 07/27/2026 (A)		141		142
SLM Student Loan Trust, Ser 2005-8, Cl A4
1.432%, 01/25/2028 (A)		2,003		2,009
SLM Student Loan Trust, Ser 2006-2, Cl A6
1.052%, 01/25/2041 (A)		1,900		1,804
SLM Student Loan Trust, Ser 2006-3, Cl A5
0.982%, 01/25/2021 (A)		989		961
SLM Student Loan Trust, Ser 2006-8, Cl A6
1.198%, 01/25/2041 (A)		1,900		1,762
SLM Student Loan Trust, Ser 2007-2, Cl A3
0.922%, 01/25/2019 (A)		299		298
SLM Student Loan Trust, Ser 2007-2, Cl A4
0.942%, 07/25/2022 (A)		3,211		3,095
SLM Student Loan Trust, Ser 2007-2, Cl B
1.052%, 07/25/2025 (A)		391		326
SLM Student Loan Trust, Ser 2007-3, Cl A3
0.922%, 04/25/2019 (A)		1,012		1,003
SLM Student Loan Trust, Ser 2007-6, Cl B
1.732%, 04/27/2043 (A)		396		363
SLM Student Loan Trust, Ser 2008-2, Cl B
2.082%, 01/25/2083 (A)		525		467
SLM Student Loan Trust, Ser 2008-3, Cl B
2.082%, 04/26/2083 (A)		525		473
SLM Student Loan Trust, Ser 2008-4, Cl B
2.732%, 04/25/2029 (A)		525		509
SLM Student Loan Trust, Ser 2008-5, Cl A4
2.582%, 07/25/2023 (A)		1,319		1,348
SLM Student Loan Trust, Ser 2008-5, Cl B
2.732%, 07/25/2029 (A)		525		512
SLM Student Loan Trust, Ser 2008-6, Cl B
2.732%, 07/26/2083 (A)		525		513
SLM Student Loan Trust, Ser 2008-7, Cl B
2.732%, 07/26/2083 (A)		525		513
SLM Student Loan Trust, Ser 2008-8, Cl B
3.132%, 10/25/2029 (A)		525		513
SLM Student Loan Trust, Ser 2008-9, Cl B
3.132%, 10/25/2083 (A)		525		532
SLM Student Loan Trust, Ser 2010-1, Cl A
1.178%, 03/25/2025 (A)		449		441
SLM Student Loan Trust, Ser 2012-1, Cl A3
1.728%, 09/25/2028 (A)		2,249		2,247
SLM Student Loan Trust, Ser 2012-2, Cl A
1.478%, 01/25/2029 (A)		717		712
SLM Student Loan Trust, Ser 2012-6, Cl A3
1.528%, 05/26/2026 (A)		385		380


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Ser 2012-6, Cl B
1.778%, 04/27/2043 (A)	$	289	$	265
SLM Student Loan Trust, Ser 2013-6, Cl A3
1.428%, 06/25/2055 (A)		1,155		1,150
SLM Student Loan Trust, Ser 2013-A, Cl A2A
1.770%, 05/17/2027 (C)		246		245
SLM Student Loan Trust, Ser 2013-M1, Cl M1
3.500%, 10/28/2029 (C)		777		758
SLM Student Loan Trust, Ser 2014-2, Cl A3
1.368%, 03/25/2055 (A)		1,818		1,807
SLM Student Loan Trust, Ser 2014-A, Cl A2A
2.590%, 01/15/2026 (C)		421		424
SMB Private Education Loan Trust, Ser 2015-A, Cl A2A
2.490%, 06/15/2027 (C)		1,003		1,002
SMB Private Education Loan Trust, Ser 2015-A, Cl A2B
1.770%, 06/15/2027 (A) (C)		776		770
SMB Private Education Loan Trust, Ser 2015-B, Cl A2A
2.980%, 07/15/2027 (C)		336		341
SMB Private Education Loan Trust, Ser 2015-B, Cl A2B
2.112%, 07/15/2027 (A) (C)		1,047		1,057
SMB Private Education Loan Trust, Ser 2015-C, Cl A2A
2.750%, 07/15/2027 (C)		564		569
SMB Private Education Loan Trust, Ser 2015-C, Cl A2B
2.170%, 07/15/2027 (A) (C)		381		389
SMB Private Education Loan Trust, Ser 2016-A, Cl A2A
2.700%, 05/15/2031 (C)		1,339		1,339
SMB Private Education Loan Trust, Ser 2016-A, Cl A2B
2.410%, 05/15/2031 (A) (C)		1,023		1,047
SMB Private Education Loan Trust, Ser 2016-B, Cl A2A
2.430%, 02/17/2032 (C)		1,221		1,205
SMB Private Education Loan Trust, Ser 2016-B, Cl A2B
2.360%, 02/17/2032 (A) (C)		1,002		1,027
SMB Private Education Loan Trust, Ser 2016-C, Cl A2A
2.340%, 09/15/2034 (C)		1,602		1,566
SMB Private Education Loan Trust, Ser 2016-C, Cl A2B
1.950%, 09/15/2034 (A) (C)		1,131		1,146
SMB Private Education Loan Trust, Ser 2017-A, Cl A1
1.230%, 06/17/2024 (A) (C)		1,165		1,165


Description	Face Amount (Thousands)	Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
SMB Private Education Loan Trust, Ser 2017-A, Cl A2A
2.880%, 09/15/2034 (C)	$ 1,018	$	1,015
SMB Private Education Loan Trust, Ser 2017-A, Cl A2B
1.680%, 09/15/2034 (A) (C)	1,357		1,350
SoFi Professional Loan Program, Ser 2016-A, Cl A2
2.760%, 12/26/2036 (C)	816		822
SoFi Professional Loan Program, Ser 2016-D, Cl A1
1.728%, 01/25/2039 (A) (C)	200		201
SoFi Professional Loan Program, Ser 2016-D, Cl A2A
1.530%, 04/25/2033 (C)	375		373
SoFi Professional Loan Program, Ser 2016-E, Cl A1
1.628%, 07/25/2039 (A) (C)	937		939
SoFi Professional Loan Program, Ser 2016-E, Cl A2A
1.630%, 01/25/2036 (C)	365		364
SoFi Professional Loan Program, Ser 2017-A, Cl A1
1.477%, 03/26/2040 (A) (C)	449		449
SoFi Professional Loan Program, Ser 2017-A, Cl A2A
1.550%, 03/26/2040 (C)	955		952
SoFi Professional Loan Program, Ser 2017-A, Cl A2B
2.400%, 03/26/2040 (C)	360		354
SoFi Professional Loan Program, Ser 2017-B, Cl A2FX
2.740%, 05/25/2040 (C)	670		670
United States Small Business Administration, Ser 2015-20D, Cl 1
2.510%, 04/01/2035	164		163
Verizon Owner Trust, Ser 2016-1A, Cl A
1.420%, 01/20/2021 (C)	1,080		1,073
Verizon Owner Trust, Ser 2016-2A, Cl A
1.680%, 05/20/2021 (C)	328		327
Verizon Owner Trust, Ser 2017-1A, Cl A
2.060%, 09/20/2021 (C)	1,473		1,478
Voya CLO, Ser 2014-1A, Cl A1R
2.015%, 04/18/2026 (A) (C)	680		680
Voya CLO, Ser 2014-2A, Cl A1
2.330%, 07/17/2026 (A) (C)	1,730		1,730
Wells Fargo Home Equity Asset-Backed Securities Trust, Ser 2006-2, Cl A4
1.028%, 07/25/2036 (A)	2,857		2,801

			135,417

Total Asset-Backed Securities (Cost $202,914) ($ Thousands)			204,519


Description		Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT — 3.5%
Argentine Bonos del Tesoro
18.200%, 10/03/2021	ARS		19,870	$	1,388
Argentine Republic Government International Bond
7.625%, 04/22/2046 (C)	$		180		183
7.500%, 04/22/2026 (C)			280		298
7.125%, 07/06/2036 (C)			220		213
6.875%, 04/22/2021 (C)			420		451
5.625%, 01/26/2022 (C)			1,300		1,331
Brazil Notas do Tesouro Nacional, Ser F
10.000%, 01/01/2021	BRL		10,399		3,293
10.000%, 01/01/2023			3,994		1,260
Brazilian Government International Bond
5.625%, 01/07/2041	$		1,120		1,089
5.000%, 01/27/2045			560		498
2.625%, 01/05/2023			200		186
China Government Bond
3.390%, 05/21/2025	CNY		2,000		269
3.310%, 11/30/2025			11,500		1,522
Colombia Government International Bond
5.625%, 02/26/2044	$		820		892
FMS Wertmanagement AoeR
1.000%, 11/21/2017			640		639
Indonesia Government International Bond MTN
5.875%, 03/13/2020			240		262
5.875%, 01/15/2024 (C)			840		952
4.350%, 01/08/2027 (C)			455		471
3.700%, 01/08/2022 (C)			250		255
Israel Government International Bond
4.500%, 01/30/2043			470		484
Japan Bank for International Cooperation
2.000%, 11/04/2021			326		318
1.875%, 04/20/2021			694		680
1.750%, 05/28/2020			650		639
1.500%, 07/21/2021			1,532		1,470
Japan Finance Organization for Municipalities
4.000%, 01/13/2021			1,800		1,893
Japan Treasury Discount Bills (B) (F)
-0.291%, 05/01/2017	JPY		900,000		8,077
-0.321%, 06/26/2017			880,000		7,902
-0.326%, 06/19/2017			700,000		6,285
-0.374%, 05/22/2017			950,000		8,527
Kuwait International Government Bond
3.500%, 03/20/2027 (C)	$		1,200		1,213
2.750%, 03/20/2022 (C)			300		301
Mexico Government International Bond MTN
5.750%, 10/12/2110			657		654
5.550%, 01/21/2045			1,110		1,199
4.750%, 03/08/2044			1,330		1,293
4.350%, 01/15/2047			440		405
4.150%, 03/28/2027			345		351
4.000%, 10/02/2023 (D)			885		911


Description	Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT (continued)
3.600%, 01/30/2025	$	780	$	778
Paraguay Government International Bond
6.100%, 08/11/2044 (C)		325		349
4.700%, 03/27/2027 (C)		280		283
Peruvian Government International Bond
6.550%, 03/14/2037		90		116
5.625%, 11/18/2050		580		691
Poland Government International Bond
4.000%, 01/22/2024		1,310		1,375
Portugal Government International Bond MTN
5.125%, 10/15/2024 (C)		1,100		1,066
Province of Ontario Canada
1.625%, 01/18/2019 (D)		885		885
Provincia de Buenos Aires
7.875%, 06/15/2027 (C)		250		253
6.500%, 02/15/2023 (C)		300		301
Qatar Government International Bond
2.375%, 06/02/2021 (C)		765		757
Russian Foreign Bond - Eurobond
7.500%, 03/31/2030		667		802
4.500%, 04/04/2022		400		425
Russian Government International Bond
7.500%, 03/31/2030 (C)		294		354
Slovenia Government International Bond
5.850%, 05/10/2023 (C)		740		849
5.500%, 10/26/2022 (C)		528		593
5.250%, 02/18/2024 (C)		1,215		1,364
South Africa Government International Bond
4.300%, 10/12/2028 (D)		675		634

Total Sovereign Debt (Cost $68,668) ($ Thousands)				69,929


LOAN PARTICIPATIONS — 1.1%
1011778 BC ULC/ New Red Finance (aka Burger King/Tim Horton’s), Term Loan B2, 1st Lien
3.250%, 02/16/2024		558		558
Air Medical Group Holdings, Term Loan B, 1st Lien
4.250%, 04/28/2022		734		733
Albertson’s LLC, Term B4 Loan, 1st Lien
3.781%, 08/25/2021		449		451
Albertson’s LLC, Term B6 Loan, 1st Lien
4.302%, 06/22/2023		150		151
American Airlines, Term Loan B, 1st Lien
2.982%, 06/26/2020		631		630
American Builders & Contractors Supply Co., Cov-Lite, Term Loan B, 1st Lien
3.531%, 10/31/2023		598		599
Aramark, U.S. Term Loan F, 1st Lien
3.498%, 02/24/2021 (A)		260		261


Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Aristocrat Leisure, Cov-Lite, Term Loan B1, 1st Lien
3.143%, 10/20/2021	$	75	$	75
Avolon, Cov-Lite, Borrower Term Loan B2, 1st Lien
3.728%, 01/20/2022		560		567
Berry Plastics, Term Loan H, 1st Lien
3.750%, 10/01/2022		562		562
Boyd Gaming, Cov-Lite, Term Loan B, 1st Lien
4.000%, 08/14/2020		300		300
Boyd Gaming, Term Loan B, 1st Lien
3.440%, 09/15/2023		301		303
Charter Communications Operating, LLC, Term Loan E, 1st Lien
2.790%, 07/01/2020		597		598
CSC Holdings, LLC, Term Loan B, 1st Lien
3.943%, 10/11/2024		132		131
Delos Finance, Term Loan B, 1st Lien
3.248%, 10/06/2023		1,000		1,010
Energy Future Intermediate Holding, Cov-Lite, Term Loan, 1st Lien
4.304%, 06/30/2017		2,200		2,196
First Data, Extended Term Loan, 1st Lien
3.984%, 03/24/2021		1,093		1,101
First Data, Term Loan, 1st Lien
3.984%, 07/08/2022		933		940
Flying Fortress, Term Loan, 1st Lien
3.500%, 10/30/2022		560		564
HCA, Term Loan B8, 1st Lien
3.031%, 02/15/2024		599		603
Hilton Worldwide Holdings, Term Loan, 1st Lien
3.278%, 10/25/2023		55		55
2.928%, 10/25/2023		567		571
Intelsat Jackson Holdings S.A., Term Loan, Tranche B2, 1st Lien
3.750%, 06/30/2019 (A)		671		657
Jaguar Holding, Initial Term Loan, 1st Lien
4.250%, 08/18/2022		572		573
Landry’s, Cov-Lite, Term Loan B, 1st Lien
4.039%, 10/04/2023		300		302
Level 3 Financing, Term Loan B, 1st Lien
3.227%, 02/22/2024		590		591
Maple Holdings Acquisition, Cov-Lite, Term Loan B, 1st Lien
5.250%, 03/03/2023		96		97
MGM Growth Properties Operating Partnership L.P., Term B Loan, 1st Lien
3.281%, 04/25/2023 (A)		560		562
Michaels Stores, Term Loan B, 1st Lien
3.750%, 01/30/2023		561		559
MPH Acquisition Holdings LLC, Initial Term Loan, 1st Lien
5.000%, 06/07/2023		547		554


Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Murray Energy, Term Loan B2, 1st Lien
8.250%, 04/16/2020	$	554	$	537
NRG Energy, Term Loan B, 1st Lien
3.031%, 06/30/2023		629		631
Party City, Cov-Lite, Term Loan B, 1st Lien
3.860%, 08/19/2022		487		485
3.790%, 08/19/2022		44		44
PETCO Animal Supplies, Cov-Lite, Term Loan B1, 1st Lien
4.287%, 01/26/2023		507		477
PetSmart, Term Loan, Tranche B2, 1st Lien
4.020%, 03/11/2022		682		651
Reynolds Group Holdings, U.S. Term Loan, 1st Lien
3.980%, 02/05/2023		80		80
RPI Finance Trust, Term Loan B5, 1st Lien
3.498%, 10/14/2022		104		104
Univision Communications, Cov-Lite, Term Loan, 1st Lien
3.750%, 03/15/2024		1,676		1,665
UPC Financing, Term Loan, 1st Lien
3.662%, 04/15/2025		600		601
Virgin Media, Cov-Lite, Term Loan, 1st Lien
3.662%, 01/31/2025		368		369
XPO Logistics, Term Loan B, 1st Lien
0.000%, 11/01/2021 (G)		297		297

Total Loan Participations (Cost $22,841) ($ Thousands)				22,795


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.5%
FHLB
0.875%, 05/24/2017		40		40
FICO STRIPS, PO
0.092%, 11/02/2018 (B)		1,800		1,761
0.000%, 05/11/2018 (B)		1,910		1,883
FNMA
3.534%, 10/09/2019 (B)		5,115		4,882
Tennessee Valley Authority
3.875%, 02/15/2021		1,510		1,623

Total U.S. Government Agency Obligations (Cost $9,204) ($ Thousands)				10,189


MUNICIPAL BONDS — 0.5%

California — 0.2%
California State, Build America Project, GO
7.600%, 11/01/2040		365		545
California State, GO
6.200%, 03/01/2019		1,775		1,932


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MUNICIPAL BONDS (continued)
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049	$	513	$	745

				3,222


Massachusetts — 0.1%
Commonwealth of Massachusetts, Ser 2016-E, GO Callable 04/01/2025 @ 100
3.000%, 04/01/2041		1,500		1,321


Nevada — 0.0%
Clark County, Department of Aviation, Build America Project, Ser C, RB
6.820%, 07/01/2045		473		664


New York — 0.1%
New York and New Jersey, Port Authority, RB
4.458%, 10/01/2062		695		726
New York City, Build America Project, Ser F1, GO Callable 12/01/2020 @ 100
6.646%, 12/01/2031		900		1,028
New York City, Water & Sewer System, Build America Project, RB
5.952%, 06/15/2042		750		969

				2,723


Ohio — 0.0%
Ohio State University, Ser A, RB
4.800%, 06/01/2111		207		203


Texas — 0.1%
Brazos Higher Education Authority, Ser 2006-2, RB, GTD STD LNS
1.163%, 12/26/2024 (A)		547		522
North Texas, Tollway Authority, Build America Project, Ser B, RB
6.718%, 01/01/2049 (D)		474		661

				1,183

Total Municipal Bonds (Cost $8,476) ($ Thousands)				9,316


	Shares

PREFERRED STOCK — 0.0%
Citigroup Capital XIII, 7.875% (A)		24,750		660

Total Preferred Stock (Cost $647) ($ Thousands)				660


Description	Shares		Market Value ($ Thousands)


AFFILIATED PARTNERSHIP — 2.6%
SEI Liquidity Fund, L.P.
0.870%**† (H)		53,041,831	$	53,035

Total Affiliated Partnership (Cost $53,042) ($ Thousands)				53,035


CASH EQUIVALENT — 3.5%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		71,351,594		71,352

Total Cash Equivalent (Cost $71,352) ($ Thousands)				71,352

Total Investments — 110.8% (Cost $2,237,631) ($ Thousands)			$	2,235,461


	Contracts

PURCHASED OPTIONS* — 0.0%
June 2017, U.S. 10-Year Future Option Call, Expires 05/20/2017, Strike Price $124.50		30		28
June 2017, U.S. 10-Year Future Option Put, Expires 05/20/2017, Strike Price $121.00		9		1
May 2017, U.S. 10-Year Future Option Call, Expires 04/22/2017, Strike Price $123.50		20		24
May 2017, U.S. 10-Year Future Option Call, Expires 04/22/2017, Strike Price $124.75		40		14
May 2017, U.S. 10-Year Future Option Call, Expires 04/22/2017, Strike Price $124.00		60		49
May 2017, U.S. 10-Year Future Option Call, Expires 04/22/2017, Strike Price $125.50		51		8
May 2017, U.S. 10-Year Future Option Call, Expires 04/22/2017, Strike Price $125.00		70		21
May 2017, U.S. 10-Year Future Option Put, Expires 04/22/2017, Strike Price $123.50		20		3
May 2017, U.S. 5-Year Future Option Call, Expires 04/22/2017, Strike Price $118.00		141		25
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017, Strike Price $148.00		21		65
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017, Strike Price $153.00		11		4


Description	Contracts			Market Value ($ Thousands)


PURCHASED OPTIONS (continued)
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017, Strike Price $152.00		40		$	27
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017, Strike Price $151.00		40			43
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017, Strike Price $149.00		60			139
May 2017, U.S. Bond Future Option Put, Expires 04/22/2017, Strike Price $149.00		20			9

Total Purchased Options (Cost $360) ($ Thousands)				$	460


WRITTEN OPTIONS* — 0.0%
April 2017, U.S. Long Treasury Bond Future Option Call, Expires 04/22/2017 Strike Price $153.00		(10	)		(2	)
April 2017, U.S. Long Treasury Bond Future Option Put, Expires 04/22/2017 Strike Price $149.00		(10	)		(3	)
June 2017, Euro-Bund 10-Year Bond Future Option Call, Expires 05/20/2017 Strike Price $165.00		(28	)		(12	)
June 2017, Euro-Bund 10-Year Bond Future Option Call, Expires 05/20/2017 Strike Price $164.00		(30	)		(19	)
June 2017, Euro-Bund 10-Year Bond Future Option Put, Expires 05/20/2017 Strike Price $156.00		(30	)		(3	)
June 2017, Euro-Bund 10-Year Bond Future Option Put, Expires 05/20/2017 Strike Price $157.00		(28	)		(6	)
June 2017, U.S. 10-Year Future Option Call, Expires 05/20/2017 Strike Price $127.00		(93	)		(20	)
June 2017, U.S. 10-Year Future Option Call, Expires 05/20/2017 Strike Price $127.50		(248	)		(39	)
June 2017, U.S. 10-Year Future Option Call, Expires 05/20/2017 Strike Price $128.00		(31	)		(4	)
June 2017, U.S. 10-Year Future Option Call, Expires 05/20/2017 Strike Price $125.00		(60	)		(42	)
June 2017, U.S. 10-Year Future Option Call, Expires 05/20/2017 Strike Price $126.00		(20	)		(8	)
June 2017, U.S. 10-Year Future Option Call, Expires 05/20/2017 Strike Price $126.50		(45	)		(13	)


Description	Contracts			Market Value ($ Thousands)


WRITTEN OPTIONS (continued)
June 2017, U.S. 10-Year Future Option Put, Expires 05/20/2017 Strike Price $119.50		(122	)	$	(4	)
June 2017, U.S. 5-Year Future Option Call, Expires 05/20/2017 Strike Price $118.25		(90	)		(30	)
June 2017, U.S. 5-Year Future Option Call, Expires 05/20/2017 Strike Price $118.00		(20	)		(9	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $155.00		(30	)		(22	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $158.00		(21	)		(7	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $160.00		(41	)		(8	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $152.00		(20	)		(32	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $153.00		(85	)		(106	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $154.00		(20	)		(19	)
May 2017, Euro-Bund 10-Year Bond Future Option Call, Expires 04/22/2017 Strike Price $162.00		(14	)		(7	)
May 2017, U.S. 10-Year Future Option Call, Expires 04/22/2017 Strike Price $124.50		(40	)		(21	)
May 2017, U.S. 5-Year Future Option Call, Expires 04/22/2017 Strike Price $118.75		(21	)		(1	)
May 2017, U.S. 5-Year Future Option Call, Expires 04/22/2017 Strike Price $119.25		(123	)		(2	)
May 2017, U.S. 5-Year Future Option Call, Expires 04/22/2017 Strike Price $117.50		(53	)		(23	)
May 2017, U.S. 5-Year Future Option Call, Expires 04/22/2017 Strike Price $117.75		(40	)		(12	)
May 2017, U.S. 5-Year Future Option Put, Expires 04/22/2017 Strike Price $116.00		(123	)		(2	)
May 2017, U.S. 5-Year Future Option Put, Expires 04/22/2017 Strike Price $115.75		(21	)		—


Description	Contracts			Market Value ($ Thousands)


WRITTEN OPTIONS (continued)
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017 Strike Price $150.00		(23	)	$	(37	)

Total Written Options (Premiums Received $584) ($ Thousands)				$	(513	)

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$		(209	)		Dec-2019	$	(56	)
90-Day Euro$		209			Dec-2018		51
Euro		(18	)		Jun-2017		(26	)
Euro-BTP		132			Jun-2017		71
Euro-Bund		(209	)		Jun-2017		(100	)
U.S. 10-Year Treasury Note		977			Jun-2007		407
U.S. 2-Year Treasury Note		257			Jul-2007		50
U.S. 2-Year Treasury Note		36			Apr-2017		(4	)
U.S. 5-Year Treasury Note		1,118			Jun-2007		292
U.S. Long Treasury Bond		(256	)		Jun-2017		(97	)
U.S. Ultra Long Treasury Bond		(221	)		Jun-2017		(68	)
Ultra 10-Year U.S. Treasury Bond		(209	)		Jun-2017		(134	)

						$	386


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
04/20/17-06/19/17	JPY		3,810,085	USD		33,409	$	(846	)

							$	(846	)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Bank of America	$	(22,854	)	$	22,547	$	(307	)
Barclays PLC		(10,460	)		10,329		(131	)
Citigroup		(66,898	)		66,495		(403	)
Morgan Stanley		(321	)		322		1
UBS		(1,886	)		1,880		(6	)

						$	(846	)

A list of the open centrally cleared swap agreements held by the Fund at March 31, 2017 is as follows:

Percentages are based on Net Assets of $2,017,405 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

(A)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2017.

(B)

The rate reported is the effective yield at the 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 March 31, 2017, the value of these securities amounted to $233,683 ($ Thousands), representing 11.6% of the Net Assets of the Fund.

(D)

This security or a partial position of this security is on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $51,579 ($ Thousands).

(E)

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

(F)

Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar.

(G)

Unsettled bank loan. Interest rate not available.

(H)

This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2017 was $53,035 ($ Thousands).

ACES — Alternative Credit Enhancement Structure

ARM — Adjustable Rate Mortgage

ARS — Argentine Peso

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

GTD — Guaranteed Student Loans

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

PLC — Public Limited Company

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

TWD — Taiwanese Dollar

ULC — Unlimited Liability Company

USD — United States Dollar

The following is a list of the level of inputs used as of March 31, 2017, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Mortgage-Backed Securities	$	—	$	646,440	$	—	$	646,440
Corporate Obligations		—		591,493		—		591,493
U.S. Treasury Obligations		—		555,733		—		555,733
Asset-Backed Securities		—		204,519		—		204,519
Sovereign Debt		—		69,929		—		69,929
Loan Participations		—		22,795		—		22,795
U.S. Government Agency Obligations		—		10,189		—		10,189
Municipal Bonds		—		9,316		—		9,316
Preferred Stock		660		—		—		660
Affiliated Partnership		—		53,035		—		53,035
Cash Equivalent		71,352		—		—		71,352

Total Investments in Securities	$	72,012	$	2,163,449	$	—	$	2,235,461


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Purchased Options	$	460		$	—		$	—	$	460
Written Options		(513	)		—			—		(513	)
Futures Contracts*
Unrealized Appreciation		871			—			—		871
Unrealized Depreciation		(485	)		—			—		(485	)
Forwards Contracts*
Unrealized Appreciation		—			502			—		502
Unrealized Depreciation		—			(1,348	)		—		(1,348	)
Centrally Cleared Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			2,473			—		2,473
Unrealized Depreciation		—			(307	)		—		(307	)
Credit Default Swaps*
Unrealized Appreciation		—			3			—		3
Unrealized Depreciation		—			(34	)		—		(34	)

Total Other Financial Instruments	$	333		$	1,289		$	—	$	1,622

Futures contracts, forward contracts and swaps contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS — 34.9%
U.S. Treasury Bills (A)
0.755%, 04/13/2017	$	2,390	$	2,389
0.706%, 04/27/2017		4,960		4,958
0.557%, 04/20/2017		6,535		6,533
0.411%, 04/06/2017		2,700		2,700
U.S. Treasury Bonds
5.250%, 11/15/2028		7,920		10,121
3.815%, 02/15/2045 (A)		3,105		1,303
3.750%, 11/15/2043		12,870		14,645
3.000%, 05/15/2045		8,425		8,376
3.000%, 11/15/2045		810		805
3.000%, 02/15/2047		27,361		27,264
2.875%, 05/15/2043		3,890		3,787
2.875%, 08/15/2045		8,745		8,481
2.875%, 11/15/2046		16,430		15,942
2.810%, 08/15/2045 (A)		1,725		713
2.750%, 08/15/2042		5		5
2.750%, 11/15/2042		9,270		8,826
2.625%, 11/15/2020		12,300		12,701
2.600%, 11/15/2045 (A)		1,085		445
2.500%, 02/15/2045		15,105		13,573
2.500%, 02/15/2046		26,315		23,585
2.500%, 05/15/2046		7,418		6,643
2.250%, 08/15/2046		338		286
2.000%, 10/31/2021		2,942		2,955
2.000%, 02/15/2025		710		694
1.000%, 11/30/2019		376		372
U.S. Treasury Inflation Protected Securities
1.375%, 02/15/2044		63		69
0.875%, 02/15/2047		332		327
0.750%, 02/15/2042		236		227
0.750%, 02/15/2045		3,181		3,028
0.625%, 01/15/2024		156		160
0.625%, 02/15/2043		2,926		2,720
0.375%, 07/15/2025		4,567		4,579


Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS (continued)
0.125%, 04/15/2021	$	6,281	$	6,346
0.125%, 07/15/2026		3,232		3,153
U.S. Treasury Notes
3.625%, 02/15/2044		430		479
3.375%, 05/15/2044		5,720		6,104
2.250%, 12/31/2023		2,140		2,148
2.250%, 01/31/2024		2,410		2,418
2.250%, 11/15/2025		100		99
2.250%, 02/15/2027		36,712		36,243
2.125%, 08/31/2020		15,345		15,587
2.125%, 11/30/2023		12,100		12,058
2.125%, 02/29/2024		2,190		2,178
2.125%, 03/31/2024		1,543		1,534
2.000%, 08/31/2021		1,885		1,895
2.000%, 12/31/2021		7,790		7,820
2.000%, 11/15/2026		7,731		7,468
1.875%, 01/31/2022		7,885		7,868
1.875%, 02/28/2022		35,180		35,104
1.875%, 03/31/2022		27,170		27,100
1.875%, 05/31/2022		4,445		4,424
1.875%, 08/31/2022		20,185		20,030
1.750%, 12/31/2020		14,450		14,461
1.625%, 03/15/2020		4,296		4,311
1.625%, 06/30/2020		1,648		1,649
1.625%, 11/30/2020		10,870		10,838
1.500%, 05/31/2020		5,402		5,389
1.500%, 01/31/2022		2,840		2,784
1.500%, 02/28/2023		7,240		6,999
1.500%, 08/15/2026		15,065		13,940
1.375%, 01/15/2020		141		141
1.375%, 04/30/2020		1,995		1,984
1.375%, 01/31/2021		6,455		6,364
1.375%, 06/30/2023		5,340		5,102
1.375%, 08/31/2023		6,690		6,375
1.375%, 09/30/2023		580		552
1.250%, 03/31/2019		20,073		20,069
1.250%, 07/31/2023		840		795
1.125%, 01/31/2019		28,357		28,301
1.125%, 02/28/2019 (B)		24,465		24,410
1.125%, 02/28/2021		3,932		3,836
1.125%, 07/31/2021		10,259		9,950
1.125%, 09/30/2021		34,032		32,925
1.000%, 12/31/2017		3,690		3,689
0.750%, 10/31/2017		4,495		4,490

Total U.S. Treasury Obligations (Cost $602,183) ($ Thousands)				598,622


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES — 28.7%

Agency Mortgage-Backed Obligations — 25.1%
FHLMC
10.000%, 03/17/2026	$	73	$	74
7.500%, 01/01/2032 to 02/01/2038		351		405
6.500%, 10/01/2031 to 09/01/2038		339		382
6.000%, 02/01/2018 to 09/01/2038		467		517
5.500%, 06/01/2020 to 08/01/2037		592		618
5.000%, 03/01/2034 to 06/01/2044		1,773		1,958
4.500%, 08/01/2020 to 01/01/2045		5,083		5,459
4.000%, 10/01/2029 to 03/01/2047		14,800		15,596
3.500%, 06/01/2026 to 01/01/2047		35,236		36,431
3.000%, 02/01/2027 to 01/01/2047		16,135		16,037
FHLMC ARM
3.090%, 02/01/2045 (C)		297		306
2.815%, 05/01/2045 (C)		—		—
2.791%, 12/01/2041 (C)		—		—
2.540%, 07/01/2042 (C)		—		—
FHLMC CMO, Ser 2002-2399, Cl XG
6.500%, 01/15/2032		127		142
FHLMC CMO, Ser 2005-2945, Cl SA
10.652%, 03/15/2020 (C)		6		7
FHLMC CMO, Ser 2007-3281, Cl AI, IO
5.518%, 02/15/2037 (C)		108		19
FHLMC CMO, Ser 2007-3316, Cl JO, PO (A)
0.000%, 05/15/2037 (A)		6		6
FHLMC CMO, Ser 2011-3804, Cl FN
1.362%, 03/15/2039 (C)		96		96
FHLMC CMO, Ser 2011-3829, Cl ED
3.500%, 10/15/2028		188		190
FHLMC CMO, Ser 2011-3838, Cl QE
3.500%, 01/15/2029		297		302
FHLMC CMO, Ser 2011-3947, Cl SG, IO
5.038%, 10/15/2041 (C)		525		90
FHLMC CMO, Ser 2012-283, Cl IO, IO
3.500%, 10/15/2027		878		90
FHLMC CMO, Ser 2012-4146, Cl DI, IO
3.000%, 12/15/2031		1,106		115
FHLMC CMO, Ser 2013-4194, Cl BI, IO
3.500%, 04/15/2043		512		75
FHLMC CMO, Ser 2013-4203, Cl PS, IO
5.338%, 09/15/2042 (C)		416		69
FHLMC CMO, Ser 2013-4210, Cl Z
3.000%, 05/15/2043		220		202
FHLMC CMO, Ser 2013-4239, Cl IO, IO
3.500%, 06/15/2027		671		72
FHLMC CMO, Ser 2014-328, Cl S4, IO
2.025%, 02/15/2038 (C)		167		11
FHLMC CMO, Ser 2014-4335, Cl SW, IO
5.088%, 05/15/2044 (C)		157		28
FHLMC CMO, Ser 2014-4415, Cl IO, IO
1.887%, 04/15/2041 (C)		179		10


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FHLMC CMO, Ser 2015-4425, Cl A
4.000%, 09/15/2040	$	458	$	484
FHLMC CMO, Ser 2015-4529, Cl HC
3.000%, 10/15/2039		283		287
FHLMC CMO, Ser 2016-4640, Cl LD
4.000%, 09/15/2043		2,099		2,222
FHLMC CMO, Ser 2950, Cl JO, PO (A)
0.000%, 03/15/2020 (A)		4		4
FHLMC CMO, Ser T-76, Cl 2A
1.706%, 10/25/2037 (C)		179		182
FHLMC Multifamily Structured Pass-Through Certificates, Ser K151, Cl A3
3.511%, 04/25/2030		485		492
FHLMC Multifamily Structured Pass-Through Certificates, Ser K723, Cl X1, IO
0.957%, 08/25/2023 (C)		7,687		383
FHLMC Multifamily Structured Pass-Through Certificates, Ser KIR1, Cl X, IO
1.093%, 05/25/2026 (C)		6,295		466
FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ03, Cl A2
2.328%, 06/25/2021		170		170
FHLMC Multifamily Structured Pass-Through Certificates, Ser KJ11, Cl A2
2.932%, 01/25/2023		390		399
FHLMC Multifamily Structured Pass-Through Certificates, Ser KS03, Cl A4
3.161%, 05/25/2025 (C)		1,650		1,665
FHLMC TBA
4.000%, 05/15/2041 to 04/15/2045		3,100		3,249
3.500%, 04/01/2041 to 05/01/2041		8,600		8,791
3.000%, 04/15/2043 to 05/15/2043		8,500		8,416
FNMA
7.500%, 10/01/2037 to 04/01/2039		261		318
7.000%, 04/01/2032 to 01/01/2039		149		169
6.500%, 05/01/2027 to 12/01/2038		1,314		1,507
6.000%, 10/01/2019 to 10/01/2040		1,238		1,393
5.500%, 02/01/2021 to 02/01/2035		140		155
5.000%, 01/01/2020 to 07/01/2044		2,702		2,971
4.640%, 01/01/2021		462		499
4.540%, 01/01/2020		448		474
4.500%, 01/01/2020 to 02/01/2047		17,404		18,864
4.410%, 05/01/2021		358		386
4.360%, 05/01/2021		961		1,033
4.350%, 04/01/2021		751		807
4.300%, 04/01/2021		236		253
4.250%, 04/01/2021		250		268
4.240%, 06/01/2021		948		1,017
4.230%, 03/01/2020		366		385
4.200%, 04/01/2021		672		718
4.060%, 07/01/2021		990		1,057
4.000%, 04/01/2024 to 12/31/2049		46,979		49,617


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
3.590%, 12/01/2020	$	446	$	466
3.500%, 10/01/2025 to 12/31/2050		32,214		33,590
3.430%, 10/01/2020		901		939
3.410%, 10/01/2030		832		845
3.390%, 01/01/2031		700		708
3.340%, 07/01/2030		600		606
3.290%, 10/01/2020 to 09/01/2032		1,013		1,029
3.260%, 10/01/2030		732		735
3.230%, 11/01/2020		324		335
3.120%, 06/01/2035		850		811
3.110%, 02/01/2028		465		466
3.080%, 04/01/2030		500		494
3.040%, 04/01/2030		500		492
3.000%, 11/01/2026 to 02/01/2047		9,198		9,337
2.600%, 10/01/2031		735		680
2.500%, 10/01/2026 to 10/01/2042		4,521		4,540
FNMA ACES, Ser 2014-M12, Cl FA
1.074%, 10/25/2021 (C)		272		273
FNMA ACES, Ser 2015-M3, Cl FA
0.991%, 06/25/2018 (C)		830		830
FNMA ACES, Ser 2016-M11, Cl A2
2.369%, 07/25/2026 (C)		865		824
FNMA ACES, Ser 2017-M1, Cl A2
2.416%, 10/25/2026 (C)		658		628
FNMA ARM
4.377%, 04/01/2040 (C)		145		152
3.259%, 04/01/2047 (C)		1,046		1,074
3.192%, 10/01/2043 (C)		181		187
3.139%, 03/01/2047 (C)		862		890
FNMA CMO, Ser 1999-11, Cl Z
5.500%, 03/25/2029		56		61
FNMA CMO, Ser 2005-117, Cl LC
5.500%, 11/25/2035		270		289
FNMA CMO, Ser 2005-29, Cl ZA
5.500%, 04/25/2035		262		289
FNMA CMO, Ser 2005-360, Cl 2, IO
5.000%, 08/01/2035		186		37
FNMA CMO, Ser 2007-108, Cl AN
8.204%, 11/25/2037 (C)		64		77
FNMA CMO, Ser 2009-103, Cl MB
2.994%, 12/25/2039 (C)		152		161
FNMA CMO, Ser 2009-397, Cl 6
2.000%, 09/25/2039		685		667
FNMA CMO, Ser 2009-86, Cl BO, PO (A)
0.000%, 03/25/2037 (A)		645		584
FNMA CMO, Ser 2011-43, Cl AN
3.500%, 12/25/2028		354		358
FNMA CMO, Ser 2011-87, Cl SG, IO
5.772%, 04/25/2040 (C)		426		59
FNMA CMO, Ser 2012-101, Cl AI, IO
3.000%, 06/25/2027		657		58


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2012-118, Cl CI, IO
3.500%, 12/25/2039	$	706	$	87
FNMA CMO, Ser 2013-126, Cl CS, IO
5.168%, 09/25/2041 (C)		695		85
FNMA CMO, Ser 2013-73, Cl IB, IO
3.500%, 07/25/2028		186		19
FNMA CMO, Ser 2013-73, Cl IA, IO
3.000%, 09/25/2032		773		85
FNMA CMO, Ser 2014-40, Cl EP
3.500%, 10/25/2042		487		508
FNMA CMO, Ser 2014-47, Cl AI, IO
1.966%, 08/25/2044 (C)		937		59
FNMA CMO, Ser 2014-M8, Cl X2, IO
0.418%, 06/25/2024 (C)		8,697		206
FNMA CMO, Ser 2015-56, Cl AS, IO
5.372%, 08/25/2045 (C)		86		20
FNMA CMO, Ser 2015-M10, Cl A2
3.092%, 04/25/2027 (C)		544		546
FNMA CMO, Ser 2016-106, Cl BA
3.000%, 06/25/2045		814		825
FNMA CMO, Ser 2016-59, Cl CA
3.500%, 09/25/2043		1,575		1,637
FNMA CMO, Ser 2016-89, Cl HA
3.000%, 12/25/2046		414		420
FNMA TBA
5.000%, 04/30/2037		1,500		1,639
4.500%, 04/14/2033		19,835		21,267
4.000%, 04/01/2039 to 06/15/2045		29,145		30,516
3.500%, 04/01/2041 to 05/15/2045		9,895		10,115
3.000%, 04/25/2026 to 04/01/2043		30,385		30,352
2.500%, 04/25/2027		400		400
GNMA
7.500%, 10/15/2037		47		54
7.000%, 09/15/2031		42		50
6.500%, 12/15/2035 to 08/15/2039		578		680
6.000%, 09/20/2038		89		101
5.000%, 12/20/2039 to 11/20/2045		100		112
4.500%, 03/15/2041 to 06/15/2046		1,165		1,275
4.000%, 07/15/2045 to 01/20/2047		9,016		9,568
3.500%, 04/20/2046 to 02/20/2047		8,403		8,724
3.000%, 04/15/2045 to 12/20/2046		4,048		4,089
2.000%, 02/20/2034 (C)		325		337
GNMA CMO, Ser 2007-78, Cl SA, IO
5.602%, 12/16/2037 (C)		888		134
GNMA CMO, Ser 2009-66, Cl XS, IO
5.872%, 07/16/2039 (C)		1,040		155
GNMA CMO, Ser 2010-4, Cl NS, IO
5.462%, 01/16/2040 (C)		1,774		316
GNMA CMO, Ser 2010-H11, Cl FA
1.776%, 06/20/2060 (C)		532		539
GNMA CMO, Ser 2011-142, Cl IO, IO
0.657%, 09/16/2046 (C)		2,884		65


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
GNMA CMO, Ser 2011-H08, Cl FD
1.272%, 02/20/2061 (C)	$	364	$	363
GNMA CMO, Ser 2012-112, Cl IO, IO
0.311%, 02/16/2053 (C)		1,103		29
GNMA CMO, Ser 2012-27, Cl IO, IO
1.068%, 04/16/2053 (C)		1,539		60
GNMA CMO, Ser 2012-43, Cl SN, IO
5.672%, 04/16/2042 (C)		94		21
GNMA CMO, Ser 2012-H25, Cl FA
1.472%, 12/20/2061 (C)		719		723
GNMA CMO, Ser 2013-145, Cl IO, IO
1.075%, 09/16/2044 (C)		1,317		70
GNMA CMO, Ser 2013-178, Cl IO, IO
0.789%, 06/16/2055 (C)		899		35
GNMA CMO, Ser 2013-63, Cl IO, IO
0.769%, 09/16/2051 (C)		1,505		77
GNMA CMO, Ser 2013-96, Cl IO, IO
0.530%, 10/16/2054 (C)		1,967		68
GNMA CMO, Ser 2014-47, Cl IA, IO
0.555%, 02/16/2048 (C)		329		14
GNMA CMO, Ser 2014-5, Cl SP, IO
5.610%, 06/16/2043 (C)		601		79
GNMA CMO, Ser 2014-50, Cl IO, IO
0.914%, 09/16/2055 (C)		1,260		71
GNMA CMO, Ser 2014-92, Cl IX, IO
0.703%, 05/16/2054 (C)		6,947		271
GNMA CMO, Ser 2014-H10, Cl TA
1.418%, 04/20/2064 (C)		746		745
GNMA CMO, Ser 2015-167, Cl OI, IO
4.000%, 04/16/2045		88		20
GNMA CMO, Ser 2015-5, Cl IK, IO
0.778%, 11/16/2054 (C)		6,871		338
GNMA CMO, Ser 2015-H10, Cl FC
1.260%, 04/20/2065 (C)		454		451
GNMA CMO, Ser 2015-H18, Cl FA
1.230%, 06/20/2065 (C)		345		343
GNMA CMO, Ser 2015-H20, Cl FA
0.663%, 08/20/2065 (C)		355		353
GNMA TBA
4.500%, 04/01/2039 to 05/01/2039		4,300		4,588
4.000%, 04/01/2040		2,525		2,665
3.500%, 05/15/2041 to 04/15/2045		21,290		22,053
3.000%, 04/15/2043 to 05/01/2043		20,645		20,819

				431,220


Mortgage Related Securities — 0.0%
Citigroup Global Markets Mortgage Securities VII, Ser 2003-UP1, Cl A
3.950%, 04/25/2032 (D)		18		18


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Capital I Trust, Ser 2005-HE5, Cl M1
1.408%, 09/25/2035 (C)	$	99	$	99

				117


Non-Agency Mortgage-Backed Obligations — 3.6%
7 WTC Depositor Trust, Ser 2012-7WTC, Cl A
4.082%, 09/12/2018 (D)		97		98
American Home Mortgage Investment Trust, Ser 2004-4, Cl 4A
3.357%, 02/25/2045 (C)		513		518
AOA Mortgage Trust, Ser 2015-1177, Cl A
2.957%, 12/13/2021 (D)		930		944
ASG Resecuritization Trust, Ser 2009-3, Cl A65
2.487%, 03/26/2037 (C) (D)		131		131
Banc of America Funding Trust, Ser 2004-C, Cl 1A1
3.194%, 12/20/2034 (C)		24		24
Banc of America Funding Trust, Ser 2006-G, Cl 2A4
1.069%, 07/20/2036 (C)		1,584		1,571
Banc of America Funding Trust, Ser 2010-R11A, Cl 1A6
4.969%, 08/26/2035 (C) (D)		15		15
BBCMS Mortgage Trust, Ser 2017-C1, Cl A4
3.674%, 02/15/2050		285		294
BB-UBS Trust, Ser 2012-SHOW, Cl A
3.430%, 11/05/2036 (D)		600		613
BB-UBS Trust, Ser 2012-TFT, Cl A
2.892%, 06/05/2030 (D)		150		149
BCAP LLC Trust, Ser 2009-RR5, Cl 8A1
5.500%, 11/26/2034 (D)		81		83
BCAP LLC Trust, Ser 2010-RR7, Cl 1A5
3.193%, 04/26/2035 (C) (D)		2		2
Bear Stearns Adjustable Rate Mortgage Trust,
Ser 2004-2, Cl 14A
3.434%, 05/25/2034 (C)		18		18
Bear Stearns Adjustable Rate Mortgage Trust,
Ser 2005-5, Cl A1
2.580%, 08/25/2035 (C)		61		61
Bear Stearns ALT-A Trust, Ser 2004-12, Cl 1A3
1.478%, 01/25/2035 (C)		179		175
Bear Stearns ALT-A Trust, Ser 2004-6, Cl 1A
1.622%, 07/25/2034 (C)		114		113
Bear Stearns ARM Trust, Ser 2003-7, Cl 9A
3.288%, 10/25/2033 (C)		558		555
Bear Stearns Commercial Mortgage Securities, Ser 2005-PWR8, Cl X1, IO
0.397%, 06/11/2041 (C) (D)		27		—
CD Commercial Mortgage Trust, Ser 2016-CD1, Cl ASB
2.622%, 07/10/2026		537		526


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	$	142	$	139
CD Commercial Mortgage Trust, Ser 2016-CD2
3.526%, 11/01/2049		290		297
CD Commerical Mortgage Trust, Ser 2017-CD3, Cl A4
3.631%, 01/10/2027		310		319
CFCRE Commercial Mortgage Trust, Ser 2011- C1, Cl A4
4.961%, 04/15/2044 (C) (D)		359		384
CFCRE Commercial Mortgage Trust, Ser 2016- C3, Cl A1
1.793%, 01/10/2021		240		239
CFCRE Commercial Mortgage Trust, Ser 2016- C4, Cl A4
3.283%, 02/10/2026		332		329
CFCRE Commercial Mortgage Trust, Ser 2016- C7, Cl A3
3.839%, 12/10/2026		241		248
CFCRE Commercial Mortgage Trust, Ser 2016- C7, Cl A2
3.585%, 12/10/2054		332		335
CGBAM Commercial Mortgage Trust, Ser 2016- IMC, Cl D
6.312%, 11/15/2021 (C) (D)		930		954
Chase Mortgage Finance, Ser 2007-A1, Cl 2A1
3.101%, 02/25/2037 (C)		40		40
Chase Mortgage Finance, Ser 2007-A1, Cl 9A1
3.268%, 02/25/2037 (C)		28		28
Chase Mortgage Finance, Ser 2007-A2, Cl 1A1
3.112%, 07/25/2037 (C)		47		46
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl A2
1.987%, 04/10/2046		391		392
Citigroup Commercial Mortgage Trust, Ser 2013-SMP, Cl A
2.110%, 01/12/2030 (D)		437		438
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS
4.017%, 10/10/2047		140		146
Citigroup Commercial Mortgage Trust, Ser 2015-GC33, Cl A4
3.778%, 09/10/2025		290		301
Citigroup Global Markets Mortgage Securities VII, Ser 2003-HYB1, Cl A
3.240%, 09/25/2033 (C)		44		44
Citigroup Mortgage Loan Trust, Ser 2008-AR4, Cl 1A1A
3.568%, 11/25/2038 (C) (D)		32		32
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2006-CD2, Cl X, IO
0.023%, 01/15/2046 (C) (D)		516		—


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Citigroup/Deutsche Bank Commercial Mortgage Trust, Ser 2007-CD4, Cl XC, IO
0.326%, 12/11/2049 (C) (D)	$	866	$	—
COMM Mortgage Trust, Ser 2010-C1, Cl A2
3.830%, 07/10/2046 (D)		41		41
COMM Mortgage Trust, Ser 2012-CR2, Cl XA, IO
1.725%, 08/15/2045 (C)		660		48
COMM Mortgage Trust, Ser 2012-CR4, Cl AM
3.251%, 10/15/2045		590		599
COMM Mortgage Trust, Ser 2012-CR4, Cl A2
1.801%, 10/15/2045		91		92
COMM Mortgage Trust, Ser 2012-LC4, Cl A4
3.288%, 12/10/2044		79		81
COMM Mortgage Trust, Ser 2012-LC4, Cl A3
3.069%, 12/10/2044		78		79
COMM Mortgage Trust, Ser 2013-300P, Cl A1
4.353%, 08/10/2030 (D)		215		233
COMM Mortgage Trust, Ser 2013-CR10, Cl A2
2.972%, 08/10/2046		117		119
COMM Mortgage Trust, Ser 2013-CR11, Cl A1
1.468%, 10/10/2046		73		73
COMM Mortgage Trust, Ser 2013-CR12, Cl B
4.762%, 10/10/2046 (C)		30		32
COMM Mortgage Trust, Ser 2013-CR12, Cl C
5.083%, 10/10/2046 (C)		10		10
COMM Mortgage Trust, Ser 2013-CR12, Cl A4
4.046%, 10/10/2046		32		34
COMM Mortgage Trust, Ser 2013-CR12, Cl AM
4.300%, 10/10/2046		30		32
COMM Mortgage Trust, Ser 2013-CR12, Cl A1
1.295%, 10/10/2046		25		24
COMM Mortgage Trust, Ser 2013-CR13, Cl XA, IO
0.950%, 12/10/2023 (C)		3,958		152
COMM Mortgage Trust, Ser 2013-CR6, Cl A2
2.122%, 03/10/2046		957		961
COMM Mortgage Trust, Ser 2013-CR6, Cl A1
0.719%, 03/10/2046		30		30
COMM Mortgage Trust, Ser 2013-CR6, Cl B
3.397%, 02/10/2023 (D)		299		298
COMM Mortgage Trust, Ser 2014-CR18, Cl XA, IO
1.248%, 07/15/2047 (C)		3,705		205
COMM Mortgage Trust, Ser 2014-UBS5, Cl ASB
3.548%, 09/10/2047		103		107
COMM Mortgage Trust, Ser 2015-CR25, Cl A4
3.759%, 08/10/2048		188		195
COMM Mortgage Trust, Ser 2015-LC19, Cl XA, IO
1.218%, 01/10/2025 (C)		6,280		456
COMM Mortgage Trust, Ser 2016-787S, Cl A
3.545%, 02/10/2036 (D)		310		317


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
COMM Mortgage Trust, Ser 2016-COR1, Cl ASB
2.972%, 10/10/2049	$	254	$	254
COMM Mortgage Trust, Ser 2016-GCT, Cl A
2.670%, 08/10/2021		370		372
COMM Mortgage Trust, Ser 2016-SAVA
2.480%, 10/15/2018		1,310		1,317
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS2, Cl XA, IO
1.385%, 03/10/2047 (C)		2,221		139
Commercial Mortgage Pass-Through Certificates, Ser 2014-UBS6, Cl AM
4.048%, 12/10/2047		372		386
Credit Suisse First Boston Mortgage Securities, Ser 2003-27, Cl 5A3
5.250%, 11/25/2033		80		81
Credit Suisse First Boston Mortgage Securities, Ser 2003-29, Cl 5A1
7.000%, 12/25/2033		66		70
Credit Suisse First Boston Mortgage Securities, Ser 2003-AR24, Cl 2A4
3.222%, 10/25/2033 (C)		470		461
Credit Suisse Mortgage Capital Certificates, Ser 2011-16R, Cl 7A3
2.710%, 12/27/2036 (C) (D)		14		14
Credit Suisse Mortgage Capital Certificates, Ser 2011-6R, Cl 3A1
3.233%, 07/28/2036 (C) (D)		10		10
Credit Suisse Mortgage Trust, Ser 2016-NXSR, Cl A4
3.795%, 12/15/2049 (C)		425		440
CSAIL Commercial Mortgage Trust, Ser 2015- C4, Cl A4
3.808%, 11/15/2048		394		408
CSAIL Commercial Mortgage Trust, Ser 2016- C5, Cl ASB
3.533%, 11/15/2048		90		94
CSMC, Ser 2009-2R, Cl 1A14
3.044%, 09/26/2034 (C) (D)		503		506
CSMC, Ser 2009-2R, Cl 1A16
3.044%, 09/26/2034 (C) (D)		907		919
CSMC, Ser 2010-3R, Cl 2A3
4.500%, 12/26/2036 (C) (D)		770		786
CSMC, Ser 2014-7R, Cl 8A1
2.791%, 07/27/2037 (C) (D)		677		675
CSMC, Ser 2015-5R, Cl 1A1
1.066%, 09/27/2046 (D)		786		765
CSMC, Ser 2016-BDWN, Cl B
5.412%, 02/15/2029 (C) (D)		370		376
DBRR Trust, Ser 2011-LC2, Cl A4A
4.537%, 07/12/2044 (C) (D)		615		645
DBUBS Mortgage Trust, Ser 2011-LC2A, Cl A4
4.537%, 07/10/2044 (D)		100		107


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN1, Cl M2
3.182%, 02/25/2024 (C)	$	550	$	565
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN2, Cl M2
2.428%, 04/25/2024 (C)		413		418
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA2, Cl M2
3.378%, 12/25/2027 (C)		449		460
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M2
3.832%, 04/25/2028 (C)		826		856
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA1, Cl M1
2.182%, 07/25/2029 (C)		803		805
GE Business Loan Trust, Ser 2007-1A, Cl A
1.082%, 04/16/2035 (C) (D)		118		111
Greenwich Capital Commercial Funding, Ser 2007-GG11, Cl A4
5.736%, 12/10/2049		26		26
GS Mortgage Securities II, Ser 2013-KING, Cl A
2.706%, 12/10/2027 (D)		105		106
GS Mortgage Securities Trust, Ser 2006-GG8, Cl X, IO
0.754%, 11/10/2039 (C) (D)		368		—
GS Mortgage Securities Trust, Ser 2011-GC5, Cl A2
2.999%, 08/10/2044		8		8
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl A2
2.318%, 05/10/2045		119		119
GS Mortgage Securities Trust, Ser 2012-GCJ7, Cl AAB
2.935%, 05/10/2045		44		45
GS Mortgage Securities Trust, Ser 2013-GC16, Cl A2
3.033%, 11/10/2018		207		210
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B
5.161%, 11/10/2046 (C)		90		98
GS Mortgage Securities Trust, Ser 2013-GC16, Cl A1
1.264%, 11/10/2046		1		1
GS Mortgage Securities Trust, Ser 2013-NYC5, Cl A
2.318%, 01/10/2030 (D)		122		122
GS Mortgage Securities Trust, Ser 2016-GS3, Cl AAB
2.777%, 10/10/2049		277		275
GS Mortgage Securities Trust, Ser 2016-GS3, Cl A4
2.850%, 10/10/2049		185		179


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
GS Mortgage Securities Trust, Ser 2016-GS4, Cl A4
3.442%, 11/10/2049	$	304	$	309
GS Mortgage Securities Trust, Ser 2017-GS5, Cl A3
3.409%, 03/10/2050		537		545
GSR Mortgage Loan Trust, Ser 2003-13, Cl 1A1
2.869%, 10/25/2033 (C)		103		104
GSR Mortgage Loan Trust, Ser 2004-8F, Cl 2A3
6.000%, 09/25/2034		45		46
GSR Mortgage Loan Trust, Ser 2007-1F, Cl 2A4
5.500%, 01/25/2037		13		13
Homestar Mortgage Acceptance, Ser 2004-5, Cl A1
1.678%, 10/25/2034 (C)		271		270
Impac Secured Assets CMN Owner Trust, Ser 2004-4, Cl 1A3
1.842%, 02/25/2035 (C)		1,579		1,581
Impac Secured Assets Trust, Ser 2006-2, Cl 2A1
1.128%, 08/25/2036 (C)		29		28
Impac Secured Assets Trust, Ser 2007-A, Cl M1
1.178%, 05/25/2037 (C) (D)		426		396
Impact Funding LLC, Ser 2010-1, Cl A1
5.314%, 01/25/2051 (D)		809		891
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl A2
2.977%, 11/15/2045		219		222
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl C
5.046%, 11/15/2045 (C)		60		63
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B
4.886%, 01/15/2047 (C)		30		32
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C21, Cl A5
3.775%, 08/15/2047		343		357
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C
4.560%, 09/15/2047 (C)		120		118
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A2
2.773%, 10/15/2048		226		230
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C28, Cl A3
2.912%, 10/15/2048		1,434		1,409
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C30, Cl AS
4.226%, 07/15/2048 (C)		270		282
JPMBB Commercial Mortgage Securities Trust, Ser 2016-C1, Cl ASB
3.316%, 03/15/2049		366		376


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl C
4.512%, 02/15/2027 (C)	$	970	$	993
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl B
4.009%, 02/15/2027 (C)		740		761
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2004-LN2, Cl A2
5.115%, 07/15/2041		—		—
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-CB15, Cl X1, IO
0.271%, 06/12/2043 (C)		1,938		3
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP9, Cl A3SF
1.067%, 05/15/2047 (C)		45		45
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-C2, Cl A2
3.616%, 11/15/2043 (D)		127		128
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A2
4.311%, 08/05/2032 (D)		789		822
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2010-CNTR, Cl A1
3.300%, 08/05/2032 (D)		62		63
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C3, Cl A4
4.717%, 02/16/2046 (D)		246		265
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C4, Cl A3
4.106%, 07/15/2046 (D)		1,585		1,620
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2011-C5, Cl B
5.408%, 08/15/2046 (C) (D)		296		324
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2012-LC9, Cl A2
1.677%, 12/15/2047		56		56
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2013-C13, Cl A2
2.665%, 01/15/2046		128		129
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A5
3.805%, 07/15/2047		2,502		2,610
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2014-C20, Cl A2
2.872%, 07/15/2047		214		218
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3
3.801%, 08/15/2048		570		591
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-JP1, Cl ASB
3.733%, 01/15/2049		74		78


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl A1
1.324%, 08/15/2049	$	230	$	226
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Cl ASB
2.713%, 09/15/2025		292		289
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP3, Cl A5
2.870%, 08/15/2026		840		812
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2017-JP5, Cl ASB
3.549%, 11/15/2026		1,059		1,098
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 4A1
3.180%, 08/25/2034 (C)		145		145
JPMorgan Mortgage Trust, Ser 2006-A2, Cl 5A3
3.118%, 11/25/2033 (C)		71		72
JPMorgan Trust, Ser 2015-5, Cl A9
2.881%, 05/25/2045 (C) (D)		353		351
LB-UBS Commercial Mortgage Trust, Ser 2006- C1, Cl XCL, IO
0.248%, 02/15/2041 (C) (D)		1,134		—
Liberty Street Trust, Ser 2016-225L, Cl A
3.597%, 02/10/2036 (D)		310		318
Master Resecuritization Trust, Ser 2005, Cl 3PO, PO(A)
0.000%, 05/28/2035 (A) (D)		10		8
Merrill Lynch Mortgage Investors Trust, Ser 2003-A4, Cl 2A
3.172%, 07/25/2033 (C)		21		21
Merrill Lynch Mortgage Investors Trust, Ser 2004-A1, Cl 4A
3.625%, 02/25/2034 (C)		47		48
Merrill Lynch/Countrywide Commercial Mortgage Trust, Ser 2006-4, Cl XC, IO
0.696%, 12/12/2049 (C) (D)		154		—
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl A2
1.868%, 11/15/2045		176		176
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2012-C6, Cl B
3.930%, 11/15/2045		390		402
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A2
2.964%, 06/15/2018		116		117
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C10, Cl A1
1.394%, 07/15/2046		11		10
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C7, Cl AS
3.214%, 02/15/2046		21		21


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl AS
3.456%, 05/15/2046	$	80	$	81
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl A2
1.970%, 05/15/2046		104		105
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5
3.635%, 09/15/2025		250		257
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2016-C32, Cl A4
3.720%, 12/15/2026		290		300
Morgan Stanley Capital I Trust, Ser 2007-HQ11, Cl X, IO
0.268%, 02/12/2044 (C) (D)		1,242		2
Morgan Stanley Capital I Trust, Ser 2013-WLSR, Cl A
2.695%, 01/11/2032 (D)		460		462
Morgan Stanley Capital I Trust, Ser 2014-MP, Cl A
3.469%, 08/11/2021 (D)		440		457
Morgan Stanley Capital I Trust, Ser 2015-420, Cl A
3.727%, 10/11/2024 (D)		440		454
Morgan Stanley Capital I Trust, Ser 2016-BNK2, Cl XA, IO
1.128%, 11/15/2049 (C)		3,511		260
Morgan Stanley Capital I Trust, Ser 2016-UB11, Cl ASB
2.606%, 01/15/2021		210		207
Morgan Stanley Capital I Trust, Ser 2016-UB11, Cl A1
1.445%, 04/15/2021		425		420
Morgan Stanley Capital I Trust, Ser 2016-UBS9, Cl A1
1.711%, 03/15/2049		233		229
Mortgage Repurchase Agreement Financing Trust, Ser 2016-4, Cl A1
1.972%, 05/10/2019 (C) (D)		760		757
MSCG Trust, Ser 2015-ALDR, Cl A2
3.577%, 06/07/2035 (C) (D)		250		251
MSCG Trust, Ser 2016-SNR, Cl C
5.205%, 11/13/2021 (D)		300		300
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A4
6.138%, 03/25/2047		112		111
Nomura Asset Acceptance Alternative Loan Trust, Ser 2007-1, Cl 1A3
5.957%, 03/25/2047		136		135
Nomura Resecuritization Trust, Ser 2015-4R, Cl 3A1
2.475%, 01/26/2036 (C) (D)		344		346


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
Prime Mortgage Trust, Ser 2004-CL1, Cl 1PO, PO (A)
0.000%, 02/25/2034 (A)	$	8	$	6
Prime Mortgage Trust, Ser 2004-CL1, Cl 1A1
6.000%, 02/25/2034		34		35
RBSCF Trust, Ser 2013-GSP, Cl A
3.834%, 01/13/2032 (C) (D)		280		295
Residential Accredit Loans, Ser 2004-QA7, Cl A4
5.500%, 05/25/2034		192		195
Residential Asset Securitization Trust, Ser 2004-IP2, Cl 2A1
3.174%, 12/25/2034 (C)		313		312
SFAVE Commercial Mortgage Securities Trust, Ser 2015-5AVE, Cl A1
3.872%, 01/05/2035 (C) (D)		390		380
Springleaf Mortgage Loan Trust, Ser 2013-2A, Cl A
1.780%, 12/25/2065 (C) (D)		190		190
Structured Asset Securities Mortgage Pass- Through Certificates, Ser 2002-AL1, Cl A2
3.450%, 02/25/2032		44		44
Structured Asset Securities Mortgage Pass- Through Certificates, Ser 2003-24A, Cl 3A2
3.229%, 07/25/2033 (C)		113		113
Structured Asset Securities Mortgage Pass- Through Certificates, Ser 2004-5H, Cl A4
5.540%, 12/25/2033		118		120
UBS Commercial Mortgage Trust, Ser 2012-C1, Cl XA, IO
2.089%, 05/10/2045 (C) (D)		2,721		233
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A2
2.113%, 05/10/2063		30		30
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A2
1.712%, 12/10/2017		295		295
VNO Mortgage Trust, Ser 2012-6AVE, Cl A
2.996%, 11/15/2030 (D)		335		339
VNO Mortgage Trust, Ser 2013-PENN, Cl A
3.808%, 12/13/2029 (D)		250		262
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR10, Cl A7
2.831%, 10/25/2033 (C)		90		92
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR7, Cl A7
2.677%, 08/25/2033 (C)		47		47
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR8, Cl A
2.684%, 08/25/2033 (C)		25		26
WaMu Mortgage Pass-Through Certificates, Ser 2003-AR9, Cl 1A6
2.782%, 09/25/2033 (C)		81		81


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
WaMu Mortgage Pass-Through Certificates, Ser 2003-S4, Cl 2A10
15.322%, 06/25/2033 (C)	$	11	$	13
WaMu Mortgage Pass-Through Certificates, Ser 2003-S9, Cl A8
5.250%, 10/25/2033		172		178
WaMu Mortgage Pass-Through Certificates, Ser 2004-AR3, Cl A2
2.821%, 06/25/2034 (C)		54		54
WaMu Mortgage Pass-Through Certificates, Ser 2004-RA4, Cl 3A
7.500%, 07/25/2034		149		158
WaMu Mortgage Pass-Through Certificates, Ser 2005-AR13, Cl A1A3
1.558%, 10/25/2045 (C)		673		689
Wells Fargo Commercial Mortgage Trust, Ser 2016-C35, Cl C
4.176%, 07/15/2026 (C)		330		322
Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl XA
1.379%, 11/15/2059 (C)		5,752		526
Wells Fargo Commercial Mortgage Trust, Ser 2016-C36, Cl A4
3.065%, 11/15/2059		530		519
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-E, Cl A2
3.123%, 05/25/2034 (C)		13		13
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-EE, Cl 2A1
3.049%, 12/25/2034 (C)		64		65
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-H, Cl A1
3.051%, 06/25/2034 (C)		139		140
Wells Fargo Mortgage-Backed Securities Trust, Ser 2004-I, Cl 1A1
3.154%, 07/25/2034 (C)		87		88
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR8, Cl 2A1
3.150%, 06/25/2035 (C)		64		65
Wells Fargo Mortgage-Backed Securities Trust, Ser 2006-AR8, Cl 3A1
3.180%, 04/25/2036 (C)		656		658
WFRBS Commercial Mortgage Trust, Ser 2011- C3, Cl A4
4.375%, 03/15/2044 (D)		125		133
WFRBS Commercial Mortgage Trust, Ser 2012- C10, Cl XA, IO
1.678%, 12/15/2045 (C) (D)		1,549		104
WFRBS Commercial Mortgage Trust, Ser 2013- C13, Cl XA, IO
1.376%, 05/15/2045 (C) (D)		1,091		61


Description	Face Amount (Thousands)		Market Value ($ Thousands)


MORTGAGE-BACKED SECURITIES (continued)
WFRBS Commercial Mortgage Trust, Ser 2014- C20, Cl XA, IO
1.170%, 01/15/2024	$	3,064	$	166
WFRBS Commercial Mortgage Trust, Ser 2014- C21, Cl B
4.213%, 08/15/2047 (C)		300		309

				60,630


Other Asset-Backed Securities — 0.0%
JPMorgan Chase Acquisition, Ser 2005-OPT1, Cl M1
1.657%, 06/25/2035 (C)		230		229

Total Mortgage-Backed Securities (Cost $492,523) ($ Thousands)				492,196


CORPORATE OBLIGATIONS — 27.2%

Consumer Discretionary — 1.6%
21st Century Fox America
7.250%, 05/18/2018		50		53
6.900%, 08/15/2039		10		13
6.750%, 01/09/2038		20		24
6.650%, 11/15/2037		25		31
6.150%, 03/01/2037		20		24
6.150%, 02/15/2041		15		18
Amazon.com
4.950%, 12/05/2044		140		158
American Honda Finance MTN
3.875%, 09/21/2020 (D)		495		522
BMW US Capital
2.150%, 04/06/2020 (D)		635		635
Charter Communications Operating
6.484%, 10/23/2045		421		485
6.384%, 10/23/2035		10		11
5.375%, 05/01/2047 (D) (E)		550		552
4.908%, 07/23/2025		725		766
4.464%, 07/23/2022		580		612
Comcast
7.050%, 03/15/2033		90		120
4.400%, 08/15/2035		875		907
4.250%, 01/15/2033		60		62
4.200%, 08/15/2034		30		30
Comcast Cable Communications Holdings
9.455%, 11/15/2022		180		240
Comcast Cable Holdings
10.125%, 04/15/2022		45		59
Daimler Finance North America
2.300%, 01/06/2020 (D)		690		692
Daimler Finance North America LLC
2.375%, 08/01/2018 (D)		990		997


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Discovery Communications
4.950%, 05/15/2042	$	135	$	122
4.900%, 03/11/2026		260		271
4.875%, 04/01/2043		275		249
ERAC USA Finance
4.500%, 02/15/2045 (D)		115		110
3.300%, 12/01/2026 (D)		705		675
Ford Motor
5.291%, 12/08/2046 (B)		630		629
4.346%, 12/08/2026		330		336
Ford Motor Credit
5.875%, 08/02/2021		350		390
3.810%, 01/09/2024		1,280		1,284
3.339%, 03/28/2022		865		868
3.000%, 06/12/2017		500		501
2.597%, 11/04/2019		700		704
Ford Motor Credit LLC
3.219%, 01/09/2022		305		307
2.375%, 03/12/2019		200		201
1.684%, 09/08/2017		200		200
General Motors
6.750%, 04/01/2046		524		615
6.250%, 10/02/2043		160		176
4.875%, 10/02/2023		315		336
General Motors Financial
4.350%, 01/17/2027		120		121
3.700%, 05/09/2023		1,145		1,150
3.450%, 04/10/2022		30		30
3.200%, 07/13/2020		118		120
Grupo Televisa
6.125%, 01/31/2046		210		221
5.000%, 05/13/2045		225		205
Historic TW
6.625%, 05/15/2029		122		149
Home Depot
4.250%, 04/01/2046		48		50
3.750%, 02/15/2024		66		70
Hyundai Capital America MTN
2.400%, 10/30/2018 (D)		38		38
Lowe’s MTN
7.110%, 05/15/2037		110		147
Lowe’s
5.125%, 11/15/2041		11		13
McDonald’s MTN
5.350%, 03/01/2018		100		104
4.875%, 12/09/2045		680		723
3.700%, 01/30/2026		140		143
3.500%, 03/01/2027		120		120
2.750%, 12/09/2020		305		309
NBCUniversal Enterprise
1.974%, 04/15/2019 (D)		200		200


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
NBCUniversal Media
5.950%, 04/01/2041	$	50	$	61
Newell Brands
4.200%, 04/01/2026		120		125
3.850%, 04/01/2023		130		135
3.150%, 04/01/2021		60		61
QVC
5.950%, 03/15/2043		10		9
Time Warner
7.570%, 02/01/2024		30		37
5.375%, 10/15/2041		302		316
4.850%, 07/15/2045 (B)		285		277
4.650%, 06/01/2044		40		38
3.800%, 02/15/2027		1,965		1,943
3.550%, 06/01/2024		385		386
Time Warner Cable
8.250%, 04/01/2019		200		223
7.300%, 07/01/2038		110		136
6.750%, 07/01/2018		40		42
6.550%, 05/01/2037		250		287
5.875%, 11/15/2040		130		138
5.500%, 09/01/2041		44		45
5.000%, 02/01/2020		320		341
TJX
2.250%, 09/15/2026		120		110
Toyota Motor Credit MTN
2.600%, 01/11/2022		1,060		1,065
2.100%, 01/17/2019		174		176
1.250%, 10/05/2017		250		250
Viacom
4.850%, 12/15/2034		319		308
4.375%, 03/15/2043		315		273
4.250%, 09/01/2023		30		31
3.875%, 04/01/2024		30		30
2.250%, 02/04/2022		380		365
Walt Disney MTN
2.450%, 03/04/2022		645		646
WPP Finance
5.125%, 09/07/2042		60		60

				26,812


Consumer Staples — 2.0%
Altria Group
5.375%, 01/31/2044		50		57
4.750%, 05/05/2021		180		195
2.850%, 08/09/2022		530		531
Anheuser-Busch InBev Finance
4.900%, 02/01/2046		1,922		2,077
3.650%, 02/01/2026 (B)		2,788		2,819
3.300%, 02/01/2023		2,355		2,397
2.650%, 02/01/2021		1,420		1,431


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Anheuser-Busch InBev Worldwide
7.750%, 01/15/2019	$	18	$	20
3.750%, 07/15/2042		230		210
2.500%, 07/15/2022		420		415
1.375%, 07/15/2017		105		105
Coca-Cola Femsa
2.375%, 11/26/2018		728		732
Costco Wholesale
2.250%, 02/15/2022		56		56
CVS Health
5.125%, 07/20/2045		535		590
3.875%, 07/20/2025		249		257
3.500%, 07/20/2022		110		113
2.750%, 12/01/2022		510		505
CVS Pass-Through Trust
5.926%, 01/10/2034 (D)		84		96
Danone
2.947%, 11/02/2026 (D)		500		478
2.589%, 11/02/2023 (D)		330		319
2.077%, 11/02/2021 (D)		230		224
Diageo Investment
2.875%, 05/11/2022		580		591
Kraft Heinz Foods
6.875%, 01/26/2039		49		61
6.500%, 02/09/2040		140		168
6.125%, 08/23/2018		225		238
5.375%, 02/10/2020		16		17
5.200%, 07/15/2045		450		470
5.000%, 07/15/2035		70		73
5.000%, 06/04/2042		65		66
4.375%, 06/01/2046		1,005		943
3.950%, 07/15/2025		370		376
3.500%, 06/06/2022		820		839
3.500%, 07/15/2022		645		659
3.000%, 06/01/2026		1,025		963
2.800%, 07/02/2020		950		963
Kroger
2.950%, 11/01/2021		525		528
Mondelez International Holdings Netherlands BV
2.000%, 10/28/2021 (D)		2,105		2,022
1.625%, 10/28/2019 (D)		1,395		1,372
PepsiCo
4.250%, 10/22/2044		100		103
4.000%, 03/05/2042		50		50
3.100%, 07/17/2022		59		60
3.000%, 08/25/2021		31		32
1.250%, 08/13/2017		72		72
Pernod Ricard
4.450%, 01/15/2022 (D)		370		394
Philip Morris International
4.500%, 03/20/2042		70		71


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
2.500%, 08/22/2022	$	250	$	247
2.000%, 02/21/2020		1,280		1,277
Reynolds American
8.125%, 06/23/2019		370		417
5.850%, 08/15/2045		840		987
3.250%, 06/12/2020		54		55
Tyson Foods
5.150%, 08/15/2044		50		52
Walgreens Boots Alliance
4.800%, 11/18/2044		630		643
3.450%, 06/01/2026		1,610		1,574
3.300%, 11/18/2021		647		664
Wal-Mart Stores
5.625%, 04/15/2041		320		395
4.750%, 10/02/2043		200		223
4.300%, 04/22/2044		1,240		1,309
3.300%, 04/22/2024		60		62
Wm Wrigley Jr
3.375%, 10/21/2020 (D)		782		809
2.900%, 10/21/2019 (D)		886		902
2.400%, 10/21/2018 (D)		40		40

				34,414


Energy — 2.5%
Anadarko Finance, Ser B
7.500%, 05/01/2031		60		76
Anadarko Petroleum
6.600%, 03/15/2046		440		532
6.450%, 09/15/2036		110		130
4.500%, 07/15/2044		125		118
Apache
5.100%, 09/01/2040		120		124
4.750%, 04/15/2043		300		299
4.250%, 01/15/2044		445		417
3.250%, 04/15/2022		109		110
APT Pipelines
4.250%, 07/15/2027 (D)		340		345
BG Energy Capital PLC
4.000%, 10/15/2021 (D)		575		609
BP Capital Markets
3.588%, 04/14/2027		770		775
BP Capital Markets PLC
3.994%, 09/26/2023		95		100
3.723%, 11/28/2028		440		445
3.506%, 03/17/2025		90		91
3.245%, 05/06/2022		90		92
3.216%, 11/28/2023		1,455		1,462
3.119%, 05/04/2026		130		127
3.062%, 03/17/2022		50		51
1.846%, 05/05/2017		172		172
Canadian Natural Resources
6.450%, 06/30/2033		50		57


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Chevron
3.191%, 06/24/2023	$	22	$	22
2.954%, 05/16/2026		280		277
2.895%, 03/03/2024		1,280		1,283
2.355%, 12/05/2022		15		15
Cimarex Energy
4.375%, 06/01/2024		440		457
CNOOC Finance
3.500%, 05/05/2025		840		831
CNOOC Nexen Finance
4.250%, 04/30/2024		200		208
Conoco Funding
7.250%, 10/15/2031		130		174
ConocoPhillips
6.000%, 01/15/2020		100		110
4.150%, 11/15/2034		460		460
Devon Energy
5.850%, 12/15/2025		450		516
5.600%, 07/15/2041		110		116
5.000%, 06/15/2045		190		191
4.750%, 05/15/2042		17		16
3.250%, 05/15/2022		137		136
Devon Financing LLC
7.875%, 09/30/2031		40		52
Ecopetrol
5.875%, 05/28/2045		420		382
4.125%, 01/16/2025		203		197
Enbridge
5.500%, 12/01/2046		355		377
4.250%, 12/01/2026		375		383
Enbridge Energy Partners
5.875%, 10/15/2025		200		224
Encana
6.500%, 08/15/2034		350		394
6.500%, 02/01/2038		225		251
Energy Transfer Partners
8.250%, 11/15/2029		675		868
6.125%, 12/15/2045		190		203
5.150%, 03/15/2045		14		13
2.500%, 06/15/2018		475		477
Enterprise Products Operating
5.700%, 02/15/2042		40		45
Enterprise Products Operating LLC
6.450%, 09/01/2040		70		85
5.100%, 02/15/2045		120		125
EOG Resources
4.150%, 01/15/2026		90		94
ExxonMobil
4.114%, 03/01/2046		160		165
3.043%, 03/01/2026		220		220
2.397%, 03/06/2022		100		100


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Florida Gas Transmission
7.900%, 05/15/2019 (D)	$	350	$	388
Halliburton
5.000%, 11/15/2045		586		618
3.800%, 11/15/2025		190		192
3.500%, 08/01/2023		50		51
Hess
5.800%, 04/01/2047		335		346
4.300%, 04/01/2027 (B)		360		354
HollyFrontier
5.875%, 04/01/2026		195		207
Kerr-McGee
7.875%, 09/15/2031		100		128
6.950%, 07/01/2024		298		352
Kinder Morgan
5.550%, 06/01/2045		490		500
4.300%, 06/01/2025		1,700		1,737
Kinder Morgan Energy Partners
5.400%, 09/01/2044		255		252
3.500%, 09/01/2023		45		45
Marathon Petroleum
5.000%, 09/15/2054		115		100
4.750%, 09/15/2044		355		321
Noble Energy
5.250%, 11/15/2043		80		83
5.050%, 11/15/2044		29		30
4.150%, 12/15/2021		230		241
3.900%, 11/15/2024		150		152
Occidental Petroleum
4.625%, 06/15/2045		130		136
4.400%, 04/15/2046		50		51
4.100%, 02/15/2047		160		154
3.500%, 06/15/2025		45		45
3.000%, 02/15/2027		120		115
2.700%, 02/15/2023		129		128
Petrobras Global Finance
6.850%, 06/05/2115		200		178
6.250%, 03/17/2024		310		318
Petrobras International Finance
5.375%, 01/27/2021		1,060		1,088
Petro-Canada
6.800%, 05/15/2038		380		488
Petrofac
3.400%, 10/10/2018 (D)		250		252
Petroleos Mexicanos
6.625%, 06/15/2035		40		41
6.500%, 03/13/2027 (D)		825		888
6.375%, 01/23/2045		500		488
5.625%, 01/23/2046		442		395
5.500%, 06/27/2044		30		26
4.875%, 01/18/2024		32		32
2.460%, 12/15/2025		599		599


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
2.378%, 04/15/2025	$	302	$	301
Petroleos Mexicanos MTN
6.875%, 08/04/2026		120		133
6.750%, 09/21/2047		375		381
Phillips 66
5.875%, 05/01/2042		35		40
Phillips 66 Partners
4.900%, 10/01/2046		250		238
Raizen Fuels Finance
5.300%, 01/20/2027 (D)		370		375
Sabine Pass Liquefaction
5.875%, 06/30/2026 (D)		250		276
5.625%, 04/15/2023		365		396
5.625%, 03/01/2025		500		542
5.000%, 03/15/2027 (D)		745		779
4.200%, 03/15/2028 (D)		690		681
Schlumberger
3.000%, 12/21/2020 (D)		1,000		1,023
Schlumberger Holdings
4.000%, 12/21/2025 (D)		120		125
Schlumberger Investment
3.650%, 12/01/2023		61		64
3.300%, 09/14/2021 (D)		47		48
Shell International Finance
4.375%, 03/25/2020		140		149
4.375%, 05/11/2045		515		522
4.125%, 05/11/2035		1,851		1,865
4.000%, 05/10/2046		445		426
3.400%, 08/12/2023		930		957
2.875%, 05/10/2026		200		195
2.125%, 05/11/2020		56		56
Shell International Finance BV
4.550%, 08/12/2043		80		83
Sinopec Group Overseas Development
4.375%, 04/10/2024 (D)		380		401
Spectra Energy Partners
5.950%, 09/25/2043		30		34
3.500%, 03/15/2025		400		389
Statoil
5.250%, 04/15/2019		140		149
3.700%, 03/01/2024		210		219
Suncor Energy
3.600%, 12/01/2024		340		345
Texas Eastern Transmission
2.800%, 10/15/2022 (D)		402		389
Total Capital International
2.875%, 02/17/2022		815		823
TransCanada Pipelines
4.625%, 03/01/2034		470		492
Transcanada Trust
5.300%, 03/15/2077 (C)		685		677


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Transcontinental Gas Pipe Line
7.850%, 02/01/2026	$	480	$	616
Transocean
3.750%, 10/15/2017		260		261
Western Gas Partners
5.375%, 06/01/2021		25		27
4.650%, 07/01/2026		40		41
4.000%, 07/01/2022		35		36
Williams
7.875%, 09/01/2021		260		300
Williams Partners
5.100%, 09/15/2045		240		238
3.600%, 03/15/2022		1,200		1,217

				43,427


Financials — 10.1%
AIG Global Funding MTN
1.650%, 12/15/2017 (D)		42		42
American Express
7.000%, 03/19/2018		1,170		1,229
American Express Credit MTN
2.700%, 03/03/2022		2,290		2,287
2.375%, 05/26/2020		64		64
2.250%, 08/15/2019		1,135		1,144
2.200%, 03/03/2020		500		501
1.875%, 11/05/2018		44		44
1.800%, 07/31/2018		65		65
American International Group
6.250%, 05/01/2036		370		437
4.375%, 01/15/2055		90		80
4.125%, 02/15/2024		107		110
3.900%, 04/01/2026		1,041		1,045
3.875%, 01/15/2035		30		27
Aon
6.250%, 09/30/2040		19		22
3.500%, 06/14/2024		65		65
Bank of America
6.100%, 06/15/2017		2,600		2,624
6.000%, 09/01/2017		1,565		1,593
5.750%, 12/01/2017		70		72
5.700%, 01/24/2022		5		5
Bank of America MTN
6.875%, 04/25/2018		2,250		2,368
6.400%, 08/28/2017		150		153
5.650%, 05/01/2018		2,950		3,069
5.625%, 07/01/2020		30		33
5.000%, 05/13/2021		410		445
5.000%, 01/21/2044		240		262
4.450%, 03/03/2026		674		691
4.250%, 10/22/2026		47		48
4.200%, 08/26/2024		700		713
4.183%, 11/25/2027		220		221


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
4.125%, 01/22/2024	$	290	$	303
4.100%, 07/24/2023		340		356
4.000%, 04/01/2024		290		301
4.000%, 01/22/2025		683		682
3.950%, 04/21/2025 (B)		123		122
3.875%, 08/01/2025		190		193
3.500%, 04/19/2026		1,244		1,228
3.300%, 01/11/2023		1,835		1,846
2.600%, 01/15/2019		160		162
2.503%, 10/21/2022		1,220		1,189
2.250%, 04/21/2020		100		100
Bank of Montreal MTN
2.375%, 01/25/2019		55		55
1.400%, 09/11/2017		53		53
Bank of New York Mellon MTN
4.600%, 01/15/2020		40		43
3.442%, 02/07/2028 (C)		670		675
3.250%, 09/11/2024		100		101
2.500%, 04/15/2021		327		328
2.200%, 03/04/2019		425		428
Bank of New York Mellon
3.550%, 09/23/2021		34		35
3.400%, 05/15/2024		1,670		1,703
Bank of Nova Scotia
1.850%, 04/14/2020		160		158
Bank of Tokyo-Mitsubishi
4.100%, 09/09/2023 (D)		200		212
Barclays
4.950%, 01/10/2047		370		370
BB&T
5.250%, 11/01/2019		200		216
Bear Stearns
7.250%, 02/01/2018		2,500		2,613
6.400%, 10/02/2017		500		512
Berkshire Hathaway
3.750%, 08/15/2021		500		531
3.400%, 01/31/2022		65		68
3.125%, 03/15/2026		1,250		1,249
Berkshire Hathaway Finance
5.400%, 05/15/2018		110		115
4.400%, 05/15/2042		316		332
BNP Paribas MTN
3.800%, 01/10/2024 (D)		710		707
2.700%, 08/20/2018		380		384
2.375%, 09/14/2017		110		110
BPCE
5.150%, 07/21/2024 (D)		200		205
Capital One Financial
4.750%, 07/15/2021		50		54
4.200%, 10/29/2025		564		566
3.750%, 07/28/2026		400		387


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Chubb INA Holdings
4.350%, 11/03/2045	$	445	$	470
3.350%, 05/03/2026		70		71
3.150%, 03/15/2025		74		74
2.875%, 11/03/2022		39		39
2.300%, 11/03/2020		50		50
Citigroup
8.125%, 07/15/2039		370		543
6.125%, 11/21/2017		2,095		2,154
6.125%, 05/15/2018		2,650		2,774
5.500%, 09/13/2025		269		294
5.300%, 05/06/2044		47		50
4.750%, 05/18/2046		30		30
4.650%, 07/30/2045		336		350
4.500%, 01/14/2022		380		407
4.450%, 09/29/2027		1,385		1,402
4.400%, 06/10/2025		270		275
4.300%, 11/20/2026		60		61
3.700%, 01/12/2026		595		596
3.500%, 05/15/2023		130		131
3.400%, 05/01/2026		260		253
3.300%, 04/27/2025		120		117
3.200%, 10/21/2026		920		880
2.500%, 09/26/2018		990		999
2.150%, 07/30/2018		71		71
1.700%, 04/27/2018		160		160
1.602%, 08/25/2036 (C)		1,000		807
1.550%, 08/14/2017		805		805
CME Group
3.000%, 03/15/2025		51		51
Cooperatieve Rabobank UA MTN
3.875%, 02/08/2022		30		32
Cooperatieve Rabobank UA
4.625%, 12/01/2023		530		559
4.375%, 08/04/2025		1,000		1,026
2.750%, 01/10/2022		860		865
Credit Agricole
8.375%, 12/31/2049 (C) (D)		170		189
Credit Suisse Group
4.282%, 01/09/2028 (D)		475		473
3.574%, 01/09/2023 (D)		695		694
Credit Suisse Group Funding Guernsey
4.875%, 05/15/2045		1,280		1,302
Discover Bank
2.000%, 02/21/2018		1,000		1,001
Discover Financial Services
6.450%, 06/12/2017		250		252
Farmers Exchange Capital
7.200%, 07/15/2048 (D)		1,021		1,197
Fifth Third Bancorp
2.300%, 03/01/2019		30		30


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Fifth Third Bank
2.875%, 10/01/2021	$	200	$	202
Ford Motor Credit
6.625%, 08/15/2017		500		509
Goldman Sachs Group
6.750%, 10/01/2037		532		656
6.450%, 05/01/2036		20		24
6.250%, 02/01/2041		300		377
6.150%, 04/01/2018		1,780		1,854
6.125%, 02/15/2033		20		24
5.950%, 01/18/2018		1,250		1,291
5.750%, 01/24/2022		300		337
5.250%, 07/27/2021		400		439
5.150%, 05/22/2045		360		378
4.750%, 10/21/2045		1,036		1,091
4.250%, 10/21/2025		600		612
3.750%, 02/25/2026		340		341
3.500%, 11/16/2026		540		528
3.000%, 04/26/2022		1,150		1,153
2.900%, 07/19/2018		220		223
2.750%, 09/15/2020		605		610
2.625%, 04/25/2021		450		449
2.375%, 01/22/2018		520		523
2.350%, 11/15/2027		940		919
Goldman Sachs Group MTN
7.500%, 02/15/2019		1,310		1,438
6.000%, 06/15/2020		880		974
5.375%, 03/15/2020		950		1,030
4.000%, 03/03/2024		200		207
3.850%, 07/08/2024		121		124
2.139%, 11/15/2018 (C)		1,500		1,516
Guardian Life Global Funding
1.950%, 10/27/2021 (D)		780		758
Guardian Life Global Funding MTN
2.000%, 04/26/2021 (D)		700		682
Guardian Life Insurance of America
4.850%, 01/24/2077 (D)		545		532
HBOS PLC MTN
6.750%, 05/21/2018 (D)		200		209
HSBC Bank PLC
4.125%, 08/12/2020 (D)		100		106
HSBC Finance
6.676%, 01/15/2021		850		961
HSBC Holdings
4.375%, 11/23/2026		700		706
4.041%, 03/13/2028 (C)		645		652
3.262%, 03/13/2023 (C)		1,155		1,161
HSBC Holdings PLC
4.875%, 01/14/2022		100		108
4.300%, 03/08/2026		1,055		1,100
4.250%, 03/14/2024		370		375
4.250%, 08/18/2025		250		252


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
4.000%, 03/30/2022	$	206	$	216
3.400%, 03/08/2021		890		910
2.650%, 01/05/2022 (B)		1,530		1,511
HSBC USA
2.350%, 03/05/2020		100		100
ING Bank
5.800%, 09/25/2023 (D)		430		478
ING Groep
3.950%, 03/29/2027		225		226
3.150%, 03/29/2022		565		566
Intercontinental Exchange
4.000%, 10/15/2023		65		69
2.500%, 10/15/2018		85		86
International Lease Finance
7.125%, 09/01/2018 (D)		1,000		1,069
Intesa Sanpaolo MTN
5.017%, 06/26/2024 (D)		510		480
JPMorgan Chase
6.000%, 01/15/2018		1,500		1,551
4.950%, 06/01/2045		30		32
4.500%, 01/24/2022		660		711
4.260%, 02/22/2048 (C)		665		663
4.250%, 10/01/2027		590		605
4.125%, 12/15/2026		520		530
3.900%, 07/15/2025		805		832
3.875%, 09/10/2024		520		527
3.782%, 02/01/2028 (C)		680		687
3.625%, 05/13/2024		230		235
3.625%, 12/01/2027		1,465		1,421
3.250%, 09/23/2022		240		244
3.200%, 01/25/2023		100		101
2.972%, 01/15/2023		1,235		1,234
2.950%, 10/01/2026		696		662
2.700%, 05/18/2023		1,285		1,259
2.250%, 01/23/2020		905		908
JPMorgan Chase MTN
2.295%, 08/15/2021 (B)		1,065		1,054
JPMorgan Chase Bank
6.000%, 10/01/2017		2,427		2,478
KFW
4.000%, 01/27/2020		560		595
1.000%, 07/15/2019		3,397		3,354
KKR Group Finance II
5.500%, 02/01/2043 (D)		20		21
Lazard Group LLC
3.750%, 02/13/2025		760		756
Liberty Mutual Insurance
8.500%, 05/15/2025 (D)		100		128
Lincoln National
3.625%, 12/12/2026		475		473
Lloyds Banking Group
3.100%, 07/06/2021		490		494


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Lloyds TSB Bank MTN
5.800%, 01/13/2020 (D)	$	310	$	339
Macquarie Group
6.250%, 01/14/2021 (D)		166		184
Marsh & McLennan
3.750%, 03/14/2026		325		334
2.750%, 01/30/2022		455		458
Massachusetts Mutual Life Insurance
8.875%, 06/01/2039 (D)		89		145
4.900%, 04/01/2077 (D)		280		281
MetLife
6.400%, 12/15/2036		915		1,004
5.700%, 06/15/2035		15		18
Metropolitan Life Global Funding
1.500%, 01/10/2018 (D)		313		312
Metropolitan Life Global Funding I MTN
1.950%, 12/03/2018 (D)		160		160
Metropolitan Life Global Funding I
3.450%, 12/18/2026 (D)		1,545		1,556
1.950%, 09/15/2021 (D)		755		733
1.550%, 09/13/2019 (D)		405		399
Mitsubishi UFJ Financial Group
3.677%, 02/22/2027		995		1,007
Mizuho Bank
1.800%, 03/26/2018 (D)		200		200
Morgan Stanley
4.375%, 01/22/2047		795		795
3.625%, 01/20/2027		440		437
1.842%, 02/14/2020 (C)		2,250		2,255
Morgan Stanley MTN
7.300%, 05/13/2019		420		464
6.625%, 04/01/2018		3,300		3,454
5.950%, 12/28/2017		200		206
5.625%, 09/23/2019		350		378
3.125%, 07/27/2026		55		53
2.625%, 11/17/2021		3,905		3,879
2.500%, 04/21/2021		450		448
National Australia Bank
2.400%, 12/07/2021 (D)		915		910
National City
6.875%, 05/15/2019		50		55
National City Bank
1.472%, 06/07/2017 (C)		600		600
Nationwide Mutual Insurance
3.421%, 12/15/2024 (C) (D)		760		748
New York Life Global Funding
2.150%, 06/18/2019 (D)		73		73
New York Life Insurance
6.750%, 11/15/2039 (D)		255		345
2.100%, 01/02/2019 (D)		330		332
Nordea Bank
4.875%, 05/13/2021 (D)		250		267


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Nordea Bank MTN
1.625%, 05/15/2018 (D)	$	220	$	220
Northwestern Mutual Life Insurance
6.063%, 03/30/2040 (D)		680		862
Pacific Life Global Funding MTN
5.000%, 05/15/2017 (D)		50		50
Pipeline Funding
7.500%, 01/15/2030 (D)		438		513
PNC Bank
2.550%, 12/09/2021		780		778
2.250%, 07/02/2019		325		328
PNC Bank MTN
2.400%, 10/18/2019		400		403
Pricoa Global Funding MTN
1.600%, 05/29/2018 (D)		150		150
Protective Life Global Funding
1.722%, 04/15/2019 (D)		870		861
Prudential Financial MTN
5.625%, 05/12/2041		10		12
Royal Bank of Canada
2.000%, 10/01/2018		183		184
1.875%, 02/05/2020		180		179
1.200%, 09/19/2017		140		140
Royal Bank of Scotland
4.650%, 06/04/2018		350		358
Santander Holdings USA
3.450%, 08/27/2018		230		234
Santander UK Group Holdings
2.875%, 08/05/2021		200		197
Stadshypotek
2.500%, 04/05/2022 (D)		2,190		2,186
Standard Chartered
5.700%, 03/26/2044 (D)		860		887
State Street
4.956%, 03/15/2018		270		278
3.700%, 11/20/2023		138		144
3.300%, 12/16/2024		70		71
Synchrony Financial
3.700%, 08/04/2026		705		684
Teachers Insurance & Annuity Association of America
6.850%, 12/16/2039 (D)		150		199
4.900%, 09/15/2044 (D)		445		481
Toronto-Dominion Bank
2.500%, 01/18/2022 (D)		715		716
2.250%, 03/15/2021 (D)		1,480		1,477
Toronto-Dominion Bank MTN
1.750%, 07/23/2018		72		72
UBS MTN
1.800%, 03/26/2018		445		445
1.375%, 06/01/2017		350		350


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
UBS Group Funding Jersey
2.650%, 02/01/2022 (D)	$	1,045	$	1,024
UBS Group Funding Switzerland
4.253%, 03/23/2028 (D)		1,160		1,177
3.491%, 05/23/2023 (D)		1,460		1,469
US Bancorp MTN
2.950%, 07/15/2022		25		25
2.625%, 01/24/2022		1,120		1,124
US Bank
2.125%, 10/28/2019		260		261
Ventas Realty L.P.
2.000%, 02/15/2018		804		805
Visa
4.300%, 12/14/2045		120		126
3.150%, 12/14/2025		360		361
2.800%, 12/14/2022		1,310		1,322
2.200%, 12/14/2020		80		80
Wachovia MTN
5.750%, 02/01/2018		3,140		3,239
Wachovia Capital Trust III
5.570%, 12/31/2049 (C)		450		450
WEA Finance
3.750%, 09/17/2024 (D)		210		212
3.150%, 04/05/2022 (D)		630		630
1.750%, 09/15/2017 (D)		1,250		1,250
Wells Fargo
3.000%, 04/22/2026		920		883
3.000%, 10/23/2026		950		910
2.125%, 04/22/2019		70		70
2.100%, 07/26/2021		1,550		1,518
Wells Fargo MTN
4.900%, 11/17/2045		384		400
4.750%, 12/07/2046		200		204
4.650%, 11/04/2044		1		1
4.400%, 06/14/2046		550		533
4.300%, 07/22/2027		1,083		1,125
4.125%, 08/15/2023		900		943
3.500%, 03/08/2022		430		446
3.450%, 02/13/2023		230		232
3.000%, 01/22/2021		575		585
2.550%, 12/07/2020		46		46
2.150%, 12/06/2019		2,000		2,007
2.150%, 01/30/2020		70		70
1.650%, 01/22/2018		585		585
Westpac Banking
4.875%, 11/19/2019		170		182

				172,965


Health Care — 2.6%
Abbott Laboratories
4.900%, 11/30/2046		320		332
4.750%, 11/30/2036		90		93


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
3.750%, 11/30/2026	$	2,295	$	2,292
3.400%, 11/30/2023		2,165		2,187
AbbVie
4.500%, 05/14/2035		395		392
4.450%, 05/14/2046 (B)		515		491
3.600%, 05/14/2025		520		520
3.200%, 11/06/2022		44		45
3.200%, 05/14/2026		770		740
2.900%, 11/06/2022		10		10
2.500%, 05/14/2020		920		926
1.800%, 05/14/2018		500		501
Actavis
3.250%, 10/01/2022		13		13
Actavis Funding SCS
4.750%, 03/15/2045		635		638
4.550%, 03/15/2035		260		261
3.800%, 03/15/2025		1,825		1,841
3.450%, 03/15/2022		745		761
Aetna
2.800%, 06/15/2023		1,800		1,786
2.200%, 03/15/2019		180		181
Amgen
5.150%, 11/15/2041		760		814
4.663%, 06/15/2051		1,319		1,320
4.563%, 06/15/2048		235		233
4.400%, 05/01/2045		907		880
3.875%, 11/15/2021		150		158
3.625%, 05/22/2024		30		31
2.125%, 05/01/2020		22		22
Anthem
4.650%, 08/15/2044		650		660
4.625%, 05/15/2042		41		42
3.500%, 08/15/2024		90		91
3.125%, 05/15/2022		468		470
2.300%, 07/15/2018		65		65
1.875%, 01/15/2018		1,100		1,101
AstraZeneca
3.375%, 11/16/2025		500		503
Baxalta
3.600%, 06/23/2022		912		932
2.875%, 06/23/2020		500		507
Baylor Scott & White Holdings
4.185%, 11/15/2045		1,000		992
Becton Dickinson
4.685%, 12/15/2044		110		115
3.734%, 12/15/2024		86		88
2.675%, 12/15/2019		259		263
Biogen
5.200%, 09/15/2045		673		728
3.625%, 09/15/2022		170		175
Celgene
5.250%, 08/15/2043		40		42


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
5.000%, 08/15/2045	$	1,237	$	1,295
3.875%, 08/15/2025		260		265
3.625%, 05/15/2024		69		70
3.550%, 08/15/2022		60		62
1.900%, 08/15/2017		63		63
EMD Finance
2.400%, 03/19/2020 (D)		950		950
Express Scripts Holding
3.400%, 03/01/2027		550		518
Forest Laboratories
5.000%, 12/15/2021 (D)		35		38
Gilead Sciences
5.650%, 12/01/2041		35		40
4.750%, 03/01/2046		330		337
4.500%, 02/01/2045		10		10
4.150%, 03/01/2047		260		242
3.700%, 04/01/2024		240		246
3.650%, 03/01/2026		150		151
3.250%, 09/01/2022		265		271
2.950%, 03/01/2027		550		522
GlaxoSmithKline Capital PLC
2.850%, 05/08/2022		170		172
1.500%, 05/08/2017		160		160
Humana
7.200%, 06/15/2018		159		169
4.950%, 10/01/2044		10		11
4.800%, 03/15/2047		10		10
4.625%, 12/01/2042		40		41
3.950%, 03/15/2027		20		20
3.850%, 10/01/2024		680		696
3.150%, 12/01/2022		390		392
Johnson & Johnson
4.500%, 12/05/2043		250		276
3.700%, 03/01/2046		170		166
Medtronic
4.625%, 03/15/2045		60		64
4.375%, 03/15/2035		76		80
3.625%, 03/15/2024		590		612
3.500%, 03/15/2025		200		205
3.150%, 03/15/2022		65		67
Medtronic Global Holdings SCA
3.350%, 04/01/2027		190		191
Merck
2.750%, 02/10/2025		100		98
2.400%, 09/15/2022		29		29
2.350%, 02/10/2022		466		466
New York and Presbyterian Hospital
3.563%, 08/01/2036		730		678
Northwell Healthcare
3.979%, 11/01/2046		550		505
Perrigo Finance Unlimited
4.375%, 03/15/2026		600		610


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Pfizer
4.000%, 12/15/2036	$	630	$	636
RWJ Barnabas Health
3.949%, 07/01/2046		1,395		1,315
Shire Acquisitions Investments Ireland
3.200%, 09/23/2026		1,280		1,219
2.875%, 09/23/2023		795		770
1.900%, 09/23/2019		1,000		993
Stryker
4.625%, 03/15/2046		675		694
Teva Pharmaceutical Finance Netherlands III BV
3.150%, 10/01/2026 (B)		440		405
2.800%, 07/21/2023		700		665
1.400%, 07/20/2018		750		746
Thermo Fisher Scientific
3.300%, 02/15/2022		465		474
UnitedHealth Group
4.625%, 07/15/2035		28		30
3.875%, 10/15/2020		180		190
3.750%, 07/15/2025		70		73
3.375%, 11/15/2021		75		78
3.350%, 07/15/2022		28		29
2.875%, 12/15/2021		655		668
2.875%, 03/15/2023		50		50
Wyeth LLC
5.950%, 04/01/2037		130		161

				44,236


Industrials — 1.8%
ABB Finance USA
4.375%, 05/08/2042		30		32
AerCap Ireland Capital
4.500%, 05/15/2021		370		388
Air Lease
3.625%, 04/01/2027		585		569
American Airlines Pass-Through Trust, Ser 2013-2
4.950%, 01/15/2023		761		810
Aviation Capital Group
6.750%, 04/06/2021 (D)		120		138
BAE Systems
4.750%, 10/11/2021 (D)		750		809
Boeing
4.875%, 02/15/2020		210		228
Burlington Northern Santa Fe
7.290%, 06/01/2036		90		126
5.750%, 03/15/2018		950		987
5.400%, 06/01/2041		50		58
4.150%, 04/01/2045		165		165
3.450%, 09/15/2021		91		95


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Canadian Pacific Railway
6.125%, 09/15/2115	$	44	$	53
Caterpillar Financial Services MTN
2.750%, 08/20/2021		405		407
2.100%, 01/10/2020		550		551
Catholic Health Initiatives
4.350%, 11/01/2042		30		26
Cintas No. 2
3.700%, 04/01/2027		140		143
2.900%, 04/01/2022		140		142
Continental Airlines Pass-Through Trust, Ser 1999-2, Cl A-1
7.256%, 03/15/2020		102		108
Continental Airlines Pass-Through Trust, Ser 2000-1, Cl A-1
8.048%, 11/01/2020		191		209
Continental Airlines Pass-Through Trust, Ser 2007-1, Cl A
5.983%, 04/19/2022		619		681
Continental Airlines Pass-Through Trust, Ser 2009-2, Cl A
7.250%, 11/10/2019		134		149
CSX
3.950%, 05/01/2050		21		19
Delta Air Lines
3.625%, 03/15/2022		690		704
2.875%, 03/13/2020		690		696
Delta Air Lines Pass-Through Trust, Ser 2007-1, Cl A
6.821%, 08/10/2022		101		116
Delta Air Lines Pass-Through Trust, Ser 2010-1, Cl A
6.200%, 07/02/2018		262		275
Eaton
7.625%, 04/01/2024		75		90
4.150%, 11/02/2042		110		109
2.750%, 11/02/2022		450		447
1.500%, 11/02/2017		60		60
FedEx
4.550%, 04/01/2046		590		589
4.400%, 01/15/2047		375		365
GE Capital International Funding
4.418%, 11/15/2035		1,630		1,721
2.342%, 11/15/2020		695		698
General Electric
4.500%, 03/11/2044		635		683
2.100%, 12/11/2019		30		30
General Electric MTN
6.875%, 01/10/2039		205		291
6.150%, 08/07/2037		254		329
6.000%, 08/07/2019		185		203
5.875%, 01/14/2038		214		270


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
5.625%, 09/15/2017	$	100	$	102
5.500%, 01/08/2020		180		197
5.300%, 02/11/2021		109		121
4.650%, 10/17/2021		140		154
4.625%, 01/07/2021		135		146
4.375%, 09/16/2020		10		11
2.300%, 04/27/2017		45		45
2.200%, 01/09/2020		43		44
1.519%, 08/15/2036 (C)		850		740
Illinois Tool Works
2.650%, 11/15/2026		280		270
International Lease Finance
8.625%, 01/15/2022		170		208
Lockheed Martin
4.070%, 12/15/2042		91		89
3.550%, 01/15/2026		880		894
3.350%, 09/15/2021		575		596
Mexico City Airport Trust
5.500%, 10/31/2046 (D)		680		670
Northrop Grumman
3.850%, 04/15/2045		236		222
3.250%, 08/01/2023		2,110		2,158
3.200%, 02/01/2027		595		589
Penske Truck Leasing L.P.
3.400%, 11/15/2026 (D)		920		885
3.375%, 02/01/2022 (D)		431		437
3.200%, 07/15/2020 (D)		410		417
Siemens Financieringsmaatschappij
2.900%, 05/27/2022 (D)		1,050		1,058
2.350%, 10/15/2026 (D)		555		515
2.200%, 03/15/2020 (D)		790		793
Union Pacific
3.000%, 04/15/2027		1,130		1,117
United Technologies
8.875%, 11/15/2019		110		129
4.150%, 05/15/2045		59		59
3.750%, 11/01/2046		685		643
1.950%, 11/01/2021		85		83
1.778%, 05/04/2018 (F)		850		850
US Airways Pass-Through Trust, Ser 1998-1A
6.850%, 01/30/2018		123		125
Valmont Industries
5.250%, 10/01/2054		340		306
Wabtec
3.450%, 11/15/2026 (D)		530		515
Waste Management
4.600%, 03/01/2021		90		97
3.500%, 05/15/2024		90		93

				29,947


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)

Information Technology — 1.7%
Analog Devices
3.500%, 12/05/2026	$	625	$	619
3.125%, 12/05/2023		540		538
2.500%, 12/05/2021		505		500
Apple
4.650%, 02/23/2046		270		290
4.375%, 05/13/2045		170		174
4.250%, 02/09/2047		205		208
3.850%, 05/04/2043		740		709
3.450%, 02/09/2045		31		28
3.350%, 02/09/2027		875		885
3.200%, 05/13/2025		64		65
3.000%, 02/09/2024		885		893
2.850%, 05/06/2021		113		116
2.700%, 05/13/2022		505		511
2.500%, 02/09/2022		945		949
2.450%, 08/04/2026		730		691
2.150%, 02/09/2022		82		81
1.900%, 02/07/2020		845		847
1.285%, 05/03/2018 (C)		69		69
Cisco Systems
1.850%, 09/20/2021		2,310		2,266
1.400%, 09/20/2019		1,385		1,374
Diamond 1 Finance
6.020%, 06/15/2026 (B) (D)		405		441
4.420%, 06/15/2021 (D)		640		669
3.480%, 06/01/2019 (D)		390		400
Fidelity National Information Services
3.625%, 10/15/2020		555		577
2.850%, 10/15/2018		690		699
2.250%, 08/15/2021		395		387
Harris
5.054%, 04/27/2045		80		88
4.854%, 04/27/2035		80		85
Hewlett Packard Enterprise
6.350%, 10/15/2045		1,025		1,055
5.015%, 10/15/2025		225		234
Intel
3.700%, 07/29/2025		83		87
3.300%, 10/01/2021		35		36
3.100%, 07/29/2022		35		36
Mastercard
3.375%, 04/01/2024		250		259
Microsoft
4.750%, 11/03/2055		43		46
4.500%, 02/06/2057		355		366
4.250%, 02/06/2047		445		456
4.100%, 02/06/2037		746		770
4.000%, 02/12/2055		24		23
3.950%, 08/08/2056		140		131
3.750%, 02/12/2045		330		313


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
3.700%, 08/08/2046	$	900	$	845
3.625%, 12/15/2023		89		94
3.500%, 02/12/2035		452		435
3.450%, 08/08/2036		10		10
3.300%, 02/06/2027		1,330		1,350
2.875%, 02/06/2024		1,575		1,585
2.700%, 02/12/2025		90		88
2.400%, 02/06/2022		895		900
2.400%, 08/08/2026		480		454
2.375%, 02/12/2022		20		20
2.375%, 05/01/2023		20		20
2.000%, 08/08/2023		1,265		1,216
Oracle
3.900%, 05/15/2035		1,375		1,358
2.400%, 09/15/2023		1,180		1,148
1.200%, 10/15/2017		250		250
TSMC Global
1.625%, 04/03/2018 (D)		460		459

				29,203


Materials — 0.8%
Air Liquide Finance
2.250%, 09/27/2023 (D)		650		622
1.750%, 09/27/2021 (D)		650		628
Amcor Finance USA
3.625%, 04/28/2026 (D)		1,375		1,362
Barrick
5.250%, 04/01/2042		10		11
Barrick Gold
4.100%, 05/01/2023		38		41
Barrick North America Finance
5.700%, 05/30/2041		565		639
4.400%, 05/30/2021		106		114
BHP Billiton Finance USA
6.750%, 10/19/2075 (C) (D)		210		238
5.000%, 09/30/2043		435		487
4.125%, 02/24/2042		40		40
2.875%, 02/24/2022		24		24
Celulosa Arauco y Constitucion
4.750%, 01/11/2022		170		178
CF Industries
4.500%, 12/01/2026 (D)		600		610
3.400%, 12/01/2021 (D)		480		479
Dow Chemical
5.250%, 11/15/2041		25		27
3.000%, 11/15/2022		1,320		1,334
Eastman Chemical
2.700%, 01/15/2020		805		816
Equate Petrochemical BV MTN
4.250%, 11/03/2026 (D)		370		370
Fibria Overseas Finance
5.500%, 01/17/2027		440		441


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Freeport-McMoRan
4.000%, 11/14/2021	$	280	$	270
Glencore Finance Canada
2.700%, 10/25/2017 (D)		250		251
Glencore Funding
4.125%, 05/30/2023 (D)		200		204
4.000%, 03/27/2027 (D)		200		197
International Paper
5.150%, 05/15/2046		540		563
5.000%, 09/15/2035		215		228
LYB International Finance II BV
3.500%, 03/02/2027		780		766
OCP
4.500%, 10/22/2025 (D)		290		286
Potash Corp of Saskatchewan
4.000%, 12/15/2026		910		932
Rio Tinto Finance USA
3.750%, 09/20/2021		240		252
Southern Copper
5.250%, 11/08/2042		500		490
Teck Resources
6.250%, 07/15/2041		5		5
Vale Overseas
6.875%, 11/21/2036		310		333
6.250%, 08/10/2026		620		673
5.875%, 06/10/2021		260		279

				14,190


Other Asset-Backed Securities — 0.1%
Flatiron CLO, Ser 2014-1A, Cl A1R
2.018%, 07/17/2026 (C) (D)		500		500
SoFi Professional Loan Program, Ser 2017-A, Cl A2B
2.400%, 03/26/2040 (D)		404		398
SoFi Professional Loan Program, Ser 2017-A, Cl A2A
1.550%, 03/26/2040 (D)		1,066		1,063

				1,961


Real Estate — 0.5%
Alexandria Real Estate Equities
3.950%, 01/15/2027		750		750
2.750%, 01/15/2020		591		593
Boston Properties
5.625%, 11/15/2020		450		496
DDR
4.625%, 07/15/2022		795		834
3.375%, 05/15/2023		655		633
Duke Realty
4.375%, 06/15/2022		50		53
Education Realty Operating Partnership
4.600%, 12/01/2024		505		508


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
ERP Operating
5.750%, 06/15/2017	$	125	$	126
4.625%, 12/15/2021		64		69
HCP
4.250%, 11/15/2023		580		600
4.000%, 12/01/2022		450		464
3.400%, 02/01/2025		57		55
2.625%, 02/01/2020		28		28
Healthcare Realty Trust
3.875%, 05/01/2025		200		198
3.750%, 04/15/2023		400		400
Mid-America Apartments
4.300%, 10/15/2023		140		148
4.000%, 11/15/2025		160		164
3.750%, 06/15/2024		590		600
Post Apartment Homes
4.750%, 10/15/2017		700		706
Realty Income
3.250%, 10/15/2022		70		71
Simon Property Group
4.375%, 03/01/2021		38		41
2.150%, 09/15/2017		125		125
Tanger Properties
3.875%, 12/01/2023		340		344
3.750%, 12/01/2024		295		292
Ventas Realty
4.125%, 01/15/2026		29		29
Welltower
6.125%, 04/15/2020		525		581
4.500%, 01/15/2024		102		107

				9,015


Telecommunication Services — 1.5%
America Movil
5.625%, 11/15/2017		540		553
AT&T
6.000%, 08/15/2040		925		1,014
5.800%, 02/15/2019		210		224
5.500%, 02/01/2018		100		103
5.450%, 03/01/2047		1,010		1,032
5.250%, 03/01/2037		1,945		1,983
5.150%, 03/15/2042		25		25
4.800%, 06/15/2044		240		225
4.750%, 05/15/2046		845		788
4.500%, 03/09/2048		345		307
4.450%, 04/01/2024		655		686
4.350%, 06/15/2045		735		647
4.250%, 03/01/2027		710		718
4.125%, 02/17/2026		500		507
3.950%, 01/15/2025		845		852
3.875%, 08/15/2021		70		73
3.800%, 03/15/2022		400		414


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
3.400%, 05/15/2025	$	2,444	$	2,361
3.000%, 06/30/2022		180		179
Bharti Airtel
4.375%, 06/10/2025 (D)		200		200
British Telecommunications
5.950%, 01/15/2018		200		206
Nippon Telegraph & Telephone
1.400%, 07/18/2017		65		65
Sprint Spectrum
3.360%, 09/20/2021 (D)		1,740		1,736
Telefonica Emisiones
5.462%, 02/16/2021		23		25
5.134%, 04/27/2020		362		390
Verizon Communications
5.250%, 03/16/2037		700		724
5.150%, 09/15/2023		780		858
5.050%, 03/15/2034		92		93
4.862%, 08/21/2046		500		481
4.522%, 09/15/2048		1,130		1,024
4.400%, 11/01/2034		1,792		1,696
4.272%, 01/15/2036		520		481
4.125%, 03/16/2027		1,515		1,541
4.125%, 08/15/2046		1,190		1,027
3.850%, 11/01/2042		540		452
2.946%, 03/15/2022 (D)		880		876
2.625%, 08/15/2026		90		82
2.450%, 11/01/2022		90		87
Vodafone Group PLC
2.950%, 02/19/2023		540		531

				25,266


Utilities — 2.0%
AEP Texas Central
6.650%, 02/15/2033		500		621
AEP Texas Central Transition Funding II
5.170%, 01/01/2018		254		258
Alabama Power
2.450%, 03/30/2022		575		569
American Electric Power
1.650%, 12/15/2017		423		423
Arizona Public Service
2.200%, 01/15/2020		20		20
Berkshire Hathaway Energy
3.750%, 11/15/2023		156		163
Boston Gas
4.487%, 02/15/2042 (D)		35		36
Carolina Power & Light
5.300%, 01/15/2019		175		186
3.000%, 09/15/2021		194		199
2.800%, 05/15/2022		25		25
Cleco Power
6.000%, 12/01/2040		700		848


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Commonwealth Edison
3.700%, 03/01/2045	$	130	$	123
Consolidated Edison of New York
4.450%, 03/15/2044		690		728
3.850%, 06/15/2046		210		202
Dominion Resources
2.500%, 12/01/2019		385		389
2.000%, 08/15/2021 (B)		345		335
1.600%, 08/15/2019		455		449
DTE Energy
1.500%, 10/01/2019		395		388
Duke Energy
3.750%, 09/01/2046		285		256
3.550%, 09/15/2021		76		79
2.650%, 09/01/2026		650		606
1.800%, 09/01/2021		520		502
Duke Energy Carolinas
4.300%, 06/15/2020		39		42
4.250%, 12/15/2041		28		29
3.875%, 03/15/2046		245		239
2.500%, 03/15/2023		475		470
Duke Energy Florida
3.850%, 11/15/2042		215		209
3.400%, 10/01/2046		225		202
3.200%, 01/15/2027		445		448
Duke Energy Indiana
4.200%, 03/15/2042		30		30
3.750%, 07/15/2020		52		55
Duke Energy Progress
4.100%, 05/15/2042		425		431
Duquesne Light Holdings
6.400%, 09/15/2020 (D)		500		558
Electricite de France
6.000%, 01/22/2114 (D)		260		264
Emera US Finance
2.700%, 06/15/2021		1,102		1,090
Entergy
5.125%, 09/15/2020		400		432
Exelon
3.950%, 06/15/2025		375		386
FirstEnergy
4.250%, 03/15/2023		340		352
2.750%, 03/15/2018		70		70
FirstEnergy, Ser C
7.375%, 11/15/2031		480		626
Fortis
2.100%, 10/04/2021 (D)		405		392
Great Plains Energy
4.850%, 04/01/2047		450		462
3.900%, 04/01/2027		645		651
3.150%, 04/01/2022		515		520


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Indiana Michigan Power
4.550%, 03/15/2046	$	570	$	602
ITC Holdings
3.650%, 06/15/2024		633		638
Jersey Central Power & Light
7.350%, 02/01/2019		100		109
4.700%, 04/01/2024 (D)		700		747
Kansas City Power & Light
5.300%, 10/01/2041		100		106
KeySpan Gas East
5.819%, 04/01/2041 (D)		400		485
2.742%, 08/15/2026 (D)		350		334
Metropolitan Edison
3.500%, 03/15/2023 (D)		350		355
MidAmerican Energy
4.800%, 09/15/2043		320		359
4.250%, 05/01/2046		535		552
MidAmerican Energy Holdings
6.500%, 09/15/2037		850		1,106
NextEra Energy Capital Holdings
2.300%, 04/01/2019		500		503
NiSource Finance
5.800%, 02/01/2042		149		173
Oklahoma Gas & Electric
4.150%, 04/01/2047		340		339
Oncor Electric Delivery LLC
6.800%, 09/01/2018		460		492
5.250%, 09/30/2040		250		293
Pacific Gas & Electric
8.250%, 10/15/2018		180		197
6.050%, 03/01/2034		530		664
5.800%, 03/01/2037		70		86
5.625%, 11/30/2017		525		539
5.400%, 01/15/2040		42		50
4.500%, 12/15/2041		48		50
4.450%, 04/15/2042		390		410
3.250%, 09/15/2021		12		12
2.950%, 03/01/2026		410		400
PECO Energy
4.150%, 10/01/2044		930		951
3.150%, 10/15/2025		570		573
Pennsylvania Electric
5.200%, 04/01/2020		200		213
PPL Electric Utilities
4.150%, 10/01/2045		400		409
Progress Energy
3.150%, 04/01/2022		280		283
Public Service of New Hampshire
3.500%, 11/01/2023		205		211
Sierra Pacific Power
2.600%, 05/01/2026		530		508


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Southern
4.400%, 07/01/2046	$	200	$	191
2.150%, 09/01/2019		855		855
Southern California Edison
4.050%, 03/15/2042		5		5
3.500%, 10/01/2023		205		214
Southern Gas Capital
2.450%, 10/01/2023		225		216
Southwestern Electric Power
5.875%, 03/01/2018		345		358
3.900%, 04/01/2045		160		151
Texas-New Mexico Power
9.500%, 04/01/2019 (D)		1,100		1,243
Virginia Electric & Power
4.650%, 08/15/2043		630		685
4.000%, 11/15/2046		1,010		998
3.500%, 03/15/2027		645		658
2.950%, 01/15/2022		330		336
2.950%, 11/15/2026		335		327
Westar Energy
3.100%, 04/01/2027		570		563

				34,912

Total Corporate Obligations (Cost $463,925) ($ Thousands)				466,348


ASSET-BACKED SECURITIES — 10.5%

Automotive — 1.9%
Ally Auto Receivables Trust, Ser 2015-1, Cl A3
1.390%, 09/16/2019		357		357
Ally Auto Receivables Trust, Ser 2016-1, Cl A2A
1.200%, 08/15/2018		79		79
Ally Auto Receivables Trust, Ser 2016-3, Cl A2
1.190%, 12/17/2018		421		421
Ally Auto Receivables Trust, Ser 2017-1, Cl A4
1.990%, 11/15/2021		244		244
Ally Auto Receivables Trust, Ser 2017-2, Cl A4
2.100%, 03/15/2022		471		471
Ally Master Owner Trust, Ser 2012-5, Cl A
1.540%, 09/15/2019		1,310		1,311
Ally Master Owner Trust, Ser 2014-4, Cl A2
1.430%, 06/17/2019		800		800
Ally Master Owner Trust, Ser 2017-1, Cl A
1.170%, 02/15/2021 (C)		372		373
Americredit Automobile Receivables Trust, Ser 2016-4, Cl A3
1.530%, 07/08/2021		578		575
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A
2.100%, 03/20/2019 (D)		336		337


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Avis Budget Rental Car Funding AESOP, Ser 2014-1A, Cl A
2.460%, 07/20/2020 (D)	$	750	$	754
Avis Budget Rental Car Funding AESOP, Ser 2014-2A, Cl A
2.500%, 02/20/2021 (D)		964		969
Avis Budget Rental Car Funding AESOP, Ser 2017-1A, Cl A
3.070%, 09/20/2023 (D)		999		1,007
Bank of The West Auto Trust, Ser 2014-1, Cl A3
1.090%, 03/15/2019 (D)		67		67
California Republic Auto Receivables Trust, Ser 2015-1, Cl A4
1.820%, 09/15/2020		284		284
California Republic Auto Receivables Trust, Ser 2015-4, Cl A2
1.600%, 09/17/2018 (D)		27		27
California Republic Auto Receivables Trust, Ser 2015-4, Cl A4
2.580%, 06/15/2021 (D)		605		608
California Republic Auto Receivables Trust, Ser 2016-1, Cl A3
1.890%, 05/15/2020		544		545
California Republic Auto Receivables Trust, Ser 2016-1, Cl A4
2.240%, 10/15/2021		303		305
California Republic Auto Receivables Trust, Ser 2016-2, Cl A4
1.830%, 12/15/2021		507		505
California Republic Auto Receivables Trust, Ser 2017-1, Cl A2
1.550%, 11/15/2019		550		549
California Republic Auto Receivables Trust, Ser 2017-1, Cl A3
1.900%, 03/15/2021		550		548
California Republic Auto Receivables Trust, Ser 2017-1, Cl A4
2.280%, 06/15/2022		252		251
Capital Auto Receivables Asset Trust, Ser 2014-1, Cl A4
1.690%, 10/22/2018		174		174
Capital Auto Receivables Asset Trust, Ser 2015-2, Cl A2
1.390%, 09/20/2018		149		149
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 A4
1.970%, 01/21/2020		509		511
Capital Auto Receivables Asset Trust, Ser 2015-3, Cl A1A
1.390%, 02/20/2018 (D)		97		96


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	$	384
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A2
1.620%, 03/20/2019		244		244
Capital Auto Receivables Asset Trust, Ser 2015-4, Cl A4
2.010%, 07/20/2020		201		200
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A2A
1.500%, 11/20/2018		309		309
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A3
1.730%, 04/20/2020		575		576
Capital Auto Receivables Asset Trust, Ser 2016-1, Cl A4
1.980%, 10/20/2020		260		261
Capital Auto Receivables Asset Trust, Ser 2016-2, Cl A2A
1.320%, 01/20/2019		137		137
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 A2A
1.360%, 04/22/2019		260		260
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A3
1.540%, 08/20/2020		260		260
Capital Auto Receivables Asset Trust, Ser 2016-3, Cl A4
1.690%, 03/22/2021		218		217
Chrysler Capital Auto Receivables Trust, Ser 2016-AA, Cl A3
1.770%, 10/15/2020 (D)		882		884
Flagship Credit Auto Trust, Ser 2016-3, Cl A2
2.050%, 11/15/2020 (D)		295		295
Ford Credit Auto Owner Trust, Ser 2014-1, Cl A
2.260%, 11/15/2025 (D)		928		936
Ford Credit Auto Owner Trust, Ser 2015-1, Cl A
2.120%, 07/15/2026 (D)		675		677
Ford Credit Auto Owner Trust, Ser 2017-1, Cl A
2.620%, 02/15/2022 (D)		670		674
Ford Credit Floorplan Master Owner Trust, Ser 2014-4, Cl A1
1.400%, 08/15/2019		2,755		2,756
Hertz Vehicle Financing II, Ser 2015-1A, Cl A
2.730%, 03/25/2021 (D)		1,610		1,608
Hertz Vehicle Financing II, Ser 2015-3A, Cl A
2.670%, 09/25/2021 (D)		896		888
Hertz Vehicle Financing, Ser 2013-1A, Cl A2
1.830%, 08/25/2019 (D)		869		866


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Hertz Vehicle Financing, Ser 2016-2A, Cl A
2.950%, 03/25/2022 (D)	$	237	$	236
Hertz Vehicle Financing, Ser 2016-3A, Cl A
2.270%, 07/25/2020 (D)		573		569
Hertz Vehicle Financing, Ser 2016-3A, Cl B
3.110%, 07/25/2020 (D)		254		253
Hertz Vehicle Financing, Ser 2016-4A, Cl A
2.650%, 07/15/2022 (D)		518		508
Honda Auto Receivables Owner Trust, Ser 2014-3, Cl A3
0.880%, 07/15/2017		135		135
Honda Auto Receivables Owner Trust, Ser 2014-4, Cl A4
1.460%, 10/15/2020		526		526
Honda Auto Receivables Owner Trust, Ser 2015-4, Cl A2
0.820%, 07/23/2018		200		200
Honda Auto Receivables Owner Trust, Ser 2016-1, Cl A2
1.010%, 06/18/2018		36		36
Honda Auto Receivables Owner Trust, Ser 2016-2, Cl A2
1.130%, 09/17/2018		557		556
Hyundai Auto Receivables Trust, Ser 2017-A, Cl A4
2.090%, 04/17/2023		329		329
Nissan Auto Receivables Owner Trust, Ser 2015-C, Cl A2A
0.870%, 11/15/2018		219		219
Nissan Auto Receivables Owner Trust, Ser 2016-C, Cl A2A
1.070%, 05/15/2019		245		245
Nissan Auto Receivables Owner Trust, Ser 2017-A, Cl A4
2.110%, 05/15/2023		482		483
Santander Drive Auto Receivables Trust, Ser 2016-2, Cl A2A
1.380%, 07/15/2019		361		361
TCF Auto Receivables Owner Trust, Ser 2016- 1A, Cl A2
1.390%, 11/15/2019 (D)		473		473
TCF Auto Receivables Owner Trust, Ser 2016- 1A, Cl A3
1.710%, 04/15/2021 (D)		201		200
TCF Auto Receivables Owner Trust, Ser 2016- 1A, Cl A4
2.030%, 02/15/2022 (D)		150		149
TCF Auto Receivables Owner Trust, Ser 2016- PT1A, Cl A
1.930%, 06/15/2022 (D)		1,114		1,112
Toyota Auto Receivables Owner Trust, Ser 2017-A, Cl A4
2.100%, 09/15/2022		665		666


Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
World Omni Auto Receivables Trust, Ser 2016- B, Cl A3
1.300%, 02/15/2022	$	497	$	492

				33,270


Credit Cards — 1.4%
American Express Credit Account Master Trust, Ser 2014-2, Cl A
1.260%, 01/15/2020		411		411
American Express Credit Account Master Trust, Ser 2017-1, Cl A
1.930%, 09/15/2022		2,667		2,673
BA Credit Card Trust, Ser 2014-A3, Cl A
1.202%, 01/15/2020 (C)		585		585
BA Credit Card Trust, Ser 2015-A1, Cl A
1.242%, 06/15/2020 (C)		465		466
BA Credit Card Trust, Ser 2017-A1, Cl A1
1.950%, 08/15/2022		1,876		1,880
Capital One Multi-Asset Execution Trust, Ser 2007-A7, Cl A7
5.750%, 07/15/2020		265		270
Capital One Multi-Asset Execution Trust, Ser 2014-A5, Cl A5
1.480%, 07/15/2020		4,835		4,840
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 2017-A1, Cl A1
2.000%, 01/17/2023		2,670		2,671
Chase Issuance Trust, Ser 2012-A2, Cl A2
1.182%, 05/15/2019 (C)		570		570
Chase Issuance Trust, Ser 2014-A6, Cl A6
1.260%, 07/15/2019		295		295
Chase Issuance Trust, Ser 2014-A7, Cl A7
1.380%, 11/15/2019		1,015		1,015
Chase Issuance Trust, Ser 2016-A6, Cl A6
1.100%, 01/15/2020		100		100
Citibank Credit Card Issuance Trust, Ser 2007- A8, Cl A8
5.650%, 09/20/2019		685		699
Citibank Credit Card Issuance Trust, Ser 2013-A4
0.959%, 07/24/2020		1,100		1,105
Citibank Credit Card Issuance Trust, Ser 2014- A4, Cl A4
1.230%, 04/24/2019		2,015		2,015
Synchrony Credit Card Master Note Trust, Ser 2014-1, Cl A
1.610%, 11/15/2020		446		447


Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Synchrony Credit Card Master Note Trust, Ser 2016-2, Cl A
2.210%, 05/15/2024	$	586	$	582
World Financial Network Credit Card Master Trust, Ser 2012-B, Cl A
1.760%, 05/17/2021		488		489
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		932		918
World Financial Network Credit Card Master Trust, Ser 2016-B, Cl A
1.440%, 06/15/2022		769		767
World Financial Network Credit Card Master Trust, Ser 2016-C, Cl A
1.720%, 08/15/2023		538		534

				23,471


Mortgage Related Securities — 0.8%
ACE Securities Home Equity Loan Trust, Ser 2006-NC1, Cl A1
0.998%, 12/25/2035 (C)		1,455		1,444
Aegis Asset-Backed Securities Trust, Ser 2003-3, Cl M1
1.828%, 01/25/2034 (C)		505		465
Aegis Asset-Backed Securities Trust, Ser 2004-5, Cl M1
1.753%, 12/25/2034 (C)		14		14
Aegis Asset-Backed Securities Trust, Ser 2005-5, Cl 2A
1.232%, 12/25/2035 (C)		1,594		1,563
Ameriquest Mortgage Security Asset-Backed Pass-Through Certificates, Ser 2003-9, Cl AV1
1.538%, 09/25/2033 (C)		138		133
Argent Securities, Ser 2003-W5, Cl M1
1.828%, 10/25/2033 (C)		296		279
Bear Stearns Asset-Backed Securities Trust, Ser 2004-HE10, Cl M1
1.957%, 12/25/2034 (C)		429		411
Bear Stearns Asset-Backed Securities Trust, Ser 2005-SD1, Cl 1A3
1.178%, 08/25/2043 (C)		119		118
Citifinancial Mortgage Securities, Ser 2004-1, Cl AF4
5.070%, 04/25/2034		370		382
Contimortgage Home Equity Trust, Ser 1997-2, Cl A9
7.090%, 04/15/2028		—		—


Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
HSBC Home Equity Loan Trust, Ser 2007-1, Cl AS
0.981%, 03/20/2036 (C)	$	11	$	11
HSBC Home Equity Loan Trust, Ser 2007-1, Cl M2
1.261%, 03/20/2036 (C)		2,000		1,927
HSBC Home Equity Loan Trust, Ser 2007-3, Cl APT
1.977%, 11/20/2036 (C)		137		137
Morgan Stanley ABS Capital I Trust, Ser 2005-HE1, Cl M1
1.657%, 12/25/2034 (C)		832		799
New Century Home Equity Loan Trust, Ser 2003-A, Cl A
1.498%, 10/25/2033 (C) (D)		147		139
New Century Home Equity Loan Trust, Ser 2005-3, Cl M2
1.268%, 07/25/2035 (C)		1,311		1,294
New Residential Mortgage Loan Trust, Ser 2017-1A, Cl A1
4.000%, 02/25/2057 (C) (D)		2,292		2,359
Nomura Home Equity Loan Home Equity Loan Trust, Ser 2006-HE1, Cl A4
1.068%, 02/25/2036 (C)		29		29
NovaStar Mortgage Funding Trust, Ser 2004-4, Cl M4
2.632%, 03/25/2035 (C)		209		208
Option One Mortgage Loan Trust, Ser 2005-4, Cl M1
1.218%, 11/25/2035 (C)		1,200		1,178
RAMP Trust, Ser 2005-EFC4, Cl M3
1.462%, 09/25/2035 (C)		790		769
Saxon Asset Securities Trust, Ser 2003-1, Cl AF6
4.795%, 06/25/2033		14		14

				13,673


Non-Agency Mortgage-Backed Obligations — 0.1%
Chicago Skyscraper Trust, Ser 2017-SKY, Cl C
2.163%, 04/15/2030 (C) (D)		320		321
JPMCC Commercial Mortgage Securities Trust, Ser 2017-JP5, Cl A5
3.723%, 01/15/2027		190		196
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl A5
3.694%, 01/15/2027		309		319
JPMDB Commercial Mortgage Securities Trust, Ser 2017-C5, Cl ASB
3.492%, 10/15/2026		100		103
RAMP Trust, Ser 2004-SL1, Cl A8
6.500%, 11/25/2031		225		228


Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Structured Asset Securities, Ser 2003-37A, Cl 2A
2.916%, 12/25/2033 (C)	$	35	$	35

				1,202


Other Asset-Backed Securities — 6.3%
Academic Loan Funding Trust, Ser 2012-1A, Cl A1
1.578%, 12/27/2022 (C) (D)		28		28
Airspeed, Ser 2007-1A, Cl G2
1.192%, 06/15/2032 (C) (D)		361		294
Ballyrock CLO, Ser 2017-1A, Cl A1R
%, 10/20/2026 (C) (D)		150		150
Ballyrock CLO, Ser 2014-1A, Cl A1
2.361%, 10/20/2026 (C) (D)		150		150
Brazos Higher Education Authority, Ser 2010-1, Cl A2
2.125%, 02/25/2035 (C)		850		863
Brazos Higher Education Authority, Ser 2011-2, Cl A3
1.882%, 10/27/2036 (C)		400		401
Business Loan Express Business Loan Trust, Ser 2004-A, Cl A
1.412%, 02/25/2031 (C) (D)		106		102
Carlyle Global Market Strategies Commodities Funding, Ser 2014-1A, Cl A
2.780%, 10/15/2021 (C) (D)		101		68
Cent 18, Ser 2013-18A, Cl A
2.161%, 07/23/2025 (C) (D)		500		500
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser 2003-6, Cl 1A5
5.124%, 11/25/2034		82		85
CIT Education Loan Trust, Ser 2007-1, Cl A
1.087%, 03/25/2042 (C) (D)		485		455
Consumer Credit Origination Loan Trust, Ser 2015-1, Cl A
2.820%, 03/15/2021 (D)		2		2
Countrywide Asset-Backed Certificates, Ser 2004-5, Cl 1A
1.482%, 10/25/2034 (C)		614		578
Countrywide Asset-Backed Certificates, Ser 2004-6, Cl 1A1
1.318%, 12/25/2034 (C)		463		439
Countrywide Asset-Backed Certificates, Ser 2007-4, Cl A4W
5.145%, 04/25/2047		470		461
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A
0.910%, 07/15/2036 (C)		784		701
CWHEQ Revolving Home Equity Loan Trust, Ser 2005-D, Cl 2A
0.960%, 11/15/2035 (C)		347		312


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
DRB Prime Student Loan Trust, Ser 2015-B, Cl A2
3.170%, 07/25/2031 (D)	$	236	$	238
Eaton Vance CLO, Ser 2014-1A, Cl AR
2.232%, 07/15/2026 (C) (D)		575		575
Educational Funding of the South, Ser 2011-1, Cl A2
1.688%, 04/25/2035 (C)		286		285
Encore Credit Receivables Trust, Ser 2005-3, Cl M2
1.717%, 10/25/2035 (C)		1,624		1,618
First Franklin Mortgage Loan Asset-Backed Certificates, Ser 2004-FF5, Cl A3C
1.778%, 08/25/2034 (C)		792		749
Global SC Finance, Ser 2014-1A, Cl A2
3.090%, 07/17/2029 (D)		308		290
GSAMP Trust, Ser 2006-HE1, Cl A2D
1.088%, 01/25/2036 (C)		2,183		2,142
Higher Education Funding, Ser 2014-1, Cl A
1.980%, 05/25/2034 (C) (D)		455		453
JGWPT XXX LLC, Ser 2013-3A, Cl A
4.080%, 01/17/2073 (D)		267		267
JGWPT XXXI LLC, Ser 2014-1A, Cl A
3.960%, 03/15/2063 (D)		251		256
JGWPT XXXII, Ser 2014-2A, Cl A
3.610%, 01/17/2073 (D)		357		336
JGWPT XXXIII, Ser 2014-3A, Cl A
3.500%, 06/15/2077 (D)		177		168
Lehman Manufactured Housing Contract Trust, Ser 2001-B, Cl A4
5.270%, 04/15/2040		132		135
Magnetite XII, Ser 2016-12A, Cl AR
2.256%, 04/15/2027 (C) (D)		600		600
Mid-State Trust, Ser 2003-11, Cl A1
4.864%, 07/15/2038		697		739
Navient Private Education Loan Trust, Ser 2014-AA, Cl A3
2.370%, 10/15/2031 (C) (D)		684		693
Navient Private Education Loan Trust, Ser 2014-CTA, Cl A
1.470%, 09/16/2024 (C) (D)		380		381
Navient Private Education Loan Trust, Ser 2015-AA, Cl A2B
1.970%, 12/15/2028 (C) (D)		278		282
Navient Private Education Loan Trust, Ser 2015-CA, Cl B
3.250%, 05/15/2040 (D)		239		231
Navient Private Education Loan Trust, Ser 2016-AA, Cl A2A
3.910%, 12/15/2045 (D)		1,032		1,073
Navient Student Loan Trust, Ser 2014-1, Cl A3
1.288%, 06/25/2031 (C)		1,580		1,541


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust, Ser 2014-2, Cl A
1.418%, 03/25/2083 (C)	$	798	$	786
Navient Student Loan Trust, Ser 2014-3, Cl A
1.398%, 03/25/2083 (C)		805		793
Navient Student Loan Trust, Ser 2014-4, Cl A
1.398%, 03/25/2083 (C)		457		450
Navient Student Loan Trust, Ser 2016-1A, Cl A
1.682%, 02/25/2070 (C) (D)		891		876
Navient Student Loan Trust, Ser 2016-2, Cl A3
2.278%, 06/25/2065 (C) (D)		1,270		1,304
Navient Student Loan Trust, Ser 2016-5A, Cl A
2.028%, 06/25/2065 (C) (D)		382		387
Navient Student Loan Trust, Ser 2016-7A, Cl A
1.928%, 03/25/2066 (C) (D)		738		748
Navient Student Loan Trust, Ser 2017-1A, Cl A2
1.728%, 07/25/2017 (C) (D)		700		702
Navient Student Loan Trust, Ser 2017-1A, Cl A3
2.228%, 07/25/2066 (C) (D)		2,557		2,557
Navient Student Loan Trust, Ser 2017-2A, Cl A
1.962%, 12/27/2066 (C) (D)		1,797		1,797
Nelnet Student Loan Trust, Ser 2004-3, Cl A5
1.062%, 10/27/2036 (C)		384		376
Nelnet Student Loan Trust, Ser 2004-4, Cl A5
1.042%, 01/25/2037 (C)		315		311
Nelnet Student Loan Trust, Ser 2005-1, Cl A5
0.992%, 10/25/2033 (C)		719		703
Nelnet Student Loan Trust, Ser 2005-2, Cl A5
1.096%, 03/23/2037 (C)		373		364
Nelnet Student Loan Trust, Ser 2005-3, Cl A5
1.116%, 12/24/2035 (C)		1,475		1,449
Nelnet Student Loan Trust, Ser 2005-4, Cl A4
1.176%, 03/22/2032 (C)		272		253
Nelnet Student Loan Trust, Ser 2006-2, Cl A6
1.002%, 04/25/2031 (C)		1,476		1,469
Nelnet Student Loan Trust, Ser 2007-2A, Cl A3L
1.347%, 03/25/2026 (C) (D)		112		109
Nelnet Student Loan Trust, Ser 2008-3, Cl A4
2.575%, 11/25/2024 (C)		586		599
Nelnet Student Loan Trust, Ser 2010-4A, Cl A
1.578%, 04/25/2046 (C) (D)		94		94
Nelnet Student Loan Trust, Ser 2011-1A, Cl A
1.832%, 02/25/2043 (C) (D)		565		569
Nelnet Student Loan Trust, Ser 2014-2A, Cl A3
1.628%, 07/27/2037 (C) (D)		950		903
Nelnet Student Loan Trust, Ser 2014-4A, Cl A2
1.728%, 11/25/2043 (C) (D)		500		489
Nelnet Student Loan Trust, Ser 2015-2A, Cl A2
1.378%, 09/25/2042 (C) (D)		814		807
Nelnet Student Loan Trust, Ser 2016-1A, Cl A
1.782%, 09/25/2065 (C) (D)		1,052		1,058


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
North Carolina State Education Assistance Authority, Ser 2011-2, Cl A2
1.682%, 07/25/2025 (C)	$	306	$	306
Ownit Mortgage Loan Trust, Ser 2005-3, Cl A3
1.982%, 06/25/2036 (C)		840		835
People’s Choice Home Loan Securities Trust, Ser 2004-1, Cl M1
1.867%, 06/25/2034 (C)		650		601
RAMP Trust, Ser 2005-EFC5, Cl M1
1.178%, 10/25/2035 (C)		184		184
RAMP Trust, Ser 2006-RZ1, Cl A3
1.078%, 03/25/2036 (C)		32		32
RAMP Trust, Ser 2006-RZ1, Cl M1
1.178%, 03/25/2036 (C)		1,700		1,679
RSB BondCo LLC, Ser 2007-A, Cl A3
5.820%, 06/28/2019		140		140
Scholar Funding Trust, Ser 2011-A, Cl A
1.939%, 10/28/2043 (C) (D)		227		225
SLC Student Loan Trust, Ser 2005-3, Cl A4
1.113%, 12/15/2039 (C)		1,240		1,144
SLC Student Loan Trust, Ser 2007-1, Cl A4
0.966%, 05/15/2029 (C)		960		947
SLM Private Education Loan Trust, Ser 2012-D, Cl A2
2.950%, 02/15/2046 (D)		543		546
SLM Private Education Loan Trust, Ser 2013-1, Cl B
2.578%, 11/25/2043 (C)		180		178
SLM Private Education Loan Trust, Ser 2013-A, Cl A1
1.370%, 08/15/2022 (C) (D)		22		22
SLM Private Education Loan Trust, Ser 2013-A, Cl A2B
1.820%, 05/17/2027 (C) (D)		314		316
SLM Private Education Loan Trust, Ser 2013-B, Cl A2A
1.850%, 06/17/2030 (D)		617		614
SLM Private Education Loan Trust, Ser 2013-B, Cl A2B
1.870%, 06/17/2030 (C) (D)		118		119
SLM Private Education Loan Trust, Ser 2014-A, Cl A2B
1.920%, 01/15/2026 (C) (D)		199		201
SLM Student Loan Trust, Ser 2003-1, Cl A5C
1.713%, 12/15/2032 (C) (D)		546		533
SLM Student Loan Trust, Ser 2003-10A, Cl A3
4.050%, 12/15/2027 (C) (D)		1,533		1,530
SLM Student Loan Trust, Ser 2003-11, Cl A6
1.881%, 12/15/2025 (C) (D)		350		350
SLM Student Loan Trust, Ser 2004-10, Cl A7A
1.788%, 10/25/2029 (C) (D)		1,196		1,185
SLM Student Loan Trust, Ser 2004-8, Cl B
1.342%, 01/25/2040 (C)		103		93


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Ser 2005-4, Cl A3
1.002%, 01/25/2027 (C)	$	1,077	$	1,067
SLM Student Loan Trust, Ser 2005-6, Cl A5B
2.082%, 07/27/2026 (C)		68		68
SLM Student Loan Trust, Ser 2006-2, Cl A6
1.052%, 01/25/2041 (C)		540		513
SLM Student Loan Trust, Ser 2006-3, Cl A5
0.982%, 01/25/2021 (C)		1,031		1,002
SLM Student Loan Trust, Ser 2006-8, Cl A6
1.198%, 01/25/2041 (C)		540		501
SLM Student Loan Trust, Ser 2007-2, Cl A3
0.922%, 01/25/2019 (C)		320		319
SLM Student Loan Trust, Ser 2007-2, Cl A4
0.942%, 07/25/2022 (C)		618		596
SLM Student Loan Trust, Ser 2007-2, Cl B
1.052%, 07/25/2025 (C)		344		286
SLM Student Loan Trust, Ser 2007-3, Cl A3
0.922%, 04/25/2019 (C)		1,095		1,086
SLM Student Loan Trust, Ser 2007-6, Cl A4
1.418%, 10/25/2024 (C)		1,339		1,334
SLM Student Loan Trust, Ser 2007-6, Cl B
1.732%, 04/27/2043 (C)		121		111
SLM Student Loan Trust, Ser 2007-7, Cl B
1.632%, 10/25/2028 (C)		250		227
SLM Student Loan Trust, Ser 2008-2, Cl B
2.082%, 01/25/2083 (C)		160		142
SLM Student Loan Trust, Ser 2008-3, Cl B
2.082%, 04/26/2083 (C)		160		144
SLM Student Loan Trust, Ser 2008-4, Cl A4
2.532%, 07/25/2022 (C)		1,176		1,198
SLM Student Loan Trust, Ser 2008-4, Cl B
2.732%, 04/25/2029 (C)		160		155
SLM Student Loan Trust, Ser 2008-5, Cl A4
2.582%, 07/25/2023 (C)		789		806
SLM Student Loan Trust, Ser 2008-5, Cl B
2.732%, 07/25/2029 (C)		160		156
SLM Student Loan Trust, Ser 2008-6, Cl B
2.732%, 07/26/2083 (C)		160		156
SLM Student Loan Trust, Ser 2008-7, Cl B
2.732%, 07/26/2083 (C)		160		156
SLM Student Loan Trust, Ser 2008-8, Cl B
3.132%, 10/25/2029 (C)		160		156
SLM Student Loan Trust, Ser 2008-9, Cl A
2.538%, 04/25/2023 (C)		657		670
SLM Student Loan Trust, Ser 2008-9, Cl B
3.132%, 10/25/2083 (C)		160		162
SLM Student Loan Trust, Ser 2009-3, Cl A
1.732%, 01/25/2045 (C) (D)		857		838
SLM Student Loan Trust, Ser 2010-1, Cl A
1.178%, 03/25/2025 (C)		197		194
SLM Student Loan Trust, Ser 2012-1, Cl A3
1.728%, 09/25/2028 (C)		2,501		2,498


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust, Ser 2012-2, Cl A
1.478%, 01/25/2029 (C)	$	768	$	762
SLM Student Loan Trust, Ser 2012-6, Cl A3
1.528%, 05/26/2026 (C)		211		209
SLM Student Loan Trust, Ser 2012-6, Cl B
1.778%, 04/27/2043 (C)		249		228
SLM Student Loan Trust, Ser 2013-4, Cl A
1.328%, 06/25/2027 (C)		257		251
SLM Student Loan Trust, Ser 2013-6, Cl A3
1.428%, 06/25/2055 (C)		1,284		1,278
SLM Student Loan Trust, Ser 2013-A, Cl A2A
1.770%, 05/17/2027 (D)		145		144
SLM Student Loan Trust, Ser 2013-C, Cl A2A
2.940%, 10/15/2031 (D)		305		309
SLM Student Loan Trust, Ser 2013-M1, Cl M1
3.500%, 10/28/2029 (D)		311		304
SLM Student Loan Trust, Ser 2014-2, Cl A3
1.368%, 03/25/2055 (C)		2,309		2,295
SLM Student Loan Trust, Ser 2014-A, Cl A2A
2.590%, 01/15/2026 (D)		421		424
SLM Student Loan Trust, Ser 8, Cl A4
1.432%, 01/25/2028 (C)		2,210		2,216
SMB Private Education Loan Trust, Ser 2015-A, Cl A2A
2.490%, 06/15/2027 (D)		593		592
SMB Private Education Loan Trust, Ser 2015-A, Cl A2B
1.770%, 06/15/2027 (C) (D)		634		629
SMB Private Education Loan Trust, Ser 2015-B, Cl A1
1.470%, 02/15/2023 (C) (D)		74		74
SMB Private Education Loan Trust, Ser 2015-B, Cl A2A
2.980%, 07/15/2027 (D)		450		456
SMB Private Education Loan Trust, Ser 2015-B, Cl A2B
2.112%, 07/15/2027 (C) (D)		2,634		2,659
SMB Private Education Loan Trust, Ser 2015-C, Cl A2A
2.750%, 07/15/2027 (D)		585		590
SMB Private Education Loan Trust, Ser 2015-C, Cl A2B
2.170%, 07/15/2027 (C) (D)		438		447
SMB Private Education Loan Trust, Ser 2016-A, Cl A2A
2.700%, 05/15/2031 (D)		1,072		1,072
SMB Private Education Loan Trust, Ser 2016-A, Cl A2B
2.410%, 05/15/2031 (C) (D)		1,927		1,973
SMB Private Education Loan Trust, Ser 2016-B, Cl A2A
2.430%, 02/17/2032 (D)		1,356		1,339


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
SMB Private Education Loan Trust, Ser 2016-B, Cl A2B
2.360%, 02/17/2032 (C) (D)	$	1,740	$	1,783
SMB Private Education Loan Trust, Ser 2016-C, Cl A2A
2.340%, 09/15/2034 (D)		1,298		1,269
SMB Private Education Loan Trust, Ser 2016-C, Cl A2B
1.950%, 09/15/2034 (C) (D)		2,176		2,205
SMB Private Education Loan Trust, Ser 2017-A, Cl A1
1.230%, 06/17/2024 (C) (D)		1,294		1,294
SMB Private Education Loan Trust, Ser 2017-A, Cl A2A
2.880%, 09/15/2034 (D)		1,131		1,128
SMB Private Education Loan Trust, Ser 2017-A, Cl A2B
1.680%, 09/15/2034 (C) (D)		1,508		1,500
SoFi Professional Loan Program, Ser 2016-A, Cl A2
2.760%, 12/26/2036 (D)		925		932
SoFi Professional Loan Program, Ser 2016-D, Cl A1
1.728%, 01/25/2039 (C) (D)		214		216
SoFi Professional Loan Program, Ser 2016-D, Cl A2A
1.530%, 04/25/2033 (D)		305		304
SoFi Professional Loan Program, Ser 2016-E, Cl A1
1.628%, 07/25/2039 (C) (D)		977		979
SoFi Professional Loan Program, Ser 2016-E, Cl A2A
1.630%, 01/25/2036 (D)		381		380
SoFi Professional Loan Program, Ser 2017-A, Cl A1
1.477%, 03/26/2040 (C) (D)		501		501
Sofi Professional Loan Program, Ser 2017-B, Cl A1FX
1.830%, 05/25/2040 (D)		694		694
SoFi Professional Loan Program, Ser 2017-B, Cl A2FX
2.740%, 05/25/2040 (D)		882		882
Structured Asset Investment Loan Trust, Ser 2004-8, Cl A2
1.328%, 09/25/2034 (C)		495		459
Structured Asset Investment Loan Trust, Ser 2005-HE1, Cl M1
1.687%, 07/25/2035 (C)		2,036		2,001
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF2, Cl A3
1.378%, 05/25/2035 (C)		334		333


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Structured Asset Securities Mortgage Loan Trust, Ser 2005-WF4, Cl M2
1.412%, 11/25/2035 (C)	$	1,165	$	1,149
Towd Point Mortgage Trust, Ser 2017-1, Cl A1
2.750%, 10/25/2056 (C) (D)		1,596		1,595
United States Small Business Administration, Ser 2015-20D, Cl 1
2.510%, 04/01/2035		64		63
Verizon Owner Trust, Ser 2016-1A, Cl A
1.420%, 01/20/2021 (D)		1,127		1,120
Verizon Owner Trust, Ser 2016-2A, Cl A
1.680%, 05/20/2021 (D)		376		375
Verizon Owner Trust, Ser 2017-1A, Cl A
2.060%, 09/20/2021 (D)		1,670		1,676
VOLT XL LLC, Ser 2015-NP14, Cl A1
4.375%, 11/27/2045 (D)		147		149
Voya CLO, Ser 2013-3A, Cl A1R
%, 01/18/2026 (C) (D)		500		500
Voya CLO, Ser 2014-1A, Cl A1R
2.015%, 04/18/2026 (C) (D)		610		610
Voya CLO, Ser 2014-2A, Cl A1
2.330%, 07/17/2026 (C) (D)		500		500

				107,763

Total Asset-Backed Securities (Cost $178,124) ($ Thousands)				179,379


SOVEREIGN DEBT — 2.7%
Colombia Government International Bond
5.625%, 02/26/2044		1,450		1,577
FMS Wertmanagement AoeR
1.000%, 11/21/2017		200		200
Indonesia Government International Bond MTN
4.350%, 01/08/2027 (D)		435		450
3.750%, 04/25/2022 (D)		740		755
3.700%, 01/08/2022 (D)		685		699
Israel Government International Bond
4.500%, 01/30/2043		565		581
Japan Bank for International Cooperation
2.000%, 11/04/2021		336		328
1.875%, 04/20/2021		714		699
1.750%, 05/28/2020		712		700
1.500%, 07/21/2021		1,730		1,660
Japan Treasury Discount Bills (A) (G)
-0.003%, 05/01/2017	JPY	300,000		2,693
-0.003%, 06/19/2017		520,000		4,668
-0.003%, 06/26/2017		640,000		5,747
-0.004%, 05/22/2017		1,060,000		9,514
Kuwait International Government Bond
3.500%, 03/20/2027 (D)	$	925		935
2.750%, 03/20/2022 (D)		340		341


Description	Face Amount (Thousands)		Market Value ($ Thousands)

SOVEREIGN DEBT (continued)
Mexico Government International Bond MTN
6.050%, 01/11/2040	$	100	$	114
5.750%, 10/12/2110		735		731
5.550%, 01/21/2045		2,552		2,756
4.750%, 03/08/2044		340		331
4.350%, 01/15/2047		490		451
4.150%, 03/28/2027		225		229
4.000%, 10/02/2023		988		1,017
3.600%, 01/30/2025		520		519
Peruvian Government International Bond
6.550%, 03/14/2037		50		64
5.625%, 11/18/2050		574		684
Poland Government International Bond
5.000%, 03/23/2022		100		110
4.000%, 01/22/2024		1,757		1,844
Province of Ontario Canada
1.625%, 01/18/2019		905		905
Province of Quebec Canada
2.625%, 02/13/2023		620		625
Qatar Government International Bond
2.375%, 06/02/2021 (D)		815		806
Slovenia Government International Bond
5.850%, 05/10/2023 (D)		837		961
5.500%, 10/26/2022 (D)		600		674
5.250%, 02/18/2024 (D)		1,315		1,476
South Africa Government International Bond
4.300%, 10/12/2028		700		657

Total Sovereign Debt (Cost $45,781) ($ Thousands)				46,501


U.S. GOVERNMENT AGENCY OBLIGATIONS — 0.5%
FHLB
1.375%, 11/15/2019		1,370		1,367
0.875%, 05/24/2017		10		10
FICO STRIPS, PO (A)
0.000%, 05/11/2018		460		453
FNMA (A)
0.605%, 10/09/2019		7,640		7,292

Total U.S. Government Agency Obligations (Cost $9,076) ($ Thousands)				9,122


MUNICIPAL BONDS — 0.4%

California — 0.2%
California State, Build America Project, GO
7.600%, 11/01/2040		410		612
6.650%, 03/01/2022		250		294


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
California State, GO
6.200%, 03/01/2019	$	300	$	327
California State, Health Facilities Financing Authority, RB Callable 10/01/2026 @ 100
4.000%, 10/01/2047		700		703
Los Angeles, Community College District, Build America Project, GO
6.750%, 08/01/2049		575		835

				2,771


Massachusetts — 0.1%
Commonwealth of Massachusetts, Ser D, GO
4.500%, 08/01/2031		1,110		1,241


Nevada — 0.0%
Clark County, Airport System Revenue, Build America Project, Ser C, RB
6.820%, 07/01/2045		505		708


New York — 0.1%
New York and New Jersey, Port Authority, RB
4.458%, 10/01/2062		785		820
New York City, Transitional Finance Authority, Future Tax Secured, RB
5.508%, 08/01/2037		275		333
New York State, Dormitory Authority, RB
5.500%, 03/15/2030		400		469

				1,622


Ohio — 0.0%
Ohio State University, Ser A, RB
4.800%, 06/01/2111		226		222


Texas — 0.0%
North Texas, Tollway Authority, Build America Project, Ser B, RB
6.718%, 01/01/2049 (B)		531		741

Total Municipal Bonds (Cost $7,012) ($ Thousands)				7,305


	Shares

AFFILIATED PARTNERSHIP — 1.5%
SEI Liquidity Fund, L.P.
0.870%**† (H)		25,806,826		25,800

Total Affiliated Partnership (Cost $25,807) ($ Thousands)				25,800


Description	Shares		Market Value ($ Thousands)

CASH EQUIVALENT — 5.1%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		88,412,427	$	88,412

Total Cash Equivalent (Cost $88,412) ($ Thousands)				88,412

Total Investments — 111.5% (Cost $1,912,843) ($ Thousands)			$	1,913,685


	Contracts

PURCHASED OPTIONS* — 0.0%
June 2017, U.S. 10 Year Future Option Call, Expires 05/20/2017, Strike Price $124.50		18		17
June 2017, U.S. 10 Year Future Option Put, Expires 05/20/2017, Strike Price $121.00		5		—
May 2017, U.S. 10 Year Future Option Call, Expires 04/22/2017, Strike Price $123.50		12		14
May 2017, U.S. 10 Year Future Option Call, Expires 04/22/2017, Strike Price $124.75		24		8
May 2017, U.S. 10 Year Future Option Call, Expires 04/22/2017, Strike Price $124.00		35		28
May 2017, U.S. 10 Year Future Option Call, Expires 04/22/2017, Strike Price $125.50		29		5
May 2017, U.S. 10 Year Future Option Call, Expires 04/22/2017, Strike Price $125.00		42		13
May 2017, U.S. 10 Year Future Option Put, Expires 04/22/2017, Strike Price $123.50		11		2
May 2017, U.S. 5 Year Future Option Call, Expires 04/22/2017, Strike Price $118.00		80		14
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017, Strike Price $148.00		12		37
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017, Strike Price $153.00		6		2
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017, Strike Price $152.00		23		16
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017, Strike Price $151.00		24		26
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017, Strike Price $149.00		36		83


Description	Contracts			Market Value ($ Thousands)

PURCHASED OPTIONS (continued)
May 2017, U.S. Bond Future Option Put, Expires 04/22/2017, Strike Price $149.00		12		$	6

Total Purchased Options (Cost $211) ($ Thousands)				$	271


WRITTEN OPTIONS* — 0.0%
April 2017, U.S. Long Bond W2 Option Call, Expires 04/22/2017 Strike Price $153.00		(6	)		(1	)
April 2017, U.S. Long Bond W2 Option Put, Expires 04/22/2017 Strike Price $149.00		(6	)		(2	)
June 2017, U.S. 10 Year Future Option Call, Expires 05/20/2017 Strike Price $127.00		(54	)		(12	)
June 2017, U.S. 10 Year Future Option Call, Expires 05/20/2017 Strike Price $127.50		(145	)		(23	)
June 2017, U.S. 10 Year Future Option Call, Expires 05/20/2017 Strike Price $128.00		(18	)		(2	)
June 2017, U.S. 10 Year Future Option Call, Expires 05/20/2017 Strike Price $125.00		(35	)		(25	)
June 2017, U.S. 10 Year Future Option Call, Expires 05/20/2017 Strike Price $126.00		(12	)		(5	)
June 2017, U.S. 10 Year Future Option Call, Expires 05/20/2017 Strike Price $126.50		(26	)		(8	)
June 2017, U.S. 10 Year Future Option Put, Expires 05/20/2017 Strike Price $119.50		(71	)		(2	)
June 2017, U.S. 5 Year Future Option Call, Expires 05/20/2017 Strike Price $118.25		(51	)		(17	)
June 2017, U.S. 5 Year Future Option Call, Expires 05/20/2017 Strike Price $118.00		(12	)		(5	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $155.00		(16	)		(12	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $158.00		(12	)		(4	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $160.00		(24	)		(4	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $152.00		(12	)		(19	)


Description	Contracts			Market Value ($ Thousands)

WRITTEN OPTIONS (continued)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $153.00		(51	)	$	(64	)
June 2017, U.S. Bond Future Option Call, Expires 05/20/2017 Strike Price $154.00		(12	)		(12	)
May 2017, U.S. 10 Year Future Option Call, Expires 04/22/2017 Strike Price $124.50		(24	)		(12	)
May 2017, U.S. 5 Year Future Option Call, Expires 04/22/2017 Strike Price $118.75		(12	)		—
May 2017, U.S. 5 Year Future Option Call, Expires 04/22/2017 Strike Price $119.25		(70	)		(1	)
May 2017, U.S. 5 Year Future Option Call, Expires 04/22/2017 Strike Price $117.50		(31	)		(13	)
May 2017, U.S. 5 Year Future Option Call, Expires 04/22/2017 Strike Price $117.75		(23	)		(7	)
May 2017, U.S. 5 Year Future Option Put, Expires 04/22/2017 Strike Price $116.00		(70	)		(1	)
May 2017, U.S. 5 Year Future Option Put, Expires 04/22/2017 Strike Price $115.75		(12	)		—
May 2017, U.S. Bond Future Option Call, Expires 04/22/2017 Strike Price $150.00		(12	)		(20	)

Total Written Options (Premiums Received $290) ($ Thousands)				$	(271	)

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
90-Day Euro$		120			Dec-2018	$	30
90-Day Euro$		(120	)		Dec-2019		(32	)
U.S. 10-Year Treasury Note		209			Jun-2007		70
U.S. 2-Year Treasury Note		108			Jul-2007		17
U.S. 5-Year Treasury Note		622			Jun-2007		162
U.S. Long Treasury Bond		(235	)		Jun-2017		(114	)
U.S. Ultra Long Treasury Bond		(104	)		Jun-2017		(34	)
Ultra 10-Year U.S. Treasury Note		(120	)		Jun-2017		(53	)

						$	46

A list of the open forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
06/26/17	JPY		640,000	USD		5,822	$	57
05/01/17-06/19/17	JPY		1,880,000	USD		16,521		(392	)

							$	(335	)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Bank of America	$	(14,216	)	$	13,896	$	(321	)
Citigroup		(8,461	)		8,447		(14	)

						$	(335	)

A list of the open centrally cleared swap agreements held by the Fund at March 31, 2017 is as follows:

Percentages are based on Net Assets of $1,715,910 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

(A)

Zero coupon security. The rate shown on the Schedule of Investments is the security’s effective yield at the time of purchase.

(B)

This security or a partial position of this security is on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $25,141 ($ Thousands).

(C)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2017.

(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 March 31, 2017, the value of these securities amounted to $173,102 ($ Thousands), representing 10.1% of the Net Assets of the Fund.

(E)

Securities considered illiquid. The total value of such securities as of March 31, 2017 was $553 ($ Thousands) and represented 0.0% of the Net Assets of the Fund.

(F)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2017. 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)

This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2017 was $25,800 ($ Thousands).

ACES — Alternative Credit Enhancement Structure

ARM — Adjustable Rate Mortgage

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FICO — Financing Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

The following is a list of the level of inputs used as of March 31, 2017, 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	$	—		$	598,622		$	—	$	598,622
Mortgage-Backed Securities		—			492,196			—		492,196
Corporate Obligations		—			466,348			—		466,348
Asset-Backed Securities		—			179,379			—		179,379
Sovereign Debt		—			46,501			—		46,501
U.S. Government Agency Obligations		—			9,122			—		9,122
Municipal Bonds		—			7,305			—		7,305
Affiliated Partnership		—			25,800			—		25,800
Cash Equivalent		88,412			—			—		88,412

Total Investments in Securities	$	88,412		$	1,825,273		$	—	$	1,913,685


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Purchased Options	$	271		$	—		$	—	$	271
Written Options		(271	)		—			—		(271	)
Futures Contracts*
Unrealized Appreciation		279			—			—		279
Unrealized Depreciation		(233	)		—			—		(233	)
Forwards Contracts*
Unrealized Appreciation		—			57			—		57
Unrealized Depreciation		—			(392	)		—		(392	)
Centrally Cleared Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			1,364			—		1,364

Total Other Financial Instruments	$	46		$	1,029		$	—	$	1,075

Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS — 74.0%

Consumer Discretionary — 17.6%
Adelphia Communications (Escrow Security) (A)
10.250%, 06/15/2011	$	150	$	1
0.000%, 02/15/2004		25		—
0.000%, 01/15/2009		225		—
Adient Global Holdings
4.875%, 08/15/2026 (B)		430		422
Altice
7.750%, 05/15/2022 (B)		4,407		4,677
7.625%, 02/15/2025 (B)		850		898
Altice Financing
7.500%, 05/15/2026 (B)		4,922		5,230
6.625%, 02/15/2023 (B)		345		359
6.500%, 01/15/2022 (B)		700		733
Altice Finco
8.125%, 01/15/2024 (B)		610		653
Altice Finco MTN
7.625%, 02/15/2025 (B)		205		211
Altice US Finance
5.375%, 07/15/2023 (B)		1,946		2,007
AMC Entertainment Holdings
5.875%, 11/15/2026 (B)		110		111
5.750%, 06/15/2025		2,625		2,691
AMC Networks
5.000%, 04/01/2024		1,573		1,573
4.750%, 12/15/2022		2,210		2,221
American Axle & Manufacturing
6.625%, 10/15/2022		440		453
6.500%, 04/01/2027 (B)		260		259
6.250%, 04/01/2025 (B)		280		281


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Apex Tool Group
7.000%, 02/01/2021 (B)	$	1,820	$	1,647
Aramark Services
4.750%, 06/01/2026		700		704
Ashtead Capital
6.500%, 07/15/2022 (B)		790		822
Aventine (Escrow Security)
0.000%, 10/15/2049 (A) (C) (D)		2,750		—
Belo
7.750%, 06/01/2027		1,675		1,813
Block Communications
6.875%, 02/15/2025 (B)		1,422		1,507
Bon-Ton Department Stores
8.000%, 06/15/2021		8,875		3,550
Boyd Gaming
6.875%, 05/15/2023		970		1,045
6.375%, 04/01/2026		2,173		2,325
Brookfield Residential Properties
6.375%, 05/15/2025 (B)		458		471
Burger King Worldwide
6.000%, 04/01/2022 (B)		1,080		1,121
Caesars Entertainment Operating (A)
9.000%, 02/15/2020		3,654		4,248
8.500%, 02/15/2020		1,239		1,434
CBS Radio
7.250%, 11/01/2024 (B)		170		178
CCM Merger
6.000%, 03/15/2022 (B)		695		709
CCO Holdings
5.875%, 04/01/2024 (B)		1,500		1,583
5.750%, 02/15/2026 (B)		2,340		2,457
5.500%, 05/01/2026 (B)		3,670		3,799
5.375%, 05/01/2025 (B)		2,340		2,401
5.250%, 09/30/2022		250		259
5.125%, 05/01/2027 (B)		3,433		3,450
CEC Entertainment
8.000%, 02/15/2022		1,283		1,336
Cedar Fair
5.375%, 06/01/2024		1,174		1,203
Cengage Learning
9.500%, 06/15/2024 (B)		3,915		3,504
Century Communities
6.875%, 05/15/2022 (B)		3,645		3,791
Cequel Communications Holdings I
7.750%, 07/15/2025 (B)		895		990
5.125%, 12/15/2021 (B)		620		628
Charter Communications Operating
4.908%, 07/23/2025		250		264
Chester Downs & Marina
9.250%, 02/01/2020 (B)		1,650		1,687
Chinos Intermediate Holdings PIK
7.750%, 05/01/2019 (B)		552		244


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Cinemark USA
4.875%, 06/01/2023	$	500	$	505
Claire’s Stores
9.000%, 03/15/2019 (B)		1,590		636
8.875%, 03/15/2019 (A)		406		65
Clear Channel Worldwide Holdings
7.625%, 03/15/2020		3,629		3,649
6.500%, 11/15/2022		3,325		3,436
ClubCorp Club Operations
8.250%, 12/15/2023 (B)		1,670		1,816
Cooper-Standard Automotive
5.625%, 11/15/2026 (B)		285		285
CSC Holdings
10.875%, 10/15/2025 (B)		4,822		5,798
10.125%, 01/15/2023 (B)		2,750		3,190
6.750%, 11/15/2021		1,250		1,356
6.625%, 10/15/2025 (B)		420		457
5.250%, 06/01/2024		1,849		1,842
Cumulus Media Holdings
7.750%, 05/01/2019		3,970		1,370
Dana
5.500%, 12/15/2024		470		476
Dana Financing Luxembourg Sarl
6.500%, 06/01/2026 (B)		145		151
5.750%, 04/15/2025 (B)		225		227
Dana Holding
6.000%, 09/15/2023		1,000		1,042
Diamond Resorts International
10.750%, 09/01/2024 (B)		550		572
DISH DBS
7.750%, 07/01/2026		200		232
5.875%, 07/15/2022		1,366		1,435
5.875%, 11/15/2024		8,549		8,979
5.000%, 03/15/2023		3,240		3,256
Dollar Tree
5.750%, 03/01/2023		1,500		1,597
ESH Hospitality
5.250%, 05/01/2025 (B)		3,535		3,564
Fiat Chrysler Automobiles
5.250%, 04/15/2023		410		422
Fontainebleau Las Vegas Holdings
10.250%, 06/15/2015 (A) (B)		3,108		—
Gannett
5.500%, 09/15/2024 (B)		336		344
Goodyear Tire & Rubber
5.125%, 11/15/2023		425		443
5.000%, 05/31/2026		170		174
Gray Television
5.125%, 10/15/2024 (B)		2,400		2,370
Group 1 Automotive
5.250%, 12/15/2023 (B)		775		783


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Guitar Center
9.625%, 04/15/2020 (B)	$	2,665	$	1,832
6.500%, 04/15/2019 (B)		1,300		1,092
Hanesbrands
4.875%, 05/15/2026 (B)		155		152
4.625%, 05/15/2024 (B)		235		232
Harrah’s Operating
11.250%, 06/01/2017 (A)		521		592
Herc Rentals
7.750%, 06/01/2024 (B)		521		556
7.500%, 06/01/2022 (B)		387		411
Hilton Domestic Operating
4.250%, 09/01/2024 (B)		2,278		2,250
Hilton Grand Vacations Borrower
6.125%, 12/01/2024 (B)		115		121
Hilton Worldwide Finance
4.875%, 04/01/2027 (B)		115		116
4.625%, 04/01/2025 (B)		230		233
iHeartCommunications
10.625%, 03/15/2023		951		737
9.000%, 12/15/2019		359		307
9.000%, 03/01/2021		1,275		969
9.000%, 09/15/2022		2,173		1,633
iHeartCommunications PIK
14.000%, 02/01/2021		4,400		1,474
IHO Verwaltungs GmbH PIK
4.500%, 09/15/2023 (B)		260		257
Inn of the Mountain Gods Resort & Casino
9.250%, 11/30/2020 (B) (E)		4,420		3,978
International Game Technology
6.500%, 02/15/2025 (B)		625		666
6.250%, 02/15/2022 (B)		720		768
Interval Acquisition
5.625%, 04/15/2023		620		629
Jack Ohio Finance
6.750%, 11/15/2021 (B)		1,935		2,003
Jacobs Entertainment
7.875%, 02/01/2024 (B)		830		854
JC Penney
6.375%, 10/15/2036		505		385
5.875%, 07/01/2023 (B)		1,964		1,964
KFC Holding
5.250%, 06/01/2026 (B)		795		809
5.000%, 06/01/2024 (B)		795		812
L Brands
6.950%, 03/01/2033		1,146		1,097
6.875%, 11/01/2035		945		912
6.750%, 07/01/2036		2,760		2,630
5.625%, 02/15/2022		1,000		1,049
Landry’s
6.750%, 10/15/2024 (B)		1,969		2,043


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Laureate Education
9.250%, 09/01/2019 (B)	$	936	$	973
Lee Enterprises
9.500%, 03/15/2022 (B)		1,300		1,364
Liberty Media LLC
8.250%, 02/01/2030		2,205		2,370
Live Nation Entertainment
4.875%, 11/01/2024 (B)		90		90
LTF Merger
8.500%, 06/15/2023 (B)		3,061		3,245
M/I Homes
6.750%, 01/15/2021		1,235		1,293
McClatchy
9.000%, 12/15/2022		1,600		1,660
McGraw-Hill Global Education Holdings
7.875%, 05/15/2024 (B)		162		157
MGM Resorts International
7.750%, 03/15/2022		1,615		1,863
6.000%, 03/15/2023		3,168		3,422
4.625%, 09/01/2026		300		291
Midcontinent Communications
6.875%, 08/15/2023 (B)		1,893		2,014
Millennium (Escrow Security)
7.625%, 11/15/2026 (A)		175		—
Mohegan Tribal Gaming Authority
7.875%, 10/15/2024 (B)		2,424		2,457
Monitronics International
9.125%, 04/01/2020		6,055		5,854
Neiman Marcus Group
8.000%, 10/15/2021 (B)		365		220
Neiman Marcus Group PIK
8.750%, 10/15/2021 (B)		675		380
Netflix
4.375%, 11/15/2026 (B)		967		950
Nexstar Broadcasting
6.125%, 02/15/2022 (B)		380		395
5.625%, 08/01/2024 (B)		2,603		2,642
Nine West Holdings
8.250%, 03/15/2019 (B)		4,619		1,247
Penn National Gaming
5.625%, 01/15/2027 (B)		1,580		1,568
PetSmart
7.125%, 03/15/2023 (B)		1,645		1,563
Pinnacle Entertainment
5.625%, 05/01/2024 (B)		950		962
PulteGroup
5.000%, 01/15/2027		987		987
Quebecor Media
5.750%, 01/15/2023		1,985		2,069
Quebecor Media (Escrow Security) (A)
0.000%, 11/15/2013 (F)		1,725		2
0.000%, 03/15/2016		1,915		3


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Radio One
9.250%, 02/15/2020 (B)	$	4,821	$	4,652
7.375%, 04/15/2022 (B)		3,022		3,158
Radio Systems
8.375%, 11/01/2019 (B)		910		946
Regal Entertainment Group
5.750%, 03/15/2022		340		355
5.750%, 06/15/2023		280		290
Ritchie Bros Auctioneers
5.375%, 01/15/2025 (B)		329		336
Rivers Pittsburgh Borrower
6.125%, 08/15/2021 (B)		203		207
Sally Holdings
5.625%, 12/01/2025		1,315		1,313
Scientific Games International
10.000%, 12/01/2022		1,970		2,100
7.000%, 01/01/2022 (B)		1,979		2,113
Seminole Tribe of Florida
6.535%, 10/01/2020 (B)		310		313
Service International
7.500%, 04/01/2027		1,295		1,505
ServiceMaster
5.125%, 11/15/2024 (B)		621		637
SFR Group
7.375%, 05/01/2026 (B)		6,934		7,142
6.250%, 05/15/2024 (B)		1,991		2,004
6.000%, 05/15/2022 (B)		1,105		1,145
Silversea Cruise Finance
7.250%, 02/01/2025 (B)		2,190		2,300
Sinclair Television Group
6.125%, 10/01/2022		795		832
5.625%, 08/01/2024 (B)		840		850
5.125%, 02/15/2027 (B)		3,099		2,991
Sirius XM Radio
6.000%, 07/15/2024 (B)		748		801
5.375%, 04/15/2025 (B)		4,420		4,524
5.375%, 07/15/2026 (B)		2,475		2,528
4.625%, 05/15/2023 (B)		1,000		1,022
Six Flags Entertainment
4.875%, 07/31/2024 (B)		3,203		3,171
Taylor Morrison Communities
5.625%, 03/01/2024 (B)		1,755		1,816
TEGNA
6.375%, 10/15/2023		65		69
Tempur Sealy International
5.625%, 10/15/2023		595		598
5.500%, 06/15/2026		455		449
Tenneco
5.000%, 07/15/2026		340		333
TI Group Automotive Systems
8.750%, 07/15/2023 (B)		4,509		4,783


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Time
5.750%, 04/15/2022 (B)	$	545	$	567
Townsquare Media
6.500%, 04/01/2023 (B)		535		534
Tribune Media
5.875%, 07/15/2022		3,140		3,273
UCI International
8.625%, 02/15/2019 (A)		1,165		280
Unitymedia GmbH
6.125%, 01/15/2025 (B)		795		837
Unitymedia Hessen GmbH & KG
5.000%, 01/15/2025 (B)		1,100		1,125
Univision Communications
5.125%, 02/15/2025 (B)		3,715		3,655
UPCB Finance IV
5.375%, 01/15/2025 (B)		1,630		1,640
Videotron
5.375%, 06/15/2024 (B)		635		660
5.125%, 04/15/2027 (B)		240		240
Viking Cruises
6.250%, 05/15/2025 (B)		3,215		3,070
Virgin Media Finance
5.750%, 01/15/2025 (B)		397		398
Virgin Media Secured Finance
5.500%, 01/15/2025 (B)		200		204
5.500%, 08/15/2026 (B)		480		487
5.250%, 01/15/2026 (B)		2,635		2,648
Vista Outdoor
5.875%, 10/01/2023		990		963
Wave Holdco PIK
8.250%, 07/15/2019 (B)		416		418
WideOpenWest Finance
10.250%, 07/15/2019		1,216		1,266
WMG Acquisition
5.625%, 04/15/2022 (B)		58		60
4.875%, 11/01/2024 (B)		135		136
Wynn Las Vegas
5.500%, 03/01/2025 (B)		2,090		2,124
Yum! Brands
6.875%, 11/15/2037		1,915		1,973
5.350%, 11/01/2043		130		113
Ziggo Secured Finance BV
5.500%, 01/15/2027 (B)		2,760		2,760

				280,740


Consumer Staples — 2.2%
AdvancePierre Foods Holdings
5.500%, 12/15/2024 (B)		876		886
Albertsons
6.625%, 06/15/2024 (B)		1,000		1,023
5.750%, 03/15/2025 (B)		1,730		1,678


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
B&G Foods
5.250%, 04/01/2025	$	1,200	$	1,211
Bumble Bee Holdco PIK
9.625%, 03/15/2018 (B)		2,092		2,029
Central Garden & Pet
6.125%, 11/15/2023		495		522
Cott Holdings
5.500%, 04/01/2025 (B)		815		830
Energizer Holdings
5.500%, 06/15/2025 (B)		775		791
Fresh Market
9.750%, 05/01/2023 (B)		2,105		1,700
High Ridge Brands
8.875%, 03/15/2025 (B)		205		209
HRG Group
7.875%, 07/15/2019		140		145
7.750%, 01/15/2022		2,062		2,175
KeHE Distributors
7.625%, 08/15/2021 (B)		1,900		1,914
New Albertsons
8.700%, 05/01/2030		285		282
8.000%, 05/01/2031		4,480		4,323
7.750%, 06/15/2026		160		156
7.450%, 08/01/2029		1,605		1,521
Post Holdings
8.000%, 07/15/2025 (B)		420		472
7.750%, 03/15/2024 (B)		585		645
5.500%, 03/01/2025 (B)		290		291
5.000%, 08/15/2026 (B)		2,070		1,982
Rite Aid
7.700%, 02/15/2027		2,550		2,856
6.125%, 04/01/2023 (B)		2,560		2,538
Spectrum Brands
5.750%, 07/15/2025		926		979
SUPERVALU
6.750%, 06/01/2021		2,945		2,930
TreeHouse Foods
6.000%, 02/15/2024 (B)		300		314

				34,402


Energy — 10.6%
Alta Mesa Holdings
7.875%, 12/15/2024 (B)		1,810		1,887
American Greetings
7.875%, 02/15/2025 (B)		80		84
Antero Midstream Partners
5.375%, 09/15/2024 (B)		280		284
Antero Resources
5.625%, 06/01/2023		60		61
5.125%, 12/01/2022		375		380
Archrock Partners
6.000%, 04/01/2021		475		471


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Atwood Oceanics
6.500%, 02/01/2020	$	1,070	$	964
Berry Petroleum (A)
6.750%, 11/01/2020		1,060		636
6.375%, 09/15/2022		2,218		1,353
Blue Racer Midstream
6.125%, 11/15/2022 (B)		5,365		5,432
Boardwalk Pipelines
5.950%, 06/01/2026		425		471
Calfrac Holdings
7.500%, 12/01/2020 (B)		3,293		2,955
California Resources
8.000%, 12/15/2022 (B)		3,630		2,949
Carrizo Oil & Gas
6.250%, 04/15/2023		195		196
CHC Helicopter
9.250%, 10/15/2020 (A)		139		76
Cheniere Corpus Christi Holdings
5.875%, 03/31/2025 (B)		1,733		1,807
Chesapeake Energy
8.000%, 12/15/2022 (B)		2,482		2,600
8.000%, 01/15/2025 (B)		3,810		3,810
Cloud Peak Energy Resources LLC
12.000%, 11/01/2021		745		803
Concho Resources
5.500%, 10/01/2022		550		568
5.500%, 04/01/2023		505		523
CONSOL Energy
5.875%, 04/15/2022		3,343		3,305
Continental Resources
5.000%, 09/15/2022		1,440		1,454
4.500%, 04/15/2023		3,500		3,406
Contura Energy
10.000%, 08/01/2021 (B)		1,639		1,767
Crestwood Midstream Partners
6.250%, 04/01/2023		365		379
5.750%, 04/01/2025 (B)		3,340		3,411
CSI Compressco
7.250%, 08/15/2022		195		185
DCP Midstream Operating
5.850%, 05/21/2043 (B) (G)		646		589
Denbury Resources
9.000%, 05/15/2021 (B)		603		636
5.500%, 05/01/2022		125		98
4.625%, 07/15/2023		1,329		970
Endeavor Energy Resources
7.000%, 08/15/2021 (B)		1,211		1,266
Energy Future Holdings
0.000%, 12/31/2034		167		25
Energy Transfer Equity
7.500%, 10/15/2020		229		255
5.875%, 01/15/2024		1,601		1,701


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
EnLink Midstream Partners
5.050%, 04/01/2045	$	1,558	$	1,467
4.400%, 04/01/2024		560		567
Ensco
8.000%, 01/31/2024		962		974
5.750%, 10/01/2044		2,430		1,835
EP Energy
9.375%, 05/01/2020		545		514
8.000%, 11/29/2024 (B)		365		383
8.000%, 02/15/2025 (B)		1,118		1,040
7.750%, 09/01/2022		210		170
Exterran Energy Solutions
8.125%, 05/01/2025 (B)		465		474
Extraction Oil & Gas Holdings
7.875%, 07/15/2021 (B)		2,235		2,358
Foresight Energy LLC
11.500%, 04/01/2023 (B)		159		149
FTS International
8.631%, 06/15/2020 (B) (G)		1,098		1,113
6.250%, 05/01/2022		4,161		3,641
Genesis Energy
6.750%, 08/01/2022		2,470		2,546
6.000%, 05/15/2023		1,733		1,742
Gibson Energy
6.750%, 07/15/2021 (B)		330		345
Gulfport Energy
6.000%, 10/15/2024 (B)		830		805
Halcon Resources
6.750%, 02/15/2025 (B)		2,890		2,838
IronGate Energy Services
11.000%, 07/01/2018 (A) (B)		400		146
Jones Energy Holdings
9.250%, 03/15/2023		2,106		2,095
Jupiter Resources
8.500%, 10/01/2022 (B)		3,510		2,869
Laredo Petroleum
7.375%, 05/01/2022		1,135		1,178
Linn Energy
6.250%, 11/01/2019 (A)		4,035		1,982
McDermott International
8.000%, 05/01/2021 (B)		1,895		1,933
MEG Energy
7.000%, 03/31/2024 (B)		2,430		2,175
6.500%, 01/15/2025 (B)		2,650		2,650
6.375%, 01/30/2023 (B)		1,330		1,189
Memorial Production Partners
6.875%, 08/01/2022 (A)		4,630		1,667
Midstates Petroleum
10.750%, 10/15/2020		2,540		—
10.000%, 06/01/2020		720		—
9.250%, 06/01/2021		360		—


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Milagro Oil & Gas
10.500%, 05/15/2016 (A)	$	1,700	$	599
Murphy Oil
6.875%, 08/15/2024		420		445
Murray Energy
11.250%, 04/15/2021 (B)		1,198		925
Nabors Industries
5.500%, 01/15/2023 (B)		125		128
Newfield Exploration
5.750%, 01/30/2022		680		722
5.625%, 07/01/2024		905		953
5.375%, 01/01/2026		830		867
NGL Energy Partners
7.500%, 11/01/2023 (B)		2,285		2,359
6.125%, 03/01/2025 (B)		808		784
Noble Holding International
7.750%, 01/15/2024		6,059		5,817
5.750%, 03/16/2018		1,210		1,228
Northern Oil & Gas
8.000%, 06/01/2020		1,255		1,079
Oasis Petroleum
6.875%, 03/15/2022		525		538
6.875%, 01/15/2023		765		778
6.500%, 11/01/2021		285		286
Parker Drilling
6.750%, 07/15/2022		3,814		3,385
Parsley Energy
5.375%, 01/15/2025 (B)		1,734		1,755
5.250%, 08/15/2025 (B)		680		687
PBF Holding
7.000%, 11/15/2023		805		807
PDC Energy
7.750%, 10/15/2022		500		526
6.125%, 09/15/2024 (B)		246		252
Peabody Energy
6.250%, 11/15/2021 (A)		420		105
Peabody Securities Finance
6.375%, 03/31/2025 (B)		971		966
6.000%, 03/31/2022 (B)		901		896
Permian Resources
8.000%, 06/15/2020 (B)		1,411		1,390
Precision Drilling
7.750%, 12/15/2023 (B)		473		498
Pride International
7.875%, 08/15/2040		245		227
Range Resources
5.000%, 08/15/2022 (B)		65		64
5.000%, 03/15/2023 (B)		270		266
4.875%, 05/15/2025		235		225
Regency Energy Partners
5.500%, 04/15/2023		510		530


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Rose Rock Midstream
5.625%, 07/15/2022	$	3,085	$	3,048
Rowan
7.375%, 06/15/2025		2,161		2,172
5.850%, 01/15/2044		2,404		1,851
RSP Permian
6.625%, 10/01/2022		250		263
5.250%, 01/15/2025 (B)		140		141
Sabine Pass Liquefaction
5.875%, 06/30/2026 (B)		140		154
5.750%, 05/15/2024		2,225		2,425
5.625%, 04/15/2023		845		917
5.000%, 03/15/2027 (B)		350		366
Sanchez Energy
6.125%, 01/15/2023		445		413
SESI LLC
7.125%, 12/15/2021		850		861
Seventy Seven Energy (A)
6.500%, 07/15/2022		305		—
Seventy Seven Operating (A)
6.625%, 11/15/2019		1,869		—
SM Energy
6.500%, 11/15/2021		250		256
6.500%, 01/01/2023		180		183
6.125%, 11/15/2022		465		469
5.625%, 06/01/2025		295		282
Southwestern Energy
4.950%, 01/23/2025		2,410		2,374
4.100%, 03/15/2022		355		332
Summit Midstream Holdings
5.750%, 04/15/2025		2,940		2,925
5.500%, 08/15/2022		1,548		1,548
Targa Resources Partners
6.750%, 03/15/2024		2,425		2,631
5.125%, 02/01/2025 (B)		160		165
4.250%, 11/15/2023		65		63
Tesoro Logistics
6.375%, 05/01/2024		250		271
6.250%, 10/15/2022		255		269
6.125%, 10/15/2021		285		298
5.875%, 10/01/2020		500		514
5.250%, 01/15/2025		205		214
Transocean
9.100%, 12/15/2041		775		740
9.000%, 07/15/2023 (B)		1,990		2,125
7.500%, 04/15/2031		1,619		1,457
5.550%, 10/15/2022		3,605		3,391
Tullow Oil
6.250%, 04/15/2022 (B)		904		845
6.000%, 11/01/2020 (B)		471		456
Unit
6.625%, 05/15/2021		2,130		2,098


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Weatherford International
9.875%, 02/15/2024 (B)	$	95	$	110
8.250%, 06/15/2023		2,266		2,464
6.750%, 09/15/2040		905		860
5.950%, 04/15/2042		1,495		1,301
Western Refining Logistics
7.500%, 02/15/2023		1,135		1,220
Whiting Petroleum
6.250%, 04/01/2023		2,980		2,965
5.750%, 03/15/2021		1,034		1,024
WildHorse Resource Development
6.875%, 02/01/2025 (B)		1,405		1,342
Williams
4.550%, 06/24/2024		802		808
Williams, Ser A
7.500%, 01/15/2031		176		205
WPX Energy
8.250%, 08/01/2023		800		890
6.000%, 01/15/2022		85		87

				168,482


Financials — 5.1%
Ally Financial
5.750%, 11/20/2025		2,620		2,682
5.125%, 09/30/2024		1,705		1,754
4.625%, 05/19/2022		805		821
4.625%, 03/30/2025		1,080		1,075
4.250%, 04/15/2021		515		525
4.125%, 03/30/2020		595		607
Bank of America (G)
8.000%, 12/29/2049		1,670		1,720
6.500%, 12/31/2049		1,380		1,506
5.125%, 12/31/2049		1,917		1,924
BCD Acquisition
9.625%, 09/15/2023 (B)		1,890		2,041
Care Capital Properties
5.125%, 08/15/2026		2,976		2,944
Citigroup (G)
5.950%, 12/29/2049		1,250		1,305
5.950%, 12/31/2049		50		52
5.875%, 12/29/2049		250		258
5.800%, 11/29/2049		200		206
City National Bank
9.000%, 08/12/2019		3,384		3,855
CNG Holdings
9.375%, 05/15/2020 (B)		1,425		1,300
Credit Acceptance
7.375%, 03/15/2023		2,390		2,402
6.125%, 02/15/2021		1,565		1,561
Credit Suisse Group
7.500%, 12/11/2048 (B) (G)		765		829


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
FBM Finance
8.250%, 08/15/2021 (B)	$	707	$	749
HUB International
9.250%, 02/15/2021 (B)		350		361
7.875%, 10/01/2021 (B)		3,010		3,138
Infinity Acquisition
7.250%, 08/01/2022 (B)		585		535
Jefferies Finance
6.875%, 04/15/2022 (B)		2,645		2,526
JPMorgan Chase (G)
7.900%, 04/29/2049		1,967		2,038
6.750%, 08/29/2049		1,485		1,637
6.000%, 12/29/2049		1,865		1,945
Lloyds Banking Group
7.500%, 12/01/2099 (G)		1,965		2,078
LPL Holdings
5.750%, 09/15/2025 (B)		3,287		3,320
Mattamy Group
6.500%, 11/15/2020 (B)		1,105		1,135
MGIC Investment
5.750%, 08/15/2023		1,320		1,393
MGM Growth Properties Operating Partnership
5.625%, 05/01/2024		2,760		2,912
4.500%, 09/01/2026		2,025		1,964
MSCI
5.750%, 08/15/2025 (B)		566		601
5.250%, 11/15/2024 (B)		970		1,021
4.750%, 08/01/2026 (B)		955		965
National Life Insurance
10.500%, 09/15/2039 (B)		990		1,514
Nationstar Mortgage
6.500%, 07/01/2021		1,525		1,544
Navient
7.250%, 09/25/2023		1,176		1,182
6.625%, 07/26/2021		4,555		4,714
6.500%, 06/15/2022		420		424
NSG Holdings
7.750%, 12/15/2025 (B)		1,717		1,846
Popular
7.000%, 07/01/2019		1,288		1,344
Royal Bank of Scotland Group PLC
8.000%, 12/29/2049 (G)		1,340		1,333
5.125%, 05/28/2024		780		789
Springleaf Finance
7.750%, 10/01/2021		2,710		2,886
Starwood Property Trust
5.000%, 12/15/2021 (B)		1,275		1,323
USI
7.750%, 01/15/2021 (B)		1,240		1,262
Walter Investment Management
4.500%, 11/01/2019		521		172


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Wells Fargo
7.980%, 03/15/2018 (G)	$	950	$	993
York Risk Services Holding
8.500%, 10/01/2022 (B)		2,250		2,104

				81,115


Health Care — 9.3%
21st Century Oncology Holdings
11.000%, 05/01/2023 (A) (B)		605		394
Acadia Healthcare
5.125%, 07/01/2022		1,600		1,616
Air Medical Group Holdings
6.375%, 05/15/2023 (B)		695		672
Alere
6.500%, 06/15/2020		215		217
6.375%, 07/01/2023 (B)		1,819		1,848
Aurora Diagnostics Holdings
10.750%, 01/15/2018		4,835		4,255
BioScrip
8.875%, 02/15/2021		3,211		2,760
Centene
6.125%, 02/15/2024		660		708
4.750%, 01/15/2025		3,685		3,706
CHS
8.000%, 11/15/2019		1,474		1,447
6.875%, 02/01/2022		1,455		1,251
6.250%, 03/31/2023		3,208		3,264
Concordia International
9.500%, 10/21/2022 (B)		737		162
9.000%, 04/01/2022 (B)		227		164
DaVita HealthCare Partners
5.125%, 07/15/2024		2,465		2,490
5.000%, 05/01/2025		3,325		3,333
DJO Finco
8.125%, 06/15/2021 (B)		4,321		3,770
Endo
6.000%, 07/15/2023 (B)		2,618		2,291
Envision Healthcare
6.250%, 12/01/2024 (B)		1,800		1,890
5.625%, 07/15/2022		2,075		2,127
Fresenius Medical Care US Finance II
4.750%, 10/15/2024 (B)		800		812
Gates Global
6.000%, 07/15/2022 (B)		720		733
Grifols Worldwide Operations
5.250%, 04/01/2022		2,570		2,668
HCA
7.500%, 02/15/2022		1,920		2,196
5.875%, 05/01/2023		2,765		2,986
5.875%, 02/15/2026		3,115		3,286
5.375%, 02/01/2025		5,551		5,787
5.250%, 04/15/2025		5,287		5,618


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
5.250%, 06/15/2026	$	1,815	$	1,910
4.500%, 02/15/2027		350		350
HealthSouth
5.750%, 11/01/2024		1,900		1,914
5.750%, 09/15/2025		877		876
Hill-Rom Holdings
5.750%, 09/01/2023 (B)		2,360		2,445
5.000%, 02/15/2025 (B)		185		185
IASIS Healthcare
8.375%, 05/15/2019		2,967		2,841
inVentiv Group Holdings
7.500%, 10/01/2024 (B)		838		862
Kindred Healthcare
8.750%, 01/15/2023		910		912
6.375%, 04/15/2022		3,975		3,707
Kinetic Concepts
7.875%, 02/15/2021 (B)		785		832
Mallinckrodt International Finance
5.625%, 10/15/2023 (B)		315		300
5.500%, 04/15/2025 (B)		2,102		1,934
4.750%, 04/15/2023		3,191		2,704
Molina Healthcare
5.375%, 11/15/2022		2,389		2,477
MPH Acquisition Holdings
7.125%, 06/01/2024 (B)		1,028		1,105
Opal Acquisition
8.875%, 12/15/2021 (B)		1,996		1,737
Ortho-Clinical Diagnostics
6.625%, 05/15/2022 (B)		4,010		3,729
Quintiles IMS
5.000%, 10/15/2026 (B)		2,285		2,294
4.875%, 05/15/2023 (B)		1,980		2,007
RegionalCare Hospital Partners Holdings
8.250%, 05/01/2023 (B)		2,156		2,301
Select Medical
6.375%, 06/01/2021		2,920		2,949
Sterigenics-Nordion Holdings
6.500%, 05/15/2023 (B)		1,300		1,329
Tenet Healthcare
8.125%, 04/01/2022		5,355		5,589
7.500%, 01/01/2022 (B)		980		1,058
6.750%, 02/01/2020		350		355
6.750%, 06/15/2023		6,136		6,029
6.000%, 10/01/2020		455		481
5.500%, 03/01/2019		1,323		1,340
4.631%, 06/15/2020 (G)		545		548
4.500%, 04/01/2021		260		260
Valeant Pharmaceuticals International (B)
7.250%, 07/15/2022		1,033		881
7.000%, 10/01/2020		1,552		1,412
7.000%, 03/15/2024		1,799		1,846
6.500%, 03/15/2022		3,869		3,980


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
6.125%, 04/15/2025	$	5,932	$	4,568
5.875%, 05/15/2023		1,880		1,459
5.500%, 03/01/2023		2,925		2,252
5.375%, 03/15/2020		2,975		2,663
Valeant Pharmaceuticals International Escrow
7.500%, 07/15/2021 (B)		7,995		7,006
WellCare Health Plans
5.250%, 04/01/2025		2,430		2,487

				148,365


Industrials — 7.4%
ACCO Brands
5.250%, 12/15/2024 (B)		270		271
Actuant
5.625%, 06/15/2022		3,000		3,079
ADT
4.125%, 06/15/2023		25		24
3.500%, 07/15/2022		750		718
AECOM
5.875%, 10/15/2024		295		313
5.750%, 10/15/2022		135		142
Aircastle
5.000%, 04/01/2023		525		553
Algeco Scotsman Global Finance
8.500%, 10/15/2018 (B)		1,465		1,394
Allegion
5.875%, 09/15/2023		435		464
Allegion US Holding
5.750%, 10/01/2021		340		355
Allison Transmission
5.000%, 10/01/2024 (B)		2,238		2,260
American Builders & Contractors Supply
5.750%, 12/15/2023 (B)		665		690
AMN Healthcare
5.125%, 10/01/2024 (B)		2,569		2,595
Arconic
5.900%, 02/01/2027		155		166
Avis Budget Car Rental
6.375%, 04/01/2024 (B)		735		736
5.500%, 04/01/2023		2,676		2,586
Beacon Roofing Supply
6.375%, 10/01/2023		895		953
BMC East
5.500%, 10/01/2024 (B)		1,495		1,521
Bombardier
7.500%, 03/15/2025 (B)		845		866
6.000%, 10/15/2022 (B)		3,611		3,560
Builders FirstSource
5.625%, 09/01/2024 (B)		2,251		2,285
CDW
5.000%, 09/01/2025		760		775


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Cenveo
8.500%, 09/15/2022 (B)	$	3,905	$	2,382
6.000%, 08/01/2019 (B)		2,395		1,976
Ceridian HCM Holding
11.000%, 03/15/2021 (B)		827		871
CEVA Group PLC
7.000%, 03/01/2021 (B)		950		848
Clean Harbors
5.250%, 08/01/2020		850		865
Cloud Crane
10.125%, 08/01/2024 (B)		2,086		2,224
CNH Industrial Capital
4.875%, 04/01/2021		480		504
FGI Operating
7.875%, 05/01/2020		910		632
Florida East Coast Holdings
6.750%, 05/01/2019 (B)		2,139		2,203
Fortress Transportation & Infrastructure Investors
6.750%, 03/15/2022 (B)		1,795		1,784
Gardner Denver
6.875%, 08/15/2021 (B)		305		315
General Cable
5.750%, 10/01/2022		1,035		1,010
Global A&T Electronics
10.000%, 02/01/2019 (A) (B)		400		288
Great Lakes Dredge & Dock
7.375%, 02/01/2019		832		825
Grinding Media
7.375%, 12/15/2023 (B)		418		439
H&E Equipment Services
7.000%, 09/01/2022		685		718
HD Supply
5.750%, 04/15/2024 (B)		565		594
Hertz
6.250%, 10/15/2022		1,085		1,031
5.500%, 10/15/2024 (B)		1,480		1,286
Hillman Group
6.375%, 07/15/2022 (B)		3,003		2,865
Icahn Enterprises
6.750%, 02/01/2024 (B)		2,613		2,695
6.250%, 02/01/2022 (B)		2,553		2,591
5.875%, 02/01/2022		1,499		1,521
Jack Cooper Holdings
9.250%, 06/01/2020		1,095		391
James Hardie International Finance
5.875%, 02/15/2023 (B)		610		630
KLX
5.875%, 12/01/2022 (B)		850		877
Kratos Defense & Security Solutions
7.000%, 05/15/2019		591		591


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Masonite International
5.625%, 03/15/2023 (B)	$	1,066	$	1,088
New Enterprise Stone & Lime
10.125%, 04/01/2022 (B)		1,180		1,248
Nielsen Finance
5.000%, 04/15/2022 (B)		3,133		3,203
Nielsen Luxembourg
5.000%, 02/01/2025 (B)		3,640		3,626
Novelis
6.250%, 08/15/2024 (B)		230		240
5.875%, 09/30/2026 (B)		1,300		1,327
Oshkosh
5.375%, 03/01/2025		170		176
Park Aerospace Holdings
5.500%, 02/15/2024 (B)		675		702
5.250%, 08/15/2022 (B)		1,195		1,243
Prime Security Services Borrower
9.250%, 05/15/2023 (B)		6,454		7,075
RR Donnelley & Sons
7.625%, 06/15/2020		953		1,022
6.000%, 04/01/2024		2,770		2,580
RSI Home Products
6.500%, 03/15/2023 (B)		1,040		1,071
Sensata Technologies
5.000%, 10/01/2025 (B)		1,614		1,626
4.875%, 10/15/2023 (B)		1,600		1,603
Sensata Technologies UK Financing
6.250%, 02/15/2026 (B)		2,235		2,369
SPX FLOW
5.875%, 08/15/2026 (B)		701		707
5.625%, 08/15/2024 (B)		1,271		1,282
Standard Industries
6.000%, 10/15/2025 (B)		345		356
5.500%, 02/15/2023 (B)		410		419
StandardAero Aviation Holdings
10.000%, 07/15/2023 (B)		3,300		3,539
Summit Materials
6.125%, 07/15/2023		2,090		2,132
Team Health Holdings
6.375%, 02/01/2025 (B)		2,289		2,243
Terex
5.625%, 02/01/2025 (B)		275		279
TransDigm
6.500%, 07/15/2024		620		629
6.500%, 05/15/2025 (B)		1,450		1,463
6.375%, 06/15/2026		623		623
Triumph Group
4.875%, 04/01/2021		750		724
United Rentals North America
6.125%, 06/15/2023		680		711
5.875%, 09/15/2026		1,355		1,413
5.750%, 11/15/2024		1,305		1,360
5.500%, 07/15/2025		1,245		1,282


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Vertiv Group
9.250%, 10/15/2024 (B)	$	82	$	88
Welbilt
9.500%, 02/15/2024		240		277
West
5.375%, 07/15/2022 (B)		650		639
Xerium Technologies
9.500%, 08/15/2021		3,770		3,831
XPO Logistics
6.500%, 06/15/2022 (B)		540		567
6.125%, 09/01/2023 (B)		800		832
Zekelman Industries
9.875%, 06/15/2023 (B)		2,427		2,712

				117,569


Information Technology — 6.7%
ACI Worldwide
6.375%, 08/15/2020 (B)		510		523
Aegis Merger
10.250%, 02/15/2023 (B)		1,078		1,191
Alliance Data Systems MTN
5.875%, 11/01/2021 (B)		925		957
Alliance Data Systems
5.375%, 08/01/2022 (B)		1,058		1,066
Amkor Technology
6.375%, 10/01/2022		2,060		2,127
Anixter
5.500%, 03/01/2023		575		597
Aspect Software
3.000%, 05/23/2023 (H)		273		128
Avaya (A) (B)
10.500%, 03/01/2021		699		115
9.000%, 04/01/2019		1,760		1,386
7.000%, 04/01/2019		1,034		817
Bankrate
6.125%, 08/15/2018 (B)		2,296		2,308
Belden
5.500%, 09/01/2022 (B)		845		862
BMC Software Finance
8.125%, 07/15/2021 (B)		3,147		3,171
Camelot Finance
7.875%, 10/15/2024 (B)		64		67
Cardtronics
5.500%, 05/01/2025 (B)		1,035		1,047
5.125%, 08/01/2022		1,600		1,620
Cimpress
7.000%, 04/01/2022 (B)		237		245
CommScope Technologies
6.000%, 06/15/2025 (B)		1,460		1,529
Diamond 1 Finance (B)
8.350%, 07/15/2046		1,385		1,789


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
8.100%, 07/15/2036	$	1,890	$	2,373
7.125%, 06/15/2024		4,615		5,102
6.020%, 06/15/2026		2,866		3,124
5.450%, 06/15/2023		515		556
Donnelley Financial Solutions
8.250%, 10/15/2024 (B)		1,206		1,245
Entegris
6.000%, 04/01/2022 (B)		555		579
First Data (B)
7.000%, 12/01/2023		2,091		2,243
5.750%, 01/15/2024		3,630		3,744
5.375%, 08/15/2023		1,074		1,118
5.000%, 01/15/2024		2,840		2,890
Gartner
5.125%, 04/01/2025 (B)		1,039		1,059
Genesys Telecommunications Laboratories
10.000%, 11/30/2024 (B)		1,368		1,488
Harland Clarke Holdings
9.250%, 03/01/2021 (B)		4,668		4,546
8.375%, 08/15/2022 (B)		1,050		1,076
Hughes Satellite Systems
7.625%, 06/15/2021		2,100		2,315
6.625%, 08/01/2026 (B)		140		143
5.250%, 08/01/2026 (B)		900		898
Infor Software Parent PIK
7.125%, 05/01/2021 (B)		880		900
Infor US
6.500%, 05/15/2022		1,540		1,583
Informatica
7.125%, 07/15/2023 (B)		690		671
MagnaChip Semiconductor
6.625%, 07/15/2021		915		839
5.000%, 03/01/2021 (B)		300		408
Micron Technology
7.500%, 09/15/2023 (B)		1,490		1,663
5.250%, 08/01/2023 (B)		2,655		2,722
5.250%, 01/15/2024 (B)		1,150		1,181
Microsemi
9.125%, 04/15/2023 (B)		765		879
NCR
5.000%, 07/15/2022		2,240		2,274
NeuStar
4.500%, 01/15/2023		1,985		2,037
Nortel Networks
9.003%, 07/15/2011 (A)		1,605		1,592
Nuance Communications
5.625%, 12/15/2026 (B)		1,500		1,534
NXP Funding
5.750%, 03/15/2023 (B)		1,185		1,250
4.625%, 06/01/2023 (B)		455		482
Open Text
5.875%, 06/01/2026 (B)		1,588		1,663


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Perstorp Holding
8.500%, 06/30/2021 (B)	$	1,826	$	1,922
Plantronics
5.500%, 05/31/2023 (B)		2,070		2,088
Rackspace Hosting
8.625%, 11/15/2024 (B)		695		732
Radiate Holdco
6.625%, 02/15/2025 (B)		3,674		3,626
Riverbed Technology
8.875%, 03/01/2023 (B)		840		859
RP Crown Parent
7.375%, 10/15/2024 (B)		268		279
Sabre
5.375%, 04/15/2023 (B)		1,250		1,278
5.250%, 11/15/2023 (B)		3,556		3,636
Solera
10.500%, 03/01/2024 (B)		730		834
Symantec
5.000%, 04/15/2025 (B)		2,720		2,789
TIBCO Software
11.375%, 12/01/2021 (B)		2,990		3,311
VeriSign
5.250%, 04/01/2025		500		518
Veritas US
7.500%, 02/01/2023 (B)		480		506
Western Digital
10.500%, 04/01/2024		1,390		1,638
7.375%, 04/01/2023 (B)		765		839
WEX
4.750%, 02/01/2023 (B)		1,000		984
Zayo Group
6.375%, 05/15/2025		555		599
6.000%, 04/01/2023		1,808		1,910
Zebra Technologies
7.250%, 10/15/2022		990		1,070

				107,140


Materials — 5.9%
Alcoa Nederland Holding BV
7.000%, 09/30/2026 (B)		633		690
6.750%, 09/30/2024 (B)		488		523
Aleris International
9.500%, 04/01/2021 (B)		1,753		1,885
7.875%, 11/01/2020		308		304
Allegheny Technologies
9.375%, 06/01/2019		1,445		1,582
7.875%, 08/15/2023		675		691
Alpha 3 BV
6.250%, 02/01/2025 (B)		3,600		3,645
ARD Finance PIK
7.125%, 09/15/2023 (B)		1,377		1,418


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Ardagh Packaging Finance (B)
7.250%, 05/15/2024	$	1,664	$	1,780
6.750%, 01/31/2021		225		233
6.000%, 06/30/2021		1,195		1,231
6.000%, 02/15/2025		2,155		2,179
4.250%, 09/15/2022		765		773
Ashland
6.875%, 05/15/2043		330		353
4.750%, 08/15/2022		680		704
Axalta Coating Systems
4.875%, 08/15/2024 (B)		290		297
Ball
5.250%, 07/01/2025		3,427		3,628
Blue Cube Spinco
9.750%, 10/15/2023		2,565		3,072
BlueScope Steel Finance
6.500%, 05/15/2021 (B)		636		668
Boart Longyear Management Properties
10.000%, 10/01/2018 (B)		2,000		1,500
7.000%, 04/01/2021 (B)		4,090		409
Boise Cascade
5.625%, 09/01/2024 (B)		511		519
CF Industries
5.150%, 03/15/2034		310		290
3.450%, 06/01/2023		1,297		1,226
Chemours
6.625%, 05/15/2023		1,000		1,060
Cliffs Natural Resources
8.250%, 03/31/2020 (B)		1,866		2,013
Compass Minerals International
4.875%, 07/15/2024 (B)		1,314		1,286
Constellium
7.875%, 04/01/2021 (B)		340		363
6.625%, 03/01/2025 (B)		360		346
5.750%, 05/15/2024 (B)		1,081		1,000
Cornerstone Chemical
9.375%, 03/15/2018 (B)		3,630		3,648
CVR Partners
9.250%, 06/15/2023 (B)		1,317		1,352
Evolution Escrow Issuer
7.500%, 03/15/2022 (B)		1,644		1,702
First Quantum Minerals
7.500%, 04/01/2025 (B)		3,633		3,660
7.250%, 04/01/2023 (B)		1,738		1,758
Flex Acquisition
6.875%, 01/15/2025 (B)		824		842
FMG Resources (August 2006) Property Limited
9.750%, 03/01/2022 (B)		410		470
Freeport-McMoRan
6.500%, 11/15/2020		392		401
5.450%, 03/15/2043		3,485		2,949
5.400%, 11/14/2034		950		827


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
4.550%, 11/14/2024	$	140	$	130
3.875%, 03/15/2023		2,903		2,670
GCP Applied Technologies
9.500%, 02/01/2023 (B)		415		471
Hecla Mining
6.875%, 05/01/2021		2,013		2,058
Hexion
10.375%, 02/01/2022 (B)		845		843
10.000%, 04/15/2020		1,604		1,600
Hexion US Finance
6.625%, 04/15/2020		2,305		2,121
Hudbay Minerals
7.625%, 01/15/2025 (B)		191		207
7.250%, 01/15/2023 (B)		326		346
Huntsman International
5.125%, 11/15/2022		1,055		1,102
INEOS Group Holdings
5.625%, 08/01/2024 (B)		1,080		1,083
Kaiser Aluminum
5.875%, 05/15/2024		1,055		1,100
Kraton Polymers LLC
10.500%, 04/15/2023 (B)		600		689
7.000%, 04/15/2025 (B)		1,044		1,058
LSB Industries
7.750%, 08/01/2019 (E)		953		924
Mirabela Nickel
1.000%, 07/31/2044		31		—
New Gold
7.000%, 04/15/2020 (B)		1,055		1,055
6.250%, 11/15/2022 (B)		2,577		2,583
Noranda Aluminum Acquisition
11.000%, 06/01/2019 (A)		355		—
Owens-Brockway Glass Container
6.375%, 08/15/2025 (B)		600		641
5.875%, 08/15/2023 (B)		670		709
PaperWorks Industries
9.500%, 08/15/2019 (B)		2,618		2,094
Platform Specialty Products
6.500%, 02/01/2022 (B)		3,697		3,836
Rain CII Carbon
7.250%, 04/01/2025 (B)		4,550		4,504
Reichhold Holdings
12.000%, 03/31/2018 (H)		846		846
Reichhold Industries
15.000%, 03/31/2018 (H)		482		482
12.000%, 03/31/2018 (H)		290		290
9.000%, 05/08/2017 (A) (B)		859		—
Reynolds Group
7.000%, 07/15/2024 (B)		860		921
5.750%, 10/15/2020		1,095		1,126
Scotts Miracle-Gro
6.000%, 10/15/2023		635		675
5.250%, 12/15/2026 (B)		185		187


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Teck Resources
8.500%, 06/01/2024 (B)	$	174	$	201
TPC Group
8.750%, 12/15/2020 (B)		3,029		2,757
Trinseo Materials Operating
6.750%, 05/01/2022 (B)		400		421
Tronox Finance
6.375%, 08/15/2020		825		828
Unifrax I
7.500%, 02/15/2019 (B)		600		595
US Concrete
6.375%, 06/01/2024		297		307
WR Grace & Co.
5.625%, 10/01/2024 (B)		80		84

				94,821


Real Estate — 1.2%
CoreCivic
5.000%, 10/15/2022		245		253
4.625%, 05/01/2023		1,465		1,463
Equinix
5.875%, 01/15/2026		1,470		1,563
5.750%, 01/01/2025		710		751
GEO Group
6.000%, 04/15/2026		1,805		1,828
5.875%, 01/15/2022		1,265		1,306
5.125%, 04/01/2023		35		35
GLP Capital
5.375%, 04/15/2026		590		609
Howard Hughes
5.375%, 03/15/2025 (B)		1,205		1,193
Kennedy-Wilson
5.875%, 04/01/2024		700		717
Lamar Media
5.750%, 02/01/2026		1,125		1,204
Realogy Group
4.875%, 06/01/2023 (B)		2,934		2,868
RHP Hotel Properties
5.000%, 04/15/2021		1,331		1,351
5.000%, 04/15/2023		460		467
SBA Communications
4.875%, 09/01/2024 (B)		485		479
Uniti Group
8.250%, 10/15/2023		1,140		1,203
7.125%, 12/15/2024 (B)		210		213
6.000%, 04/15/2023 (B)		2,215		2,298

				19,801


Telecommunication Services — 6.7%
CenturyLink
7.500%, 04/01/2024		505		534


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
6.750%, 12/01/2023	$	3,400	$	3,544
5.625%, 04/01/2025		2,715		2,583
Cogent Communications Finance
5.625%, 04/15/2021 (B)		1,880		1,918
Cogent Communications Group
5.375%, 03/01/2022 (B)		1,183		1,214
Columbus Cable Barbados
7.375%, 03/30/2021 (B)		595		635
Digicel
6.000%, 04/15/2021 (B)		3,390		3,081
Digicel Group
8.250%, 09/30/2020 (B)		4,085		3,511
7.125%, 04/01/2022 (B)		1,820		1,415
6.750%, 03/01/2023 (B)		2,490		2,222
Embarq
7.995%, 06/01/2036		1,320		1,313
Frontier Communications
11.000%, 09/15/2025		5,264		5,119
10.500%, 09/15/2022		2,947		2,984
8.875%, 09/15/2020		405		427
7.625%, 04/15/2024		636		547
7.125%, 01/15/2023		310		272
6.875%, 01/15/2025		4,080		3,376
GCI
6.750%, 06/01/2021		640		656
Inmarsat Finance
6.500%, 10/01/2024 (B)		1,190		1,233
4.875%, 05/15/2022 (B)		2,480		2,455
Intelsat Jackson Holdings
9.500%, 09/30/2022 (B)		218		257
8.000%, 02/15/2024 (B)		2,338		2,478
7.500%, 04/01/2021		2,627		2,361
7.250%, 04/01/2019		445		424
7.250%, 10/15/2020		2,940		2,679
5.500%, 08/01/2023		2,145		1,770
Intelsat Luxembourg
7.750%, 06/01/2021		1,715		1,029
Level 3 Financing
5.625%, 02/01/2023		265		274
5.375%, 01/15/2024		570		583
5.375%, 05/01/2025		4,385		4,462
5.125%, 05/01/2023		130		133
Qwest Capital Funding
7.750%, 02/15/2031		615		577
Sable International Finance
6.875%, 08/01/2022 (B)		650		687
SoftBank Group
6.000%, 07/30/2025		375		405
Sprint
7.875%, 09/15/2023		10,783		11,942
7.625%, 02/15/2025		5,202		5,683
7.250%, 09/15/2021		3,031		3,272
7.125%, 06/15/2024		860		918


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Sprint Capital
8.750%, 03/15/2032	$	3,235	$	3,890
6.900%, 05/01/2019		370		395
6.875%, 11/15/2028		3,159		3,337
Sprint Communications
7.000%, 03/01/2020 (B)		445		485
Telecom Italia
5.303%, 05/30/2024 (B)		610		617
Telesat Canada
8.875%, 11/15/2024 (B)		2,440		2,672
T-Mobile USA
6.731%, 04/28/2022		1,520		1,573
6.633%, 04/28/2021		500		517
6.500%, 01/15/2024		430		464
6.500%, 01/15/2026		1,976		2,164
6.375%, 03/01/2025		645		695
6.000%, 03/01/2023		885		945
6.000%, 04/15/2024		1,930		2,058
5.375%, 04/15/2027		271		280
5.125%, 04/15/2025		271		280
4.000%, 04/15/2022		1,627		1,653
United States Cellular
6.700%, 12/15/2033		820		825
Wind Acquisition Finance
7.375%, 04/23/2021 (B)		2,085		2,168
Windstream Services LLC
7.750%, 10/01/2021		1,050		1,034
7.500%, 06/01/2022		1,450		1,414
6.375%, 08/01/2023		225		200

				106,639


Utilities — 1.3%
AES
6.000%, 05/15/2026		140		145
5.500%, 03/15/2024		195		198
AmeriGas Partners
5.500%, 05/20/2025		340		337
Calpine
5.500%, 02/01/2024		600		597
5.375%, 01/15/2023		580		585
Dynegy
8.000%, 01/15/2025 (B)		285		273
7.625%, 11/01/2024		2,385		2,278
7.375%, 11/01/2022		495		490
Ferrellgas Partners
8.625%, 06/15/2020 (B)		335		321
6.750%, 01/15/2022		195		184
6.750%, 06/15/2023		400		376
6.500%, 05/01/2021		1,285		1,221
GenOn Americas Generation
9.125%, 05/01/2031		165		151


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
LBC Tank Terminals Holding Netherlands
6.875%, 05/15/2023 (B)	$	2,800	$	2,905
Mirant Americas Generation LLC
8.500%, 10/01/2021 (A)		3,899		3,626
NRG Energy
7.875%, 05/15/2021		31		32
6.625%, 01/15/2027 (B)		185		184
6.250%, 07/15/2022		615		629
6.250%, 05/01/2024		250		249
Pattern Energy Group
5.875%, 02/01/2024 (B)		326		330
Talen Energy Supply
6.500%, 06/01/2025		161		137
4.625%, 07/15/2019 (B)		1,565		1,600
TerraForm Power Operating (E)
6.625%, 06/15/2025 (B)		2,103		2,245
6.375%, 02/01/2023 (B)		1,178		1,224

				20,317

Total Corporate Obligations (Cost $1,185,693) ($ Thousands)				1,179,391


ASSET-BACKED SECURITIES — 10.0%

Other Asset-Backed Securities — 10.0%
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9
1.318%, 03/15/2019 (B) (G)		1,062		329
B&M CLO, Ser 2014-1A, Cl C
4.773%, 04/16/2026 (B) (G)		2,108		2,097
B&M CLO, Ser 2014-1A, Cl D
5.773%, 04/16/2026 (B) (G)		2,148		2,010
B&M CLO, Ser 2014-1A, Cl E
6.773%, 04/16/2026 (B) (G)		2,480		2,117
Battalion CLO
0.000%, (I)		2,145		2,145
Battalion CLO IV, Ser 2013-4A
0.000%, 10/22/2025 (B)		5,640		1,974
Battalion CLO V, Ser 2014-5A
0.000%, 04/17/2026 (B)		3,274		1,146
Battalion CLO VII, Ser 2014-7A
0.000%, 10/17/2026 (B)		4,007		2,004
Battalion CLO VIII, Ser 2015-8A
0.000%, 04/18/2027 (B) (H)		3,655		2,632
Battalion CLO, Ser 2012-3A
0.000%, 01/18/2025 (B)		2,303		1,129
Battalion CLO, Ser 2016-10A
0.000%, 01/24/2029 (H)		4,450		4,005
Benefit Street Partners CLO III, Ser 2013-IIIA
0.000%, 01/20/2026 (B) (H)		2,531		1,468
Benefit Street Partners CLO IV
0.000%, 07/20/2026 (B) (J)		3		2,447


Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Benefit Street Partners CLO IX
0.000%, 07/20/2025	$	2,092	$	1,862
Benefit Street Partners CLO V
0.000%, 10/20/2026 (B) (J)		6,387		4,271
Benefit Street Partners CLO VII, Ser 2015-VIII
0.000%, 07/18/2027		6,715		5,375
Benefit Street Partners CLO VIII
0.000%, 01/20/2028 (H)		6,720		5,779
Benefit Street Partners CLO X, Ser 2016-10A
0.000%, 01/15/2029 (H)		6,228		5,605
Benefit Street Partners CLO, Ser 2015-VIA
0.000%, 04/18/2027		7,502		5,927
Carlyle Global Market Strategies CLO, Ser 2014-3A
0.000%, 07/27/2026 (B)		2,947		2,210
Cathedral Lake CLO, Ser 2015-3A, Cl E
8.572%, 01/15/2026 (B) (G)		1,175		1,178
Cathedral Lake III Equity Tranche
0.000%, 01/15/2026 (B)		1,869		1,607
CIFC Funding, Ser 2012-2A
0.000%, 12/05/2024		1,653		959
CVP Cascade CLO, Ser 2014-2A, Cl D
5.824%, 07/18/2026 (B) (G)		759		674
CVP Cascade CLO, Ser 2014-2A, Cl E
6.824%, 07/18/2026 (B) (G)		2,469		2,075
Fifth Street Senior Loan Fund, Ser 2015-1A, Cl E
8.230%, 01/20/2027 (B) (G)		3,890		3,558
Fifth Street Senior Loan Fund, Ser 2015-2A
0.000%, 09/29/2027 (B)		5,483		4,077
Figueroa CLO, Ser 2013-1I
0.000%, 03/21/2024		18,856		7,246
Figueroa CLO, Ser 2013-2A
0.000%, 12/15/2025 (B)		2,930		1,609
Fortress Credit Opportunities III CLO, Ser 2014-3A, Cl E
7.259%, 04/28/2026 (B) (G)		3,482		3,327
Fortress Credit Opportunities VI CLO, Ser 2015-6A, Cl F
7.859%, 10/10/2026 (B) (G)		1,730		1,583
Great Lakes CLO, Ser 2012-1A
0.000%, 01/15/2023 (B)		2,457		1,622
Great Lakes CLO, Ser 2012-1A, Cl E
6.523%, 01/15/2023 (B) (G)		2,811		2,671
Great Lakes CLO, Ser 2014-1A
0.000%, 04/15/2025 (B) (G)		6,943		4,721
Great Lakes CLO, Ser 2014-1A, Cl F
7.023%, 04/15/2025 (B) (G)		2,480		1,798
Great Lakes CLO, Ser 2015-1A
0.000%, 07/15/2026 (B) (G)		4,202		2,992
Great Lakes CLO, Ser 2015-1A, Cl E
7.723%, 07/15/2026 (B) (G)		2,896		2,679


Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Great Lakes CLO, Ser 2015-1A, Cl F
8.523%, 07/15/2026 (B) (G)	$	1,319	$	989
Ivy Hill Middle Market Credit Fund VII, Ser 2013-7A
0.000%, 10/20/2025 (B)		3,198		2,478
JFIN Revolver CLO, Ser 2013-1A, Cl B
3.030%, 01/20/2021 (B) (G)		1,990		1,990
JFIN Revolver CLO, Ser 2014-2A, Cl C
3.802%, 02/20/2022 (B) (G)		1,951		1,951
KVK CLO, Ser 2012-2A
0.000%, 02/10/2025 (B)		2,471		951
Lockwood Grove CLO
8.788%, 04/25/2025		2,192		2,208
Lockwood Grove CLO, Ser 2014-1A
0.000%, 01/25/2024 (B)		3,797		2,943
Nelder Grove CLO, Ser 2017-1A, Cl ER
7.700%, 08/28/2026 (B) (G)		2,926		2,926
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 (B)		2,450		1,213
Neuberger Berman CLO XVI, Ser 2014-16A, Cl F
0.000%, 04/15/2026 (B)		163		51
Neuberger Berman CLO, Ser 2016-22A
0.000%, 10/17/2027 to 10/17/2027		3,752		3,004
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl E
7.138%, 07/25/2025 (B) (G)		1,974		1,811
NewStar Clarendon Fund CLO, Ser 2015-1A, Cl E
7.088%, 01/25/2027 (B) (G)		3,439		3,236
NXT Capital CLO, Ser 2012-1A, Cl E
8.530%, 07/20/2022 (B) (G)		2,417		2,417
OCP CLO, Ser 2012-2A
0.000%, 11/22/2023 (B)		2,615		1,373
Peaks CLO, Ser 2014-1A, Cl D
5.523%, 06/15/2026 (B) (G)		600		579
Shackleton CLO, Ser 2014-6A
0.000%, 07/17/2026 (B) (G)		7,935		2,936
TCP III CLO
0.000%, (I)		82		8,131
TCW CLO
0.000%, (I)		1,631		1,631
Venture CDO, Ser 2012-10A
0.000%, 07/20/2022 (B)		7,108		4,052
Venture CDO, Ser 2015-22A
0.000%, 01/15/2028		1,122		886
Venture CDO, Ser 2016-25A
0.000%, 04/20/2029		2,030		1,837
Venture CDO, Ser 2017-26A
0.000%, 01/20/2029		2,145		2,006


Description	Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Venture XI CLO, Ser 2012-11A
0.000%, 11/14/2022 (B)	$	6,354	$	3,241
Venture XIV CLO, Ser 2013-14A
0.000%, 08/25/2025 (B)		105		47
Venture XV CLO, Ser 2016-15A, Cl ER
8.133%, 07/15/2028 (B) (G)		375		372
Venture XXII CLO, Ser 2016-22A, Cl F
8.872%, 01/15/2028 (B) (G)		792		780
Venture XXIV CLO, Ser 2016-24A
0.000%, 10/20/2028 (B) (G)		28		2,767

Total Asset-Backed Securities (Cost $138,410) ($ Thousands)				159,857


LOAN PARTICIPATIONS — 9.7%
21st Century Oncology Holdings, Term Loan B, 1st Lien
7.125%, 04/30/2022		916		829
682534 N.B., Initial Term Loan, 1st Lien
12.000%, 10/01/2020		714		366
Academy Ltd., Term Loan B, 1st Lien
5.102%, 07/01/2022		601		442
5.000%, 07/01/2022		1,483		1,092
Accudyne Industries LLC, Refinancing Term Loan, 1st Lien
4.000%, 12/13/2019 (G)		845		792
Affinion Group, Term Loan B, 1st Lien
6.750%, 04/30/2018		5		5
Affinion Group, Term Loan, 2nd Lien
8.500%, 10/31/2018		520		509
Affinion Group, Tranche B Term Loan, 1st Lien
6.750%, 04/30/2018		1,891		1,882
Air Medical Group Holdings, Term Loan B, 1st Lien
4.250%, 04/28/2022		995		994
Air Methods, Bridge Loan
0.000%, 03/30/2018		1,025		1,025
Alinta Ltd., Cov-Lite, Delayed Term Loan, 1st Lien
6.375%, 08/13/2018		165		165
Alinta Ltd., Cov-Lite, Term Loan, 1st Lien
6.375%, 08/13/2019		2,470		2,473
American Tire Distributors, Initial Term Loan, 1st Lien
5.250%, 09/01/2021		983		984
ANVC Merger, Initial Term Loan, 1st Lien
5.500%, 02/18/2021		1,778		1,767
Applied Systems, Initial Term Loan, 2nd Lien
7.500%, 01/24/2022		1,187		1,194
Ascena Retail Group, Term Loan B, 1st Lien
5.500%, 08/21/2022		1,558		1,397


Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Aspect Software, Term Loan, 1st Lien
11.278%, 05/25/2020	$	993	$	992
Asurion LLC, Cov-Lite Replacement, Term Loan B4, 1st Lien
4.250%, 08/04/2022		1,461		1,467
Asurion LLC, Initial Term Loan, 2nd Lien
8.500%, 03/03/2021		3,120		3,155
Atlas America Finance, Term Loan B, 1st Lien
5.580%, 05/06/2021		215		202
Berry Plastics, Term Loan J, 1st Lien
3.281%, 01/19/2024		185		186
Blount International, Initial Term Loan, 1st Lien
7.250%, 04/12/2023		1,224		1,230
Blue Ribbon LLC, Initial Term Loan, 1st Lien
5.000%, 11/15/2021		675		637
BMC Foreign Holding, Initial Term Loan, 1st Lien
5.000%, 09/10/2020		1,000		1,000
BMC Software, Term Loan, 1st Lien
5.000%, 09/10/2020		885		885
Boart Longyear Management Properties, Term Loan, 2nd Lien
0.000%, 09/30/2017 (K)		100		100
BPA Laboratories, Initial Term Loan, 2nd Lien
0.000%, 07/03/2017 (K)		181		118
BWAY Holding, Bridge Loan
0.000%, 08/07/2018		2,395		2,395
BWAY Holding, Cov-Lite, Term Loan B, 1st Lien
0.000%, 04/03/2024 (K)		1,145		1,141
California Resources, Initial Term Loan, 1st Lien
11.375%, 12/31/2021		3,768		4,158
3.781%, 09/24/2019		744		721
Carestream Health, Cov-Lite, Term Loan, 1st Lien
5.000%, 06/07/2019		371		358
Carestream Health, Initial Term Loan, 2nd Lien
9.500%, 12/07/2019		5,197		4,609
Cengage Learning Holdings, 2016 Refinancing Term Loan B, 1st Lien
5.250%, 06/07/2023		1,587		1,510
CenturyLink, Bridge Loan
0.000%, 02/08/2018		600		600
CEVA Group PLC, Pre-Funded Synthetic LC Loan, 1st Lien
6.500%, 03/19/2021		203		177
CEVA Intercompany B.V., Cov-Lite, Term Loan, 1st Lien
6.539%, 03/19/2021		208		181
CEVA Logistics Canada ULC, Cov-Lite, Term Loan, 1st Lien
6.539%, 03/19/2021		36		31


Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
CEVA Logistics U.S. Holdings, Cov-Lite, Term Loan, 1st Lien
6.539%, 03/19/2021	$	287	$	250
Checkout Holding, Term Loan B, 1st Lien
4.500%, 04/09/2021		1,671		1,504
Chesapeake Energy, Term Loan, 1st Lien
8.553%, 08/23/2021		4,098		4,359
Chief Exploration & Development LLC, Term Loan, 2nd Lien
7.932%, 05/16/2021		740		720
Claire’s Stores, Term Loan, 1st Lien
9.000%, 09/20/2021		942		647
Clear Channel Communications, Extended Term Loan D, 1st Lien
7.531%, 01/30/2019		760		651
Conduent, Term Loan B, 1st Lien
6.334%, 12/07/2023		1,342		1,355
Contura Energy, Cov-Lite, Term Loan, 1st Lien
6.000%, 03/13/2024		1,612		1,592
Cowlitz Tribal Gaming Authority, Initial Term Loan, 1st Lien
11.500%, 12/04/2020 (G)		3,000		3,210
CTI Foods, Initial Term Loan, 2nd Lien
8.250%, 06/28/2021		1,190		1,071
Cumulus Media Holdings, Initial Term Loan, 1st Lien
4.250%, 12/23/2020		4,393		3,290
Dex Media, Term Loan, 1st Lien
11.000%, 07/29/2021		216		220
Diebold, Dollar Term Loan B, 1st Lien
5.375%, 11/06/2023		670		679
DJO Finance LLC, Initial Term Loan, 1st Lien
4.250%, 06/08/2020		627		606
Drillships Ocean Ventures, Term Loan B, 1st Lien
5.563%, 07/25/2021		4		4
East Valley Tourist Development Authority, Term Loan B, 1st Lien
9.182%, 09/30/2020		2,487		2,437
Empire Generating Co. LLC, Term Loan B, 1st Lien
5.290%, 03/12/2021		1,513		1,504
Empire Generating Co. LLC, Term Loan C, 1st Lien
5.290%, 03/12/2021		120		120
Engility Corporation, Term Loan B2, 1st Lien
4.750%, 08/14/2023		876		880
Evergreen Skills Lux SARL, Initial Term Loan, 1st Lien
5.750%, 04/28/2021		2,668		2,450
Evergreen Skills Lux SARL, Initial Term Loan, 2nd Lien
9.250%, 04/28/2022		220		152


Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Fairmount Minerals Ltd., Term Loan B2, 1st Lien
4.500%, 09/05/2019	$	1,995	$	1,951
Flex Acquisition, Term Loan, 1st Lien
4.250%, 12/29/2023		1,073		1,079
FMG Resources (August 2006) Property Limited, Cov-Lite, Term Loan, 1st Lien
3.750%, 06/30/2019 (G)		820		824
Foresight Energy LLC, Term Loan B, 1st Lien
0.000%, 03/17/2022 (K)		1,358		1,321
Gardner Denver, Initial Term Loan, 1st Lien
4.568%, 07/30/2020 (G)		972		969
4.250%, 07/30/2020		33		33
General Nutrition Centers, Term Loan, 1st Lien
3.290%, 03/04/2019		542		464
Grifols Worldwide Operations, Term Loan B, 1st Lien
3.194%, 01/31/2025		275		275
Gulf Finance, Term Loan B, 1st Lien
6.250%, 08/25/2023		621		619
Gymboree, Initial Term Loan, 1st Lien
5.000%, 02/23/2018		2,239		911
Hercules Achievement, Initial Term Loan, 1st Lien
6.750%, 12/10/2021		520		527
5.000%, 12/10/2021		2		2
Hillman Companies, Term Loan B, 1st Lien
4.500%, 06/30/2021		297		299
Indivior Finance SARL, Initial Term Loan, 1st Lien
7.040%, 12/19/2019		1,460		1,467
7.000%, 12/19/2019		42		42
Intelsat Jackson Holdings, Term Loan B2, 1st Lien
3.750%, 06/30/2019 (G)		803		786
J.Crew Group, Initial Term Loan, 1st Lien
4.000%, 03/05/2021		2,000		1,212
KCA Deutag US Finance LLC, Term Loan B, 1st Lien
6.250%, 05/15/2020		1,009		960
Kraton Polymers LLC, Term Loan B, 1st Lien
5.000%, 01/06/2022		166		168
Laureate Education, Extended Term Loan, 1st Lien
5.000%, 06/15/2018		293		295
Lightstone Generation LLC, Term Loan B, 1st Lien
6.539%, 01/30/2024		1,908		1,918
Lightstone Generation LLC, Term Loan C, 1st Lien
6.539%, 01/30/2024		182		183


Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Loanstar Intermediate Super Holdings LLC, Term Loan, Other
10.000%, 08/31/2021	$	760	$	789
Magic Newco LLC, Initial Term Loan, 1st Lien
5.000%, 12/12/2018		1,158		1,161
Magic Newco LLC, Term Loan, 2nd Lien
12.000%, 06/12/2019		1,250		1,309
Mashantucket Pequot, Term Loan A, 1st Lien
5.000%, 07/01/2018		1,520		1,376
Mashantucket Pequot, Term Loan B, 1st Lien
9.375%, 06/30/2020		7,152		6,419
Mast Global, Initial Term Loan, 1st Lien
7.750%, 09/12/2019 (H)		551		548
Medical Card Systems, Initial Term Loan, 1st Lien
1.500%, 05/31/2019 (H)		1,421		1,171
MEG Energy, Cov-Lite, Term Loan B, 1st Lien
4.540%, 12/31/2023		300		300
Metroflag, 2nd Lien
14.000%, (A) (L)		300		—
MKS Instruments, Cov-Lite, Term Loan B2, 1st Lien
3.531%, 05/01/2023		30		31
MMM Holdings, Term Loan, 1st Lien
10.250%, 06/30/2019		317		312
Moneygram International, Initial Term Loan, 1st Lien
4.250%, 03/26/2020		1,214		1,212
Moxie Liberty LLC, Term Loan B1, 1st Lien
7.500%, 08/21/2020		1,953		1,916
MSO of Puerto Rico, Term Loan, 1st Lien
10.250%, 06/30/2019		230		227
Murray Energy, Term Loan B2, 1st Lien
8.250%, 04/16/2020		3,924		3,802
NaNa Development, Initial Term Loan, 1st Lien
8.000%, 03/15/2018		157		153
Neiman Marcus Group, Initial Term Loan, 1st Lien
4.250%, 10/25/2020		3		2
4.250%, 10/25/2020		1,286		1,032
New LightSquared LLC, Initial Term Loan, 1st Lien
9.852%, 06/15/2020		2,099		2,050
New LightSquared LLC, Initial Term Loan, 2nd Lien
13.600%, 12/07/2020		2,381		1,865
New MMI Inc., Initial Term Loan, 1st Lien
9.000%, 01/31/2020		2,988		2,846
Nine West Holdings, Cov-Lite, Term Loan, No Lien
6.255%, 01/08/2020		5,775		1,470
Onex York Acquisition, Term Loan B, 1st Lien
4.750%, 10/01/2021		96		93


Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Optiv, Initial Term Loan, 1st Lien
4.250%, 02/01/2024	$	702	$	705
Optiv, Initial Term Loan, 2nd Lien
8.250%, 01/31/2025		291		295
Ortho-Clinical Diagnostics, Term Loan, 1st Lien
4.750%, 06/30/2021		775		770
Oxbow Carbon LLC, Initial Term Loan, 2nd Lien
8.000%, 01/17/2020		2,394		2,393
P2 Upstream Acquisition, Initial Term Loan, 1st Lien
5.250%, 10/30/2020		730		718
Pardus Oil & Gas LLC, Cov-Lite PIK, Term Loan A, 1st Lien
13.000%, 11/12/2021		138		132
Pardus Oil & Gas LLC, Cov-Lite PIK, Term Loan, 2nd Lien
5.000%, 05/13/2022 (H)		72		38
Peabody Energy, RC, 1st Lien
0.000%, 09/24/2018 (K)		3,750		3,803
Peak 10, Initial Term Loan, 2nd Lien
8.280%, 06/17/2022		2,300		2,248
PETCO Animal Supplies, Cov-Lite, Term Loan B1, 1st Lien
4.287%, 01/26/2023		2,039		1,918
PetSmart, Term Loan B, 1st Lien
4.020%, 03/11/2022		673		642
PQ, Term Loan B1, 1st Lien
5.289%, 11/04/2022		421		426
Prestige Brands, Term Loan B4, 1st Lien
3.531%, 01/26/2024		185		187
Quorum Health, Term Loan B, 1st Lien
6.789%, 04/29/2022		978		954
Revlon Consumer Products, Term Loan B, 1st Lien
4.281%, 09/07/2023		677		677
Royal Holdings, Initial Term Loan, 2nd Lien
8.500%, 06/19/2023		176		176
Rue 21, Term Loan B, 1st Lien
5.625%, 10/09/2020		1,494		284
Seadrill Partners Finco LLC, Initial Term Loan, 1st Lien
4.000%, 02/21/2021		719		486
Sprint Communications, Initial Term Loan, 1st Lien
3.313%, 02/02/2024		1,060		1,059
Steinway Musical Instruments, Initial Term Loan, 1st Lien
4.789%, 09/19/2019		941		878
Synchronoss Technologies, Cov-Lite, Term Loan B, 1st Lien
4.082%, 01/19/2024		735		730


Description	Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Syncreon Global Finance, Initial Term Loan, 1st Lien
5.250%, 10/28/2020	$	886	$	799
Syniverse Holdings, Incremental Term Loan B, 1st Lien
4.000%, 04/23/2019		1,096		1,004
Syniverse Holdings, Initial Term Loan, 1st Lien
4.039%, 04/23/2019		2,728		2,506
Team Health Holdings, Bridge Loan
0.000%, 10/31/2017		3,217		3,217
Texas Competitive Electric Holdings LLC, Equity Loan, Other
5.000%, 10/10/2017 (A)		8,619		2,499
0.000%, (H) (L)		218		235
U.S. Renal Care, Cov-Lite, Term Loan, 1st Lien
5.250%, 12/30/2022		2,171		2,033
Valeant Pharmaceuticals International, Term Loan B, 1st Lien
5.570%, 04/01/2022		743		744
Veritas US, Term Loan B1, 1st Lien
6.625%, 01/27/2023		1,902		1,884
Walter Investment Management, Initial Term Loan, 1st Lien
4.750%, 12/18/2020		942		810
Weight Watchers International, Cov-Lite, Term Loan B2, 1st Lien
4.250%, 04/02/2020		337		313
4.070%, 04/02/2020		115		107
Western Digital, Term Loan B2, 1st Lien
3.641%, 04/29/2023		1,684		1,692
Wilton Brands Inc., Initial Term Loan, 1st Lien
8.500%, 08/30/2018		2,449		2,374

Total Loan Participations (Cost $158,665) ($ Thousands)				155,595


	Shares

COMMON STOCK — 0.8%
Aspect Software, Cl CR1* (H)		27,500		385
Aspect Software, Cl CR2* (H)		1,526		21
Cengage Learning Holdings II		2,408		25
CEVA Holdings*		561		115
CUI Acquisition* (H)		3		250
Dana		64,464		1,245
Dex Media* (H)		82,018		221
Energy & Exploration Partners* (H)		185		3
Global Aviation Holdings, Cl A*		97,655		—
Halcon Resources*		68,040		524
Medical Card Systems*		264,653		—
Midstates Petroleum*		29,067		536
Mirabela Nickel* (H)		5,869,596		—
Mmodal* (H)		42,430		838
Nelson Education* (H)		115,452		5


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
NII Holdings*		51,236	$	67
Quad Graphics		35		1
Reichhold Industries* (H)		1,427		1,029
SandRidge Energy*		6,259,724		402
Seventy Seven Energy*		61,686		2,636
TE Holdcorp* (H)		50,160		370
Titan Energy*		22,243		405
Vistra Energy		218,213		3,557

Total Common Stock (Cost $15,254) ($ Thousands)				12,635


	Face Amount (Thousands)

MUNICIPAL BONDS — 0.6%

Connecticut — 0.2%
Mohegan Tribal, Finance Authority, RB Callable 02/01/2023 @ 100
7.000%, 02/01/2045 (B)	$	3,625		3,779


Puerto Rico — 0.2%
Commonwealth of Puerto Rico, Ser A, GO
8.000%, 07/01/2035 (A)		2,450		1,522
5.250%, 07/01/2037 (A)		130		77
5.125%, 07/01/2037 (A)		775		458
5.000%, 07/01/2041 (A)		705		399

				2,456


Texas — 0.2%
Texas State, Public Finance Authority, RB Callable 07/01/2019 @ 100
8.250%, 07/01/2024		3,220		3,420

Total Municipal Bonds (Cost $10,032) ($ Thousands)				9,655


CONVERTIBLE BONDS — 0.6%
Cheniere Energy CV to 7.2265
4.250%, 03/15/2045		615		418
Chesapeake Energy CV to 116.7134
5.500%, 09/15/2026 (B)		887		919
Ensco Jersey Finance CV to 71.3343
3.000%, 01/31/2024 (B)		659		643
Liberty Media CV to 16.7764
3.750%, 02/15/2030		4,074		2,511
Liberty Media CV to 22.94686
4.000%, 11/15/2029		1,658		1,013
MGIC Investment CV to 74.0741
9.000%, 04/01/2063 (A) (B)		2,065		2,664
Mirabela Nickel CV to 5.9242
9.500%, 06/24/2019 (A) (B)		1,541		108


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CONVERTIBLE BONDS (continued)
Mirant CV to 14.7167
0.000%, 06/15/2021 (A)	$	2,200	$	—
SandRidge Energy CV to 0.0533
2.312%, 10/04/2020 (J)		533		574
Weatherford International CV to 129.1656
5.875%, 07/01/2021		267		343

Total Convertible Bonds (Cost $10,611) ($ Thousands)				9,193


	Shares

PREFERRED STOCK — 0.3%
Aspen Insurance Holdings, 5.950% (G)		86,000		2,319
CEVA Holdings, 0.000%*		1,214		249
SLM, 1.934% (G)		20,597		1,401
TE Holdcorp, 0.000%* (H)		73,170		896

Total Preferred Stock (Cost $5,320) ($ Thousands)				4,865


	Number of Rights

RIGHTS* — 0.0%
CZR - Senior Secured‡‡		447,084		255

Total Rights (Cost $—) ($ Thousands)				255


Description	Number of Warrants		Market Value ($ Thousands)


WARRANTS* — 0.0%
Jack Cooper Holdings, Expires 04/26/2027 Strike Price $0		1,593	$	—
Midstates Petroleum, Expires 04/21/2020 Strike Price $46 (H)		9,541		43
Mmodal, Expires 07/31/2017 Strike Price $48 (H)		19,978		1
Mmodal, Expires 07/31/2017 Strike Price $40 (H)		15,150		4
SandRidge Energy, Expires 10/04/2022 Strike Price $41		7,383		7
SandRidge Energy, Expires 10/04/2022 Strike Price $42		3,108		3
Seventy Seven Energy, Expires 08/21/2021 Strike Price $24 (H)		2,631		65

Total Warrants (Cost $69) ($ Thousands)				123


	Shares

AFFILIATED PARTNERSHIP — 0.0%
SEI Liquidity Fund, L.P.
0.870%**† (M)		6,096		6

Total Affiliated Partnership (Cost $6) ($ Thousands)				6


CASH EQUIVALENT — 3.4%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		53,818,314		53,818

Total Cash Equivalent (Cost $53,818) ($ Thousands)				53,818

Total Investments — 99.4% (Cost $1,577,878) ($ Thousands)			$	1,585,393

A list of the open centrally cleared swap agreements held by the Fund at March 31, 2017 is as follows:

Percentages are based on Net Assets of $1,594,349 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

‡‡

Expiration date not available.

†

Investment in Affiliated Security (see Note 6).

(A)

Security is in default on interest payment.

(B)

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 March 31, 2017, the value of these securities amounted to $728,386 ($ Thousands), representing 45.7% of the Net Assets of the Fund.

(C)

Securities considered illiquid. The total value of such securities as of March 31, 2017 was $0 ($ Thousands) and represented 0.0% of the Net Assets of the Fund.

(D)

Securities considered restricted. The total market value of such securities as of March 31, 2017 was $0 ($ Thousands) and represented 0.0% of the Net Assets of the Fund.

(E)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2017. The coupon on a step bond changes on a specified date.

(F)

This security or a partial position of this security is on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $1 ($ Thousands).

(G)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2017.

(H)

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 March 31, 2017 was $27,358 ($ Thousands) and represented 1.7% of the Net Assets of the Fund.

(I)

Warehouse Note — Interest rate and maturity date are not available.

(J)

The rate reported is the effective yield at the time of purchase.

(K)

Unsettled bank loan. Interest rate not available.

(L)

Maturity date not available.

(M)

This security was purchased with cash collateral held from securities on loan (see Note 10). The total market value of such securities as of March 31, 2017 was $6 ($ Thousands).

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CV — Convertible Security

GO — General Obligation

L.P. — Limited Partnership

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 March 31, 2017, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Corporate Obligations	$	—	$	1,173,786	$	5,605	$	1,179,391
Asset-Backed Securities		—		328		159,529		159,857
Loan Participations		—		145,424		10,171		155,595
Common Stock		9,373		621		2,641		12,635
Municipal Bonds		—		5,876		3,779		9,655
Convertible Bonds		—		9,085		108		9,193
Preferred Stock		2,319		2,297		249		4,865
Rights		255		—		—		255
Warrants		—		118		5		123
Affiliated Partnership		—		6		—		6
Cash Equivalent		53,818		—		—		53,818

Total Investments in Securities	$	65,765	$	1,337,541	$	182,087	$	1,585,393


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Centrally Cleared Swap
Credit Default Swap*
Unrealized Appreciation	$	—	$	9	$	—	$	9

Total Other Financial Instruments	$	—	$	9	$	—	$	9

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):

LOGO


Description	Face Amount (Thousands)		Market Value ($ Thousands)


COMMERCIAL PAPER (A) (B) — 45.1%
Bank of Tokyo-Mitsubishi UFJ
1.250%, 05/15/2017	$	2,000	$	2,001
Bedford Row Funding
1.478%, 04/19/2017		4,000		4,001
Bell Canada
1.021%, 04/07/2017 (C)		2,000		1,999
BNZ International Funding
1.261%, 02/01/2018 (C)		3,000		3,001
Charta
1.113%, 06/09/2017 (C)		4,000		3,991
Collateralized CP LLC(B)
1.588%, 04/19/2017		3,000		3,001
1.496%, 08/21/2017		2,500		2,503
1.409%, 04/06/2017		1,200		1,200
1.359%, 07/26/2017		3,000		2,988
Commonwealth Bank of Australia
1.483%, 05/17/2017 (C)		3,500		3,502
1.424%, 05/04/2017 (C)		1,400		1,401
1.320%, 02/15/2018 (C)		1,500		1,501
CRC Funding
1.088%, 06/14/2017 (C)		3,000		2,993
CVS Health
1.231%, 04/18/2017 (C)		2,000		1,999
DNB Bank
1.204%, 05/02/2017 (C)		3,000		3,001
Duke Energy
1.120%, 04/05/2017 (C)		1,800		1,800
Enterprise Products Operating
1.200%, 04/05/2017 (C)		1,800		1,800
Federation des Caisses Desjardins du Quebec
0.910%, 04/05/2017 (C)		2,300		2,300
Hyundai Capital America
1.111%, 04/04/2017 (C)		2,000		2,000
Kroger
1.150%, 04/03/2017 (C)		2,000		2,000
Liberty Street Funding
1.130%, 06/23/2017 (C)		1,000		997
Macquarie Bank(B)
1.347%, 10/04/2017 (C)		4,000		3,972
1.068%, 08/25/2017		3,500		3,501
1.037%, 05/04/2017 (C)		1,000		999
NBCUniversal Enterprise
1.121%, 04/27/2017 (C)		1,900		1,898


Description	Face Amount (Thousands)		Market Value ($ Thousands)

COMMERCIAL PAPER (A) (B) (continued)
Old Line Funding
1.201%, 06/01/2017 (C)	$	2,500	$	2,501
Ontario Teachers’ Finance Trust
1.197%, 05/10/2017 (C)		2,500		2,497
Oversea-Chinese Banking
1.322%, 03/28/2018 (C)		1,000		999
Ryder System
1.161%, 04/19/2017		2,000		1,999
Suncorp-Metway
1.339%, 07/17/2017 (C)		3,000		2,988
1.329%, 05/30/2017 (C)		2,000		1,996
Thunder Bay Funding
1.053%, 05/10/2017		3,000		2,997
United Overseas Bank
1.211%, 04/04/2017 (C)		1,500		1,500
Victory Receivables
0.820%, 04/03/2017 (C)		6,700		6,699
Westpac Banking
1.193%, 09/05/2017 (C)		2,500		2,487
Working Capital Management
1.012%, 04/03/2017 (C)		4,000		4,000

Total Commercial Paper (Cost $91,001) ($ Thousands)				91,012


CORPORATE OBLIGATIONS — 10.9%

Consumer Discretionary — 3.0%
Jets Stadium Development
1.050%, 05/03/2017 (D)		4,000		4,000
Toyota Motor Credit MTN
1.350%, 12/05/2017 (D)		2,000		2,002

				6,002


Financials — 7.9%
Bank of Montreal
1.535%, 09/01/2017 (D)		1,500		1,503
Caisse Centrale Desjardins MTN
1.550%, 09/12/2017 (C)		2,000		2,000
Canadian Imperial Bank of Commerce
1.591%, 10/23/2017 (D)		2,500		2,507
DNB Bank
3.200%, 04/03/2017 (C)		2,600		2,600
Nordea Bank
1.437%, 04/27/2017 (D)		2,500		2,500
TD Bank (D)
1.497%, 11/22/2017		1,700		1,703
1.355%, 04/06/2017		2,000		2,000


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Westpac Banking
1.382%, 05/19/2017 (D)	$	1,210	$	1,211

				16,024

Total Corporate Obligations (Cost $22,019) ($ Thousands)				22,026


MUNICIPAL BONDS — 1.7%

California — 0.2%
California State, GO Callable 04/03/2017 @ 100
0.830%, 05/01/2040 (A)(D)		500		500


Connecticut — 0.5%
Connecticut State, Development Authority, AMT, RB Callable 04/03/2017 @ 100
0.940%, 08/01/2023 (A)(D)		1,000		1,000


Texas — 0.5%
North Texas, Tollway Authority, RB Callable 04/01/2018 @ 100
0.900%, 01/01/2049 (A)(D)		1,000		1,000


Wyoming — 0.5%
Sweetwater County, RB Callable 04/03/2017 @ 100
0.940%, 11/01/2024 (A)(D)		1,000		1,000

Total Municipal Bonds (Cost $3,500) ($ Thousands)				3,500


CERTIFICATES OF DEPOSIT — 41.3%
Bank of America
1.054%, 09/18/2017		3,000		3,000
Bank of Montreal
1.415%, 05/02/2017		500		500
1.100%, 04/17/2017		5,000		5,000
Bank of Nova Scotia
1.438%, 04/25/2017		1,750		1,750
1.435%, 11/01/2017 (C)		2,000		2,003
1.418%, 04/12/2017		300		300
Bank of Tokyo-Mitsubishi UFJ
1.260%, 04/27/2017		2,500		2,500
Bedford Row Funding
1.310%, 06/26/2017 (C)		2,500		2,502
Canadian Imperial Bank of Commerce
1.454%, 05/24/2017		800		800
1.435%, 05/02/2017		1,750		1,751
1.334%, 12/01/2017		1,500		1,500


Description	Face Amount (Thousands)		Market Value ($ Thousands)

CERTIFICATES OF DEPOSIT (continued)
Commonwealth Bank of Australia
1.358%, 02/09/2018 (C)	$	1,000	$	1,001
DNB Bank
0.860%, 04/06/2017		3,000		3,000
Kookmin Bank
1.458%, 08/10/2017		1,500		1,501
0.930%, 04/05/2017		6,000		6,000
Mitsubishi UFJ Trust & Banking
1.541%, 04/03/2017		700		700
1.250%, 06/22/2017		2,200		2,201
National Australia Bank
1.404%, 12/06/2017 (C)		4,000		4,006
1.240%, 04/27/2017		1,000		1,000
Norinchukin Bank
1.581%, 04/11/2017		1,500		1,500
1.500%, 10/27/2017		1,200		1,201
1.250%, 04/24/2017		2,000		2,000
1.230%, 07/24/2017		2,000		2,002
Oversea-Chinese Banking
0.920%, 04/04/2017		8,000		8,000
Royal Bank of Canada NY
1.184%, 03/07/2018		2,000		1,999
Sumitomo Mitsui Banking
1.628%, 04/20/2017		4,000		4,000
1.530%, 04/04/2017		1,500		1,500
1.490%, 04/12/2017		1,000		1,000
Sumitomo Mitsui Trust Bank Limited
1.618%, 04/20/2017		2,500		2,500
1.404%, 06/01/2017		2,000		2,000
Swedbank
0.880%, 04/03/2017		6,750		6,750
TD Bank
1.221%, 03/13/2018		2,500		2,500
1.100%, 04/18/2017		1,500		1,500
Westpac Banking
1.374%, 01/09/2018		1,000		1,002
1.330%, 06/15/2017		800		800
1.232%, 10/20/2017 (C)		2,000		2,003

Total Certificates of Deposit (Cost $83,259) ($ Thousands)				83,272


Description	Shares		Market Value ($ Thousands)


CASH EQUIVALENT — 0.0%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		35,471	$	35

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


	Face Amount (Thousands)

REPURCHASE AGREEMENT (E) — 1.0%
TD Securities 0.810%, dated 03/31/2017, to be repurchased on 04/03/2017, repurchase price $2,000,135 (collateralized by a FNMA obligation, par value $1,968,785, 4.000%, 02/01/2047; total market value $2,060,001)	$	2,000		2,000

Total Repurchase Agreement (Cost $2,000) ($ Thousands)				2,000

Total Investments — 100.0% (Cost $201,814) ($ Thousands)			$	201,845

Percentages are based on Net Assets of $201,836 ($ Thousands).

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

(A)

Securities are held in connection with a letter of credit issued by a major bank.

(B)

The rate reported is the effective yield at the 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 March 31, 2017, the value of these securities amounted to $82,936 ($ Thousands), representing 41.1% of the Net Assets of the Fund.

(D)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2017.

(E)

Tri-Party Repurchase Agreement.

AMT — Alternative Minimum Tax

Cl — Class

FNMA — Federal 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 March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Commercial Paper	$	—	$	91,012	$	—	$	91,012
Corporate Obligations		—		22,026		—		22,026
Municipal Bonds		—		3,500		—		3,500
Certificates of Deposit		—		83,272		—		83,272
Cash Equivalent		35		—		—		35
Repurchase Agreement		—		2,000		—		2,000

Total Investments in Securities	$	35	$	201,810	$	—	$	201,845

LOGO


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS — 99.8%

Alabama — 6.6%
Tuscaloosa County, Industrial Development Authority, Ser F, RB
0.950%, 04/01/2028 (A)	$	5,000	$	5,000
University of Alabama at Birmingham, Ser B, RB
0.910%, 09/01/2042 (A)		5,000		5,000

				10,000


Alaska — 1.8%
Alaska State, Housing Finance Authority, Ser A, RB
0.840%, 12/01/2040 (A)		2,700		2,700


Arizona — 0.8%
Arizona State University, Ser A, RB Callable 04/03/2017 @ 100
0.840%, 07/01/2034 (A)		1,200		1,200


California — 3.3%
Compton, Unified School District, Ser A, GO, BAM
2.000%, 06/01/2017		1,100		1,102
Los Angeles County, Schools, Pooled Financing Program, Ser A-3, RB
2.000%, 06/30/2017		1,000		1,003
Palm Desert, Redevelopment Agency Successor Agency, Ser A, TA
2.000%, 10/01/2017		400		402
Tender Option Bond Trust Receipts, GO Callable 08/01/2017 @ 100
1.160%, 08/01/2037 (A)(B)		2,400		2,400

				4,907


Colorado — 3.2%
Colorado State, TAN, Ser A, RB
3.000%, 06/27/2017		4,000		4,019
2.000%, 06/27/2017		1,000		1,003

				5,022


Connecticut — 1.3%
Connecticut State, Housing Finance Authority, Sub-Ser C-3, RB Callable 04/03/2017 @ 100
0.900%, 11/15/2045 (A)		1,000		1,000


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
Connecticut State, Ser F, GO
4.000%, 11/15/2017	$	1,000	$	1,019

				2,019


Florida — 5.6%
Escambia County, Health Facilities Authority, Azalea Trace Project, Ser B, RB, AGC Callable 05/01/2017 @ 100
1.000%, 11/15/2029 (A)		700		700
JEA, Electric System Revenue, Sub-Ser A, RB
2.000%, 10/01/2017		500		503
Miami-Dade County, Industrial Development Authority, RB Callable 04/03/2017 @ 100
0.950%, 04/01/2032 (A) (C)		5,695		5,695
Monroe County, School District, RB
2.000%, 10/01/2017		100		101
Orange County, Health Facilities Authority, RB
2.000%, 08/01/2017		500		501
USF Financing, Master Lease Program, Ser A, COP
4.000%, 07/01/2017		1,000		1,007

				8,507


Georgia — 2.2%
Municipal Electric Authority of Georgia, Project One, Sub-Ser B, RB Callable 04/03/2017 @ 100
0.850%, 01/01/2048 (A) (C)		3,300		3,300


Idaho — 0.8%
Idaho State, TAN, GO
2.000%, 06/30/2017		1,250		1,253


Illinois — 4.7%
Elmhurst, Industrial Development Revenue Authority, Randall Manufacturing Production Project, RB Callable 04/03/2017 @ 100
1.360%, 02/01/2027 (A) (C)		1,715		1,715
Illinois State, Finance Authority, Ser B, RB
0.950%, 11/01/2038		4,100		4,100
Saint Clair County, McKendree College Project, RB
0.950%, 06/01/2034 (A)		1,265		1,265

				7,080


Indiana — 4.8%
Indiana State, Finance Authority, Goodwill Industries of Central Indiana Project, RB
0.990%, 12/01/2036 (A)		800		800


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
Indiana State, Finance Authority, RB
0.850%, 02/01/2039 (A)	$	6,400	$	6,400

				7,200


Iowa — 6.1%
Iowa State, Finance Authority Pollution Control Facility, MidAmerican Energy Project, Ser B, RB Callable 04/03/2017 @ 100
0.890%, 05/01/2023 (A)		2,500		2,500
Iowa State, Finance Authority, Cedarwood Hills Project, RB
0.910%, 05/01/2031 (A)		3,000		3,000
Iowa State, Finance Authority, Midwestern Disaster Area Economic Development, CJ Bio America Project, RB Callable 04/03/2017 @ 100
1.050%, 04/02/2022 (A) (C)		2,300		2,300
Iowa State, Finance Authority, Pollution Control Facilities, Mid-American Energy Project, RB Callable 05/01/2017 @ 100
0.890%, 09/01/2036 (A)		1,500		1,500

				9,300


Kentucky — 4.0%
Louisville & Jefferson County, Metropolitan Sewer District, RB
3.500%, 11/15/2017		6,000		6,095


Louisiana — 3.2%
Ascension Parish, Industrial Development Board, BASF Project, RB Callable 05/01/2017 @ 100
0.950%, 10/01/2039 (A)		2,000		2,000
Louisiana State, Office Facilities, Capitol Complex Program, Ser A, RB
5.000%, 05/01/2017		2,725		2,733
Louisiana State, Public Facilities Authority, RB Callable 04/03/2017 @ 100
0.910%, 05/01/2042 (A)		100		100

				4,833


Maryland — 2.7%
Maryland State, Community Development Authority, RB
0.910%, 02/01/2041 (A)		1,070		1,070
Maryland State, Economic Development, RB
0.950%, 04/01/2033 (A) (C)		1,000		1,000


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
Montgomery County, Housing Opportunites Commission, Multi-Family Housing Development Bonds, Ser C, RB, GNMA/ FNMA/FHLMC Callable 04/03/2017 @ 100
0.910%, 07/01/2036 (A) (C)	$	2,000	$	2,000

				4,070


Massachusetts — 7.3%
Massachusetts State, Department of Transportation, Ser A-1, RB
0.920%, 01/01/2029 (A)		4,400		4,400
Massachusetts State, Development Finance Agency, Partners Healthcare System, RB Callable 04/03/2017 @ 100
0.900%, 07/01/2046 (A)		150		150
Massachusetts State, Water Resources Authority, Sub-Ser A-3, RB Callable 04/03/2017 @ 100
0.890%, 08/01/2037 (A)		1,500		1,500
Quincy, BAN, GO
2.000%, 01/19/2018		2,000		2,016
Salisbury, BAN, GO
2.000%, 09/15/2017		1,000		1,004
Scituate, BAN, GO
2.000%, 02/02/2018		2,000		2,016

				11,086


Michigan — 2.0%
Michigan State, Finance Authority, Higher Education Facilities, University of Detroit Mercy Project, RB Callable 04/03/2017 @ 100
1.020%, 11/01/2040 (A) (C)		1,960		1,960
Michigan State, Strategic Fund, Kay Screen Printing Project, RB Callable 04/03/2017 @ 100
1.140%, 05/01/2020 (A) (C)		1,100		1,100

				3,060


Minnesota — 4.0%
Minnesota State, 911 Services Revenue, RB
5.000%, 06/01/2017		6,000		6,039


Mississippi — 0.2%
Mississippi State, Development Bank, RB
2.000%, 01/01/2018		250		252


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)

Missouri — 1.5%
Kansas City, Special Obligation, H Roe Bartle Project, Ser E, RB Callable 04/03/2017 @ 100
0.920%, 04/15/2034 (A) (C)	$	2,300	$	2,300


Nevada — 1.2%
Clark County, Airport System Revenue, Ser D-2, RB
0.900%, 07/01/2040 (A)		1,875		1,875


New Jersey — 5.6%
Burlington County, Bridge Commission, RB
2.000%, 11/16/2017		5,000		5,033
Hudson County, Improvement Authority, Ser B-1, RB
2.000%, 06/27/2017		500		501
New Jersey State, Health Care Facilities Financing Authority, AHS Hospital Project, RB
5.000%, 07/01/2017		500		505
Passaic County, Ser A, GO
2.000%, 12/11/2017		1,000		1,006
Passaic County, Improvement Authority, City of Paterson Project, GO
2.500%, 06/28/2017		500		502
Wayne Township, BAN
2.000%, 07/14/2017		1,000		1,002

				8,549


New York — 6.8%
Broome County, BAN
2.000%, 05/05/2017		1,500		1,501
Corning City, School District, BAN
2.000%, 06/22/2017		1,000		1,002
New York City, Housing Development Authority, Hewitt House Apartments Project, Ser A, RB Callable 04/03/2017 @ 100
0.940%, 11/01/2048 (A) (C)		2,000		2,000
New York City, Industrial Development Agency, Jewish Board of Family Services, RB Callable 04/03/2017 @ 100
0.920%, 07/01/2025 (A) (C)		1,200		1,200
New York State, Dormitory Authority, Rockefeller University Project, Ser B, RB Callable 04/03/2017 @ 100
0.950%, 07/01/2040 (A)		1,500		1,500
Oswego County, Industrial Development Agency, O.H. Properties Project, Ser A, RB Callable 04/03/2017 @ 100
1.160%, 06/01/2024 (A) (C)		885		885


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
Phelps-Clifton Springs, Central School District, BAN
1.500%, 06/30/2017	$	500	$	500
Triborough Bridge & Tunnel Authority, Ser A, RB Callable 05/04/2017 @ 100
0.920%, 11/01/2035 (A) (C)		200		200
Westchester County, Industrial Development Authority, RB
0.910%, 11/01/2024 (A)		1,500		1,500

				10,288


Ohio — 4.5%
American Municipal Power, Electric System Improvement Authority, Village of Holiday City Project, RB
1.250%, 05/02/2017		1,000		1,000
Deer Park, School District, BAN
2.000%, 07/13/2017		1,000		1,003
Elyria, BAN, GO
1.125%, 05/25/2017		600		600
Franklin County, HealthCare Facilities Refunding and Improvement Authority, Ohio Presbyterian Retirement Services Project, RB Callable 04/06/2017 @ 100
0.940%, 07/01/2035 (A) (C)		400		400
Hamilton County, HealthCare Facilities Authority, Children’s Home Project, RB Callable 04/03/2017 @ 100
0.920%, 03/01/2033 (A) (C)		1,000		1,000
Hamilton, Multi-Family Housing Authority, Affordable Housing Project, Ser B, RB Callable 04/03/2017 @ 100
1.050%, 01/01/2035 (A) (C)		1,694		1,694
Winton Woods City, School District, BAN
1.750%, 07/27/2017		1,100		1,102

				6,799


Pennsylvania — 3.1%
Bucks County, Water & Sewer Authority, RB
1.500%, 06/01/2017		470		470
Montgomery County, Industrial Development Authority, RB
1.000%, 11/15/2029		1,700		1,700
Philadelphia, Gas Works Authority, Ser D, RB Callable 05/01/2017 @ 100
0.910%, 08/01/2031 (A) (C)		600		600
Philadelphia, Ser A, GO
2.000%, 06/30/2017		1,600		1,604
Seneca Valley, School District, Ser B, GO
0.700%, 04/01/2017		350		350

				4,724


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)

Rhode Island — 1.3%
East Providence, GO
2.000%, 07/27/2017	$	2,000	$	2,006


Tennessee — 3.3%
Clarksville, Public Building Authority, RB Callable 05/01/2017 @ 100
0.960%, 06/01/2029 (A) (C)		5,000		5,000


Texas — 1.7%
Harris County, Cultural Education Facilities Finance, Sub-Ser C-1, RB Callable 04/03/2017 @ 100
0.960%, 12/01/2024 (A)		100		100
Texas State, GO Callable 05/01/2017 @ 100
0.880%, 12/01/2047 (A)		2,500		2,500

				2,600


Utah — 1.9%
Emery County, Pollution Control, RB Callable 04/03/2017 @ 100
0.850%, 11/01/2024 (A) (C)		2,800		2,800


Virginia — 2.0%
Albemarle County, Industrial Development Authority, Jefferson Scholars Foundation Project, RB Callable 04/03/2017 @ 100
0.940%, 10/01/2037 (A) (C)		2,000		2,000
Loudoun County, Economic Development Authority, RB
5.000%, 12/01/2017		1,000		1,027

				3,027


Washington — 0.9%
Auburn School District No. 408 of King & Pierce Counties, GO
3.000%, 12/01/2017		400		406
Tobacco Settlement Authority, RB
5.000%, 06/01/2017		1,000		1,006

				1,412


Wisconsin — 1.4%
Oshkosh, Industrial Development Authority, Oshkosh Coil Spring Project, Ser A, RB Callable 04/03/2017 @ 100
1.140%, 12/01/2020 (A) (C)		700		700


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
Wisconsin State, Housing & Economic Development Authority, Ser C, RB Callable 04/03/2017 @ 100
0.910%, 01/01/2031 (A)	$	1,400	$	1,400

				2,100

Total Municipal Bonds (Cost $151,427) ($ Thousands)				151,403

Total Investments — 99.8% (Cost $151,427) ($ Thousands)			$	151,403

Percentages are based on Net Assets of $151,763 ($ Thousands).

(A)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2017.

(B)

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 March 31, 2017, the value of these securities amounted to $2,400 ($ Thousands), representing 1.6% of the Net Assets of the Fund.

(C)

Securities are held in connection with a letter of credit issued by a major bank.

AGC — Assured Guaranty Corporation

BAM — Build America Mutual

BAN — Bond Anticipation Note

COP — Certificate of Participation

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GNMA — Government National Mortgage Association

GO — General Obligation

RB — Revenue Bond

Ser — Series

TA — Tax Allocation

TAN — Tax Anticipation Note

As of March 31, 2017, 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 period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


Description	Face Amount (Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 99.9%
U.S. Treasury Inflation Protected Securities
2.125%, 01/15/2019	$	9,568	$	10,065
1.875%, 07/15/2019		10,898		11,576
1.375%, 07/15/2018		10,301		10,654
1.375%, 01/15/2020		13,238		13,945
1.250%, 07/15/2020		20,419		21,607
1.125%, 01/15/2021		23,043		24,261
0.625%, 07/15/2021		24,899		25,826
0.125%, 04/15/2018		33,919		34,204
0.125%, 04/15/2019		34,196		34,698
0.125%, 04/15/2020		34,180		34,689
0.125%, 04/15/2021		29,880		30,188
0.125%, 01/15/2022		27,333		27,538

Total U.S. Treasury Obligations (Cost $277,289) ($ Thousands)				279,251

	Shares

CASH EQUIVALENT — 0.1%
SEI Daily Income Trust, Government Fund, Cl F 0.530%**†		364,092		364

Total Cash Equivalent (Cost $364) ($ Thousands)				364

Total Investments — 100.0% (Cost $277,653) ($ Thousands)			$	279,615

Percentages are based on Net Assets of $279,706 ($ Thousands).

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

Cl — Class

The following is a list of the level of inputs used as of March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
U.S. Treasury Obligations	$	—	$	279,251	$	—	$	279,251
Cash Equivalent		364		—		—		364

Total Investments in Securities	$	364	$	279,251	$	—	$	279,615

LOGO


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

COMMON STOCK — 96.6%

Consumer Discretionary — 12.1%
Amazon.com, Cl A*		1.7	%		12,536	$	11,114
Comcast, Cl A		0.9			149,880		5,634
Home Depot		0.9			38,782		5,694
McDonald’s		0.5			26,107		3,384
Starbucks		0.4			46,557		2,718
Walt Disney		0.8			46,181		5,236
Other Securities		6.9					46,568

							80,348


Consumer Staples — 9.0%
Altria Group		0.7			61,769		4,412
Coca-Cola		0.8			122,882		5,215
PepsiCo		0.8			45,440		5,083
Philip Morris International		0.8			49,137		5,548
Procter & Gamble		1.1			80,909		7,270
Wal-Mart Stores		0.5			47,976		3,458
Other Securities		4.3					28,959

							59,945


Energy — 6.4%
Chevron		1.0			60,226		6,467
ExxonMobil		1.6			131,800		10,809
Schlumberger, Cl A		0.5			44,437		3,471
Other Securities		3.3					21,504

							42,251


Financials — 13.8%
Bank of America		1.1			318,245		7,507
Berkshire Hathaway, Cl B*		1.5			60,330		10,056
Citigroup		0.8			87,745		5,249
Goldman Sachs Group		0.4			11,721		2,693
JPMorgan Chase		1.5			113,517		9,971
Wells Fargo		1.2			143,233		7,972
Other Securities		7.3					48,103

							91,551


Health Care — 13.2%
AbbVie		0.5			50,325		3,279
Amgen, Cl A		0.6			23,363		3,833
Bristol-Myers Squibb		0.4			53,338		2,901


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

COMMON STOCK (continued)
Celgene, Cl A*		0.5	%		24,494	$	3,048
Gilead Sciences		0.4			41,413		2,813
Johnson & Johnson		1.6			85,944		10,704
Medtronic		0.5			43,141		3,475
Merck		0.8			87,266		5,545
Pfizer		1.0			188,457		6,447
UnitedHealth Group		0.8			30,611		5,020
Other Securities		6.1					40,669

							87,734


Industrials — 9.8%
3M		0.5			18,926		3,621
Boeing		0.5			18,209		3,220
General Electric		1.2			276,193		8,231
Honeywell International		0.5			24,252		3,028
Union Pacific		0.4			25,919		2,745
Other Securities		6.7					44,405

							65,250


Information Technology — 21.4%
Alphabet, Cl A*		1.2			9,369		7,943
Alphabet, Cl C*		1.2			9,393		7,792
Apple		3.6			166,330		23,895
Broadcom, Cl A		0.4			12,775		2,797
Cisco Systems		0.8			158,872		5,370
Facebook, Cl A*		1.6			74,571		10,593
Intel		0.8			149,997		5,410
International Business
Machines		0.7			27,368		4,766
MasterCard, Cl A		0.5			29,882		3,361
Microsoft		2.4			245,096		16,142
Oracle, Cl B		0.6			94,933		4,235
Visa, Cl A		0.8			59,132		5,255
Other Securities		6.8					44,492

							142,051


Materials — 2.7%
Other Securities		2.7					18,263


Real Estate — 2.8%
Other Securities‡		2.8					18,832


Telecommunication Services — 2.3%
AT&T		1.2			195,303		8,115
Verizon Communications		0.9			129,698		6,323
Other Securities		0.2					909

							15,347


Utilities — 3.1%
Other Securities		3.1					20,458

Total Common Stock (Cost $554,071) ($ Thousands)							642,030

Total Investments — 96.6% (Cost $554,071)($ Thousands)						$	642,030


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

*PURCHASED OPTION — 0.0%**
April 2017 Put on SPX, Expires 04/22/2017, Strike Price $2,180		0.0	%		263		$	20

Total Purchased Option (Cost $535) ($ Thousands)								20


*WRITTEN OPTION — 0.0%**
April 2017 Put on SPX, Expires 04/22/2017, Strike Price $2,070		0.0			(263	)		(11	)

Total Written Option (Premiums Received $254) ($ Thousands)							$	(11	)

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
CAC40 10 Euro Index		235			Apr-2017	$	260
Dax Index		39			Jun-2017		247
IBEX 35 Index		115			Apr-2017		274
S&P 500 Index E-MINI		(437	)		Jun-2017		265
Topix Index		231			Jun-2017		(582	)

						$	464

A list of the open forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
04/10/17	USD		1,904	JPY		212,768	$	6
04/10/17	USD		2,836	JPY		315,773		(1	)
04/10/17	USD		12,979	CAD		17,275		(23	)
04/10/17	USD		16,498	SGD		23,016		(23	)
04/10/17	USD		70	TWD		2,158		2
04/10/17	USD		16,648	TWD		504,442		(23	)
04/10/17	USD		12,527	MXN		268,823		1,725
07/10/17	USD		13,656	MXN		259,999		(62	)
04/10/17-07/10/17	CAD		35,000	USD		26,513		246
07/10/17	SGD		23,016	USD		16,506		15
04/10/17-07/10/17	SGD		23,237	USD		16,327		(305	)
04/10/17	USD		66,779	KRW		74,460,460		(174	)
04/10/17	USD		69,404	EUR		64,688		(189	)
04/10/17-07/10/17	EUR		68,657	USD		73,998		228
04/10/17-07/10/17	EUR		61,518	USD		64,398		(1,429	)
04/10/17-07/10/17	USD		196,709	INR		13,190,944		5,670
04/10/17-07/10/17	MXN		271,199	USD		14,431		61
04/10/17	MXN		8,824	USD		422		(46	)
07/10/17	JPY		315,773	USD		2,847		1
04/10/17-07/10/17	JPY		542,534	USD		4,673		(199	)
07/10/17	TWD		505,241	USD		16,730		29
04/10/17	TWD		506,600	USD		16,182		(515	)


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
04/10/17	INR		6,577,322	USD		101,361	$	75
04/10/17-07/10/17	INR		120,200	USD		1,815		(26	)
07/10/17	KRW		74,494,360	USD		66,852		105
04/10/17	KRW		74,460,460	USD		61,699		(4,907	)
01/09/18	SAR		125,029	USD		33,039		(269	)

							$	(28	)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Bank of America	$	(333,143	)	$	338,594	$	5,451
Bank of Montreal		(38,389	)		38,605		216
BNP Paribas		(1,790	)		1,796		6
Citigroup		(40,977	)		42,698		1,721
Goldman Sachs		(68,398	)		67,044		(1,354	)
HSBC		(744	)		746		2
JPMorgan Chase Bank		(4,956	)		5,010		54
Morgan Stanley		(112,011	)		106,757		(5,254	)
Societe Generale		(137,550	)		137,498		(52	)
Standard Chartered		(142,575	)		142,146		(429	)
UBS		(53,218	)		52,870		(348	)
Westpac Banking		(986	)		945		(41	)

						$	(28	)

Percentages are based on a Net Assets of $664,881 ($ Thousands).

Non-income producing security.

‡

Real Estate Investment Trust.

CAD — Canadian Dollar

Cl — Class

EUR — Euro

INR — Indian Rupee

JPY — Japanese Yen

KRW — Korean Won

MXN — Mexican Peso

S&P— Standard & Poor’s

SAR— Saudi Riyal

SGD— Singapore Dollar

SPX— S&P 500 Index

TWD— Taiwan Dollar

USD — United States Dollar

The following is a list of the level of inputs used as of March 31, 2017, 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	$	642,030		$	—		$	—	$	642,030

Total Investments in Securities	$	642,030		$	—		$	—	$	642,030


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Purchased Option	$	20		$	—		$	—	$	20
Written Option		(11	)		—			—		(11	)
Futures Contracts*
Unrealized Appreciation		1,046			—			—		1,046
Unrealized Depreciation		(582	)		—			—		(582	)
Forwards Contracts*
Unrealized Appreciation		—			8,163			—		8,163
Unrealized Depreciation		—			(8,191	)		—		(8,191	)

Total Other Financial Instruments	$	473		$	(28	)	$	—	$	445

Futures contracts and forward contracts are valued at the unrealized appreciation (depreciation) on the instruments.

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


Description	Shares		Market Value ($ Thousands)


COMMON STOCK — 41.4%

Consumer Discretionary — 9.4%
Adient (A)		30,400	$	2,209
Amazon.com, Cl A*		519		460
AMC Entertainment Holdings, Cl A		44,165		1,389
American Eagle Outfitters		71,978		1,010
Bandai Namco Holdings		10,900		326
Belmond, Cl A*		27,483		332
BJ’s Restaurants*		4,097		165
Bob Evans Farms		11,432		742
Boyd Gaming*		34,028		749
Burlington Stores*		1,943		189
Cabela’s*		1,835		97
Callaway Golf		162,389		1,798
Camping World Holdings, Cl A		4,034		130
Carnival		10,494		618
Comcast, Cl A		17,494		658
Darden Restaurants		1,047		88
Drive Shack		173,873		722
Eldorado Resorts*		30,518		578
Extended Stay America		166,030		2,646
Gap		55,646		1,352
H&R Block		23,353		543
Hennes & Mauritz, Cl B		17,902		459
Hilton Worldwide Holdings (A)		36,147		2,113
Home Depot		4,175		613
HUGO BOSS		9,775		715
Industria de Diseno Textil		8,713		308
Interpublic Group		14,651		360
John Wiley & Sons, Cl A		2,544		137
Kate Spade*		38,051		884
Kohl’s		10,704		426


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Lear		3,312	$	469
Liberty Global LiLAC, Cl C*		77,568		1,787
Live Nation*		12,479		379
lululemon athletica*		2,650		137
Madison Square Garden*		5,292		1,057
Mediaset		21,701		90
Mediaset Espana Comunicacion		48,040		621
Melco Crown Entertainment ADR		74,000		1,372
MGM Mirage		21,995		603
Michael Kors Holdings*		257		10
Monro Muffler		6,058		316
Nitori Holdings		2,200		278
Nordstrom		14,083		656
Norwegian Cruise Line Holdings*		20,841		1,057
Pandora		3,234		359
Penn National Gaming*		96,894		1,786
Ross Stores		5,315		350
Shaw Communications, Cl B		17,300		358
Shimamura		2,700		356
Sirius XM Holdings		68,790		354
Six Flags Entertainment		15,872		944
Starbucks		9,988		583
Start Today		28,900		639
Time Warner		57,210		5,590
Urban Outfitters*		15,014		357
Visteon*		9,232		904
Walt Disney		5,570		632
William Lyon Homes, Cl A*, (A)		108,891		2,245
World Wrestling Entertainment, Cl A		31,751		705

				47,810


Consumer Staples — 3.3%
Bunge		517		41
Campbell Soup		6,001		344
Colgate-Palmolive		4,829		354
Flowers Foods		14,035		273
Hain Celestial Group*		14,761		549
Hostess Brands*		27,421		435
Jeronimo Martins		33,432		600
Kirin Holdings		16,400		309
Kraft Heinz		10,664		968
Kroger		19,882		586
Lancaster Colony		2,442		315
Lion		36,000		647
Marine Harvest		21,871		333
Mead Johnson Nutrition, Cl A		49,631		4,421
Molson Coors Brewing, Cl B		8,774		840
Nestle		7,272		558
Philip Morris International		6,029		681
Pilgrim’s Pride		22,000		495
Procter & Gamble		6,669		599
Saputo		10,500		361


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Spectrum Brands Holdings		2,590	$	360
Suntory Beverage & Food		5,300		223
Swedish Match		15,343		501
Tyson Foods, Cl A		19,449		1,200
Unilever		20,092		998

				16,991


Energy — 2.8%
Chevron		3,219		346
ExxonMobil		6,102		500
Galp Energia SGPS		11,575		176
Gran Tierra Energy*		233,359		616
Halcon Resources*		76,206		587
Husky Energy*		38,100		429
Key Energy Services*		22,986		534
Mammoth Energy Services*		7,409		159
Neste		9,905		387
NexGen Energy*		177,428		419
ONEOK Partners (B)		79,822		4,310
Patterson-UTI Energy		49,963		1,213
Royal Dutch Shell, Cl A		4,751		125
Ultra Petroleum*		35,951		240
Valero Energy		7,018		465
Viper Energy Partners (B)		50,830		914
Western Refining		79,754		2,797

				14,217


Financials — 1.5%
Allied World Assurance Holdings		41,846		2,222
Berkshire Hathaway, Cl B*		1,052		175
Erste Group Bank		11,228		367
FNF Group		7,665		298
Fortress Investment Group, Cl A (B)		62,250		495
Hang Seng Bank		17,300		351
Northern Trust		3,963		343
Opus Bank		24,120		486
PrivateBancorp, Cl A		2,027		120
State Street		6,784		540
Toronto-Dominion Bank		13,300		664
Zions Bancorporation		36,869		1,549

				7,610


Health Care — 2.6%
Air Methods*		12,431		535
Akorn*		12,835		309
Alere*		4,003		159
Astellas Pharma		39,400		518
Biogen*		1,772		485
Bristol-Myers Squibb		7,646		416
Bruker BioSciences		24,900		581
Cigna		2,631		385
Exelixis*		14,566		316


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Galenica		476	$	502
Gilead Sciences		945		64
Hoya		13,500		649
ICON*		5,947		474
Idexx Laboratories*		2,303		356
Illumina*		3,783		646
Mallinckrodt*		5,617		250
Mettler Toledo International*		1,475		706
Novo Nordisk, Cl B		13,211		455
Recordati		5,284		180
Roche Holding		495		127
Sumitomo Dainippon Pharma		26,400		435
Taro Pharmaceutical Industries*		4,107		479
United Therapeutics*		4,421		599
Universal Health Services, Cl B		4,486		558
Valeant Pharmaceuticals International*		1,800		20
Varex Imaging*		66,849		2,246
VWR*		6,387		180
WellCare Health Plans*		5,117		717

				13,347


Industrials — 5.1%
3M		1,866		357
ACS Actividades de Construccion y Servicios		9,464		323
Aena (C)		14,300		2,268
Boeing		1,962		347
Builders FirstSource*, (A)		144,949		2,160
BWX Technologies, Cl W (A)		48,000		2,285
Central Japan Railway		3,100		505
CK Hutchison Holdings		29,000		357
Commercial Vehicle Group*		5,447		37
Covanta Holding		98,405		1,545
Curtiss-Wright		3,721		340
Delta Air Lines, Cl A (A)		43,486		1,999
Deutsche Lufthansa		40,588		660
Elbit Systems		2,723		309
General Dynamics		1,861		348
Hawaiian Holdings*		7,731		359
Herc Holdings*		10,537		515
HOCHTIEF		4,302		713
ISS		9,067		344
Japan Airlines		15,500		490
Jardine Strategic Holdings		7,000		294
JetBlue Airways*		51,227		1,056
Manitowoc		105,668		602
ManpowerGroup		2,967		304
Mitsubishi Electric		40,000		573
MTR		66,000		371
Northrop Grumman		1,451		345
Republic Services		5,686		357
Robert Half International		10,645		520
Rollins		9,833		365


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Spirit AeroSystems Holdings, Cl A		5,862	$	340
Teledyne Technologies*		2,758		349
United Continental Holdings*, (A)		36,583		2,584
United Technologies		3,165		355
Vestas Wind Systems		6,338		517
Waste Management		4,900		357
West		14,103		344

				25,894


Information Technology — 9.0%
Akamai Technologies*		5,518		329
Applied Materials		13,774		536
Aspen Technology*		6,024		355
Brocade Communications Systems		257,301		3,211
CDK Global		5,333		347
Citrix Systems*		9,167		764
CommerceHub*		46,238		716
Constellation Software		1,100		539
Dell Technologies - VMware, Cl V*		31,482		2,017
DH		43,460		822
Exar*		70,299		915
F5 Networks, Cl A*		4,810		686
Facebook, Cl A*		5,383		765
Five9*		58,250		959
Harmonic, Cl A*		82,748		492
Hortonworks*		43,233		424
IAC*		4,784		353
Immersion*		35,349		306
Impinj*		15,837		479
Instructure*		38,973		912
Integrated Device Technology*		61,034		1,445
Itochu Techno-Solutions		6,400		188
Jack Henry & Associates		3,766		351
Kakaku.com		29,600		402
KLA-Tencor		3,860		367
Logitech International		21,732		691
Manhattan Associates*		7,168		373
MasterCard, Cl A		3,198		360
Match Group*		132,706		2,167
Maxim Integrated Products		7,902		355
MercadoLibre		1,492		315
Mixi		10,900		524
MobileIron*		129,180		562
Mobileye*		66,757		4,099
NetApp		8,899		372
Nintendo ADR		50,728		1,472
Nomura Research Institute		6,300		232
Nuance Communications*		17,887		310
NXP Semiconductors*		54,449		5,635
Oracle Japan		6,200		354
Pandora Media*		18,445		218
QuickLogic*		83,778		149


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Red Hat*		4,344	$	376
Rubicon Project*		110,600		651
Seagate Technology		13,738		631
Skyworks Solutions		6,349		622
Take-Two Interactive Software, Cl A*		6,223		369
Telit Communications		17,457		77
Teradata*		20,726		645
Teradyne		23,107		719
Twilio, Cl A*		8,196		237
VeriSign*		6,075		529
VMware, Cl A*		7,716		711
Yahoo!*		36,879		1,712
Zynga, Cl A*		480,480		1,369

				45,516


Materials — 3.9%
Albemarle		3,346		353
Avery Dennison		4,434		357
Cabot		10,280		616
Chemours		15,269		588
Chemtura*		2,002		67
Constellium, Cl A*		267,521		1,739
Dominion Diamond		14,488		183
E.I. Du Pont de Nemours		19,666		1,580
Evonik Industries		3,382		110
Fletcher Building		41,427		241
Fortescue Metals Group		70,082		333
Headwaters, Cl A*		23,663		556
Huntsman		15,639		384
Ingevity*, (A)		36,937		2,248
Louisiana-Pacific*		20,100		499
LyondellBasell Industries, Cl A		4,614		421
Monsanto		39,803		4,506
Norbord		78,107		2,217
Reliance Steel & Aluminum		952		76
Silgan Holdings		6,029		358
Sonoco Products		6,708		355
Steel Dynamics		17,754		617
TimkenSteel*		16,939		320
Valvoline		19,689		483
Worthington Industries		7,837		353

				19,560


Real Estate — 0.5%
Ashford Hospitality Trust‡		13,389		85
FelCor Lodging Trust‡		51,161		384
Gaming and Leisure Properties‡		24,041		804
New York‡		131,258		1,272

				2,545


Telecommunication Services — 2.6%
AT&T		14,027		583


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
BCE		8,202	$	363
Cincinnati Bell*		67,365		1,192
FairPoint Communications*		25,738		427
KDDI		6,200		163
Level 3 Communications*		87,810		5,025
Lumos Networks*		25,482		451
Millicom International Cellular		4,573		256
Nippon Telegraph & Telephone		11,500		490
NTT DOCOMO		21,100		491
PCCW		574,000		338
Spark New Zealand		185,751		455
Swisscom		808		373
Telenor		22,045		367
Zayo Group Holdings*		72,348		2,380

				13,354


Utilities — 0.7%
8Point3 Energy Partners, Cl A (B)		47,772		648
Ameren		6,546		357
Canadian Utilities, Cl A		12,700		371
Centerpoint Energy		12,944		357
CLP Holdings, Cl B		56,000		586
DTE Energy		1,953		199
EDP - Energias de Portugal		31,842		108
Hong Kong & China Gas		185,000		370
Osaka Gas		71,000		270
Power Assets Holdings		40,500		349
Toho Gas		17,000		120

				3,735

Total Common Stock (Cost $198,407) ($ Thousands)				210,579


REGISTERED INVESTMENT COMPANIES — 32.6%
AQR Managed Futures Strategy HV Fund , Cl I		1,581,822		14,521
ASG Managed Futures Strategy Fund , Cl Y		1,688,825		16,686
Blackrock Global Long/Short Credit Fund , Cl I		4,992,702		51,075
Merger Fund , Cl I		3,231,508		50,735
SEI Institutional Managed Trust Long/Short
Alternative Fund , Cl Y †		3,142,922		32,906

Total Registered Investment Companies (Cost $172,097) ($ Thousands)				165,923

	Face Amount (Thousands)

CORPORATE OBLIGATIONS — 5.5%

Consumer Discretionary — 0.8%
Altice Financing
7.500%, 05/15/2026 (C)	$	425		452


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Bon-Ton Department Stores
8.000%, 06/15/2021	$	315	$	126
Cengage Learning
9.500%, 06/15/2024 (C)		185		166
Chester Downs & Marina
9.250%, 02/01/2020 (C)		185		189
CSC Holdings
10.875%, 10/15/2025 (C)		125		150
10.125%, 01/15/2023 (C)		130		151
Diamond Resorts International
10.750%, 09/01/2024 (C)		85		88
DISH DBS
5.875%, 11/15/2024		150		158
Guitar Center
9.625%, 04/15/2020 (C)		200		137
Hilton Domestic Operating
4.250%, 09/01/2024 (C)		150		148
iHeartCommunications PIK
14.000%, 02/01/2021		616		206
Inn of the Mountain Gods Resort & Casino
9.250%, 11/30/2020 (C) (D)		180		162
Jacobs Entertainment
7.875%, 02/01/2024 (C)		95		98
KFC Holding
5.250%, 06/01/2026 (C)		150		153
McClatchy
9.000%, 12/15/2022		150		156
Penn National Gaming
5.625%, 01/15/2027 (C)		165		164
Radio One
9.250%, 02/15/2020 (C)		305		294
7.375%, 04/15/2022 (C)		300		314
Scientific Games International
10.000%, 12/01/2022		150		160
7.000%, 01/01/2022 (C)		225		240
SFR Group
7.375%, 05/01/2026 (C)		145		149
Townsquare Media
6.500%, 04/01/2023 (C)		55		55
Viking Cruises
8.500%, 10/15/2022 (C)		145		150
Ziggo Secured Finance BV
5.500%, 01/15/2027 (C)		200		200

				4,266


Consumer Staples — 0.1%
New Albertsons
7.450%, 08/01/2029		385		365
Rite Aid
7.700%, 02/15/2027		125		140


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
SUPERVALU
6.750%, 06/01/2021	$		150	$	149

					654


Energy — 1.3%
California Resources
8.000%, 12/15/2022 (C)			170		138
CONSOL Energy
5.875%, 04/15/2022			155		153
Crestwood Midstream Partners
5.750%, 04/01/2025 (C)			245		250
Ensco
5.750%, 10/01/2044			165		125
EP PetroEcuador via Noble Sovereign Funding I
6.787%, 09/24/2019 (E)			266		266
Halcon Resources
6.750%, 02/15/2025 (C)			155		152
Jupiter Resources
8.500%, 10/01/2022 (C)			205		168
Noble Holding International
7.750%, 01/15/2024			170		163
Parker Drilling
6.750%, 07/15/2022			200		177
Petrobras Global Finance BV
8.375%, 05/23/2021			729		823
6.125%, 01/17/2022			438		460
Petroleos Mexicanos
6.375%, 02/04/2021			549		595
5.375%, 03/13/2022			395		414
4.770%, 03/11/2022 (E)			278		299
4.250%, 01/15/2025			330		318
Petroleos Mexicanos MTN
6.875%, 08/04/2026			196		218
1.875%, 04/21/2022			456		472
Rowan
5.850%, 01/15/2044			240		185
Sabine Pass Liquefaction
5.625%, 04/15/2023			200		217
Southwestern Energy
4.950%, 01/23/2025			150		148
Transocean
9.100%, 12/15/2041			25		24
6.800%, 03/15/2038			290		238
5.550%, 10/15/2022			135		127
Weatherford International
5.950%, 04/15/2042			250		218

					6,348


Financials — 0.7%
Ally Financial
5.125%, 09/30/2024			150		154


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
BCD Acquisition
9.625%, 09/15/2023 (C)	$		140	$	151
Care Capital Properties
5.125%, 08/15/2026			150		149
Citigroup Global Markets Holdings MTN (F)
0.000%, 09/14/2017	EGP		10,980		560
0.000%, 09/21/2017			11,007		562
0.000%, 10/26/2017			11,418		570
CNG Holdings
9.375%, 05/15/2020 (C)	$		105		96
Credit Acceptance
7.375%, 03/15/2023			100		101
6.125%, 02/15/2021			205		204
JPMorgan Chase (E)
6.000%, 12/29/2049			220		230
5.150%, 04/05/2023			230		232
Navient
7.250%, 09/25/2023			100		101
6.625%, 07/26/2021			100		103
6.500%, 06/15/2022			35		35
Springleaf Finance
7.750%, 10/01/2021			205		218
Starwood Property Trust
5.000%, 12/15/2021 (C)			150		156

					3,622


Health Care — 0.6%
Centene
4.750%, 01/15/2025			150		151
CHS
6.250%, 03/31/2023			225		229
Envision Healthcare
6.250%, 12/01/2024 (C)			130		136
Greatbatch
9.125%, 11/01/2023 (C)			155		164
Kindred Healthcare
6.375%, 04/15/2022			250		233
Monitronics International
9.125%, 04/01/2020			545		527
Ortho-Clinical Diagnostics
6.625%, 05/15/2022 (C)			235		219
Select Medical
6.375%, 06/01/2021			250		252
Tenet Healthcare
8.125%, 04/01/2022			455		475
Valeant Pharmaceuticals International
7.000%, 03/15/2024 (C)			30		31
VPII Escrow
7.500%, 07/15/2021 (C)			610		534

					2,951


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)

Industrials — 0.8%
Algeco Scotsman Global Finance
8.500%, 10/15/2018 (C)	$		150	$	143
AMN Healthcare
5.125%, 10/01/2024 (C)			150		151
Builders FirstSource
5.625%, 09/01/2024 (C)			150		152
Cenveo
8.500%, 09/15/2022 (C)			355		217
6.000%, 08/01/2019 (C)			100		82
Global A&T Electronics
10.000%, 02/01/2019 (C)(G)			450		324
Icahn Enterprises
6.750%, 02/01/2024 (C)			210		217
6.250%, 02/01/2022 (C)			150		152
Mexico City Airport Trust
5.500%, 10/31/2046			400		394
New Enterprise Stone & Lime
10.125%, 04/01/2022 (C)			90		95
Optimas OE Solutions Holding
8.625%, 06/01/2021 (C)			105		99
Prime Security Services Borrower
9.250%, 05/15/2023 (C)			450		493
RR Donnelley & Sons
6.000%, 04/01/2024			390		363
RZD Capital PLC
4.375%, 03/01/2024			600		601
Xerium Technologies
9.500%, 08/15/2021			280		285

					3,768


Information Technology — 0.4%
BMC Software Finance
8.125%, 07/15/2021 (C)			100		101
Boxer Parent PIK
9.000%, 10/15/2019 (C)			250		249
Diamond 1 Finance
8.350%, 07/15/2046 (C)			95		123
8.100%, 07/15/2036 (C)			150		188
7.125%, 06/15/2024 (C)			275		304
Harland Clarke Holdings
9.250%, 03/01/2021 (C)			200		195
8.375%, 08/15/2022 (C)			80		82
Micron Technology
5.250%, 08/01/2023 (C)			280		287
Rackspace Hosting
8.625%, 11/15/2024 (C)			290		306
Symantec
5.000%, 04/15/2025 (C)			200		205

					2,040


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)

Materials — 0.4%
Allegheny Technologies
9.375%, 06/01/2019	$		175	$	192
Alpha 3 BV
6.250%, 02/01/2025 (C)			100		101
Blue Cube Spinco
9.750%, 10/15/2023			250		299
Cornerstone Chemical
9.375%, 03/15/2018 (C)			390		392
First Quantum Minerals
7.500%, 04/01/2025 (C)			75		76
7.250%, 04/01/2023 (C)			35		35
7.000%, 02/15/2021 (C)			175		180
Freeport-McMoRan
5.450%, 03/15/2043			265		224
Nyrstar Netherlands Holdings BV MTN
6.875%, 03/15/2024 (C)	EUR		165		177
Rain CII Carbon
7.250%, 04/01/2025 (C)	$		310		307
TPC Group
8.750%, 12/15/2020 (C)			175		159

					2,142


Real Estate — 0.0%
Howard Hughes
5.375%, 03/15/2025 (C)			90		89


Telecommunication Services — 0.4%
CenturyLink
6.750%, 12/01/2023			35		37
5.625%, 04/01/2025			280		266
Digicel
6.000%, 04/15/2021 (C)			215		195
Digicel Group
7.125%, 04/01/2022 (C)			200		156
6.750%, 03/01/2023 (C)			100		89
Embarq
7.995%, 06/01/2036			150		149
GTH Finance BV
6.250%, 04/26/2020			424		446
Intelsat Jackson Holdings
7.250%, 10/15/2020			165		150
Sprint
7.875%, 09/15/2023			200		222
T-Mobile USA
6.375%, 03/01/2025			150		162

					1,872

Total Corporate Obligations (Cost $27,385) ($ Thousands)					27,752


Description		Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT — 3.3%
Argentine Bonos del Tesoro
22.750%, 03/05/2018	ARS		5,757	$	389
Argentine Republic Government International Bond
8.750%, 06/02/2017	$		1,489		1,506
7.820%, 12/31/2033	EUR		1,201		1,344
7.820%, 12/31/2033			407		460
6.875%, 01/26/2027 (C)	$		155		157
5.625%, 01/26/2022			376		385
5.000%, 01/15/2027	EUR		261		261
3.875%, 01/15/2022			776		823
2.260%, 12/31/2038 (D)			1,426		921
2.260%, 12/31/2038 (D)			228		145
Eastern and Southern African Trade and Development Bank MTN
5.375%, 03/14/2022	$		290		294
Ecuador Government International Bond
10.750%, 03/28/2022			263		278
Egypt Government International Bond MTN
6.125%, 01/31/2022			499		519
Hellenic Republic Government Bond
4.750%, 04/17/2019 (C)	EUR		835		846
3.000%, 02/24/2023 (D)			87		77
3.000%, 02/24/2024 (D)			87		75
3.000%, 02/24/2025 (D)			87		75
3.000%, 02/24/2026 (D)			87		73
3.000%, 02/24/2027 (D)			87		73
3.000%, 02/24/2028 (D)			87		70
3.000%, 02/24/2029 (D)			87		68
3.000%, 02/24/2030 (D)			87		67
3.000%, 02/24/2031 (D)			87		66
3.000%, 02/24/2032 (D)			87		65
3.000%, 02/24/2033 (D)			87		64
3.000%, 02/24/2034 (D)			87		63
3.000%, 02/24/2035 (D)			87		62
3.000%, 02/24/2036 (D)			87		62
3.000%, 02/24/2037 (D)			87		61
3.000%, 02/24/2038 (D)			87		61
3.000%, 02/24/2039 (D)			87		61
3.000%, 02/24/2040 (D)			87		61
3.000%, 02/24/2041 (D)			87		61
3.000%, 02/24/2042 (D)			87		61
Honduras Government International Bond
8.750%, 12/16/2020	$		200		227
Iraq Government International Bond
5.800%, 01/15/2028			701		618
Mauritius Investment
6.500%, 10/13/2026			200		204
Oman Government International Bond
3.875%, 03/08/2022			637		644
Paraguay Government International Bond
4.625%, 01/25/2023			533		554


Description		Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT (continued)
4.625%, 01/25/2023	$		200	$	208
Petroleos Mexicanos MTN
3.750%, 02/21/2024	EUR		196		213
Republic of South Africa Government Bond
10.500%, 12/21/2026	ZAR		8,762		723
Russian Foreign Bond - Eurobond
5.625%, 04/04/2042	$		600		659
4.750%, 05/27/2026			1,000		1,043
Second Pakistan International Sukuk
6.750%, 12/03/2019			321		340
Ukraine Government International Bond
7.750%, 09/01/2019			703		717
7.750%, 09/01/2021			467		460
7.750%, 09/01/2027			554		508

Total Sovereign Debt (Cost $16,553) ($ Thousands)					16,772


U.S. TREASURY OBLIGATION — 2.5%
United States Treasury Bills
0.754%, 11/09/2017 (F)			13,000		12,929

Total U.S. Treasury Obligation (Cost $12,940) ($ Thousands)					12,929


LOAN PARTICIPATIONS — 1.4%
84 Lumber, Initial Term Loan, 1st Lien
6.750%, 10/25/2023			148		149
Acosta (fka Acosta Holdco), Tranche B-1 Loan, 1st Lien
4.289%, 09/26/2021			156		146
AgroFresh, Term Loan, 1st Lien
5.750%, 07/31/2021			133		132
Air Medical Group Holdings, Initial Term Loan, 1st Lien
4.250%, 04/28/2022			148		147
Albaugh, LLC, Initial Term Loan, 1st Lien
6.000%, 05/31/2021			148		149
Alliance HealthCare Services, Initial Term Loan, 1st Lien
4.381%, 06/03/2019			22		22
4.356%, 06/03/2019			26		26
4.288%, 06/03/2019			55		55
4.259%, 06/03/2019			44		44
Aricent Technologies (Aricent US), Initial Term Loan, 1st Lien
5.500%, 04/14/2021			304		304


Description		Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Aruba Investments, USD Term B-1 Loan, 1st Lien
4.500%, 02/02/2022	$		220	$	220
BioClinica Holding I, LP, Initial Term Loan, 1st Lien
5.250%, 10/20/2023			49		50
BMC Software, Term Loan, 1st Lien
5.000%, 09/10/2020			74		74
Brickman Group Ltd. LLC, The, Initial Term Loan, 1st Lien
4.022%, 12/18/2020			5		5
4.000%, 12/18/2020			170		170
Calceus Acquisition, Term B-1 Loan, 1st Lien
5.060%, 01/31/2020			199		172
Cengage Learning, 2016 Refinancing Term Loan,
5.250%, 06/07/2023			53		51
Cengage Learning, Term Loan B, 1st Lien
5.250%, 06/07/2023			98		94
Change Healthcare Holdings (fka Emdeon), Closing Date Term Loan, 1st Lien
3.750%, 03/01/2024			104		104
CHS/Community Health Systems, Incremental 2021 Term H Loan,
4.054%, 01/27/2021			200		197
Communications Sales & Leasing, (CSL Capital, LLC), Shortfall Term Loan, 1st Lien
4.000%, 10/24/2022			156		155
CompuCom Systems, Cov-Lite, Term Loan, 1st Lien
4.250%, 05/09/2020			190		158
Cumulus Media Holdings, Term Loan, 1st Lien
4.250%, 12/23/2020			380		285
DTZ U.S. Borrower, LLC (DTZ AUS Holdco PTY Limited), 2015-1 Additional Term Loan,
4.304%, 11/04/2021			116		117
4.289%, 11/04/2021			29		29
4.250%, 11/04/2021			5		5
Endo Luxembourg Finance SARL, 2015 Incremental Term B Loan,
3.813%, 09/26/2022			90		89
Expera, Term Loan, 1st Lien
0.000%, 11/03/2023 (H)			58		58
Fort Dearborn Holding, Initial Term Loan, 1st Lien
5.000%, 10/19/2023			150		151
Gates Global LLC, Term Loan B, 1st Lien
4.250%, 07/06/2021			164		164
Go Daddy Operating LLC (GD Finance Co), Initial Term Loan, 1st Lien
3.412%, 02/15/2024 (H)			43		43
Hoffmaster Group, Initial Term Loan, 1st Lien
5.500%, 11/21/2023			200		202


Description		Face Amount (Thousands)		Market Value ($ Thousands)


LOAN PARTICIPATIONS (continued)
Lantherus Medical, Term Loan, 1st Lien
7.000%, 06/30/2022	$		150	$	150
Lantheus Medical, Term Loan, 1st Lien
0.000%, 06/30/2022 (H)			104		104
Lumiileds, Cov-Lite, Term Loan, 1st Lien
0.000%, 03/15/2024 (H)			101		101
Mashantucket (Western) Pequot Tribe, Term A Loan, 1st Lien
5.000%, 07/01/2018			142		129
Mashantucket (Western) Pequot Tribe, Term B Loan, 1st Lien
9.375%, 06/30/2020			525		471
Mohegan Tribal Gaming Authority, Term B Loan, 1st Lien
5.500%, 10/13/2023			146		146
Mount Airy LLC, Term Loan, 1st Lien
0.000%, 04/19/2018 (H)			170		170
Onex Carestream Finance LP, Term Loan (First Lien 2013), 1st Lien
5.000%, 06/07/2019			76		73
Onex Carestream Finance LP, Term Loan, 2nd Lien
9.500%, 12/07/2019			457		405
Ortho-Clinical Diagnostics Holdings Luxembourg SARL, Initial Term Loan, 1st Lien
4.750%, 06/30/2021			250		248
Red Lobster, Term Loan, 1st Lien
0.000%, 07/28/2021 (H)			148		149
Spencer Gifts LLC (Spirit Halloween Superstores LLC), Term B-1 Loan, 1st Lien
5.250%, 07/16/2021			181		153
Sprint Communications, Initial Term Loan, 1st Lien
3.313%, 02/02/2024			334		333
Syniverse Holdings, Initial Term Loan, 1st Lien
4.039%, 04/23/2019			214		197
Syniverse Holdings, Tranche B Term Loan, 1st Lien
4.000%, 04/23/2019			121		111
Team Health Holdings, Initial Term Loan, 1st Lien
3.750%, 02/06/2024			150		149
UPC Financing Partnership , Facility AP, 1st Lien
3.662%, 04/15/2025			158		158
Virgin Media Bristol LLC, I Facility, 1st Lien
3.662%, 01/31/2025			172		173

Total Loan Participations (Cost $7,170) ($ Thousands)					7,187


Description		Shares		Market Value ($ Thousands)


PREFERRED STOCK — 0.2%

Financials — 0.2%
FHLMC, 8.375%* (E)			74,779	$	467
FNMA, 8.250%* (E)			65,836		434

Total Preferred Stock (Cost $465) ($ Thousands)					901

		Face Amount (Thousands)

MUNICIPAL BONDS — 0.1%

Puerto Rico — 0.1%
Government Development Bank for Puerto Rico, Ser H, RB
5.000%, 08/01/2023 (G)	$		85		13
4.500%, 08/01/2019 (G)			20		3
4.150%, 08/01/2017 (G)			10		2
Government Development Bank for Puerto Rico, Ser Senior A, RB
4.375%, 02/01/2019 (G)			15		2
Government Development Bank for Puerto Rico, Ser Senior A, RB
5.500%, 08/01/2020 (G)			15		3
Government Development Bank for Puerto Rico, Ser Senior B, RB
4.704%, 05/01/2016 (G)			5		1
Government Development Bank for Puerto Rico, Ser Senior C, RB
5.400%, 08/01/2019 (G)			20		3
Puerto Rico Commonwealth, GO
8.000%, 07/01/2035 (G)			500		310

					337


Texas — 0.0%
Texas State, Public Finance Authority, RB Callable 07/01/2019 @ 100
8.250%, 07/01/2024			300		319

Total Municipal Bonds (Cost $722) ($ Thousands)					656


CONVERTIBLE BONDS — 0.1%
Liberty Media CV to 22.94686
4.000%, 11/15/2029			400		244
MGIC Investment CV to 74.0741
9.000%, 04/01/2063 (C)			230		297

Total Convertible Bonds (Cost $541) ($ Thousands)					541


Description		Face Amount (Thousands)			Market Value ($ Thousands)


MORTGAGE-BACKED SECURITY — 0.0%

Non-Agency Mortgage-Backed Obligations — 0.0%
Motel 6 Trust, Ser 2015-MTL6, Cl D
4.532%, 02/05/2020 (C)	$		215		$	215

Total Mortgage-Backed Security (Cost $217) ($ Thousands)						215

		Shares

CASH EQUIVALENT — 13.7%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†			69,685,175			69,685

Total Cash Equivalent (Cost $69,685) ($ Thousands)						69,685

Total Investments — 100.8% (Cost $506,182) ($ Thousands)					$	513,140


COMMON STOCK SOLD SHORT — (21.1)%

Consumer Discretionary — (5.2)%
adidas			(1,715	)		(327	)
Bayerische Motoren Werke			(10,180	)		(931	)
Bloomin’ Brands			(57,835	)		(1,141	)
CarMax*			(7,113	)		(421	)
Charter Communications, Cl A*			(2,192	)		(718	)
Cheesecake Factory			(1,036	)		(66	)
Cie Financiere Richemont			(7,390	)		(585	)
CST Brands			(18,653	)		(897	)
Daimler			(11,159	)		(826	)
Darden Restaurants			(4,238	)		(355	)
Domino’s Pizza			(1,606	)		(296	)
Dunkin’ Brands Group			(7,205	)		(394	)
Foot Locker, Cl A			(5,157	)		(386	)
Fossil Group*			(21,040	)		(367	)
Genesco*			(776	)		(43	)
Gentex			(33,737	)		(720	)
Hanesbrands			(19,208	)		(399	)
Harley-Davidson, Cl A			(21,537	)		(1,303	)
Hilton Worldwide Holdings			(9,601	)		(561	)
Las Vegas Sands			(6,369	)		(363	)
LCI Industries			(5,743	)		(573	)
Liberty Broadband, Cl C*			(8,030	)		(694	)
Liberty Global LiLAC, Cl C*			(9,909	)		(228	)
Marriott International, Cl A			(4,184	)		(394	)
Marui Group			(29,700	)		(403	)
MSG Networks*			(26,058	)		(608	)
NetFlix*			(3,481	)		(515	)
Nike, Cl B			(10,754	)		(599	)
Polaris Industries			(17,909	)		(1,501	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
PulteGroup		(15,323	)	$	(361	)
Rakuten		(35,400	)		(354	)
Red Rock Resorts, Cl A		(8,632	)		(191	)
Restaurant Brands International		(14,840	)		(827	)
Ross Stores		(3,237	)		(213	)
Select Comfort*		(38,763	)		(961	)
Tesla Motors*		(7,263	)		(2,021	)
Thor Industries		(1,838	)		(177	)
Tiffany		(3,212	)		(306	)
Under Armour, Cl A*		(25,228	)		(499	)
Universal Electronics*		(13,241	)		(907	)
VF		(29,122	)		(1,601	)
Wayfair, Cl A*		(17,535	)		(710	)
Winnebago Industries		(13,916	)		(407	)
Wynn Resorts		(4,562	)		(523	)

					(26,672	)


Consumer Staples — (0.6)%
Anheuser-Busch InBev ADR		(1,604	)		(176	)
Campbell Soup		(3,925	)		(225	)
Coca-Cola European Partners		(14,033	)		(529	)
Coty, Cl A		(25,500	)		(463	)
Fresh Del Monte Produce		(7,855	)		(465	)
Herbalife*		(5,178	)		(301	)
Mondelez International, Cl A		(3,930	)		(169	)
Sanderson Farms		(7,755	)		(805	)

					(3,133	)


Energy — (2.7)%
BP ADR		(10,575	)		(365	)
Callon Petroleum*		(16,515	)		(217	)
Cheniere Energy*		(12,812	)		(606	)
Encana		(33,700	)		(394	)
Lundin Petroleum*		(20,024	)		(408	)
Marathon Oil		(25,115	)		(397	)
Oasis Petroleum*		(17,690	)		(252	)
Oneok		(78,260	)		(4,339	)
Parsley Energy, Cl A*		(17,334	)		(563	)
PDC Energy, Cl A*		(5,526	)		(344	)
PrairieSky Royalty		(10,200	)		(215	)
Rice Energy*		(17,376	)		(412	)
Tenaris ADR		(11,366	)		(388	)
Tesoro		(31,276	)		(2,535	)
Tourmaline Oil*		(7,700	)		(171	)
Transocean*		(43,902	)		(547	)
Unit*		(6,583	)		(159	)
US Silica Holdings		(8,206	)		(394	)
Weatherford International*		(64,503	)		(429	)
WPX Energy*		(28,991	)		(388	)

					(13,523	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)

Financials — (1.2)%
Allstate		(4,745	)	$	(387	)
Australia & New Zealand Banking Group		(14,786	)		(359	)
Banco BPM		(112,294	)		(334	)
Bank of the Ozarks		(8,378	)		(436	)
Brookfield Asset Management, Cl A		(12,878	)		(469	)
Element Fleet Management		(23,700	)		(219	)
Factset Research Systems		(2,588	)		(427	)
Fairfax Financial Holdings		(2,280	)		(1,038	)
First American Financial		(4,906	)		(193	)
Mitsubishi UFJ Financial Group		(56,200	)		(353	)
Progressive		(15,304	)		(599	)
Royal Bank of Scotland Group*		(120,233	)		(364	)
UniCredit		(17,971	)		(278	)
Unione di Banche Italiane		(68,947	)		(265	)
Wells Fargo		(3,385	)		(188	)

					(5,909	)


Health Care — (1.5)%
Acadia Healthcare, Cl A*		(10,802	)		(471	)
ACADIA Pharmaceuticals*		(12,337	)		(424	)
Accuray*		(6,305	)		(30	)
Alnylam Pharmaceuticals*		(6,495	)		(333	)
Amgen, Cl A		(1,980	)		(325	)
Anthem		(1,355	)		(224	)
AstraZeneca ADR		(11,985	)		(373	)
athenahealth*		(2,680	)		(302	)
BioMarin Pharmaceuticals*		(3,139	)		(275	)
Bluebird Bio*		(3,651	)		(332	)
Envision Healthcare*		(5,688	)		(349	)
Express Scripts Holding*		(5,757	)		(379	)
GenMark Diagnostics*		(11,726	)		(150	)
Johnson & Johnson		(4,033	)		(502	)
Kite Pharma*		(2,305	)		(181	)
Merck		(5,377	)		(342	)
Mylan*		(13,823	)		(539	)
Nektar Therapeutics, Cl A*		(10,253	)		(241	)
Neurocrine Biosciences*		(7,870	)		(341	)
Novartis		(6,811	)		(506	)
Pfizer		(15,431	)		(528	)
Sarepta Therapeutics*		(1,586	)		(47	)
Teladoc*		(16,512	)		(413	)
Ultragenyx Pharmaceutical*		(4,106	)		(278	)

					(7,885	)


Industrials — (2.2)%
Acuity Brands		(2,173	)		(443	)
Airbus		(7,219	)		(551	)
Argan		(27,198	)		(1,799	)
Assa Abloy, Cl B		(26,414	)		(545	)
Bombardier, Cl B*		(339,200	)		(519	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
C.H. Robinson Worldwide		(5,722	)	$	(442	)
Canadian Pacific Railway		(2,300	)		(337	)
CNH Industrial		(56,152	)		(543	)
Ferrovial		(28,350	)		(569	)
General Electric		(14,340	)		(427	)
Global Brass & Copper Holdings		(2,523	)		(87	)
Keihan Holdings		(27,000	)		(165	)
Keppel		(109,600	)		(544	)
Kirby*		(7,102	)		(501	)
MonotaRO		(12,200	)		(377	)
Nibe Industrier, Cl B		(10,543	)		(85	)
Patrick Industries*		(5,877	)		(417	)
Proto Labs*		(5,523	)		(282	)
Seibu Holdings		(25,100	)		(414	)
Sembcorp Industries		(131,300	)		(299	)
Volvo, Cl B		(25,861	)		(383	)
Wabtec		(8,238	)		(642	)
Weir Group		(15,846	)		(380	)
Westpac Banking		(13,448	)		(360	)

					(11,111	)


Information Technology — (3.9)%
A10 Networks*		(32,605	)		(298	)
Advanced Micro Devices*		(23,274	)		(339	)
Alibaba Group Holding ADR*		(11,285	)		(1,217	)
ams		(7,069	)		(382	)
Apple		(4,979	)		(715	)
Arista Networks*		(2,652	)		(351	)
ARRIS International*		(9,199	)		(243	)
Black Knight Financial Services, Cl A*		(2,391	)		(92	)
BlackBerry*		(63,979	)		(496	)
Broadcom, Cl A		(3,238	)		(709	)
BroadSoft*		(7,493	)		(301	)
CalAmp*		(8,985	)		(151	)
Coherent*		(1,898	)		(390	)
Cornerstone OnDemand*		(9,628	)		(374	)
Cypress Semiconductor		(51,013	)		(702	)
Electronic Arts*		(9,974	)		(893	)
Finisar*		(5,454	)		(149	)
FleetCor Technologies*		(3,326	)		(504	)
Genpact		(12,186	)		(302	)
Gigamon*		(8,560	)		(304	)
Global Payments		(7,406	)		(598	)
GrubHub*		(44,095	)		(1,450	)
II-VI*		(15,994	)		(577	)
Just Eat*		(96,910	)		(686	)
LivePerson*		(47,174	)		(323	)
LogMeIn		(4,084	)		(398	)
Lumentum Holdings*		(4,144	)		(221	)
Marvell Technology Group		(23,382	)		(357	)
Methode Electronics		(3,334	)		(152	)
Micron Technology*		(14,086	)		(407	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
NetScout Systems*		(1,077	)	$	(41	)
Nintendo		(2,100	)		(487	)
Pandora Media*		(36,090	)		(426	)
Rosetta Stone*		(47,380	)		(462	)
Shopify*		(3,815	)		(260	)
Sumco		(27,000	)		(449	)
Universal Display		(3,473	)		(299	)
Versum Materials		(19,313	)		(591	)
VMware, Cl A*		(31,486	)		(2,901	)

					(19,997	)


Materials — (2.0)%
Amcor		(39,465	)		(453	)
Antofagasta		(63,105	)		(658	)
ArcelorMittal		(69,447	)		(586	)
BHP Billiton		(32,482	)		(596	)
Cabot		(14,907	)		(893	)
CF Industries Holdings		(17,266	)		(507	)
Dow Chemical, Cl A		(25,201	)		(1,601	)
First Quantum Minerals (Canada)		(31,500	)		(334	)
International Flavors & Fragrances		(3,491	)		(463	)
K+S		(23,528	)		(548	)
Kraton*		(17,512	)		(541	)
LyondellBasell Industries, Cl A		(3,081	)		(281	)
OCI*		(23,941	)		(461	)
Rio Tinto		(2,858	)		(132	)
Rio Tinto ADR		(8,989	)		(366	)
RPC Group		(51,783	)		(506	)
Silver Wheaton		(19,737	)		(410	)
Stillwater Mining*		(3,819	)		(66	)
Sumitomo Metal Mining		(16,000	)		(227	)
Taiyo Nippon Sanso		(7,000	)		(82	)
United States Steel		(7,766	)		(263	)

					(9,974	)


Real Estate — (0.2)%
AvalonBay Communities		(4,875	)		(895	)
Realty Income		(6,033	)		(359	)

					(1,254	)


Telecommunication Services — (1.4)%
AT&T		(58,161	)		(2,417	)
Boingo Wireless*		(61,089	)		(794	)
CenturyTel		(116,352	)		(2,742	)
Consolidated Communications Holdings		(18,810	)		(440	)
SoftBank Group		(5,900	)		(416	)
Sprint*		(37,183	)		(323	)

					(7,132	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)

Utilities — (0.1)%
Spark Energy, Cl A		(18,434	)	$	(589	)

Total Common Stock Sold Short (Proceeds $102,164) ($ Thousands)					(107,179	)


EXCHANGE TRADED FUNDS SOLD SHORT— (2.0)%
Consumer Staples Select Sector SPDR Fund		(29,200	)		(1,594	)
iShares PHLX Semiconductor Fund		(4,479	)		(613	)
iShares Russell 2000 Fund		(19,041	)		(2,618	)
iShares U.S. Home Construction ETF		(10,297	)		(329	)
SPDR S&P 500 Trust		(11,380	)		(2,683	)
SPDR S&P Oil & Gas Exploration & Production ETF		(16,210	)		(607	)
SPDR S&P Regional Banking Fund		(886	)		(48	)
VanEck Vectors Semiconductor Fund		(23,586	)		(1,880	)

Total Exchange Traded Funds Sold Short (Proceeds $10,225) ($ Thousands)					(10,372	)


PREFERRED STOCK SOLD SHORT — (0.3)%

Consumer Discretionary — (0.2)%
Porsche Automobil Holding, 0.000%		(10,979	)		(600	)
Volkswagen, 0.000%		(4,268	)		(624	)

					(1,224	)


Health Care — (0.1)%
Sartorius, 0.000%		(4,454	)		(392	)

Total Preferred Stock Sold Short (Proceeds $1,598) ($ Thousands)					(1,616	)

Total Investments Sold Short — (23.4)% (Proceeds $113,987) ($ Thousands)				$	(119,167	)

	Contracts

PURCHASED OPTIONS (I) — 0.1%
Alibaba Group Holding, Expires 04/22/2017, Strike Price $102.00*		29			1
Alibaba Group Holding, Expires 04/22/2017, Strike Price $100.00*		36			1
April 17 Calls on VIX, Expires 04/22/2017, Strike Price $14.00*		23			1
April 17 Puts on SPX, Expires 05/20/2017, Strike Price $2,190.00*		4			1
April 17 Puts on SPX, Expires 05/20/2017, Strike Price $2,160.00*		28			7


Description	Contracts		Market Value ($ Th’ousands)


PURCHASED OPTIONS (I) (continued)
April 17 Puts on SPX, Expires 05/20/2017, Strike Price $2,320.00*		28	$	32
April 17 Puts on SPX, Expires 05/20/2017, Strike Price $2,350.00*		4		7
Cabela’s, Expires 06/17/2017, Strike Price $37.50*		72		2
CenturyLink, Expires 04/22/2017, Strike Price $27.00*		60		—
CenturyLink, Expires 01/20/2018, Strike Price $30.00*		71		2
CenturyLink, Expires 04/22/2017, Strike Price $26.00*		37		—
CenturyLink, Expires 04/22/2017, Strike Price $28.00*		43		—
CenturyLink, Expires 09/16/2017, Strike Price $26.00*		72		4
CenturyLink, Expires 01/20/2018, Strike Price $25.00*		20		2
CenturyLink, Expires 07/22/2017, Strike Price $28.00*		91		1
CenturyLink, Expires 07/22/2017, Strike Price $26.00*		36		1
CenturyLink, Expires 07/22/2017, Strike Price $27.00*		93		1
Kate Spade, Expires 04/22/2017, Strike Price $22.00*		194		10
Kate Spade, Expires 04/22/2017, Strike Price $23.00*		77		9
Monsanto, Expires 04/22/2017, Strike Price $110.00*		14		1
Monsanto, Expires 05/20/2017, Strike Price $115.00*		92		13
Monsanto, Expires 04/22/2017, Strike Price $115.00*		94		7
Nimble Storage, Expires 05/20/2017, Strike Price $12.50*		179		1
Nimble Storage, Expires 08/19/2017, Strike Price $12.50*		89		—
Rite Aid, Expires 07/22/2017, Strike Price $5.00*		89		5
Rite Aid, Expires 07/22/2017, Strike Price $6.00*		331		6
Rite Aid, Expires 08/19/2017, Strike Price $5.00*		1		—
Rite Aid, Expires 08/19/2017, Strike Price $6.00*		2		—
Sibanye Gold, Expires 04/22/2017, Strike Price $10.00*		60		1
Stillwater Mining, Expires 04/22/2017, Strike Price $14.00*		14		—
Stillwater Mining, Expires 04/22/2017, Strike Price $15.00*		35		—


Description	Contracts			Market Value ($ Thousands)


PURCHASED OPTIONS (I) (continued)
Stillwater Mining, Expires 04/22/2017, Strike Price $13.00*		24		$	—
Time Warner, Expires 04/22/2017, Strike Price $95.00*		36			—
Time Warner, Expires 06/17/2017, Strike Price $95.00*		36			4
Unilever, Expires 04/22/2017, Strike Price $50.00*		48			4
Unilever, Expires 05/20/2017, Strike Price $45.00*		36			1
VanEck Vectors Semiconductor ETF, Expires 04/22/2017, Strike Price $90.00*		168			165

Total Purchased Options (Cost $405) ($ Thousands)				$	290


WRITTEN OPTIONS (I) — 0.0%
April 17 Calls on VIX, Expires 04/22/2017 Strike Price $21.00*		(23	)		—
April 17 Puts on SPX, Expires 05/20/2017 Strike Price $2,270.00*		(8	)		(5	)
April 17 Puts on SPX, Expires 05/20/2017 Strike Price $2,240.00*		(56	)		(25	)
Kate Spade, Expires 07/22/2017 Strike Price $27.00*		(194	)		(10	)
Kate Spade, Expires 04/22/2017 Strike Price $25.00*		(96	)		(3	)
Kate Spade, Expires 04/22/2017 Strike Price $18.00*		(194	)		(2	)
Mead Johnson Nutrition, Expires 08/19/2017 Strike Price $90.00*		(18	)		(1	)
WhiteWave Foods, Expires 04/22/2017 Strike Price $55.00*		(177	)		(22	)

Total Written Options (Premiums Received $95) ($ Thousands)				$	(68	)

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Euro-Bob		(4	)		Jun-2017	$	—
Euro-Bund		8			Jun-2017		14
Euro-Buxl 30 Year Bond		(8	)		Jun-2017		(16	)
Euro-OAT 10 Year Bond		(9	)		Jun-2017		(3	)
Euro-Schatz		(48	)		Jun-2017		1
S&P 500 Index E-MINI		(12	)		Jun-2017		2
U.S. 10-Year Treasury Note		(15	)		Jun-2017		3
U.S. 5-Year Treasury Note		(5	)		Jun-2017		(3	)

						$	(2	)

A list of the open forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
04/05/17	USD		562	EGP		10,148	$	1
04/07/17	ZAR		9,789	USD		754		25
04/17/17	USD		1,691	INR		112,915		47
04/17/17	KRW		642,564	USD		559		(16	)
06/21/17	USD		876	TRY		3,308		11
06/21/17	USD		1,117	CNH		7,792		10
06/21/17	TRY		3,308	USD		859		(29	)
06/21/17	EUR		1,175	USD		1,272		11
06/21/17	EUR		5,225	USD		5,597		(13	)
06/21/17	CNH		7,792	USD		1,119		(7	)
06/21/17	RUB		34,952	USD		579		(29	)
09/20/17	USD		115	ARS		1,937		1
12/15/17	EUR		1,371	CZK		36,619		2
11/29/17	EUR		1,300	CZK		34,467		(10	)
12/15/17	CZK		30,896	EUR		1,149		(10	)

							$	(6	)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Citigroup	$	(562	)	$	562	$	1
Credit Suisse First Boston		(2,244	)		2,246		2
Deutsche Bank		(8,031	)		8,004		(27	)
Merrill Lynch		(690	)		675		(15	)
Morgan Stanley		(7,782	)		7,816		33

						$	(6	)

A list of the open OTC swap agreements held by the Fund at March 31, 2017 is as follows:

A list of the open centrally cleared swap agreements held by the Fund at March 31, 2017 is as follows:

Percentages are based on Net Assets of $508,863 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

(A)

Security, or a portion thereof, has been pledged as collateral on reverse repurchase agreements, securities sold short and open centrally cleared interest rate swap agreements.

(B)

Security is a Master Limited Partnership. At March 31, 2017, such securities amounted to $6,367 ($ Thousands), or 1.3% of the net assets of the Fund (See Note 2).

(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 March 31, 2017, the value of these securities amounted to $15,559 ($ Thousands), representing 3.1% of the Net Assets of the Fund.

(D)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2017. The coupon on a step bond changes on a specified date.

(E)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2017.

(F)

The rate reported is the effective yield at the time of purchase.

(G)

Security is in default on interest payment.

(H)

Unsettled bank loan. Interest rate not available.

ADR — American Depositary Receipt

ARS — Argentine Peso

Cl — Class

CNH — Chinese Offshore Yuan

CZK — Czech Koruna

EGP — Egyptian Pound

ETF — Exchange Traded Fund

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GO — General Obligation

GBP — British Pound Sterling

HUF — Hungarian Forint

INR — Indian Rupee

KRW — Korean Won

LIBOR — London Interbank Offered Rate

LLC — Limited Liability Company

LTD — Limited

MTN — Medium Term Note

MXN — Mexican Peso

OTC — Over the Counter

PIK — Payment-in-Kind

PLC — Public Limited Company

RB — Revenue Bond

RUB — Russian Ruble

Ser — Series

S&P— Standard & Poor’s

SPDR — S&P Depository Receipts

SPX — Standard & Poor’s 500 Index

TRY — Turkish Lira

USD — United States Dollar

ZAR — South African Rand

The following is a list of the level of inputs used as of March 31, 2017, 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	$	208,207		$	2,372		$	—	$	210,579
Registered Investment Companies		165,923			—			—		165,923
Corporate Obligations		—			27,752			—		27,752
Sovereign Debt		—			16,772			—		16,772
U.S. Treasury Obligation		—			12,929			—		12,929
Loan Participations		—			6,716			471		7,187
Preferred Stock		901			—			—		901
Municipal Bonds		—			656			—		656
Convertible Bonds		—			541			—		541
Mortgage-Backed Security		—			215			—		215
Cash Equivalent		69,685			—			—		69,685

Total Investments in Securities	$	444,716		$	67,953		$	471	$	513,140


Securities Sold Short	Level 1			Level 2			Level 3		Total
Common Stock	$	(107,179	)	$	—		$	—	$	(107,179	)
Exchange Traded Funds		(10,372	)		—			—		(10,372	)
Preferred Stock		(1,616	)		—			—		(1,616	)

Total Securities Sold Short	$	(119,167	)	$	—		$	—	$	(119,167	)


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Purchased Options	$	290		$	—		$	—	$	290
Written Options		(68	)		—			—		(68	)
Futures Contracts*
Unrealized Appreciation		20			—			—		20
Unrealized Depreciation		(22	)		—			—		(22	)
Forwards Contracts*
Unrealized Appreciation		—			108			—		108
Unrealized Depreciation		—			(114	)		—		(114	)
OTC Swaps
Interest Rate Swaps*
Unrealized Depreciation		—			(111	)		—		(111	)
Credit Default Swaps*
Unrealized Appreciation		—			14			—		14
Total Return Swaps*
Unrealized Appreciation		—			132			—		132
Unrealized Depreciation		—			(8	)		—		(8	)
Centrally Cleared Swaps
Credit Default Swaps*
Unrealized Appreciation		—			243			—		243
Unrealized Depreciation		—			(290	)		—		(290	)
Interest Rate Swaps*
Unrealized Depreciation		—			(119	)		—		(119	)

Total Other Financial Instruments	$	220		$	(145	)	$	—	$	75

Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

LOGO


Description		Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS — 48.6%
U.S. Treasury Bills (A)
0.834%, 09/07/2017 (B)	$		4,826	$	4,808
0.672%, 08/24/2017 (B)			8,784		8,755
0.672%, 08/31/2017			1,448		1,443
0.647%, 06/15/2017			34,843		34,792
0.646%, 08/17/2017 (B)			7,570		7,547
0.627%, 05/18/2017 (B)			28,347		28,321
0.627%, 08/03/2017 (B)			105,001		104,720
0.617%, 06/08/2017 (B)			132,074		131,902
0.611%, 06/01/2017 (B)			63,636		63,563
0.607%, 05/25/2017 (B)			37,978		37,939
0.607%, 07/20/2017 (B)			388,464		387,564
0.602%, 07/27/2017			14,100		14,065
0.592%, 07/13/2017 (B)			1,416		1,413
0.501%, 05/04/2017 (B)			1,365		1,364
0.476%, 04/27/2017 (B)			14,642		14,635
U.S. Treasury Inflation Protected Securities
3.875%, 04/15/2029			2,098		2,901
3.625%, 04/15/2028			845		1,124
3.375%, 04/15/2032			2,052		2,882
2.625%, 07/15/2017			703		713
2.500%, 01/15/2029			2,099		2,567
2.375%, 01/15/2025			3,181		3,669
2.375%, 01/15/2027			783		925
2.125%, 01/15/2019			4,298		4,521
2.125%, 02/15/2041			1,182		1,499
2.000%, 01/15/2026			2,551		2,894
1.875%, 07/15/2019			1,711		1,817
1.750%, 01/15/2028			1,129		1,277
1.375%, 07/15/2018			4,955		5,125
1.375%, 01/15/2020			2,665		2,807
1.375%, 02/15/2044			1,042		1,149
1.250%, 07/15/2020			3,178		3,363
1.125%, 01/15/2021			2,034		2,141
1.000%, 02/15/2046			5,124		5,202
0.750%, 02/15/2042			1,558		1,498
0.750%, 02/15/2045			773		736
0.625%, 07/15/2021			2,349		2,436
0.625%, 01/15/2024			4,475		4,581
0.625%, 01/15/2026			46,072		46,907
0.625%, 02/15/2043			2,905		2,700
0.375%, 07/15/2023			2,557		2,597
0.375%, 07/15/2025			44,258		44,371


Description		Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS (continued)
0.250%, 01/15/2025	$		4,409	$	4,371
0.125%, 04/15/2017			428		428
0.125%, 04/15/2018			1,523		1,536
0.125%, 04/15/2019			12,436		12,619
0.125%, 04/15/2020			76,752		77,897
0.125%, 04/15/2021			92,512		93,466
0.125%, 01/15/2022			1,824		1,838
0.125%, 07/15/2022			2,059		2,075
0.125%, 01/15/2023			1,736		1,735
0.125%, 07/15/2024			1,534		1,520
0.125%, 07/15/2026			48,122		46,949

Total U.S. Treasury Obligations (Cost $1,237,456) ($ Thousands)					1,239,667


SOVEREIGN DEBT — 18.1%
African Development Bank MTN (B)
2.375%, 09/23/2021			1,000		1,010
1.375%, 02/12/2020			1,000		990
1.250%, 07/26/2021			1,000		965
1.125%, 03/04/2019			1,000		994
1.125%, 09/20/2019			1,000		988
0.875%, 03/15/2018			500		498
Andina de Fomento
4.375%, 06/15/2022 (B)			250		267
Asian Development Bank MTN (B)
5.593%, 07/16/2018			1,250		1,311
1.750%, 01/10/2020			1,000		1,004
1.625%, 08/26/2020			2,000		1,988
1.500%, 01/22/2020			1,000		997
1.375%, 01/15/2019			1,000		999
1.375%, 03/23/2020			1,000		991
1.000%, 08/16/2019			1,000		985
Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond
0.750%, 04/15/2018	EUR		4,088		4,465
0.750%, 04/15/2018			337		368
Canada Government International Bond (B)
1.625%, 02/27/2019	$		2,000		2,011
1.125%, 03/19/2018			1,000		999
Chile Government International Bond
3.875%, 08/05/2020 (B)			250		264
Council of Europe Development Bank (B)
1.750%, 11/14/2019			1,000		1,001
1.625%, 03/16/2021			500		491
Deutsche Bundesrepublik Inflation Linked Bond
1.750%, 04/15/2020	EUR		7,559		8,921
1.750%, 04/15/2020			4,784		5,646
0.500%, 04/15/2030			8,055		10,013
0.100%, 04/15/2023			27,350		31,794
0.100%, 04/15/2026			29,063		34,271


Description		Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT (continued)
0.100%, 04/15/2026	EUR		6,006	$	7,083
0.100%, 04/15/2046			722		897
European Bank for Reconstruction & Development MTN (B)
2.000%, 02/01/2021	$		1,000		999
1.750%, 06/14/2019			1,000		1,002
1.750%, 11/26/2019			2,500		2,502
1.500%, 03/16/2020			250		248
0.750%, 09/01/2017			200		200
European Investment Bank (B)
4.875%, 02/15/2036			250		311
4.000%, 02/16/2021			1,000		1,074
2.125%, 10/15/2021			1,000		998
1.875%, 03/15/2019			1,000		1,006
1.625%, 12/15/2020			1,000		988
1.000%, 12/15/2017			150		150
Export Development Canada (B)
1.750%, 08/19/2019			500		502
1.750%, 07/21/2020			1,000		998
1.500%, 10/03/2018			500		501
1.500%, 05/26/2021			1,000		980
1.000%, 11/01/2018			1,000		994
0.750%, 12/15/2017			750		748
FMS Wertmanagement AoeR (B)
1.750%, 03/17/2020			500		500
1.250%, 07/30/2018			1,000		998
1.000%, 11/21/2017			950		949
France Government Bond OAT
3.400%, 07/25/2029	EUR		874		1,366
3.150%, 07/25/2032			716		1,146
2.250%, 07/25/2020			15,910		19,170
2.100%, 07/25/2023			1,085		1,386
2.100%, 07/25/2023			1,400		1,788
1.850%, 07/25/2027			13,752		18,048
1.800%, 07/25/2040			2,390		3,524
1.300%, 07/25/2019			244		278
1.100%, 07/25/2022			1,235		1,478
1.100%, 07/25/2022			14,816		17,733
1.000%, 07/25/2017			1,089		1,179
0.700%, 07/25/2030 (C)			204		241
0.700%, 07/25/2030 (C)			1,421		1,684
0.250%, 07/25/2018			1,584		1,746
0.250%, 07/25/2024			6,602		7,576
0.250%, 07/25/2024			2,641		3,031
0.100%, 03/01/2021			3,047		3,432
0.100%, 07/25/2021			8,069		9,125
0.100%, 03/01/2025			19,038		21,511
HSBC Holdings
5.100%, 04/05/2021 (B)	$		250		271
Hydro-Quebec
1.375%, 06/19/2017 (B)			150		150


Description		Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT (continued)
Inter-American Development Bank MTN (B)
7.000%, 06/15/2025	$		500	$	646
3.875%, 09/17/2019			350		368
1.875%, 06/16/2020			1,000		1,003
1.750%, 10/15/2019			1,000		1,002
1.125%, 09/12/2019			1,000		988
International Bank for Reconstruction & Development (B)
4.750%, 02/15/2035			250		304
2.250%, 06/24/2021			1,000		1,010
1.875%, 03/15/2019			2,000		2,016
1.625%, 03/09/2021			1,000		987
0.875%, 04/17/2017			450		450
0.875%, 07/19/2018			1,000		994
International Finance MTN (B)
2.125%, 11/17/2017			750		754
2.125%, 04/07/2026			1,000		962
1.750%, 09/04/2018			200		201
1.625%, 07/16/2020			2,000		1,992
1.000%, 04/24/2017			300		300
0.875%, 06/15/2018			1,000		995
Italy Buoni Poliennali Del Tesoro
3.100%, 09/15/2026	EUR		2,261		2,842
2.600%, 09/15/2023			7,616		9,250
2.550%, 09/15/2041			971		1,192
2.350%, 09/15/2019			2,248		2,579
2.350%, 09/15/2024 (C)			2,143		2,539
2.350%, 09/15/2035			2,434		3,016
2.100%, 09/15/2017			1,003		1,096
2.100%, 09/15/2021			1,485		1,745
1.700%, 09/15/2018			103		114
1.700%, 09/15/2018			924		1,030
1.250%, 09/15/2032 (C)			2,000		2,100
Korea Development Bank
4.625%, 11/16/2021 (B)	$		250		270
Nordic Investment Bank MTN (B)
1.500%, 09/29/2020			1,000		988
1.125%, 03/19/2018			1,000		999
1.125%, 02/25/2019			500		497
0.750%, 01/17/2018			200		199
North American Development Bank
2.400%, 10/26/2022 (B)			200		196
Province of British Columbia Canada (B)
6.500%, 01/15/2026			250		316
2.000%, 10/23/2022			250		245
Province of Manitoba Canada
3.050%, 05/14/2024 (B)			250		256
Province of Ontario Canada (B)
4.000%, 10/07/2019			500		527
2.450%, 06/29/2022			250		251
2.000%, 01/30/2019			500		503
1.875%, 05/21/2020			500		498


Description		Face Amount (Thousands)		Market Value ($ Thousands)


SOVEREIGN DEBT (continued)
Province of Quebec Canada
7.500%, 09/15/2029 (B)	$		200	$	284
Svensk Exportkredit MTN
1.750%, 03/20/2021 (B)			1,000		985
United Kingdom Gilt Inflation Linked
4.125%, 07/22/2030	GBP		1,000		4,634
2.500%, 04/16/2020			429		1,998
2.500%, 07/17/2024			340		1,570
2.000%, 01/26/2035			932		3,137
1.875%, 11/22/2022			6,713		10,712
1.250%, 11/22/2017			206		267
1.250%, 11/22/2027			2,326		4,015
1.250%, 11/22/2032			702		1,368
1.250%, 11/22/2055			1,572		5,083
1.125%, 11/22/2037			1,024		2,203
0.750%, 03/22/2034			972		1,827
0.750%, 11/22/2047			831		2,040
0.625%, 03/22/2040			1,803		3,765
0.625%, 11/22/2042			2,281		5,012
0.500%, 03/22/2050			2,426		5,922
0.375%, 03/22/2062			1,062		3,193
0.250%, 03/22/2052			1,755		4,195
0.125%, 03/22/2024			29,078		43,079
0.125%, 03/22/2026			20,768		31,494
0.125%, 03/22/2029			1,789		2,846
0.125%, 03/22/2044			6,243		12,593
0.125%, 03/22/2058			1,245		3,214
0.125%, 11/22/2065			750		2,243
0.125%, 03/22/2068			425		1,347

Total Sovereign Debt (Cost $469,832) ($ Thousands)					461,968


		Shares

FOREIGN COMMON STOCK — 4.2%

Australia — 0.3%
AGL Energy			25,712		517
Amcor			3,900		45
APA Group			38,075		260
Aristocrat Leisure			14,947		205
ASX			2,472		95
Aurizon Holdings			21,309		85
AusNet Services			264,595		340
BHP Billiton			5,561		102
Brambles			9,655		69
Caltex Australia			6,748		152
CIMIC Group			4,686		129
Coca-Cola Amatil			19,358		160
Cochlear			2,349		242
Computershare			58,392		626
Crown Resorts			10,576		95
CSL			3,596		344


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
DUET Group		92,883	$	198
Fortescue Metals Group		27,506		131
Harvey Norman Holdings		38,002		131
Healthscope		82,236		142
Incitec Pivot		29,314		84
Insurance Australia Group		17,664		82
LendLease Group		3,959		47
Origin Energy*		40,531		218
Qantas Airways		25,771		77
Ramsay Health Care		5,073		271
REA Group		2,602		118
Santos*		26,897		78
Scentre Group		11,668		38
SEEK		7,445		90
Sonic Healthcare		16,500		278
South32		36,210		76
Sydney Airport		20,066		104
Tabcorp Holdings		34,462		125
Tatts Group		44,420		150
Telstra, Cl B		88,932		316
TPG Telecom		28,076		149
Transurban Group		13,849		123
Treasury Wine Estates		30,987		289
Vicinity Centres‡		28,772		62
Vocus Group		16,502		54
Wesfarmers		4,028		139
Westfield		9,207		62
Westpac Banking		2,441		65
Woodside Petroleum		6,856		168
Woolworths		9,620		195

				7,526


Austria — 0.0%
Andritz		4,304		216
Erste Group Bank		4,076		133
OMV		9,074		358
Raiffeisen Bank International*		8,262		187
voestalpine		5,195		205

				1,099


Belgium — 0.1%
Ageas		2,714		106
Anheuser-Busch InBev		1,572		173
Colruyt		6,336		312
Groupe Bruxelles Lambert		357		33
KBC Group		1,942		129
Proximus SADP		13,839		435
Solvay		1,290		158
Telenet Group Holding*		7,685		458
UCB, Cl A		6,939		540


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Umicore		4,213	$	241

				2,585


Canada — 0.4%
Alimentation Couche-Tard, Cl B		5,390		243
Atco, Cl I		9,853		382
Bank of Montreal		518		39
Bank of Nova Scotia, Cl C		1,590		93
BCE		9,904		437
BlackBerry*		20,413		158
Bombardier, Cl B*		74,372		114
CAE		9,180		140
Canadian National Railway		2,192		161
Canadian Natural Resources		4,257		139
Canadian Pacific Railway		641		94
Canadian Tire, Cl A		1,352		160
Canadian Utilities, Cl A		12,946		378
CGI Group, Cl A*		6,993		334
CI Financial		3,354		66
Constellation Software		636		312
Crescent Point Energy, Cl F		4,916		53
Dollarama		3,044		252
Empire, Cl A		15,307		233
Enbridge		9,337		391
Encana		8,974		105
Fairfax Financial Holdings		200		91
First Capital Realty		4,150		62
First Quantum Minerals (Canada)		2,143		23
Fortis		12,651		418
Franco-Nevada		1,000		65
George Weston		2,265		197
Gildan Activewear		4,096		110
H&R‡		4,787		83
Husky Energy*		5,232		59
Imperial Oil		2,707		82
Intact Financial		1,580		112
Jean Coutu Group, Cl A		11,072		174
Loblaw		4,092		221
Magna International, Cl A		2,438		105
Methanex		1,070		50
Metro, Cl A		7,776		238
National Bank of Canada		870		36
Open Text		9,748		330
Potash Corp of Saskatchewan		2,157		37
PrairieSky Royalty		2,615		55
Restaurant Brands International		2,608		145
RioCan‡		3,430		67
Rogers Communications, Cl B		8,565		378
Royal Bank of Canada		1,066		77
Saputo		5,318		183
Shaw Communications, Cl B		7,879		163
Silver Wheaton		3,032		63


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
SNC-Lavalin Group		1,669	$	65
Suncor Energy		1,464		45
Teck Resources, Cl B		2,423		53
TELUS		9,642		312
Thomson Reuters, Cl B		4,373		189
Toronto-Dominion Bank		1,857		93
TransCanada		2,000		92
Turquoise Hill Resources*		6,748		20
Valeant Pharmaceuticals International*		10,021		110
Vermilion Energy		2,483		93

				8,980


Chile — 0.0%
Antofagasta		8,667		90


China — 0.0%
Sands China		18,800		87
Yangzijiang Shipbuilding Holdings		175,548		142

				229


Denmark — 0.1%
AP Moeller - Maersk, Cl A		102		165
AP Moeller - Maersk, Cl B		99		165
Carlsberg, Cl B		3,116		289
Chr Hansen Holding		4,349		280
Coloplast, Cl B		4,159		326
Danske Bank		6,879		235
DONG Energy (C)		2,370		92
Genmab*		996		192
Novo Nordisk, Cl B		5,821		200
Novozymes, Cl B		7,255		288
Pandora		1,416		157
TDC		79,788		413
Tryg		10,215		186
Vestas Wind Systems		1,356		111
William Demant Holding*		20,776		435

				3,534


Finland — 0.1%
Elisa		10,422		370
Fortum		21,754		345
Kone, Cl B		2,993		132
Metso		2,878		87
Neste		13,857		542
Nokia		58,083		312
Nokian Renkaat		5,363		225
Orion, Cl B		11,412		597
Sampo, Cl A		3,627		172
Stora Enso, Cl R		16,819		199
UPM-Kymmene, Cl V		9,046		213


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Wartsila Abp		2,318	$	124

				3,318


France — 0.3%
Accor		875		37
Aeroports de Paris, Cl A		373		46
Air Liquide		1,030		118
Arkema		1,313		130
Atos		2,646		328
AXA		1,932		50
Bouygues		892		36
Bureau Veritas		900		19
Capgemini		2,596		240
Carrefour		1,443		34
Christian Dior, Cl B		506		118
CNP Assurances		1,903		39
Credit Agricole		5,388		73
Danone		1,646		112
Dassault Systemes		3,513		305
Electricite de France		11,810		100
Engie		13,671		194
Essilor International		3,685		449
Eutelsat Communications		1,501		34
Fonciere Des Regions‡		434		36
Gecina‡		699		95
Groupe Eurotunnel		4,624		47
Hermes International		96		46
ICADE‡		512		38
Iliad		1,128		253
Ingenico Group		1,988		188
JCDecaux		1,173		41
Kering		389		101
Klepierre‡		1,965		77
L’Oreal		607		117
LVMH Moet Hennessy Louis Vuitton		241		53
Natixis		5,679		35
Orange		15,973		249
Pernod Ricard		1,010		120
Remy Cointreau		1,323		130
Renault		450		39
Rexel		3,641		66
Sanofi		4,184		379
Schneider Electric		577		42
SCOR		1,457		55
SFR Group*		6,317		199
Societe BIC		289		36
Societe Generale		2,531		129
STMicroelectronics		30,387		466
Suez		13,641		216
TechnipFMC*		10,656		349
Thales, Cl A		1,344		130
TOTAL		5,406		274


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Valeo		527	$	35
Veolia Environnement		8,189		154
Vinci		822		65
Vivendi		5,328		104
Wendel		681		86

				6,912


Germany — 0.3%
adidas		861		164
Allianz		347		64
BASF		1,028		102
Bayer		1,449		167
Beiersdorf		1,696		161
Brenntag		527		30
Commerzbank*		5,497		50
Continental		286		63
Covestro (C)		1,507		116
Deutsche Bank		2,043		35
Deutsche Boerse		283		26
Deutsche Lufthansa		5,273		86
Deutsche Post		2,302		79
Deutsche Telekom		20,670		363
Deutsche Wohnen		1,750		58
E.ON		26,305		210
Fraport Frankfurt Airport Services Worldwide		1,521		108
Fresenius		4,273		344
Fresenius Medical Care		3,975		336
GEA Group		1,568		67
Hannover Rueck		619		72
HeidelbergCement		879		83
Henkel & KGaA		1,543		172
HUGO BOSS		2,069		151
Infineon Technologies		20,066		411
K+S		2,963		69
LANXESS		1,587		107
Linde		488		81
MAN		398		41
Merck KGaA		2,187		250
Metro		4,277		137
Muenchener Rueckversicherungs-Gesellschaft in Muenchen		274		54
OSRAM Licht		1,575		99
QIAGEN*		7,696		224
RWE*		17,258		287
SAP		4,196		413
Siemens		850		117
Symrise		2,361		157
Telefonica Deutschland Holding		49,505		246
thyssenkrupp		3,604		89
TUI		3,217		44
Uniper		2,630		44
United Internet		6,170		274


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Volkswagen		135	$	20

				6,271


Hong Kong — 0.2%
AIA Group		13,800		87
ASM Pacific Technology		63,400		862
BOC Hong Kong Holdings		15,500		63
Cathay Pacific Airways		77,000		112
Cheung Kong Infrastructure Holdings		43,438		341
Cheung Kong Property Holdings		5,708		39
CK Hutchison Holdings		8,208		101
CLP Holdings, Cl B		58,000		606
Galaxy Entertainment Group*		6,000		33
HK Electric Investments & HK Electric Investments (C)		290,500		268
HKT Trust and HKT		283,920		366
Hong Kong & China Gas		200,158		400
Hutchison Port Holdings, Cl U		150,126		62
Kerry Properties		13,000		45
Li & Fung		154,000		67
Link‡		13,500		95
MGM China Holdings		30,000		63
MTR*		39,500		222
NWS Holdings		90,000		164
PCCW		686,000		404
Power Assets Holdings		44,602		385
Shangri-La Asia		82,000		119
SJM Holdings		52,000		42
Swire Pacific, Cl A		4,000		40
Swire Properties		18,400		59
Techtronic Industries		31,500		128
WH Group (C)		469,000		404
Wynn Macau		27,600		56
Yue Yuen Industrial Holdings		30,500		120

				5,753


Ireland — 0.1%
Accenture, Cl A		1,413		170
Bank of Ireland*		430,737		108
CRH		8,888		314
Eaton		2,114		157
Kerry Group, Cl A		4,069		321
Paddy Power Betfair		3,752		403
Ryanair Holdings ADR*		4,036		335

				1,808


Israel — 0.1%
Azrieli Group		2,954		156
Bank Hapoalim		29,177		178
Bank Leumi Le-Israel*		39,720		175
Bezeq The Israeli Telecommunication		257,197		461
Check Point Software Technologies*		3,321		341


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Israel Chemicals		66,305	$	281
Mizrahi Tefahot Bank		12,761		216
NICE-Systems		6,857		460
Teva Pharmaceutical Industries		8,872		291

				2,559


Italy — 0.1%
Assicurazioni Generali		2,134		34
Atlantia		3,095		80
CNH Industrial		12,849		124
Enel		67,914		321
Eni		16,512		271
EXOR		1,900		99
Ferrari		3,250		242
Fiat Chrysler Automobiles*		18,029		198
Italgas		7,823		34
Leonardo-Finmeccanica		10,324		147
Luxottica Group		2,908		161
Mediobanca		8,384		76
Prysmian		5,661		150
Saipem*		451,982		206
Snam Rete Gas		39,115		170
Telecom Italia*		511,570		411
Tenaris		15,473		266
Terna Rete Elettrica Nazionale		44,057		219
UnipolSai Assicurazioni		31,346		69

				3,278


Japan — 0.7%
Aeon, Cl H		5,800		85
AEON Financial Service		4,700		88
Air Water		5,000		92
Aisin Seiki		800		39
Ajinomoto		7,000		138
Alfresa Holdings		6,800		118
ANA Holdings		20,000		61
Aozora Bank		31,000		114
Asahi Group Holdings		2,800		106
Asahi Kasei		9,000		87
Astellas Pharma		8,000		105
Bank of Kyoto		12,000		87
Benesse, Cl A		2,700		84
Bridgestone		2,000		81
Calbee		2,000		68
Canon*		2,600		81
Central Japan Railway		400		65
Chiba Bank, Cl B		21,000		135
Chubu Electric Power		11,300		151
Chugai Pharmaceutical		2,500		86
Chugoku Bank		7,600		110
Chugoku Electric Power		12,200		135
Concordia Financial Group		24,000		111


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Credit Saison		5,700	$	102
Daicel		3,800		46
Daito Trust Construction		500		69
Daiwa House Industry		3,000		86
Daiwa Securities Group		18,000		110
Dentsu		1,000		54
Eisai		2,000		103
Electric Power Development		6,100		143
FamilyMart UNY Holdings, Cl H		2,600		155
Fast Retailing		100		31
FUJIFILM Holdings		2,200		86
Fukuoka Financial Group		29,000		125
Hachijuni Bank		23,000		130
Hankyu Hanshin Holdings		1,400		45
Hino Motors		3,600		44
Hirose Electric		840		116
Hiroshima Bank		31,000		132
Hisamitsu Pharmaceutical		2,500		143
Hitachi Chemical		3,039		84
Hitachi Metals		5,000		70
Hokuriku Electric Power		11,100		108
Idemitsu Kosan		13,100		455
Inpex		21,000		206
Iyo Bank		13,500		91
J Front Retailing		3,000		44
Japan Prime Realty Investment, Cl A‡		24		93
Japan Real Estate Investment‡		16		85
Japan Retail Fund Investment, Cl A‡		32		63
JXTG Holdings		138,000		677
Kajima		7,000		46
Kamigumi		8,000		69
Kaneka		12,000		89
Kansai Electric Power		10,800		132
Kansai Paint		3,000		64
Kao		1,800		99
KDDI		10,900		286
Keikyu		4,000		44
Keio		3,000		24
Keyence		400		160
Kikkoman		4,000		119
Kintetsu Group Holdings		15,000		54
Kirin Holdings		6,100		115
Konami Holdings		3,656		155
Kyocera		900		50
Kyowa Hakko Kirin		6,400		101
Kyushu Electric Power		9,400		100
Lawson		1,200		81
LIXIL Group		3,000		76
M3		3,600		89
Marubeni		15,700		97
Maruichi Steel Tube		3,200		91
McDonald’s Holdings Japan		1,623		47


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Mebuki Financial Group		33,930	$	136
Medipal Holdings		6,500		102
MEIJI Holdings		2,000		166
Miraca Holdings		2,800		129
Mitsubishi Chemical Holdings, Cl B		4,700		36
Mitsubishi Motors		4,200		25
Mitsubishi Tanabe Pharma		7,400		154
Mitsui Chemicals		9,000		44
Mizuho Financial Group		45,700		84
Murata Manufacturing		500		71
NEC		12,000		29
NGK Spark Plug		2,600		59
NH Foods		4,000		107
NHK Spring		3,000		33
Nintendo		500		116
Nippon Building Fund‡		13		71
Nippon Express		13,000		67
Nippon Prologis‡		36		78
Nippon Steel & Sumitomo Metal		2,855		66
Nippon Telegraph & Telephone		9,600		409
Nisshin Seifun Group		9,415		140
Nissin Food Products		2,000		111
Nitori Holdings		400		51
NOK		1,500		35
Nomura Research Institute		2,178		80
NTT Data		2,000		95
NTT DOCOMO		16,300		379
Odakyu Electric Railway		1,500		29
Oji Holdings		22,000		103
Ono Pharmaceutical		2,400		50
Oracle Japan*		1,900		108
Osaka Gas		78,000		296
Otsuka Holdings		3,400		153
Resona Holdings		27,900		150
Rohm		800		53
Ryohin Keikaku		200		44
Sankyo		1,100		37
Santen Pharmaceutical		7,500		109
Sekisui Chemical		3,000		50
Seven & i Holdings		2,100		82
Seven Bank		30,200		99
Shikoku Electric Power		9,400		103
Shimadzu		6,000		95
Shimizu		3,000		27
Shin-Etsu Chemical, Cl A		1,100		95
Shiseido		3,900		103
Shizuoka Bank		12,000		98
Showa Shell Sekiyu		29,300		296
SoftBank		4,800		339
Subaru		900		33
Sumitomo		6,500		87
Sumitomo Metal Mining		8,000		114


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Sumitomo Rubber Industries		100	$	2
Suntory Beverage & Food		2,800		118
Suzuken		2,760		90
Sysmex		1,700		103
Taisei		5,000		36
Taisho Pharmaceutical Holdings		1,000		81
Takeda Pharmaceutical		2,600		122
Teijin		4,800		90
Terumo		4,000		139
Tobu Railway		17,000		86
Toho		1,600		42
Toho Gas		42,063		297
Tohoku Electric Power		8,400		114
Tokyo Electric Power Holdings*		4,200		16
Tokyo Gas		62,000		282
Tokyu		4,000		28
Toray Industries		10,000		89
TOTO		1,000		38
Toyo Seikan Group Holdings		1,900		31
Toyo Suisan Kaisha		3,000		112
Toyota Industries		1,900		94
Toyota Motor		1,700		92
Unicharm		4,900		117
United Urban Investment‡		66		101
USS		5,600		93
Yakult Honsha		1,800		100
Yamaguchi Financial Group		9,000		97
Yamato Holdings		1,400		29
Yamazaki Baking		5,000		103

				16,479


Luxembourg — 0.0%
RTL Group		682		55
SES, Cl A		1,713		40

				95


Netherlands — 0.2%
Aegon		27,244		139
Akzo Nobel		2,588		215
Altice*		7,879		179
Altice, Cl B*		11,055		251
ArcelorMittal*		29,025		245
ASML Holding		3,148		419
Coca-Cola European Partners		2,967		111
Gemalto		4,556		255
Heineken		1,925		164
ING Groep		10,046		152
Koninklijke Ahold Delhaize		20,056		430
Koninklijke Boskalis Westminster		1,861		64
Koninklijke DSM		3,445		234
Koninklijke KPN		91,067		275
Koninklijke Philips		3,383		109


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Koninklijke Vopak		10,682	$	467
LyondellBasell Industries, Cl A		3,347		305
NN Group		3,780		123
NXP Semiconductors*		2,141		222
OCI*		4,290		83
Randstad Holding		1,641		95
RELX		10,973		204
Unibail-Rodamco‡		139		32
Unilever		3,312		165
Wolters Kluwer		4,597		192

				5,130


New Zealand — 0.1%
Auckland International Airport		70,442		333
Contact Energy		79,201		280
Fletcher Building		46,704		271
Mercury NZ		112,969		249
Meridian Energy		170,649		334
Ryman Healthcare		45,110		265
Spark New Zealand		147,825		362

				2,094


Norway — 0.1%
DNB, Cl A		9,226		146
Gjensidige Forsikring		10,608		162
Marine Harvest		9,931		152
Norsk Hydro		51,688		300
Orkla		30,555		274
Schibsted, Cl B		4,860		111
Statoil		26,354		450
Telenor		17,631		293
Yara International		3,178		122

				2,010


Panama — 0.0%
Carnival		2,195		129


Portugal — 0.0%
Banco Espirito Santo*		50,830		—
EDP - Energias de Portugal		85,324		290
Galp Energia SGPS		20,070		305
Jeronimo Martins		16,644		299

				894


Singapore — 0.1%
CapitaLand		33,800		88
CapitaLand Commercial Trust‡		53,667		59
DBS Group Holdings		7,800		108
Genting Singapore		238,600		174
Global Logistic Properties		42,000		84
Golden Agri-Resources		928,100		256


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Jardine Cycle & Carriage		6,200	$	195
Keppel		16,600		82
Noble Group*		170,100		24
Oversea-Chinese Banking		12,800		89
Sembcorp Industries		31,300		71
Sembcorp Marine		42,000		58
Singapore Airlines		21,300		154
Singapore Exchange		22,900		126
Singapore Press Holdings		97,800		249
Singapore Technologies Engineering		25,400		68
Singapore Telecommunications		116,700		327
StarHub		141,300		291
United Overseas Bank		5,300		84
UOL Group		7,072		35
Wilmar International		89,200		225

				2,847


Spain — 0.2%
Abertis Infraestructuras		5,513		89
ACS Actividades de Construccion y Servicios		2,833		97
Aena (C)		765		121
Amadeus IT Group, Cl A		11,484		584
Banco Bilbao Vizcaya Argentaria		10,923		85
Banco Santander		24,737		152
Bankia		80,911		92
CaixaBank		30,255		130
Distribuidora Internacional de Alimentacion		38,251		222
Enagas		5,493		143
Endesa		4,836		114
Ferrovial		4,529		91
Gas Natural SDG		6,561		144
Grifols		14,620		360
Iberdrola		26,058		187
Industria de Diseno Textil		9,200		325
International Consolidated Airlines Group		7,033		47
Red Electrica		8,320		160
Repsol, Cl A		25,262		391
Telefonica		18,046		202
Zardoya Otis		7,495		70

				3,806


Sweden — 0.2%
Alfa Laval		3,670		69
Atlas Copco, Cl A		1,818		64
Atlas Copco, Cl B		1,891		60
Boliden		12,111		362
Electrolux		4,260		119
Getinge, Cl B		16,980		299
Hennes & Mauritz, Cl B		4,059		104
Hexagon, Cl B		8,618		347
Husqvarna, Cl B		17,924		158
ICA Gruppen		6,378		218


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Industrivarden, Cl C		4,865	$	106
Kinnevik		1,565		42
Lundin Petroleum*		24,445		498
Millicom International Cellular*		2,887		162
Nordea Bank		6,982		80
Skandinaviska Enskilda Banken, Cl A		7,936		89
SKF, Cl B		8,542		170
Svenska Cellulosa SCA, Cl B		6,221		201
Svenska Handelsbanken, Cl A		2,082		29
Swedbank, Cl A		2,347		55
Swedish Match		5,303		173
Tele2, Cl B		24,845		238
Telefonaktiebolaget LM Ericsson, Cl B		53,405		358
Telia		44,427		187
Volvo, Cl B		6,277		93

				4,281


Switzerland — 0.2%
ABB		4,545		106
Actelion*		1,191		336
Adecco Group		1,187		84
Aryzta		3,114		100
Baloise Holding		496		68
Barry Callebaut*		121		158
Chocoladefabriken Lindt & Spruengli		31		297
Cie Financiere Richemont		1,741		138
Coca-Cola HBC		3,429		88
Dufry*		1,505		229
EMS-Chemie Holding		353		206
Galenica		161		170
Geberit		215		93
Givaudan		89		160
Kuehne & Nagel International		661		93
LafargeHolcim		843		50
Lonza Group		1,178		223
Nestle		1,850		142
Novartis		2,503		186
Partners Group Holding		322		173
Roche Holding		898		230
Schindler Holding		1,164		223
SGS, Cl B		41		88
Sika		37		222
Sonova Holding		1,666		231
Swatch Group		1,778		124
Swatch Group, Cl B		331		119
Swiss Life Holding		254		82
Swisscom		1,199		554
Syngenta*		280		124
TE Connectivity		2,040		152
Transocean*		13,803		172

				5,421


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)

United Kingdom — 0.3%
Aberdeen Asset Management		4,451	$	15
Admiral Group		3,076		77
Anglo American*		12,831		196
Associated British Foods		2,191		71
AstraZeneca		3,801		233
Auto Trader Group (C)		48,359		237
Aviva		4,112		27
Barratt Developments		14,410		98
BHP Billiton		4,135		64
BP		50,616		290
British American Tobacco		1,681		111
BT Group, Cl A		59,549		237
Bunzl		3,000		87
Burberry Group		1,376		30
Capita		2,265		16
Centrica		91,279		248
Cobham		76,406		127
Compass Group		5,292		100
Croda International		2,513		112
Delphi Automotive		1,026		83
Diageo		2,888		82
Dixons Carphone		10,596		42
easyJet		3,512		45
Experian		2,610		53
G4S		16,567		63
GlaxoSmithKline		14,130		293
Glencore		35,516		139
Hikma Pharmaceuticals		5,080		126
IMI		1,574		23
Imperial Brands		2,202		106
Inmarsat		37,473		399
InterContinental Hotels Group		1,274		62
Intertek Group		544		27
ITV		11,950		33
J Sainsbury		21,670		72
Johnson Matthey		1,866		72
Marks & Spencer Group		10,789		45
Mediclinic International		15,345		137
National Grid		20,542		260
Next, Cl A		560		30
Pearson		7,800		67
Petrofac		15,865		182
Reckitt Benckiser Group		1,075		98
RELX		3,034		59
Rio Tinto		4,054		179
Royal Dutch Shell, Cl A		9,648		253
Royal Dutch Shell, Cl B		9,779		267
Royal Mail		6,924		37
RSA Insurance Group		7,664		56
Sage Group		34,684		273
Severn Trent		8,989		268


Description	Shares		Market Value ($ Thousands)


FOREIGN COMMON STOCK (continued)
Shire		3,125	$	182
Sky*		5,534		68
Smith & Nephew		15,129		230
Smiths Group		4,570		93
SSE		11,470		212
Tate & Lyle		7,790		74
Travis Perkins		3,353		63
Unilever		2,107		104
United Utilities Group, Cl B		17,772		221
Vodafone Group		136,374		355
Whitbread		1,095		54
Wm Morrison Supermarkets		34,659		104
Worldpay Group (C)		57,601		213
WPP		2,771		61

				8,341

Total Foreign Common Stock (Cost $93,681) ($ Thousands)				105,469


COMMON STOCK — 3.7%

Consumer Discretionary — 0.3%
Advance Auto Parts		730		108
Amazon.com, Cl A*		164		145
Autonation*		1,850		78
Autozone*		115		83
Bed Bath & Beyond		2,455		97
Best Buy		2,195		108
BorgWarner		3,275		137
CarMax*		1,714		102
CBS, Cl B		891		62
Charter Communications, Cl A*		340		111
Chipotle Mexican Grill, Cl A*		282		126
Coach		5,184		214
Comcast, Cl A		2,442		92
Darden Restaurants		2,025		169
Discovery Communications, Cl A*		2,996		87
Discovery Communications, Cl C*		3,273		93
Dollar General		1,154		80
Dollar Tree*		1,039		82
DR Horton		2,237		75
Expedia		1,058		133
Foot Locker, Cl A		2,052		154
Ford Motor		8,016		93
Gap		3,519		85
Garmin		1,579		81
General Motors		2,216		78
Genuine Parts		974		90
Goodyear Tire & Rubber		1,985		71
H&R Block		4,738		110
Hanesbrands		3,911		81
Harley-Davidson, Cl A		2,718		164


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Hasbro		950	$	95
Home Depot		660		97
Interpublic Group		4,700		115
Johnson Controls International		6,450		272
Kohl’s		2,633		105
L Brands		1,688		80
Leggett & Platt		1,629		82
Lennar, Cl A		2,151		110
LKQ*		2,760		81
Lowe’s		1,189		98
Macy’s		2,465		73
Marriott International, Cl A		3,129		295
Mattel		3,641		93
McDonald’s		1,006		130
Michael Kors Holdings*		1,898		72
Mohawk Industries*		603		138
NetFlix*		798		118
Newell Brands, Cl B		1,797		85
News, Cl A		10,261		133
News, Cl B		6,800		92
Nike, Cl B		2,242		125
Nordstrom		1,762		82
Omnicom Group		2,049		177
O’Reilly Automotive*		309		83
Priceline Group*		50		89
PulteGroup		2,869		68
PVH		977		101
Ralph Lauren, Cl A		1,031		84
Ross Stores		2,214		146
Royal Caribbean Cruises		1,209		119
Scripps Networks Interactive, Cl A		1,434		112
Signet Jewelers		1,118		77
Staples		13,000		114
Starbucks		2,467		144
Target, Cl A		1,487		82
TEGNA		3,155		81
Tiffany		1,689		161
Time Warner		1,132		111
TJX		1,183		94
Tractor Supply		1,391		96
TripAdvisor*		2,510		108
Twenty-First Century Fox, Cl A		2,526		82
Twenty-First Century Fox, Cl B		3,644		116
Ulta Salon Cosmetics & Fragrance*		470		134
Under Armour, Cl A*		3,892		77
Under Armour, Cl C*		3,047		56
Urban Outfitters*		3,420		81
VF		1,799		99
Viacom, Cl B		1,904		89
Walt Disney		1,190		135
Whirlpool		397		68
Wyndham Worldwide		1,075		91


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Wynn Resorts		1,014	$	116
Yum China Holdings*		1,420		39
Yum! Brands		1,420		91

				9,081


Consumer Staples — 0.4%
Altria Group		3,905		279
Archer-Daniels-Midland		8,119		374
Brown-Forman, Cl B		5,136		237
Campbell Soup		4,237		242
Church & Dwight		7,552		377
Clorox		1,950		263
Coca-Cola		5,902		250
Colgate-Palmolive		5,396		395
ConAgra Foods		6,299		254
Constellation Brands, Cl A		1,639		266
Costco Wholesale		2,243		376
Coty, Cl A		8,500		154
CVS Health		2,823		222
Dr Pepper Snapple Group		2,934		287
Estee Lauder, Cl A		3,029		257
General Mills		4,478		264
Hershey		4,539		496
Hormel Foods		10,103		350
JM Smucker		2,365		310
Kellogg		3,168		230
Kimberly-Clark		2,375		313
Kraft Heinz		4,045		367
Kroger		7,623		225
Lamb Weston Holdings		2,099		88
McCormick		3,299		322
Mead Johnson Nutrition, Cl A		3,862		344
Molson Coors Brewing, Cl B		3,046		291
Mondelez International, Cl A		5,619		242
Monster Beverage*		6,570		303
PepsiCo		2,423		271
Philip Morris International		2,328		263
Procter & Gamble		2,984		268
Reynolds American		4,913		310
SYSCO, Cl A		5,177		269
Tyson Foods, Cl A		3,419		211
Walgreens Boots Alliance		3,532		293
Wal-Mart Stores		4,991		360
Whole Foods Market		9,948		296

				10,919


Energy — 0.3%
Anadarko Petroleum, Cl A		2,311		143
Apache		3,437		177
Baker Hughes		4,278		256
Cabot Oil & Gas		6,882		165
Chesapeake Energy*		26,966		160


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Chevron		2,251	$	242
Cimarex Energy		1,622		194
Concho Resources*		1,972		253
ConocoPhillips		4,596		229
Devon Energy		4,496		188
Diamond Offshore Drilling*		8,978		150
EOG Resources		2,565		250
EQT		3,315		202
ExxonMobil		2,881		236
Halliburton		5,364		264
Helmerich & Payne		3,032		202
Hess		3,644		176
Kinder Morgan		8,493		185
Marathon Oil		10,683		169
Marathon Petroleum		4,014		203
Murphy Oil		5,767		165
National Oilwell Varco, Cl A		6,758		271
Newfield Exploration*		4,105		151
Noble Energy		5,104		175
Occidental Petroleum		3,639		231
Oneok		6,107		339
Phillips 66		3,313		262
Pioneer Natural Resources		1,390		259
Range Resources		3,619		105
Schlumberger, Cl A		3,885		303
Southwestern Energy*		7,514		61
TechnipFMC*		7,037		229
Tesoro		2,422		196
Valero Energy		3,835		254
Williams		7,626		226

				7,271


Financials — 0.3%
Affiliated Managers Group		586		96
Aflac		669		48
Allstate		963		79
American Express		1,241		98
American International Group		2,014		126
Ameriprise Financial		614		80
Aon		1,040		123
Arthur J. Gallagher		2,093		118
Assurant		976		93
Bank of America		3,043		72
Bank of New York Mellon		1,559		74
BB&T		1,795		80
Berkshire Hathaway, Cl B*		698		116
BlackRock		151		58
Capital One Financial		700		61
Charles Schwab		2,369		97
Chubb		1,185		162
Cincinnati Financial		2,017		146
Citigroup		1,388		83


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Citizens Financial Group		3,013	$	104
CME Group		1,198		142
Comerica		1,055		72
Discover Financial Services		1,159		79
ETrade Financial		4,160		145
Fifth Third Bancorp		5,885		150
Franklin Resources		1,671		70
Goldman Sachs Group		268		62
Hartford Financial Services Group		2,184		105
Huntington Bancshares		5,352		72
Intercontinental Exchange		1,550		93
Invesco		1,903		58
JPMorgan Chase		873		77
KeyCorp		3,605		64
Legg Mason		1,384		50
Leucadia National		7,057		184
Lincoln National		1,000		65
Loews		1,145		54
M&T Bank		901		139
Marsh & McLennan		1,756		130
MetLife		2,745		145
Moody’s		673		75
Morgan Stanley		3,723		160
Nasdaq, Cl A		1,585		110
Navient		5,548		82
Northern Trust		1,046		91
People’s United Financial		4,631		84
PNC Financial Services Group		968		116
Principal Financial Group, Cl A		2,672		169
Progressive		2,974		117
Prudential Financial		1,201		128
Regions Financial		10,217		148
S&P Global		1,004		131
State Street		770		61
SunTrust Banks		1,338		74
Synchrony Financial		3,561		122
T. Rowe Price Group		1,457		99
Torchmark, Cl A		2,083		161
Travelers		849		102
Unum Group		1,475		69
US Bancorp		2,336		120
Wells Fargo		3,144		175
Willis Towers Watson		432		57
XL Group		2,550		102
Zions Bancorporation		2,651		111

				6,534


Health Care — 0.4%
Abbott Laboratories		5,349		238
AbbVie		2,438		159
Aetna, Cl A		1,342		171
Agilent Technologies		4,929		261


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Alexion Pharmaceuticals*		963	$	117
Allergan		620		148
AmerisourceBergen, Cl A		1,376		122
Amgen, Cl A		840		138
Anthem		1,304		216
Baxter International		4,092		212
Becton Dickinson		1,426		262
Biogen*		478		131
Boston Scientific*		9,145		227
Bristol-Myers Squibb		2,001		109
C.R. Bard		1,046		260
Cardinal Health		1,831		149
Celgene, Cl A*		1,304		162
Centene*		1,976		141
Cerner*		3,217		189
Cigna		1,350		198
DaVita HealthCare Partners*		2,885		196
DENTSPLY SIRONA		2,721		170
Edwards Lifesciences, Cl A*		1,836		173
Eli Lilly		1,884		158
Endo International*		6,159		69
Express Scripts Holding*		2,680		177
Gilead Sciences		1,480		100
HCA Holdings*		1,960		174
Henry Schein*		830		141
Hologic*		5,088		216
Humana		1,000		206
Illumina*		1,071		183
Intuitive Surgical*		262		201
Johnson & Johnson		2,358		294
Laboratory Corp of America Holdings*		1,602		230
Mallinckrodt*		1,409		63
McKesson		792		117
Medtronic		2,224		179
Merck		2,621		166
Mylan*		2,967		116
Patterson		4,669		211
PerkinElmer		2,942		171
Perrigo		1,103		73
Pfizer		6,421		220
Quest Diagnostics		2,313		227
Regeneron Pharmaceuticals*		338		131
Stryker		1,505		198
Taro Pharmaceutical Industries*		3,432		400
Thermo Fisher Scientific		1,047		161
UnitedHealth Group		1,173		192
Universal Health Services, Cl B		1,166		145
Varian Medical Systems*		2,224		203
Vertex Pharmaceuticals*		1,215		133
Waters*		1,193		186
Zimmer Biomet Holdings		1,594		195


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Zoetis, Cl A		2,648	$	141

				9,926


Industrials — 0.4%
3M		1,244		238
Acuity Brands		340		69
Alaska Air Group		478		44
Allegion		2,213		168
American Airlines Group		2,945		125
Ametek		1,885		102
Arconic		7,181		189
Boeing		1,037		183
C.H. Robinson Worldwide		2,024		156
Caterpillar, Cl A		1,117		104
Cintas		1,885		239
CSX		4,880		227
Cummins		1,302		197
Danaher, Cl A		1,081		92
Deere		1,562		170
Delta Air Lines, Cl A		3,091		142
Dover		1,286		103
Dun & Bradstreet		1,003		108
Emerson Electric		3,514		210
Equifax		1,030		141
Expeditors International of Washington		3,505		198
Fastenal, Cl A		2,002		103
FedEx		581		113
Flowserve		1,736		84
Fluor		1,781		94
Fortive		540		33
Fortune Brands Home & Security		1,500		91
General Dynamics		849		159
General Electric		3,393		101
Honeywell International		835		104
Illinois Tool Works		945		125
Ingersoll-Rand		1,653		134
Jacobs Engineering Group		2,905		161
JB Hunt Transport Services		1,502		138
Kansas City Southern		1,143		98
L3 Technologies		1,255		207
Lockheed Martin		518		139
Masco		3,446		117
Nielsen Holdings		2,902		120
Norfolk Southern		1,519		170
Northrop Grumman		759		181
PACCAR		1,691		114
Parker-Hannifin, Cl A		653		105
Pentair		2,268		142
Pitney Bowes		4,588		60
Quanta Services*		3,494		130
Raytheon		872		133
Republic Services		3,860		242


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Robert Half International		3,077	$	150
Rockwell Automation		1,359		212
Rockwell Collins		1,112		108
Roper Technologies		466		96
Ryder System		1,472		111
Snap-on		801		135
Southwest Airlines, Cl A		3,040		163
Stanley Black & Decker		854		114
Stericycle, Cl A*		1,394		116
Textron		2,415		115
TransDigm Group*		200		44
Union Pacific		1,324		140
United Continental Holdings*		2,649		187
United Parcel Service, Cl B		975		105
United Rentals*		1,181		148
United Technologies		1,125		126
Verisk Analytics, Cl A*		1,825		148
Waste Management		3,332		243
WW Grainger		632		147
Xylem		3,160		159

				9,370


Information Technology — 0.4%
Activision Blizzard		3,303		165
Adobe Systems*		1,333		173
Akamai Technologies*		2,138		128
Alliance Data Systems		672		167
Alphabet, Cl A*		135		114
Alphabet, Cl C*		158		131
Amphenol, Cl A		1,661		118
Analog Devices		2,324		191
Apple		1,192		171
Applied Materials		5,515		215
Autodesk, Cl A*		2,022		175
Automatic Data Processing		1,236		127
Broadcom, Cl A		770		169
CA		4,037		128
Cisco Systems		3,423		116
Citrix Systems*		1,207		101
Cognizant Technology Solutions, Cl A		1,460		87
Conduent*		2,321		39
Corning, Cl B		6,188		167
CSRA		4,599		135
Dell Technologies - VMware, Cl V*		647		41
eBay*		4,896		164
Electronic Arts*		1,819		163
F5 Networks, Cl A*		1,077		154
Facebook, Cl A*		855		121
Fidelity National Information Services, Cl B		1,370		109
First Solar*		1,938		53
Fiserv, Cl A*		1,220		141
Flir Systems		3,188		116


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Global Payments		1,650	$	133
Harris		1,630		181
Hewlett Packard Enterprise		5,885		139
HP		8,533		153
Intel		4,494		162
International Business Machines		793		138
Intuit		1,158		134
Juniper Networks		4,939		137
KLA-Tencor		1,572		149
Lam Research		1,568		201
MasterCard, Cl A		1,158		130
Microchip Technology		2,532		187
Micron Technology*		7,551		218
Microsoft		2,267		149
Mobileye*		5,790		356
Motorola Solutions		1,647		142
NetApp		5,224		219
Nvidia		1,767		192
Oracle, Cl B		2,124		95
Paychex		2,240		132
PayPal Holdings*		3,253		140
Qorvo*		1,591		109
Qualcomm		2,828		162
Red Hat*		1,732		150
salesforce.com*		1,252		103
Seagate Technology		4,322		199
Skyworks Solutions		1,430		140
Symantec, Cl A		7,725		237
Teradata*		3,726		116
Texas Instruments		1,935		156
Total System Services		1,926		103
VeriSign*		1,436		125
Visa, Cl A		1,380		123
Western Digital		2,038		168
Western Union		7,451		152
Xerox		11,605		85
Xilinx		2,202		127
Yahoo!*		3,036		141

				9,762


Materials — 0.3%
Air Products & Chemicals		1,914		259
Albemarle		2,600		275
Alcoa		2,393		82
Avery Dennison		3,753		303
Ball		3,476		258
CF Industries Holdings		9,010		264
Dow Chemical, Cl A		3,819		243
E.I. Du Pont de Nemours		3,495		281
Eastman Chemical		3,217		260
Ecolab		3,373		423
FMC		4,986		347


Description	Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Freeport-McMoRan, Cl B*		15,519	$	207
International Flavors & Fragrances		3,064		406
International Paper		5,522		280
Martin Marietta Materials, Cl A		1,465		320
Monsanto		3,480		394
Mosaic		8,234		240
Newmont Mining		8,759		289
Nucor		5,150		308
Owens-Illinois*		13,803		281
PPG Industries		2,411		253
Praxair		3,536		419
Sealed Air		6,166		269
Sherwin-Williams, Cl A		861		267
Vulcan Materials		2,659		320
WestRock		5,916		308

				7,556


Real Estate — 0.1%
American Tower, Cl A‡		1,449		176
Apartment Investment & Management, Cl A‡		2,812		125
AvalonBay Communities‡		979		180
Boston Properties‡		488		65
CBRE Group, Cl A*		3,263		113
Crown Castle International‡		1,247		118
Digital Realty Trust, Cl A‡		1,000		106
Equinix‡		391		157
Equity Residential‡		941		59
Essex Property Trust‡		534		124
Extra Space Storage‡		1,522		113
Federal Realty Investment Trust‡		625		83
GGP‡		3,887		90
HCP‡		4,241		133
Host Hotels & Resorts‡		7,223		135
Iron Mountain‡		3,207		114
Kimco Realty‡		2,593		57
Macerich‡		1,104		71
ProLogis‡		2,009		104
Public Storage‡		541		118
Realty Income‡		1,430		85
Simon Property Group‡		730		126
SL Green Realty‡		1,090		116
UDR‡		2,944		107
Ventas‡		1,347		88
Vornado Realty Trust‡		1,108		111
Welltower‡		1,515		107
Weyerhaeuser‡		4,633		157

				3,138


Telecommunication Services — 0.3%
AT&T		58,821		2,444
CenturyTel		79,156		1,866
Frontier Communications		400,751		858


Description		Shares		Market Value ($ Thousands)


COMMON STOCK (continued)
Level 3 Communications*			26,693	$	1,527
Verizon Communications			43,437		2,117

					8,812


Utilities — 0.5%
AES			42,041		470
Alliant Energy			10,850		430
Ameren			8,493		464
American Electric Power			5,845		392
American Water Works			6,081		473
Centerpoint Energy			18,582		512
CMS Energy			9,350		418
Consolidated Edison			5,188		403
Dominion Resources			5,265		408
DTE Energy			4,990		510
Duke Energy			4,970		408
Edison International			5,948		474
Entergy			5,464		415
Eversource Energy			8,691		511
Exelon			12,325		443
FirstEnergy			12,836		408
NextEra Energy			3,446		442
NiSource			18,942		451
NRG Energy			27,164		508
PG&E			7,506		498
Pinnacle West Capital			5,992		500
PPL			11,490		430
Public Service Enterprise Group			9,147		406
SCANA			5,783		378
Sempra Energy			4,307		476
Southern			7,558		376
WEC Energy Group			6,997		424
Xcel Energy			10,425		463

					12,491

Total Common Stock (Cost $74,865) ($ Thousands)					94,860


		Face Amount (Thousands)

CORPORATE OBLIGATIONS — 2.4%

Consumer Discretionary — 0.1%
Toyota Motor Credit MTN (B)
3.400%, 09/15/2021	$		150		156
1.375%, 01/10/2018			1,000		1,000
Trustees of Dartmouth College
4.750%, 06/01/2019 (B)			150		159
University of Southern California
5.250%, 10/01/2111 (B)			100		117

					1,432


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)

Consumer Staples — 0.1%
Coca-Cola (B)
3.200%, 11/01/2023	$		500	$	515
1.150%, 04/01/2018			1,000		998
Colgate-Palmolive MTN
2.300%, 05/03/2022 (B)			250		250
Wal-Mart Stores
5.250%, 09/01/2035 (B)			1,000		1,181

					2,944


Energy — 0.2%
Chevron (B)
4.950%, 03/03/2019			150		159
2.100%, 05/16/2021			1,000		991
ExxonMobil
3.176%, 03/15/2024 (B)			500		514
Nexen Energy ULC
5.875%, 03/10/2035 (B)			100		117
Shell International Finance
4.375%, 03/25/2020 (B)			1,000		1,065
Statoil
2.450%, 01/17/2023 (B)			250		246
Total Capital International
2.100%, 06/19/2019 (B)			1,000		1,007
XTO Energy (B)
6.750%, 08/01/2037			300		412
6.500%, 12/15/2018			750		809

					5,320


Financials — 1.5%
Australia & New Zealand Banking Group NY MTN (B)
2.250%, 06/13/2019			1,300		1,308
1.875%, 10/06/2017			250		251
Bank of Montreal MTN (B)
2.550%, 11/06/2022			250		248
1.500%, 07/18/2019			1,000		988
1.400%, 09/11/2017			200		200
Bank of New York Mellon
3.550%, 09/23/2021 (B)			200		208
Bank of Nova Scotia (B)
2.800%, 07/21/2021			1,000		1,012
2.050%, 10/30/2018			250		252
Berkshire Hathaway (B)
4.500%, 02/11/2043			500		536
3.400%, 01/31/2022			150		157
2.750%, 03/15/2023			1,000		1,000
Berkshire Hathaway Finance
5.400%, 05/15/2018 (B)			250		261
Canadian Imperial Bank of Commerce (B)
1.600%, 09/06/2019			1,000		991
1.550%, 01/23/2018			500		500


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
CME Group (B)
3.000%, 09/15/2022	$		100	$	102
3.000%, 03/15/2025			1,000		1,000
Commonwealth Bank of Australia NY (B)
2.300%, 09/06/2019			250		252
2.250%, 03/13/2019			250		251
Commonwealth Bank of Australia NY MTN (B)
2.550%, 03/15/2021			1,000		999
1.900%, 09/18/2017			150		151
Cooperatieve Rabobank UA
2.250%, 01/14/2019 (B)			1,000		1,006
JPMorgan Chase Bank
1.650%, 09/23/2019 (B)			1,000		995
KFW (B)
2.500%, 11/20/2024			1,000		1,007
2.375%, 08/25/2021			1,500		1,521
1.875%, 06/30/2020			1,000		1,002
1.875%, 11/30/2020			1,000		997
1.750%, 10/15/2019			1,000		1,003
1.500%, 02/06/2019			1,000		1,001
1.125%, 08/06/2018			1,000		997
0.875%, 09/05/2017			200		200
KFW MTN
2.750%, 09/08/2020 (B)			1,000		1,029
Landwirtschaftliche Rentenbank (B)
2.250%, 10/01/2021			2,000		2,008
1.875%, 09/17/2018			550		554
1.750%, 04/15/2019			200		201
1.375%, 10/23/2019			500		497
1.000%, 04/04/2018			200		199
0.875%, 09/12/2017			300		299
National Australia Bank (B)
3.000%, 01/20/2023			200		201
1.875%, 07/12/2021			500		485
National Australia Bank MTN
2.000%, 01/14/2019 (B)			1,000		1,002
Oesterreichische Kontrollbank (B)
1.875%, 01/20/2021			1,000		993
1.625%, 03/12/2019			1,000		1,000
Royal Bank of Canada MTN (B)
2.200%, 07/27/2018			250		252
2.150%, 03/15/2019			200		201
2.000%, 12/10/2018			1,000		1,004
1.800%, 07/30/2018			200		200
1.625%, 04/15/2019			500		497
1.500%, 01/16/2018			500		500
1.500%, 07/29/2019			1,000		990
Svenska Handelsbanken (B)
2.875%, 04/04/2017			200		200
2.500%, 01/25/2019			200		202
Svenska Handelsbanken MTN (B)
2.450%, 03/30/2021			1,000		997
2.250%, 06/17/2019			300		302


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Toronto-Dominion Bank MTN (B)
2.125%, 07/02/2019	$		250	$	251
2.125%, 04/07/2021			500		496
US Bank
2.125%, 10/28/2019 (B)			400		402
Wells Fargo MTN
1.650%, 01/22/2018 (B)			1,000		999
Wells Fargo Bank
1.750%, 05/24/2019 (B)			1,000		997
Wells Fargo Bank MTN
2.150%, 12/06/2019 (B)			500		502
Westpac Banking (B)
4.875%, 11/19/2019			200		214
2.600%, 11/23/2020			1,000		1,008
2.150%, 03/06/2020			500		500

					39,578


Health Care — 0.1%
Johns Hopkins University
5.250%, 07/01/2019 (B)			18		19
Johnson & Johnson (B)
5.950%, 08/15/2037			300		390
3.375%, 12/05/2023			500		527
2.450%, 03/01/2026			1,000		960
Novartis Securities Investment
5.125%, 02/10/2019 (B)			150		160
Sanofi
4.000%, 03/29/2021 (B)			150		159

					2,215


Industrials — 0.0%
3M MTN
5.700%, 03/15/2037 (B)			150		186


Information Technology — 0.3%
Alphabet
3.625%, 05/19/2021 (B)			150		159
Apple (B)
4.650%, 02/23/2046			1,000		1,073
3.250%, 02/23/2026			1,000		1,010
2.850%, 02/23/2023			1,000		1,010
2.400%, 05/03/2023			250		246
Microsoft (B)
3.950%, 08/08/2056			500		467
3.700%, 08/08/2046			500		470
3.300%, 02/06/2027			1,000		1,015
2.125%, 11/15/2022			500		490
0.875%, 11/15/2017			1,500		1,495

					7,435


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)

Telecommunication Services — 0.0%
Nippon Telegraph & Telephone
1.400%, 07/18/2017 (B)	$		200	$	200


Utilities — 0.1%
Duke Energy Carolinas
2.950%, 12/01/2026 (B)			1,000		984
Florida Power & Light
3.125%, 12/01/2025 (B)			1,000		1,013
Southern California Gas
5.125%, 11/15/2040 (B)			150		174

					2,171

Total Corporate Obligations (Cost $61,982) ($ Thousands)					61,481


		Shares

EXCHANGE TRADED FUND — 1.4%

United States — 1.4%
iShares iBoxx Investment Grade Corporate Bond Fund			309,433		36,485

Total Exchange Traded Fund (Cost $36,436) ($ Thousands)					36,485


PREFERRED STOCK — 0.0%

Germany — 0.0%
Fuchs Petrolub, 0.000%			1,520		74
Henkel & KGaA, 0.000%			1,296		166
Porsche Automobil Holding, 0.000%			342		19
Volkswagen, 0.000%			65		10

Total Preferred Stock (Cost $235) ($ Thousands)					269


		Number of Rights

RIGHTS* — 0.0%

United States — 0.0%
Safeway CVR - Casa Ley‡‡			2,823		3
Safeway CVR - PDC‡‡			2,823		—

Total Rights (Cost $—) ($ Thousands)					3

Total Investments — 78.4% (Cost $1,974,487) ($ Thousands)				$	2,000,202

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Amsterdam Index		116		Apr-2017	$	136
Australian 10-Year Bond		1,301		Jun-2017		2,757
CAC40 10 Euro Index		377		Apr-2017		600
Canadian 10-Year Bond		1,580		Jun-2017		1,056
Dax Index		102		Jun-2017		839
DJ Euro Stoxx 50 Index		1,611		Jun-2017		1,725
Euro-Bob		270		Jun-2017		6
Euro-BTP		740		Jun-2017		294
Euro-Bund		2,061		Jun-2017		(345	)
Euro-Buxl 30 Year Bond		84		Jun-2017		214
FTSE 100 Index		743		Jun-2017		(90	)
FTSE/JSE Top 40 Index		303		Jun-2017		145
FTSE MIB Index		59		Jun-2017		283
Hang Seng Index		108		Apr-2017		(148	)
IBEX 35 Plus Index		32		Apr-2017		177
Japanese 10-Year Bond		37		Jun-2017		5
Japanese 10-Year E-MINI		1,116		Jun-2017		(47	)
KOSPI 200 Index		4		Jun-2017		17
Long Gilt 10-Year Bond		502		Jun-2017		1,060
MSCI Emerging Markets E-MINI		1,758		Jun-2017		2,829
OMX Index		71		Apr-2017		23
Russell 2000 Index E-MINI		1,995		Jun-2017		2,174
S&P 500 Index		16		Jun-2017		(15	)
S&P 500 Index E-MINI		3,554		Jun-2017		(1,279	)
S&P Mid Cap 400 Index E-MINI		264		Jun-2017		268
S&P TSX 60 Index		117		Jun-2017		12
SGX S&P CNX Nifty Index		357		Apr-2017		34
SPI 200 Index		180		Jun-2017		333
Taiwan Index		29		Apr-2017		(10	)
Topix Index		606		Jun-2017		(1,417	)
U.S. 10-Year Treasury Note		737		Jun-2017		563
U.S. 10-Year Treasury Note		3,742		Jun-2007		856
U.S. 2-Year Treasury Note		633		Jul-2007		97
U.S. 5-Year Treasury Note		199		Jun-2017		59
U.S. 5-Year Treasury Note		234		Jun-2007		121
U.S. Long Treasury Bond		305		Jun-2017		216
Brent Crude**		183		Apr-2017		164
Brent Crude**		647		Jun-2017		212
Coffee**		136		Jul-2017		(85	)
Copper**		114		Sep-2017		(294	)
Corn**		252		Jul-2017		30
Corn**		91		Dec-2017		(49	)
Cotton No. 2**		109		Jul-2017		1
Cotton No. 2**		150		Dec-2017		(85	)
Crude Oil**		394		May-2017		485
Dow Jones-UBS Commodity Index**		988		Jun-2017		82
Feeder Cattle**		92		Aug-2017		167
Feeder Cattle**		162		May-2017		410
Gasoil**		212		Jun-2017		89
Gasoline**		115		Jun-2017		292
Gold**		445		Jun-2017		658
Heating Oil**		107		Jun-2017		282
Kansas City Hard Red Winter Wheat**		13		Jul-2017		(28	)


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Lean Hogs**		2		Aug-2017	$	(2	)
Lean Hogs**		217		Jun-2017		(330	)
Live Cattle**		122		Aug-2017		146
Live Cattle**		444		Jun-2017		876
LME Copper**		177		Jun-2017		233
LME Lead**		48		Jun-2017		132
LME Nickel**		186		Jun-2017		(758	)
LME Primary Aluminum**		825		Jun-2017		3,026
LME Zinc**		237		Jun-2017		(166	)
Natural Gas**		458		May-2017		378
Natural Gas**		102		Jun-2017		224
NYMEX Cocoa**		339		Jul-2017		(34	)
S&P - Goldman Sachs Commodity Index**		269		Apr-2017		43
Silver**		252		May-2017		566
Silver**		31		Jul-2017		12
Soybean**		289		Jul-2017		(911	)
Soybean Meal**		263		Jul-2017		(510	)
Soybean Oil**		326		Jul-2017		(549	)
Sugar No. 11**		858		Jun-2017		(1,263	)
Wheat**		76		Jul-2017		(73	)

					$	16,919

A list of the open forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency To Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
04/27/17-06/21/17		GBP	17,788		USD	22,375	$	104
04/24/17-06/21/17		GBP	112,174		USD	138,717		(1,684	)
04/24/17-06/21/17		EUR	138,085		USD	148,841		1,006
06/21/17		EUR	258,218		USD	274,419		(2,824	)
04/27/17		CHF	5,000		USD	5,094		89
06/21/17		CHF	698		USD	695		(6	)
04/27/17		AUD	9,900		USD	7,534		(13	)
06/21/17		CAD	20		USD	15		—
04/27/17		CAD	11,416		USD	8,528		(36	)
04/27/17-06/21/17		HKD	91,469		USD	11,791		7
04/27/17		JPY	1,874,000		USD	17,004		165
06/21/17		USD	68		CAD	91		1
06/21/17		USD	50		CAD	65		(1	)
06/21/17		USD	566		CHF	561		(2	)
06/21/17		CNH	100		USD	14		—
06/21/17		CNH	4,100		USD	592		(1	)
06/21/17		USD	4,088		EUR	3,846		41
06/21/17		USD	1,304		EUR	1,200		(15	)
06/21/17		USD	5,891		HKD	45,664		(5	)
06/21/17		BRL	6,200		USD	1,974		57
06/21/17		USD	9,416		CNH	65,400		41
06/21/17		USD	275		CNH	1,900		—
06/21/17		MXN	11,900		USD	615		(9	)
06/21/17		USD	25,715		HUF	7,447,500		174
06/21/17		USD	26,374		INR	1,782,400		928


Settlement Date	Currency to Deliver (Thousands)			Currency To Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
06/21/17		USD	806		INR	52,600	$	—
06/21/17		ZAR	29,000		USD	2,183		50
06/21/17		USD	33,140		ZAR	438,700		(877	)
06/21/17		USD	35,834		BRL	114,600		(407	)
06/21/17		USD	7,339		TRY	27,894		143
06/21/17		USD	28,851		TRY	106,706		(230	)
06/21/17		USD	36,691		KRW	41,523,700		502
06/21/17		USD	923		KRW	1,026,400		(4	)
06/21/17		USD	40,022		MXN	801,000		1,976
06/21/17		USD	537		MXN	10,200		(3	)
06/21/17		USD	35,458		PLN	144,600		1,032
06/21/17		USD	5,302		PLN	20,800		(54	)
06/21/17		KRW	111,400		USD	100		—
06/21/17		KRW	345,400		USD	300		(9	)
06/21/17		HUF	480,700		USD	1,693		22
06/21/17		HUF	322,500		USD	1,111		(10	)

							$	148

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Brown Brothers Harriman	$	(97,510	)	$	96,616	$	(894	)
Citigroup		(661,860	)		661,781		(79	)
JPMorgan Chase Bank		(47,947	)		48,508		561
State Street		(138,022	)		138,582		560

						$	148

A list of the open OTC swap agreements held by the Fund at March 31, 2017 is as follows:

A list of the open centrally cleared swap agreements held by the Fund at March 31, 2017 is as follows:

Percentages are based on Net Assets of $2,552,699 ($ Thousands).

Non-income producing security.

Futures and swap contracts held by Accumulation Commodity Strategy Subsidiary, Ltd. as of March 31, 2017.

‡

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 March 31, 2017.

(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 March 31, 2017, the value of these securities amounted to $8,015 ($ Thousands), representing 0.3% 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

TSX — Toronto Stock Exchange

USD — United States Dollar

ZAR — South African Rand

The following is a list of the level of inputs used as of March 31, 2017, 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	$	—		$	1,239,667		$	—	$	1,239,667
Sovereign Debt		—			461,968			—		461,968
Foreign Common Stock		100,455			5,014			—		105,469
Common Stock		94,860			—			—		94,860
Corporate Obligations		—			61,481			—		61,481
Exchange Traded Fund		36,485			—			—		36,485
Preferred Stock		269			—			—		269
Rights		—			3			—		3

Total Investments in Securities	$	232,069		$	1,768,133		$	—	$	2,000,202


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	25,407		$	—		$	—	$	25,407
Unrealized Depreciation		(8,488	)		—			—		(8,488	)
Forwards Contracts*
Unrealized Appreciation		—			6,338			—		6,338
Unrealized Depreciation		—			(6,190	)		—		(6,190	)
OTC Swaps
Total Return Swaps*
Unrealized Appreciation		—			3,474			—		3,474
Unrealized Depreciation		—			(6,568	)		—		(6,568	)
Centrally Cleared Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			1,944			—		1,944

Total Other Financial Instruments	$	16,919		$	(1,002	)	$	—	$	15,917

Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


Description		Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES — 31.8%

Credit Cards — 0.0%
Citi Holdings Liquidating Unrated Performing
Assets, Ser 2012-BIZ, Cl A
0.128%, 12/15/2049 (A)	$		113	$	83


Mortgage Related Securities — 0.2%
GSAA Home Equity Trust, Ser 2006-14, Cl A3A
1.028%, 09/25/2036 (B)			505		305
Soundview Home Loan Trust, Ser 2006-OPT3, Cl 2A4
1.232%, 06/25/2036 (B)			1,360		1,146

					1,451


Other Asset-Backed Securities — 31.6%
A Voce CLO, Ser 2014-A1, Cl AIR
2.183%, 07/15/2026			2,200		2,197
ABPCI Direct Lending Fund CLO I, Ser 2016-1A, Cl A
4.077%, 12/22/2028 (A) (B)			3,000		2,984
Academic Loan Funding Trust, Ser 2012-1A, Cl A2
2.082%, 12/27/2044 (A) (B)			1,350		1,345
ACIS CLO, Ser 2013-1A, Cl ACOM
2.109%, 04/18/2024 (A) (B)			1,000		977
ACIS CLO, Ser 2013-1A, Cl D
5.382%, 04/18/2024 (A) (B)			800		800
ACIS CLO, Ser 2013-2A, Cl A
1.523%, 10/14/2022 (A) (B)			111		111


Description		Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
ACIS CLO, Ser 2013-2A, Cl D
4.873%, 10/14/2022 (A) (B)	$		1,100	$	1,101
ACIS CLO, Ser 2014-4A, Cl A
2.459%, 05/01/2026 (A) (B)			500		501
ACIS CLO, Ser 2017-2A, Cl BR
2.458%, 10/14/2022 (A) (B)			100		100
ACIS CLO, Ser 2017-2A, Cl C2R
2.208%, 10/14/2022 (A) (B)			100		100
Adams Mill CLO, Ser 2014-1A, Cl E1
6.023%, 07/15/2026 (A) (B)			1,000		924
AIM Aviation Finance, Ser 2015-1A, Cl B1
5.072%, 02/15/2040 (A) (C)			851		834
Airplanes Pass-Through Trust, Ser 2001-1A, Cl A9
1.318%, 03/15/2019 (A) (B)			1,341		416
ALM XIV, Ser 2014-14A, Cl B
3.840%, 07/28/2026 (A) (B)			1,000		1,004
ALM XIV, Ser 2014-14A, Cl C
4.340%, 07/28/2026 (A) (B)			1,250		1,253
AMMC CLO XI, Ser 2012-11A
0.000%, 10/30/2023 (A)			2,100		1,300
AMMC CLO XIV, Ser 2014-14A, Cl A3L
3.682%, 07/27/2026 (A) (B)			1,000		1,000
Anchorage Capital CLO 4, Ser 2014-4A, Cl A1A
2.340%, 07/28/2026 (A) (B)			300		300
Anchorage Capital CLO 6, Ser 2015-6A, Cl A1
2.563%, 04/15/2027 (A) (B)			750		750
Anchorage Credit Funding 4, Ser 2016-4A, Cl B
4.500%, 02/15/2035 (A)			1,000		965
Apidos CLO X, Ser 2012-10A, Cl A
2.459%, 10/30/2022 (A) (B)			2,102		2,102
Apidos CLO XIX, Ser 2017-19A, Cl A1R
2.234%, 10/17/2026 (A) (B)			600		600
Apollo Aviation Securitization Equity Trust, Ser 2014-1, Cl A
5.125%, 12/15/2029 (B)			4,214		4,209
Apollo Aviation Securitization Equity Trust, Ser 2014-1, Cl B
7.375%, 12/15/2029 (B)			4,022		4,017
Apollo Aviation Securitization Equity Trust, Ser 2016-2, Cl A
4.212%, 11/15/2041			996		997
Apollo Aviation Securitization Equity Trust, Ser 2016-2, Cl B
5.926%, 11/15/2041			1,290		1,291
Apollo Aviation Securitization Equity Trust, Ser 2016-2, Cl C
7.869%, 11/15/2041			745		745
0.000%, 11/15/2041			205		204
ARES XXV CLO, Ser 2012-3A
0.000%, 01/17/2024 (A)			750		405


Description		Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
ARES XXVI CLO, Ser 2013-1A, Cl C
3.630%, 04/15/2025 (A) (B)	$		750	$	750
Atlas Senior Loan Fund, Ser 2012-2A
0.000%, 01/30/2024 (A)			950		605
Atlas Senior Loan Fund, Ser 2013-2A, Cl A3L
3.606%, 02/17/2026			1,350		1,350
Avery Point III CLO, Ser 2013-3X, Cl COM
0.701%, 01/18/2025			3,000		2,571
B&M CLO, Ser 2014-1A, Cl A2
2.973%, 04/16/2026 (A) (B)			450		450
Babson CLO, Ser 2012-2A
0.000%, 05/15/2023 (A)			3,000		1,683
Babson CLO, Ser 2014-3A, Cl F
6.880%, 01/15/2026 (A) (B)			2,000		1,789
Babson CLO, Ser 2014-IA
0.797%, 07/20/2025 (A)			2,400		1,487
Bank of America Student Loan Trust, Ser 2010- 1A, Cl A
1.838%, 02/25/2043 (A) (B)			278		277
Bayview Opportunity Master Fund Trust, Ser 2016-RN3, Cl A1
3.598%, 09/29/2031 (A) (C)			3,449		3,444
Bayview Opportunity Master Fund Trust, Ser 2017-NPL1, Cl A1
3.598%, 01/28/2032 (A) (C)			1,749		1,744
Bayview Opportunity Master Fund Trust, Ser 2017-RN1, Cl A1
3.598%, 02/28/2032 (A) (B)			4,485		4,488
Brad, Ser 2014-1, Cl B
5.438%, 03/12/2026 (D)			858		865
Brazos Higher Education Authority, Ser 2005-2, Cl A11
1.293%, 09/27/2021 (B)			441		440
Brentwood CLO, Ser 2006-1A, Cl A1A
1.156%, 02/01/2022 (A) (B)			103		103
Carlyle Global Market Strategies CLO, Ser 2014-2A, Cl DR
4.781%, 07/20/2023 (A) (B)			1,000		1,000
Castlelake Aircraft Securitization Trust, Ser 2014-1, Cl B
7.500%, 02/15/2029			710		710
Catamaran CLO, Ser 2012-1A, Cl F
7.247%, 12/20/2023 (A) (B)			1,500		1,356
Catamaran CLO, Ser 2016-1A, Cl CR
4.002%, 12/20/2023 (A)(B)			1,000		1,000
Cedar Funding V CLO, Ser 2016-5A, Cl A1
2.633%, 07/17/2028 (A) (B)			2,000		2,020
Cerberus Loan Funding XVI, Ser 2016-2A, Cl C
4.686%, 11/15/2027 (A) (B)			1,000		989
Cerberus Loan Funding XVII, Ser 2016-3A, Cl A
3.619%, 01/15/2028 (A) (B)			2,000		1,994
Cerberus Onshore II CLO, Ser 2014-1A, Cl C
4.380%, 10/15/2023 (A) (B)			250		249
4.230%, 10/15/2023 (A) (B)			750		749


Description		Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Cerberus Onshore II CLO, Ser 2014-1A, Cl D
5.030%, 10/15/2023 (A) (B)	$		750	$	743
4.880%, 10/15/2023 (A) (B)			250		248
CIFC Funding, Ser 2014-1A, Cl C
3.682%, 04/18/2025 (A) (B)			750		750
CIFC Funding, Ser 2014-3A, Cl E
5.632%, 07/22/2026 (A) (B)			500		474
CIFC Funding, Ser 2016-3A, Cl A1R
2.239%, 01/29/2025 (A) (B)			2,550		2,550
CIT Education Loan Trust, Ser 2005-1, Cl A3
1.251%, 03/15/2026 (B)			643		639
Citigroup Mortgage Loan Trust, Ser 2005-OPT4, Cl M5
1.398%, 07/25/2035 (B)			500		466
COA Summit CLO, Ser 2014-1A, Cl C
4.731%, 04/20/2023 (A) (B)			500		500
Copper River CLO, Ser 2007-1A, Cl INC
0.000%, 01/20/2021 (A) (B)			3,000		422
DIVCORE CLO, Ser 2013-1A, Cl B
4.438%, 11/15/2032			750		750
Dryden 37 Senior Loan Fund, Ser 2015-37A, Cl Q
0.211%, 04/15/2027 (A)			1,000		914
Dryden 41 Senior Loan Fund, Ser 2015-41A
1.315%, 01/15/2028 (A)			1,600		1,200
Dryden 41 Senior Loan Fund, Ser 2015-41A, Cl F
7.922%, 01/15/2028 (A) (B)			250		231
Eaton Vance CLO, Ser 2015-1A, Cl F
9.080%, 10/20/2026 (A) (B)			2,500		2,503
ECAF I, Ser 2015-1A, Cl B1
5.802%, 06/15/2040 (A)			4,179		4,012
ECMC Group Student Loan Trust, Ser 2016-1A, Cl A
2.332%, 07/26/2066 (A) (B)			1,181		1,180
Educational Funding of the South, Ser 2011-1, Cl A2
1.688%, 04/25/2035 (B)			498		495
EFS Volunteer No. 2, Ser 2012-1, Cl A2
2.332%, 03/25/2036 (A) (B)			1,300		1,317
EFS Volunteer No. 3, Ser 2012-1, Cl A3
1.982%, 04/25/2033 (A) (B)			800		792
Emerald Aviation Finance, Ser 2013-1, Cl B
6.350%, 10/15/2038 (A) (C)			1,106		1,106
Falcon Aerospace, Ser 2017-1, Cl A
4.581%, 02/15/2042			1,550		1,563
Falcon Aerospace, Ser 2017-1, Cl B
6.300%, 02/15/2042			1,200		1,207
Fifth Street SLF II, Ser 2015-2A, Cl A2
3.697%, 09/29/2027 (A) (B)			1,000		990
Flagship VII, Ser 2017-7A, Cl A1R
2.276%, 01/20/2026 (A) (B)			1,100		1,099


Description		Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Flagship VII, Ser 2017-7A, Cl CR
3.506%, 01/20/2026 (A) (B)	$		1,500	$	1,495
Fortress Credit BSL II, Ser 2017-2A, Cl A1FR
0.000%, 10/19/2025 (A) (B)			2,500		2,497
Fortress Credit BSL II, Ser 2017-2A, Cl CR
0.000%, 10/19/2025 (A) (B)			1,000		996
Fortress Credit Funding V, Ser 2015-5A, Cl BR
4.689%, 08/15/2022 (A) (B)			2,000		1,997
Fortress Credit Investments IV, Ser 2015-4A, Cl D
4.523%, 07/17/2023 (A) (B)			1,000		993
Fortress Credit Opportunities III CLO, Ser 2014-3A, Cl C
4.118%, 04/28/2026 (A) (B)			2,500		2,500
Fortress Credit Opportunities III CLO, Ser 2017-3A, Cl A1TR
2.806%, 04/28/2026 (A) (B)			5,100		5,094
Fortress Credit Opportunities III CLO, Ser 2017-3A, Cl CR
4.256%, 04/28/2026 (A) (B)			2,500		2,491
Fortress Credit Opportunities V CLO, Ser 2014-5A, Cl C
4.422%, 10/15/2026 (A) (B)			2,250		2,222
Fortress Credit Opportunities V CLO, Ser 2014-5A, Cl D
5.510%, 10/15/2026 (A) (B)			1,000		998
Fortress Credit Opportunities V CLO, Ser 2017-5A, Cl CR
0.000%, 10/15/2026 (A) (B) (D)			2,250		2,253
Fortress Credit Opportunities V CLO, Ser 2017-5A, Cl DR
0.000%, 10/15/2026 (A) (B) (D)			1,000		1,001
Fortress Credit Opportunities VI CLO, Ser 2015-6A, Cl D
6.109%, 10/10/2026 (A) (B)			1,000		985
Fortress Credit Opportunities VII CLO, Ser 2016-7A, Cl B
3.913%, 12/15/2028 (A) (B)			2,000		2,000
Galaxy XIX CLO, Ser 2015-19A, Cl COMB
0.307%, 01/24/2027 (A)			1,000		876
Galaxy XVIII CLO, Ser 2017-18A, Cl AR
2.328%, 10/15/2026 (A) (B)			1,800		1,800
Gale Force 3 CLO, Ser 2007-3A, Cl B1
1.415%, 04/19/2021 (A) (B)			1,550		1,546
Gallatin CLO VII, Ser 2014-1A, Cl D
4.640%, 07/15/2023 (A) (B)			500		492
Garrison Funding, Ser 2016-2A, Cl B
5.057%, 09/29/2027 (A) (B)			1,000		989
GCAT, Ser 2015-1, Cl A1
3.625%, 05/26/2020 (A) (C)			752		752
GCAT, Ser 2017-1, Cl A1
0.006%, 03/25/2047 (E)			2,700		2,697


Description		Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
GoldenTree Loan Opportunities IX, Ser 2016-9A, Cl AR
2.409%, 10/29/2026 (A) (B)	$		1,850	$	1,849
Golub Capital Partners CLO, Ser 2014-18A, Cl C
4.382%, 04/25/2026 (A) (B)			600		599

Golub Capital Partners CLO, Ser 2014-18A, Cl D
4.882%, 04/25/2026 (A) (B)			300		294
Golub Capital Partners CLO, Ser 2014-21A, Cl C
4.182%, 10/25/2026 (A) (B)			1,200		1,176
Golub Capital Partners CLO, Ser 2015-24A, Cl C
4.631%, 02/05/2027 (A) (B)			2,000		1,991
Golub Capital Partners CLO, Ser 2015-25A, Cl C
4.531%, 08/05/2027 (A)(B)			1,000		975
Golub Capital Partners CLO, Ser 2016-33A, Cl A
3.391%, 11/21/2028 (A) (B)			2,000		1,993
Gramercy Park CLO, Ser 2012-1A
2.122%, 07/17/2023 (A)			1,100		173
Grayson CLO, Ser 2006-1A, Cl A2
1.296%, 11/01/2021 (A) (B)			700		691
Great Lakes CLO, Ser 2012-1A
0.000%, 01/15/2023 (A)			1,000		660
Great Lakes CLO, Ser 2014-1A, Cl C
4.580%, 04/15/2025 (A) (B)			2,500		2,472
Great Lakes CLO, Ser 2014-1A, Cl D
5.080%, 04/15/2025 (A) (B)			500		484
Greywolf CLO III, Ser 2014-1A, Cl B
3.732%, 04/22/2026 (A) (B)			750		750
Halcyon Loan Advisors Funding, Ser 2012-1A, Cl B
3.906%, 08/15/2023 (A) (B)			500		500
Halcyon Loan Advisors Funding, Ser 2012-2A, Cl C
3.847%, 12/20/2024 (A) (B)			500		500
Halcyon Loan Advisors Funding, Ser 2013-1A, Cl A1
2.030%, 04/15/2025 (A) (B)			500		499
Halcyon Loan Advisors Funding, Ser 2014-1A, Cl A1
2.554%, 04/18/2026 (A) (B)			650		650
JP Morgan Mortgage Acquisition Trust, Ser 2007-CH5, Cl A5
1.038%, 06/25/2037 (B)			1,400		1,273
Kingsland IV, Ser 2007-4A, Cl D
2.330%, 04/16/2021 (A) (B)			500		491
KKR CLO, Ser 2015-12, Cl C
3.880%, 07/15/2027 (A) (B)			1,000		1,000
KVK CLO, Ser 2013-1A
0.000%, 04/14/2025 (A)			3,500		1,299
KVK CLO, Ser 2014-2A, Cl C
3.880%, 07/15/2026 (A) (B)			1,000		1,000
Lime Street CLO, Ser 2007-1A, Cl D
3.497%, 06/20/2021 (A) (B)			750		744


Description		Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
Marathon CLO II, Ser 2005-2A, Cl INC
0.000%, 12/20/2019 (A) (B)	$		750	$	—
Marathon CLO VI, Ser 2014-6A, Cl B
3.752%, 05/13/2025 (A) (B)			1,000		1,000
MCF CLO IV, Ser 2014-1A, Cl E
6.780%, 10/15/2025 (A) (B)			500		454
Montana Higher Education Student Assistance, Ser 2012-1, Cl A3
2.028%, 07/20/2043 (B)			700		680
Mountain Hawk II CLO, Ser 2013-2A, Cl C
3.481%, 07/22/2024 (A) (B)			1,000		997
Mountain Hawk II CLO, Ser 2013-2A, Cl D
4.031%, 07/22/2024 (A) (B)			1,000		939
Mountain View CLO, Ser 2017-1A, Cl AR
2.304%, 10/15/2026 (A) (B)(F)			1,150		1,150
MP CLO III, Ser 2013-1A, Cl C
3.631%, 04/20/2025 (A) (B)			1,000		1,000
MP CLO VII, Ser 2015-1A, Cl F
7.674%, 04/18/2027 (A) (B)			1,000		916
Navient Student Loan Trust, Ser 2016-2, Cl A2
1.828%, 06/25/2065 (A) (B)			750		756
Navient Student Loan Trust, Ser 2016-5A, Cl A
2.028%, 06/25/2065 (A) (B)			2,312		2,347
Navient Student Loan Trust, Ser 2016-7A, Cl A
1.928%, 03/25/2066 (A) (B)			1,172		1,187
Navient Student Loan Trust, Ser 2017-2A, Cl A
1.962%, 12/27/2066 (A) (B)			2,450		2,450
NewMark Capital Funding CLO, Ser 2014-2A, Cl E
5.798%, 06/30/2026 (A) (B)			3,000		2,651
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl C1
4.182%, 07/25/2025 (A) (B)			1,000		990
NewStar Arlington Senior Loan Program, Ser 2014-1A, Cl D
5.132%, 07/25/2025 (A) (B)			750		718
Newstar Commercial Loan Funding, Ser 2014-1A, Cl C
4.481%, 04/20/2025 (A) (B)			1,500		1,494
Newstar Commercial Loan Funding, Ser 2014-1A, Cl D
5.631%, 04/20/2025 (A) (B)			750		734
Newstar Commercial Loan Funding, Ser 2015-1A, Cl C
4.731%, 01/20/2027 (A) (B)			1,000		990
Newstar Commercial Loan Funding, Ser 2017-1A, Cl CN
4.538%, 03/20/2027 (A) (B)			750		750
Newstar Trust, Ser 2012-2A, Cl D
7.280%, 01/20/2023 (A) (B)			500		500
Northwoods Capital XIV, Ser 2017-14A, Cl CR
3.484%, 11/12/2025 (A) (B)			1,500		1,500


Description		Face Amount (Thousands)		Market Value ($ Thousands)


ASSET-BACKED SECURITIES (continued)
NRPL Trust, Ser 2014-2A, Cl A1
3.750%, 10/25/2057 (A) (B)	$		778	$	789
NRPL Trust, Ser 2015-1A, Cl A1
3.875%, 11/01/2054 (A) (C)			1,984		1,971
N-Star Real Estate CDO VIII, Ser 2006-8A, Cl A2
1.149%, 02/01/2041 (A) (B)			533		530
NXT Capital CLO, Ser 2017-1A, Cl B
3.506%, 04/20/2029 (A) (B)			1,000		994
Oaktree EIF II, Ser 2014-A2, Cl C
4.239%, 11/15/2025 (A) (B)			1,000		999
OCP CLO, Ser 2014-6A, Cl B
3.980%, 07/17/2026 (A) (B)			1,000		1,000
OCP CLO, Ser 2016-12A, Cl A1
2.456%, 10/18/2028 (A) (B)			1,400		1,405
Octagon Investment Partners XIX, Ser 2017-1A, Cl AR
2.069%, 04/15/2026 (A) (B)			1,100		1,100
Octagon Investment Partners XV, Ser 2013-1A, Cl C
3.728%, 01/19/2025 (A) (B)			500		500
Octagon Investment Partners XX, Ser 2014-1A, Cl E
6.152%, 08/12/2026 (A) (B)			2,750		2,640
Octagon Loan Funding, Ser 2014-1X, Cl COMB
0.000%, 11/18/2026 (D)			4,800		4,350
OFSI Fund VI, Ser 2014-6A, Cl A1
2.053%, 03/20/2025 (A) (B)			650		647
OFSI Fund VII, Ser 2014-7A, Cl A
2.222%, 10/18/2026 (A) (B)			601		601
OHA Credit Partners IX, Ser 2013-9A, Cl ACOM
0.476%, 10/20/2025 (A)			2,000		1,785
Panhandle-Plains Higher Education Authority, Ser 2011-1, Cl A2
1.948%, 07/01/2024 (B)			1,003		1,009
PHEAA Student Loan Trust, Ser 2016-1A, Cl A
1.928%, 09/25/2065 (A) (B)			1,253		1,261
Pinnacle Park CLO, Ser 2017-1A, Cl AR
2.211%, 04/15/2026 (A) (B)			1,500		1,499
Popular ABS Mortgage Pass-Through Trust, Ser 2005-6, Cl A4
4.071%, 01/25/2036 (C)			1,000		980
Primus CLO II, Ser 2007-2A, Cl C
1.830%, 07/15/2021 (A) (B)			1,500		1,493
Putnam Structured Product Funding, Ser 2003-1A, Cl A2
1.912%, 10/15/2038 (A) (B)			1,667		1,532
RAIT CRE CDO I, Ser 2006-1X, Cl A1B
1.109%, 11/20/2046 (B)			554		551
Regatta V Funding, Ser 2017-1A, Cl A1AR
0.000%, 10/25/2026 (A) (B)			1,800		1,800
Scholar Funding Trust, Ser 2011-A, Cl A
1.939%, 10/28/2043 (A) (B)			1,534		1,522


Description		Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Scholar Funding Trust, Ser 2012-B, Cl A2
2.083%, 03/28/2046 (A) (B)	$		1,650	$	1,639
Shackleton II CLO, Ser 2012-2A, Cl DR
4.930%, 10/20/2023 (A) (B)			1,000		1,000
Shackleton VII CLO, Ser 2015-7A, Cl CR
3.873%, 04/15/2027 (A) (B)			1,000		999
SLM Student Loan Trust, Ser 2003-7A, Cl A5A
2.331%, 12/15/2033 (A) (B)			1,042		1,044
SLM Student Loan Trust, Ser 2004-8A, Cl A6
1.668%, 01/25/2040 (A) (B)			950		914
SLM Student Loan Trust, Ser 2005-5, Cl A5
1.788%, 10/25/2040 (B)			250		241
SLM Student Loan Trust, Ser 2008-3, Cl A3
2.038%, 10/25/2021 (B)			609		607
SLM Student Loan Trust, Ser 2008-4, Cl A4
2.688%, 07/25/2022 (B)			407		415
SLM Student Loan Trust, Ser 2008-5, Cl A4
2.582%, 07/25/2023 (B)			1,127		1,152
SLM Student Loan Trust, Ser 2008-6, Cl A4
2.138%, 07/25/2023 (B)			700		702
SLM Student Loan Trust, Ser 2008-8, Cl A4
2.538%, 04/25/2023 (B)			400		407
Sound Point CLO VI, Ser 2014-2A, Cl A1
2.241%, 10/20/2026 (A) (B)			400		400
Sound Point CLO XI, Ser 2016-1A, Cl A
2.680%, 07/20/2028 (A) (B)			2,800		2,826
Sound Point CLO XI, Ser 2016-1A, Cl B1
2.430%, 07/20/2028 (A) (B)			800		808
Sound Point CLO XV, Ser 2017-1A, Cl A
2.496%, 01/23/2029 (A) (B)			2,050		2,057
Stanwich Mortgage Loan Trust, Ser 2016-NPA1
3.844%, 10/16/2046 (A) (B)			2,692		2,702
Symphony CLO XI, Ser 2013-11A, Cl D
4.880%, 01/17/2025 (A) (B)			1,000		1,000
TCP Waterman CLO, Ser 2016-1A, Cl A2
4.131%, 12/15/2028 (A) (B)			1,000		1,000
Telos CLO, Ser 2013-3A, Cl D
5.130%, 01/17/2024 (A) (B)			1,050		1,050
Telos CLO, Ser 2014-6A, Cl C
3.880%, 01/17/2027 (A) (B)			3,000		3,001
THL Credit Wind River CLO, Ser 2015-2A, Cl F
8.823%, 10/15/2027 (A) (B)			1,000		989
THL Credit Wind River CLO, Ser 2017-1A, Cl A
2.374%, 04/18/2029 (A) (B)			1,200		1,201
TICP CLO I, Ser 2014-1A, Cl A1
2.532%, 04/26/2026 (A) (B)			2,100		2,100
TICP CLO I, Ser 2015-1A, Cl E
6.381%, 07/20/2027 (A) (B)			1,500		1,434
TICP CLO II, Ser 2014-2A, Cl B
3.881%, 07/20/2026 (A) (B)			600		600
TICP CLO VI, Ser 2016-6A, Cl A
2.434%, 01/15/2029 (A) (B)			1,300		1,306


Description		Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
TICP CLO, Ser 2014-2A, Cl A1AR
2.316%, 07/20/2026	$		4,500	$	4,500
TICP CLO, Ser 2014-3A, Cl AR
2.210%, 01/20/2027 (D)			1,600		1,602
Treman Park CLO, Ser 2015-1A, Cl COM
0.459%, 04/20/2027 (A)			3,000		2,647
Triaxx Prime, Ser 2006-2A, Cl A1A
1.049%, 10/02/2039 (A) (B)			3,904		3,795
Tuolumne Grove CLO, Ser 2014-A1, Cl A1R
0.000%, 04/25/2026 (A) (B)			2,000		1,997
Turbine Engines Securitization, Ser 2013-1A, Cl A
5.125%, 12/13/2048 (A)			803		796
Turbine Engines Securitization, Ser 2013-1A, Cl B
6.375%, 12/13/2048 (A)			519		485
Venture X CLO, Ser 2016-10A, Cl DR
4.960%, 07/20/2022 (A) (B)			1,000		1,001
Venture XIX CLO, Ser 2016-19A, Cl CR
3.872%, 01/15/2027 (A) (B)			1,000		1,000
Venture XVI CLO, Ser 2017-16A, Cl A1R
0.000%, 04/15/2026 (A) (B)			1,000		1,000
VOLT LI, Ser 2016-NP11, Cl A1
3.500%, 10/25/2046 (A) (C)			2,096		2,111
VOLT LII, Ser 2016-NP12, Cl A1
3.625%, 11/26/2046 (A) (C)			1,841		1,842
VOLT LIII, Ser 2016-NP13, Cl A1
3.875%, 12/26/2046 (A) (C)			981		984
VOLT LIV, Ser 2017-NPL1, Cl A1
3.625%, 02/25/2047 (A) (C)			1,723		1,716
Wachovia Asset Securitization Issuance II, Ser 2007-HE1, Cl A
0.918%, 07/25/2037 (A) (B)			674		578
West CLO, Ser 2013-1A
0.000%, 11/07/2025 (A)			1,350		543
West CLO, Ser 2013-1A, Cl B
3.781%, 11/07/2025 (A) (B)			1,000		1,000
WhiteHorse VIII, Ser 2014-1A, Cl C
3.784%, 05/01/2026 (A) (B)			1,000		1,000
Willis Engine Securitization Trust II, Ser 2012-A, Cl A
5.500%, 09/15/2037 (A) (C)			1,408		1,397

					267,282

Total Asset-Backed Securities (Cost $274,880) ($ Thousands)					268,816


CORPORATE OBLIGATIONS — 17.7%

Consumer Discretionary — 1.9%
1011778 BC ULC
4.625%, 01/15/2022 (A)			700		716


Description		Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
21st Century Fox America
4.950%, 10/15/2045	$		250	$	259
Altice Financing
7.500%, 05/15/2026 (A)			2,025		2,152
6.625%, 02/15/2023 (A)			500		520
AMC Networks
5.000%, 04/01/2024			400		400
Cablevision
6.500%, 06/15/2021 (A)			150		158
CCO Holdings
5.750%, 02/15/2026 (A)			675		709
Charter Communications Operating
6.484%, 10/23/2045			50		58
4.908%, 07/23/2025			250		264
Clear Channel Worldwide Holdings
6.500%, 11/15/2022			550		558
Comcast
3.375%, 08/15/2025			300		303
Ford Motor Credit
5.875%, 08/02/2021			350		390
General Motors
3.500%, 10/02/2018			250		255
Gray Television
5.125%, 10/15/2024 (A)			250		247
iHeartCommunications
9.000%, 12/15/2019			825		706
IHO Verwaltungs GmbH PIK
4.500%, 09/15/2023 (A)			550		544
Loxam SAS
6.000%, 04/15/2025 (A)	EUR		650		706
MDC Partners
6.500%, 05/01/2024 (A)	$		750		715
MGM Resorts International
6.750%, 10/01/2020			600		660
Nexstar Broadcasting
5.625%, 08/01/2024 (A)			200		203
Schaeffler Finance
4.750%, 05/15/2023 (A)			275		282
Scientific Games International
7.000%, 01/01/2022 (A)			650		694
SFR Group
6.000%, 05/15/2022 (A)			550		570
Sirius XM Radio
5.375%, 04/15/2025 (A)			400		409
4.625%, 05/15/2023 (A)			250		256
Unitymedia GmbH
6.125%, 01/15/2025 (A)			1,050		1,105
Universal Entertainment MTN
8.500%, 08/24/2020 (A)			250		259
UPC Holding BV
6.750%, 03/15/2023	EUR		350		403


Description		Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
UPCB Finance IV
5.375%, 01/15/2025 (A)	$		200	$	201
4.000%, 01/15/2027	EUR		350		381
Virgin Media Secured Finance
5.500%, 01/15/2025 (A)	$		1,050		1,071
4.875%, 01/15/2027	GBP		100		126

					16,280


Consumer Staples — 0.9%
Anheuser-Busch InBev Finance
4.900%, 02/01/2046	$		725		783
Anheuser-Busch InBev Worldwide
4.950%, 01/15/2042			300		322
BAT International Finance
3.950%, 06/15/2025 (A)			425		434
2.750%, 06/15/2020 (A)			350		353
Bumble Bee Holdings
9.000%, 12/15/2017 (A)			2,796		2,726
Central American Bottling
5.750%, 01/31/2027 (A)			180		187
CVS Health
5.125%, 07/20/2045			150		166
3.875%, 07/20/2025			332		342
KeHE Distributors
7.625%, 08/15/2021 (A)			550		554
Kraft Heinz Foods
3.500%, 07/15/2022			350		358
Lindley
4.625%, 04/12/2023			190		196
Reynolds American
5.850%, 08/15/2045			250		294
4.450%, 06/12/2025			425		447
Sysco
4.850%, 10/01/2045			150		159
3.750%, 10/01/2025			350		357

					7,678


Energy — 3.8%
American Midstream Partners
8.500%, 12/15/2021 (A)			400		408
Anadarko Petroleum
6.450%, 09/15/2036			775		915
3.450%, 07/15/2024			150		146
Antero Resources
5.125%, 12/01/2022			1,575		1,596
Apache
4.750%, 04/15/2043			150		150
4.250%, 01/15/2044			150		140
Approach Resources
7.000%, 06/15/2021			320		261
BreitBurn Energy Partners
9.250%, 05/18/2020 (D) (F)			813		793


Description		Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Chesapeake Energy
8.000%, 01/15/2025 (A)	$		750	$	750
ConocoPhillips
4.950%, 03/15/2026			500		555
3.350%, 11/15/2024			350		353
CONSOL Energy
8.000%, 04/01/2023			1,000		1,051
DCP Midstream Operating
5.600%, 04/01/2044			500		460
Devon Energy
5.850%, 12/15/2025			800		918
3.250%, 05/15/2022			200		198
Dolphin Energy
5.500%, 12/15/2021			220		243
Dynagas LNG Partners
6.250%, 10/30/2019			1,800		1,778
Ensco
5.750%, 10/01/2044			950		717
Enterprise Products Operating
3.750%, 02/15/2025			500		503
3.700%, 02/15/2026			300		300
FTS International
8.631%, 06/15/2020 (A) (B)			675		684
Gazprom OAO Via Gaz Capital
9.250%, 04/23/2019			310		348
Gazprom OAO Via Gaz Capital MTN
7.288%, 08/16/2037			200		233
GNL Quintero
4.634%, 07/31/2029			400		409
Greenko Dutch BV
8.000%, 08/01/2019			250		264
Hess
7.300%, 08/15/2031			350		412
Jones Energy Holdings
6.750%, 04/01/2022			1,425		1,211
KazMunayGas National JSC MTN
9.125%, 07/02/2018			600		646
Kinder Morgan
5.050%, 02/15/2046			175		170
Neerg Energy
6.000%, 02/13/2022 (A)			200		203
Noble Holding International
6.050%, 03/01/2041			900		648
Petrobras Global Finance BV
8.375%, 05/23/2021			1,280		1,446
6.125%, 01/17/2022			730		766
Petrobras International Finance
5.375%, 01/27/2021			320		328
Petroleos de Venezuela
6.000%, 05/16/2024			3,640		1,332
6.000%, 11/15/2026			920		322
5.500%, 04/12/2037			30		10


Description		Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
5.375%, 04/12/2027	$		350	$	121
Petroleos Mexicanos
6.500%, 03/13/2027 (A)			620		667
6.375%, 02/04/2021			220		239
6.375%, 01/23/2045			30		29
5.500%, 06/27/2044			70		62
5.375%, 03/13/2022 (A)			180		188
4.875%, 01/24/2022			10		10
3.500%, 07/23/2020			100		101
Petroleos Mexicanos MTN
6.875%, 08/04/2026			1,150		1,276
6.750%, 09/21/2047			140		142
5.125%, 03/15/2023	EUR		1,040		1,229
Rice Energy
6.250%, 05/01/2022	$		225		232
Sabine Pass Liquefaction
5.750%, 05/15/2024			400		436
5.625%, 03/01/2025			550		596
Schahin II Finance
5.875%, 09/25/2022 (A) (F)			1,737		200
SM Energy
6.750%, 09/15/2026			200		202
5.000%, 01/15/2024			775		732
State Oil of the Azerbaijan Republic MTN
4.750%, 03/13/2023			360		349
TOTAL MTN
2.625%, 12/29/2049 (B)	EUR		800		820
Trinidad Drilling
6.625%, 02/15/2025 (A)	$		200		200
Weatherford International
6.500%, 08/01/2036			150		142
Western Gas Partners
4.000%, 07/01/2022			200		205
Whiting Petroleum
5.750%, 03/15/2021			200		198
5.000%, 03/15/2019			425		424
Williams Partners
3.600%, 03/15/2022			800		812
WPX Energy
6.000%, 01/15/2022			400		407
YPF
8.875%, 12/19/2018			130		141

					31,827


Financials — 6.1%
Abe Investment Holdings
10.500%, 10/16/2020 (A)			1,000		992
7.000%, 10/15/2020 (A)			1,550		1,116
Allied Irish Banks MTN
4.125%, 11/26/2025 (B)	EUR		600		672
Banco de Bogota
6.250%, 05/12/2026 (A)	$		780		814


Description		Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Banco Regional SAECA
8.125%, 01/24/2019	$		290	$	309
Bank of America (B)
6.500%, 12/31/2049			1,700		1,855
6.300%, 12/31/2049			1,000		1,087
6.250%, 09/29/2049			150		158
6.100%, 12/29/2049			3,425		3,629
Bank of America MTN
4.000%, 04/01/2024			650		674
Bank of New York Mellon
4.625%, 12/29/2049 (B)			1,550		1,488
Barclays
7.875%, 12/29/2049 (B)			900		937
CIC Receivables Master Trust
4.890%, 10/07/2021 (D)			2,575		2,651
Citigroup (B)
6.250%, 12/29/2049			3,645		3,932
5.950%, 12/29/2049			1,820		1,899
5.950%, 12/31/2049			350		364
5.900%, 12/29/2049			675		704
Citizens Financial Group
5.500%, 12/29/2049 (B)			500		513
CoBank ACB
6.250%, 12/29/2049 (B)			250		272
Credit Agricole
6.637%, 05/29/2049 (B)			900		851
Credit Suisse Group
6.250%, 12/29/2049 (A) (B)			200		203
Deutsche Bank
4.500%, 04/01/2025			600		579
Deutsche Bank MTN
4.296%, 05/24/2028 (B)			600		570
FBM Finance
8.250%, 08/15/2021 (A)			300		318
Goldman Sachs Group
5.300%, 12/29/2049 (B)			2,850		2,897
Greystar Real Estate Partners
8.250%, 12/01/2022 (A)			625		674
International Lease Finance
7.125%, 09/01/2018 (A)			500		534
Intesa Sanpaolo MTN
7.700%, 12/29/2049 (A) (B)			400		382
5.017%, 06/26/2024 (A)			775		729
Itau CorpBanca
3.875%, 09/22/2019			250		258
Jefferies Finance
7.375%, 04/01/2020 (A)			2,200		2,222
Jefferies LoanCore
6.875%, 06/01/2020 (A)			300		304
JPMorgan Chase (B)
6.100%, 10/29/2049			2,150		2,272
6.000%, 12/29/2049			850		886


Description		Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
5.300%, 12/29/2049	$		800	$	829
5.000%, 12/29/2049			900		910
KeyCorp
5.000%, 12/29/2049 (B)			950		940
Morgan Stanley
5.550%, 12/29/2049 (B)			1,050		1,080
Navient MTN
5.500%, 01/15/2019			600		622
NFP
9.000%, 07/15/2021 (A)			400		423
Royal Bank of Scotland Group
7.640%, 09/29/2017 (B)			700		653
RSA Insurance Group
5.125%, 10/10/2045 (B)	GBP		500		674
Sberbank of Russia Via SB Capital
5.500%, 02/26/2024 (B)	$		200		206
UBS Group
6.875%, 12/29/2049 (B)			400		412
UniCredit
8.000%, 04/03/2049 (B)			1,050		1,008
US Bancorp
5.300%, 12/29/2049 (B)			450		458
Virgin Money Holdings UK
8.750%, 12/29/2049 (B)	GBP		500		646
Voya Financial
5.650%, 05/15/2053 (B)	$		1,150		1,170
Wells Fargo
5.875%, 12/31/2049 (B)			3,000		3,234
Wells Fargo MTN
3.000%, 02/19/2025			400		390

					51,400


Health Care — 0.9%
Actavis Funding SCS
3.800%, 03/15/2025			925		934
Endo
6.000%, 07/15/2023 (A)			400		350
Endo Finance
6.000%, 02/01/2025 (A)			400		341
Fresenius Medical Care US Finance II
4.750%, 10/15/2024 (A)			200		203
HCA
5.000%, 03/15/2024			1,175		1,232
Kinetic Concepts
7.875%, 02/15/2021 (A)			340		360
Tenet Healthcare
4.631%, 06/15/2020 (B)			725		729
UnitedHealth Group
4.750%, 07/15/2045			200		219
Valeant Pharmaceuticals International
7.000%, 03/15/2024 (A)			600		616


Description		Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
5.375%, 03/15/2020 (A)	$		2,950	$	2,640

					7,624


Industrials — 0.3%
Aeropuertos Dominicanos Siglo XXI
6.750%, 03/30/2029 (A)			350		365
LMI Aerospace
7.375%, 07/15/2019			250		259
Princess Juliana International Airport Operating
5.500%, 12/20/2027 (A) (D)			893		893
StandardAero Aviation Holdings
10.000%, 07/15/2023 (A)			900		965

					2,482


Information Technology — 0.6%
Apple
4.650%, 02/23/2046			25		27
3.850%, 05/04/2043			400		383
CURO Financial Technologies
12.000%, 03/01/2022 (A)			1,100		1,133
EIG Investors
10.875%, 02/01/2024			200		213
Fidelity National Information Services
5.000%, 10/15/2025			300		326
First Data
5.750%, 01/15/2024 (A)			600		619
5.000%, 01/15/2024 (A)			150		153
IHS Netherlands Holdco BV
9.500%, 10/27/2021 (A)			530		544
Micron Technology
7.500%, 09/15/2023 (A)			1,475		1,646
Qorvo
6.750%, 12/01/2023			250		271
Symantec
5.000%, 04/15/2025 (A)			250		256

					5,571


Materials — 0.8%
Axalta Coating Systems Dutch Holding B BV
3.750%, 01/15/2025	EUR		550		618
BHP Billiton Finance USA
6.750%, 10/19/2075 (A) (B)	$		1,500		1,696
Brazil Minas SPE via State of Minas Gerais
5.333%, 02/15/2028			800		792
Crown European Holdings
3.375%, 05/15/2025	EUR		200		217
Glencore Funding
4.000%, 04/16/2025 (A)	$		300		299
Metinvest BV
9.373%, 12/31/2021			110		102


Description		Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Mirabela Nickel
1.000%, 07/31/2044	$		3	$	—
Severstal OAO Via Steel Capital
6.700%, 10/25/2017			200		205
Sociedad Quimica y Minera de Chile
4.375%, 01/28/2025			220		216
Versum Materials
5.500%, 09/30/2024 (A)			410		424
WR Grace & Co.
5.125%, 10/01/2021 (A)			300		315
Yamana
4.950%, 07/15/2024			1,900		1,909

					6,793


Real Estate — 0.3%
American Tower
3.300%, 02/15/2021			350		355
DuPont Fabros Technology
5.875%, 09/15/2021			250		260
5.625%, 06/15/2023			200		208
Equinix
5.375%, 05/15/2027			645		666
GEO Group
6.000%, 04/15/2026			240		243
5.875%, 10/15/2024			505		516
Iron Mountain Europe
6.125%, 09/15/2022	GBP		150		199

					2,447


Telecommunication Services — 1.5%
Comcel Trust via Comunicaciones Celulares
6.875%, 02/06/2024	$		200		207
Digicel
6.000%, 04/15/2021			400		364
Digicel Group
6.750%, 03/01/2023 (A)			320		286
Intelsat Jackson Holdings
7.250%, 04/01/2019			875		835
7.250%, 10/15/2020			1,420		1,294
5.500%, 08/01/2023			850		701
Intelsat Luxembourg
8.125%, 06/01/2023			50		30
Mauritius Investment
6.500%, 10/13/2026 (A)			320		327
Sprint
7.875%, 09/15/2023			950		1,052
7.625%, 02/15/2025			500		546
7.125%, 06/15/2024			300		321
Sprint Communications
11.500%, 11/15/2021			650		816
7.000%, 03/01/2020 (A)			600		654
7.000%, 08/15/2020			500		537


Description		Face Amount (Thousands)		Market Value ($ Thousands)

CORPORATE OBLIGATIONS (continued)
Telecom Italia
5.303%, 05/30/2024 (A)	$		750	$	758
Telefonica Europe BV
5.875%, 03/31/2049 (B)	EUR		100		117
Verizon Communications
5.150%, 09/15/2023	$		525		578
4.862%, 08/21/2046			275		264
Vimpel Communications Via VIP Finance Ireland
7.748%, 02/02/2021			270		305
Wind Acquisition Finance
7.375%, 04/23/2021			654		680
4.750%, 07/15/2020 (A)			450		458
Windstream Services
7.750%, 10/15/2020			675		685
7.750%, 10/01/2021			650		640

					12,455


Utilities — 0.6%
Dynegy
6.750%, 11/01/2019			650		668
Electricite de France MTN
4.125%, 01/29/2049 (B)	EUR		800		863
Enel (B)
8.750%, 09/24/2073 (A)	$		200		230
7.750%, 09/10/2075	GBP		200		278
Ferrellgas Partners
6.750%, 06/15/2023	$		1,100		1,034
6.500%, 05/01/2021			650		617
Greenko Investment
4.875%, 08/16/2023 (A)			410		401
LBC Tank Terminals Holding Netherlands
6.875%, 05/15/2023 (A)			325		337
Terraform Global Operating
9.750%, 08/15/2022 (A)			475		533

					4,961

Total Corporate Obligations (Cost $146,468) ($ Thousands)					149,518


LOAN PARTICIPATIONS — 11.5%
AABS, Bridge Term Loan
4.875%, 01/15/2038			562		561
ABB/Con-Cise Optical Group LLC, Term Loan, 1st Lien
6.131%, 06/15/2023			609		614
6.100%, 06/15/2023			79		80
ABG Intermediate Holdings 2 LLC, Cov-Lite, Term Loan B1, 1st Lien
5.500%, 05/27/2021			661		666
0.000%, 05/27/2021 (G)			50		50


Description		Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Acosta, Revolving Credit Loan, 1st Lien
3.250%, 09/26/2019	$		667	$	603
0.000%, 09/26/2019 (G)			222		222
Acrisure LLC, Delayed Term Loan, 1st Lien
5.750%, 11/22/2023			27		28
Acrisure LLC, Term Loan B, 1st Lien
5.750%, 11/22/2023			637		647
Advanced Integration Technology LP, Cov-Lite, Term Loan, 1st Lien
0.000%, 07/22/2021 (G)			425		428
Advantage Sales & Marketing, Cov-Lite, Revolving Credit Loan, 1st Lien
3.784%, 07/25/2019			38		35
3.781%, 07/25/2019			25		23
Affordable Care, Term Loan, 1st Lien
5.750%, 10/24/2022			990		990
AI Mistral Holdco Ltd., Cov-Lite, Term Loan B, 1st Lien
4.176%, 01/17/2024			220		220
Air Newco LLC, Initial Term Loan, 2nd Lien
10.557%, 01/31/2023			750		682
American Seafoods Group LLC, Term Loan, 1st Lien
8.000%, 08/19/2021			13		13
6.000%, 08/19/2021			912		913
American Tire Distributors, Initial Term Loan, 1st Lien
5.250%, 09/01/2021			249		249
ANVC Merger, Term Loan, 1st Lien
5.500%, 02/18/2021			468		465
ANVC Merger, Term Loan, 2nd Lien
9.250%, 08/18/2021			500		487
Arctic Glacier Group Holdings, Cov-Lite, Term Loan B, 1st Lien
6.000%, 05/10/2019			305		305
ASP Chromaflo Intermediate Holdings, Term Loan B1, 1st Lien
5.000%, 11/20/2023			174		175
ASP Chromaflo Intermediate Holdings, Term Loan B2, 1st Lien
5.000%, 11/20/2023			226		227
Aspect Software, Term Loan, 1st Lien
11.278%, 05/25/2020			514		514
Asurion LLC, Cov-Lite, Term Loan, 2nd Lien
8.500%, 03/03/2021			3,000		3,034
Atlas, Term Loan, 1st Lien
4.875%, 12/15/2039			1,100		1,097
Avolon Borrower 1 U.S. LLC, Cov-Lite, Term Loan B2, 1st Lien
3.728%, 01/20/2022			700		709
Belk, Cov-Lite, Term Loan, 1st Lien
5.760%, 12/12/2022			154		129


Description		Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Bioplan USA, Cov-Lite, Term Loan, 1st Lien
5.750%, 09/23/2021	$		497	$	487
BJ’s Wholesale Club, Cov-Lite, Term Loan B, 1st Lien
4.750%, 02/03/2024			600		586
BJ’s Wholesale Club, Cov-Lite, Term Loan, 2nd Lien
8.500%, 02/03/2025			875		852
BMC Software, Term Loan, 1st Lien
5.000%, 09/10/2020			1,415		1,415
Capital Automotive L.P., Term Loan, 2nd Lien
6.000%, 04/30/2020			210		210
Carecore National LLC, Term Loan, 1st Lien
5.500%, 03/05/2021			1,639		1,643
Cengage Learning, Term Loan B, 1st Lien
5.250%, 06/07/2023			3,131		2,979
Ceridian HCM Holding, Cov-Lite, Term Loan, 1st Lien
4.539%, 09/15/2020			513		509
4.500%, 09/15/2020			4		4
Checkout Holding, Term Loan B, 1st Lien
4.500%, 04/09/2021			997		898
Chobani, Term Loan B, 1st Lien
5.250%, 10/09/2023			1,000		1,008
CHS/Community Health Systems, Term Loan H, 1st Lien
4.054%, 01/27/2021			1		1
Clear Channel Communications, Term Loan D, 1st Lien
7.531%, 01/30/2019			300		257
CompuCom Systems, Cov-Lite, Term Loan, 1st Lien
4.250%, 05/09/2020			900		747
CPI Card Group—Colorado, Cov-Lite, Term Loan B, 1st Lien
5.834%, 08/17/2022			249		231
CTI Foods, Term Loan, 1st Lien
4.500%, 06/29/2020			663		657
CTI Foods, Term Loan, 2nd Lien
8.250%, 06/28/2021			350		315
CVS Holdings I LP, Term Loan B1, 1st Lien
7.250%, 08/16/2021 (D)			494		490
Cyan Blue Holdco 2 Ltd., Term Loan, 1st Lien
4.808%, 02/25/2022			650		820
DAE Aviation Holdings, Cov-Lite, Term Loan, 1st Lien
5.250%, 07/07/2022			988		991
DJO Finance LLC, Initial Term Loan, 1st Lien
4.250%, 06/08/2020			440		425
Doncasters U.S. Finance LLC, Cov-Lite, Term Loan, 2nd Lien
9.500%, 10/09/2020			84		81


Description		Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Eastern Power LLC, Cov-Lite, Term Loan, 1st Lien
5.000%, 10/02/2021	$		685	$	687
EIG Investors, Term Loan, 1st Lien
6.532%, 11/09/2019			748		751
6.000%, 02/09/2023			1,625		1,636
EnergySolutions LLC, Term Loan, 1st Lien
6.750%, 05/29/2020			2,306		2,328
Epicor Software, Cov-Lite, Term Loan B, 1st Lien
4.750%, 06/01/2022			2,948		2,951
Eyemart Express LLC, Term Loan B, 1st Lien
5.000%, 12/18/2021			917		926
EZE Castle Software, Term Loan, 2nd Lien
7.500%, 04/05/2021			150		149
Fitness International LLC, Term Loan B, 1st Lien
6.000%, 07/01/2020			673		681
FTS International, Cov-Lite, Term Loan B, 1st Lien
5.750%, 04/16/2021			475		412
Gates Global LLC, Term Loan B, 1st Lien
4.250%, 07/06/2021			1,731		1,732
Getty Images, Cov-Lite, Term Loan B, 1st Lien
4.750%, 10/18/2019			1,431		1,249
Globallogic Holdings, Term Loan B, 1st Lien
5.500%, 06/20/2022			240		240
GOBP Holdings, Cov-Lite, Term Loan, 1st Lien
5.000%, 10/21/2021			992		993
Greenway Health LLC, Cov-Lite, Term Loan, 1st Lien
0.000%, 02/16/2024 (G)			1,100		1,107
Hardware Holdings LLC, Cov-Lite, Term Loan, 1st Lien
6.750%, 03/30/2020 (D)			878		860
Hi-Crush Partners LP, Cov-Lite, Term Loan B, 1st Lien
4.750%, 04/28/2021			595		571
Hoffmaster Group, Cov-Lite, Term Loan, 1st Lien
5.500%, 11/21/2023			250		253
Hummel Station LLC, Delayed Draw Term Loan B, 1st Lien
7.000%, 10/27/2022			300		290
Hummel Station LLC, Term Loan B1, 1st Lien
7.000%, 10/27/2022			200		193
Hyperion Insurance Group Limited, Term Loan B, 1st Lien
5.500%, 04/29/2022			299		300
IHC Holding, Term Loan, 1st Lien
7.000%, 04/30/2021 (D)			1,231		1,219
iHeartCommunications, Term Loan E, 1st Lien
8.281%, 07/30/2019			100		85


Description		Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Implus Footcare, Term Loan, 1st Lien
7.250%, 04/30/2021 (D)	$		239	$	238
Infor U.S., Term Loan B1, 1st Lien
3.750%, 02/01/2022			1,000		1,076
Insight Fourth Hospitality, Term Loan, 1st Lien
7.250%, 07/15/2021 (D)			1,000		1,236
Intelsat Jackson Holdings, Term Loan B2, 1st Lien
3.750%, 06/30/2019 (B)			1,275		1,247
Invenergy Thermal Opearting I LLC, Term Loan, 1st Lien
6.500%, 10/19/2022			1,450		1,392
J. Crew Group, Cov-Lite, Term Loan, 1st Lien
4.000%, 03/05/2021			1,865		1,130
Jazz Acquisition, Cov-Lite, Revolving Credit Loan, 1st Lien
4.255%, 06/19/2019			48		46
4.024%, 06/19/2019			152		143
Kronos, Initial Term Loan, 1st Lien
5.034%, 11/01/2023			400		402
LANDesk Group, Cov-Lite, Term Loan B, 1st Lien
5.250%, 01/20/2024			495		497
Lanyon Solutions, Term Loan B, 1st Lien
6.000%, 11/13/2020			351		352
Learning Care Group (U.S.) No. 2, Cov-Lite, Term Loan, 1st Lien
5.064%, 05/05/2021			1,055		1,067
5.035%, 05/05/2021			352		355
5.000%, 05/05/2021			29		29
Lineage Logistics LLC, Term Loan, 1st Lien
4.500%, 04/07/2021			2,120		2,119
Loanstar Intermediate Super Holdings LLC, Unsecured PIK, Term Loan, Other
10.000%, 08/31/2021			650		675
Lonestar Generation LLC, Cov-Lite, Term Loan B, 1st Lien
5.304%, 02/22/2021			597		568
Magic Newco LLC, Term Loan, 2nd Lien
12.000%, 06/12/2019			350		367
Mavis Tire Supply LLC, Term Loan
6.250%, 11/02/2020 (D)			1,478		1,463
McGraw-Hill Global Education Holdings LLC, Cov-Lite, Term Loan B, 1st Lien
5.000%, 05/04/2022			1,051		1,038
Men’s Wearhouse, Cov-Lite, Term Loan B, 1st Lien
4.500%, 06/18/2021			500		474
Mergermarket Limited, Term Loan, 1st Lien
4.554%, 02/04/2021			698		696
4.500%, 02/04/2021			32		32
MRP Generation Holdings LLC, Term Loan B, 1st Lien
8.000%, 09/29/2022			499		496


Description		Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
NaNa Development, Term Loan, 1st Lien
8.000%, 03/15/2018	$		90	$	88
Navistar, Term Loan B, 1st Lien
5.000%, 08/07/2020			988		997
Neiman Marcus Group, Cov-Lite, Term Loan, 1st Lien
4.250%, 10/25/2020			2,469		1,980
NEP Supershooters LP, Add-on Term Loan, 1st Lien
4.250%, 01/22/2020			1,215		1,214
NEP Supershooters LP, Cov-Lite, Term Loan, 2nd Lien
10.000%, 07/22/2020			575		580
NES Global Talent Finance U.S. LLC, Term Loan, 1st Lien
6.539%, 10/03/2019			928		835
NVA Holdings, Cov-Lite, Term Loan B2, 1st Lien
4.500%, 08/14/2021			971		980
Oberthur Technologies, Cov Lite, Delayed Draw Term Loan B1, 1st Lien
4.701%, 01/10/2024			153		154
Opal Acquisition, Cov-Lite, Term Loan, 1st Lien
5.000%, 11/27/2020			853		797
Panda Temple Power LLC, Term Loan B, 1st Lien
7.250%, 04/03/2019			347		300
Pelican Products, Cov-Lite, Term Loan, 1st Lien
5.250%, 04/10/2020			250		249
Pelican Products, Term Loan, 2nd Lien
9.250%, 04/09/2021			1,000		990
Planview, Term Loan, 1st Lien
6.250%, 01/18/2023 (D)			700		690
Project Alpha Intermediate, Term Loan, 1st Lien
11.250%, 08/22/2022 (D)			2		2
9.250%, 08/22/2022 (D)			896		880
Project Ruby Ultimate Parent, Cov-Lite, Term Loan B, 1st Lien
4.750%, 02/09/2024			500		501
Prowler Acquisition, Term Loan B, 1st Lien
5.500%, 01/28/2020			266		213
Reddy Ice, Cov-Lite, Term Loan, 1st Lien
8.250%, 05/01/2019			1		1
6.750%, 05/01/2019			336		329
Reddy Ice, Cov-Lite, Term Loan, 2nd Lien
10.750%, 10/01/2019			225		201
Rise, Term Loan A
4.750%, 02/12/2039			2,314		2,303
Ryan LLC, Term Loan B, 1st Lien
6.750%, 08/07/2020			333		329
Sears Roebuck Acceptance, Term Loan, 1st Lien
5.500%, 06/30/2018			759		749


Description		Face Amount (Thousands)		Market Value ($ Thousands)

LOAN PARTICIPATIONS (continued)
Severin Aquisition, Term Loan, 1st Lien
5.750%, 07/30/2021	$		1,000	$	1,011
Shearer’s Foods LLC, Term Loan, 1st Lien
5.400%, 06/30/2021			150		150
4.938%, 06/30/2021			747		748
Shearer’s Foods LLC, Term Loan, 2nd Lien
7.750%, 06/30/2022			225		218
Sparta Systems, Term Loan, 1st Lien
6.500%, 07/28/2020 (D)			669		665
Spring Industries, Term Loan, 1st Lien
7.500%, 06/01/2021 (D)			597		597
Sprint Communications, Initial Term Loan, 1st Lien
3.313%, 02/02/2024			1,500		1,499
SRS Distribution, Cov-Lite, Term Loan, 1st Lien
5.289%, 08/25/2022			1,475		1,494
ThermaSys, Cov-Lite, Term Loan, 1st Lien
7.000%, 05/03/2019			2		2
5.250%, 05/03/2019			342		306
TIBCO Software, Term Loan B, 1st Lien
5.500%, 12/04/2020			1,965		1,984
Travelport Finance (Luxembourg) S.A.R.L., Term Loan C, 1st Lien
4.289%, 09/02/2021			2,647		2,665
TSAM Delaware
9.000%, 09/12/2019 (D)			4		4
TSAM Delaware, Term B Loan, 1st Lien
7.750%, 09/12/2019 (D)			230		229
U.S. Renal Care, Cov-Lite, Term Loan, 1st Lien
5.250%, 12/30/2022			1,643		1,539
USIC Holdings, Cov-Lite, Term Loan, 1st Lien
6.500%, 12/08/2023			300		302
Vencore, Term Loan, 1st Lien
5.750%, 11/23/2019			802		810
Violin Finco SARL, Term Loan B, 1st Lien
5.750%, 12/20/2019			282		276
Vitera Healthcare Solutions LLC, Term Loan, 1st Lien
6.000%, 11/04/2020			851		851
Vitera Healthcare Solutions LLC, Term Loan, 2nd Lien
9.250%, 11/04/2021			200		194

Total Loan Participations (Cost $98,329) ($ Thousands)					97,429


MORTGAGE-BACKED SECURITIES — 10.7%

Agency Mortgage-Backed Obligations — 0.6%
FNMA CMO, Ser 2013-130, Cl SN, IO
5.668%, 10/25/2042 (B)			4,104		762
FNMA CMO, Ser 2016-70, Cl DS, IO
5.118%, 10/25/2046 (B)			3,859		595


Description		Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
GNMA CMO, Ser 2010-9, Cl XD, IO
5.672%, 01/16/2040 (B)	$		4,728	$	814
GNMA CMO, Ser 2011-51, Cl DS, IO
5.672%, 04/20/2041 (B)			719		128
GNMA CMO, Ser 2013-124, Cl CS, IO
5.072%, 08/20/2043 (B)			476		82
GNMA CMO, Ser 2014-117, Cl SJ, IO
4.622%, 08/20/2044 (B)			1,357		207
GNMA CMO, Ser 2014-158, Cl SA, IO
4.672%, 10/16/2044 (B)			625		94
GNMA CMO, Ser 2015-110, Cl MS, IO
4.732%, 08/20/2045 (B)			820		119
GNMA CMO, Ser 2015-111, Cl IM, IO
4.000%, 08/20/2045			6,019		1,056
GNMA CMO, Ser 2015-57, Cl AS, IO
4.622%, 04/20/2045 (B)			5,655		835
GNMA CMO, Ser 2016-27, Cl 1A, IO
4.000%, 06/20/2045			2,269		343

					5,035


Non-Agency Mortgage-Backed Obligations — 10.1%
Alliance Bancorp Trust, Ser 2007-OA1, Cl A1
1.018%, 07/25/2037 (B)			1,075		783
American Home Mortgage Assets Trust, Ser 2006-6, Cl A1A
0.968%, 12/25/2046 (B)			15		12
American Home Mortgage Assets Trust, Ser 2007-1, Cl A1
1.314%, 02/25/2047 (B)			4,652		2,698
American Home Mortgage Investment Trust, Ser 2006-1, Cl 12A1
1.178%, 03/25/2046 (B)			1,499		1,245
Bank of America Funding, Ser 2013-R1, Cl A5
0.999%, 11/03/2041 (A) (B)			7		7
BCAP Trust, Ser 2006-AA2, Cl A1
0.948%, 01/25/2037 (B)			838		701
BCAP Trust, Ser 2007-AA2, Cl 2A7
6.000%, 04/25/2037			1,032		893
Capmark Military Housing Trust, Ser 2007- AET2, Cl A
6.063%, 10/10/2052 (A)			971		1,005
CDGJ Commercial Mortgage Trust, Ser 2014-BXCH, Cl EPA
5.162%, 12/15/2027 (A) (B)			3,597		3,622
Chase Mortgage Finance Trust, Ser 2007-S5, Cl 1A3
6.000%, 07/25/2037			1,552		1,271
CIM Trust, Ser 2017-2, Cl A1
2.780%, 12/25/2057 (A) (B)			4,250		4,218
Cosmopolitan Hotel Trust, Ser 2016-CSMO, Cl E
5.562%, 11/15/2033 (A) (B)			4,200		4,267


Description		Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DN1, Cl M3
4.928%, 01/25/2025 (B)	$		450	$	480
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA2, Cl M3
5.782%, 05/25/2028 (B)			610		673
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA3, Cl M3
5.982%, 12/25/2028 (B)			250		276
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA4, Cl M3
4.782%, 03/25/2029 (B)			300		310
FirstKey Master Funding, Ser 2017-R1, Cl M4
1.009%, 11/03/2041 (A) (B)			1,750		1,568
FirstKey Master Funding, Ser 2017-R1, Cl A6
1.009%, 11/03/2041 (A) (B)			2,100		2,037
FNMA Connecticut Avenue Securities, Ser 2016-C04, Cl 1M2
5.232%, 01/25/2029 (B)			180		191
GAHR Commercial Mortgage Trust, Ser 2015-NRF, Cl GFX
3.382%, 12/15/2034 (A) (B)			2,250		2,165
GE Business Loan Trust, Ser 2007-1, Cl C
1.362%, 04/16/2035 (A) (B)			1,076		979
GreenPoint Mortgage Funding Trust, Ser 2006-AR1, Cl A1A
1.068%, 02/25/2036 (B)			1,563		1,428
GreenPoint MTA Trust, Ser 2005-AR1, Cl A2
1.422%, 06/25/2045 (B)			650		567
GS Mortgage Securities Trust, Ser 2014-GSFL, Cl D
4.812%, 07/15/2031 (A) (B)			1,300		1,306
GS Mortgage Securities Trust, Ser 2016-ICE2, Cl E
9.410%, 02/15/2033 (A) (B)			3,300		3,366
Lehman XS Trust, Ser 2006-10N, Cl 1A3A
0.988%, 07/25/2046 (B)			1,091		912
Lehman XS Trust, Ser 2006-16N, Cl A4A
0.968%, 11/25/2046 (B)			3,031		2,595
LSTAR Securities Investment Trust, Ser 2016-3, Cl A
2.784%, 09/01/2021 (A) (B)			1,213		1,249
LSTAR Securities Investment Trust, Ser 2016-4, Cl A1
2.784%, 10/01/2021 (A) (B)			3,034		3,013
LSTAR Securities Investment Trust, Ser 2016-5, Cl A1
2.983%, 11/01/2021 (A) (B)			1,649		1,641
LSTAR Securities Investment Trust, Ser 2016-7, Cl A1
2.784%, 12/01/2021 (A) (B)			6,211		6,157


Description		Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
LSTAR Securities Investment Trust, Ser 2017-1, Cl A
2.983%, 01/01/2022 (A) (B)	$		1,880	$	1,864
Luminent Mortgage Trust, Ser 2006-2, Cl A1A
1.182%, 02/25/2046 (B)			3,994		2,966
Morgan Stanley Re-REMIC Trust, Ser 2010-R5, Cl 4B
1.581%, 06/26/2036 (A) (B)			746		642
Mortgage Repurchase Agreement Financing Trust, Ser 2016-1, Cl A
1.863%, 09/10/2018 (A) (B)			700		700
Mortgage Repurchase Agreement Financing Trust, Ser 2016-2, Cl A
2.158%, 03/10/2019 (A) (B)			1,150		1,150
Mortgage Repurchase Agreement Financing Trust, Ser 2016-3, Cl A1
1.858%, 11/10/2018 (A) (B)			1,980		1,980
Mortgage Repurchase Agreement Financing Trust, Ser 2017-1, Cl A2
1.808%, 04/10/2019 (A) (B)			950		950
Motel 6 Trust, Ser 2015-MTL6, Cl E
5.279%, 02/05/2030 (A)			3,800		3,794
Nelnet Student Loan Trust, Ser 2006-1, Cl A6
1.370%, 08/23/2036			1,250		1,179
Nomura Resecuritization Trust, Ser 2012-1R, Cl A
1.224%, 08/27/2047 (A) (B)			1,162		1,153
Nomura Resecuritization Trust, Ser 2015-4R, Cl 5A1
1.646%, 03/26/2036 (A) (B)			945		901
PFP III, Ser 2017-3, Cl C
3.279%, 01/14/2035 (A) (B)			1,000		1,003
RALI Series Trust, Ser 2006-QO2, Cl A2
1.252%, 02/25/2046 (B)			1,883		835
RALI Series Trust, Ser 2006-QO3, Cl A1
1.192%, 04/25/2046 (B)			2,049		1,030
RALI Series Trust, Ser 2006-QO8, Cl 1A3A
1.182%, 10/25/2046 (B)			1,427		1,233
RALI Series Trust, Ser 2007-QO2, Cl A1
0.928%, 02/25/2047 (B)			1,478		876
Resource Capital, Ser 2015-CRE3, Cl D
4.772%, 03/15/2032 (A) (B)			1,000		1,008
Resource Capital, Ser 2015-CRE4, Cl B
3.772%, 08/15/2032 (A) (B)			1,000		996
SRERS Funding, Ser 2011-RS, Cl A1B1
1.023%, 05/09/2046 (A) (B)			483		481
SRERS Funding, Ser 2011-RS, Cl A1B2
1.023%, 05/09/2046 (A) (B)			2,000		1,259
Station Place Securitization Trust, Ser 2015-2, Cl A
1.941%, 05/15/2018 (A) (B)			650		650


Description		Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
Structured Adjustable Rate Mortgage Loan Trust, Ser 2005-19XS, Cl 2A1
1.078%, 10/25/2035 (B)	$		1,124	$	1,067
Washington Mutual Mortgage Pass-Through Certificates, Ser 2006-AR9, Cl 2A
1.454%, 11/25/2046 (B)			6,586		5,282
Wells Fargo Mortgage-Backed Securities Trust, Ser 2005-AR12, Cl 2A5
3.103%, 06/25/2035 (B)			499		511

					85,145

Total Mortgage-Backed Securities (Cost $89,485) ($ Thousands)					90,180

		Shares

COMMON STOCK — 9.9%

Consumer Discretionary — 1.2%
Advance Auto Parts			286		42
Amazon.com, Cl A*			1,641		1,455
Autonation*			311		13
Autozone*			120		87
Bed Bath & Beyond			599		24
Best Buy			1,071		53
BorgWarner			782		33
CarMax*			743		44
Carnival			1,680		99
CBS, Cl B			1,579		110
Cengage Learning Holdings II			5,114		54
Charter Communications, Cl A*			901		295
Chipotle Mexican Grill, Cl A*			113		50
Coach			1,082		45
Comcast, Cl A			19,725		742
Darden Restaurants			490		41
Delphi Automotive			1,129		91
Discovery Communications, Cl A*			684		20
Discovery Communications, Cl C*			870		25
DISH Network, Cl A*			900		57
Dollar General			1,081		75
Dollar Tree*			980		77
DR Horton			1,315		44
Expedia			508		64
Foot Locker, Cl A			525		39
Ford Motor			15,980		186
Gap			850		21
Garmin			447		23
General Motors			5,788		205
Genuine Parts			629		58
Goodyear Tire & Rubber			1,018		37
H&R Block			850		20
Hanesbrands			1,466		30
Harley-Davidson, Cl A			694		42
Hasbro			438		44


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Home Depot		5,041	$	740
Interpublic Group		1,555		38
Johnson Controls International		3,923		165
Kohl’s		697		28
L Brands		1,018		48
Leggett & Platt		519		26
Lennar, Cl A		836		43
LKQ*		1,192		35
Lowe’s		3,651		300
Macy’s		1,197		36
Marriott International, Cl A		1,304		123
Mattel		1,322		34
McDonald’s		3,444		446
Michael Kors Holdings*		713		27
Mohawk Industries*		276		63
NetFlix*		1,787		264
Newell Brands, Cl B		1,972		93
News, Cl A		1,477		19
News, Cl B		450		6
Nike, Cl B		5,554		310
Nordstrom		451		21
Omnicom Group		976		84
O’Reilly Automotive*		385		104
Priceline Group*		205		365
PulteGroup		1,200		28
PVH		311		32
Ralph Lauren, Cl A		219		18
Ross Stores		1,616		106
Royal Caribbean Cruises		706		69
Scripps Networks Interactive, Cl A		369		29
Signet Jewelers		293		20
Staples		2,524		22
Starbucks		6,010		351
Target, Cl A		2,309		127
TEGNA		832		21
Tiffany		417		40
Time Warner		3,206		313
TJX		2,684		212
Tractor Supply		519		36
TripAdvisor*		443		19
Twenty-First Century Fox, Cl A		4,297		139
Twenty-First Century Fox, Cl B		2,046		65
Ulta Salon Cosmetics & Fragrance*		246		70
Under Armour, Cl A*		712		14
Under Armour, Cl C*		715		13
VF		1,386		76
Viacom, Cl B		1,462		68
Walt Disney		6,061		687
Whirlpool		324		56
Wyndham Worldwide		454		38
Wynn Resorts		308		35


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Yum! Brands		1,437	$	92

				10,559


Consumer Staples — 0.9%
Altria Group		8,076		577
Archer-Daniels-Midland		2,367		109
Brown-Forman, Cl B		708		33
Campbell Soup		755		43
Church & Dwight		1,139		57
Clorox		543		73
Coca-Cola		16,068		682
Colgate-Palmolive		3,700		271
ConAgra Foods		1,743		70
Constellation Brands, Cl A		718		116
Costco Wholesale		1,817		305
Coty, Cl A		1,831		33
CVS Health		4,250		334
Dr Pepper Snapple Group		773		76
Estee Lauder, Cl A		915		78
General Mills		2,395		141
Hershey		607		66
Hormel Foods		1,049		36
JM Smucker		489		64
Kellogg		1,048		76
Kimberly-Clark		1,492		196
Kraft Heinz		2,488		226
Kroger		3,830		113
McCormick		446		44
Mead Johnson Nutrition, Cl A		780		69
Molson Coors Brewing, Cl B		765		73
Mondelez International, Cl A		6,427		277
Monster Beverage*		1,684		78
PepsiCo		5,937		664
Philip Morris International		6,421		725
Procter & Gamble		10,592		952
Reynolds American		3,385		213
Sysco, Cl A		2,081		108
Tyson Foods, Cl A		1,154		71
Walgreens Boots Alliance		3,510		292
Wal-Mart Stores		6,201		447
Whole Foods Market		1,237		37

				7,825


Energy — 0.7%
Anadarko Petroleum, Cl A		2,295		142
Apache		1,549		80
Baker Hughes		1,738		104
BreitBurn Energy Partners* (D)		62,847		10
Cabot Oil & Gas		1,805		43
Chesapeake Energy*		2,892		17
Chevron		7,807		838
Cimarex Energy		369		44


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Concho Resources*		595	$	76
ConocoPhillips		5,163		258
Devon Energy		2,137		89
EOG Resources		2,403		234
EQT		670		41
ExxonMobil		17,131		1,405
Halliburton		3,560		175
Helmerich & Payne		419		28
Hess		1,044		50
Kinder Morgan		7,916		172
Marathon Oil		3,598		57
Marathon Petroleum		2,151		109
Murphy Oil		628		18
National Oilwell Varco, Cl A		1,589		64
Newfield Exploration*		771		28
Noble Energy		1,794		62
Occidental Petroleum		3,207		203
Oneok		817		45
Phillips 66		1,792		142
Pioneer Natural Resources		713		133
Range Resources		779		23
SandRidge Energy*		2,776,351		487
Schlumberger, Cl A		5,769		451
Southwestern Energy*		1,915		16
TechnipFMC*		2,015		66
Tesoro		461		37
Titan Energy*		13,743		250
Transocean*		1,719		21
Valero Energy		1,867		124
Williams		3,334		99

				6,241


Financials — 1.4%
Affiliated Managers Group		209		34
Aflac		1,660		120
Allstate		1,512		123
American Express		3,158		250
American International Group		3,856		241
Ameriprise Financial		671		87
Aon		1,079		128
Arthur J. Gallagher		687		39
Assurant		234		22
Bank of America		41,774		985
Bank of New York Mellon		4,354		206
BB&T		3,385		151
Berkshire Hathaway, Cl B*		7,845		1,308
BlackRock		501		192
Capital One Financial		1,978		171
CBOE Holdings		400		32
Charles Schwab		5,007		204
Chubb		1,937		264
Cincinnati Financial		581		42


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Citigroup		11,479	$	687
Citizens Financial Group		2,202		76
CME Group		1,418		168
Comerica		675		46
Discover Financial Services		1,640		112
ETrade Financial		1,062		37
Fifth Third Bancorp		3,167		80
Franklin Resources		1,464		62
Goldman Sachs Group		1,526		351
Hartford Financial Services Group		1,598		77
Huntington Bancshares		4,592		61
Intercontinental Exchange		2,500		150
Invesco		1,762		54
JPMorgan Chase		14,784		1,299
KeyCorp		4,476		80
Leucadia National		1,259		33
Lincoln National		903		59
Loews		1,193		56
M&T Bank		638		99
Marsh & McLennan		2,189		162
MetLife		4,581		242
Moody’s		696		78
Morgan Stanley		5,920		254
Nasdaq, Cl A		443		31
Navient		1,230		18
Northern Trust		890		77
People’s United Financial		1,207		22
PNC Financial Services Group		1,999		240
Principal Financial Group, Cl A		1,124		71
Progressive		2,398		94
Prudential Financial		1,751		187
Raymond James Financial		530		40
Regions Financial		5,241		76
S&P Global		1,068		140
State Street		1,487		118
SunTrust Banks		2,039		113
Synchrony Financial		3,219		110
T. Rowe Price Group		1,064		72
Torchmark, Cl A		432		33
Travelers		1,162		140
Unum Group		911		43
US Bancorp		6,594		340
Wells Fargo		18,684		1,040
Willis Towers Watson		550		72
XL Group		1,067		43
Zions Bancorporation		859		36

				12,078


Health Care — 1.4%
Abbott Laboratories		7,057		313
AbbVie		6,604		430
Aetna, Cl A		1,439		184


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Agilent Technologies		1,360	$	72
Alexion Pharmaceuticals*		911		110
Allergan		1,389		332
AmerisourceBergen, Cl A		702		62
Amgen, Cl A		3,082		506
Anthem		1,100		182
Baxter International		2,001		104
Becton Dickinson		889		163
Biogen*		889		243
Boston Scientific*		5,717		142
Bristol-Myers Squibb		6,937		377
C.R. Bard		306		76
Cardinal Health		1,306		107
Celgene, Cl A*		3,218		400
Centene*		740		53
Cerner*		1,261		74
Cigna		1,076		158
Cooper, Cl A		189		38
DaVita HealthCare Partners*		642		44
DENTSPLY SIRONA		993		62
Edwards Lifesciences, Cl A*		877		83
Eli Lilly		4,037		340
Envision Healthcare*		461		28
Express Scripts Holding*		2,512		166
Gilead Sciences		5,469		371
HCA Holdings*		1,211		108
Henry Schein*		317		54
Hologic*		1,177		50
Humana		601		124
Idexx Laboratories*		350		54
Illumina*		600		102
Incyte*		741		99
Intuitive Surgical*		157		120
Johnson & Johnson		11,240		1,400
Laboratory Corp of America Holdings*		434		62
Mallinckrodt*		418		19
McKesson		910		135
Medtronic		5,653		455
Merck		11,408		725
Mettler Toledo International*		103		49
Mylan*		1,923		75
Patterson		384		17
PerkinElmer		425		25
Perrigo		621		41
Pfizer		24,659		844
Quest Diagnostics		598		59
Regeneron Pharmaceuticals*		308		119
Stryker		1,301		171
Thermo Fisher Scientific		1,645		253
UnitedHealth Group		3,940		646
Universal Health Services, Cl B		350		44
Varian Medical Systems*		362		33


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Vertex Pharmaceuticals*		1,017	$	111
Waters*		348		54
Zimmer Biomet Holdings		819		100
Zoetis, Cl A		2,012		107

				11,475


Industrials — 1.0%
3M		2,494		477
Acuity Brands		170		35
Alaska Air Group		534		49
Allegion		372		28
American Airlines Group		2,204		93
Ametek		902		49
Arconic		1,894		50
Boeing		2,365		418
C.H. Robinson Worldwide		554		43
Caterpillar, Cl A		2,439		226
Cintas		332		42
CSX		3,817		178
Cummins		636		96
Danaher, Cl A		2,477		212
Deere		1,175		128
Delta Air Lines, Cl A		3,009		138
Dover		672		54
Dun & Bradstreet		141		15
Eaton		1,835		136
Emerson Electric		2,692		161
Equifax		505		69
Expeditors International of Washington		703		40
Fastenal, Cl A		1,224		63
FedEx		1,002		196
Flowserve		506		25
Fluor		540		28
Fortive		1,260		76
Fortune Brands Home & Security		597		36
General Dynamics		1,171		219
General Electric		36,148		1,077
Honeywell International		3,163		395
Illinois Tool Works		1,322		175
Ingersoll-Rand		1,060		86
Jacobs Engineering Group		471		26
JB Hunt Transport Services		362		33
Kansas City Southern		419		36
L3 Technologies		334		55
Lockheed Martin		1,048		281
Masco		1,281		44
Nielsen Holdings		1,424		59
Norfolk Southern		1,185		133
Northrop Grumman		737		175
PACCAR		1,432		96
Parker-Hannifin, Cl A		556		89
Pentair		647		41


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Quanta Services*		671	$	25
Raytheon		1,225		187
Republic Services		994		62
Robert Half International		505		25
Rockwell Automation		535		83
Rockwell Collins		563		55
Roper Technologies		420		87
Ryder System		239		18
Snap-on		225		38
Southwest Airlines, Cl A		2,500		134
Stanley Black & Decker		625		83
Stericycle, Cl A*		330		27
Textron		1,149		55
TransDigm Group		221		49
Union Pacific		3,401		360
United Continental Holdings*		1,208		85
United Parcel Service, Cl B		2,827		303
United Rentals*		334		42
United Technologies		3,161		355
Verisk Analytics, Cl A*		610		50
Waste Management		1,654		121
WW Grainger		216		50
Xylem		695		35

				8,510


Information Technology — 2.2%
Accenture, Cl A		2,544		305
Activision Blizzard		2,785		139
Adobe Systems*		2,032		264
Advanced Micro Devices*		3,196		46
Akamai Technologies*		678		40
Alliance Data Systems		227		57
Alphabet, Cl A*		1,224		1,038
Alphabet, Cl C*		1,227		1,018
Amphenol, Cl A		1,275		91
Analog Devices		1,494		122
Apple		21,737		3,123
Applied Materials		4,527		176
Autodesk, Cl A*		821		71
Automatic Data Processing		1,885		193
Broadcom, Cl A		1,628		356
CA		1,219		39
Cisco Systems		20,774		702
Citrix Systems*		675		56
Cognizant Technology Solutions, Cl A*		2,544		151
Corning, Cl B		4,016		108
CSRA		646		19
eBay*		4,259		143
Electronic Arts*		1,232		110
F5 Networks, Cl A*		271		39
Facebook, Cl A*		9,758		1,386
Fidelity National Information Services, Cl B		1,338		107


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Fiserv, Cl A*		901	$	104
Flir Systems		604		22
Global Payments		665		54
Harris		544		61
Hewlett Packard Enterprise		6,983		165
HP		6,979		125
Intel		19,612		707
International Business Machines		3,582		624
Intuit		992		115
Juniper Networks		1,486		41
KLA-Tencor		664		63
Lam Research		665		85
LogMeIn		1		—
MasterCard, Cl A		3,921		441
Microchip Technology		909		67
Micron Technology*		4,254		123
Microsoft		32,104		2,114
Motorola Solutions		716		62
NetApp		1,081		45
Nvidia		2,440		266
Oracle, Cl B		12,419		554
Paychex		1,321		78
PayPal Holdings*		4,600		198
Qlik*		3,600		—
Qlik, Cl A* (D)		56		56
Qlik, Cl B* (D)		13,812		1
Qorvo*		496		34
Qualcomm		6,135		352
Red Hat*		771		67
salesforce.com*		2,626		217
Seagate Technology		1,159		53
Skyworks Solutions		782		77
Symantec, Cl A		2,573		79
Synopsys*		620		45
TE Connectivity		1,450		108
Teradata*		594		18
Texas Instruments		4,154		335
Total System Services		642		34
VeriSign*		360		31
Visa, Cl A		7,730		687
Western Digital		1,170		97
Western Union		1,893		38
Xerox		3,303		24
Xilinx		1,068		62
Yahoo!*		3,675		171

				18,599


Materials — 0.3%
Air Products & Chemicals		876		119
Albemarle		436		46
Avery Dennison		345		28
Ball		743		55


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
CF Industries Holdings		905	$	27
Dow Chemical, Cl A		4,662		296
E.I. Du Pont de Nemours		3,648		293
Eastman Chemical		573		46
Ecolab		1,102		138
FMC		519		36
Freeport-McMoRan, Cl B*		5,544		74
International Flavors & Fragrances		309		41
International Paper		1,683		85
LyondellBasell Industries, Cl A		1,377		126
Martin Marietta Materials, Cl A		267		58
Mirabela Nickel* (D)		597,236		—
Monsanto		1,794		203
Mosaic		1,359		40
Newmont Mining		2,200		72
Nucor		1,319		79
PPG Industries		1,085		114
Praxair		1,198		142
Sealed Air		763		33
Sherwin-Williams, Cl A		328		102
Vulcan Materials		554		67
WestRock		1,082		56

				2,376


Real Estate — 0.3%
Alexandria Real Estate Equities‡		368		41
American Tower, Cl A‡		1,745		212
Apartment Investment & Management, Cl A‡		608		27
AvalonBay Communities‡		561		103
Boston Properties‡		631		84
CBRE Group, Cl A*		1,359		47
Crown Castle International‡		1,514		143
Digital Realty Trust, Cl A‡		649		69
Equinix‡		289		116
Equity Residential‡		1,494		93
Essex Property Trust‡		276		64
Extra Space Storage‡		488		36
Federal Realty Investment Trust‡		314		42
GGP‡		2,471		57
HCP‡		1,980		62
Host Hotels & Resorts‡		3,190		59
Iron Mountain‡		950		34
Kimco Realty‡		1,856		41
Macerich‡		468		30
Mid-America Apartment Communities‡		468		48
ProLogis‡		2,135		111
Public Storage‡		626		137
Realty Income‡		1,087		65
Regency Centers‡		600		40
Simon Property Group‡		1,309		225
SL Green Realty‡		434		46
UDR‡		1,036		38


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Ventas ‡		1,449	$	94
Vornado Realty Trust ‡		713		71
Welltower ‡		1,469		104
Weyerhaeuser ‡		3,058		104

				2,443


Telecommunication Services — 0.2%
AT&T		25,385		1,055
CenturyTel		2,322		55
Level 3 Communications*		1,212		69
Verizon Communications		16,862		822

				2,001


Utilities — 0.3%
AES		2,558		29
Alliant Energy		882		35
Ameren		1,047		57
American Electric Power		2,066		139
American Water Works		781		61
Centerpoint Energy		1,871		52
CMS Energy		1,208		54
Consolidated Edison		1,246		97
Dominion Resources		2,568		199
DTE Energy		746		76
Duke Energy		2,872		235
Edison International		1,331		106
Entergy		786		60
Eversource Energy		1,319		77
Exelon		3,876		139
FirstEnergy		1,865		59
NextEra Energy		1,946		250
NiSource		1,333		32
NRG Energy		1,445		27
PG&E		2,123		141
Pinnacle West Capital		431		36
PPL		2,776		104
Public Service Enterprise Group		2,069		92
SCANA		555		36
Sempra Energy		1,019		113
Southern		4,013		200
WEC Energy Group		1,310		79
Xcel Energy		2,081		92

				2,677

Total Common Stock (Cost $71,450) ($ Thousands)				84,784


	Face Amount (Thousands)

SOVEREIGN DEBT — 8.0%
Abu Dhabi Government International Bond
3.125%, 05/03/2026 $		850		849


Description		Face Amount (Thousands)		Market Value ($ Thousands)

SOVEREIGN DEBT (continued)
2.125%, 05/03/2021	$		200	$	198
Angolan Government International Bond
9.500%, 11/12/2025			430		443
Argentina Bonar Bonds
22.808%, 10/09/2017 (B)	ARS		13,610		944
22.806%, 03/01/2018 (B)			150		10
Argentine Bonos del Tesoro
16.000%, 10/17/2023			4,640		312
15.500%, 10/17/2026			10		—
Argentine Republic Government International Bond
8.280%, 12/31/2033	$		112		118
7.820%, 12/31/2033	EUR		230		257
7.500%, 04/22/2026	$		300		319
7.500%, 04/22/2026 (A)			1,160		1,233
7.125%, 07/06/2036 (A)			400		387
7.125%, 07/06/2036			330		320
6.875%, 04/22/2021 (A)			260		279
6.875%, 01/26/2027 (A)			1,060		1,075
2.500%, 03/31/2019 (C) (F)			930		586
Armenia Government International Bond
7.150%, 03/26/2025			200		214
Bahrain Government International Bond
7.000%, 10/12/2028 (A)			210		219
Bermuda Government International Bond
3.717%, 01/25/2027 (A)			240		231
Bolivian Government International Bond
4.500%, 03/20/2028 (A)			430		419
Brazilian Government International Bond
6.000%, 04/07/2026			200		217
2.625%, 01/05/2023			1,090		1,011
Bulgaria Government International Bond
3.125%, 03/26/2035	EUR		170		186
3.000%, 03/21/2028			360		417
2.950%, 09/03/2024			830		981
2.625%, 03/26/2027			100		113
Chile Government International Bond
3.125%, 01/21/2026	$		1,220		1,239
Colombia Government International Bond
5.000%, 06/15/2045			1,700		1,705
4.500%, 01/28/2026			200		211
3.875%, 03/22/2026	EUR		190		233
2.625%, 03/15/2023	$		860		827
Costa Rica Government International Bond
7.158%, 03/12/2045			880		895
7.000%, 04/04/2044			400		403
5.625%, 04/30/2043			400		350
Croatia Government International Bond
5.500%, 04/04/2023			200		216
Dominican Republic International Bond
6.875%, 01/29/2026			960		1,051
6.850%, 01/27/2045 (A)			1,305		1,347


Description		Face Amount (Thousands)		Market Value ($ Thousands)

SOVEREIGN DEBT (continued)
6.850%, 01/27/2045	$		660	$	682
6.600%, 01/28/2024			300		325
5.875%, 04/18/2024			3,090		3,233
5.500%, 01/27/2025			220		224
Ecuador Government International Bond
10.750%, 03/28/2022			1,450		1,533
9.650%, 12/13/2026 (A)			910		942
7.950%, 06/20/2024			400		376
El Salvador Government International Bond
8.625%, 02/28/2029 (A)			280		288
7.750%, 01/24/2023			10		10
7.650%, 06/15/2035			960		892
6.375%, 01/18/2027			10		9
5.875%, 01/30/2025			80		72
Guatemala Government Bond
5.750%, 06/06/2022			700		767
4.875%, 02/13/2028			210		214
4.500%, 05/03/2026 (A)			970		966
Hazine Mustesarligi Varlik Kiralama
5.004%, 04/06/2023 (A)			970		970
Honduras Government International Bond
7.500%, 03/15/2024			860		945
Hungary Government International Bond
6.375%, 03/29/2021			540		608
6.250%, 01/29/2020			2,310		2,531
5.750%, 11/22/2023			140		158
5.375%, 02/21/2023			250		275
4.125%, 02/19/2018			70		72
4.000%, 03/25/2019			30		31
Indonesia Government International Bond MTN
5.875%, 01/15/2024			1,130		1,281
4.750%, 01/08/2026			2,270		2,417
4.625%, 04/15/2043			230		232
4.350%, 01/08/2027 (A)			320		331
4.125%, 01/15/2025			300		308
3.750%, 06/14/2028 (A)	EUR		200		229
3.700%, 01/08/2022 (A)	$		450		459
3.375%, 04/15/2023			310		310
3.375%, 07/30/2025	EUR		1,390		1,587
2.625%, 06/14/2023 (A)			300		336
Ivory Coast Government International Bond
6.375%, 03/03/2028	$		200		196
5.750%, 12/31/2032 (C)			98		91
Kenya Government International Bond
6.875%, 06/24/2024 (A)			1,335		1,329
6.875%, 06/24/2024			600		597
Macedonia Government International Bond
5.625%, 07/26/2023	EUR		350		395
5.625%, 07/26/2023 (A)			350		395
Mexican Bonos
8.500%, 11/18/2038	MXN		980		58
8.000%, 11/07/2047			48		3


Description		Face Amount (Thousands)		Market Value ($ Thousands)

SOVEREIGN DEBT (continued)
7.750%, 11/23/2034	MXN		1,954	$	107
Mexico Government International Bond
4.000%, 10/02/2023	$		520		536
3.625%, 03/15/2022			70		72
Mongolia Government International Bond MTN
5.125%, 12/05/2022			401		377
Nigeria Government International Bond
7.875%, 02/16/2032 (A)			620		645
6.750%, 01/28/2021			207		216
6.375%, 07/12/2023			200		203
Pakistan Government International Bond
8.250%, 09/30/2025			370		413
Paraguay Government International Bond
6.100%, 08/11/2044			350		376
5.000%, 04/15/2026 (A)			440		459
4.700%, 03/27/2027 (A)			570		577
4.625%, 01/25/2023			550		572
Perusahaan Penerbit SBSN Indonesia III
4.550%, 03/29/2026 (A)			330		342
4.550%, 03/29/2026			200		207
4.150%, 03/29/2027 (A)			1,090		1,095
3.400%, 03/29/2022 (A)			200		200
Philippine Government International Bond
5.500%, 03/30/2026			200		236
Province of Santa Fe
7.000%, 03/23/2023 (A)			150		151
Provincia de la Rioja
9.750%, 02/24/2025 (A)			270		275
Republic of Suriname
9.250%, 10/26/2026 (A)			340		339
9.250%, 10/26/2026			200		198
Romanian Government International Bond MTN
6.750%, 02/07/2022			610		707
6.125%, 01/22/2044			160		197
4.875%, 01/22/2024			50		54
4.375%, 08/22/2023			100		106
3.875%, 10/29/2035	EUR		80		90
2.875%, 05/26/2028			220		241
Russian Foreign Bond—Eurobond
4.875%, 09/16/2023 (A)	$		400		429
4.750%, 05/27/2026			400		417
4.500%, 04/04/2022 (A)			200		212
Senegal Government International Bond
6.250%, 07/30/2024 (A)			200		202
South Africa Government International Bond
9.000%, 01/31/2040	ZAR		1,350		94
8.875%, 02/28/2035			1,690		119
5.875%, 05/30/2022	$		100		109
5.875%, 09/16/2025			560		603
4.875%, 04/14/2026			290		291
4.300%, 10/12/2028			400		375


Description		Face Amount (Thousands)		Market Value ($ Thousands)

SOVEREIGN DEBT (continued)
Sri Lanka Government International Bond
6.850%, 11/03/2025	$		390	$	403
6.825%, 07/18/2026 (A)			250		259
6.125%, 06/03/2025			200		200
5.875%, 07/25/2022			470		482
5.750%, 01/18/2022 (A)			200		205
Turkey Government International Bond
7.375%, 02/05/2025			360		408
7.000%, 06/05/2020			220		240
6.875%, 03/17/2036			130		141
6.250%, 09/26/2022			1,271		1,357
6.000%, 03/25/2027			346		359
6.000%, 01/14/2041			410		405
5.750%, 03/22/2024			906		940
4.875%, 04/16/2043			200		172
Ukraine Government International Bond
7.750%, 09/01/2023			220		208
7.750%, 09/01/2024			700		655
7.750%, 09/01/2025			500		462
7.750%, 09/01/2027			370		339
Zambia Government International Bond
8.970%, 07/30/2027			1,350		1,411
8.970%, 07/30/2027			410		428
8.500%, 04/14/2024			200		206
5.375%, 09/20/2022			280		256

Total Sovereign Debt (Cost $65,863) ($ Thousands)					67,870


COMMERCIAL PAPER (E) — 6.0%
Coca-Cola
0.922%, 06/23/2017 (A)			6,000		5,987
John Deere Financial
0.911%, 04/24/2017 (A)			6,600		6,596
Johnson & Johnson
0.801%, 04/18/2017 (A)			6,700		6,697
Merck
0.810%, 04/13/2017 (A)			6,000		5,998
Mitsubishi UFJ Trust & Banking
0.971%, 05/12/2017			6,000		5,993
Nestle Capital
0.902%, 06/14/2017 (A)			6,500		6,488
PepsiCo
0.610%, 04/07/2017 (A)			6,500		6,499
Wal-Mart Stores
0.821%, 04/17/2017 (A)			6,600		6,598


Description	Face Amount (Thousands)		Market Value ($ Thousands)

COMMERCIAL PAPER (E) (continued)
Total Commercial Paper (Cost $50,858) ($ Thousands)			$	50,856


MUNICIPAL BONDS — 0.4%

Minnesota — 0.0%
Northstar Education Finance, RB
1.130%, 04/28/2030 (B)		300		295


North Carolina — 0.2%
North Carolina State, Education Assistance Authority, RB
1.782%, 10/25/2041 (B)		1,250		1,248


Puerto Rico — 0.2%
Puerto Rico Commonwealth, Aqueduct & Sewer Authority, RB Callable 07/01/2018 @ 100
6.000%, 07/01/2038		55		44
Puerto Rico Commonwealth, Aqueduct & Sewer Authority, RB Callable 07/01/2022 @ 100
5.000%, 07/01/2033		25		19
Puerto Rico Commonwealth, GO
6.000%, 07/01/2039 (F)		35		21
Puerto Rico Commonwealth, GO
8.000%, 07/01/2035 (F)		410		254
Puerto Rico Sales Tax Financing Sales Tax Revenue, RB Callable 08/01/2019 @ 100
6.500%, 08/01/2044		1,020		454
6.000%, 08/01/2042		105		44
5.750%, 08/01/2037		655		281
5.500%, 08/01/2028		35		14
Puerto Rico Sales Tax Financing Sales Tax Revenue, RB Callable 02/01/2020 @ 100
5.500%, 08/01/2037		90		37
5.375%, 08/01/2039		960		381
Puerto Rico Sales Tax Financing Sales Tax Revenue, RB Callable 08/01/2020 @ 100
5.250%, 08/01/2041		325		128


Description		Face Amount (Thousands)		Market Value ($ Thousands)

MUNICIPAL BONDS (continued)
Puerto Rico Sales Tax Financing Sales Tax Revenue, RB Callable 08/01/2021 @ 100
5.000%, 08/01/2043	$		40	$	16

					1,693

Total Municipal Bonds (Cost $3,399) ($ Thousands)					3,236


U.S. TREASURY OBLIGATION — 0.3%
U.S. Treasury Notes
2.125%, 03/31/2024			2,810		2,793

Total U.S. Treasury Obligation (Cost $2,794) ($ Thousands)					2,793


		Shares

PREFERRED STOCK — 0.3%

Industrials — 0.3%
Seaspan, 6.375%			86,939		2,182


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 $2,895) ($ Thousands)					2,182


		Face Amount (Thousands)

CONVERTIBLE BONDS — 0.2%
Mirabela Nickel CV to 5.942
9.500%, 06/24/2019 (A)	$		167		12
SandRidge Energy CV to 0.0533
2.312%, 10/04/2020 (E)			661		713
SM Energy
1.500%, 07/01/2021			650		644

Total Convertible Bonds (Cost $1,451) ($ Thousands)					1,369


Description	Number of Warrants			Market Value ($ Thousands)

WARRANTS* — 0.0%
Comstock Resources, Expires 06/15/2020
Strike Price $—		1,857		$	17

Total Warrants (Cost $—) ($ Thousands)					17

Total Investments — 96.9% (Cost $807,872) ($ Thousands)				$	819,050


	Face Amount (Thousands)

CORPORATE OBLIGATION SOLD SHORT — 0.0%

Industrials — 0.0%
XPO Logistics
6.125%, 09/01/2023 (A)	$	(200	)	$	(208	)

Total Corporate Obligation Sold Short
(Proceeds $208) ($ Thousands)					(208	)

Total Investments Sold Short — 0.0%
(Proceeds $208) ($ Thousands)				$	(208	)


	Contracts

*PURCHASED OPTIONS — 0.3%**
December 19 Put on IMM EUR,
Expires 12/21/2019,
Strike Price $97.63		856		$	947
iShares 20+ Year Treasury Bond ETF,
Expires 06/17/2017,
Strike Price $120.00		5,238			1,393
October 17 EUR Put GBP Call,
Expires 10/21/2017,
Strike Price $0.87		17,281,033			440

Total Purchased Options (Cost $2,611) ($ Thousands)					2,780


*WRITTEN OPTIONS — (0.2)%**
April 17 Calls on SPX, Expires 04/22/2017
Strike Price $2,370.00		(235	)		(338	)
April 17 Calls on SPX, Expires 04/22/2017
Strike Price $2,360.00		(235	)		(478	)
April 17 Calls on SPX, Expires 04/22/2017
Strike Price $2,340.00		(3	)		(10	)
December 19 Put on IMM EUR, Expires
12/21/2019
Strike Price $96.25		(856	)		(209	)
iShares 20+ Year Treasury Bond ETF, Expires
06/17/2017


Description	Contracts			Market Value ($ Thousands)

WRITTEN OPTIONS (continued)
Strike Price $123.00		(5,238	)	$	(707	)

Total Written Options (Premiums Received $2,300) ($ Thousands)				$	(1,742	)

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
S&P 500 Index E-MINI		244		Jun-2017	$	(28	)
U.S. 10-Year Treasury Note		160		Jun-2017		39
U.S. 2-Year Treasury Note		86		Jul-2017		5
U.S. 5-Year Treasury Note		194		Jun-2017		111
U.S. Long Treasury Bond		25		Jun-2017		12
U.S. Ultra Long Treasury Bond		34		Jun-2017		16
Ultra 10-Year U.S. Treasury Bond		18		Jun-2017		11

					$	166

A list of the open forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency To Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
04/11/17		USD	1,256		GBP	1,017	$	16
04/11/17-04/28/17		GBP	4,144		USD	5,064		(118	)
04/11/17-05/02/17		EUR	1,576		USD	1,705		18
05/11/17		EUR	12,583		USD	13,421		(61	)
05/05/17		ZAR	2,908		USD	220		4
05/11/17		USD	716		EUR	670		1
05/11/17		USD	1,170		EUR	1,082		(11	)
05/12/17-06/21/17		USD	1,449		MXN	28,626		52
05/12/17		MXN	3,554		USD	181		(6	)

							$	(105	)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Bank of America	$	(64	)	$	64	$	—
Barclays PLC		(3,348	)		3,265		(83	)
Brown Brothers Harriman		(348	)		344		(4	)
Citigroup		(822	)		815		(7	)
Goldman Sachs		(14,197	)		14,138		(59	)
JPMorgan Chase Bank		(2,063	)		2,080		17
Morgan Stanley		(2,668	)		2,734		66
Royal Bank of Scotland		(1,835	)		1,800		(35	)

						$	(105	)

A list of the open centrally cleared swap agreements held by the Fund at March 31, 2017 is as follows:

Percentages are based on Net Assets of $845,719 ($ 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 March 31, 2017, the value of these securities amounted to $383,690 ($ Thousands), representing 45.4% 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 March 31, 2017.

(C)

Step Bonds — The rate reflected on the Schedule of Investments is the effective yield on March 31, 2017. The coupon on a step bond changes on a specified date.

(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 March 31, 2017 was $23,045 ($ Thousands) and represented 2.7% of the Net Assets of the Fund.

(E)

The rate reported is the effective yield at the time of purchase.

(F)

Security is in default on interest payment.

(G)

Unsettled bank loan. Interest rate not available.

CDO — Collateralized Debt Obligation

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

ETF — Exchange Traded Fund

EUR — Euro

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound

GNMA — Government National Mortgage Association

GO — General Obligation

JIBAR — Johannesburg Interbank Agreed Rate

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

RB — Revenue Bond

RE-REMIC — Re-securitization of Real Estate Mortgage Investment Conduit

S&P— Standard & Poor’s

Ser — Series

SPX — S&P 500 Index

USD — U.S. Dollar

ZAR — South African Rand

The following is a list of the level of inputs used as of March 31, 2017, 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	$	—		$	265,060		$	3,756	$	268,816
Corporate Obligations		—			145,182			4,336		149,518
Loan Participations		—			79,163			18,266		97,429
Mortgage-Backed Securities		—			83,027			7,153		90,180
Common Stock		84,663			54			67		84,784
Sovereign Debt		—			67,870			—		67,870
Commercial Paper		—			50,856			—		50,856
Municipal Bonds		—			3,236			—		3,236
U.S. Treasury Obligation		—			2,793			—		2,793
Preferred Stock		2,182			—			—		2,182
Convertible Bonds		—			1,357			12		1,369
Warrant		—			—			17		17

Total Investments in Securities	$	86,845		$	698,598		$	33,607	$	819,050


Securities Sold Short	Level 1			Level 2			Level 3		Total
Corporate Obligation	$	—		$	(208	)	$	—	$	(208	)

Total Securities Sold Short	$	—		$	(208	)	$	—	$	(208	)


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Purchased Options	$	2,780		$	—		$	—	$	2,780
Written Options		(1,742	)		—			—		(1,742	)
Futures Contracts*
Unrealized Appreciation		194			—			—		194
Unrealized Depreciation		(28	)		—			—		(28	)
Forwards Contracts*
Unrealized Appreciation		—			91			—		91
Unrealized Appreciation		—			(196	)		—		(196	)
Centrally Cleared Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			19			—		19
Unrealized Depreciation		—			(79	)		—		(79	)

Total Other Financial Instruments	$	1,204		$	(165	)	$	—	$	1,039

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):

LOGO


Description	Face Amount (Thousands)		Market Value ($ Thousands)

U.S. TREASURY OBLIGATIONS — 67.8%
U.S. Treasury Bills (A)
0.631%, 06/01/2017	$	98,690	$	98,577
0.531%, 05/11/2017		50,910		50,871
0.456%, 04/20/2017		5,820		5,818
U.S. Treasury Inflation Protected Securities
2.125%, 01/15/2019		16,856		17,732
1.375%, 01/15/2020		44,049		46,402
1.250%, 07/15/2020		52,151		55,183
1.125%, 01/15/2021		20,426		21,506
0.625%, 07/15/2021		102,463		106,279
0.125%, 04/15/2019		82,826		84,042
0.125%, 04/15/2020		83,173		84,413
0.125%, 01/15/2022		31,941		32,180

Total U.S. Treasury Obligations (Cost $600,074) ($ Thousands)				603,003


	Shares

COMMON STOCK — 28.4%

Consumer Discretionary — 0.0%
US Foods Holding*		927		26


Consumer Staples — 7.1%
Altria Group		59,372		4,240
Andersons		678		26
Archer-Daniels-Midland		17,527		807
Avon Products*		18,328		81
B&G Foods, Cl A		2,578		104
Blue Buffalo Pet Products*		2,700		62
Boston Beer, Cl A*		150		22
Brown-Forman, Cl A		1,828		86
Brown-Forman, Cl B		5,678		262
Bunge		4,350		345


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Calavo Growers		450	$	27
Cal-Maine Foods		650		24
Campbell Soup		5,950		341
Casey’s General Stores		1,378		155
Central Garden & Pet, Cl A*		778		27
Church & Dwight		8,228		410
Clorox		4,100		553
Coca-Cola		119,128		5,056
Coca-Cola Bottling Consolidated		180		37
Colgate-Palmolive		27,028		1,978
ConAgra Foods		13,800		557
Constellation Brands, Cl A		5,150		835
Costco Wholesale		13,350		2,239
Coty, Cl A		14,800		268
CVS Health		33,300		2,614
Darling Ingredients*		6,900		100
Dean Foods		4,072		80
Dr Pepper Snapple Group		5,700		558
Edgewell Personal Care*		2,078		152
Energizer Holdings		1,900		106
Estee Lauder, Cl A		6,928		587
Flowers Foods		5,950		115
Fresh Del Monte Produce		1,372		81
General Mills		18,628		1,099
Hain Celestial Group*		3,578		133
Herbalife*		2,628		153
Hershey		4,450		486
Hormel Foods		8,400		291
HRG Group*		5,278		102
Ingles Markets, Cl A		579		25
Ingredion		2,400		289
J&J Snack Foods		727		99
JM Smucker		3,600		472
Kellogg		7,850		570
Kimberly-Clark		11,350		1,494
Kraft Heinz		18,828		1,710
Kroger		30,400		896
Lamb Weston Holdings		4,850		204
Lancaster Colony		750		97
McCormick		3,728		364
Mead Johnson Nutrition, Cl A		5,978		532
Molson Coors Brewing, Cl B		5,250		502
Mondelez International, Cl A		47,300		2,038
Monster Beverage*		13,628		629
Nu Skin Enterprises, Cl A		1,972		109
PepsiCo		44,200		4,944
Performance Food Group*		1,050		25
Philip Morris International		47,050		5,312
Pilgrim’s Pride		1,278		29
Pinnacle Foods		3,950		229
Post Holdings*		2,372		208
Prestige Brands Holdings, Cl A*		600		33


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
PriceSmart		900	$	83
Procter & Gamble		78,578		7,060
Reynolds American		25,250		1,591
Rite Aid*		33,600		143
Sanderson Farms		672		70
Seaboard		7		29
Snyder’s-Lance		3,150		127
SpartanNash		1,822		64
Spectrum Brands Holdings		950		132
Sprouts Farmers Market*		5,028		116
SUPERVALU*		6,528		25
Sysco, Cl A		16,322		847
Tootsie Roll Industries		670		25
TreeHouse Foods*		1,927		163
Tyson Foods, Cl A		8,900		549
United Natural Foods*		1,950		84
Universal		1,022		72
Vector Group		5,100		106
Walgreens Boots Alliance		26,750		2,222
Wal-Mart Stores		46,527		3,354
WD-40		327		36
Weis Markets		400		24
WhiteWave Foods, Cl A*		5,700		320
Whole Foods Market		10,628		316

				63,567


Energy — 7.1%
Anadarko Petroleum, Cl A		23,828		1,477
Antero Resources*		7,900		180
Apache		16,628		855
Archrock		1,950		24
Atwood Oceanics, Cl A*		3,633		35
Baker Hughes		18,350		1,098
Cabot Oil & Gas		20,028		479
Callon Petroleum*		8,628		114
Carrizo Oil & Gas*		3,200		92
Cheniere Energy*		8,678		410
Chesapeake Energy*		28,728		171
Chevron		78,118		8,388
Cimarex Energy		4,000		478
Clayton Williams Energy*		229		30
Concho Resources*		6,100		783
ConocoPhillips		52,228		2,605
Consol Energy*		10,550		177
Continental Resources, Cl A*		3,727		169
Delek US Holdings		3,778		92
Denbury Resources*		21,572		56
Devon Energy		22,500		939
Diamond Offshore Drilling*		3,172		53
Diamondback Energy, Cl A*		4,100		425
Dril-Quip*		1,600		87
Energen*		4,221		230


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Ensco, Cl A		14,778	$	132
EOG Resources		22,878		2,232
EQT		7,378		451
Exterran*		877		28
Extraction Oil & Gas*		1,477		27
ExxonMobil		175,158		14,365
Fairmount Santrol Holdings*		2,650		19
Forum Energy Technologies*		1,477		31
Golar LNG		5,428		152
Green Plains		1,100		27
Gulfport Energy*		8,078		139
Halliburton		35,950		1,769
Helix Energy Solutions Group*		3,778		29
Helmerich & Payne		4,128		275
Hess		12,250		591
HollyFrontier		7,228		205
Kinder Morgan		81,550		1,773
Kosmos Energy*		4,328		29
Laredo Petroleum*		7,428		108
Marathon Oil		36,450		576
Marathon Petroleum		22,050		1,114
Matador Resources*		4,800		114
Matrix Service*		1,550		26
McDermott International*		14,050		95
Murphy Oil		7,250		207
Nabors Industries		12,850		168
National Oilwell Varco, Cl A		15,728		631
Natural Gas Services Group*		900		23
Newfield Exploration*		8,950		330
Noble		13,500		84
Noble Energy		18,528		636
Nordic American Tankers		3,628		30
Oasis Petroleum*		10,300		147
Occidental Petroleum		32,250		2,043
Oceaneering International, Cl A		4,928		133
Oil States International*		2,528		84
Oneok		9,028		500
Parsley Energy, Cl A*		7,928		258
Patterson-UTI Energy		6,528		158
PBF Energy, Cl A		5,350		119
PDC Energy, Cl A*		2,450		153
PHI*		12,900		155
Phillips 66		18,850		1,493
Pioneer Natural Resources		6,872		1,280
Prothena*		476		27
QEP Resources*		12,200		155
Range Resources		9,028		263
Rice Energy*		7,278		172
Rowan, Cl A*		5,700		89
RPC		1,328		24
RSP Permian*		4,372		181
Schlumberger, Cl A		57,928		4,524


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
SEACOR Holdings, Cl A*		500	$	35
Seadrill*		12,950		21
SemGroup, Cl A		3,400		122
SM Energy		4,628		111
Southwestern Energy*		21,750		178
SRC Energy*		10,800		91
Superior Energy Services*		8,578		122
Targa Resources		7,400		443
Tesoro		5,100		413
Transocean*		14,650		182
Unit*		1,328		32
US Silica Holdings		3,378		162
Valero Energy		19,722		1,307
Weatherford International*		45,850		305
Western Refining		3,700		130
Whiting Petroleum*		10,050		95
Williams		32,050		948
World Fuel Services		3,228		117
WPX Energy*		17,950		240

				62,875


Financials — 0.1%
Empire State Realty Trust, Cl A		4,528		93
First Industrial Realty Trust‡		3,778		101
HFF, Cl A		900		25
Monogram Residential Trust‡		3,500		35
Paramount Group‡		7,078		115
Rayonier		3,628		103
Realogy Holdings		4,377		130
Sabra Health Care‡		1,000		28
Spirit Realty Capital‡		14,800		150
VEREIT‡		22,500		191
WP Carey‡		2,950		183

				1,154


Health Care — 5.6%
Abbott Laboratories		27,028		1,200
AbbVie		25,928		1,689
ABIOMED*		877		110
Acadia Healthcare, Cl A*		700		31
ACADIA Pharmaceuticals*		1,000		34
Aetna, Cl A		5,150		657
Agilent Technologies		5,750		304
Akorn*		1,228		30
Alere*		877		35
Alexion Pharmaceuticals*		3,700		449
Align Technology*		1,400		161
Alkermes*		2,750		161
Allergan		5,350		1,278
Allscripts Healthcare Solutions*		2,178		28
Alnylam Pharmaceuticals*		850		44
AmerisourceBergen, Cl A		2,728		241


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Amgen, Cl A		11,872	$	1,948
AMN Healthcare Services*		600		24
Anthem		3,922		649
athenahealth*		377		42
Baxter International		7,772		403
Becton Dickinson		3,378		620
Biogen*		3,496		956
BioMarin Pharmaceuticals*		3,450		303
Bio-Rad Laboratories, Cl A*		600		120
Bio-Techne		550		56
Bioverativ*		2,378		130
Bluebird Bio*		400		36
Boston Scientific*		21,928		545
Bristol-Myers Squibb		26,100		1,419
Brookdale Senior Living, Cl A*		1,977		27
Bruker BioSciences		1,100		26
C.R. Bard		1,229		305
Cambrex*		450		25
Cantel Medical		400		32
Cardinal Health		5,328		435
Catalent*		1,100		31
Celgene, Cl A*		12,000		1,493
Centene*		2,900		207
Cerner*		4,878		287
Charles River Laboratories International*		1,400		126
Chemed		229		42
Cigna		3,900		571
Clovis Oncology*		450		29
Cooper, Cl A		900		180
DaVita HealthCare Partners*		3,077		209
DENTSPLY SIRONA		4,000		250
DexCom*		1,600		136
Edwards Lifesciences, Cl A*		3,428		322
Eli Lilly		15,378		1,293
Endo International*		3,700		41
Envision Healthcare*		2,178		134
Exact Sciences*		1,378		33
Exelixis*		4,400		95
Express Scripts Holding*		9,874		651
Gilead Sciences		20,972		1,424
Globus Medical, Cl A*		900		27
Haemonetics*		728		30
Halyard Health*		600		23
HCA Holdings*		4,850		432
HealthEquity*		600		25
HealthSouth		1,078		46
Henry Schein*		1,600		272
Hill-Rom Holdings		1,478		104
HMS Holdings*		1,378		28
Hologic*		5,150		219
Horizon Pharma*		1,828		27
Humana		2,350		484


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
ICU Medical*		150	$	23
Idexx Laboratories*		1,578		244
Illumina*		2,250		384
INC Research Holdings, Cl A*		1,273		58
Incyte*		2,800		374
Insulet*		678		29
Integra LifeSciences Holdings*		728		31
Intercept Pharmaceuticals*		278		31
Intuitive Surgical*		618		474
Ionis Pharmaceuticals*		2,228		90
Ironwood Pharmaceuticals, Cl A*		1,628		28
Johnson & Johnson		42,400		5,281
Kite Pharma*		600		47
Laboratory Corp of America Holdings*		2,150		308
LifePoint Health*		500		33
Ligand Pharmaceuticals*		278		29
Magellan Health*		822		57
Mallinckrodt*		1,950		87
Masimo*		1,000		93
McKesson		3,578		530
Medicines*		850		42
Medidata Solutions*		629		36
MEDNAX*		2,127		148
Medtronic		21,978		1,771
Merck		43,450		2,761
Mettler Toledo International*		440		211
Molina Healthcare*		550		25
Mylan*		7,450		290
Nektar Therapeutics, Cl A*		2,000		47
Neogen, Cl B*		427		28
Neurocrine Biosciences*		1,128		49
Nevro*		278		26
NuVasive*		1,300		97
NxStage Medical*		900		24
Omnicell*		650		26
Opko Health*		3,450		28
Owens & Minor		850		29
Parexel International*		476		30
Patterson		2,077		94
Penumbra*		350		29
PerkinElmer		1,927		112
Perrigo		2,450		163
Pfizer		93,900		3,212
Premier, Cl A*		828		26
QIAGEN		6,428		186
Quest Diagnostics		2,628		258
Quintiles Transnational*		3,100		250
Regeneron Pharmaceuticals*		1,296		502
ResMed		2,728		196
Sage Therapeutics*		427		30
Seattle Genetics*		1,927		121
Stryker		5,428		715


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Teleflex		877	$	170
TESARO*		700		108
Thermo Fisher Scientific		6,078		934
Ultragenyx Pharmaceutical*		476		32
United Therapeutics*		922		125
UnitedHealth Group		14,422		2,365
Universal Health Services, Cl B		1,578		196
Varian Medical Systems*		1,728		157
VCA*		1,378		126
Veeva Systems, Cl A*		2,077		107
Vertex Pharmaceuticals*		4,228		462
VWR*		927		26
Waters*		1,250		195
WellCare Health Plans*		922		129
West Pharmaceutical Services		1,478		121
Wright Medical Group*		1,477		46
Zeltiq Aesthetics*		476		26
Zimmer Biomet Holdings		3,077		376
Zoetis, Cl A		7,728		412

				49,730


Industrials — 0.1%
Danaher, Cl A		9,428		806


Information Technology — 2.8%
Accenture, Cl A		5,250		629
ACI Worldwide*		1,278		27
Activision Blizzard		5,100		254
Adobe Systems*		4,228		550
Akamai Technologies*		1,600		96
Alliance Data Systems		578		144
Alphabet, Cl A*		2,454		2,081
Alphabet, Cl C*		2,491		2,066
Amdocs		2,050		125
Ansys*		1,076		115
Aspen Technology*		476		28
Autodesk, Cl A*		2,077		180
Automatic Data Processing		3,900		399
Blackbaud, Cl A		377		29
Booz Allen Hamilton Holding, Cl A		700		25
Broadridge Financial Solutions		1,500		102
CA		2,878		91
Cadence Design Systems*		3,700		116
CDK Global		1,900		124
Citrix Systems*		1,600		133
Cognizant Technology Solutions, Cl A*		5,228		311
Computer Sciences		1,628		112
Conduent*		2,100		35
CoreLogic*		678		28
CoStar Group*		229		47
CSRA		877		26
Dell Technologies - VMware, Cl V*		476		31


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
DST Systems		200	$	24
eBay*		8,878		298
Electronic Arts*		2,578		231
Ellie Mae*		300		30
EPAM Systems*		350		26
Euronet Worldwide*		327		28
Facebook, Cl A*		19,000		2,699
Fair Isaac		200		26
Fidelity National Information Services, Cl B		3,027		241
First Data, Cl A*		2,150		33
Fiserv, Cl A*		1,950		225
FleetCor Technologies*		927		140
Fortinet*		850		33
Gartner*		900		97
Genpact		1,050		26
Global Payments		1,700		137
Guidewire Software, Cl Z*		500		28
IAC*		400		29
International Business Machines		7,300		1,271
Intuit		2,300		267
j2 Global		327		27
Jack Henry & Associates		1,150		107
Leidos Holdings		1,300		66
LogMeIn		327		32
Manhattan Associates*		500		26
MasterCard, Cl A		8,378		942
MAXIMUS		427		27
Microsoft		64,000		4,215
Nuance Communications*		1,500		26
Oracle, Cl B		24,750		1,104
Pandora Media*		1,927		23
Paychex		3,078		181
PayPal Holdings*		9,950		428
Proofpoint*		350		26
PTC*		600		32
Red Hat*		1,850		160
Sabre		1,228		26
salesforce.com*		5,728		473
ServiceNow*		1,678		147
Splunk*		1,628		101
SS&C Technologies Holdings		977		35
Symantec, Cl A		6,150		189
Synopsys*		1,800		130
Take-Two Interactive Software, Cl A*		500		30
Teradata*		828		26
Total System Services		1,800		96
Twitter*		6,150		92
Tyler Technologies*		229		35
Ultimate Software Group*		150		29
Vantiv, Cl A*		1,678		108
VeriSign*		1,076		94
Visa, Cl A		16,378		1,456


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
VMware, Cl A*		900	$	83
Western Union		4,900		100
WEX*		200		21
Workday, Cl A*		1,250		104
Yahoo!*		7,600		353
Zillow Group, Cl C*		700		24

				24,967


Real Estate — 2.8%
Acadia Realty Trust		2,978		90
Agree Realty‡		579		28
Alexander & Baldwin		1,928		86
Alexander’s		57		25
Alexandria Real Estate Equities‡		1,950		216
American Assets Trust		1,850		77
American Campus Communities‡		3,450		164
American Homes 4 Rent, Cl A‡		6,150		141
American Tower, Cl A‡		10,450		1,270
Apartment Investment & Management, Cl A‡		4,200		186
Apple Hospitality		4,450		85
AvalonBay Communities‡		3,250		597
Boston Properties‡		3,578		474
Brandywine Realty Trust‡		6,478		105
Brixmor Property Group‡		5,078		109
Camden Property Trust‡		1,877		151
Care Capital Properties‡		3,278		88
CareTrust‡		1,650		28
CBL & Associates Properties‡		2,650		25
CBRE Group, Cl A*		6,950		242
Chesapeake Lodging Trust‡		1,050		25
Colony NorthStar, Cl A		16,450		212
Colony Starwood Homes‡		1,228		42
Columbia Property Trust‡		4,550		101
CoreCivic		3,200		101
CoreSite Realty‡		1,050		95
Corporate Office Properties Trust		2,828		94
Cousins Properties, Cl A‡		11,800		98
Crown Castle International‡		8,978		848
CubeSmart‡		5,250		136
CyrusOne‡		2,478		128
DCT Industrial Trust		2,778		134
DDR‡		10,028		126
DiamondRock Hospitality‡		7,178		80
Digital Realty Trust, Cl A‡		4,027		428
Douglas Emmett‡		3,878		149
Duke Realty‡		9,450		248
DuPont Fabros Technology‡		2,200		109
EastGroup Properties		1,176		86
Education Realty Trust‡		2,600		106
EPR Properties, Cl A‡		1,578		116
Equinix‡		1,677		671
Equity Commonwealth*‡		3,150		98


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Equity LifeStyle Properties		2,050	$	158
Equity Residential‡		8,370		521
Essex Property Trust‡		1,628		377
Extra Space Storage‡		3,078		229
Federal Realty Investment Trust‡		1,650		220
FelCor Lodging Trust‡		3,678		28
Forest City Realty Trust, Cl A‡		6,450		140
Four Corners Property Trust‡		1,178		27
Franklin Street Properties‡		3,050		37
Gaming and Leisure Properties‡		5,822		195
GEO Group‡		1,972		91
GGP‡		14,178		329
Global Net Lease		1,542		37
Government Properties Income Trust, Cl A		1,578		33
Gramercy Property Trust‡		5,100		134
HCP‡		11,578		362
Healthcare Realty Trust‡		3,850		125
Healthcare Trust of America, Cl A‡		4,400		138
Hersha Hospitality Trust, Cl A‡		1,328		25
Highwoods Properties‡		2,950		145
Hospitality Properties Trust‡		4,200		132
Host Hotels & Resorts‡		18,328		342
Howard Hughes*		1,300		152
Hudson Pacific Properties‡		3,878		134
Iron Mountain‡		6,928		247
iStar*		2,150		25
Jones Lang LaSalle		979		109
Kennedy-Wilson Holdings		2,745		61
Kilroy Realty‡		2,528		182
Kimco Realty‡		9,900		219
Kite Realty Group Trust‡		1,828		39
Lamar Advertising, Cl A		2,100		157
LaSalle Hotel Properties‡		2,900		84
Lexington Realty Trust		9,300		93
Liberty Property Trust‡		4,127		159
Life Storage		1,300		107
LTC Properties		1,579		76
Macerich‡		3,300		213
Mack-Cali Realty‡		3,278		88
Medical Properties Trust‡		8,278		107
Mid-America Apartment Communities‡		2,800		285
Monmouth Real Estate Investment, Cl A		2,573		37
National Health Investors‡		1,150		84
National Retail Properties		3,700		161
National Storage Affiliates Trust		1,128		27
New Senior Investment Group		4,478		46
Omega Healthcare Investors‡		4,800		158
Outfront Media‡		3,922		104
Park Hotels & Resorts		4,200		108
Parkway		1,278		25
Pebblebrook Hotel Trust‡		1,128		33
Pennsylvania‡		1,600		24


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Physicians Realty Trust		5,878	$	117
Piedmont Office Realty Trust, Cl A‡		4,177		89
Potlatch		1,850		85
ProLogis‡		12,900		669
PS Business Parks‡		522		60
Public Storage‡		3,500		766
QTS Realty Trust, Cl A‡		1,878		92
Quality Care Properties*		1,378		26
Ramco-Gershenson Properties		1,977		28
RE, Cl A		500		30
Realty Income‡		6,600		393
Regency Centers‡		3,637		241
Retail Opportunity Investments		5,100		107
Retail Properties of America, Cl A‡		8,478		122
Rexford Industrial Realty		1,328		30
RLJ Lodging Trust‡		3,750		88
Ryman Hospitality Properties		1,072		66
Saul Centers		400		25
SBA Communications, Cl A*		3,150		379
Select Income‡		3,100		80
Senior Housing Properties Trust‡		7,078		143
Seritage Growth Properties‡		550		24
Silver Bay Realty Trust		1,578		34
Simon Property Group‡		7,478		1,286
SL Green Realty‡		2,478		264
STAG Industrial‡		1,778		44
STORE Capital		4,800		115
Summit Hotel Properties‡		1,600		26
Sun Communities‡		2,077		167
Sunstone Hotel Investors‡		6,328		97
Tanger Factory Outlet Centers‡		2,778		91
Taubman Centers‡		1,800		119
Terreno Realty‡		1,178		33
Tier‡		1,628		28
UDR‡		6,728		244
Uniti Group		4,728		122
Universal Health Realty Income Trust		400		26
Urban Edge Properties		3,178		84
Ventas‡		8,150		530
Vornado Realty Trust‡		4,100		411
Washington‡		2,728		85
Washington Prime Group‡		3,400		30
Weingarten Realty Investors‡		2,977		99
Welltower‡		8,850		627
Weyerhaeuser‡		20,928		711
Xenia Hotels & Resorts‡		4,200		72

				24,592


Telecommunication Services — 1.4%
AT&T		141,078		5,862
CenturyTel		11,800		278
Cogent Communications Holdings		700		30


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
Frontier Communications		39,628	$	85
Level 3 Communications*		6,628		379
Shenandoah Telecommunications		900		25
Sprint*		19,128		166
Telephone & Data Systems		3,450		92
T-Mobile US*		6,850		443
US Cellular*		678		25
Verizon Communications		93,500		4,558
Vonage Holdings*		4,200		27
Windstream Holdings		55,624		303
Zayo Group Holdings*		4,378		144

				12,417


Utilities — 1.4%
AES		12,850		144
ALLETE		1,450		98
Alliant Energy		4,078		161
Ameren		3,827		209
American Electric Power		7,678		515
American States Water		629		28
American Water Works		2,700		210
Aqua America		3,300		106
Atmos Energy		1,628		129
Avangrid		629		27
Avista		700		27
Black Hills, Cl A		1,400		93
California Water Service Group, Cl A		728		26
Calpine*		8,350		92
Centerpoint Energy		8,078		223
CMS Energy		4,428		198
Consolidated Edison		4,550		353
Dominion Resources		9,628		747
DTE Energy		2,700		276
Duke Energy		10,878		892
Edison International		4,728		376
El Paso Electric, Cl A		600		30
Entergy		2,850		216
Eversource Energy		4,950		291
Exelon		13,950		502
FirstEnergy		7,927		252
Great Plains Energy		4,000		117
Hawaiian Electric Industries		2,728		91
Idacorp, Cl A		1,100		91
MDU Resources Group		4,250		116
MGE Energy		400		26
National Fuel Gas		1,600		95
New Jersey Resources		2,150		85
NextEra Energy		7,278		934
NiSource		5,722		136
Northwest Natural Gas		450		27
NorthWestern		1,529		90
NRG Energy		7,522		141


Description	Shares		Market Value ($ Thousands)

COMMON STOCK (continued)
OGE Energy		3,878	$	136
ONE Gas		1,300		88
Ormat Technologies		500		29
Otter Tail		650		25
Pattern Energy Group, Cl A		1,550		31
PG&E		7,800		518
Pinnacle West Capital		1,750		146
PNM Resources		2,400		89
Portland General Electric		2,250		100
PPL		10,178		381
Public Service Enterprise Group		7,400		328
SCANA		1,900		124
Sempra Energy		3,978		440
South Jersey Industries, Cl A		927		33
Southern		14,700		732
Southwest Gas		1,076		89
Spire		1,300		88
UGI		2,827		140
Vectren		1,828		107
WEC Energy Group		5,100		309
Westar Energy, Cl A		2,500		136
WGL Holdings		1,076		89
Xcel Energy		7,700		342

				12,670

Total Common Stock (Cost $245,594) ($ Thousands)				252,804


	Face Amount (Thousands)

CORPORATE OBLIGATIONS — 8.2%

Consumer Discretionary — 0.7%
Adient Global Holdings
4.875%, 08/15/2026 (B)	$	238		234
CBS
3.500%, 01/15/2025		835		831
Cox Communications
2.950%, 06/30/2023 (B)		240		229
CSC Holdings
6.750%, 11/15/2021		160		174
Discovery Communications
3.450%, 03/15/2025		267		253
Ford Motor Credit
5.875%, 08/02/2021		695		774
General Motors
3.500%, 10/02/2018		465		475
Hanesbrands
4.625%, 05/15/2024 (B)		338		333
International Game Technology
6.250%, 02/15/2022 (B)		560		598
KB Home
4.750%, 05/15/2019		382		393


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
SFR Group
5.375%, 05/15/2022 (B)	EUR		235	$	262
Time Warner Cable
4.500%, 09/15/2042	$		330		299
Viacom
4.375%, 03/15/2043			569		493
Virgin Media Finance
5.250%, 02/15/2022			200		186
Ziggo Secured Finance BV
5.500%, 01/15/2027 (B)			835		835

					6,369


Consumer Staples — 0.5%
Bunge Finance
8.500%, 06/15/2019			9		10
Grupo Bimbo
3.875%, 06/27/2024 (B)			703		706
Lamb Weston Holdings
4.875%, 11/01/2026 (B)			112		114
4.625%, 11/01/2024 (B)			113		115
Marfrig Holdings Europe BV
8.000%, 06/08/2023 (B)			650		679
Minerva Luxembourg
6.500%, 09/20/2026 (B)			286		279
Sigma Alimentos
4.125%, 05/02/2026 (B)			710		694
Tyson Foods
3.950%, 08/15/2024			715		729
2.650%, 08/15/2019			219		222
Virgolino de Oliveira Finance
10.500%, 01/28/2018 (B) (C)			660		50
Walgreens Boots Alliance
3.800%, 11/18/2024			773		787

					4,385


Energy — 1.5%
Cenovus Energy
5.700%, 10/15/2019			261		282
3.000%, 08/15/2022			52		51
Diamond Offshore Drilling
4.875%, 11/01/2043			370		268
Ecopetrol
5.875%, 05/28/2045			309		281
Energy Transfer Partners
5.200%, 02/01/2022			465		498
EnLink Midstream Partners
5.050%, 04/01/2045			507		477
Enterprise Products Operating
5.200%, 09/01/2020			340		371
3.700%, 02/15/2026			730		730
Hess
4.300%, 04/01/2027			966		949


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Korea National Oil
3.125%, 04/03/2017 (B)	$		465	$	465
Marathon Petroleum
5.125%, 03/01/2021			196		212
MPLX
4.500%, 07/15/2023			628		653
4.125%, 03/01/2027			348		347
Nabors Industries
5.500%, 01/15/2023 (B)			885		903
Noble Energy
8.250%, 03/01/2019			153		170
4.150%, 12/15/2021			475		499
3.900%, 11/15/2024			606		614
Petrobras Global Finance BV
6.125%, 01/17/2022			513		538
Petroleos Mexicanos MTN
4.625%, 09/21/2023			1,126		1,133
Plains All American Pipeline
3.600%, 11/01/2024			902		873
Regency Energy Partners
4.500%, 11/01/2023			114		117
Sabine Pass Liquefaction
5.000%, 03/15/2027 (B)			720		753
Schlumberger
3.000%, 12/21/2020 (B)			1,345		1,375
SM Energy
6.500%, 01/01/2023			43		44
Ultrapar International
5.250%, 10/06/2026 (B)			562		559
Williams Partners
3.900%, 01/15/2025			217		217

					13,379


Financials — 2.4%
ABN AMRO Bank
4.750%, 07/28/2025 (B)			269		277
Bank of America
6.500%, 12/31/2049 (D)			292		319
Bank of America MTN
3.824%, 01/20/2028 (D)			1,120		1,122
Barclays PLC
6.860%, 09/29/2049 (B) (D)			131		149
3.684%, 01/10/2023			695		698
3.650%, 03/16/2025			330		321
Barclays PLC MTN
6.625%, 03/30/2022	EUR		103		137
BNP Paribas MTN
2.250%, 01/11/2027			535		556
Citigroup
3.875%, 03/26/2025	$		905		899
Cooperatieve Rabobank UA
4.375%, 08/04/2025			657		674


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Credit Agricole
8.125%, 12/31/2049 (B) (D)	$		260	$	277
Credit Suisse Group Funding Guernsey
3.800%, 06/09/2023			530		532
3.750%, 03/26/2025			570		561
Goldman Sachs Group MTN
2.654%, 11/29/2023 (D)			900		932
Goldman Sachs Group
2.350%, 11/15/2027			847		828
ING Groep
3.950%, 03/29/2027			551		552
Intesa Sanpaolo MTN
5.017%, 06/26/2024 (B)			746		702
JPMorgan Chase
5.400%, 01/06/2042			175		204
3.782%, 02/01/2028 (D)			590		595
JPMorgan Chase MTN
2.295%, 08/15/2021			551		545
Lincoln National
4.200%, 03/15/2022			355		375
Lloyds Banking Group
4.650%, 03/24/2026			543		553
MetLife
5.700%, 06/15/2035			80		96
Metropolitan Life Global Funding I
3.875%, 04/11/2022 (B)			275		290
Mizuho Financial Group Cayman 3
4.600%, 03/27/2024 (B)			840		885
Nationwide Financial Services
5.375%, 03/25/2021 (B)			470		512
Navient
6.625%, 07/26/2021			770		797
Navient MTN
7.250%, 01/25/2022			52		54
Royal Bank of Scotland Group (D)
8.625%, 12/31/2049			825		860
7.640%, 09/29/2017			100		93
Santander Issuances
5.179%, 11/19/2025			400		415
Santander Issuances MTN
3.250%, 04/04/2026	EUR		300		334
Santander UK
5.000%, 11/07/2023 (B)	$		700		729
Societe Generale
5.922%, 04/05/2017 (B) (D)			115		115
Standard Chartered (D)
7.750%, 12/29/2049 (B)			200		206
7.500%, 12/29/2049			412		426
2.549%, 01/30/2049 (B)			400		334
Sumitomo Mitsui Banking
1.966%, 01/11/2019			357		357


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Trust F
5.250%, 01/30/2026 (B)	$	705	$	708
UBS Group Funding Jersey
4.125%, 09/24/2025 (B)		689		701
US Bancorp
5.300%, 12/29/2049 (D)		474		483
Wells Fargo
3.069%, 01/24/2023		881		886

				21,089


Health Care — 0.5%
AbbVie
3.600%, 05/14/2025		1,744		1,744
HCA
5.250%, 06/15/2026		116		122
4.500%, 02/15/2027		66		66
Laboratory Corp of America Holdings
3.600%, 02/01/2025		385		381
Mylan
3.950%, 06/15/2026		270		264
Teva Pharmaceutical Finance Netherlands
III BV
3.150%, 10/01/2026		674		621
2.800%, 07/21/2023		1,016		965
Valeant Pharmaceuticals International
6.125%, 04/15/2025 (B)		600		462

				4,625


Industrials — 0.5%
Adani Ports & Special Economic Zone
3.950%, 01/19/2022 (B)		670		678
AerCap Aviation Solutions BV
6.375%, 05/30/2017		234		236
Alfa
5.250%, 03/25/2024 (B)		660		693
Allison Transmission
5.000%, 10/01/2024 (B)		286		289
Avis Budget Car Rental
5.250%, 03/15/2025 (B)		467		432
Embraer Netherlands Finance BV
5.400%, 02/01/2027		670		691
Empresa de Transporte de Pasajeros Metro
4.750%, 02/04/2024 (B)		360		388
General Electric
5.000%, 12/29/2049 (D)		300		314
International Lease Finance
5.875%, 04/01/2019		325		346
Odebrecht Finance
7.125%, 06/26/2042 (B)		844		304


Description	Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
SPX FLOW
5.875%, 08/15/2026 (B)	$	47	$	47

				4,418


Information Technology — 0.4%
Broadcom
3.875%, 01/15/2027 (B)		486		488
3.625%, 01/15/2024 (B)		226		228
Fidelity National Information Services
5.000%, 10/15/2025		3		3
3.500%, 04/15/2023		188		191
Lam Research
2.800%, 06/15/2021		640		642
Micron Technology
7.500%, 09/15/2023 (B)		350		391
Seagate HDD Cayman
4.750%, 01/01/2025		427		418
Total System Services
2.375%, 06/01/2018		262		263
Western Digital
7.375%, 04/01/2023 (B)		762		836

				3,460


Materials — 0.3%
Barrick Gold
4.100%, 05/01/2023		64		69
Dow Chemical
4.250%, 11/15/2020		131		139
Eastman Chemical
3.800%, 03/15/2025		318		325
Minsur
6.250%, 02/07/2024 (B)		168		180
NOVA Chemicals
5.250%, 08/01/2023 (B)		420		429
Sociedad Quimica y Minera de Chile
3.625%, 04/03/2023 (B)		408		394
Vale Overseas
6.875%, 11/21/2036		670		720
Yamana
4.950%, 07/15/2024		462		464

				2,720


Real Estate — 0.2%
Healthcare Realty Trust
5.750%, 01/15/2021		285		312
Host Hotels & Resorts
3.750%, 10/15/2023		16		16
SBA Tower Trust
3.156%, 10/15/2020 (B)		950		955


Description		Face Amount (Thousands)		Market Value ($ Thousands)


CORPORATE OBLIGATIONS (continued)
Welltower
4.000%, 06/01/2025	$		550	$	558

					1,841


Telecommunication Services — 1.1%
AT&T
4.125%, 02/17/2026			574		582
3.800%, 03/15/2022			262		271
3.400%, 05/15/2025			2,045		1,975
3.000%, 02/15/2022			465		464
CenturyLink
7.500%, 04/01/2024			364		385
6.450%, 06/15/2021			397		422
MTN Mauritius Investments
5.373%, 02/13/2022 (B)	ZAR		561		570
Rogers Communications
4.000%, 06/06/2022	CAD		60		49
Sprint Capital
6.900%, 05/01/2019	$		1,485		1,585
Sprint Spectrum
3.360%, 09/20/2021 (B)			609		607
Telefonica Emisiones SAU
5.213%, 03/08/2047			423		428
Verizon Communications
5.500%, 03/16/2047			245		257
3.500%, 11/01/2024			675		669
2.625%, 08/15/2026			731		668
Wind Acquisition Finance
4.750%, 07/15/2020 (B)			535		544

					9,476


Utilities — 0.1%
CMS Energy
5.050%, 03/15/2022			185		202
Constellation Energy Group
5.150%, 12/01/2020			70		76
Israel Electric
5.000%, 11/12/2024 (B)			792		832

					1,110

Total Corporate Obligations (Cost $72,860) ($ Thousands)					72,872


MORTGAGE-BACKED SECURITIES — 5.4%

Agency Mortgage-Backed Obligations — 0.3%
FNMA CMO, Ser 2011-15, Cl SA, IO
6.078%, 03/25/2041 (D)			2,808		614
FNMA CMO, Ser 2015-33, Cl AI, IO
5.000%, 06/25/2045			3,515		709
FNMA CMO, Ser 2015-66, Cl AS, IO
5.268%, 09/25/2045 (D)			3,508		577


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
FNMA CMO, Ser 2016-22, Cl ST, IO
5.118%, 04/25/2046 (D)	$	3,663	$	583

				2,483


Non-Agency Mortgage-Backed Obligations — 5.1%
Alternative Loan Trust, Ser 2005-20CB, Cl 3A6
5.500%, 07/25/2035		127		120
Alternative Loan Trust, Ser 2005-57CB, Cl 4A3
5.500%, 12/25/2035		301		265
Alternative Loan Trust, Ser 2006-23CB, Cl 1A7
6.000%, 08/25/2036		197		190
Alternative Loan Trust, Ser 2006-24CB, Cl A16
5.750%, 06/25/2036		501		418
Alternative Loan Trust, Ser 2006-28CB, Cl A14
6.250%, 10/25/2036		349		283
Alternative Loan Trust, Ser 2006-9T1, Cl A1
5.750%, 05/25/2036		225		171
Alternative Loan Trust, Ser 2006-J1, Cl 1A13
5.500%, 02/25/2036		289		252
Banc of America Commercial Mortgage Trust, Ser 2007-5, Cl AM
5.772%, 02/10/2051 (D)		262		268
Bear Stearns Commercial Mortgage Securities Trust, Ser 2006-PW13, Cl AJ
5.611%, 09/11/2041 (D)		61		61
Bellemeade Re II, Ser 2016-1A, Cl M2B
7.482%, 04/25/2026 (B) (D)		487		488
BHMS Mortgage Trust, Ser 2014-ATLS, Cl AFX
3.600%, 07/05/2033 (B)		1,180		1,188
CGBAM Commercial Mortgage Trust, Ser 2016-IMC, Cl C
4.893%, 11/15/2021 (B) (D)		340		348
CGRBS Commercial Mortgage Trust, Ser 2013-VN05, Cl A
3.187%, 03/13/2035 (B)		915		939
Chase Mortgage Finance Trust, Ser 2007-S5, Cl 1A17
6.000%, 07/25/2037		172		141
CHL Mortgage Pass-Through Trust, Ser 2006-10, Cl 1A8
6.000%, 05/25/2036		284		237
CHL Mortgage Pass-Through Trust, Ser 2006-13, Cl 1A19
6.250%, 09/25/2036		142		119
Citigroup Commercial Mortgage Trust, Ser 2013-GC11, Cl D
4.456%, 04/10/2046 (B) (D)		343		311
Citigroup Commercial Mortgage Trust, Ser 2015-GC27, Cl A5
3.137%, 02/10/2048		980		976


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
COBALT Commercial Mortgage Trust, Ser 2007-C3, Cl A4
5.775%, 05/15/2046 (D)	$	297	$	297
Commercial Mortgage Loan Trust, Ser 2008-LS1, Cl A1A
6.101%, 12/10/2049 (D)		1,543		1,564
Commercial Mortgage Pass-Through Certificates, Ser 2013-SFS, Cl A1
1.873%, 04/12/2035 (B)		308		302
Credit Suisse Commercial Mortgage Trust, Ser 2007-C3, Cl AM
5.638%, 06/15/2039 (D)		581		585
Credit Suisse Mortgage Trust, Ser 2016-MFF, Cl D
5.304%, 10/15/2018		268		269
CSMC, Ser 2010-6R, Cl 3A2
5.875%, 01/26/2038 (B)		621		506
Deutsche Alt-A Securities Mortgage Loan Trust, Ser 2006-AR4, Cl A2
1.172%, 12/25/2036 (D)		631		388
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN3, Cl M3
4.982%, 08/25/2024 (D)		1,165		1,245
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2014-DN4, Cl M3
5.328%, 10/25/2024 (D)		250		270
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA1, Cl M3
4.078%, 10/25/2027 (D)		280		300
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-DNA3, Cl M3
5.478%, 04/25/2028 (D)		354		390
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQ1, Cl M2
2.978%, 03/25/2025 (D)		378		383
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA2, Cl M3
5.578%, 05/25/2028 (D)		316		348
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2015-HQA2, Cl M2
3.782%, 05/25/2028 (D)		453		467
FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA1, Cl M3
5.975%, 07/25/2028 (D)		513		582
First Horizon Alternative Mortgage Securities Trust, Ser 2006-FA3, Cl A9
6.000%, 07/25/2036		289		236
FNMA Connecticut Avenue Securities, Ser 2014-C03, Cl 1M1
1.978%, 07/25/2024 (D)		84		84
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 2M2
5.778%, 11/25/2024 (D)		239		264


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
FNMA Connecticut Avenue Securities, Ser 2015-C01, Cl 1M2
5.282%, 02/25/2025 (D)	$	479	$	509
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 2M2
4.778%, 05/25/2025 (D)		618		650
FNMA Connecticut Avenue Securities, Ser 2015-C02, Cl 1M2
4.778%, 05/25/2025 (D)		884		931
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M1
2.278%, 07/25/2025 (D)		13		13
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 1M2
5.778%, 07/25/2025 (D)		1,021		1,123
FNMA Connecticut Avenue Securities, Ser 2015-C03, Cl 2M2
5.778%, 07/25/2025 (D)		1,129		1,232
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 2M2
6.532%, 04/25/2028 (D)		980		1,091
FNMA Connecticut Avenue Securities, Ser 2015-C04, Cl 1M2
5.894%, 04/25/2028 (D)		312		353
FNMA Connecticut Avenue Securities, Ser 2016-C01, Cl 2M2
7.932%, 08/25/2028 (D)		731		860
FNMA Connecticut Avenue Securities, Ser 2016-C01, Cl 1M2
7.732%, 08/25/2028 (D)		978		1,154
FNMA Connecticut Avenue Securities, Ser 2016-C02, Cl 1M2
6.982%, 09/25/2028 (D)		814		928
FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 2M2
6.678%, 10/25/2028 (D)		1,025		1,166
FNMA Connecticut Avenue Securities, Ser 2016-C03, Cl 1M2
6.078%, 10/25/2028 (D)		178		200
FNMA Connecticut Avenue Securities, Ser 2017-C02, Cl 2M2
4.627%, 09/25/2029 (D)		279		281
GS Mortgage Securities II, Ser 2007-GG10, Cl A4
5.865%, 08/10/2045 (D)		287		287
GS Mortgage Securities II, Ser 2013-KING, Cl A
2.706%, 12/10/2027 (B)		768		777
GS Mortgage Securities Trust, Ser 2014-GC18, Cl D
4.945%, 01/10/2047 (B) (D)		955		803
H/2 Asset Funding, Ser 2015-1A
2.634%, 06/24/2049		909		905


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
HomeBanc Mortgage Trust, Ser 2005-1, Cl A1
1.232%, 03/25/2035 (D)	$	245	$	209
JPMBB Commercial Mortgage Securities Trust, Ser 2015-C32, Cl C
4.668%, 11/15/2048 (D)		849		801
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2004-LN2, Cl A1A
4.838%, 07/15/2041 (B) (D)		253		252
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2006-LDP9, Cl AM
5.372%, 05/15/2047		337		337
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-CB19, Cl AM
5.740%, 02/12/2049 (D)		300		300
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2007-LD12, Cl AM
6.062%, 02/15/2051 (D)		254		258
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-C31, Cl A3
3.801%, 08/15/2048		572		593
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-SGP, Cl A
2.470%, 07/15/2036 (B) (D)		1,283		1,289
JPMorgan Mortgage Trust, Ser 2007-S3, Cl 1A8
6.000%, 08/25/2037		243		215
LB-UBS Commercial Mortgage Trust, Ser 2006-C6, Cl AJ
5.452%, 09/15/2039 (D)		365		322
LSTAR Commercial Mortgage Trust, Ser 2014-2, Cl A2
2.767%, 01/20/2041 (B)		410		409
LSTAR Commercial Mortgage Trust, Ser 2015-3, Cl A2
2.729%, 04/20/2048 (B) (D)		983		987
LSTAR Commercial Mortgage Trust, Ser 2016-4, Cl A2
2.458%, 03/10/2049 (B)		971		943
ML-CFC Commercial Mortgage Trust, Ser 2007-9, Cl A4
5.700%, 09/12/2049		917		926
Morgan Stanley Capital I Trust, Ser 2005-IQ9, Cl D
5.000%, 07/15/2056		545		548
Morgan Stanley Capital I Trust, Ser 2015-XLF2, Cl SNMA
2.720%, 11/15/2026 (B) (D)		270		271
Morgan Stanley Capital I Trust, Ser 2015-XLF2, Cl AFSA
2.640%, 08/15/2026 (B) (D)		239		238
RBSSP Resecuritization Trust, Ser 2009-7, Cl 10A3
6.000%, 08/26/2037 (B)		819		702


Description	Face Amount (Thousands)		Market Value ($ Thousands)

MORTGAGE-BACKED SECURITIES (continued)
RBSSP Resecuritization Trust, Ser 2010-9, Cl 7A6
6.096%, 05/26/2037 (B) (D)	$	761	$	571
Resource Capital, Ser 2014-CRE2, Cl A
1.822%, 04/15/2032 (B) (D)		109		109
Starwood Retail Property Trust, Ser 2014, Cl A
2.132%, 11/15/2027 (B) (D)		1,818		1,803
UBS-Barclays Commercial Mortgage Trust, Ser 2012-C4, Cl A5
2.850%, 12/10/2045		596		600
Wachovia Bank Commercial Mortgage Trust, Ser 2006-C26, Cl A1A
6.009%, 06/15/2045 (D)		37		37
Wells Fargo Commercial Mortgage Trust, Ser 2015-SG1, Cl A4
3.789%, 09/15/2048		485		501
Wells Fargo Commercial Mortgage Trust, Ser 2015-SG1, Cl C
4.470%, 09/15/2048 (D)		794		786
Wells Fargo Commercial Mortgage Trust, Ser 2016-NXS6, Cl C
4.309%, 11/15/2049 (D)		925		920
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 1M2
6.028%, 11/25/2025 (B) (D)		612		645
Wells Fargo Credit Risk Transfer Securities Trust, Ser 2015-WF1, Cl 2M2
6.278%, 11/25/2025 (B) (D)		162		175
Wells Fargo Mortgage-Backed Securities Trust, Ser 2007-8, Cl 2A5
5.750%, 07/25/2037		155		153
WFRBS Commercial Mortgage Trust, Ser 2013-C14, Cl A5
3.337%, 06/15/2046		490		503

				44,921

Total Mortgage-Backed Securities (Cost $46,756) ($ Thousands)				47,404


ASSET-BACKED SECURITIES — 3.2%

Automotive — 1.9%
Ally Auto Receivables Trust, Ser 2015-2, Cl A3
1.490%, 11/15/2019		486		486
ARI Fleet Lease Trust, Ser 2014-A, Cl A2
0.810%, 11/15/2022 (B)		5		5
Avis Budget Rental Car Funding AESOP, Ser 2012-3A, Cl A
2.100%, 03/20/2019 (B)		435		436


Description	Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Avis Budget Rental Car Funding AESOP, Ser 2013-2A, Cl A
2.970%, 02/20/2020 (B)	$	594	$	603
Avis Budget Rental Car Funding AESOP, Ser 2016-1A, Cl A
2.990%, 06/20/2022 (B)		646		654
California Republic Auto Receivables Trust, Ser 2014-2, Cl A4
1.570%, 12/16/2019		671		671
California Republic Auto Receivables Trust, Ser 2015-2, Cl A3
1.310%, 08/15/2019		455		455
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 (B)		1,380		1,382
CPS Auto Receivables Trust, Ser 2013-B, Cl A
1.820%, 09/15/2020 (B)		177		177
CPS Auto Receivables Trust, Ser 2014-B, Cl A
1.110%, 11/15/2018 (B)		28		28
CPS Auto Receivables Trust, Ser 2017-A, Cl A
1.680%, 08/17/2020 (B)		627		626
Drive Auto Receivables Trust, Ser 2016-CA, Cl A3
1.670%, 11/15/2019 (B)		443		443
Drive Auto Receivables Trust, Ser 2017-BA, Cl A1
1.200%, 04/16/2018 (B)		1,440		1,440
Enterprise Fleet Financing, Ser 2015-1, Cl A2
1.300%, 09/20/2020 (B)		384		384
Exeter Automobile Receivables Trust, Ser 2016-1A, Cl D
8.200%, 02/15/2023 (B)		440		471
Exeter Automobile Receivables Trust, Ser 2016-3A, Cl A
1.840%, 11/16/2020 (B)		455		454
First Investors Auto Owner Trust, Ser 2016-2A, Cl A1
1.530%, 11/16/2020 (B)		740		738
Flagship Credit Auto Trust, Ser 2016-2, Cl D
8.560%, 11/15/2023 (B)		545		590
Flagship Credit Auto Trust, Ser 2016-4, Cl A2
1.960%, 02/16/2021 (B)		900		897
Flagship Credit Auto Trust, Ser 2016-4, Cl D
3.890%, 11/15/2022 (B)		450		442
Harley-Davidson Motorcycle Trust, Ser 2014-1, Cl A3
1.100%, 09/15/2019		182		182
Hertz Fleet Lease Funding, Ser 2013-3, Cl A
1.408%, 12/10/2027 (B) (D)		65		65


Description		Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
Hertz Vehicle Financing II, Ser 2015-1A, Cl A
2.730%, 03/25/2021 (B)	$		675	$	674
Hertz Vehicle Financing II, Ser 2015-1A, Cl B
3.520%, 03/25/2021 (B)			491		494
Hertz Vehicle Financing II, Ser 2015-2A, Cl A
2.020%, 09/25/2019 (B)			700		696
Hertz Vehicle Financing, Ser 2013-1A, Cl B2
2.480%, 08/25/2019 (B)			579		578
Hertz Vehicle Financing, Ser 2016-1A, Cl A
2.320%, 03/25/2020 (B)			974		970
Santander Drive Auto Receivables Trust, Ser 2013-2, Cl E
2.980%, 04/15/2020 (B)			1,095		1,102
Santander Drive Auto Receivables Trust, Ser 2016-3, Cl A2A
1.340%, 11/15/2019			602		602
Westlake Automobile Receivables Trust, Ser 2015-3A, Cl A2A
1.420%, 05/17/2021 (B)			91		91

					17,037


Credit Cards — 0.2%
Synchrony Credit Card Master Note Trust, Ser 2016-1, Cl A
2.040%, 03/15/2022			401		402
World Financial Network Credit Card Master Trust, Ser 2013-A, Cl A
1.610%, 12/15/2021			385		386
World Financial Network Credit Card Master Trust, Ser 2015-A, Cl A
1.392%, 02/15/2022 (D)			571		573

					1,361


Other Asset-Backed Securities — 1.1%
Ally Master Owner Trust, Ser 2015-3, Cl A
1.630%, 05/15/2020			1,079		1,079
Citi Held For Asset Issuance, Ser 2016-PM1, Cl A
4.650%, 04/15/2025 (B)			298		302
CNH Equipment Trust, Ser 2015-A, Cl A4
1.850%, 04/15/2021			673		673
Dell Equipment Finance Trust, Ser 2015-1, Cl A3
1.300%, 03/23/2020 (B)			162		162
Dell Equipment Finance Trust, Ser 2015-2, Cl A2A
1.420%, 12/22/2017 (B)			87		87
GMF Floorplan Owner Revolving Trust, Ser 2015-1, Cl A1
1.650%, 05/15/2020 (B)			496		496


Description		Face Amount (Thousands)		Market Value ($ Thousands)

ASSET-BACKED SECURITIES (continued)
GMF Floorplan Owner Revolving Trust, Ser 2016-1, Cl A1
1.960%, 05/17/2021 (B)	$		986	$	988
Marlette Funding Trust, Ser 2016-1A, Cl A
3.060%, 01/17/2023 (B)			313		313
Marlette Funding Trust, Ser 2017-1A, Cl A
2.827%, 03/15/2024 (B)			485		485
SoFi Consumer Loan Program, Ser 2016-2A, Cl A
3.090%, 10/27/2025 (B)			542		542
SoFi Consumer Loan Program, Ser 2016-3, Cl A
3.050%, 12/26/2025 (B)			729		730
SoFi Consumer Loan Program, Ser 2017-2, Cl A
3.280%, 02/25/2026 (B)			720		717
Taco Bell Funding, Ser 2016-1A, Cl A2I
3.832%, 05/25/2046 (B)			806		809
Volkswagen Credit Auto Master Trust, Ser 2014-1A, Cl A1
1.129%, 07/22/2019 (B) (D)			500		500
Volvo Financial Equipment, Ser 2015-1A, Cl A3
1.510%, 06/17/2019 (B)			840		840
Wells Fargo Dealer Floorplan Master Note Trust, Ser 2014-1, Cl A
1.159%, 07/20/2019 (D)			579		579
Wells Fargo Dealer Floorplan Master Note Trust, Ser 2015-1, Cl A
1.279%, 01/20/2020 (D)			856		857

					10,159

Total Asset-Backed Securities (Cost $28,450) ($ Thousands)					28,557


SOVEREIGN DEBT — 2.0%
Brazil Notas do Tesouro Nacional, Ser F
10.000%, 01/01/2021	BRL		5,755		1,822
10.000%, 01/01/2027			6,200		1,948
Egypt Government International Bond MTN
6.125%, 01/31/2022 (B)	$		291		302
Japan Treasury Discount Bill
-0.355%, 06/12/2017 (A) (E)	JPY		1,350,000		12,119
Mexico Government International Bond MTN
5.950%, 03/19/2019	$		164		177
Qatar Government International Bond
2.375%, 06/02/2021 (B)			1,027		1,016


Description	Face Amount (Thousands)			Market Value ($ Thousands)

SOVEREIGN DEBT (continued)
Turkey Government International Bond
6.000%, 03/25/2027	$	384		$	399

Total Sovereign Debt (Cost $16,852) ($ Thousands)					17,783

Total Investments — 115.0% (Cost $1,010,586) ($ Thousands)				$	1,022,423


	Shares

COMMON STOCK SOLD SHORT— (13.0)%

Consumer Discretionary — (8.7)%
Adient		(7,650	)	$	(556	)
Advance Auto Parts		(1,229	)		(182	)
Amazon.com, Cl A*		(6,091	)		(5,400	)
American Axle & Manufacturing Holdings*		(6,750	)		(127	)
American Eagle Outfitters		(1,728	)		(24	)
American Outdoor Brands*		(4,300	)		(85	)
Aramark		(9,278	)		(342	)
Autonation*		(629	)		(27	)
Autozone*		(498	)		(360	)
Bed Bath & Beyond		(2,978	)		(117	)
Belmond, Cl A*		(1,878	)		(23	)
Best Buy		(4,578	)		(225	)
Big Lots		(500	)		(24	)
Bloomin’ Brands		(4,978	)		(98	)
Bob Evans Farms		(450	)		(29	)
BorgWarner		(17,672	)		(738	)
Boyd Gaming*		(4,100	)		(90	)
Bright Horizons Family Solutions*		(2,077	)		(151	)
Brinker International		(2,177	)		(96	)
Brunswick		(5,228	)		(320	)
Buffalo Wild Wings*		(677	)		(103	)
Burlington Stores*		(1,129	)		(110	)
Cabela’s*		(550	)		(29	)
CalAtlantic Group		(4,778	)		(179	)
Callaway Golf		(7,578	)		(84	)
CarMax*		(3,122	)		(185	)
Carnival		(16,278	)		(959	)
Carter’s		(2,950	)		(265	)
Cavco Industries*		(200	)		(23	)
Cheesecake Factory		(1,900	)		(120	)
Chico’s FAS		(1,778	)		(25	)
Chipotle Mexican Grill, Cl A*		(1,052	)		(469	)
Choice Hotels International		(1,450	)		(91	)
Churchill Downs		(600	)		(95	)
ClubCorp Holdings		(1,872	)		(30	)
Coach		(15,678	)		(648	)
Columbia Sportswear		(1,827	)		(107	)
Cooper Tire & Rubber		(5,250	)		(233	)
Cooper-Standard Holdings*		(1,350	)		(150	)


Description	Shares			Market Value ($ Thousands)

COMMON STOCK SOLD SHORT (continued)
Cracker Barrel Old Country Store		(827	)	$	(132	)
CST Brands		(678	)		(33	)
Dana		(12,200	)		(236	)
Darden Restaurants		(4,750	)		(397	)
Dave & Buster’s Entertainment*		(1,600	)		(98	)
Deckers Outdoor*		(1,977	)		(118	)
Delphi Automotive		(22,500	)		(1,811	)
DeVry		(2,928	)		(104	)
Dick’s Sporting Goods		(1,878	)		(91	)
DineEquity		(427	)		(23	)
Dollar General		(4,728	)		(330	)
Dollar Tree*		(3,600	)		(282	)
Domino’s Pizza		(1,850	)		(341	)
Dorman Products*		(2,100	)		(172	)
DR Horton		(19,250	)		(641	)
Dunkin’ Brands Group		(3,400	)		(186	)
Ethan Allen Interiors		(900	)		(28	)
Expedia		(2,100	)		(265	)
Extended Stay America		(4,477	)		(71	)
Foot Locker, Cl A		(2,578	)		(193	)
Ford Motor		(315,950	)		(3,678	)
Fossil Group*		(1,350	)		(24	)
Fox Factory Holding*		(1,322	)		(38	)
GameStop, Cl A		(977	)		(22	)
Gap		(3,900	)		(95	)
Garmin		(6,900	)		(353	)
General Motors		(115,200	)		(4,073	)
Gentex		(23,178	)		(494	)
Gentherm*		(2,800	)		(110	)
Genuine Parts		(3,078	)		(284	)
G-III Apparel Group*		(2,350	)		(51	)
Goodyear Tire & Rubber		(22,628	)		(815	)
Graham Holdings, Cl B		(111	)		(67	)
Grand Canyon Education*		(1,827	)		(131	)
H&R Block		(7,700	)		(179	)
Hanesbrands		(22,400	)		(465	)
Harley-Davidson, Cl A		(15,150	)		(917	)
Hasbro		(6,500	)		(649	)
Helen of Troy*		(1,600	)		(151	)
Hilton Grand Vacations*		(2,750	)		(79	)
Hilton Worldwide Holdings		(7,400	)		(433	)
Home Depot		(20,250	)		(2,973	)
Houghton Mifflin Harcourt*		(2,650	)		(27	)
Hyatt Hotels, Cl A*		(800	)		(43	)
ILG		(5,200	)		(109	)
Installed Building Products*		(678	)		(36	)
International Game Technology		(3,700	)		(88	)
International Speedway, Cl A		(650	)		(24	)
iRobot*		(1,678	)		(111	)
J.C. Penney*		(3,978	)		(24	)
Jack in the Box		(1,250	)		(127	)
Kate Spade*		(6,722	)		(156	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
KB Home		(5,400	)	$	(107	)
Kohl’s		(3,077	)		(122	)
L Brands		(4,027	)		(190	)
La Quinta Holdings*		(1,850	)		(25	)
Las Vegas Sands		(13,678	)		(781	)
La-Z-Boy, Cl Z		(3,327	)		(90	)
LCI Industries		(1,877	)		(187	)
Lear		(6,350	)		(899	)
Leggett & Platt		(7,850	)		(395	)
Lennar, Cl A		(10,778	)		(552	)
Liberty Expedia Holdings, Cl A*		(629	)		(29	)
Liberty Interactive QVC Group, Cl A*		(7,500	)		(150	)
Liberty Ventures, Ser A*		(1,272	)		(57	)
Lithia Motors, Cl A		(278	)		(24	)
LKQ*		(5,600	)		(164	)
Lowe’s		(14,500	)		(1,192	)
lululemon athletica*		(5,478	)		(284	)
M/I Homes*		(1,128	)		(28	)
Macy’s		(5,178	)		(153	)
Marriott International, Cl A		(12,850	)		(1,210	)
Marriott Vacations Worldwide		(976	)		(98	)
Mattel		(18,850	)		(483	)
McDonald’s		(32,078	)		(4,158	)
MDC Holdings		(2,928	)		(88	)
Meritage Homes*		(2,728	)		(100	)
Metaldyne Performance Group		(1,100	)		(25	)
MGM Mirage		(18,428	)		(505	)
Michael Kors Holdings*		(9,300	)		(354	)
Michaels*		(1,200	)		(27	)
Modine Manufacturing*		(2,228	)		(27	)
Mohawk Industries*		(3,628	)		(833	)
Motorcar Parts of America*		(1,150	)		(35	)
Murphy USA*		(400	)		(29	)
NetFlix*		(6,372	)		(942	)
Newell Brands, Cl B		(26,278	)		(1,240	)
Nike, Cl B		(74,350	)		(4,143	)
Nordstrom		(2,200	)		(102	)
Norwegian Cruise Line Holdings*		(5,900	)		(299	)
NVR*		(217	)		(457	)
Office Depot		(5,928	)		(28	)
O’Reilly Automotive*		(1,600	)		(432	)
Oxford Industries, Cl A		(476	)		(27	)
Panera Bread, Cl A*		(850	)		(223	)
Papa John’s International, Cl A		(1,250	)		(100	)
Penn National Gaming*		(2,572	)		(47	)
Pool		(750	)		(89	)
Priceline Group*		(797	)		(1,419	)
PulteGroup		(20,178	)		(475	)
PVH		(4,650	)		(481	)
Ralph Lauren, Cl A		(3,350	)		(273	)
Ross Stores		(6,700	)		(441	)
Royal Caribbean Cruises		(6,600	)		(648	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
Sally Beauty Holdings*		(1,228	)	$	(25	)
Scientific Games, Cl A*		(1,278	)		(30	)
SeaWorld Entertainment		(1,400	)		(26	)
Service International		(6,850	)		(212	)
ServiceMaster Global Holdings*		(5,428	)		(227	)
Signet Jewelers		(1,250	)		(87	)
Six Flags Entertainment		(2,750	)		(164	)
Skechers U.S.A., Cl A*		(7,522	)		(206	)
Sotheby’s*		(1,622	)		(74	)
Standard Motor Products		(1,928	)		(95	)
Staples		(10,628	)		(93	)
Starbucks		(54,178	)		(3,163	)
Steven Madden*		(3,877	)		(149	)
Stoneridge*		(1,578	)		(29	)
Superior Industries International		(1,128	)		(29	)
Target, Cl A		(9,928	)		(548	)
Tempur-Pedic International*		(2,777	)		(129	)
Tenneco		(4,950	)		(309	)
Tesla Motors*		(10,400	)		(2,894	)
Texas Roadhouse, Cl A		(2,550	)		(114	)
Thor Industries		(3,977	)		(382	)
Tiffany		(1,800	)		(172	)
TJX		(11,350	)		(898	)
Toll Brothers		(9,328	)		(337	)
TopBuild*		(2,500	)		(117	)
Tower International		(927	)		(25	)
Tractor Supply		(2,228	)		(154	)
TRI Pointe Group*		(8,628	)		(108	)
TripAdvisor*		(1,822	)		(79	)
Tupperware Brands		(3,077	)		(193	)
Ulta Salon Cosmetics & Fragrance*		(976	)		(278	)
Under Armour, Cl C*		(10,528	)		(193	)
Universal Electronics*		(400	)		(27	)
Urban Outfitters*		(950	)		(23	)
Vail Resorts		(1,578	)		(303	)
VF		(19,878	)		(1,093	)
Vista Outdoor*		(4,200	)		(86	)
Visteon*		(2,778	)		(272	)
Wendy’s		(7,600	)		(103	)
Whirlpool		(4,178	)		(716	)
Williams-Sonoma		(1,800	)		(96	)
Winnebago Industries		(2,550	)		(75	)
Wolverine World Wide		(5,500	)		(137	)
Wyndham Worldwide		(5,377	)		(453	)
Wynn Resorts		(3,000	)		(344	)
Yum China Holdings*		(13,178	)		(358	)
Yum! Brands		(13,628	)		(871	)

					(77,060	)


Information Technology — (2.8)%
Advanced Energy Industries*		(427	)		(29	)
Advanced Micro De vices*		(7,922	)		(115	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
Amphenol, Cl A		(4,650	)	$	(331	)
Analog Devices		(5,109	)		(419	)
Apple		(46,628	)		(6,699	)
Applied Materials		(14,100	)		(548	)
Arista Networks*		(976	)		(129	)
ARRIS International*		(3,250	)		(86	)
Arrow Electronics, Cl A*		(2,428	)		(178	)
Avnet		(4,200	)		(192	)
Belden		(350	)		(24	)
Broadcom, Cl A		(4,678	)		(1,024	)
Brocade Communications Systems		(10,450	)		(130	)
Cavium*		(1,200	)		(86	)
CDW		(4,750	)		(274	)
Ciena*		(1,000	)		(24	)
Cirrus Logic*		(550	)		(33	)
Cisco Systems		(64,644	)		(2,185	)
Cognex		(1,229	)		(103	)
Coherent*		(229	)		(47	)
CommScope Holding*		(2,300	)		(96	)
Corning, Cl B		(13,950	)		(377	)
Cray*		(1,172	)		(26	)
Cree*		(950	)		(25	)
Cypress Semiconductor		(2,600	)		(36	)
Diebold		(2,850	)		(88	)
Dolby Laboratories, Cl A		(579	)		(30	)
Electronics For Imaging*		(1,900	)		(93	)
Entegris*		(1,150	)		(27	)
ePlus*		(777	)		(105	)
F5 Networks, Cl A*		(950	)		(135	)
Finisar*		(778	)		(21	)
First Solar*		(650	)		(18	)
Flir Systems		(950	)		(34	)
Harris		(1,750	)		(195	)
Hewlett Packard Enterprise		(24,300	)		(576	)
HP		(24,200	)		(433	)
II-VI*		(728	)		(26	)
Infinera*		(3,972	)		(41	)
Integrated Device Technology*		(1,050	)		(25	)
Intel		(59,828	)		(2,158	)
InterDigital		(327	)		(28	)
IPG Photonics*		(278	)		(34	)
Jabil Circuit		(3,450	)		(100	)
Juniper Networks		(7,750	)		(216	)
Keysight Technologies*		(3,027	)		(109	)
KLA-Tencor		(2,250	)		(214	)
Lam Research		(2,300	)		(295	)
Littelfuse		(200	)		(32	)
Lumentum Holdings*		(579	)		(31	)
MACOM Technology Solutions Holdings*		(1	)		—
Marvell Technology Group		(5,800	)		(89	)
Maxim Integrated Products		(3,878	)		(174	)
Microchip Technology		(2,927	)		(216	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
Micron Technology*		(12,878	)	$	(372	)
Microsemi*		(1,728	)		(89	)
MKS Instruments		(476	)		(33	)
Monolithic Power Systems		(300	)		(28	)
Motorola Solutions		(2,300	)		(198	)
National Instruments		(800	)		(26	)
NCR*		(2,850	)		(130	)
NetApp		(5,328	)		(223	)
NETGEAR*		(1,800	)		(89	)
NetScout Systems*		(650	)		(25	)
Nimble Storage*		(2,978	)		(37	)
Nvidia		(6,000	)		(654	)
ON Semiconductor*		(6,178	)		(96	)
Palo Alto Networks*		(1,000	)		(113	)
Plexus*		(450	)		(26	)
Pure Storage, Cl A*		(2,200	)		(22	)
Qorvo*		(1,677	)		(115	)
Qualcomm		(18,250	)		(1,046	)
Sanmina*		(778	)		(32	)
Scansource*		(2,000	)		(79	)
Silicom		(1,950	)		(97	)
Silicon Laboratories*		(377	)		(28	)
Skyworks Solutions		(2,478	)		(243	)
Stratasys*		(1,278	)		(26	)
Super Micro Computer*		(3,350	)		(85	)
SYNNEX		(278	)		(31	)
Tech Data*		(1,927	)		(181	)
Teradyne		(3,277	)		(102	)
Texas Instruments		(13,528	)		(1,090	)
Trimble*		(3,600	)		(115	)
Universal Display		(422	)		(36	)
USA Technologies*		(6,028	)		(26	)
VeriFone Holdings*		(3,472	)		(65	)
Versum Materials		(850	)		(26	)
Viasat*		(650	)		(41	)
Viavi Solutions*		(2,450	)		(26	)
Vishay Intertechnology		(1,628	)		(27	)
Western Digital		(4,100	)		(338	)
Xerox		(21,850	)		(160	)
Xilinx		(3,600	)		(208	)
Zebra Technologies, Cl A*		(950	)		(87	)

					(25,230	)


Materials — (1.5)%
Air Products & Chemicals		(3,478	)		(471	)
AK Steel Holding*		(3,228	)		(23	)
Albemarle		(1,800	)		(190	)
Alcoa		(2,528	)		(87	)
Allegheny Technologies		(1,350	)		(24	)
AptarGroup		(1,200	)		(92	)
Ashland Global Holdings		(1,200	)		(149	)
Avery Dennison		(1,828	)		(147	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
Axalta Coating Systems*		(2,800	)	$	(90	)
Balchem		(350	)		(29	)
Ball		(3,000	)		(223	)
Bemis		(800	)		(39	)
Berry Plastics Group*		(1,977	)		(96	)
Cabot		(1,400	)		(84	)
Carpenter Technology		(678	)		(25	)
Celanese, Cl A		(2,578	)		(232	)
CF Industries Holdings		(3,450	)		(101	)
Chemours		(2,878	)		(111	)
Chemtura*		(800	)		(27	)
Cliffs Natural Resources*		(2,400	)		(20	)
Commercial Metals, Cl A		(1,278	)		(24	)
Compass Minerals International, Cl A		(350	)		(24	)
Crown Holdings*		(2,678	)		(142	)
Domtar		(650	)		(24	)
Dow Chemical, Cl A		(18,630	)		(1,184	)
E.I. Du Pont de Nemours		(14,350	)		(1,153	)
Eagle Materials		(927	)		(90	)
Eastman Chemical		(2,700	)		(218	)
Ecolab		(4,978	)		(624	)
FMC		(2,150	)		(150	)
Freeport-McMoRan, Cl B*		(20,222	)		(270	)
Graphic Packaging Holding		(6,100	)		(78	)
H.B. Fuller		(579	)		(30	)
Hecla Mining		(4,350	)		(23	)
Huntsman		(3,850	)		(94	)
Ingevity*		(476	)		(29	)
International Flavors & Fragrances		(1,450	)		(192	)
International Paper		(6,978	)		(354	)
Louisiana-Pacific*		(3,228	)		(80	)
LyondellBasell Industries, Cl A		(5,900	)		(538	)
Martin Marietta Materials, Cl A		(979	)		(214	)
Minerals Technologies		(350	)		(27	)
Monsanto		(7,250	)		(821	)
Mosaic		(5,528	)		(161	)
NewMarket		(56	)		(25	)
Newmont Mining		(9,800	)		(323	)
Nucor		(5,150	)		(308	)
Olin		(2,250	)		(74	)
Owens-Illinois*		(3,800	)		(77	)
Packaging Corp of America		(1,478	)		(135	)
Platform Specialty Products*		(1,977	)		(26	)
PolyOne		(778	)		(27	)
PPG Industries		(4,628	)		(486	)
Praxair		(5,100	)		(605	)
Reliance Steel & Aluminum		(1,429	)		(114	)
Royal Gold, Cl A		(1,379	)		(97	)
RPM International		(2,228	)		(123	)
Scotts Miracle-Gro, Cl A		(977	)		(91	)
Sealed Air		(3,750	)		(163	)
Sensient Technologies		(427	)		(34	)


Description	Shares			Market Value ($ Thousands)


COMMON STOCK SOLD SHORT (continued)
Sherwin-Williams, Cl A		(1,378	)	$	(427	)
Silgan Holdings		(450	)		(27	)
Sonoco Products		(900	)		(48	)
Southern Copper		(2,200	)		(79	)
Steel Dynamics		(3,678	)		(128	)
Stillwater Mining*		(1,500	)		(26	)
Summit Materials, Cl A*		(1,128	)		(28	)
Tahoe Resources		(3,050	)		(24	)
United States Steel		(2,400	)		(81	)
Valspar		(1,378	)		(153	)
Vulcan Materials		(2,200	)		(265	)
Westlake Chemical		(427	)		(28	)
WestRock		(3,977	)		(207	)
Worthington Industries		(579	)		(26	)
WR Grace		(1,279	)		(89	)

					(13,148	)

Total Common Stock Sold Short (Proceeds $113,798) ($ Thousands)					(115,438	)

Total Investments Sold Short — (13.0)% (Proceeds $113,798) ($ Thousands)				$	(115,438	)


	Contracts

PURCHASED OPTION — 0.0%
Crude Oil Long Future, Expires 11/18/2017, Strike Price $50.50*		73		$	394

Total Purchased Option (Cost $328) ($ Thousands)				$	394

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Brent Crude**		415			Jun-2017	$	(101	)
Brent Crude**		13			Apr-2017		8
CBT Wheat**		409			May-2017		(471	)
Coffee**		119			May-2017		(51	)
Coffee Robusta**		(95	)		May-2017		6
Copper**		290			Sep-2017		(351	)
Copper**		(39	)		Dec-2017		24
Corn**		760			May-2017		(493	)
Corn**		(205	)		Dec-2017		31
Cotton No. 2**		49			May-2017		(3	)
Cotton No. 2**		(44	)		Jul-2017		(150	)
Cotton No. 2**		(95	)		Dec-2017		34
Crude Oil**		(120	)		May-2018		(114	)
Crude Oil**		236			May-2017		(731	)
Crude Oil**		123			May-2017		102
Euro-Bobl		(86	)		Jun-2017		(25	)
Feeder Cattle**		84			May-2017		303


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Gasoline**		108			May-2017	$	(317	)
Gasoline**		51			Jun-2017		31
Gold**		116			Jun-2017		422
Gold**		(28	)		Dec-2017		(67	)
Heating Oil**		112			May-2017		(392	)
ICE Brent Crude**		(80	)		Oct-2017		153
ICE Brent Crude**		(50	)		May-2018		(26	)
Kansas City Hard Red Winter Wheat**		232			May-2017		(476	)
Lean Hogs**		131			Jun-2017		(157	)
Live Cattle**		27			Jun-2017		(11	)
LME Nickel**		100			May-2017		(482	)
LME Nickel**		(28	)		Dec-2017		147
LME Primary Aluminum**		86			May-2017		188
LME Zinc**		144			May-2017		(171	)
MSCI EAFE Index E-MINI		(152	)		Jun-2017		(206	)
Natural Gas**		331			May-2017		2
Natural Gas**		120			Sep-2017		188
Natural Gas**		(26	)		Jun-2017		6
RBOB Gasoline**		(56	)		Oct-2017		35
S&P 500 Index E-MINI		(222	)		Jun-2017		102
Silver**		40			Dec-2017		120
Silver**		98			May-2017		208
Soybean**		(64	)		Nov-2017		69
Soybean**		145			May-2017		(426	)
Soybean Meal**		304			May-2017		(1,047	)
Soybean Oil**		13			May-2017		(5	)
Sugar No. 11**		63			Jun-2017		(21	)
Sugar No. 11**		152			Dec-2017		(353	)
Sugar No. 11**		259			Jul-2017		(1,013	)
U.S. 10-Year Treasury Notes		(86	)		Jun-2017		(30	)
U.S. 2-Year Treasury Notes		(147	)		Jun-2017		(32	)
U.S. 5-Year Treasury Notes		(7	)		Jun-2017		(1	)

						$	(5,544	)

A list of the open forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
04/04/17	USD		3,737	BRL		11,722	$	(48	)
05/03/17	BRL		11,722	USD		3,715		49
04/04/17-05/03/21	BRL		11,722	USD		3,660		(29	)
04/06/17	NZD		2,126	USD		1,491		6
04/06/17	AUD		6,349	USD		4,781		(62	)
04/07/17	USD		4,593	CAD		6,012		(85	)
04/07/17	CAD		8,648	USD		6,618		133
04/07/17	USD		22,612	JPY		2,508,910		(89	)
05/11/17	JPY		168,782	USD		1,523		5
04/07/17-04/26/17	JPY		3,863,072	USD		34,471		(212	)
04/11/17	USD		1,118	TRY		4,073		(3	)
04/11/17	USD		2,674	INR		177,017		52
04/12/17	EUR		1,336	USD		1,441		11
04/18/17	TWD		49,377	USD		1,611		(17	)


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
04/26/17	USD		946	MXN		19,523	$	87
05/11/17	SEK		20,326	USD		2,260		(22	)
05/18/17	USD		4,423	GBP		3,597		78
05/18/17	GBP		4,720	USD		5,790		(117	)
05/18/17	KRW		1,814,144	USD		1,603		(22	)
05/19/17	USD		1,545	IDR		20,757,572		9
05/19/17	IDR		20,581,762	USD		1,527		(14	)

							$	(290	)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
ANZ	$	(1,628	)	$	1,611	$	(17	)
Bank of America		(1,485	)		1,491		6
Barclays PLC		(4,157	)		4,103		(54	)
Citigroup		(38,243	)		37,996		(247	)
Credit Suisse First Boston		(6,875	)		6,768		(107	)
Deutsche Bank		(7,403	)		7,404		1
Goldman Sachs		(6,485	)		6,618		133
HSBC		(3,689	)		3,660		(29	)
JPMorgan Chase Bank		(11,913	)		12,077		164
Morgan Stanley		(27,838	)		27,692		(146	)
UBS		(2,711	)		2,717		6

						$	(290	)

A list of the open OTC swap agreements held by the Fund at March 31, 2017 is as follows:

A list of the open centrally cleared swap agreements held by the Fund at March 31, 2017 is as follows:

Percentages are based on Net Assets of $889,186 ($ Thousands).

Non-income producing security.

Future is held by Inflation Commodity Strategy Subsidiary, Ltd. as of March 31, 2017.

‡

Real Estate Investment Trust.

(A)

The rate reported is the effective yield at the time of purchase.

(B)

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 March 31, 2017, the value of these securities amounted to $61,600 ($ Thousands), representing 6.9% of the Net Assets of the Fund.

(C)

Security is in default on interest payment.

(D)

Variable Rate Security — The rate reported on the Schedule of Investments is the rate in effect as of March 31, 2017.

(E)

Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar.

AUD — Australian Dollar

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

EURIBOR — Euro Interbank Offered Rate

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

GBP — British Pound Sterling

IDR — Indonesian Rupiah

INR — Indian Rupee

JPY — Japanese Yen

KRW — Korean Won

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

SEK — Swedish Krona

Ser — Series

STIBOR — Stockholm Interbank Offered Rate

TIIE — Interbank Equilibrium Interest Rate

TRY — New Turkish Lira

TWD — Taiwanese Dollar

USD — United States Dollar

ZAR — South African Rand

The following is a list of the level of inputs used as of March 31, 2017, 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	$	—	$	603,003	$	—	$	603,003
Common Stock		252,804		—		—		252,804
Corporate Obligations		—		72,872		—		72,872
Mortgage-Backed Securities		—		47,404		—		47,404
Asset-Backed Securities		—		28,557		—		28,557
Sovereign Debt		—		17,783		—		17,783

Total Investments in Securities	$	252,804	$	769,619	$	—	$	1,022,423


Securities Sold Short	Level 1			Level 2		Level 3		Total
Common Stock	$	(115,438	)	$	—	$	—	$	(115,438	)

Total Securities Sold Short	$	(115,438	)	$	—	$	—	$	(115,438	)


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Purchased Option	$	394		$	—		$	—	$	394
Futures Contracts*
Unrealized Appreciation		2,179			—			—		2,179
Unrealized Depreciation		(7,723	)		—			—		(7,723	)
Forwards Contracts*
Unrealized Appreciation		—			430			—		430
Unrealized Depreciation		—			(720	)		—		(720	)
OTC Swaps
Interest Rate Swaps*
Unrealized Depreciation		—			(24	)		—		(24	)
Credit Default Swaps*
Unrealized Appreciation		—			25			—		25
Unrealized Depreciation		—			(500	)		—		(500	)
Centrally Cleared Swaps
Interest Rate Swaps*
Unrealized Appreciation		—			1,120			—		1,120
Unrealized Depreciation		—			(1,094	)		—		(1,094	)
Reverse Repurchase
Agreements		—			(168,042	)		—		(168,042	)

Total Other Financial Instruments	$	(5,150	)	$	(168,805	)	$	—	$	(173,955	)

Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

See Note 2 for more information on the reverse repurchase agreements.

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS — 18.5%
U.S. Treasury Inflation Protected Securities
3.875%, 04/15/2029	$	1,884	$	2,605
3.625%, 04/15/2028		1,842		2,448
3.375%, 04/15/2032		722		1,013
2.500%, 01/15/2029		1,878		2,296
2.375%, 01/15/2025		3,035		3,500
2.375%, 01/15/2027		1,891		2,234
2.125%, 01/15/2019		3,866		4,067
2.125%, 02/15/2040		749		945
2.125%, 02/15/2041		1,199		1,519
2.000%, 01/15/2026		2,207		2,503
1.875%, 07/15/2019		2,861		3,039
1.750%, 01/15/2028		2,181		2,466
1.625%, 01/15/2018		1,495		1,526
1.375%, 07/15/2018		2,636		2,727
1.375%, 01/15/2020		3,236		3,409
1.375%, 02/15/2044		2,699		2,976
1.250%, 07/15/2020		3,506		3,710
1.125%, 01/15/2021		3,837		4,040
1.000%, 02/15/2046		1,923		1,952
0.875%, 02/15/2047		654		644
0.750%, 02/15/2042		2,423		2,330
0.750%, 02/15/2045		2,972		2,829
0.625%, 07/15/2021		4,211		4,367
0.625%, 01/15/2024		4,575		4,683
0.625%, 01/15/2026		4,844		4,932
0.625%, 02/15/2043		1,781		1,656
0.375%, 07/15/2023		5,602		5,692
0.375%, 07/15/2025		4,548		4,560
0.375%, 01/15/2027		1,504		1,498
0.250%, 01/15/2025		5,159		5,115
0.125%, 04/15/2018		4,076		4,111
0.125%, 04/15/2019		5,790		5,875
0.125%, 04/15/2020		5,921		6,009
0.125%, 04/15/2021		6,406		6,472
0.125%, 01/15/2022		4,988		5,025
0.125%, 07/15/2022		5,909		5,955
0.125%, 01/15/2023		5,907		5,904
0.125%, 07/15/2024		4,676		4,633


Description		Face Amount (Thousands)		Market Value ($ Thousands)


U.S. TREASURY OBLIGATIONS (continued)
0.125%, 07/15/2026	$		4,365	$	4,258

Total U.S. Treasury Obligations (Cost $134,765) ($ Thousands)					135,523


SOVEREIGN DEBT — 14.7%
Japan Treasury Discount Bill
-0.256%, 05/29/2017 (A)(B)	JPY		8,320,000		74,682
Japanese Government CPI Linked Bond
0.100%, 03/10/2026			3,446,927		32,619

Total Sovereign Debt (Cost $108,760) ($ Thousands)					107,301


U.S. GOVERNMENT AGENCY OBLIGATIONS — 4.6%
FHLMC
1.375%, 05/01/2020	$		18,061		17,918
FNMA
5.000%, 05/11/2017			15,861		15,931

Total U.S. Government Agency Obligations (Cost $33,872) ($ Thousands)					33,849


		Shares

EXCHANGE TRADED FUND — 0.3%

United States — 0.3%
iShares MSCI Emerging Markets ETF			60,480		2,383

Total Exchange Traded Fund (Cost $2,343) ($ Thousands)					2,383

Total Investments — 38.1% (Cost $279,740) ($ Thousands)				$	279,056


		Contracts

PURCHASED OPTIONS* — 0.1%
April 2017, MXN Call, USD Put,
Expires 04/22/2017,
Strike Price $19.00			2,730,000	$	48
April 2017, MXN Call, USD Put,
Expires 04/22/2017,
Strike Price $20.40			1,820,000		156
April 2017, MXN Call, USD Put,
Expires 04/22/2017,
Strike Price $20.63			2,550,000		247
April 2017, MXN Call, USD Put,
Expires 04/22/2017,
Strike Price $18.45			4,095,000		22


Description	Contracts			Market Value ($ Thousands)

PURCHASED OPTIONS (continued)
April 2017, TRY Call, EUR Put, Expires 04/22/2017, Strike Price $4.11		1,700,000		$	1
April 2017, TRY Put, EUR Call, Expires 04/22/2017, Strike Price $3.81		3,200,000			79
April 2017, TRY Put, EUR Call, Expires 04/22/2017, Strike Price $3.70		1,700,000			—
April 2017, TRY Put, EUR Call, Expires 04/22/2017, Strike Price $3.65		3,200,000			—
April 2017, USD Put, TRY Call, Expires 04/22/2017, Strike Price $3.79		1,822,000			75
July 2017, ZAR Call, USD Put, Expires 07/22/2017, Strike Price $12.80*		2,200,000			26
June 2017, USD Put, RUB Call, Expires 06/17/2017, Strike Price $57.20		3,600,000			83
June 2017, USD Put, TRY Call, Expires 06/17/2017, Strike Price $3.70		1,500,000			39
May 2017, USD Put, TRY Call, Expires 05/20/2017, Strike Price $3.72		1,821,000			49

Total Purchased Options (Cost $545) ($ Thousands)				$	825


WRITTEN OPTIONS* — 0.0%
April 2017, MXN Call, USD Put, Expires 04/22/2017 Strike Price $19.00		(2,730,000	)	$	(48	)
April 2017, MXN Call, USD Put, Expires 04/22/2017 Strike Price $20.40		(1,820,000	)		(155	)
April 2017, MXN Put, USD Call, Expires 04/22/2017 Strike Price $23.50		(1,820,000	)		—
April 2017, MXN Put, USD Call, Expires 04/22/2017 Strike Price $22.88		(2,550,000	)		—
April 2017, TRY Call, EUR Put, Expires 04/22/2017 Strike Price $4.11		(1,700,000	)		(1	)
April 2017, TRY Call, EUR Put, Expires 04/22/2017 Strike Price $4.50		(4,900,000	)		—


Description	Contracts			Market Value ($ Thousands)

WRITTEN OPTIONS (continued)
April 2017, TRY Put, EUR Call, Expires 04/22/2017 Strike Price $3.81		(3,200,000	)	$	(79	)
April 2017, TRY Put, USD Call, Expires 04/22/2017 Strike Price $4.25		(1,822,000	)		—
July 2017, USD Call, ZAR Put, Expires 07/22/2017 Strike Price $14.71		(2,200,000	)		(32	)
June 2017, CNH Put, USD Call, Expires 06/17/2017 Strike Price $7.08		(7,300,000	)		(13	)
June 2017, RUB Put, USD Call, Expires 06/17/2017 Strike Price $62.20		(3,600,000	)		(20	)
June 2017, TRY Put, USD Call, Expires 06/17/2017 Strike Price $4.05		(1,500,000	)		(10	)
May 2017, CNH Put, USD Call, Expires 05/20/2017 Strike Price $7.07		(3,600,000	)		(2	)
May 2017, TRY Put, USD Call, Expires 05/20/2017 Strike Price $4.12		(1,821,000	)		(1	)
October 2017, RUB Put, USD Call, Expires 10/21/2017 Strike Price $77.62		(3,500,000	)		(12	)

Total Written Options (Premiums Received $702) ($ Thousands)				$	(373	)


A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
Canadian 10-Year Bond		172			Jun-2017	$	61
Euro-Bund		(155	)		Jun-2017		(115	)
H-Shares Index		22			Apr-2017		(26	)
Long Gilt 10-Year Bond		73			Jun-2017		171
MSCI EAFE Index E-MINI		527			Jun-2017		1,132
S&P 500 Index E-MINI		488			Jun-2017		(36	)
S&P TSX 60 Index		35			Jun-2017		(20	)
U.S. 10-Year Treasury Note		520			Jun-2017		498
U.S. 5-Year Treasury Note		232			Jun-2017		(4	)

						$	1,661

A list of the open forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)

04/04/17-07/05/17	USD		4,938	BRL		15,666	$	(51	)
04/04/17-07/05/17	BRL		8,163	USD		2,587		33
04/04/17	BRL		1,682	USD		525		(4	)
04/06/17-04/24/17	USD		1,829	MYR		8,140		7
04/13/17	TRY		3,146	EUR		819		16
04/12/17-05/16/17	TRY		3,594	EUR		857		(62	)
04/13/17	EUR		1,508	TRY		6,322		116
04/13/17	EUR		891	TRY		3,357		(35	)
04/24/17-06/09/17	USD		1,750	ARS		28,600		73
04/24/17-05/16/17	USD		4,614	MXN		95,050		406
04/24/17	USD		20	MXN		381		—
04/24/17	MXN		14,261	USD		762		7
04/24/17-05/16/17	MXN		118,681	USD		5,688		(584	)
05/16/17	TRY		4,025	USD		1,094		3
04/28/17-06/16/17	TRY		7,628	USD		1,991		(66	)
05/16/17	CNY		10,043	USD		1,454		1
05/09/17-05/16/17	CNY		37,127	USD		5,346		(24	)
05/10/17-06/13/17	CNH		42,377	USD		6,117		(26	)
05/16/17	EUR		337	PLN		1,462		8
05/16/17	USD		730	SGD		1,034		10
06/15/17	USD		33	NZD		48		1
05/16/17	USD		722	NZD		1,032		(2	)
05/16/17	GBP		884	EUR		1,014		(20	)
05/16/17	EUR		1,023	CHF		1,087		(7	)
05/16/17	SGD		1,034	USD		733		(8	)
05/16/17	USD		1,053	PEN		3,460		7
05/16/17	USD		1,089	MXN		22,695		108
05/16/17	USD		1,099	CZK		28,046		21
05/16/17	USD		1,458	CNH		10,128		10
05/16/17	USD		1,483	TWD		45,396		14
05/16/17-06/16/17	USD		1,773	TRY		6,732		43
05/16/17-07/18/17	USD		1,913	COP		5,651,753		22
05/16/17	USD		1,455	AUD		1,920		8
05/16/17	USD		729	AUD		951		(4	)
05/16/17	USD		1,093	CHF		1,098		7
07/18/17	USD		1,095	CHF		1,079		(9	)
05/16/17	USD		2,220	NOK		18,765		(33	)
05/16/17	USD		1,825	GBP		1,462		5
05/16/17	USD		1,104	GBP		881		(2	)
05/16/17	CHF		1,089	USD		1,095		3
05/16/17-06/15/17	CHF		2,226	USD		2,212		(21	)
05/16/17-06/19/17	USD		3,631	CNY		25,205		10
05/16/17-06/16/17	USD		3,914	PLN		15,894		98
05/16/17-06/15/17	USD		4,127	SEK		37,042		34
05/16/17	CAD		3,359	USD		2,528		8
05/16/17	CAD		968	USD		726		(1	)
05/16/17	USD		3,597	RUB		213,817		156
07/18/17	USD		736	RUB		42,295		(4	)
05/16/17	GBP		2,603	USD		3,282		24
05/16/17-06/15/17	GBP		2,156	USD		2,664		(35	)
05/16/17	CHF		3,679	EUR		3,446		6


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
05/16/17	CHF		1,089	EUR		1,016	$	(2	)
05/16/17	USD		219	ZAR		2,987		2
05/16/17-07/18/17	USD		4,654	ZAR		61,413		(129	)
05/16/17	PLN		5,972	USD		1,464		(43	)
05/16/17	AUD		1,901	USD		1,452		4
05/16/17-07/18/17	AUD		4,807	USD		3,634		(27	)
05/16/17-07/18/17	NZD		7,717	USD		5,437		54
05/16/17	NZD		1,041	USD		719		(8	)
05/16/17	NOK		9,259	EUR		1,016		10
05/16/17	USD		8,715	INR		590,059		356
07/18/17	USD		733	INR		47,965		(1	)
05/16/17	USD		7,297	EUR		6,856		51
05/16/17-07/18/17	USD		2,226	EUR		2,070		(5	)
06/15/17-07/18/17	USD		7,112	CAD		9,541		52
05/16/17-06/15/17	USD		4,256	CAD		5,579		(69	)
05/16/17	EUR		2,116	USD		2,275		7
05/16/17-07/18/17	EUR		11,404	USD		12,180		(56	)
05/16/17	USD		16,553	JPY		1,868,698		250
07/18/17	USD		1,545	JPY		170,808		(4	)
05/16/17-07/18/17	NOK		27,889	USD		3,302		52
05/16/17	CZK		28,046	USD		1,116		(3	)
05/16/17	SEK		7,715	USD		873		7
05/16/17	SEK		29,652	USD		3,295		(35	)
05/16/17	TWD		45,396	USD		1,470		(27	)
05/16/17-07/18/17	ZAR		60,070	USD		4,487		64
05/16/17	ZAR		9,793	USD		721		(4	)
05/16/17-07/18/17	INR		272,524	USD		4,067		(114	)
05/16/17-10/17/17	RUB		275,976	USD		4,561		(235	)
05/16/17-05/31/17	JPY		10,480,374	USD		93,139		(1,141	)
06/15/17-07/10/17	EUR		9,876	CZK		265,127		21
06/15/17	CZK		45,854	EUR		1,706		(5	)
07/18/17	USD		2,933	HUF		832,927		(34	)

							$	(745	)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
ANZ	$	(16,580	)	$	16,769	$	189
Barclays PLC		(27,944	)		27,968		24
BNP Paribas		(25,393	)		25,689		296
Brown Brothers Harriman		(100,897	)		100,040		(857	)
Citigroup		(34,477	)		34,465		(12	)
Credit Suisse First Boston		(13,782	)		13,809		27
Deutsche Bank		(4,333	)		4,415		82
Goldman Sachs		(13,969	)		13,509		(460	)
HSBC		(529	)		525		(4	)
JPMorgan Chase Bank		(10,102	)		9,928		(174	)
Montgomery/Bank of America		(27,019	)		26,721		(298	)
Morgan Stanley		(7,297	)		7,499		202
Nomura Securities International		(727	)		751		24

A list of the open centrally cleared swap agreements held by the Fund at March 31, 2017 is as follows:

Percentages are based on Net Assets of $731,548 ($ Thousands).

Non-income producing security.

(A)

The rate reported is the effective yield at the time of purchase.

(B)

Rate is negative due to the decrease in value of the foreign currency against the U.S. Dollar.

ARS — Argentine Peso

AUD — Australian Dollar

BBSW — Bank Bill Swap Reference Rate

BKBM —Bank Bill Reference Rate

BRL — Brazilian Real

CAD — Canadian Dollar

CHF — Swiss Franc

CNH — Chinese Offshore Yuan

CNY — Chinese Yuan

CPI — Consumer Price Index

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

SGD — Singapore Dollar

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 March 31, 2017, 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	$	—	$	135,523	$	—	$	135,523
Sovereign Debt		—		107,301		—		107,301
U.S. Government Agency Obligations		—		33,849		—		33,849
Exchange Traded Fund		2,383		—		—		2,383

Total Investments in Securities	$	2,383	$	276,673	$	—	$	279,056


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Purchased Options	$	825		$	—		$	—	$	825
Written Options		(373	)		—			—		(373	)
Futures Contracts*
Unrealized Appreciation		1,862			—			—		1,862
Unrealized Depreciation		(201	)		—			—		(201	)
Forwards Contracts*
Unrealized Appreciation		—			2,195			—		2,195
Unrealized Depreciation		—			(2,940	)		—		(2,940	)
Centrally Cleared Swaps
Credit Default Swaps*
Unrealized Appreciation		—			133			—		133
Unrealized Depreciation		—			(25	)		—		(25	)
Interest Rate Swaps*
Unrealized Appreciation		—			60			—		60
Unrealized Depreciation		—			(312	)		—		(312	)

Total Other Financial Instruments	$	2,113		$	(889	)	$	—	$	1,224

Futures contracts, forward contracts and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument.

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.

LOGO


Description	Face Amount (Thousands)		Market Value ($ Thousands)


COMMERCIAL PAPER (A) — 61.2%

Banks — 13.5%
Australia & New Zealand Banking Group
0.701%, 04/04/2017 (B)	$	1,238	$	1,238
Bank of Nova Scotia
0.921%, 05/02/2017 (B)		600		599
DNB Bank
0.880%, 04/06/2017 (B)		1,300		1,300
Skandinaviska Enskilda Banken
0.911%, 04/26/2017 (B)		1,300		1,299

				4,436


Financial — 3.0%
Novartis Finance
0.830%, 04/04/2017 (B)		1,000		1,000


Industrial & Other Commercial Paper — 44.7%
Apple
0.731%, 04/18/2017 (B)		1,200		1,200
Colgate-Palmolive
0.770%, 04/03/2017 (B)		1,300		1,300
Export Development Canada
0.760%, 04/19/2017		1,300		1,299
Johnson & Johnson
0.801%, 04/18/2017 (B)		1,300		1,299
Merck
0.810%, 04/12/2017 (B)		1,300		1,300
PepsiCo
0.831%, 04/18/2017 (B)		1,025		1,025
Roche Holdings
0.701%, 04/11/2017 (B)		1,300		1,300
Siemens Capital
0.880%, 05/01/2017 (B)		1,000		999
Total Capital Canada
0.881%, 04/24/2017 (B)		1,300		1,299
Unilever Capital
0.840%, 04/24/2017 (B)		1,432		1,431
United Parcel Service
0.700%, 04/03/2013 (B)		972		972
Wal-Mart Stores
0.800%, 04/05/2017 (B)		1,300		1,300

				14,724

Total Commercial Paper (Cost $20,161) ($ Thousands)				20,160


Description	Face Amount (Thousands)		Market Value ($ Thousands)


U.S. GOVERNMENT AGENCY OBLIGATIONS(A) — 31.3%
FHLB
0.720%, 04/12/2017 to 04/19/2017	$	3,525	$	3,524
0.700%, 04/03/2017 to 04/07/2017		3,613		3,613
FHLMC
0.710%, 04/06/2017		1,900		1,900
FNMA
0.750%, 04/26/2017		1,250		1,249

Total U.S. Government Agency Obligations (Cost $10,286) ($ Thousands)				10,286

	Shares

EXCHANGE TRADED FUND — 4.6%
iShares iBoxx $ High Yield Corporate Bond Fund		17,372		1,525

Total Exchange Traded Fund (Cost $1,497) ($ Thousands)				1,525

Total Investments — 97.1% (Cost $31,944) ($ Thousands)			$	31,971

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
MSCI EAFE Index E-MINI		58			Jun-2017	$	157
MSCI Emerging Markets E-MINI		29			Jun-2017		45
NASDAQ 100 Index E-MINI		56			Jun-2017		95
S&P Mid Cap 400 Index E-MINI		42			Jun-2017		3
U.S. Dollar Index		4			Jun-2017		(5	)
U.S. Long Treasury Bond		(19	)		Jun-2017		(17	)

						$	278

For the period ended March 31, 2017, 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 period.

Percentages are based on Net Assets of $32,927 ($ Thousands).

(A)

The rate reported is the effective yield at the time of purchase.

(B)

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 March 31, 2017, the value of these securities amounted to $18,861 ($ Thousands), representing 57.3% of the Net Assets of the Fund.

EAFE — Europe, Australasia and Far East

FHLB — Federal Home Loan Bank

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

MSCI — Morgan Stanley Capital International

NASDAQ — National Association of Securities Dealers and Automated Quotations

S&P— Standard & Poor’s

The following is a list of the level of inputs used as of March 31, 2017, 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	$	—		$	20,160	$	—	$	20,160
U.S. Government Agency Obligations		—			10,286		—		10,286
Exchange Traded Fund		1,525			—		—		1,525

Total Investments in Securities	$	1,525		$	30,446	$	—	$	31,971


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	300		$	—	$	—	$	300
Unrealized Depreciation		(22	)		—		—		(22	)

Total Other Financial Instruments	$	278		$	—	$	—	$	278

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 Liabilities ($ Thousands) (Concluded)

For the six month period ended March 31, 2017 (Unaudited) and the year ended September 30,

Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets ($ Thousands)

For the six month period ended March 31, 2017 (Unaudited) and the year ended September 30,

For the period ended March 31, 2017 (Unaudited) and the years or periods ended September 30, (unless otherwise indicated)

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited)

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 30 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 F shares (formerly 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.

Tax-Managed International Managed Volatility Fund commenced operations on October 17, 2016.

Effective January 31, 2017, the Trust Class A shares were each re-designated as Class F shares. This share class name change had no impact on any Fund’s operations or investment policies.

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 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

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

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.)

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Investments are classified within the level of the lowest significant input considered in determining fair value. Investments classified within Level 3 whose fair value measurement considers several inputs may include Level 1 or Level 2 inputs as components of the overall fair value measurement.

Debt securities are valued in accordance with the evaluated bid price supplied by the pricing service and generally categorized as Level 2 in the hierarchy. Other securities that are categorized as Level 2 in the hierarchy include, but are not limited to, preferred stocks, bank loans, warrants, swaps and forward contracts. The Fund may use a systematic fair valuation model provided by an independent pricing service to

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 (Unaudited) (Continued)

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 March 31, 2017 were as follows:

MULTI-ASSET INFLATION MANAGED FUND


Principal Amount ($ Thousands)		Counterparty			Maturity		Value ($ Thousands)
	$(38,306)	Chase Securities	0.72	%		4/12/2017	$	(38,306	)
	(38,097)	Chase Securities	0.80	%		4/5/2017		(38,097	)
	(36,977)	Chase Securities	0.80	%		4/19/2017		(36,977	)
	(31,162)	Chase Securities	0.56	%		12/31/2050		(31,162	)
	(21,408)	Chase Securities	0.71	%		12/31/2050		(21,408	)
	(2,092)	Merrill Lynch	0.88	%		12/31/2050		(2,092	)

							$	(168,042	)

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, Multi-Asset Inflation Managed and Dynamic Asset Allocation 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, Multi-Asset Inflation Managed and Dynamic Asset Allocation Funds may also invest in equity securities of issuers in commodity-related industries.

The Multi-Asset Accumulation, Multi-Asset Inflation Managed and Dynamic Asset Allocation Funds may also seek to gain exposure to the commodity markets, in whole or in part, through investments in a wholly owned Subsidiary. A 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. A 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, Multi-Asset Inflation Managed, and Dynamic Asset Allocation 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 March 31, 2017, 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 March 31, 2017, 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 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

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

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 March 31, 2017, 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 March 31, 2017, 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 or Consolidated Statement 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 March 31, 2017, 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 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.

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the 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, Tax-Managed Managed Volatility, Real Estate, Enhanced Income and Real Return Funds; 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, Multi-Asset Inflation Managed and Dynamic Asset Allocation 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, Multi-Asset Inflation Managed and Dynamic Asset Allocation 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 amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive 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 the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Certain Funds are party to International Swap Dealers Association, Inc. Master Agreements (“ISDA Master Agreements”). These agreements are with select counterparties and they govern transactions, including certain over-the counter derivative and foreign exchange contracts, entered into by the Funds and the counterparty.

As of March 31, 2017, the Core Fixed Income Fund, Multi-Strategy Alternative Fund and the Multi-Asset Inflation Managed Fund are the buyers (“receiving protection”) on a total notional amount of $3.2 million, $13.2 million and $1.5 million, respectively. As of March 31, 2017, the Core Fixed Income Fund, High Yield Bond Fund, Multi-Strategy Alternative Fund, Multi-Asset Inflation Managed Fund and Multi-Asset Capital Stability Fund are the sellers (“providing protection”) on a total notional amount of $9.1 million, $7.4 million, $7.2 million, $9.9 million and $26.1 million, respectively. The notional amounts of the swaps are not recorded in the financial statements. The notional amounts approximate the maximum potential amount of future payments that the Fund could be required to make if the Fund was the seller of protection and a credit event was to occur.

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

Those credit default swaps (“CDS”) for which the Fund is providing protection at the balance sheet date are summarized as follows:

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.

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

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 March 31, 2017 was as follows ($ Thousands):

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

The effect of derivative instruments on the Statements of Operations/Consolidated Statements of Operations for the period ended March 31, 2017.

Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):

The following table discloses the volume of the Fund’s futures contracts, option contracts, forward foreign currency contracts and swap contracts activity during the period ended March 31, 2017 ($ Thousands):

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

A Fund is subject to various netting arrangements with select counterparties (“Master Agreements”). Master Agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow a Fund to close out and net its total exposure to a specific counterparty entity in the event of a default with respect to all the transactions governed under a single agreement with a specific counterparty entity.

Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on 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 or 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 or 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.

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

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 March 31, 2017 ($ Thousands):

The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received)/pledged as of March 31, 2017 ($ Thousands):

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

Securities with an aggregate market value of $0 ($ Thousands) have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2017.

Written Options transactions entered into during the period ended March 31, 2017 are summarized as follows:


Core Fixed Income Fund	Number of Contracts			Premium ($ Thousands)
Balance at the beginning of year		890			$ 468
Written		5,050			1,673
Expired		(2,792	)		(849	)
Closing buys		(1,608	)		(708	)
Balance at the end of year		1,540			$ 584


U.S. Fixed Income Fund	Number of Contracts			Premium ($ Thousands)
Balance at the beginning of year		350			$ 184
Written		2,705			865
Expired		(1,432	)		(420	)
Closing buys		(806	)		(339	)
Balance at the end of year		817			$ 290


Dynamic Asset Allocation Fund	Number of Contracts		Premium ($ Thousands)
Balance at the beginning of period		—		$ —
Written		263		254
Balance at the end of period		263		$254


Multi-Strategy Alternative Fund	Number of Contracts			Premium ($ Thousands)
Balance at the beginning of year		187			$ 117
Written		3,982			1,203
Expired		(636	)		(63	)
Closing buys		(2,767	)		(1,162	)
Balance at the end of year		766			$ 95


Multi-Asset Income Fund	Number of Contracts			Premium ($ Thousands)
Balance at the beginning of year		434			$ 1,800
Written		8,999			9,558
Closing buys		(2,866	)		(9,058	)
Balance at the end of year		6,567			$ 2,300


Multi-Asset Capital Stability Fund	Number of Contracts			Premium ($ Thousands)
Balance at the beginning of year		36,631,762			$ 272
Written		109,374,574			1,598
Expired		(77,287,514	)		(821	)
Closing buys		(24,655,822	)		(347	)
Balance at the end of year		44,063,000			$ 702

At March 31, 2017 the Funds had cash and/or securities at least equal to the value of written options.

5. BASIS FOR CONSOLIDATION FOR THE MULTI-ASSET ACCUMULATION FUND AND MULTI-ASSET INFLATION MANAGED FUND

The Consolidated Schedules of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets, Consolidated Statement of Cash Flows, and the Consolidated 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.

The Multi-Asset Accumulation Fund and Multi-Asset Inflation Managed Fund may each invest up to 25% of their total assets in its respective Subsidiary.

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

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	$	1,435		$	394
Net Realized Gain (Loss) on:
Investments		(1	)		(7	)
Futures Contracts		(3,321	)		711
Swap Contracts		(454	)		—
Purchased Options		—			—
Net Change in Unrealized Appreciation (Depreciation) on:
Investments		(1,781	)		(5,580	)
Futures Contracts		6,401			(5,502	)
Swap Contracts		(1,691	)		—
Purchased Options		—			66

Total gains and losses attributed to the Funds’ investment in Subsidiaries	$	588		$	(9,918	)

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 F 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 F 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.

The following is a summary of annual fees payable to the Adviser and Distributor and the voluntary expense limitations for each fund:

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

Effective January 1, 2017, the Trust will pay the Administrator the following fees, at the annual rate set forth below calculated based upon the aggregate average daily net assets of the Trust:

As of March 31, 2017, SIMC has entered into investment sub-advisory agreements with the following unaffiliated parties:

Investment Sub-Adviser

Large Cap Fund

AQR Capital Management, LLC

BlackRock Investment Management, LLC

Brandywine Global Investment Management, LLC

Coho Partners, Ltd.

Fiera Capital Inc.

Jackson Square Partners, LLC

LSV Asset Management

Parametric Portfolio Associates LLC

Snow Capital Management, L.P.

Large Cap Value Fund

AQR Capital Management, LLC

Brandywine Global Investment Management, LLC

Coho Partners, Ltd.

LSV Asset Management

Parametric Portfolio Associates LLC

Snow Capital Management, L.P.

Large Cap Growth Fund

BlackRock Investment Management, LLC

Fiera Capital Inc.

Jackson Square Partners, LLC

Parametric Portfolio Associates LLC

Tax-Managed Large Cap Fund

AQR Capital Management, LLC

BlackRock Investment Management, LLC

Brandywine Global Investment Management, LLC

Coho Partners, Ltd.

Fiera Capital Inc.

Jackson Square Partners, LLC

LSV Asset Management

Parametric Portfolio Associates LLC

Snow Capital Management, L.P.

S&P 500 Index Fund

SSgA Funds Management, Inc.

Investment Sub-Adviser

Small Cap Fund

AQR Capital Management, LLC

Boston Partners Global Investors Inc.

EAM Investors, LLC

Falcon Point Capital, LLC

Mesirow Financial Investment Management, Inc.

Parametric Portfolio Associates LLC

Rice Hall James & Associates

Snow Capital Management L.P.

Small Cap Value Fund

AQR Capital Management, LLC

Boston Partners Global Investors Inc.

Cardinal Capital Management, L.L.C.

Mesirow Financial Investment Management, Inc.

LSV Asset Management

Parametric Portfolio Associates LLC

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

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

Investment Sub-Adviser

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

Tax-Managed International Managed Volatility Fund

Acadian Asset Management LLC

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

Brigade Capital Management, LP

Caerus Investors 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, LLC

SSgA Funds Management Inc.

Investment Sub-Adviser

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 period ended March 31, 2017 were as follows ($ Thousands):


Real Estate Fund	$	9

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 period ended March 31, 2017 were as follows ($ Thousands):


Large Cap Fund	$	166
Large Cap Value Fund		198
Tax-Managed Large Cap Fund		248
Small Cap Value Fund		159
U.S. Managed Volatility Fund		843
Tax-Managed Managed Volatility Fund		658
Tax-Managed International Managed Volatility Fund		131

	$	2,403

Fees Paid Indirectly — The Funds may direct certain fund trades to the Distributor who pays a portion of the

The following is a summary of the transactions with affiliates for the period ended March 31, 2017 ($ Thousands):

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

For the six month period ended March 31, 2017 (Unaudited) and the year ended September 30, 2016.

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)

8. INVESTMENT TRANSACTIONS

The cost of security purchases and proceeds from the sale of securities, other than temporary cash investments and futures, during the period ended March 31, 2017, were as follows:


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Large Cap Fund
Purchases	$	—	$	1,429,494	$	1,429,494
Sales		—		1,642,356		1,642,356
Large Cap Value Fund
Purchases		—		564,513		564,513
Sales		—		642,943		642,943
Large Cap Growth Fund
Purchases		—		863,224		863,224
Sales		—		936,460		936,460
Tax-Managed Large Cap Fund
Purchases		—		1,657,200		1,657,200
Sales		—		2,002,593		2,002,593
S&P 500 Index Fund
Purchases		—		115,820		115,820
Sales		—		72,285		72,285
Small Cap Fund
Purchases		—		413,217		413,217
Sales		—		397,902		397,902
Small Cap Value Fund
Purchases		—		349,323		349,323
Sales		—		315,006		315,006
Small Cap Growth Fund
Purchases		—		190,822		190,822
Sales		—		178,406		178,406
Tax-Managed Small/Mid Cap Fund
Purchases		—		967,277		967,277
Sales		—		836,830		836,830
Mid-Cap Fund
Purchases		—		72,244		72,244
Sales		—		57,689		57,689
U.S. Managed Volatility Fund
Purchases		—		347,593		347,593
Sales		—		406,498		406,498


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Global Managed Volatility Fund
Purchases	$	—	$	1,283,946	$	1,283,946
Sales		—		1,068,593		1,068,593
Tax-Managed Managed Volatility Fund
Purchases		—		104,355		104,355
Sales		—		330,982		330,982
Tax-Managed International Managed Volatility Fund
Purchases		—		522,657		522,657
Sales		—		329,658		329,658
Real Estate Fund
Purchases		—		82,296		82,296
Sales		—		99,533		99,533
Enhanced Income Fund
Purchases		13,410		6,883		20,293
Sales		16,975		59,884		76,859
Core Fixed Income Fund
Purchases		3,172,205		866,592		4,038,797
Sales		3,172,995		810,726		3,983,721
U.S. Fixed Income Fund
Purchases		3,305,399		540,874		3,846,273
Sales		3,783,821		578,283		4,362,104
High Yield Bond Fund
Purchases		—		473,355		473,355
Sales		—		808,425		808,425
Conservative Income Fund
Purchases		—		—		—
Sales		—		—		—
Tax-Free Conservative Income Fund
Purchases		—		1,032		1,032
Sales		—		—		—

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)


	U.S. Gov’t ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Real Return Fund
Purchases	$	70,041	$	—	$	70,041
Sales		109,783		—		109,783
Dynamic Asset Allocation Fund
Purchases		—		80,255		80,255
Sales		—		10,018		10,018
Multi-Strategy Alternative Fund
Purchases		432,826		89,817		522,643
Sales		406,816		174,109		580,925
Multi-Asset Accumulation Fund
Purchases		278,081		222,221		500,302
Sales		238,891		59,984		298,875
Multi-Asset Income Fund
Purchases		39,444		194,538		233,982
Sales		49,515		156,973		206,488
Multi-Asset Inflation Managed Fund
Purchases		147,799		312,798		460,597
Sales		247,887		457,247		705,134
Multi-Asset Capital Stability Fund
Purchases		154,427		3,820		158,247
Sales		66,087		10,202		76,289
Long/Short Alternative Fund
Purchases		—		2,721		2,721
Sales		—		3,146		3,146

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.

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 (Unaudited) (Continued)

As of September 30, 2016, the components of Distributable Earnings/(Accumulated Losses) were as follows:

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 March 31, 2017, 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 March 31, 2017, were as follows:


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Large Cap Fund	$	1,897,313	$	469,872	$	(16,601	)	$	453,271
Large Cap Value Fund		1,143,764		290,837		(14,499	)		276,338
Large Cap Growth Fund		1,106,804		318,760		(7,137	)		311,623
Tax-Managed Large Cap Fund		2,181,009		1,338,498		(2,699	)		1,335,799
S&P 500 Index Fund		385,901		385,600		(7,009	)		378,591
Small Cap Fund		579,541		98,100		(24,763	)		73,337
Small Cap Value Fund		379,393		82,493		(15,171	)		67,322
Small Cap Growth Fund		324,241		50,986		(17,009	)		33,977
Tax-Managed Small/Mid Cap Fund		649,188		247,349		(1,025	)		246,324
Mid-Cap Fund		105,131		14,369		(3,007	)		11,362
U.S. Managed Volatility Fund		1,372,570		307,286		(30,261	)		277,025
Global Managed Volatility Fund		1,194,458		190,403		(21,317	)		169,086
Tax-Managed Managed Volatility Fund		721,929		299,573		(1,834	)		297,739

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Continued)


	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Tax-Managed International Managed Volatility Fund	$	275,487	$	21,700	$	(2,600	)	$	19,100
Real Estate Fund		151,632		45,891		(13,242	)		32,649
Enhanced Income Fund		83,594		525		(1,637	)		(1,112	)
Core Fixed Income Fund		2,237,631		38,176		(40,346	)		(2,170	)
U.S. Fixed Income Fund		1,912,843		16,418		(15,576	)		842
High Yield Bond Fund		1,577,878		72,973		(65,458	)		7,515
Conservative Income Fund		201,814		44		(13	)		31
Tax-Free Conservative Income Fund		151,427		3		(27	)		(24	)
Real Return Fund		277,653		2,284		(322	)		1,962
Dynamic Asset Allocation Fund		554,071		98,723		(10,764	)		87,959
Multi-Strategy Alternative Fund		506,182		18,507		(11,549	)		6,958
Multi-Asset Accumulation Fund		1,974,487		51,386		(25,671	)		25,715
Multi-Asset Income Fund		807,872		32,240		(21,062	)		11,178
Multi-Asset Inflation Managed Fund		1,010,586		18,045		(6,208	)		11,837
Multi-Asset Capital Stability Fund		279,740		3,565		(4,249	)		(684	)
Long/Short Alternative Fund		31,944		28		(1	)		27

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years and has concluded that as of March 31, 2017, 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 March 31, 2017 ($ Thousands):


	Securities Loaned at Value		Cash Collateral Received⁽¹⁾		Net Amount
Large Cap Fund	$	10,190	$	10,190	$	—
Large Cap Value Fund		28,205		28,205		—
Large Cap Growth Fund		8,598		8,598		—
Tax-Managed Large Cap Fund		55,808		55,808		—
S&P 500 Index Fund		3,412		3,412		—
Small Cap Fund		58,442		58,442		—
Small Cap Value Fund		50,922		50,922		—
Small Cap Growth Fund		26,556		26,556		—
Tax-Managed Small/Mid Cap Fund		95,303		95,303		—
Mid-Cap Fund		3,124		3,124		—
Real Estate Fund		478		478		—
Core Fixed Income Fund		51,579		51,579		—
U.S. Fixed Income Fund		25,141		25,141		—
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.

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. Mortgage-backed 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, March 31, 2017, SPTC held of record the following percentage of outstanding shares of each Fund:


Fund	% held
Large Cap Fund
Class F		98.09	%
Class Y		11.19
Large Cap Value Fund
Class F		95.05	%
Class I		23.09
Class Y		99.86
Large Cap Growth Fund
Class F		95.09	%
Class I		33.01
Class Y		99.32

Notes to Financial Statements/Consolidated Notes to Financial Statements (Unaudited) (Concluded)


Fund	% held
Tax-Managed Large Cap Fund
Class F		91.62	%
Class Y		41.74
S&P 500 Index Fund
Class F		88.08	%
Class E		9.12
Class I		56.65
Class Y		83.84
Small Cap Fund
Class F		98.09	%
Class Y		19.58
Small Cap Value Fund
Class F		87.30	%
Class I		17.21
Class Y		99.76
Small Cap Growth Fund
Class F		92.93	%
Class I		21.67
Class Y		99.59
Tax-Managed Small/Mid Cap Fund
Class F		94.05	%
Class Y		44.99
Mid-Cap Fund
Class F		83.38	%
Class I		0.00
Class Y		78.13
U.S. Managed Volatility Fund
Class F		80.57	%
Class I		0.00
Class Y		10.72
Global Managed Volatility Fund
Class F		87.98	%
Class I		6.18
Class Y		37.07
Tax-Managed Managed Volatility Fund
Class F		89.37	%
Class Y		88.80
Tax-Managed International Managed Volatility Fund
Class F		97.44	%
Class Y		64.98
Real Estate Fund
Class F		90.78	%
Class I		0.00
Class Y		45.56
Enhanced Income Fund
Class F		94.84	%
Class I		0.00
Class Y		99.73
Core Fixed Income Fund
Class F		80.57	%
Class I		44.16
Class Y		66.75


Fund	% held
U.S. Fixed Income Fund
Class F		80.50	%
Class Y		6.95
High Yield Bond Fund
Class F		95.25	%
Class I		0.00
Class Y		33.34
Conservative Income Fund
Class F		98.24	%
Class Y		8.14
Tax-Free Conservative Income Fund
Class F		99.27	%
Class Y		85.52
Real Return Fund
Class F		97.90	%
Class Y		18.46
Dynamic Asset Allocation Fund
Class F		96.49	%
Class Y		0.03
Multi-Strategy Alternative Fund
Class F		97.11	%
Class Y		38.73
Multi-Asset Accumulation Fund
Class F		98.21	%
Class Y		3.26
Multi-Asset Income Fund
Class F		94.19	%
Class Y		57.09
Multi-Asset Inflation Managed Fund
Class F		98.13	%
Class Y		13.10
Multi-Asset Capital Stability Fund
Class F		98.21	%
Class Y		3.15
Long/Short Alternative Fund
Class F		0.00	%
Class Y		0.00

SPTC is not a direct service provider to the SEI Funds. However, SPTC performs a role in the comprehensive investment solution that SEI provides to investors. SPTC holds shares in the Funds as custodian for shareholders that are clients of independent registered investment advisers, financial planners, bank trust departments and other financial advisers. SPTC maintains omnibus accounts at the Fund’s transfer agent.

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		80,667	$	843,072	$	—	$	(24,125	)

14. REGULATORY MATTERS

In October 30 2016, the Securities and Exchange Commission (the “SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments. Although still evaluating the impact of the Rule, management believes that many of the Regulation S-X amendments are consistent with the Portfolios’ current financial statement presentation and expects that the Funds will be able to comply with the Rule’s Regulation S-X amendments by the August 1, 2017 compliance date.

15. 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 March 31, 2017.

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 10/1/16		Ending Account Value 3/31/17		Annualized Expense Ratios			Expenses Paid During Period*
Large Cap Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,087.80		0.89	%	$	4.63
Class Y Shares		1,000.00		1,088.30		0.64			3.33
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,020.49		0.89	%	$	4.48
Class Y Shares		1,000.00		1,021.74		0.64			3.23
Large Cap Value Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,115.80		0.89	%	$	4.69
Class I Shares		1,000.00		1,114.10		1.11			5.85
Class Y Shares		1,000.00		1,116.70		0.64			3.38
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,020.49		0.89	%	$	4.48
Class I Shares		1,000.00		1,019.40		1.11			5.59
Class Y Shares		1,000.00		1,021.74		0.64			3.23


	Beginning Account Value 10/1/16		Ending Account Value 3/31/17		Annualized Expense Ratios			Expenses Paid During Period*
Large Cap Growth Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,051.90		0.89	%	$	4.55
Class I Shares		1,000.00		1,050.40		1.11			5.67
Class Y Shares		1,000.00		1,052.90		0.64			3.28
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,020.49		0.89	%	$	4.48
Class I Shares		1,000.00		1,019.40		1.11			5.59
Class Y Shares		1,000.00		1,021.74		0.64			3.23
Tax-Managed Large Cap Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,089.10		0.89	%	$	4.64
Class Y Shares		1,000.00		1,090.40		0.64			3.34
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,020.49		0.89	%	$	4.48
Class Y Shares		1,000.00		1,021.74		0.64			3.23


	Beginning Account Value 10/1/16		Ending Account Value 3/31/17		Annualized Expense Ratios			Expenses Paid During Period*
S&P 500 Index Fund
Actual Fund Return
Class E Shares	$	1,000.00	$	1,099.90		0.25	%	$	1.31
Class F Shares†		1,000.00		1,099.00		0.43			2.25
Class I Shares		1,000.00		1,097.80		0.65			3.40
Class Y Shares		1,000.00		1,100.00		0.25			1.31
Hypothetical 5% Return
Class E Shares	$	1,000.00	$	1,023.68		0.57	%	$	1.26
Class F Shares†		1,000.00		1,022.79		0.43			2.17
Class I Shares		1,000.00		1,021.69		0.65			3.28
Class Y Shares		1,000.00		1,023.68		0.25			1.26
Small Cap Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,087.70		1.14	%	$	5.93
Class Y Shares		1,000.00		1,088.30		0.89			4.63
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.25		1.14	%	$	5.74
Class Y Shares		1,000.00		1,020.49		0.89			4.48
Small Cap Value Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,106.30		1.14	%	$	5.99
Class I Shares		1,000.00		1,105.10		1.36			7.14
Class Y Shares		1,000.00		1,108.10		0.89			4.68
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.25		1.14	%	$	5.74
Class I Shares		1,000.00		1,018.15		1.36			6.84
Class Y Shares		1,000.00		1,020.49		0.89			4.48
Small Cap Growth Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,086.30		1.11	%	$	5.77
Class I Shares		1,000.00		1,084.80		1.36			7.07
Class Y Shares		1,000.00		1,087.50		0.86			4.48
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.40		1.11	%	$	5.59
Class I Shares		1,000.00		1,018.15		1.36			6.84
Class Y Shares		1,000.00		1,020.64		0.86			4.33
Tax-Managed Small/Mid Cap Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,094.30		1.11	%	$	5.80
Class Y Shares		1,000.00		1,095.40		0.89			4.65
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.40		1.11	%	$	5.59
Class Y Shares		1,000.00		1,020.49		0.89			4.48
Mid-Cap Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,105.30		0.98	%	$	5.14
Class I Shares		1,000.00		1,104.70		1.20			6.30
Class Y Shares		1,000.00		1,107.00		0.73			3.83
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,020.04		0.98	%	$	4.94
Class I Shares		1,000.00		1,018.95		1.20			6.04
Class Y Shares		1,000.00		1,021.29		0.73			3.68


	Beginning Account Value 10/1/16		Ending Account Value 3/31/17		Annualized Expense Ratios			Expenses Paid During Period*
U.S. Managed Volatility Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,078.00		1.00	%	$	5.18
Class I Shares		1,000.00		1,076.00		1.25			6.47
Class Y Shares		1,000.00		1,079.30		0.75			3.89
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.95		1.00	%	$	5.04
Class I Shares		1,000.00		1,018.70		1.25			6.29
Class Y Shares		1,000.00		1,021.19		0.75			3.78
Global Managed Volatility Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,050.30		1.11	%	$	5.67
Class I Shares		1,000.00		1,048.50		1.36			6.95
Class Y Shares		1,000.00		1,051.00		0.87			4.45
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.40		1.11	%	$	5.59
Class I Shares		1,000.00		1,018.15		1.36			6.84
Class Y Shares		1,000.00		1,020.59		0.87			4.38
Tax-Managed Managed Volatility Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,079.70		1.00	%	$	5.19
Class Y Shares		1,000.00		1,081.80		0.75			3.89
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.95		1.00	%	$	5.04
Class Y Shares		1,000.00		1,021.19		0.75			3.78
Real Estate Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	977.10		1.14	%	$	5.62
Class I Shares		1,000.00		975.80		1.36			6.70
Class Y Shares		1,000.00		977.80		0.89			4.39
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.25		1.14	%	$	5.74
Class I Shares		1,000.00		1,018.15		1.36			6.84
Class Y Shares		1,000.00		1,020.49		0.89			4.48
Enhanced Income Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,021.50		0.60	%	$	3.02
Class I Shares		1,000.00		1,021.40		0.85			4.28
Class Y Shares		1,000.00		1,023.70		0.46			2.32
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,021.94		0.60	%	$	3.02
Class I Shares		1,000.00		1,020.69		0.85			4.28
Class Y Shares		1,000.00		1,022.64		0.46			2.32
Core Fixed Income Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	983.50		0.67	%	$	3.31
Class I Shares		1,000.00		983.30		0.89			4.40
Class Y Shares		1,000.00		985.60		0.42			2.08
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,021.59		0.67	%	$	3.28
Class I Shares		1,000.00		1,020.49		0.89			4.48
Class Y Shares		1,000.00		1,022.84		0.42			2.12


	Beginning Account Value 10/1/16		Ending Account Value 3/31/17		Annualized Expense Ratios			Expenses Paid During Period*
U.S. Fixed Income Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	977.50		0.66	%	$	3.25
Class Y Shares		1,000.00		978.80		0.41			2.02
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,021.64		0.66	%	$	3.33
Class Y Shares		1,000.00		1,022.89		0.41			2.07
High Yield Bond Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,052.80		0.89	%	$	4.55
Class I Shares		1,000.00		1,052.50		1.11			5.68
Class Y Shares		1,000.00		1,054.10		0.64			3.28
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,020.49		0.89	%	$	4.48
Class I Shares		1,000.00		1,019.40		1.11			5.59
Class Y Shares		1,000.00		1,021.74		0.64			3.23
Conservative Income Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,003.20		0.30	%	$	1.50
Class Y Shares		1,000.00		1,003.70		0.20			1.00
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,023.44		0.30	%	$	1.51
Class Y Shares		1,000.00		1,023.93		0.20			1.01
Tax-Free Conservative Income Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,002.30		0.30	%	$	1.50
Class Y Shares		1,000.00		1,002.70		0.20			1.00
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,023.44		0.30	%	$	1.51
Class Y Shares		1,000.00		1,023.93		0.20			1.01
Real Return Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,003.00		0.45	%	$	2.25
Class Y Shares		1,000.00		1,002.90		0.35			1.75
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,022.69		0.45	%	$	2.27
Class Y Shares		1,000.00		1,023.19		0.35			1.77
Dynamic Asset Allocation Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,121.20		0.75	%	$	3.97
Class Y Shares		1,000.00		1,122.30		0.50			2.65
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,021.19		0.75	%	$	3.78
Class Y Shares		1,000.00		1,022.44		0.50			2.52


	Beginning Account Value 10/1/16		Ending Account Value 3/31/17		Annualized Expense Ratios			Expenses Paid During Period*
Multi-Strategy Alternative Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,020.40		1.66	%	$	8.36
Class Y Shares		1,000.00		1,021.00		1.41			7.10
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,016.65		1.66	%	$	8.35
Class Y Shares		1,000.00		1,017.90		1.41			7.09
Multi-Asset Accumulation Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,000.60		1.17	%	$	5.84
Class Y Shares		1,000.00		1,000.80		0.92			4.59
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.10		1.17	%	$	5.89
Class Y Shares		1,000.00		1,020.34		0.92			4.63
Multi-Asset Income Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,035.10		0.80	%	$	4.06
Class Y Shares		1,000.00		1,035.60		0.70			3.55
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,020.94		0.80	%	$	4.03
Class Y Shares		1,000.00		1,021.44		0.70			3.53
Multi-Asset Inflation Managed Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	988.50		1.24	%	$	6.15
Class Y Shares		1,000.00		989.00		0.99			4.91
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,018.75		1.24	%	$	6.24
Class Y Shares		1,000.00		1,020.00		0.99			4.99
Multi-Asset Capital Stability Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,002.90		0.62	%	$	3.10
Class Y Shares		1,000.00		1,003.90		0.52			2.60
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,021.84		0.62	%	$	3.13
Class Y Shares		1,000.00		1,022.34		0.52			2.62
Long/Short Alternative Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,065.40		1.15	%	$	5.92
Class Y Shares		1,000.00		1,067.30		0.90			4.64
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.20		1.15	%	$	5.79
Class Y Shares		1,000.00		1,020.44		0.90			4.53


	Beginning Account Value 10/17/16		Ending Account Value 3/31/17		Annualized Expense Ratios			Expenses Paid During Period
Tax-Managed International Managed Volatility Fund
Actual Fund Return
Class F Shares†	$	1,000.00	$	1,052.40		1.11	%	$	5.15	**
Class Y Shares		1,000.00		1,052.90		0.86			3.99	**
Hypothetical 5% Return
Class F Shares†	$	1,000.00	$	1,019.40		1.11	%	$	5.62	*
Class Y Shares		1,000.00		1,020.64		0.86			4.36	*

*	Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown).

**	Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 165/365 (to reflect the period since inception to period end).

†	See Note 1 in Notes to Financial Statements.

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements (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 27-29, 2017 meeting of the Board, the Trustees, including a majority of the Independent Trustees, approved the renewal of the Advisory Agreement. Also, certain Sub-Advisory Agreements were 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 5-7, 2016 and March 27-29, 2017. 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, volatility versus total return, net total return and performance consistency for the Funds (except when such metric was not available due to a limited operating history) 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, 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 Agreements (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.

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

Glenn Kurdziel

Assistant Controller

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 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 and Tax-Managed Managed Volatility 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, 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, Long/Short Alternative Fund, and Tax-Managed International Managed Volatility Fund is included as part of the report to shareholders filed under Item 1 of this form.


Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 94.3%

Consumer Discretionary — 12.4%
Amazon.com, Cl A*		28,263	$	25,056
Autozone*		10,618		7,677
Bed Bath & Beyond		47,030		1,856
Best Buy		109,720		5,393
Dick's Sporting Goods		66,856		3,253
Dollar General		308,946		21,543
Domino's Pizza		20,961		3,863
DR Horton		314,296		10,469
General Motors		484,804		17,143
Genuine Parts		35,896		3,317
Goodyear Tire & Rubber		129,313		4,655
Home Depot		99,393		14,594
Interpublic Group		281,531		6,917
Kohl's		56,065		2,232
L Brands		75,287		3,546
Lear		94,223		13,340
Liberty Global, Cl A*		24,310		872
Liberty Global, Cl C*		62,984		2,207
Liberty Interactive QVC Group, Cl A*		157,919		3,162
Lowe's		344,579		28,328
Macy's		102,099		3,026
NetFlix*		37,240		5,504
Nike, Cl B		387,182		21,578
Norwegian Cruise Line Holdings*		137,165		6,958
Omnicom Group		125,476		10,817
Priceline Group*		5,360		9,541
PulteGroup		254,920		6,003
Tiffany		55,336		5,274
TJX		307,346		24,305
Tractor Supply		83,090		5,731
TripAdvisor*		40,908		1,766
Tupperware Brands		41,393		2,596
Whirlpool		29,575		5,067
Wyndham Worldwide		19,404		1,636

				289,225


Consumer Staples — 7.9%
Altria Group		106,493		7,606
Archer-Daniels-Midland		121,309		5,585
Bunge (A)		100,130		7,936
Church & Dwight		56,652		2,825
Colgate-Palmolive		106,744		7,813
Constellation Brands, Cl A		54,334		8,806
CVS Health		385,359		30,251
Dr Pepper Snapple Group		77,063		7,546
Ingredion		61,033		7,350
JM Smucker		111,999		14,681
Kimberly-Clark		56,053		7,378
Kroger		463,813		13,678
PepsiCo		72,435		8,103
Philip Morris International		104,749		11,826


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Procter & Gamble		74,622	$	6,705
Reynolds American		157,383		9,918
SYSCO, Cl A		80,184		4,163
Tyson Foods, Cl A		116,375		7,182
Wal-Mart Stores		218,181		15,726

				185,078


Energy — 4.8%
Anadarko Petroleum, Cl A		66,201		4,104
Apache		53,684		2,759
BP ADR		257,477		8,888
Canadian Natural Resources		132,778		4,354
Chevron		117,817		12,650
Devon Energy		51,404		2,145
EOG Resources		23,097		2,253
Exxon Mobil		87,654		7,188
Helmerich & Payne (A)		28,915		1,925
Kinder Morgan		239,036		5,197
Marathon Petroleum		197,959		10,005
Occidental Petroleum		164,854		10,445
Oceaneering International, Cl A		242,325		6,562
Oneok		40,932		2,269
PBF Energy, Cl A		117,311		2,601
Pioneer Natural Resources		13,212		2,460
Royal Dutch Shell ADR, Cl A		161,764		8,530
Southwestern Energy*		396,548		3,240
Tesoro		29,203		2,367
Valero Energy		200,636		13,300

				113,242


Financials — 16.4%
Aflac		237,030		17,166
Allstate		207,732		16,928
Ally Financial		312,877		6,361
American Financial Group		38,398		3,664
American National Insurance		2,942		347
Ameriprise Financial (A)		48,122		6,240
Bank of America		839,072		19,794
Berkshire Hathaway, Cl B*		95,167		15,862
Blackstone Group (B)		84,851		2,520
Capital One Financial		150,463		13,039
Charles Schwab		55,562		2,268
Citigroup		427,385		25,566
Discover Financial Services		189,618		12,968
Everest Re Group		35,482		8,296
Factset Research Systems		45,158		7,447
Fifth Third Bancorp		393,526		9,996
Intercontinental Exchange		54,056		3,236
JPMorgan Chase		285,284		25,059
KeyCorp		246,744		4,387
KKR L.P. (B)		249,125		4,542
Lincoln National		96,459		6,313


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Marsh & McLennan		76,146	$	5,626
MetLife		229,417		12,118
Moody's		173,656		19,456
Morgan Stanley		299,934		12,849
MSCI, Cl A		112,215		10,906
Popular		66,179		2,695
Prudential Financial		74,414		7,939
Regions Financial		826,872		12,014
Starwood Property Trust‡		245,465		5,543
State Street		171,397		13,645
SunTrust Banks		247,259		13,673
Synchrony Financial		275,795		9,460
Travelers		137,264		16,546
Unum Group		52,631		2,468
US Bancorp		151,974		7,827
Voya Financial		248,276		9,425
Wells Fargo		182,549		10,161

				384,350


Health Care — 15.5%
Abbott Laboratories		220,301		9,784
AbbVie		35,825		2,334
Aetna, Cl A		91,205		11,633
Akorn*		102,825		2,476
Alexion Pharmaceuticals*		49,848		6,044
AmerisourceBergen, Cl A		69,932		6,189
Amgen, Cl A		86,920		14,261
Anthem		56,063		9,272
Becton Dickinson		224,138		41,116
Biogen*		98,305		26,878
Cardinal Health		43,556		3,552
Celgene, Cl A*		85,597		10,651
Centene*		87,379		6,227
DENTSPLY SIRONA		73,604		4,596
Gilead Sciences		219,826		14,931
HCA Holdings*		105,452		9,384
Johnson & Johnson		405,377		50,490
Merck		76,505		4,861
Mettler Toledo International*		47,126		22,569
Mylan*		70,227		2,738
Pfizer		417,434		14,280
Quest Diagnostics		35,560		3,492
Quintiles Transnational*		164,430		13,241
UnitedHealth Group		340,674		55,874
Varex Imaging*		16,011		538
Varian Medical Systems*		78,586		7,161
Zimmer Biomet Holdings		36,188		4,419
Zoetis, Cl A		80,124		4,276

				363,267


Industrials — 9.5%
3M		143,159		27,391


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Acuity Brands		20,225	$	4,126
AECOM* (A)		55,558		1,977
AerCap Holdings*		48,576		2,233
AGCO		46,758		2,814
Alaska Air Group		57,288		5,283
Boeing		26,350		4,660
Carlisle		24,430		2,600
Cummins		71,207		10,767
Delta Air Lines, Cl A		461,272		21,200
Eaton		126,648		9,391
Equifax		66,698		9,120
Fluor		105,956		5,575
Graco		150,604		14,178
Huntington Ingalls Industries, Cl A		44,525		8,916
Illinois Tool Works		55,579		7,363
L3 Technologies		32,390		5,354
ManpowerGroup		25,000		2,564
Middleby*		61,304		8,365
Nielsen Holdings		88,897		3,672
Norfolk Southern		40,873		4,577
Oshkosh Truck		36,834		2,526
Owens Corning		72,128		4,427
Republic Services		68,546		4,305
Roper Technologies		47,171		9,740
Spirit AeroSystems Holdings, Cl A		49,465		2,865
Stanley Black & Decker		74,633		9,917
TransDigm Group (A)		8,985		1,978
United Continental Holdings*		119,549		8,445
United Technologies		71,101		7,978
WW Grainger		31,893		7,423

				221,730


Information Technology — 18.7%
Activision Blizzard		57,959		2,890
Alphabet, Cl A*		33,402		28,318
Alphabet, Cl C*		11,792		9,782
Amdocs		107,826		6,576
Analog Devices		26,883		2,203
Apple		131,653		18,913
Applied Materials		511,790		19,909
Arrow Electronics, Cl A*		71,068		5,217
ASML Holding, Cl G		38,165		5,068
Automatic Data Processing		70,729		7,242
Broadcom, Cl A		20,439		4,475
CA		110,725		3,512
Cisco Systems		539,163		18,224
Cognizant Technology Solutions, Cl A*		183,544		10,925
Corning, Cl B		442,952		11,960
eBay*		132,817		4,459
Electronic Arts*		50,288		4,502
Facebook, Cl A*		113,750		16,158
Fiserv, Cl A*		48,772		5,624


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
FleetCor Technologies*		38,375	$	5,811
Global Payments		75,615		6,101
Hewlett Packard Enterprise		271,956		6,445
HP		746,230		13,343
Intel		514,638		18,563
International Business Machines		78,683		13,702
Intuit		123,143		14,283
IPG Photonics*		20,889		2,521
Jack Henry & Associates		37,926		3,531
Juniper Networks		95,031		2,645
Lam Research		27,475		3,527
MasterCard, Cl A		174,423		19,617
Microchip Technology (A)		100,271		7,398
Micron Technology*		143,693		4,153
Microsoft		563,040		37,082
Motorola Solutions		32,457		2,798
Oracle, Cl B		198,828		8,870
PayPal Holdings*		146,709		6,311
Qualcomm		253,021		14,508
Skyworks Solutions		59,263		5,807
Symantec, Cl A		180,344		5,533
Tencent Holdings ADR		75,270		2,172
Teradyne		92,896		2,889
Texas Instruments		114,594		9,232
Vantiv, Cl A*		90,598		5,809
Visa, Cl A		263,388		23,407
Vishay Intertechnology (A)		265,727		4,371

				436,386


Materials — 4.9%
Cabot		92,424		5,537
Cemex ADR*		499,915		4,534
Crown Holdings*		58,481		3,097
Eastman Chemical		193,748		15,655
Ecolab		97,045		12,164
Huntsman		215,630		5,292
International Paper		232,119		11,787
Louisiana-Pacific*		105,285		2,613
LyondellBasell Industries, Cl A		148,123		13,507
Nucor		34,441		2,057
Packaging Corp of America		12,827		1,175
Reliance Steel & Aluminum		85,247		6,821
Sherwin-Williams, Cl A		97,419		30,218

				114,457


Real Estate — 1.6%
Brandywine Realty Trust		176,483		2,864
CBRE Group, Cl A*		74,192		2,581
Crown Castle International		76,901		7,263
Equinix (A)		25,126		10,060
Hospitality Properties Trust		72,862		2,297
SBA Communications, Cl A*		68,548		8,251


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Two Harbors Investment‡		477,632	$	4,581

				37,897


Telecommunication Services — 0.9%
Verizon Communications		414,110		20,188


Utilities — 1.7%
Centerpoint Energy		138,630		3,822
Entergy		42,066		3,195
Exelon		315,546		11,354
FirstEnergy		284,624		9,057
Public Service Enterprise Group		292,589		12,976

				40,404

Total Common Stock (Cost $1,752,963) ($ Thousands)				2,206,224


AFFILIATED PARTNERSHIP — 0.4%
SEI Liquidity Fund, L.P.
0.870% **†(C)		10,441,084		10,441

Total Affiliated Partnership (Cost $10,431) ($ Thousands)				10,441


CASH EQUIVALENT — 5.7%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		133,918,973		133,919

Total Cash Equivalent (Cost $133,919) ($ Thousands)				133,919

Total Investments — 100.4% (Cost $1,897,313) ($ Thousands)			$	2,350,584

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
S&P 500 Index E-MINI		32		Jun-2017	$	33
S&P Mid Cap 400 Index E-MINI		2		Jun-2017		6

					$	39

Percentages are based on Net Assets of $2,340,557 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $10,190 ($ Thousands).

(B)

Security is a Master Limited Partnership. At March 31, 2017, such securities amounted to $7,062 ($ Thousands), or 0.3% of the net assets of the Fund (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 March 31, 2017 was $10,441 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

MSCI — Morgan Stanley Capital International

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of March 31, 2017, 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	$	2,206,224	$	—	$	—	$	2,206,224
Affiliated Partnership		—		10,441		—		10,441
Cash Equivalent		133,919		—		—		133,919

Total Investments in Securities	$	2,340,143	$	10,441	$	—	$	2,350,584


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	39	$	—	$	—	$	39

Total Other Financial Instruments	$	39	$	—	$	—	$	39

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 94.7%

Consumer Discretionary — 9.7%
Bed Bath & Beyond		31,118	$	1,228
Best Buy		106,629		5,241
Brinker International (A)		45,889		2,017
Comcast, Cl A		54,458		2,047
Dick's Sporting Goods		94,123		4,580
Dillard's, Cl A (A)		23,992		1,253
Dollar General		139,112		9,700
DR Horton		136,309		4,541
Ford Motor		109,652		1,276
General Motors		508,462		17,979
Goodyear Tire & Rubber		216,560		7,796
Kohl's (A)		70,940		2,824
Lear		44,114		6,246
Lowe's		153,153		12,591
Macy's		134,290		3,980
Norwegian Cruise Line Holdings*		224,074		11,367
Omnicom Group		161,348		13,910
PulteGroup		404,307		9,521
Staples		140,647		1,234
Target, Cl A		34,257		1,891
Tupperware Brands		28,790		1,806
Viacom, Cl B		39,882		1,859
Whirlpool		33,087		5,669
Wyndham Worldwide		45,103		3,802

				134,358


Consumer Staples — 8.3%
Archer-Daniels-Midland		57,847		2,663
Bunge		76,299		6,048
CVS Health		299,247		23,491
Ingredion		32,419		3,904
JM Smucker		132,332		17,346
Kimberly-Clark		10,021		1,319
Kroger		346,174		10,209
Philip Morris International		147,564		16,660
Pilgrim's Pride*		83,326		1,875
Procter & Gamble		60,927		5,474
Reynolds American		182,206		11,483
Tyson Foods, Cl A		106,209		6,554
Wal-Mart Stores		110,785		7,985

				115,011


Energy — 9.5%
Anadarko Petroleum, Cl A		64,258		3,984
Apache		54,557		2,804
BP ADR		378,113		13,052
Canadian Natural Resources		133,114		4,365
Chevron		164,816		17,696
Devon Energy		150,356		6,273
ExxonMobil		146,681		12,029
Helmerich & Payne (A)		48,801		3,249


Description	Shares		Market Value ($Thousands)
COMMON STOCK (continued)
Kinder Morgan		349,638	$	7,601
Marathon Petroleum		161,547		8,165
Occidental Petroleum		235,634		14,930
Oceaneering International, Cl A		133,495		3,615
PBF Energy, Cl A (A)		122,820		2,723
Phillips 66		93,780		7,429
Royal Dutch Shell ADR, Cl A		142,157		7,496
Southwestern Energy*		555,883		4,541
Tesoro		26,013		2,109
Valero Energy		148,387		9,837

				131,898


Financials — 22.8%
Aflac		210,468		15,242
Allstate		148,345		12,089
Ally Financial		407,613		8,287
American Financial Group		16,671		1,591
Ameriprise Financial		29,033		3,765
Assurant		19,613		1,876
Bank of America		1,414,804		33,375
Berkshire Hathaway, Cl B*		28,856		4,810
Blackstone Group (B)		86,876		2,580
Capital One Financial		87,452		7,579
Citigroup		469,349		28,076
Discover Financial Services		148,304		10,142
Everest Re Group		35,006		8,185
Fifth Third Bancorp		141,253		3,588
JPMorgan Chase		388,370		34,114
KeyCorp		251,226		4,467
KKR L.P. (B)		417,034		7,602
Marsh & McLennan		118,711		8,772
MetLife		339,161		17,914
Morgan Stanley		185,201		7,934
PNC Financial Services Group		44,784		5,385
Popular		128,422		5,231
Prudential Financial		42,930		4,580
Radian Group		76,815		1,380
Regions Financial		193,916		2,818
Reinsurance Group of America, Cl A		61,570		7,818
Santander Consumer USA Holdings*		99,331		1,323
Starwood Property Trust‡		48,514		1,095
State Street		216,328		17,222
SunTrust Banks		220,296		12,182
Synchrony Financial		284,307		9,752
Travelers		73,384		8,846
Unum Group		66,825		3,133
Voya Financial		345,475		13,114
Wells Fargo		23,952		1,333

				317,200


Health Care — 13.8%
Abbott Laboratories		259,647		11,531


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
AbbVie		89,562	$	5,836
Aetna, Cl A		91,657		11,691
Akorn*		179,734		4,328
AmerisourceBergen, Cl A		48,892		4,327
Amgen, Cl A		140,865		23,112
Anthem		82,914		13,712
Becton Dickinson		48,120		8,827
Biogen*		15,702		4,293
Celgene, Cl A*		13,281		1,653
Centene*		45,536		3,245
Cigna		10,243		1,500
Express Scripts Holding*		35,966		2,371
Gilead Sciences		57,679		3,918
HCA Holdings*		75,083		6,682
Horizon Pharma*		7,891		117
Johnson & Johnson		210,112		26,169
Laboratory Corp of America Holdings*		11,245		1,613
Mallinckrodt*		39,313		1,752
Merck		198,524		12,614
Mylan*		105,900		4,129
Pfizer		472,266		16,156
Quest Diagnostics		69,436		6,818
UnitedHealth Group		54,910		9,006
Zimmer Biomet Holdings		55,616		6,791

				192,191


Industrials — 9.0%
3M		40,100		7,672
AECOM*		60,284		2,146
AerCap Holdings*		110,756		5,091
AGCO		20,018		1,205
Alaska Air Group		26,336		2,429
American Airlines Group		103,155		4,363
Boeing		10,922		1,932
Carlisle		22,997		2,447
Chicago Bridge & Iron (A)		47,560		1,463
Delta Air Lines, Cl A		329,176		15,129
Eaton		141,548		10,496
FedEx		28,006		5,465
Fluor		127,511		6,710
Illinois Tool Works		87,772		11,627
L3 Technologies		8,567		1,416
ManpowerGroup		83,215		8,535
Oshkosh Truck		38,255		2,624
Owens Corning		54,642		3,353
Raytheon		21,683		3,307
Regal Beloit		3,980		301
RR Donnelley & Sons		26,621		322
Trinity Industries		92,465		2,455
United Continental Holdings*		132,334		9,348
USG* (A)		51,700		1,644
Waste Management		36,019		2,627


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
WW Grainger (A)		45,832	$	10,668

				124,775


Information Technology — 11.2%
Apple		61,389		8,819
Applied Materials		258,833		10,069
Arrow Electronics, Cl A*		31,969		2,347
Automatic Data Processing		118,314		12,114
CA		131,773		4,180
Cisco Systems		528,718		17,871
Corning, Cl B		74,909		2,022
Harris		30,285		3,370
Hewlett Packard Enterprise		658,594		15,609
HP		536,928		9,600
Intel		273,499		9,865
International Business Machines		34,836		6,066
IPG Photonics*		21,775		2,628
Lam Research		23,297		2,990
Microchip Technology (A)		141,564		10,445
Micron Technology*		235,803		6,815
Qualcomm		191,311		10,970
Skyworks Solutions		103,343		10,125
Tech Data*		17,949		1,685
Telefonaktiebolaget LM Ericsson ADR		234,928		1,560
Vishay Intertechnology (A)		172,629		2,840
Western Digital		20,767		1,714
Xerox		221,535		1,626

				155,330


Materials — 4.4%
Cabot		63,430		3,800
Cemex ADR*		720,884		6,538
Domtar		33,526		1,224
Dow Chemical, Cl A		22,618		1,437
Eastman Chemical		146,559		11,842
Huntsman		65,474		1,607
International Paper		264,266		13,420
Louisiana-Pacific*		57,932		1,438
LyondellBasell Industries, Cl A		106,570		9,718
Owens-Illinois*		77,722		1,584
Reliance Steel & Aluminum		91,842		7,349
Sonoco Products		28,379		1,502

				61,459


Real Estate — 1.4%
Brandywine Realty Trust‡		213,908		3,472
Hospitality Properties Trust‡		259,356		8,177
Howard Hughes*		26,236		3,076
Senior Housing Properties Trust‡		130,790		2,649
Two Harbors Investment‡		288,551		2,767

				20,141


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)

Telecommunication Services — 1.5%
AT&T		200,817	$	8,344
Verizon Communications		243,135		11,853

				20,197


Utilities — 3.1%
Calpine*		106,720		1,179
Entergy		112,699		8,561
Exelon		220,178		7,922
FirstEnergy		331,180		10,538
Public Service Enterprise Group		207,130		9,186
UGI		75,184		3,714
Vectren		25,472		1,493

				42,593

Total Common Stock (Cost $1,038,814) ($ Thousands)				1,315,153


AFFILIATED PARTNERSHIP — 2.1%
SEI Liquidity Fund, L.P.
0.870%**† (C)		28,891,414		28,890

Total Affiliated Partnership (Cost $28,891) ($ Thousands)				28,890


CASH EQUIVALENT — 5.5%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		76,059,351		76,059

Total Cash Equivalent (Cost $76,059) ($ Thousands)				76,059

Total Investments — 102.3% (Cost $1,143,764) ($ Thousands)			$	1,420,102

Percentages are based on Net Assets of $1,388,247 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (See Note 6).

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $28,205 ($ Thousands).

(B)

Security is a Master Limited Partnership. At March 31, 2017, such securities amounted to $10,182 ($ Thousands), or 0.7% of the net assets of the Fund (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 March 31, 2017 was $28,890 ($ Thousands).

ADR

— American Depositary Receipt

— Class

L.P.

— Limited Partnership

The following is a list of the level of inputs used as of March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,315,153	$	—	$	—	$	1,315,153
Affiliated Partnership		—		28,890		—		28,890
Cash Equivalent		76,059		—		—		76,059

Total Investments in Securities	$	1,391,212	$	28,890	$	—	$	1,420,102

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 97.5%

Consumer Discretionary — 17.7%
Amazon.com, Cl A*		46,452	$	41,182
Autozone*		16,845		12,180
Discovery Communications, Cl C*		65,613		1,857
Dollar General		138,505		9,658
Domino's Pizza		46,817		8,628
Home Depot		112,101		16,460
Interpublic Group		120,421		2,959
Lear		27,849		3,943
Liberty Global, Cl A*		33,849		1,214
Liberty Global, Cl C*		146,743		5,142
Liberty Interactive QVC Group, Cl A*		355,776		7,123
Lowe's		246,892		20,297
Mohawk Industries*		14,735		3,382
NetFlix*		94,764		14,007
Nike, Cl B		555,242		30,944
NVR*		809		1,704
Priceline Group*		10,811		19,243
Ross Stores		32,925		2,169
Tiffany (A)		66,625		6,349
TJX		311,851		24,661
Tractor Supply		164,061		11,315
TripAdvisor*		37,460		1,617
Ulta Salon Cosmetics & Fragrance*		14,505		4,137

				250,171


Consumer Staples — 4.7%
Colgate-Palmolive		209,349		15,322
Constellation Brands, Cl A		82,655		13,396
Ingredion		17,553		2,114
Kroger		46,824		1,381
PepsiCo		206,469		23,096
SYSCO, Cl A		26,613		1,382
Walgreens Boots Alliance		107,966		8,966

				65,657


Energy — 0.5%
EOG Resources		17,846		1,741
Oneok		26,630		1,476
Pioneer Natural Resources		17,744		3,305

				6,522


Financials — 10.7%
Affiliated Managers Group		28,612		4,691
Berkshire Hathaway, Cl B*		73,613		12,270
Charles Schwab		176,707		7,211
Citigroup		174,515		10,439
CME Group		37,162		4,415
Discover Financial Services		87,572		5,989
Factset Research Systems		60,726		10,014
First Republic Bank		64,244		6,027
Goldman Sachs Group		5,544		1,274


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Intercontinental Exchange		164,038	$	9,821
Moody’s		250,210		28,033
MSCI, Cl A		146,922		14,279
SunTrust Banks		74,417		4,115
US Bancorp		227,159		11,699
Wells Fargo		362,802		20,194

				150,471


Health Care — 17.4%
Alexion Pharmaceuticals*		106,365		12,896
Allergan		22,053		5,269
Anthem		16,922		2,799
Becton Dickinson		177,785		32,613
Biogen*		96,641		26,424
Boston Scientific*		228,385		5,680
Celgene, Cl A*		151,599		18,863
DENTSPLY SIRONA		85,768		5,355
Gilead Sciences		18,081		1,228
Humana		25,838		5,326
Johnson & Johnson		174,678		21,756
Mettler Toledo International*		49,199		23,562
Quintiles Transnational*		166,807		13,433
UnitedHealth Group		296,815		48,681
Varex Imaging*		106,670		3,584
Varian Medical Systems*		125,145		11,404
Zoetis, Cl A		119,202		6,362

				245,235


Industrials — 8.5%
3M		61,707		11,806
Acuity Brands		39,740		8,107
Boeing		25,893		4,579
Delta Air Lines, Cl A		184,768		8,492
Equifax		95,137		13,009
FedEx		7,220		1,409
Graco		189,591		17,848
Hubbell, Cl B		18,957		2,276
Ingersoll-Rand		78,490		6,383
Middleby*		70,127		9,569
Nielsen Holdings		243,373		10,054
Roper Technologies		45,945		9,487
TransDigm Group (A)		26,550		5,845
United Technologies		93,235		10,462

				119,326


Information Technology — 30.8%
Activision Blizzard		155,360		7,746
Adobe Systems*		37,625		4,896
Alphabet, Cl A*		45,781		38,813
Alphabet, Cl C*		20,792		17,248
Analog Devices		95,218		7,803
Apple		148,310		21,306


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Applied Materials		143,036	$	5,564
ASML Holding, Cl G		109,218		14,504
Autodesk, Cl A*		108,130		9,350
Broadcom, Cl A		45,135		9,883
Broadridge Financial Solutions		20,137		1,368
CDW		29,295		1,691
Cognizant Technology Solutions, Cl A*		196,853		11,717
eBay*		247,698		8,315
Electronic Arts*		159,649		14,292
F5 Networks, Cl A*		11,629		1,658
Facebook, Cl A*		197,066		27,993
Fiserv, Cl A*		28,506		3,287
FleetCor Technologies*		61,171		9,263
Global Payments		119,098		9,609
International Business Machines		8,344		1,453
Intuit		108,893		12,630
MasterCard, Cl A		313,933		35,308
Microsoft		784,564		51,671
NCR*		28,231		1,290
Oracle, Cl B		210,768		9,402
PayPal Holdings*		271,180		11,666
Qualcomm		175,349		10,055
salesforce.com*		16,689		1,377
Skyworks Solutions		17,217		1,687
Symantec, Cl A		294,115		9,023
Tencent Holdings ADR		334,018		9,640
Texas Instruments		67,037		5,401
Vantiv, Cl A*		212,581		13,631
Visa, Cl A		379,643		33,739

				434,279


Materials — 4.5%
Avery Dennison		35,506		2,862
Crown Holdings*		40,553		2,147
Ecolab		72,894		9,136
LyondellBasell Industries, Cl A		28,606		2,609
Monsanto		29,745		3,367
Praxair		101,704		12,062
Sherwin-Williams, Cl A		103,162		32,000

				64,183


Real Estate — 2.7%
Crown Castle International ‡		109,140		10,309
Equinix ‡		38,182		15,287
SBA Communications, Cl A*		100,376		12,082

				37,678

Total Common Stock (Cost $1,061,898) ($ Thousands)				1,373,522


Description	Shares		Market Value ($ Thousands)

AFFILIATED PARTNERSHIP — 0.6%
SEI Liquidity Fund, L.P.
0.870% **† (B)		8,772,972	$	8,772

Total Affiliated Partnership (Cost $8,773) ($ Thousands)				8,772


CASH EQUIVALENT — 2.6%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		36,133,195		36,133

Total Cash Equivalent (Cost $36,133) ($ Thousands)				36,133

Total Investments — 100.7% (Cost $1,106,804) ($ Thousands)			$	1,418,427

Percentages are based on Net Assets of $1,408,733 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (see Note 6).

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $8,598 ($ 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 March 31, 2017 was $8,772 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

MSCI — Morgan Stanley Capital International

The following is a list of the level of inputs used as of March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	1,373,522	$	—	$	—	$	1,373,522
Affiliated Partnership		—		8,772		—		8,772
Cash Equivalent		36,133		—		—		36,133

Total Investments in Securities	$	1,409,655	$	8,772	$	—	$	1,418,427

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 94.2%

Consumer Discretionary — 13.8%
Amazon.com, Cl A*		43,128	$	38,235
Autozone*		28,750		20,788
Best Buy		186,465		9,165
Charter Communications, Cl A*		20,643		6,757
Chipotle Mexican Grill, Cl A* (A)		2,662		1,186
Comcast, Cl A		162,942		6,125
Darden Restaurants		34,626		2,897
Delphi Automotive		79,958		6,436
Dollar General		450,186		31,391
Domino's Pizza		25,114		4,628
DR Horton		166,633		5,551
Ford Motor		514,755		5,992
GameStop, Cl A (A)		184,716		4,165
General Motors		419,724		14,841
Genuine Parts		6,976		645
Goodyear Tire & Rubber		74,673		2,688
Graham Holdings, Cl B		809		485
Harley-Davidson, Cl A		30,157		1,824
Home Depot		118,848		17,450
International Game Technology		79,819		1,892
Interpublic Group		55,709		1,369
Kohl's (A)		113,312		4,511
L Brands		67,326		3,171
Las Vegas Sands		22,879		1,306
Lear		115,549		16,359
Liberty Global, Cl C*		164,621		5,768
Liberty Interactive QVC Group, Cl A*		567,023		11,352
Lowe's		372,467		30,621
Macy's		146,900		4,354
Magna International, Cl A		129,268		5,579
Marriott International, Cl A		40,040		3,771
Murphy USA*		24,225		1,779
NetFlix*		65,622		9,700
Nike, Cl B		445,778		24,843
Norwegian Cruise Line Holdings*		314,071		15,933
Omnicom Group		160,380		13,826
Priceline Group*		7,673		13,658
PulteGroup		504,441		11,880
PVH		50,924		5,269
Ross Stores		84,479		5,565
Scripps Networks Interactive, Cl A		16,630		1,303
Staples		494,514		4,337
Starbucks		227,286		13,271
Target, Cl A		175,065		9,662
TEGNA		153,973		3,945
Tiffany (A)		137,796		13,132
Time Warner		41,985		4,102
TJX		282,625		22,350
Toll Brothers		94,549		3,414
TopBuild*		51,618		2,426
Toyota Motor ADR (A)		19,172		2,082


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Tupperware Brands		42,037	$	2,637
Walt Disney		54,000		6,123
Whirlpool		68,064		11,661
Wyndham Worldwide		15,527		1,309
Yum China Holdings*		41,762		1,136
Yum! Brands		9,997		639

				477,284


Consumer Staples — 8.2%
Altria Group		96,491		6,891
Anheuser-Busch InBev ADR		85,244		9,356
Archer-Daniels-Midland		148,154		6,821
Bunge		79,647		6,313
Church & Dwight		117,693		5,869
Coca-Cola		84,125		3,570
Colgate-Palmolive		148,229		10,849
ConAgra Foods		49,133		1,982
Constellation Brands, Cl A		35,130		5,694
Costco Wholesale		89,408		14,993
CVS Health		421,911		33,120
Dr Pepper Snapple Group		29,127		2,852
Hershey		26,294		2,873
Ingredion		22,400		2,698
JM Smucker		101,575		13,314
Kimberly-Clark		125,774		16,556
Kraft Heinz		13,143		1,194
Kroger		530,992		15,659
Lamb Weston Holdings		16,377		689
Mead Johnson Nutrition, Cl A		35,041		3,121
Mondelez International, Cl A		24,475		1,054
PepsiCo		146,390		16,375
Philip Morris International		209,277		23,627
Pilgrim's Pride		55,865		1,257
Procter & Gamble		170,180		15,291
Reynolds American		186,558		11,757
Tyson Foods, Cl A		281,181		17,352
Walgreens Boots Alliance		219,542		18,233
Wal-Mart Stores		222,560		16,042

				285,402


Energy — 5.0%
Anadarko Petroleum, Cl A		28,538		1,770
Apache		108,119		5,556
BP ADR		346,009		11,944
Canadian Natural Resources (A)		311,948		10,229
Chevron		213,036		22,874
Concho Resources*		34,048		4,370
Devon Energy		273,875		11,426
Exxon Mobil		164,776		13,513
Helmerich & Payne (A)		52,920		3,523
Hess		38,128		1,838
Kinder Morgan		241,974		5,261


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Marathon Oil		290,425	$	4,589
Marathon Petroleum		237,204		11,988
Occidental Petroleum		246,668		15,629
Oceaneering International, Cl A		205,920		5,576
PBF Energy, Cl A (A)		92,011		2,040
Phillips 66		113,325		8,978
Royal Dutch Shell ADR, Cl A		124,884		6,585
Southwestern Energy*		798,939		6,527
Teekay Shipping (A)		72,467		663
Tesoro		31,376		2,543
Valero Energy		211,817		14,041
Williams		51,872		1,535

				172,998


Financials — 15.9%
Aflac		125,014		9,054
Allstate		59,438		4,844
Ally Financial		249,836		5,079
American Financial Group		39,790		3,797
American International Group		109,104		6,811
Ameriprise Financial		82,444		10,691
Assurant		122,808		11,749
Bank of America		1,841,396		43,439
BB&T		41,703		1,864
Berkshire Hathaway, Cl B*		93,247		15,542
Blackstone Group (B)		44,695		1,327
Capital One Financial		113,167		9,807
CIT Group		106,074		4,554
Citigroup		379,987		22,731
CME Group		77,815		9,244
Cullen/Frost Bankers (A)		37,402		3,328
Discover Financial Services		241,586		16,522
Everest Re Group		57,218		13,378
Factset Research Systems		6,157		1,015
Fifth Third Bancorp		478,279		12,148
Goldman Sachs Group		21,644		4,972
Hartford Financial Services Group		101,910		4,899
Huntington Bancshares		321,477		4,305
Intercontinental Exchange		250,350		14,988
Invesco		126,803		3,884
JPMorgan Chase		549,498		48,268
KeyCorp		816,571		14,519
KKR L.P. (B)		266,561		4,859
Lincoln National		182,558		11,948
Marsh & McLennan		150,651		11,132
MetLife		256,088		13,527
Moody's		251,546		28,183
Morgan Stanley		311,935		13,363
MSCI, Cl A		104,533		10,160
PNC Financial Services Group		46,966		5,647
Popular		193,445		7,879
Principal Financial Group, Cl A		139,391		8,797


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Progressive		44,272	$	1,735
Prudential Financial		112,425		11,994
Regions Financial		507,300		7,371
Reinsurance Group of America, Cl A		61,098		7,758
Santander Consumer USA Holdings*		377,287		5,025
State Street		190,424		15,160
SunTrust Banks		142,000		7,853
Synchrony Financial		218,345		7,489
Travelers		120,419		14,515
Unum Group		155,168		7,276
US Bancorp		165,018		8,498
Validus Holdings		28,272		1,594
Voya Financial		322,590		12,246
Wells Fargo		427,725		23,807

				550,575


Health Care — 14.5%
Abbott Laboratories		148,672		6,603
AbbVie		92,048		5,998
Aetna, Cl A		56,625		7,223
Akorn* (A)		268,946		6,476
Alexion Pharmaceuticals*		56,108		6,803
Allergan		38,056		9,092
AmerisourceBergen, Cl A		110,450		9,775
Amgen, Cl A		167,917		27,550
Anthem		79,013		13,067
Baxter International		180,158		9,343
Becton Dickinson		192,791		35,366
Biogen*		118,701		32,455
Bioverativ*		62,303		3,393
C.R. Bard		30,808		7,657
Cardinal Health		72,515		5,914
Celgene, Cl A*		245,980		30,607
Centene*		83,877		5,977
Cigna		68,071		9,972
DENTSPLY SIRONA		30,779		1,922
Edwards Lifesciences, Cl A*		20,638		1,941
Express Scripts Holding*		24,616		1,622
Gilead Sciences		120,443		8,180
HCA Holdings*		109,165		9,715
Humana		44,504		9,174
Idexx Laboratories*		72,356		11,187
Intuitive Surgical*		2,806		2,151
Johnson & Johnson		452,116		56,311
Mallinckrodt*		95,129		4,240
McKesson		33,384		4,949
Medtronic		13,161		1,060
Merck		212,285		13,489
Mettler Toledo International*		32,499		15,564
Mylan*		81,948		3,195
Novo Nordisk ADR		152,089		5,214
Pfizer		706,138		24,157


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Quest Diagnostics		12,728	$	1,250
Quintiles Transnational*		46,115		3,714
United Therapeutics*		47,682		6,455
UnitedHealth Group		371,767		60,973
Universal Health Services, Cl B		17,712		2,204
Varex Imaging*		30,650		1,030
Varian Medical Systems*		40,000		3,645
Zimmer Biomet Holdings		106,165		12,964
Zoetis, Cl A		63,768		3,403

				502,980


Industrials — 9.7%
3M		165,685		31,701
Acuity Brands		8,099		1,652
AECOM*		38,691		1,377
AerCap Holdings*		175,578		8,071
AGCO		52,600		3,165
Alaska Air Group		108,695		10,024
American Airlines Group		152,350		6,444
C.H. Robinson Worldwide		31,918		2,467
Carlisle		21,498		2,288
Caterpillar, Cl A		47,565		4,412
Chicago Bridge & Iron (A)		84,825		2,608
Cummins		24,737		3,740
Deere		31,142		3,390
Delta Air Lines, Cl A		388,636		17,862
Eaton		101,803		7,549
Equifax		63,903		8,738
FedEx		20,626		4,025
General Electric		224,840		6,700
Graco		190,940		17,975
Huntington Ingalls Industries, Cl A		63,273		12,670
Illinois Tool Works		158,062		20,939
Kansas City Southern		32,542		2,791
Lockheed Martin		35,370		9,465
ManpowerGroup		22,232		2,280
Masco		39,457		1,341
Middleby* (A)		91,579		12,496
Nielsen Holdings		51,235		2,117
Norfolk Southern		64,160		7,184
Northrop Grumman		63,975		15,216
Oshkosh Truck		98,940		6,786
Owens Corning		28,000		1,718
Raytheon		120,803		18,422
Robert Half International		32,561		1,590
Roper Technologies		15,713		3,245
Southwest Airlines, Cl A		177,834		9,560
Spirit AeroSystems Holdings, Cl A		31,308		1,813
SPX*		169,689		4,115
Stanley Black & Decker		23,449		3,116
Terex		66,352		2,083
Textron		18,331		872


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Timken		45,000	$	2,034
Trinity Industries		90,264		2,397
United Continental Holdings*		191,798		13,549
United Rentals*		13,833		1,730
United Technologies		142,557		15,996
USG* (A)		79,806		2,538
Waste Management		18,232		1,330
WW Grainger (A)		45,248		10,532

				334,113


Information Technology — 18.3%
Activision Blizzard		181,346		9,042
Adobe Systems*		137,412		17,881
Alphabet, Cl A*		27,622		23,418
Alphabet, Cl C*		26,751		22,192
Amdocs		87,071		5,310
Apple		321,205		46,144
Applied Materials		507,844		19,755
ASML Holding, Cl G (A)		57,233		7,601
Automatic Data Processing		90,902		9,307
Avnet		21,978		1,006
Broadcom, Cl A		27,141		5,943
Brocade Communications Systems		225,017		2,808
CA		81,679		2,591
Cisco Systems		488,328		16,506
Citrix Systems*		44,716		3,729
Cognizant Technology Solutions, Cl A*		113,769		6,772
Corning, Cl B		234,159		6,322
DST Systems		11,635		1,425
eBay*		461,918		15,507
Electronic Arts*		137,324		12,293
Facebook, Cl A*		209,203		29,717
FleetCor Technologies*		20,805		3,151
Genpact		71,173		1,762
Harris		25,220		2,806
Hewlett Packard Enterprise		450,050		10,666
HP		688,450		12,309
Intel		570,596		20,581
International Business Machines		70,641		12,301
Intuit		156,005		18,095
Jabil Circuit		58,700		1,698
Juniper Networks		66,060		1,838
Keysight Technologies*		220,465		7,968
Lam Research		22,006		2,825
Marvell Technology Group		291,026		4,441
MasterCard, Cl A		372,740		41,922
Microchip Technology (A)		35,826		2,643
Micron Technology*		446,316		12,899
Microsoft		660,683		43,513
Oracle, Cl B		267,111		11,916
PayPal Holdings*		279,222		12,012
Qualcomm		308,957		17,716


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Red Hat*		16,812	$	1,454
salesforce.com*		15,984		1,319
Seagate Technology (A)		112,151		5,151
ServiceNow*		18,268		1,598
Skyworks Solutions		150,967		14,792
Symantec, Cl A		184,559		5,662
Tech Data*		22,300		2,094
Telefonaktiebolaget LM Ericsson ADR		905,989		6,016
Tencent Holdings ADR		375,591		10,840
Teradata*		50,205		1,562
Texas Instruments		211,061		17,003
VeriSign* (A)		91,384		7,960
Visa, Cl A		425,642		37,827
Vishay Intertechnology		88,686		1,459
Western Digital		72,366		5,972
Xerox		424,474		3,116
Yelp, Cl A*		51,177		1,676
Zynga, Cl A*		227,798		649

				634,481


Materials — 4.1%
Cabot		99,097		5,937
Celanese, Ser A		28,298		2,542
Cemex ADR*		949,795		8,615
Dow Chemical, Cl A		192,015		12,201
Eastman Chemical		109,370		8,837
Ecolab		48,941		6,134
Freeport-McMoRan, Cl B*		65,401		874
Huntsman		312,058		7,658
Ingevity*		14,131		860
International Paper		367,473		18,660
Louisiana-Pacific*		155,746		3,866
LyondellBasell Industries, Cl A		132,110		12,047
Mosaic		21,858		638
Nucor		46,516		2,778
Owens-Illinois*		225,590		4,597
Praxair		52,646		6,244
Reliance Steel & Aluminum		61,757		4,942
Sherwin-Williams, Cl A		90,944		28,210
Westlake Chemical		14,664		968
WestRock		84,787		4,411

				141,019


Real Estate — 1.7%
Brandywine Realty Trust‡		138,389		2,246
CBL & Associates Properties‡		206,920		1,974
CBRE Group, Cl A*		41,173		1,432
Colony NorthStar, Cl A		161,161		2,081
Crown Castle International‡		198,875		18,784
Equinix‡		41,936		16,790
Hospitality Properties Trust‡		97,540		3,075
Host Hotels & Resorts‡		141,505		2,641


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Outfront Media‡		92,212	$	2,448
Public Storage‡		4,106		899
SBA Communications, Cl A*		53,836		6,480
Simon Property Group‡		6,723		1,157

				60,007


Telecommunication Services — 1.0%
AT&T		348,990		14,500
China Mobile ADR		28,147		1,555
Verizon Communications		350,334		17,079

				33,134


Utilities — 2.0%
Ameren		113,300		6,185
American Electric Power		179,636		12,059
Calpine*		312,011		3,448
Centerpoint Energy		65,000		1,792
Consolidated Edison		24,376		1,893
Edison International		204,337		16,267
Entergy		36,104		2,742
Exelon		342,133		12,310
FirstEnergy		160,490		5,107
Public Service Enterprise Group		158,869		7,046

				68,849

Total Common Stock (Cost $1,925,155) ($ Thousands)				3,260,842


	Number of Rights

RIGHTS* — 0.0%
Safeway CVR - PDC‡‡		107,954		5

Safeway CVR - Casa Ley‡‡		107,954		110

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


	Shares

AFFILIATED PARTNERSHIP — 1.7%
SEI Liquidity Fund, L.P.
0.870%**† (C)		57,227,694		57,225

Total Affiliated Partnership (Cost $57,228) ($ Thousands)				57,225


Description	Shares		Market Value ($ Thousands)

CASH EQUIVALENT — 5.7%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		198,626,109	$	198,626

Total Cash Equivalent (Cost $198,626) ($ Thousands)				198,626

Total Investments — 101.6% (Cost $2,181,009) ($ Thousands)			$	3,516,808

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
S&P 500 Index E-MINI		62		Jun-2017	$	(7	)
S&P Mid Cap 400 Index E-MINI		4		Jun-2017		4

					$	(3	)

Percentages are based on Net Assets of $3,461,119 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (See Note 6).

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

(A)

This security or a partial position of this security is on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $55,808 ($ Thousands).

(B)

Security is a Master Limited Partnership. At March 31, 2017, such securities amounted to $6,186 ($ Thousands), or 0.2% of the net assets of the Fund (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 March 31, 2017 was $57,225 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

CVR — Contingent Value Rights

L.P. — Limited Partnership

MSCI — Morgan Stanley Capital International

S&P— Standard & Poor's

Ser — Series

The following is a list of the level of inputs used as of March 31, 2017, 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	$	3,260,842		$	—	$	—	$	3,260,842
Rights		—			115		—		115
Affiliated Partnership		—			57,225		—		57,225
Cash Equivalent		198,626			—		—		198,626

Total Investments in Securities	$	3,459,468		$	57,340	$	—	$	3,516,808


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	4		$	—	$	—	$	4
Unrealized Depreciation		(7	)		—		—		(7	)

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

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 97.7%

Consumer Discretionary — 12.3%
Advance Auto Parts		2,700	$	400
Amazon.com, Cl A*		14,549		12,898
Autonation*		2,226		94
Autozone*		1,094		791
Bed Bath & Beyond		5,333		210
Best Buy		10,054		494
BorgWarner		7,400		309
CarMax*		6,800		403
Carnival		15,284		900
CBS, Cl B		13,695		950
Charter Communications, Cl A*		7,900		2,586
Chipotle Mexican Grill, Cl A* (A)		1,104		492
Coach		10,319		426
Comcast, Cl A		173,396		6,518
Darden Restaurants		4,618		386
Delphi Automotive		9,900		797
Discovery Communications, Cl A*		5,600		163
Discovery Communications, Cl C*		7,700		218
DISH Network, Cl A*		8,300		527
Dollar General		9,300		648
Dollar Tree*		8,654		679
DR Horton		12,458		415
Expedia		4,455		562
Foot Locker, Cl A		5,000		374
Ford Motor		142,437		1,658
Gap		8,131		198
Garmin (A)		4,205		215
General Motors		49,913		1,765
Genuine Parts		5,436		502
Goodyear Tire & Rubber		9,593		345
H&R Block		7,613		177
Hanesbrands		13,600		282
Harley-Davidson, Cl A		6,508		394
Hasbro		4,096		409
Home Depot		44,645		6,555
Interpublic Group		14,601		359
Johnson Controls International		34,209		1,441
Kohl's		6,456		257
L Brands		8,827		416
Leggett & Platt		4,759		239
Lennar, Cl A		7,516		385
LKQ*		11,300		331
Lowe's		31,749		2,610
Macy's		11,264		334
Marriott International, Cl A		11,524		1,085
Mattel		12,531		321
McDonald's		30,017		3,891
Michael Kors Holdings*		5,900		225
Mohawk Industries*		2,300		528
NetFlix*		15,800		2,335
Newell Brands, Cl B		17,655		833


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
News, Cl A		13,975	$	182
News, Cl B		4,000		54
Nike, Cl B		48,594		2,708
Nordstrom		4,007		187
Omnicom Group		8,604		742
O'Reilly Automotive*		3,400		917
Priceline Group*		1,806		3,215
PulteGroup		10,599		250
PVH		2,900		300
Ralph Lauren, Cl A		2,005		164
Ross Stores		14,536		957
Royal Caribbean Cruises		6,100		598
Scripps Networks Interactive, Cl A		3,500		274
Signet Jewelers		2,500		173
Staples		23,836		209
Starbucks		53,434		3,120
Target, Cl A		20,528		1,133
TEGNA		7,947		204
Tiffany		3,878		370
Time Warner		28,325		2,768
TJX		23,843		1,886
Tractor Supply		4,700		324
TripAdvisor*		3,955		171
Twenty-First Century Fox, Cl A		38,659		1,252
Twenty-First Century Fox, Cl B		17,800		566
Ulta Salon Cosmetics & Fragrance*		2,100		599
Under Armour, Cl A* (A)		6,405		127
Under Armour, Cl C*		6,449		118
VF		12,165		669
Viacom, Cl B		12,801		597
Walt Disney		53,253		6,038
Whirlpool		2,705		463
Wyndham Worldwide		3,902		329
Wynn Resorts (A)		2,900		332
Yum! Brands		12,270		784

				93,110


Consumer Staples — 9.1%
Altria Group		71,073		5,076
Archer-Daniels-Midland		21,075		970
Brown-Forman, Cl B		6,492		300
Campbell Soup		7,084		406
Church & Dwight		9,200		459
Clorox		4,742		639
Coca-Cola		141,549		6,007
Colgate-Palmolive		32,395		2,371
ConAgra Foods		15,265		616
Constellation Brands, Cl A		6,300		1,021
Costco Wholesale		16,118		2,703
Coty, Cl A		17,314		314
CVS Health		37,552		2,948
Dr Pepper Snapple Group		6,700		656


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Estee Lauder, Cl A		8,100	$	687
General Mills		21,286		1,256
Hershey		5,112		559
Hormel Foods		9,908		343
JM Smucker		4,253		557
Kellogg		9,267		673
Kimberly-Clark		13,103		1,725
Kraft Heinz		21,808		1,980
Kroger		33,636		992
McCormick		4,166		406
Mead Johnson Nutrition, Cl A		6,634		591
Molson Coors Brewing, Cl B		6,751		646
Mondelez International, Cl A		55,920		2,409
Monster Beverage*		14,854		686
PepsiCo		52,215		5,841
Philip Morris International		56,787		6,411
Procter & Gamble		93,608		8,411
Reynolds American		30,342		1,912
Sysco, Cl A		18,420		956
Tyson Foods, Cl A		10,603		654
Walgreens Boots Alliance		31,257		2,596
Wal-Mart Stores		55,161		3,976
Whole Foods Market		11,709		348

				69,101


Energy — 6.4%
Anadarko Petroleum, Cl A		20,385		1,264
Apache		13,900		714
Baker Hughes		15,449		924
Cabot Oil & Gas		17,113		409
Chesapeake Energy* (A)		28,422		169
Chevron		69,323		7,443
Cimarex Energy		3,504		419
Concho Resources*		5,400		693
ConocoPhillips		45,260		2,257
Devon Energy		19,113		798
EOG Resources		21,097		2,058
EQT		6,405		391
Exxon Mobil		151,946		12,461
Halliburton		31,742		1,562
Helmerich & Payne (A)		3,905		260
Hess		9,875		476
Kinder Morgan		70,082		1,524
Marathon Oil		31,056		491
Marathon Petroleum		19,264		974
Murphy Oil		5,672		162
National Oilwell Varco, Cl A		13,868		556
Newfield Exploration*		7,400		273
Noble Energy		16,000		550
Occidental Petroleum		27,964		1,772
Oneok		7,709		427
Phillips 66		16,175		1,281


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Pioneer Natural Resources		6,204	$	1,155
Range Resources		7,000		204
Schlumberger, Cl A		51,000		3,983
Southwestern Energy*		17,300		141
TechnipFMC*		17,200		559
Tesoro		4,300		349
Transocean*		14,300		178
Valero Energy		16,508		1,094
Williams		30,269		896

				48,867


Financials — 14.0%
Affiliated Managers Group		2,100		344
Aflac		14,617		1,059
Allstate		13,459		1,097
American Express		27,728		2,194
American International Group		34,030		2,125
Ameriprise Financial		5,584		724
Aon		9,629		1,143
Arthur J. Gallagher		6,600		373
Assurant		2,005		192
Bank of America		367,245		8,663
Bank of New York Mellon		37,999		1,795
BB&T		29,606		1,323
Berkshire Hathaway, Cl B*		69,617		11,604
BlackRock		4,461		1,711
Capital One Financial		17,566		1,522
CBOE Holdings		3,400		276
Charles Schwab		44,436		1,813
Chubb		17,034		2,321
Cincinnati Financial		5,383		389
Citigroup		101,451		6,069
Citizens Financial Group		18,700		646
CME Group		12,440		1,478
Comerica		6,492		445
Discover Financial Services		14,030		960
ETrade Financial		10,052		351
Fifth Third Bancorp		27,611		701
Franklin Resources		12,650		533
Goldman Sachs Group		13,565		3,116
Hartford Financial Services Group		13,786		663
Huntington Bancshares		39,714		532
Intercontinental Exchange		21,805		1,305
Invesco		15,000		459
JPMorgan Chase		130,900		11,498
KeyCorp		39,583		704
Leucadia National		11,913		310
Lincoln National		8,398		550
Loews		10,162		475
M&T Bank		5,625		870
Marsh & McLennan		18,859		1,393
MetLife		39,839		2,104


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Moody's		6,108	$	684
Morgan Stanley		52,661		2,256
Nasdaq, Cl A		4,200		292
Navient		10,343		153
Northern Trust		7,809		676
People's United Financial		12,600		229
PNC Financial Services Group		17,784		2,138
Principal Financial Group, Cl A		9,857		622
Progressive		21,185		830
Prudential Financial		15,766		1,682
Raymond James Financial		4,700		358
Regions Financial		45,063		655
S&P Global		9,421		1,232
State Street		13,291		1,058
SunTrust Banks		17,896		990
Synchrony Financial		28,663		983
T. Rowe Price Group		8,908		607
Torchmark, Cl A		4,039		311
Travelers		10,356		1,248
Unum Group		8,261		387
US Bancorp		58,323		3,004
Wells Fargo		164,915		9,179
Willis Towers Watson		4,721		618
XL Group		9,905		395
Zions Bancorporation		7,260		305

				106,722


Health Care — 13.3%
Abbott Laboratories		63,219		2,808
AbbVie		58,368		3,803
Aetna, Cl A		12,907		1,646
Agilent Technologies		11,915		630
Alexion Pharmaceuticals*		8,200		994
Allergan		12,253		2,927
AmerisourceBergen, Cl A		6,096		539
Amgen, Cl A		26,929		4,418
Anthem		9,702		1,604
Baxter International		17,935		930
Becton Dickinson		7,758		1,423
Biogen*		7,900		2,160
Boston Scientific*		49,712		1,236
Bristol-Myers Squibb		61,292		3,333
C.R. Bard		2,688		668
Cardinal Health		11,659		951
Celgene, Cl A*		28,505		3,547
Centene*		6,300		449
Cerner*		10,700		630
Cigna		9,371		1,373
Cooper, Cl A		1,800		360
DaVita HealthCare Partners*		5,805		395
DENTSPLY SIRONA		8,509		531
Edwards Lifesciences, Cl A*		7,800		734


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Eli Lilly		35,539	$	2,989
Envision Healthcare*		4,368		268
Express Scripts Holding*		22,170		1,461
Gilead Sciences		47,766		3,244
HCA Holdings*		10,705		953
Henry Schein*		2,900		493
Hologic*		10,200		434
Humana		5,501		1,134
Idexx Laboratories*		3,200		495
Illumina*		5,400		921
Incyte*		6,400		855
Intuitive Surgical*		1,320		1,012
Johnson & Johnson		99,354		12,375
Laboratory Corp of America Holdings*		3,763		540
Mallinckrodt*		3,704		165
McKesson		7,769		1,152
Medtronic		50,072		4,034
Merck		100,574		6,390
Mettler Toledo International*		1,000		479
Mylan*		16,815		656
Patterson (A)		2,900		131
PerkinElmer		4,040		235
Perrigo		5,304		352
Pfizer		218,056		7,460
Quest Diagnostics		5,124		503
Regeneron Pharmaceuticals*		2,800		1,085
Stryker		11,346		1,494
Thermo Fisher Scientific		14,252		2,189
UnitedHealth Group		35,228		5,778
Universal Health Services, Cl B		3,300		411
Varian Medical Systems*		3,405		310
Vertex Pharmaceuticals*		9,100		995
Waters*		2,897		453
Zimmer Biomet Holdings		7,360		899
Zoetis, Cl A		18,046		963

				101,397


Industrials — 9.9%
3M		21,801		4,171
Acuity Brands		1,600		326
Alaska Air Group		4,500		415
Allegion		3,470		263
American Airlines Group		18,309		774
Ametek		8,500		460
Arconic		16,078		424
Boeing		20,841		3,686
C.H. Robinson Worldwide		5,105		395
Caterpillar, Cl A		21,506		1,995
Cintas		3,112		394
CSX		34,172		1,591
Cummins		5,644		853
Danaher, Cl A		22,396		1,916


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Deere		10,706	$	1,165
Delta Air Lines, Cl A		26,913		1,237
Dover		5,737		461
Dun & Bradstreet		1,305		141
Eaton		16,515		1,225
Emerson Electric		23,515		1,408
Equifax		4,430		606
Expeditors International of Washington		6,609		373
Fastenal, Cl A		10,609		546
FedEx		9,005		1,757
Flowserve		4,800		232
Fluor		5,144		271
Fortive		11,048		665
Fortune Brands Home & Security		5,500		335
General Dynamics		10,430		1,953
General Electric		319,609		9,524
Honeywell International		27,851		3,478
Illinois Tool Works		11,429		1,514
Ingersoll-Rand		9,504		773
Jacobs Engineering Group		4,404		243
JB Hunt Transport Services		3,100		284
Kansas City Southern		3,900		334
L3 Technologies		2,823		467
Lockheed Martin		9,136		2,445
Masco		12,068		410
Nielsen Holdings		12,300		508
Norfolk Southern		10,630		1,190
Northrop Grumman		6,423		1,528
PACCAR		12,791		860
Parker-Hannifin, Cl A		4,871		781
Pentair		6,166		387
Quanta Services*		5,400		200
Raytheon		10,773		1,643
Republic Services		8,483		533
Robert Half International		4,532		221
Rockwell Automation		4,730		737
Rockwell Collins		4,778		464
Roper Technologies		3,700		764
Ryder System		1,859		140
Snap-on		2,153		363
Southwest Airlines, Cl A		22,462		1,208
Stanley Black & Decker		5,540		736
Stericycle, Cl A*		3,104		257
Textron		9,907		471
TransDigm Group (A)		1,800		396
Union Pacific		29,793		3,156
United Continental Holdings*		10,600		749
United Parcel Service, Cl B		25,224		2,707
United Rentals*		3,100		388
United Technologies		27,476		3,083
Verisk Analytics, Cl A*		5,600		454
Waste Management		14,828		1,081


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
WW Grainger		1,965	$	457
Xylem		6,600		331

				75,303


Information Technology — 21.6%
Accenture, Cl A		22,804		2,734
Activision Blizzard		25,300		1,261
Adobe Systems*		18,141		2,361
Advanced Micro Devices*		28,200		410
Akamai Technologies*		6,304		376
Alliance Data Systems		2,100		523
Alphabet, Cl A*		10,846		9,195
Alphabet, Cl C*		10,870		9,017
Amphenol, Cl A		11,309		805
Analog Devices		13,271		1,088
Apple		192,182		27,609
Applied Materials		39,450		1,535
Autodesk, Cl A*		7,217		624
Automatic Data Processing		16,459		1,685
Broadcom, Cl A		14,646		3,207
CA		11,440		363
Cisco Systems		183,461		6,201
Citrix Systems*		5,742		479
Cognizant Technology Solutions, Cl A*		22,205		1,322
Corning, Cl B		33,808		913
CSRA		5,138		150
eBay*		37,049		1,244
Electronic Arts*		11,278		1,010
F5 Networks, Cl A*		2,400		342
Facebook, Cl A*		86,309		12,260
Fidelity National Information Services, Cl B		11,965		953
Fiserv, Cl A*		7,960		918
Flir Systems		4,800		174
Global Payments		5,600		452
Harris		4,600		512
Hewlett Packard Enterprise		60,891		1,443
HP		62,491		1,117
Intel		173,163		6,246
International Business Machines		31,433		5,474
Intuit		8,886		1,031
Juniper Networks		14,000		390
KLA-Tencor		5,771		549
Lam Research		5,922		760
MasterCard, Cl A		34,517		3,882
Microchip Technology (A)		7,904		583
Micron Technology*		37,769		1,092
Microsoft		283,089		18,644
Motorola Solutions		6,089		525
NetApp		10,085		422
Nvidia		21,565		2,349
Oracle, Cl B		109,823		4,899
Paychex		11,769		693


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
PayPal Holdings*		41,149	$	1,770
Qorvo*		4,600		315
Qualcomm		54,154		3,105
Red Hat*		6,600		571
salesforce.com*		23,909		1,972
Seagate Technology (A)		10,800		496
Skyworks Solutions		6,804		667
Symantec, Cl A		22,847		701
Synopsys*		5,500		397
TE Connectivity		13,009		970
Teradata*		4,568		142
Texas Instruments		36,666		2,954
Total System Services		6,089		325
VeriSign*		3,200		279
Visa, Cl A		68,018		6,045
Western Digital		10,474		864
Western Union		17,834		363
Xerox		30,306		222
Xilinx		9,209		533
Yahoo!*		32,047		1,487

				164,000


Materials — 2.8%
Air Products & Chemicals		7,926		1,072
Albemarle		4,100		433
Avery Dennison		3,315		267
Ball		6,386		474
CF Industries Holdings		8,550		251
Dow Chemical, Cl A		40,892		2,598
E.I. Du Pont de Nemours		31,748		2,550
Eastman Chemical		5,420		438
Ecolab		9,634		1,208
FMC		4,800		334
Freeport-McMoRan, Cl B*		48,536		648
International Flavors & Fragrances		2,894		384
International Paper		15,074		765
LyondellBasell Industries, Cl A		12,204		1,113
Martin Marietta Materials, Cl A		2,300		502
Monsanto		16,057		1,818
Mosaic		12,809		374
Newmont Mining		19,425		640
Nucor		11,695		698
PPG Industries		9,390		987
Praxair		10,399		1,233
Sealed Air		7,128		311
Sherwin-Williams, Cl A		3,016		936
Vulcan Materials		4,849		584
WestRock		9,184		478

				21,096


Real Estate — 2.9%
Alexandria Real Estate Equities‡		3,200		354


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
American Tower, Cl A‡		15,600	$	1,896
Apartment Investment & Management, Cl A‡		5,839		259
AvalonBay Communities‡		5,008		920
Boston Properties‡		5,600		742
CBRE Group, Cl A*		11,109		387
Crown Castle International‡		13,204		1,247
Digital Realty Trust, Cl A‡		5,800		617
Equinix‡		2,856		1,143
Equity Residential‡		13,344		830
Essex Property Trust‡		2,400		556
Extra Space Storage‡		4,600		342
Federal Realty Investment Trust‡		2,600		347
GGP		21,400		496
HCP‡		17,100		535
Host Hotels & Resorts‡		27,074		505
Iron Mountain‡		8,938		319
Kimco Realty‡		15,613		345
Macerich‡		4,504		290
Mid-America Apartment Communities‡		4,200		427
ProLogis‡		19,300		1,001
Public Storage‡		5,433		1,189
Realty Income‡		10,000		595
Regency Centers‡		5,399		358
Simon Property Group‡		11,706		2,014
SL Green Realty‡		3,700		395
UDR‡		9,800		355
Ventas‡		12,932		841
Vornado Realty Trust‡		6,277		630
Welltower‡		13,300		942
Weyerhaeuser‡		27,361		930

				21,807


Telecommunication Services — 2.3%
AT&T		224,959		9,347
CenturyTel (A)		20,070		473
Level 3 Communications*		10,700		613
Verizon Communications		149,296		7,278

				17,711


Utilities — 3.1%
AES		24,390		273
Alliant Energy		8,400		333
Ameren		8,853		483
American Electric Power		17,915		1,203
American Water Works		6,500		505
Centerpoint Energy		15,885		438
CMS Energy		10,301		461
Consolidated Edison		11,133		865
Dominion Resources		23,040		1,787
DTE Energy		6,545		668
Duke Energy		25,616		2,101
Edison International		11,957		952


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Entergy		6,564	$	499
Eversource Energy		11,635		684
Exelon		33,755		1,214
FirstEnergy		16,223		516
NextEra Energy		17,120		2,198
NiSource		11,892		283
NRG Energy		11,613		217
PG&E		18,529		1,229
Pinnacle West Capital		4,049		338
PPL		24,871		930
Public Service Enterprise Group		18,530		822
SCANA		5,204		340
Sempra Energy		9,170		1,013
Southern		36,235		1,804
WEC Energy Group		11,519		698
Xcel Energy		18,536		824

				23,678

Total Common Stock (Cost $364,200) ($ Thousands)				742,792


	Face Amount (Thousands)

U.S. TREASURY OBLIGATIONS — 0.1%
U.S. Treasury Bills
0.690%, 08/03/2017 (B)(C)	$	527		525
0.613%, 06/08/2017 (B)(C)		280		280

Total U.S. Treasury Obligations (Cost $806) ($ Thousands)				805


	Shares

AFFILIATED PARTNERSHIP — 0.5%
SEI Liquidity Fund, L.P.
0.870%**† (D)		3,491,979		3,492

Total Affiliated Partnership (Cost $3,492) ($ Thousands)				3,492


CASH EQUIVALENT — 2.3%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		17,403,458		17,403

Total Cash Equivalent (Cost $17,403) ($ Thousands)				17,403

Total Investments — 100.6% (Cost $385,901) ($ Thousands)			$	764,492

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		143		Jun-2017	$	(46	)

For the period ended March 31, 2017, 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 Net Assets of $760,194 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡

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 March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $3,412 ($ Thousands).

(B)

Security, or portion thereof, has been pledged as collateral on open futures contracts. (C) The rate reported is the effective yield at the 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 March 31, 2017 was $3,492 ($ 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 March 31, 2017, 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	$	742,792		$	—	$	—	$	742,792
U.S. Treasury Obligations		—			805		—		805
Affiliated Partnership		—			3,492		—		3,492
Cash Equivalent		17,403			—		—		17,403

Total Investments in Securities	$	760,195		$	4,297	$	—	$	764,492


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *
Unrealized Depreciation	$	(46	)	$	—	$	—	$	(46	)

Total Other Financial Instruments	$	(46	)	$	—	$	—	$	(46	)

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 93.5%

Consumer Discretionary — 11.5%
Advance Auto Parts		9,311	$	1,380
AMC Entertainment Holdings, Cl A		40,000		1,258
American Axle & Manufacturing Holdings*		28,258		531
Big Lots (A)		64,248		3,128
Bloomin' Brands		40,646		802
Boyd Gaming*		47,113		1,037
Buffalo Wild Wings*		8,721		1,332
Century Communities*		57,721		1,466
Cheesecake Factory		38,853		2,462
Cooper Tire & Rubber (A)		24,846		1,102
Cooper-Standard Holdings*		6,299		699
Core-Mark Holding, Cl A		67,106		2,093
Cracker Barrel Old Country Store (A)		1,589		253
CROCS*		51,875		367
Dana		51,762		999
Dave & Buster's Entertainment*		8,836		540
Del Taco Restaurants*		49,057		650
Destination XL Group*		11,737		33
DeVry (A)		27,140		962
Express*		221,678		2,019
Fiesta Restaurant Group*		89,992		2,178
Fossil Group* (A)		16,319		285
Gannett		72,253		605
Gentherm*		18,384		722
Group 1 Automotive		8,000		593
Horizon Global*		29,133		404
Installed Building Products*		11,840		625
Jack in the Box		40,318		4,101
LCI Industries		16,308		1,628
Libbey		101,173		1,475
LKQ*		67,814		1,985
Lumber Liquidators Holdings* (A)		48,134		1,010
Marriott Vacations Worldwide (A)		16,291		1,628
MDC Partners, Cl A		149,944		1,409
Monro Muffler		52,710		2,746
NACCO Industries, Cl A		153		11
Nexstar Broadcasting Group, Cl A		24,663		1,730
Nutrisystem		10,129		562
Office Depot		158,157		738
Oxford Industries, Cl A		8,917		511
Party City Holdco* (A)		63,842		897
Planet Fitness, Cl A		26,834		517
Polaris Industries (A)		9,726		815
Pool		25,091		2,994
Sequential Brands Group* (A)		104,870		408
Shoe Carnival		19,079		469
Shutterfly*		15,757		761
Signet Jewelers		7,798		540
Six Flags Entertainment		25,778		1,533
Skechers U.S.A., Cl A*		27,273		749
Superior Industries International		21,373		542


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Tenneco		9,985	$	623
Tower International		23,358		633
Tractor Supply		18,599		1,283
Vail Resorts		11,192		2,148
Visteon*		15,475		1,516
William Lyon Homes, Cl A* (A)		137,388		2,833
Wolverine World Wide (A)		35,286		881

				68,201


Consumer Staples — 3.2%
Andersons		17,988		682
B&G Foods, Cl A (A)		21,774		876
Central Garden & Pet, Cl A*		39,454		1,370
Dean Foods (A)		31,055		611
Fresh Del Monte Produce		14,192		841
Freshpet* (A)		58,030		638
Hain Celestial Group*		26,249		976
Hostess Brands*		216,121		3,430
Landec*		70,766		849
Omega Protein		39,589		794
Performance Food Group*		45,286		1,078
Sanderson Farms (A)		11,435		1,187
Snyder's-Lance (A)		113,955		4,594
SpartanNash		16,889		591
SUPERVALU*		114,535		442

				18,959


Energy — 4.3%
Ardmore Shipping (A)		71,555		576
Atwood Oceanics, Cl A*		41,944		400
Bill Barrett*		83,827		381
Callon Petroleum*		57,835		761
Carrizo Oil & Gas*		36,360		1,042
DHT Holdings		111,178		497
Dril-Quip* (A)		7,838		428
Eclipse Resources*		176,317		448
Ensco, Cl A		98,958		886
Exterran*		17,669		556
Extraction Oil & Gas* (A)		27,663		513
Forum Energy Technologies*		28,781		596
Gulfport Energy*		184,651		3,174
Marquee Energy*		184,500		15
Matrix Service*		45,017		743
McDermott International*		68,963		465
Murphy Oil		19,784		566
Oasis Petroleum*		39,881		569
Oil States International*		39,721		1,317
Pacific Ethanol*		82,374		564
Parsley Energy, Cl A*		14,222		462
Patterson-UTI Energy (A)		35,463		861
PBF Energy, Cl A (A)		106,517		2,361
RSP Permian*		13,035		540


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Sanchez Energy* (A)		6,484	$	62
Scorpio Tankers (A)		250,036		1,110
Seadrill* (A)		178,967		295
Southwestern Energy*		227,466		1,858
StealthGas*		99,434		397
TETRA Technologies*		265,190		1,079
Tidewater, Cl A* (A)		285,070		328
Westmoreland Coal*		37,937		551
Whiting Petroleum*		111,645		1,056

				25,457


Financials — 16.5%
American Equity Investment Life Holding		144,883		3,424
Ameris Bancorp		12,161		561
Argo Group International Holdings		38,471		2,608
Assured Guaranty		26,511		984
Axis Capital Holdings		14,697		985
Bancorp*		117,391		599
Bank of the Ozarks (A)		56,901		2,959
BofI Holding* (A)		31,166		814
Capitol Federal Financial		156,481		2,289
Caretrust ‡		53,320		897
Central Pacific Financial		101,535		3,101
Chemical Financial (A)		42,356		2,166
CNO Financial Group		109,331		2,241
Customers Bancorp*		77,198		2,434
Employers Holdings		26,238		996
Evercore Partners, Cl A		12,302		958
Everest Re Group		7,970		1,863
FBR		74,075		1,337
Federal Agricultural Mortgage, Cl C		10,532		606
Fidelity Southern		1,096		25
First BanCorp Puerto Rico*		101,935		576
First Citizens BancShares, Cl A		1,572		527
First Commonwealth Financial (A)		163,736		2,171
First Foundation*		97,856		1,518
First Interstate BancSystem, Cl A (A)		18,580		737
FNB (Pennsylvania)		347,445		5,166
FNFV Group*		74,050		981
Fulton Financial		168,505		3,008
Great Western Bancorp		61,354		2,602
Green Dot, Cl A*		85,397		2,849
Hanover Insurance Group, Cl A		25,914		2,334
Heartland Financial USA		14,334		716
HomeStreet*		17,515		490
IBERIABANK		24,660		1,951
Independent Bank Group		19,998		1,286
International. FCStone*		6,193		235
Investors Bancorp		132,705		1,908
KCG Holdings, Cl A*		39,922		712
Kearny Financial		45,997		692
Kemper, Cl A		50,300		2,007


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Legg Mason		15,234	$	550
Maiden Holdings		136,073		1,905
Meridian Bancorp		110,418		2,021
MGIC Investment*		63,913		647
Moelis, Cl A		14,835		571
National Bank Holdings, Cl A		26,883		874
Northfield Bancorp		89,935		1,621
OFG Bancorp		238,270		2,812
Old National Bancorp, Cl A		31,602		548
Piper Jaffray		10,078		643
Popular		68,678		2,797
Preferred Bank		12,350		663
ProAssurance		10,285		620
Selective Insurance Group		46,593		2,197
State Bank Financial		66,751		1,744
Umpqua Holdings		80,291		1,424
United Community Banks		79,676		2,206
United Fire Group		11,803		505
Voya Financial		36,310		1,378
Waddell & Reed Financial, Cl A (A)		35,313		600
Walker & Dunlop*		14,726		614
Western Alliance Bancorp*		24,240		1,190
Wintrust Financial		68,633		4,744
Zions Bancorporation		16,570		696

				97,883


Health Care — 12.3%
Acadia Healthcare, Cl A* (A)		69,899		3,048
Accuray* (A)		172,673		820
Achaogen* (A)		21,527		543
Aclaris Therapeutics*		19,368		578
Aerie Pharmaceuticals*		20,693		938
Akorn*		40,168		967
AMAG Pharmaceuticals*		108,529		2,447
AMN Healthcare Services*		113,966		4,627
Avadel Pharmaceuticals ADR*		143,234		1,387
Avexis* (A)		7,631		580
BioMarin Pharmaceuticals*		10,089		886
Bio-Rad Laboratories, Cl A*		2,929		584
BioTelemetry*		20,407		591
Cambrex*		11,193		616
Capital Senior Living*		161,672		2,273
Cara Therapeutics* (A)		33,336		613
Clovis Oncology*		16,483		1,049
Emergent BioSolutions* (A)		51,839		1,505
Esperion Therapeutics*		13,852		489
Exact Sciences*		26,764		632
Exelixis*		40,505		878
Glaukos*		11,457		588
Global Blood Therapeutics*		14,829		546
Haemonetics*		13,426		545
Integra LifeSciences Holdings*		93,265		3,929


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Intercept Pharmaceuticals* (A)		6,418	$	726
Keryx Biopharmaceuticals* (A)		98,043		604
Kite Pharma* (A)		7,558		593
Lannett* (A)		150,109		3,355
LHC Group*		13,149		709
Ligand Pharmaceuticals* (A)		48,216		5,103
Loxo Oncology*		14,585		614
Mallinckrodt*		10,470		467
Masimo*		7,393		689
MiMedx Group* (A)		90,437		862
Molina Healthcare*		41,148		1,876
Nektar Therapeutics, Cl A*		91,910		2,157
Omnicell*		14,633		595
OraSure Technologies*		51,579		667
Owens & Minor		15,843		548
Pacira Pharmaceuticals*		17,921		817
PDL BioPharma (A)		181,096		411
PRA Health Sciences*		25,793		1,683
Prestige Brands Holdings, Cl A*		108,730		6,041
Progenics Pharmaceuticals*		61,467		580
REGENXBIO*		25,346		489
Supernus Pharmaceuticals*		100,563		3,148
Teladoc* (A)		27,141		679
Teleflex		11,589		2,245
TESARO*		4,266		656
TG Therapeutics* (A)		41,339		482
Trinity Biotech ADR*		130,160		776
Triple-S Management, Cl B*		30,403		534
VCA*		29,462		2,696
WellCare Health Plans*		5,433		762

				73,223


Industrials — 15.6%
Acacia Research*		90,784		522
ACCO Brands*		131,579		1,730
Advisory Board*		23,313		1,091
Air Transport Services Group*		48,474		778
Apogee Enterprises (A)		84,159		5,017
ARC Document Solutions*		136,300		470
Astec Industries		9,372		576
Atlas Air Worldwide Holdings*		38,251		2,121
Babcock & Wilcox Enterprises*		52,954		495
Barnes Group		39,429		2,024
BMC Stock Holdings*		52,362		1,183
BWX Technologies, Cl W		57,021		2,714
Carlisle		6,731		716
CEB		30,425		2,392
Celadon Group (A)		78,429		514
Chicago Bridge & Iron		17,708		545
Covanta Holding		22,931		360
Crane, Cl A		33,730		2,524
Curtiss-Wright		26,938		2,458


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Deluxe (A)		42,715	$	3,083
EMCOR Group		39,861		2,509
Ennis		29,919		509
Esterline Technologies*		21,493		1,850
Foundation Building Materials*		32,649		521
Franklin Electric		25,573		1,101
FreightCar America, Cl A		67,755		849
Generac Holdings* (A)		18,000		671
Gibraltar Industries*		16,851		694
Global Brass & Copper Holdings		29,074		1,000
Granite Construction		21,421		1,075
Great Lakes Dredge & Dock*		364,555		1,458
Greenbrier (A)		12,967		559
Huntington Ingalls Industries, Cl A		3,200		641
Huron Consulting Group*		25,104		1,057
ICF International, Cl A*		30,198		1,247
InnerWorkings*		106,242		1,058
ITT		34,190		1,403
KBR		36,439		548
Kennametal		28,214		1,107
Keyw Holding, Cl A* (A)		65,316		617
LB Foster, Cl A		87,136		1,089
Masonite International*		52,734		4,179
MasTec*		57,123		2,288
Mercury Systems*		14,067		549
MRC Global*		44,886		823
MSA Safety		19,903		1,407
On Assignment*		88,426		4,291
Orion Group Holdings*		68,970		515
Oshkosh Truck		19,140		1,313
Quad Graphics		19,895		502
Rush Enterprises, Cl A*		15,938		527
Skywest		18,139		621
Spirit Airlines*		12,393		658
Swift Transportation, Cl A* (A)		95,410		1,960
Team*		56,832		1,537
Terex		18,871		593
Tetra Tech		87,478		3,574
Titan Machinery*		46,309		710
TransDigm Group (A)		5,870		1,292
Triumph Group (A)		49,201		1,267
Tutor Perini*		64,908		2,064
Universal Forest Products		1,683		166
Viad		12,614		570
Wabash National (A)		37,371		773
WageWorks*		40,357		2,918
Wesco Aircraft Holdings*		103,528		1,180
WESCO International*		10,979		764
XPO Logistics*		57,656		2,761

				92,678


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)

Information Technology — 19.3%
ACI Worldwide*		30,365	$	650
Acxiom*		154,212		4,390
Advanced Energy Industries*		14,744		1,011
Aerohive Networks*		105,155		443
Amkor Technology*		65,854		763
Anixter International*		6,936		550
Applied Optoelectronics* (A)		11,034		620
Bazaarvoice*		97,252		418
Black Box		57,084		511
Blackhawk Network Holdings, Cl A* (A)		59,898		2,432
Blucora*		27,827		481
Bottomline Technologies* (A)		32,068		758
Brooks Automation		25,625		574
CalAmp*		269,971		4,533
Callidus Software*		175,256		3,742
Cavium*		58,085		4,162
Cimpress* (A)		15,278		1,317
Coherent*		2,895		595
Cornerstone OnDemand*		75,167		2,923
CoStar Group*		2,906		602
Criteo ADR* (A)		67,858		3,392
Cypress Semiconductor (A)		163,840		2,254
Diebold		18,256		560
Digi International*		41,723		497
Echo Global Logistics* (A)		20,000		427
Exar*		113,426		1,476
Finisar*		91,408		2,499
FireEye* (A)		223,512		2,818
Five9*		140,715		2,316
II-VI*		40,076		1,445
Inphi*		25,823		1,261
Insight Enterprises*		19,060		783
Integrated Device Technology*		114,707		2,715
j2 Global		20,822		1,747
Littelfuse		11,162		1,785
Lumentum Holdings*		29,889		1,595
MAXIMUS		87,508		5,443
Mellanox Technologies* (A)		37,913		1,932
Methode Electronics		15,950		727
Microsemi*		10,091		520
MINDBODY, Cl A* (A)		22,247		611
MKS Instruments		38,221		2,628
Monolithic Power Systems		6,231		574
Nanometrics*		25,739		784
NETGEAR*		25,138		1,246
NeuStar, Cl A*		21,206		703
Nuance Communications*		33,231		575
Oclaro*		69,073		678
ON Semiconductor*		209,456		3,244
PDF Solutions*		124,986		2,827
Photronics*		50,462		540


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Progress Software		7,668	$	223
Proofpoint* (A)		33,238		2,472
QAD, Cl A		32,674		910
Rogers*		6,569		564
Rudolph Technologies*		13,643		306
Sanmina*		82,159		3,336
Scansource*		13,705		538
Science Applications International		11,810		879
Shutterstock*		20,055		829
Stamps.com* (A)		27,649		3,272
STMicroelectronics, Cl Y		167,817		2,594
SuperCom*		79,000		226
Sykes Enterprises*		25,217		741
SYNNEX		7,471		836
Tech Data*		33,632		3,158
TeleTech Holdings (A)		2,988		88
TrueCar* (A)		209,323		3,238
TTM Technologies*		36,636		591
Ultra Clean Holdings*		36,256		612
VeriFone Holdings*		130,625		2,447
Viavi Solutions*		74,953		804
WNS Holdings ADR*		20,766		594
Xcerra*		75,337		670
Zebra Technologies, Cl A*		27,542		2,513

				114,518


Materials — 3.6%
AdvanSix*		20,797		568
Allegheny Technologies (A)		35,100		630
Berry Plastics Group*		11,572		562
Boise Cascade*		19,841		530
Cabot (A)		16,409		983
Carpenter Technology		16,159		603
Chemours		20,446		787
Cliffs Natural Resources*		62,777		515
Commercial Metals, Cl A		87,468		1,673
Ferroglobe		89,519		925
Ferroglobe Representation*		56,257		6
Flotek Industries*		40,977		524
FutureFuel		3,082		44
Ingevity*		19,943		1,214
Innospec		9,279		601
KapStone Paper and Packaging		23,945		553
LSB Industries* (A)		150,369		1,411
Minerals Technologies		10,499		804
Owens-Illinois*		46,801		954
Rayonier Advanced Materials		35,983		484
Real Industry*		90,975		259
Reliance Steel & Aluminum		9,744		780
Schulman A		34,792		1,094
Sensient Technologies		12,450		987
Silgan Holdings		9,213		547


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Stepan		1,464	$	115
Summit Materials, Cl A*		24,057		595
SunCoke Energy*		44,914		402
United States Steel		18,303		619
US Concrete*		21,367		1,379

				21,148


Real Estate — 4.1%
Agree Realty‡		29,542		1,417
Armada Hoffler Properties‡		47,903		665
Brandywine Realty Trust‡		56,167		912
CBL & Associates Properties‡		43,821		418
Cedar Realty Trust‡		256,685		1,289
Colony Starwood Homes‡ (A)		80,746		2,741
CyrusOne‡		10,636		548
DiamondRock Hospitality‡		100,332		1,119
EPR Properties, Cl A‡		11,373		837
Equity Commonwealth*‡		66,251		2,068
Forestar Group*		42,904		586
GEO Group‡		15,903		737
Gramercy Property Trust		89,174		2,345
Hersha Hospitality Trust, Cl A‡		28,539		536
Kennedy-Wilson Holdings		83,388		1,851
Life Storage		6,418		527
Medical Properties Trust‡		104,506		1,347
Seritage Growth Properties‡ (A)		16,803		725
STAG Industrial‡		31,138		779
Two Harbors Investment‡		231,809		2,223
Washington Prime Group‡		55,419		482

				24,152


Telecommunication Services — 0.0%
Windstream Holdings (A)		55,749		304


Utilities — 3.1%
ALLETE		40,656		2,753
Cadiz* (A)		46,300		697
Chesapeake Utilities		8,590		594
Idacorp, Cl A		18,133		1,504
NorthWestern		12,860		755
ONE Gas		9,953		673
PNM Resources		85,509		3,164
Portland General Electric		48,390		2,149
South Jersey Industries, Cl A		18,702		667
Southwest Gas		20,858		1,729
Spire		39,965		2,698
UGI		17,912		885

				18,268

Total Common Stock (Cost $481,451) ($ Thousands)				554,791


Description	Number of Rights		Market Value ($ Thousands)

RIGHTS* — 0.0%
Allos Therapeutics ‡‡		45,500	$	—

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


	Shares

AFFILIATED PARTNERSHIP — 10.1%
SEI Liquidity Fund, L.P.
0.870% **† (B)		59,676,493		59,673

Total Affiliated Partnership (Cost $59,676) ($ Thousands)				59,673


CASH EQUIVALENT — 6.5%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		38,414,296		38,414

Total Cash Equivalent (Cost $38,414) ($ Thousands)				38,414

Total Investments — 110.1% (Cost $579,541) ($ Thousands)			$	652,878

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration
Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

182

Jun-2017

181

Percentages are based on Net Assets of $593,387 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (See Note 6).

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

(A)

This security or a partial position of this security is on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $58,442 ($ 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 March 31, 2017 was $59,673 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of March 31, 2017, 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	$	554,791	$	—	$	—	$	554,791
Rights		—		—		—		—
Affiliated Partnership		—		59,673		—		59,673
Cash Equivalent		38,414		—		—		38,414

Total Investments in Securities	$	593,205	$	59,673	$	—	$	652,878


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	181	$	—	$	—	$	181

Total Other Financial Instruments	$	181	$	—	$	—	$	181

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 94.7%

Consumer Discretionary — 8.8%
Aaron's		26,390	$	785
American Axle & Manufacturing Holdings*		25,254		474
American Outdoor Brands* (A)		18,394		364
Big 5 Sporting Goods		24,367		368
Big Lots (A)		44,404		2,162
Bloomin' Brands (A)		47,711		941
Boyd Gaming*		42,590		937
Brinker International (A)		10,154		446
CalAtlantic Group (A)		15,234		570
Century Communities*		43,197		1,097
Cooper Tire & Rubber (A)		21,105		936
Cooper-Standard Holdings*		16,327		1,811
CROCS*		40,900		289
CSS Industries		19,629		509
Dana		115,528		2,231
Deckers Outdoor*		3,731		223
Del Taco Restaurants*		37,145		493
Destination XL Group* (A)		44,600		127
DeVry		16,513		585
Express*		68,053		620
Finish Line, Cl A		21,700		309
GameStop, Cl A (A)		13,391		302
Gannett		60,393		506
Gentherm*		22,049		865
Group 1 Automotive		3,600		267
Haverty Furniture		9,400		229
Installed Building Products*		15,459		815
Libbey		100,185		1,461
Lithia Motors, Cl A		11,313		969
Lumber Liquidators Holdings* (A)		58,459		1,227
Marriott Vacations Worldwide (A)		11,807		1,180
MDC Partners, Cl A		117,901		1,108
Murphy USA* (A)		6,462		474
Nexstar Broadcasting Group, Cl A		10,687		750
Office Depot		155,545		726
Party City Holdco*		39,118		550
Sequential Brands Group* (A)		89,081		347
Shoe Carnival		13,927		342
Signet Jewelers		5,292		367
Six Flags Entertainment		25,057		1,491
Skechers U.S.A., Cl A*		21,435		588
Sonic Automotive, Cl A (A)		14,700		295
Stoneridge*		23,900		434
Tower International		15,821		429
Travelport Worldwide		31,115		366
Vera Bradley*		21,900		204
Visteon*		4,677		458
Wendy’s (A)		84,744		1,153
Wolverine World Wide		31,984		799

				34,979


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Consumer Staples — 3.6%
Andersons		15,072	$	571
B&G Foods, Cl A (A)		12,680		510
Central Garden & Pet, Cl A*		43,936		1,525
Dean Foods		34,794		684
Fresh Del Monte Produce		18,872		1,118
Freshpet* (A)		34,682		382
Ingles Markets, Cl A		9,983		431
Lamb Weston Holdings		17,814		749
Landec* (A)		42,402		509
Omega Protein		51,369		1,030
Performance Food Group*		24,715		588
Pinnacle Foods		21,405		1,239
Sanderson Farms (A)		20,031		2,080
Snyder's-Lance (A)		9,901		399
SpartanNash		35,478		1,241
SUPERVALU*		118,570		458
Universal		12,465		882

				14,396


Energy — 6.1%
Ardmore Shipping (A)		84,361		679
Atwood Oceanics, Cl A* (A)		30,157		287
Bill Barrett*		59,498		271
Callon Petroleum*		134,581		1,771
DHT Holdings		110,497		494
Diamondback Energy, Cl A*		3,566		370
Eclipse Resources*		124,920		317
Ensco, Cl A		35,017		313
Extraction Oil & Gas* (A)		19,482		361
Forum Energy Technologies*		24,272		502
Gulfport Energy*		167,073		2,872
Matrix Service*		55,968		924
McDermott International*		66,633		450
Nabors Industries		23,613		309
Newpark Resources, Cl A*		49,018		397
Oil States International* (A)		22,383		742
Pacific Ethanol*		51,270		351
Parsley Energy, Cl A*		63,353		2,060
Patterson-UTI Energy		33,517		814
PBF Energy, Cl A (A)		100,508		2,228
RSP Permian*		34,680		1,437
Scorpio Tankers		178,171		791
Seadrill* (A)		—		—
Smart Sand*		25,743		418
Southwestern Energy*		164,877		1,347
StealthGas*		108,300		432
TETRA Technologies*		219,846		895
Tidewater, Cl A* (A)		225,301		259
Western Refining		12,443		436
Westmoreland Coal*		28,347		412
Whiting Petroleum*		76,824		727


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
World Fuel Services		17,114	$	620

				24,286


Financials — 26.7%
1st Source		14,280		670
American Equity Investment Life Holding		106,916		2,526
Ameris Bancorp		8,783		405
Argo Group International Holdings		31,177		2,114
Aspen Insurance Holdings		21,634		1,126
Assured Guaranty		17,407		646
Axis Capital Holdings		9,760		654
Banco Latinoamericano de Exportaciones, Cl E		13,936		387
Bancorp*		79,526		406
Berkshire Hills Bancorp		12,083		436
BGC Partners, Cl A		166,087		1,887
BlackRock Capital Investment (A)		51,618		390
Camden National		15,600		687
Capitol Federal Financial		71,595		1,047
Central Pacific Financial		92,461		2,824
Chemical Financial		16,193		828
CNO Financial Group		129,197		2,649
Columbia Banking System		42,915		1,673
Community Trust Bancorp		14,480		662
Customers Bancorp*		58,396		1,841
Enterprise Financial Services		12,554		532
Everest Re Group		4,957		1,159
FBR		49,200		888
Federal Agricultural Mortgage, Cl C		16,494		950
Fidelity Southern		30,223		676
First BanCorp Puerto Rico*		59,493		336
First Busey		17,533		515
First Commonwealth Financial		220,259		2,921
First Community Bancshares		17,875		446
First Foundation*		83,890		1,301
First Interstate BancSystem, Cl A (A)		23,250		922
FirstCash		20,100		988
Flagstar Bancorp*		13,823		390
Flushing Financial		29,300		787
FNB (Pennsylvania)		263,632		3,920
FNFV Group*		75,963		1,007
Fulton Financial		159,491		2,847
Great Western Bancorp		40,777		1,729
Green Dot, Cl A*		63,841		2,130
Hanmi Financial		11,045		340
Hanover Insurance Group, Cl A		24,510		2,207
Hercules Capital, Cl A (A)		37,894		573
IBERIABANK		30,650		2,424
Independent Bank Group		5,920		381
Investors Bancorp		116,787		1,679
Kearny Financial		34,384		518
Kemper, Cl A		44,447		1,773
Legg Mason (A)		27,462		992


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Maiden Holdings (A)		166,188	$	2,327
MainSource Financial Group		13,132		432
MB Financial		37,229		1,594
Meridian Bancorp		112,704		2,063
MFA Financial‡		46,765		378
MGIC Investment*		132,571		1,343
Mortgage Investment Trust‡		31,051		561
National Bank Holdings, Cl A (A)		33,045		1,074
Nelnet, Cl A		11,026		484
Northfield Bancorp		98,072		1,767
OFG Bancorp		206,561		2,437
Old National Bancorp, Cl A		144,844		2,513
OM Asset Management		24,921		377
PacWest Bancorp		41,971		2,235
PennyMac Mortgage Investment Trust‡		31,400		557
Piper Jaffray		9,597		613
PJT Partners		9,945		349
Popular		68,331		2,783
Preferred Bank		8,522		457
Primerica		5,070		417
Radian Group		69,242		1,244
Republic Bancorp, Cl A		16,500		567
Selective Insurance Group		31,390		1,480
SLM*		128,568		1,556
Starwood Property Trust‡		128,852		2,910
State Bank Financial		61,327		1,602
TCF Financial		71,902		1,224
Umpqua Holdings		26,601		472
Union Bankshares		18,400		647
United Community Banks		69,000		1,911
United Fire Group		9,380		401
Validus Holdings		27,291		1,539
Voya Financial		22,783		865
Waddell & Reed Financial, Cl A (A)		31,204		530
Walker & Dunlop*		12,492		521
WesBanco		10,000		381
Western Alliance Bancorp*		26,912		1,321
Western Asset Mortgage Capital‡		41,719		408
Wintrust Financial		19,045		1,316
World Acceptance* (A)		9,653		500
Zions Bancorporation		8,593		361

				105,706


Health Care — 4.7%
Acadia Healthcare, Cl A* (A)		10,626		463
Accuray*		177,429		843
Air Methods*		32,990		1,419
Akorn*		73,030		1,759
AMN Healthcare Services* (A)		17,312		703
Chemed		3,646		666
Exactech*		12,600		317
Lannett* (A)		121,607		2,718


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
LHC Group*		9,111	$	491
LifePoint Health* (A)		8,400		550
Ligand Pharmaceuticals* (A)		27,382		2,898
Magellan Health*		5,464		377
MiMedx Group* (A)		60,765		579
Molina Healthcare*		23,946		1,092
Omnicell*		9,214		375
PDL BioPharma		112,744		256
PRA Health Sciences*		12,435		811
Prestige Brands Holdings, Cl A*		12,668		704
Trinity Biotech ADR*		87,116		519
Triple-S Management, Cl B*		23,461		412
WellCare Health Plans*		3,874		543

				18,495


Industrials — 15.3%
AAR		20,200		679
Acacia Research*		83,946		483
ACCO Brands*		166,616		2,191
Advisory Board*		20,137		942
Air Transport Services Group*		36,776		590
Alaska Air Group		4,500		415
American Railcar Industries (A)		10,156		417
ARC Document Solutions*		96,637		333
ArcBest		14,676		382
Atlas Air Worldwide Holdings*		38,787		2,151
Babcock & Wilcox Enterprises*		52,960		495
Barnes Group		31,420		1,613
BMC Stock Holdings*		25,000		565
Briggs & Stratton		29,533		663
BWX Technologies, Cl W		41,548		1,978
CEB		14,958		1,176
Celadon Group (A)		56,487		370
Chicago Bridge & Iron		11,571		356
CIRCOR International (A)		7,110		423
Covanta Holding		57,261		899
Crane, Cl A		19,781		1,480
Curtiss-Wright		11,961		1,092
Deluxe (A)		8,100		585
EMCOR Group		23,041		1,450
Engility Holdings*		14,200		411
Ennis		47,665		810
Esterline Technologies*		7,720		664
Foundation Building Materials*		46,005		735
Franklin Electric		21,034		906
FreightCar America, Cl A (A)		57,173		716
Generac Holdings*		13,742		512
Genesee & Wyoming, Cl A*		29,661		2,013
Global Brass & Copper Holdings		16,194		557
Great Lakes Dredge & Dock*		236,732		947
Greenbrier (A)		11,649		502
Hawaiian Holdings*		10,986		510


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Hillenbrand		10,600	$	380
Huntington Ingalls Industries, Cl A		1,939		388
Hyster-Yale Materials Handling		12,127		684
ICF International, Cl A*		28,352		1,171
InnerWorkings*		87,012		867
ITT		27,429		1,125
JetBlue Airways*		20,636		425
Kadant		9,606		570
Kaman, Cl A		31,567		1,519
KAR Auction Services		46,360		2,025
KBR		46,469		698
Kennametal		20,758		814
Keyw Holding, Cl A* (A)		56,702		535
LB Foster, Cl A		55,487		694
LSC Communications		13,963		351
MasTec*		9,324		373
Meritor*		72,486		1,242
MRC Global*		36,844		675
MSA Safety		13,061		923
Navigant Consulting*		16,493		377
On Assignment*		7,775		377
Orion Group Holdings*		37,085		277
Oshkosh Truck		10,762		738
Quad Graphics		14,326		362
Roadrunner Transportation Systems*		41,310		284
RPX*		45,075		541
RR Donnelley & Sons		6,328		77
Skywest		22,146		758
Spirit Airlines*		9,590		509
Swift Transportation, Cl A*		16,096		331
Teledyne Technologies*		11,139		1,409
Terex		13,129		412
Titan Machinery*		37,276		572
Triumph Group (A)		52,038		1,340
TrueBlue*		16,011		438
Tutor Perini* (A)		43,648		1,388
Universal Forest Products		5,120		505
VSE		7,000		286
Wabash National (A)		65,789		1,361
Wesco Aircraft Holdings*		104,832		1,195
West		15,758		385

				60,392


Information Technology — 10.9%
Acacia Communications* (A)		6,218		365
ACI Worldwide* (A)		53,745		1,150
Amkor Technology*		108,249		1,255
Anixter International*		6,889		546
Bazaarvoice*		70,495		303
Benchmark Electronics*		67,860		2,158
Black Box		54,295		486
Blackhawk Network Holdings, Cl A*		16,174		657


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Bottomline Technologies* (A)		23,198	$	549
Convergys		40,331		853
CSG Systems International		13,339		504
Cypress Semiconductor		77,766		1,070
Diebold		12,524		385
Digi International*		40,112		477
ePlus*		2,800		378
Exar*		86,836		1,130
IAC*		28,912		2,131
II-VI*		16,989		612
Inphi*		15,139		739
Insight Enterprises*		35,394		1,454
Integrated Device Technology*		42,394		1,004
j2 Global		18,530		1,555
Kulicke & Soffa Industries*		29,000		589
Littelfuse		5,731		916
Match Group* (A)		21,874		357
Mellanox Technologies*		29,892		1,523
MKS Instruments		11,570		795
MoneyGram International*		41,647		700
NETGEAR*		24,016		1,190
NeuStar, Cl A*		15,747		522
Nuance Communications*		23,969		415
Photronics*		54,115		579
QAD, Cl A		27,791		774
Sanmina*		84,584		3,434
Scansource*		16,570		650
Silicon Motion Technology ADR		21,709		1,015
SuperCom* (A)		86,200		247
Sykes Enterprises*		25,255		743
SYNNEX		15,760		1,764
Tech Data*		26,091		2,450
Trade Desk, Cl A* (A)		13,298		495
VeriFone Holdings*		82,647		1,548
Viavi Solutions*		37,076		397
Xcerra*		84,348		750
Zebra Technologies, Cl A*		16,754		1,529

				43,143


Materials — 5.6%
AdvanSix*		16,390		448
Allegheny Technologies (A)		26,799		481
Ashland Global Holdings		9,844		1,219
Avery Dennison		5,529		446
Cabot		27,814		1,666
Carpenter Technology (A)		9,987		373
Clearwater Paper*		7,343		411
Cliffs Natural Resources*		41,302		339
Commercial Metals, Cl A		73,822		1,412
Domtar		7,700		281
Ferroglobe		59,991		620
Ferroglobe Representation*		53,302		6


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Flotek Industries* (A)		39,710	$	508
FMC		27,575		1,919
Glatfelter		14,800		322
Huntsman		37,539		921
Ingevity*		16,260		989
LSB Industries* (A)		94,876		890
Minerals Technologies		7,698		590
Owens-Illinois*		46,408		946
Reliance Steel & Aluminum		4,695		376
Ryerson Holding*		24,949		314
Schulman A		32,555		1,024
Schweitzer-Mauduit International		8,788		364
Sensient Technologies		8,348		662
Silgan Holdings		39,167		2,325
Steel Dynamics		10,597		368
Trinseo		6,684		448
United States Steel		11,688		395
Valvoline (A)		40,532		995

				22,058


Real Estate — 8.7%
Agree Realty‡		8,741		419
Apollo Commercial Real Estate Finance‡		19,300		363
Brandywine Realty Trust‡		61,174		993
Camden Property Trust‡		475		38
CareTrust‡		27,034		455
CBL & Associates Properties‡		28,700		274
Cedar Realty Trust‡		165,585		831
Chatham Lodging Trust‡ (A)		24,600		486
Colony Starwood Homes‡ (A)		111,210		3,776
DiamondRock Hospitality‡ (A)		54,829		611
EPR Properties, Cl A‡		20,515		1,510
Equity Commonwealth*‡		71,225		2,224
Forest City Realty Trust, Cl A‡		18,062		393
Franklin Street Properties‡		63,887		776
Gaming and Leisure Properties‡		39,650		1,325
GEO Group‡		10,575		490
Getty Realty‡		44,755		1,131
Gladstone Commercial‡		26,801		554
Gramercy Property Trust (A)		74,522		1,960
Hersha Hospitality Trust, Cl A‡ (A)		90,159		1,694
Hospitality Properties Trust‡		12,900		407
Howard Hughes*		20,585		2,414
Kennedy-Wilson Holdings		77,682		1,725
Life Storage		4,779		392
MedEquities Realty Trust		36,444		408
Medical Properties Trust‡ (A)		117,060		1,509
New York REIT		156,724		1,519
Piedmont Office Realty Trust, Cl A‡ (A)		25,550		546
RLJ Lodging Trust‡		16,400		386
Select Income‡		44,514		1,148
Senior Housing Properties Trust‡		19,946		404


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Seritage Growth Properties‡ (A)		10,761	$	464
STAG Industrial‡		14,720		368
Summit Hotel Properties‡		78,954		1,262
Two Harbors Investment‡		113,016		1,084

				34,339


Telecommunication Services — 0.2%
Iridium Communications* (A)		62,227		601


Utilities — 4.1%
ALLETE		34,689		2,349
Avista		13,700		535
Cadiz* (A)		34,775		523
Chesapeake Utilities (A)		5,846		405
Idacorp, Cl A		9,865		818
NorthWestern		11,220		659
ONE Gas		9,314		630
Pinnacle West Capital		6,076		507
PNM Resources		59,679		2,208
Portland General Electric		54,437		2,418
SJW		9,485		457
Southwest Gas		27,969		2,319
Spire		27,070		1,827
Unitil		9,000		405

				16,060

Total Common Stock (Cost $307,130) ($ Thousands)				374,455


AFFILIATED PARTNERSHIP — 13.1%
SEI Liquidity Fund, L.P.
0.870% **† (B)		51,675,206		51,673

Total Affiliated Partnership (Cost $51,676) ($ Thousands)				51,673


CASH EQUIVALENT — 5.2%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		20,587,318		20,587

Total Cash Equivalent (Cost $20,587) ($ Thousands)				20,587

Total Investments — 113.0% (Cost $379,393) ($ Thousands)			$	446,715

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:

Type of Contract

Number of

Contracts

Long

Expiration

Date

Unrealized
Appreciation
($ Thousands)

Russell 2000 Index E-MINI

Jun-2017

Percentages are based on Net Assets of $395,395 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

‡

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 March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $50,922 ($ 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 March 31, 2017 was $51,673 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of March 31, 2017, 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	$	374,455	$	—	$	—	$	374,455
Affiliated Partnership		—		51,673		—		51,673
Cash Equivalent		20,587		—		—		20,587

Total Investments in Securities	$	395,042	$	51,673	$	—	$	446,715



Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	60	$	—	$	—	$	60

Total Other Financial Instruments	$	60	$	—	$	—	$	60

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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^††— 96.6%

Consumer Discretionary — 12.9%
American Axle & Manufacturing Holdings*		20,522	$	385
American Eagle Outfitters		22,013		309
American Outdoor Brands* (A)		10,914		216
Arctic Cat* (A)		—		—
Big Lots		8,517		415
Bojangles'*		16,786		344
Boot Barn Holdings*		38,620		382
Bright Horizons Family Solutions*		45,102		3,269
Buffalo Wild Wings*		2,619		400
Carriage Services		36,991		1,003
Carter's		6,763		607
Children's Place		12,448		1,494
Cooper-Standard Holdings*		4,394		487
Core-Mark Holding, Cl A		46,367		1,446
Dave & Buster's Entertainment*		31,750		1,940
Del Frisco's Restaurant Group*		38,599		697
Dunkin' Brands Group		13,015		712
Express*		87,711		799
Fenix Parts* (A)		7,810		12
Fiesta Restaurant Group*		56,139		1,359
Five Below*		41,796		1,810
Grand Canyon Education*		31,260		2,239
Hibbett Sports* (A)		27,581		814
IMAX* (A)		34,891		1,186
Jack in the Box		23,259		2,366
Kate Spade*		13,125		305
LCI Industries		5,065		505
Lithia Motors, Cl A		7,805		668
Malibu Boats, Cl A*		50,181		1,127
MarineMax*		30,184		653
Monro Muffler		32,722		1,705
National CineMedia		151,530		1,914
Nexstar Broadcasting Group, Cl A		5,214		366
Nutrisystem		5,850		325
Ollie's Bargain Outlet Holdings*		49,743		1,666
Planet Fitness, Cl A		104,813		2,020
Pool		3,974		474
Sally Beauty Holdings* (A)		60,771		1,242
Tenneco		6,872		429
Tile Shop Holdings (A)		31,951		615
Titan International		29,275		303
Weight Watchers International* (A)		17,512		273
William Lyon Homes, Cl A*		82,431		1,700
Winmark		5,247		593
Wolverine World Wide		51,504		1,286

				42,860


Consumer Staples — 2.4%
Central Garden & Pet* (A)		34,761		1,289
Chefs' Warehouse Holdings*		22,842		317
Freshpet* (A)		39,134		430


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Hostess Brands*		115,386	$	1,831
Primo Water*		72,867		990
Snyder’s-Lance		36,495		1,471
Spectrum Brands Holdings		12,413		1,726

				8,054


Energy — 1.7%
Carrizo Oil & Gas*		38,932		1,116
Evolution Petroleum		141,729		1,134
Forum Energy Technologies*		14,220		294
Matador Resources*		14,102		336
Oasis Petroleum*		20,406		291
Oil States International*		11,834		392
Prothena* (A)		5,671		316
RigNet, Cl A*		44,048		945
Sanchez Energy* (A)		23,561		225
US Silica Holdings		14,710		706

				5,755


Financials — 6.6%
CBOE Holdings		6,907		560
Eagle Bancorp*		36,275		2,166
Evercore Partners, Cl A		36,667		2,856
Financial Engines		31,406		1,368
Franklin Financial Network*		26,807		1,039
Greenhill (A)		13,064		383
Houlihan Lokey, Cl A		19,877		685
Independent Bank Group		5,123		329
Moelis, Cl A		8,363		322
National General Holdings		58,950		1,401
PennantPark Investment		99,438		809
Primerica		8,565		704
PrivateBancorp, Cl A		9,813		582
Signature Bank, Cl B*		2,673		397
Stifel Financial*		13,425		674
SVB Financial Group, Cl B*		2,611		486
Trupanion* (A)		24,397		347
United Community Banks		59,215		1,640
Univest Corp of Pennsylvania		24,833		643
Value Creation* (B) (C)		145,600		57
Walker & Dunlop*		8,036		335
Western Alliance Bancorp*		11,881		583
Wintrust Financial		43,435		3,002
WisdomTree Investments (A)		63,435		576

				21,944


Health Care — 21.8%
Acadia Healthcare, Cl A* (A)		29,458		1,284
Accelerate Diagnostics* (A)		20,046		485
Achaogen* (A)		22,208		560
Aclaris Therapeutics*		24,144		720
Adamas Pharmaceuticals* (A)		38,097		667


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Aerie Pharmaceuticals*		13,894	$	630
Aimmune Therapeutics* (A)		16,324		355
Akorn*		15,580		375
Alder Biopharmaceuticals* (A)		11,687		243
Align Technology*		5,145		590
AMAG Pharmaceuticals*		77,061		1,738
AMN Healthcare Services*		90,440		3,672
Ardelyx*		22,448		284
Atara Biotherapeutics* (A)		24,545		504
athenahealth* (A)		3,313		373
AtriCure*		24,030		460
Audentes Therapeutics*		15,995		273
Avadel Pharmaceuticals ADR*		79,933		774
Avexis* (A)		6,170		469
BioTelemetry*		24,355		705
Bluebird Bio*		5,084		462
Cambrex*		8,855		488
Capital Senior Living*		111,457		1,567
Cara Therapeutics* (A)		25,000		460
Cardiovascular Systems*		11,721		331
Catalent*		30,831		873
Chimerix*		95,801		611
Clovis Oncology*		10,203		650
CryoLife		47,022		783
DBV Technologies ADR*		16,650		586
DexCom*		4,215		357
Endologix*		66,534		482
Entellus Medical* (A)		9,817		136
Esperion Therapeutics*		10,558		373
Exact Sciences* (A)		50,670		1,197
Exelixis*		36,579		793
Flexion Therapeutics*		11,956		322
Glaukos*		21,212		1,088
Global Blood Therapeutics*		12,756		470
HealthEquity*		6,689		284
HealthStream*		12,628		306
Heron Therapeutics* (A)		24,556		368
Heska*		3,964		416
ICON*		5,561		443
Immunomedics* (A)		138,098		894
INC Research Holdings, Cl A*		45,197		2,072
Innoviva* (A)		24,055		333
Inogen*		15,425		1,196
Insulet* (A)		12,183		525
Integra LifeSciences Holdings*		56,260		2,370
Intercept Pharmaceuticals* (A)		3,980		450
Kite Pharma* (A)		8,510		668
LeMaitre Vascular		21,531		530
Ligand Pharmaceuticals*		14,107		1,493
Loxo Oncology*		11,911		501
Magellan Health*		4,059		280
Masimo*		8,594		802


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Medicines*		13,246	$	648
Medidata Solutions*		25,739		1,485
Merit Medical Systems* (A)		23,032		666
Molina Healthcare*		7,598		347
NeoGenomics*		72,000		568
Neurocrine Biosciences*		11,354		492
Neuroderm*		15,816		420
Nevro*		21,758		2,039
NewLink Genetics* (A)		15,495		373
Novadaq Technologies*		40,323		314
Omnicell*		16,236		660
OraSure Technologies*		46,378		600
Otonomy*		17,505		214
Pacific Biosciences of California*		76,112		394
Penumbra*		11,840		988
PRA Health Sciences*		36,881		2,406
Premier, Cl A*		13,419		427
Prestige Brands Holdings, Cl A*		70,202		3,900
Quidel*		21,713		492
Radius Health*		8,900		344
REGENXBIO*		14,117		273
Repligen*		16,145		568
Revance Therapeutics* (A)		18,674		388
Sage Therapeutics*		4,579		325
Spectranetics*		36,202		1,054
Supernus Pharmaceuticals*		87,211		2,730
Syndax Pharmaceuticals*		22,131		304
Synergy Pharmaceuticals* (A)		177,653		828
Teladoc* (A)		15,422		386
TESARO*		5,013		771
TG Therapeutics* (A)		27,507		321
Tivity Health*		13,277		386
Ultragenyx Pharmaceutical* (A)		5,005		339
Vanda Pharmaceuticals*		19,858		278
Veracyte*		71,173		653
Versartis*		22,426		479
Vocera Communications*		84,553		2,099
Xencor*		24,590		588
Zeltiq Aesthetics*		10,922		607

				72,275


Industrials — 20.5%
ABM Industries		31,750		1,384
Advisory Board*		10,568		495
Air Transport Services Group*		65,991		1,059
Albany International, Cl A		19,483		897
Apogee Enterprises		62,006		3,696
Aqua Metals* (A)		16,037		313
Argan		6,991		462
Astec Industries		30,457		1,873
Builders FirstSource*		21,311		317
BWX Technologies, Cl W		28,462		1,355


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Carlisle		6,856	$	730
Clean Harbors*		24,308		1,352
Deluxe		50,564		3,649
Dycom Industries*		9,702		902
EMCOR Group		8,079		509
Exponent		24,304		1,447
Forward Air		22,684		1,079
Genesee & Wyoming, Cl A*		5,942		403
Granite Construction		21,348		1,071
H&E Equipment Services		24,573		602
Hawaiian Holdings*		7,861		365
Healthcare Services Group (A)		28,473		1,227
Heartland Express		69,741		1,398
Heico, Cl A		9,222		692
Heritage-Crystal Clean*		123,630		1,694
Hexcel, Cl A (A)		9,159		500
Hudson Technologies*		140,074		924
IDEX		9,592		897
InnerWorkings*		131,196		1,307
Insteel Industries		19,605		708
John Bean Technologies, Cl A		41,481		3,648
Kennametal		16,390		643
Kirby*		18,499		1,305
Kornit Digital* (A)		27,107		518
Kratos Defense & Security Solutions*		44,145		343
Lincoln Electric Holdings		8,490		737
Masonite International*		29,481		2,336
MasTec*		29,306		1,174
Mercury Systems*		82,519		3,222
Middleby*		2,422		330
Mueller Water Products, Cl A		41,128		486
Multi-Color		6,094		433
Nordson		3,318		408
NV5 Global*		10,497		395
On Assignment*		54,226		2,632
Patrick Industries*		5,341		379
Paylocity Holding*		9,698		375
Proto Labs*		11,514		588
Quanta Services*		9,776		363
RBC Bearings*		11,730		1,139
Ritchie Bros. Auctioneers		19,105		629
Roadrunner Transportation Systems*		32,205		221
Saia*		6,562		291
SiteOne Landscape Supply*		9,369		454
SP Plus*		57,590		1,944
Swift Transportation, Cl A*		26,513		545
TASER International* (A)		16,155		368
Team*		26,692		722
Tennant		23,944		1,739
Tetra Tech		15,988		653
TriNet Group*		69,193		2,000
TrueBlue*		20,032		548


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Viad		6,972	$	315
WageWorks*		27,037		1,955
XPO Logistics*		20,747		994

				68,139


Information Technology — 26.0%
2U*		68,102		2,701
3D Systems* (A)		19,473		291
8x8*		58,424		891
Actua*		39,618		557
Acxiom*		78,734		2,242
Advanced Energy Industries*		17,118		1,174
Alarm.com Holdings*		19,503		600
Applied Optoelectronics* (A)		6,860		385
Arista Networks*		3,606		477
Aspen Technology*		18,470		1,088
Barracuda Networks*		21,959		507
Blackbaud, Cl A		13,151		1,008
Blackhawk Network Holdings, Cl A*		20,801		845
Booz Allen Hamilton Holding, Cl A		41,503		1,469
CalAmp*		150,093		2,520
Callidus Software*		169,597		3,621
Carbonite*		39,697		806
Cavium*		38,493		2,758
ChannelAdvisor*		61,479		685
Cimpress*		15,231		1,313
Cirrus Logic*		8,111		492
Cognex		12,784		1,073
Coherent*		17,357		3,569
comScore* (A)		22,243		480
Cornerstone OnDemand*		42,728		1,662
CTS		17,867		381
Descartes Systems Group*		15,735		360
EchoStar, Cl A*		6,541		373
Ellie Mae*		3,899		391
Envestnet*		19,472		629
Euronet Worldwide*		22,470		1,922
Everbridge* (A)		18,488		380
Exa*		71,051		902
Fabrinet*		7,648		321
Finisar*		52,231		1,428
FireEye* (A)		145,365		1,833
Five9*		89,413		1,472
Forrester Research		11,076		440
GrubHub* (A)		12,985		427
Guidewire Software, Cl Z*		15,502		873
Hackett Group		39,383		768
HubSpot*		9,608		582
II-VI*		8,663		312
Instructure*		13,104		307
Integrated Device Technology*		15,975		378
InterDigital		7,951		686


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Littelfuse		21,395	$	3,421
LivePerson*		102,571		703
LogMeIn		30,289		2,953
Lumentum Holdings*		29,760		1,588
MAXIMUS		34,045		2,118
Mesa Laboratories		3,255		399
Methode Electronics		8,223		375
Microsemi*		44,008		2,268
MINDBODY, Cl A* (A)		15,361		422
MKS Instruments		6,038		415
Monolithic Power Systems		38,105		3,509
Nanometrics*		13,953		425
NETGEAR*		5,609		278
New Relic*		15,804		586
Oclaro*		58,146		571
Pandora Media* (A)		31,159		368
PDF Solutions*		95,513		2,160
Proofpoint* (A)		32,437		2,412
Q2 Holdings*		48,858		1,703
RealPage*		31,702		1,106
RingCentral, Cl A*		20,574		582
Rogers*		3,713		319
Shutterstock*		13,865		573
Silicon Laboratories*		13,478		991
SPS Commerce*		6,060		354
Stratasys*		32,488		666
Take-Two Interactive Software, Cl A*		22,046		1,307
Tech Data*		3,474		326
Trade Desk, Cl A* (A)		10,485		391
TrueCar* (A)		142,515		2,205
TTM Technologies* (A)		29,026		468
Tyler Technologies*		5,937		918
Ultra Clean Holdings*		20,831		351
Wix.com*		4,755		323
Xactly*		26,823		319

				86,252


Materials — 3.1%
Berry Plastics Group*		10,601		515
Boise Cascade*		12,176		325
Clearwater Paper*		4,891		274
Cliffs Natural Resources*		45,452		373
Ingevity*		16,086		979
Innospec		4,608		298
KapStone Paper and Packaging		14,711		340
Louisiana-Pacific*		17,454		433
PolyOne		29,629		1,010
Rayonier Advanced Materials		18,900		254
Scotts Miracle-Gro, Cl A		3,351		313
Sensient Technologies		25,375		2,011
Summit Materials, Cl A*		74,979		1,853
Trinseo		5,810		390


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
US Concrete*		11,548	$	746

				10,114


Real Estate — 1.4%
Armada Hoffler Properties‡		22,660		315
CoreSite Realty‡		8,939		805
Jernigan Capital		24,953		575
Medical Properties Trust‡		62,815		809
National Storage Affiliates Trust		83,885		2,005

				4,509


Telecommunication Services — 0.2%
Vonage Holdings*		85,232		539

Total Common Stock (Cost $286,463) ($ Thousands)				320,441


	Number of Rights

RIGHTS* — 0.0%
Dyax CVR, Expires 12/31/2019		7,184		—
Durata Therapeutics ‡‡		8,500		—

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


	Shares

AFFILIATED PARTNERSHIP — 8.2%
SEI Liquidity Fund, L.P.
0.870% **† (D)		27,190,111		27,189

Total Affiliated Partnership (Cost $27,190) ($ Thousands)				27,189


CASH EQUIVALENT — 3.2%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		10,588,465		10,588

Total Cash Equivalent (Cost $10,588) ($ Thousands)				10,588

Total Investments — 108.0% (Cost $324,241) ($ Thousands)			$	358,218

Percentages

are based on Net Assets of $331,743 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

†

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 March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $26,566 ($ Thousands).

(B)

Securities considered illiquid. The total value of such securities as of March 31, 2017 was $57 ($ Thousands) and represented 0.0% of the Net Assets of the Fund.

(C)

Securities considered restricted. The total market value of such securities as of March 31, 2017 was $57 ($ Thousands) and represented 0.0% of the Net Assets of the Fund.

(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 March 31, 2017 was $27,189 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

L.P. — Limited Partnership

The following is a list of the level of inputs used as of March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3⁽¹⁾		Total
Common Stock	$	320,384	$	—	$	57	$	320,441
Rights		—		—		—		—
Affiliated Partnership		—		27,189		—		27,189
Cash Equivalent		10,588		—		—		10,588

Total Investments in Securities	$	330,972	$	27,189	$	57	$	358,218

(1)

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 11.0%
Aaron's		41,041	$	1,221
American Axle & Manufacturing Holdings*		45,204		849
American Eagle Outfitters		51,473		722
American Outdoor Brands*		21,367		423
American Public Education*		31,000		710
Asbury Automotive Group*		6,135		369
Autoliv (A)		7,000		716
Big 5 Sporting Goods (A)		33,898		512
Big Lots (A)		74,802		3,641
Bloomin' Brands (A)		39,176		773
Bright Horizons Family Solutions*		24,221		1,756
Brunswick		8,679		531
Buffalo Wild Wings*		3,849		588
Burlington Stores*		21,198		2,062
Capella Education		5,775		491
Century Communities*		13,157		334
Cinemark Holdings		15,041		667
Cooper Tire & Rubber (A)		40,319		1,788
Cooper-Standard Holdings*		8,000		887
Core-Mark Holding, Cl A		19,658		613
Dana		21,669		418
Dave & Buster's Entertainment*		50,979		3,114
Del Frisco's Restaurant Group*		22,091		399
DeVry		28,893		1,024
Dillard's, Cl A (A)		2,522		132
Domino's Pizza		2,231		411
Eldorado Resorts* (A)		8,606		163
Five Below* (A)		37,142		1,609
GameStop, Cl A (A)		53,909		1,216
Gannett		104,250		874
Gentherm*		28,694		1,126
Graham Holdings, Cl B		1,200		719
Grand Canyon Education*		27,060		1,938
Hasbro		8,180		816
Haverty Furniture		16,178		394
IMAX*		43,634		1,484
Installed Building Products*		26,555		1,401
Interpublic Group		32,406		796
John Wiley & Sons, Cl A		7,029		378
K12*		27,523		527
Lear		15,285		2,164
Lions Gate Entertainment, Cl A		6,391		170
Lithia Motors, Cl A (A)		43,282		3,707
LKQ*		14,707		430
Marriott Vacations Worldwide (A)		16,786		1,677
Michaels*		51,113		1,144
Murphy USA* (A)		7,798		573
National CineMedia		26,991		341
Newell Brands, Cl B		20,677		975
Nexstar Broadcasting Group, Cl A		39,111		2,744
NVR*		1,001		2,109


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Office Depot		79,886	$	373
Ollie's Bargain Outlet Holdings* (A)		40,289		1,350
Oxford Industries, Cl A		10,927		626
Panera Bread, Cl A*		3,000		786
Planet Fitness, Cl A (A)		66,798		1,287
Pool		32,128		3,834
Red Rock Resorts, Cl A		35,000		776
Signet Jewelers		9,085		629
Six Flags Entertainment		25,695		1,529
Skechers U.S.A., Cl A*		106,546		2,925
SodaStream International*		27,299		1,322
Sturm Ruger (A)		5,623		301
Superior Industries International		6,694		170
Tempur Sealy International* (A)		1,600		74
Tenneco		28,072		1,752
Texas Roadhouse, Cl A		41,896		1,866
Tile Shop Holdings		63,059		1,214
Tower International		14,866		403
Ulta Salon Cosmetics & Fragrance*		3,283		936
Vail Resorts		16,565		3,179
Visteon*		30,376		2,975
Wendy's (A)		180,995		2,463
Whirlpool		5,200		891
Wolverine World Wide		39,041		975

				87,262


Consumer Staples — 3.4%
AdvancePierre Foods Holdings		15,471		482
Andersons		31,659		1,200
Bunge		6,643		527
Central Garden & Pet, Cl A*		65,765		2,283
Darling Ingredients*		23,438		340
Dean Foods		18,022		354
elf Beauty* (A)		22,893		659
Energizer Holdings		10,900		608
Fresh Del Monte Produce		10,000		592
Freshpet* (A)		91,090		1,002
Ingles Markets, Cl A		6,558		283
Ingredion		14,277		1,719
J&J Snack Foods		7,030		953
John B Sanfilippo & Son (A)		6,294		461
Kroger		19,039		561
Lamb Weston Holdings		34,188		1,438
Molson Coors Brewing, Cl B		6,535		625
Omega Protein		58,708		1,177
Pilgrim’s Pride (A)		30,205		680
Pinnacle Foods		46,739		2,705
Post Holdings*		5,128		449
Sanderson Farms (A)		11,787		1,224
Snyder's-Lance (A)		25,151		1,014
SpartanNash		14,576		510
Spectrum Brands Holdings		9,521		1,324


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
United Natural Foods*		24,950	$	1,079
US Foods Holding*		58,773		1,644
USANA Health Sciences*		4,731		273
WhiteWave Foods, Cl A*		14,281		802

				26,968


Energy — 4.1%
Abraxas Petroleum*		154,639		312
Atwood Oceanics, Cl A*		35,977		343
Callon Petroleum*		22,505		296
Carrizo Oil & Gas* (A)		33,087		948
Concho Resources*		20,638		2,649
Diamond Offshore Drilling* (A)		13,578		227
Diamondback Energy, Cl A*		6,772		702
Energen*		15,539		846
Forum Energy Technologies* (A)		33,746		699
Matador Resources*		42,526		1,012
McDermott International*		118,366		799
Murphy Oil		35,627		1,019
Newfield Exploration*		18,773		693
Oasis Petroleum*		62,111		886
Oil States International* (A)		61,495		2,039
Overseas Shipholding Group, Cl A*		70,258		271
Parsley Energy, Cl A*		22,980		747
Patterson-UTI Energy		70,106		1,701
PBF Energy, Cl A (A)		168,390		3,733
PDC Energy, Cl A*		2,338		146
Pioneer Natural Resources		2,474		461
Prothena*(A)		11,305		631
REX American Resources*		8,000		724
Rowan, Cl A* (A)		10,293		160
RSP Permian*		52,503		2,175
Southwestern Energy*		102,511		837
Tesoro		7,278		590
Transocean* (A)		158,803		1,977
US Silica Holdings		26,082		1,252
Western Refining		49,288		1,728
Whiting Petroleum*		164,769		1,559
World Fuel Services		4,189		152

				32,314


Financials — 17.8%
1st Source		4,460		209
Affiliated Managers Group		12,845		2,106
AGNC Investment‡		16,769		334
Allied World Assurance Holdings		12,900		685
Allstate		7,797		635
American Equity Investment Life Holding		169,281		4,000
American Financial Group		14,643		1,397
Ameriprise Financial		4,701		610
Amerisafe		1,639		106
Arch Capital Group*		7,276		690


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Argo Group International Holdings		23,928	$	1,622
Arlington Asset Investment, Cl A (A)		41,473		586
Artisan Partners Asset Management, Cl A		9,689		267
Aspen Insurance Holdings		8,500		442
Assurant		13,379		1,280
Assured Guaranty		12,310		457
Axis Capital Holdings		2,535		170
Banc of California (A)		39,554		819
BancFirst		4,048		364
Bank of the Ozarks (A)		26,740		1,391
Beneficial Bancorp		71,421		1,143
BGC Partners, Cl A		251,172		2,853
Boston Private Financial Holdings		18,927		310
Capitol Federal Financial		116,787		1,709
CBOE Holdings		17,521		1,420
Central Pacific Financial		15,480		473
Chemical Financial		17,703		906
CNO Financial Group		67,308		1,380
Columbia Banking System		77,842		3,035
Community Trust Bancorp		8,347		382
Dime Community Bancshares		17,964		365
ETrade Financial		11,727		409
Eagle Bancorp*		33,168		1,980
East West Bancorp		36,967		1,908
Employers Holdings		17,888		679
Enterprise Financial Services		9,147		388
Essent Group*		9,139		331
EverBank Financial, Cl A		45,939		895
Evercore Partners, Cl A		15,008		1,169
Everest Re Group		18,928		4,426
FBL Financial Group, Cl A		2,500		164
Federal Agricultural Mortgage, Cl C		7,433		428
Fidelity Southern		20,478		458
First American Financial		27,324		1,073
First Citizens BancShares, Cl A		1,150		386
First Commonwealth Financial		164,711		2,184
First Interstate BancSystem, Cl A (A)		19,006		754
FirstCash		28,273		1,390
Flagstar Bancorp*		15,477		436
FNB (Pennsylvania)		168,984		2,513
FNFV Group*		32,120		426
Genworth Financial, Cl A*		74,074		305
Great Western Bancorp		13,010		552
Green Dot, Cl A*		111,315		3,713
Greenhill (A)		25,986		761
Hamilton Lane, Cl A*		46,728		872
Hanover Insurance Group, Cl A		34,803		3,134
Heartland Financial USA		14,677		733
Heritage Financial		15,795		391
Heritage Insurance Holdings (A)		25,729		329
Hilltop Holdings		15,949		438
Horace Mann Educators, Cl A		22,271		914


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Houlihan Lokey, Cl A		42,219	$	1,454
Huntington Bancshares		168,828		2,261
Independent Bank Group		2,455		158
Infinity Property & Casualty		6,577		628
International Bancshares		20,180		714
International. FCStone*		11,359		431
Investors Bancorp		57,756		831
KCG Holdings, Cl A*		26,672		476
LPL Financial Holdings		51,260		2,042
Maiden Holdings (A)		21,978		308
MarketAxess Holdings		3,601		675
MB Financial		63,446		2,717
MGIC Investment*		217,483		2,203
OFG Bancorp		327,331		3,862
Oritani Financial		18,127		308
PacWest Bancorp		106,993		5,698
PennyMac Financial Services, Cl A*		16,666		284
Piper Jaffray		8,894		568
Popular		63,206		2,574
Primerica (A)		12,278		1,009
PrivateBancorp, Cl A		20,103		1,194
ProAssurance		18,152		1,094
Prosperity Bancshares (A)		25,706		1,792
Radian Group		16,895		303
Raymond James Financial		32,300		2,463
Reinsurance Group of America, Cl A		19,396		2,463
RenaissanceRe Holdings		6,220		900
Sabra Health Care‡		26,000		726
Santander Consumer USA Holdings*		72,743		969
Selective Insurance Group		56,285		2,654
ServisFirst Bancshares (A)		15,218		554
Signature Bank, Cl B*		11,813		1,753
SLM*		260,629		3,154
Starwood Property Trust‡		138,635		3,130
State Bank Financial		12,145		317
Sterling Bancorp		11,469		272
Stifel Financial*		20,530		1,030
SVB Financial Group, Cl B*		10,502		1,954
Synovus Financial		37,477		1,537
TCF Financial		92,073		1,567
Trico Bancshares		9,870		351
Trustco Bank NY		36,363		285
Umpqua Holdings		28,813		511
United Fire Group		7,048		301
Unum Group		29,327		1,375
Validus Holdings		15,363		866
Voya Financial		53,770		2,041
Walker & Dunlop*		12,464		520
Webster Financial (A)		3,768		189
Western Alliance Bancorp*		71,507		3,510
WSFS Financial		28,005		1,287


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Zions Bancorporation		115,555	$	4,853

				141,801

Health Care — 10.0%
ABIOMED*		8,661		1,084
ACADIA Pharmaceuticals*		13,264		456
Adamas Pharmaceuticals* (A)		30,523		534
Aerie Pharmaceuticals*		21,500		975
Aimmune Therapeutics* (A)		26,200		569
Air Methods*		48,340		2,079
Akorn* (A)		121,650		2,929
Alere*		3,176		126
Align Technology*		26,782		3,072
Alkermes*		8,391		491
AmerisourceBergen, Cl A		6,015		532
AMN Healthcare Services*		22,311		906
Bioverativ*		8,745		476
Blueprint Medicines*		8,215		329
Cambrex*		16,607		914
Charles River Laboratories International*		7,525		677
Chemed (A)		14,754		2,695
Clovis Oncology*		21,547		1,372
DBV Technologies ADR*		16,399		578
DENTSPLY SIRONA		12,999		812
DexCom* (A)		23,754		2,013
Emergent BioSolutions*		12,195		354
Envision Healthcare*		13,247		812
Exelixis*		75,929		1,645
Glaukos*		26,421		1,355
GW Pharmaceuticals ADR*		3,127		378
HealthSouth		41,909		1,794
Hologic*		12,420		528
Humana		5,500		1,134
ICON*		18,166		1,448
ICU Medical* (A)		5,669		866
Idexx Laboratories*		6,675		1,032
Incyte*		3,300		441
Integra LifeSciences Holdings*		69,164		2,914
Lannett* (A)		134,725		3,011
LHC Group*		8,754		472
LifePoint Health* (A)		5,888		386
Ligand Pharmaceuticals* (A)		45,961		4,864
Loxo Oncology*		6,908		291
Magellan Health*		12,967		895
Masimo*		15,397		1,436
Medicines*		16,794		821
MEDNAX* (A)		4,845		336
Mettler Toledo International*		411		197
MiMedx Group* (A)		118,103		1,126
Molina Healthcare*		18,556		846
Nektar Therapeutics, Cl A*		13,743		323
Neurocrine Biosciences*		7,182		311


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Nevro* (A)		31,728	$	2,973
NuVasive*		15,376		1,148
Omnicell*		25,169		1,023
Otonomy* (A)		21,739		266
Parexel International*		14,340		905
Penumbra* (A)		19,555		1,632
PerkinElmer		12,707		738
PRA Health Sciences*		29,974		1,955
Premier, Cl A*		4,859		155
Quintiles Transnational*		10,043		809
Radius Health*		16,357		632
Sage Therapeutics* (A)		15,894		1,130
Teleflex		3,980		771
TESARO*		13,263		2,041
Ultragenyx Pharmaceutical* (A)		16,841		1,141
United Therapeutics*		14,367		1,945
VCA*		7,484		685
Veeva Systems, Cl A*		15,000		769
Vocera Communications*		30,389		755
WellCare Health Plans*		13,849		1,942
Wright Medical Group* (A)		25,148		783
Zeltiq Aesthetics*		32,168		1,789

				79,622

Industrials — 17.1%
AAR		13,157		442
Acacia Research*		246,188		1,416
ACCO Brands*		195,035		2,565
Acuity Brands (A)		5,691		1,161
Advisory Board*		36,735		1,719
Alaska Air Group		16,037		1,479
Allegiant Travel, Cl A		2,338		375
Allison Transmission Holdings		14,115		509
American Woodmark*		6,174		567
AO Smith		28,088		1,437
ArcBest		36,582		951
Astec Industries		11,258		692
Atlas Air Worldwide Holdings*		58,031		3,218
Beacon Roofing Supply*		5,422		267
BMC Stock Holdings*		33,755		763
Briggs & Stratton		16,366		367
BWX Technologies, Cl W		120,611		5,741
Carlisle		34,980		3,722
CEB		18,361		1,443
Cintas		12,501		1,582
CIRCOR International (A)		15,932		947
Colfax*		35,963		1,412
Comfort Systems USA		16,668		611
Copa Holdings, Cl A		5,789		650
Copart*		6,297		390
Crane, Cl A		40,914		3,062
Curtiss-Wright		15,306		1,397


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Deluxe (A)		11,400	$	823
DXP Enterprises*		12,853		487
Dycom Industries* (A)		24,779		2,303
EMCOR Group		24,206		1,524
Engility Holdings*		23,184		671
Ennis		17,626		300
Esterline Technologies*		11,944		1,028
Franklin Electric		21,857		941
Genesee & Wyoming, Cl A*		66,657		4,523
Gibraltar Industries*		7,772		320
Global Brass & Copper Holdings		11,651		401
Greenbrier (A)		22,252		959
H&E Equipment Services		50,162		1,230
Hawaiian Holdings*		26,352		1,224
HD Supply Holdings*		29,102		1,197
Hexcel, Cl A		24,458		1,334
HNI		13,162		607
Huntington Ingalls Industries, Cl A		9,530		1,908
Hyster-Yale Materials Handling		2,559		144
IDEX		18,517		1,731
Insperity, Cl A		4,608		408
ITT		39,641		1,626
Jacobs Engineering Group		6,039		334
JetBlue Airways*		108,568		2,238
John Bean Technologies, Cl A		7,131		627
Kadant		25,142		1,492
Kaman, Cl A		24,889		1,198
KAR Auction Services		92,593		4,043
Kennametal		71,073		2,788
Kirby* (A)		10,478		739
Knoll, Cl B		13,459		320
L3 Technologies		7,300		1,207
LB Foster, Cl A		75,966		950
Lincoln Electric Holdings		26,905		2,337
ManpowerGroup		25,113		2,576
MasTec*		39,850		1,596
Mercury Systems*		16,948		662
Meritor*		119,937		2,054
Middleby* (A)		17,188		2,345
MRC Global*		20,993		385
MSA Safety		10,698		756
MYR Group*		12,505		513
Old Dominion Freight Line, Cl A		25,477		2,180
On Assignment*		8,718		423
Orbital ATK		6,990		685
Oshkosh Truck		36,232		2,485
Owens Corning		22,671		1,391
Paylocity Holding* (A)		32,849		1,269
Quad Graphics		10,996		277
Quanta Services*		42,657		1,583
RBC Bearings* (A)		14,377		1,396
Roadrunner Transportation Systems*		58,608		403


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Robert Half International		29,700	$	1,450
RPX*		31,949		383
Ryder System		8,900		671
Saia*		9,826		435
SiteOne Landscape Supply*		17,957		869
Skywest		25,407		870
Spirit AeroSystems Holdings, Cl A		28,103		1,628
Spirit Airlines*		8,420		447
Supreme Industries, Cl A		21,253		431
Teledyne Technologies*		20,481		2,590
Terex		16,064		504
Tetra Tech		16,037		655
Timken		6,849		310
Toro		10,348		646
TransDigm Group		500		110
TransUnion*		15,948		612
Trinity Industries		52,858		1,403
Triumph Group (A)		68,999		1,777
TrueBlue*		18,524		507
Unifirst		644		91
United Rentals*		29,278		3,661
Univar*		37,336		1,145
Universal Forest Products		12,300		1,212
Vectrus*		18,138		405
Wabash National (A)		58,124		1,203
Wabtec (A)		3,600		281
WageWorks*		8,366		605
Waste Connections		8,657		764
Watsco		3,339		478
Wesco Aircraft Holdings*		120,431		1,373
WESCO International*		5,018		349
XPO Logistics*		24,131		1,156
Xylem		14,310		719

				135,566


Information Technology — 16.7%
2U* (A)		40,016		1,587
ACI Worldwide*		81,509		1,744
Advanced Energy Industries*		15,785		1,082
Advanced Micro Devices*		54,980		800
Amkor Technology*		68,250		791
Anixter International*		12,748		1,011
Ansys*		2,600		278
Arista Networks* (A)		4,501		595
Arrow Electronics, Cl A*		4,925		362
Aspen Technology*		42,378		2,497
Avnet		7,600		348
Belden		9,618		666
Benchmark Electronics*		25,072		797
Blackbaud, Cl A (A)		3,876		297
Blackhawk Network Holdings, Cl A*		43,794		1,778
Bottomline Technologies* (A)		31,359		742


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Broadcom, Cl A		9,282	$	2,032
Broadridge Financial Solutions		1,700		116
Brocade Communications Systems		38,812		484
Cadence Design Systems*		54,862		1,723
CDW		21,820		1,259
Cimpress* (A)		10,766		928
Cirrus Logic*		19,412		1,178
Cognex		6,749		567
Coherent*		3,990		821
CommScope Holding*		19,669		820
Convergys		20,581		435
CoStar Group*		10,197		2,113
CSG Systems International		16,700		631
CSRA		18,139		531
Cypress Semiconductor		244,827		3,369
Diebold (A)		79,450		2,439
Dolby Laboratories, Cl A		20,882		1,094
Electronic Arts*		13,002		1,164
Ellie Mae*		10,508		1,054
Entegris*		26,270		615
EPAM Systems*		5,383		407
Euronet Worldwide*		231		20
EVERTEC		30,971		492
Fidelity National Information Services, Cl B		12,186		970
Finisar*		11,091		303
First Data, Cl A*		71,512		1,108
Flir Systems		20,192		733
Gartner*		1,518		164
Gigamon*		11,406		406
Global Payments		5,841		471
GrubHub* (A)		30,018		987
Guidewire Software, Cl Z*		25,541		1,439
HubSpot*		21,125		1,279
IAC*		49,937		3,681
II-VI*		27,400		988
Infinera*		27,726		284
Inphi*		27,127		1,324
Insight Enterprises*		21,641		889
InterDigital		25,842		2,230
InterXion Holding*		26,628		1,053
Ixia*		24,958		490
j2 Global		28,988		2,432
Jabil Circuit		58,685		1,697
Keysight Technologies*		66,207		2,393
Leidos Holdings		24,667		1,262
Littelfuse		16,324		2,610
LogMeIn		13,730		1,339
Lumentum Holdings*		17,046		909
Manhattan Associates*		10,280		535
Marvell Technology Group		103,375		1,578
Match Group* (A)		42,861		700
MAXIMUS		15,796		983


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Mellanox Technologies*		46,815	$	2,385
Methode Electronics		11,078		505
Microchip Technology		13,708		1,011
Microsemi*		51,038		2,630
MKS Instruments		14,407		991
Monolithic Power Systems		22,891		2,108
Nanometrics*		11,957		364
NCR*		39,528		1,806
NETGEAR*		16,427		814
NeuStar, Cl A*		24,116		799
Nuance Communications*		47,299		819
Oclaro*		56,004		550
ON Semiconductor*		42,625		660
Orbotech*		39,536		1,275
OSI Systems*		18,122		1,323
Palo Alto Networks*		4,182		471
Pandora Media* (A)		58,594		692
Photronics*		43,442		465
Proofpoint* (A)		20,816		1,548
PTC*		12,691		667
Q2 Holdings* (A)		40,997		1,429
Qorvo*		10,870		745
RetailMeNot*		42,858		347
RingCentral, Cl A*		69,691		1,972
Sanmina*		38,828		1,576
Scansource*		23,647		928
Science Applications International		11,933		888
Shopify, Cl A*		24,065		1,639
Silicon Laboratories*		19,462		1,431
Silicon Motion Technology ADR		31,125		1,455
Sonus Networks*		24,298		160
Square, Cl A*		57,656		996
SS&C Technologies Holdings		17,556		622
Super Micro Computer* (A)		14,225		361
Sykes Enterprises*		20,228		595
SYNNEX		9,640		1,079
Synopsys*		20,308		1,465
Take-Two Interactive Software, Cl A*		50,559		2,997
Tech Data*		11,750		1,103
Teradyne		40,298		1,253
TTM Technologies*		25,256		407
Tyler Technologies*		4,765		737
Ultimate Software Group* (A)		10,632		2,076
Universal Display		14,294		1,231
VeriFone Holdings* (A)		177,965		3,333
Web.com Group*		13,060		252
Xperi		4,036		137
Zebra Technologies, Cl A*		48,012		4,381

				132,382

Materials — 6.4%
Albemarle		24,763		2,616


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Ashland Global Holdings		7,929	$	982
Avery Dennison		24,778		1,997
Berry Plastics Group*		41,193		2,001
Boise Cascade*		24,368		651
Cabot		24,685		1,479
Celanese, Ser A, Cl A		3,525		317
Chemours		47,390		1,824
Clearwater Paper*		9,344		523
Cliffs Natural Resources*		147,162		1,208
Commercial Metals, Cl A		13,920		266
Compass Minerals International, Cl A (A)		1,100		75
Crown Holdings*		14,143		749
Eagle Materials		15,439		1,500
FMC		75,514		5,255
Headwaters, Cl A*		74,757		1,755
Huntsman		23,455		576
Innophos Holdings		5,557		300
Louisiana-Pacific*		25,093		623
LSB Industries* (A)		172,065		1,614
Materion		12,245		411
Methanex		8,312		390
Minerals Technologies		2,832		217
Neenah Paper, Cl A		14,000		1,046
Owens-Illinois*		116,723		2,379
Packaging Corp of America		10,242		938
PolyOne		61,364		2,092
Rayonier Advanced Materials		43,416		584
Ryerson Holding*		16,447		207
Schulman A		66,795		2,101
Sensient Technologies		16,062		1,273
Silgan Holdings		43,749		2,597
Steel Dynamics		42,104		1,463
Stepan		6,908		544
Summit Materials, Cl A*		41,620		1,028
Trinseo		22,468		1,508
United States Steel		100,926		3,412
Valvoline (A)		45,659		1,121
Westlake Chemical		10,306		681
Worthington Industries		20,346		917

				51,220

Real Estate — 6.1%
Alexandria Real Estate Equities‡		10,497		1,160
American Campus Communities‡		25,659		1,221
American Homes 4 Rent, Cl A‡		62,696		1,440
Armada Hoffler Properties‡		28,819		400
Care Capital Properties‡		40,016		1,075
CBL & Associates Properties‡		87,658		836
Colony Starwood Homes‡		55,091		1,870
CoreCivic		115,755		3,637
CoreSite Realty‡		5,244		472
CyrusOne‡		32,312		1,663


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
DiamondRock Hospitality‡ (A)		152,088	$	1,696
Douglas Emmett‡		4,298		165
DuPont Fabros Technology‡ (A)		19,665		975
Education Realty Trust‡		26,024		1,063
EPR Properties, Cl A‡		28,400		2,091
Forest City Realty Trust, Cl A‡		22,450		489
Franklin Street Properties‡		57,467		698
Gaming and Leisure Properties‡		66,751		2,231
Hersha Hospitality Trust, Cl A‡ (A)		66,533		1,250
Highwoods Properties‡		53,933		2,650
Hospitality Properties Trust‡ (A)		46,609		1,470
Howard Hughes*		31,877		3,738
InfraREIT‡		18,073		325
Jones Lang LaSalle		16,139		1,799
Life Storage		8,505		698
Medical Properties Trust‡ (A)		190,106		2,450
Mid-America Apartment Communities‡		8,042		818
New York ‡		199,071		1,929
QTS Realty Trust, Cl A‡		7,069		345
Realogy Holdings		62,177		1,852
Regency Centers‡		7,596		504
RLJ Lodging Trust‡		37,721		887
Ryman Hospitality Properties		14,227		880
STAG Industrial‡		26,238		657
Summit Hotel Properties‡		40,648		650
Sun Communities‡		1,400		112
Sunstone Hotel Investors‡		59,555		913
Washington Prime Group‡		105,278		915
Xenia Hotels & Resorts‡		39,884		681

				48,705


Telecommunication Services — 0.2%
Cogent Communications Holdings (A)		12,431		535
FairPoint Communications*		45,000		747
Vonage Holdings*		86,245		545

				1,827


Utilities — 2.3%
ALLETE		20,433		1,384
Alliant Energy		20,000		792
Aqua America		34,439		1,107
Atmos Energy		20,484		1,618
Avista		21,700		847
Black Hills, Cl A		6,055		402
CMS Energy		10,600		474
El Paso Electric, Cl A		6,666		337
Great Plains Energy		42,356		1,238
Hawaiian Electric Industries		9,542		318
Idacorp, Cl A		10,909		905
National Fuel Gas		19,648		1,171
ONE Gas		13,697		926
Portland General Electric		43,378		1,927


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
SCANA		10,356	$	677
SJW		6,173		298
Southwest Gas		20,594		1,707
UGI		35,168		1,737
Vectren		7,055		414

				18,279


Total Common Stock
(Cost $509,630) ($ Thousands)				755,946


	Number of Rights
RIGHTS* — 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 — 12.3%
SEI Liquidity Fund, L.P.
0.870% **† (B)		97,018,933		97,014

Total Affiliated Partnership (Cost $97,018) ($ Thousands)				97,014

CASH EQUIVALENT — 5.3%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		42,539,766		42,540

Total Cash Equivalent (Cost $42,540) ($ Thousands)				42,540

Total Investments — 112.7% (Cost $649,188) ($ Thousands)			$	895,512

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation ($ Thousands)
Russell 2000 Index E-MINI		53		Jun-2017	$	49
S&P Mid Cap 400 Index E-MINI		25		Jun-2017		23

					$	72

Percentages are based on Net Assets of $794,918 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (See Note 6).

‡

Real Estate Investment Trust.

‡‡

Expiration date not available.

(A)

This security or a partial position of this security is on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $95,303 ($ 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 March 31, 2017 was $97,014 ($ Thousands).

ADR — American Depositary Receipt

Cl — Class

CVR — Contingent Value Rights

L.P. — Limited Partnership

S&P — Standard & Poor’s

Ser — Series

The following is a list of the level of inputs used as of March 31, 2017, 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	$	755,946	$	—	$	—	$	755,946
Rights		—		12		—		12
Affiliated Partnership		—		97,014		—		97,014
Cash Equivalent		42,540		—		—		42,540

Total Investments in Securities	$	798,486	$	97,026	$	—	$	895,512

Other Financial Instruments		Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	72	$	—	$	—	$	72
Total Other Financial Instruments	$	72	$	—	$	—	$	72

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 93.5%

Consumer Discretionary — 14.9%
Adient		8,700	$	632
Aramark		18,500		682
Bed Bath & Beyond (A)		12,300		485
Best Buy		17,800		875
Burlington Stores*		1,700		165
Cooper-Standard Holdings*		4,500		499
Dick's Sporting Goods		8,700		423
Discovery Communications, Cl A* (A)		1,900		55
Discovery Communications, Cl C*		22,600		640
DISH Network, Cl A*		8,700		552
DR Horton		22,200		740
Express*		3,300		30
Extended Stay America		33,500		534
Foot Locker, Cl A		4,500		337
FTD*		3,100		62
GameStop, Cl A (A)		6,900		156
Gap		12,500		304
Genuine Parts		8,100		749
International Game Technology		19,200		455
Kohl’s (A)		11,083		441
Lear		5,300		750
Lennar, Cl A		2,800		143
Lennar, Cl B		3,000		125
Liberty Interactive QVC Group, Cl A*		29,700		595
lululemon athletica*		9,800		508
Macy’s		20,400		605
Michaels*		5,100		114
NACCO Industries, Cl A		2,600		182
NVR*		340		716
PVH		5,700		590
Ross Stores		12,000		790
Staples		22,800		200
TEGNA		16,900		433
Thor Industries		3,200		308
Ulta Salon Cosmetics & Fragrance*		2,800		799
Viacom, Cl B		17,200		802
Wyndham Worldwide		6,700		565

				17,041


Consumer Staples — 3.8%
Blue Buffalo Pet Products*		6,600		152
Bunge		9,500		753
Campbell Soup		2,900		166
Clorox		4,300		580
ConAgra Foods		20,800		839
Dr Pepper Snapple Group		2,800		274
Ingredion		4,200		506
Lamb Weston Holdings		5,300		223
Tyson Foods, Cl A		13,500		833

				4,326


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)

Energy — 5.6%
ConocoPhillips		2,200	$	110
Devon Energy		22,200		926
Marathon Oil		49,800		787
Marathon Petroleum		19,500		985
National Oilwell Varco, Cl A		11,900		477
Newfield Exploration*		18,800		694
Noble Energy		22,800		783
Oneok (A)		13,600		754
Williams		32,100		950

				6,466


Financials — 10.4%
Alleghany*		1,070		658
American Financial Group		6,900		658
Ameriprise Financial		6,600		856
Annaly Capital Management ‡		58,800		653
Citizens Financial Group		22,300		770
CNA Financial		2,300		102
East West Bancorp		10,700		552
Fifth Third Bancorp		11,600		295
Financial Institutions		900		30
Genworth Financial, Cl A*		9,700		40
Hanover Insurance Group, Cl A		2,200		198
Hartford Financial Services Group		9,900		476
International. FCStone*		1,200		46
Invesco		10,800		331
Leucadia National		26,100		679
Lincoln National		2,300		150
Loews		15,200		711
LPL Financial Holdings		8,500		339
Old Republic International		30,400		623
Popular		14,200		578
Progressive		14,400		564
Raymond James Financial		10,600		808
SunTrust Banks		11,900		658
Synchrony Financial		10,300		353
Unum Group		17,200		806

				11,934


Health Care — 9.8%
Baxter International		10,400		539
Becton Dickinson		1,900		349
Bruker BioSciences		21,200		495
C.R. Bard		3,300		820
Centene*		10,600		755
Cerner*		14,700		865
DaVita HealthCare Partners*		6,000		408
Edwards Lifesciences, Cl A*		4,000		376
Endo International*		12,700		142
HCA Holdings*		1,700		151
Hill-Rom Holdings		1,000		71


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Hologic*		16,600	$	706
Humana		900		185
IDEXX Laboratories*		5,300		819
Incyte*		2,300		307
Mallinckrodt*		13,000		579
QIAGEN		2,900		84
Quintiles Transnational*		8,900		717
United Therapeutics*		4,200		569
Veeva Systems, Cl A*		9,800		503
VWR*		7,800		220
WellCare Health Plans*		4,200		589
Zoetis, Cl A		18,000		961

				11,210


Industrials — 11.8%
AECOM*		16,300		580
Allison Transmission Holdings		7,100		256
Babcock & Wilcox Enterprises*		1,700		16
BWX Technologies, Cl W		3,300		157
Carlisle		6,300		670
Comfort Systems USA		1,900		70
Crane, Cl A		3,700		277
Cummins		5,800		877
Danaher, Cl A		3,600		308
Fortive		4,700		283
Global Brass & Copper Holdings		3,000		103
HD Supply Holdings*		8,800		362
Hertz Global Holdings*		4,800		84
Huntington Ingalls Industries, Cl A		4,200		841
Ingersoll-Rand		9,100		740
Insperity, Cl A		1,900		169
KBR		32,600		490
Lennox International		3,800		636
LSC Communications		4,500		113
Oshkosh Truck		8,600		590
Owens Corning		800		49
Parker-Hannifin, Cl A		4,400		706
Pentair		11,100		697
Rockwell Automation		5,500		856
Spirit AeroSystems Holdings, Cl A		11,400		660
Stanley Black & Decker		5,600		744
Toro		8,900		556
United Continental Holdings*		8,300		586
United Rentals*		3,400		425
WESCO International*		8,700		605

				13,506


Information Technology — 15.6%
Advanced Energy Industries*		6,300		432
Akamai Technologies*		11,600		693
Alpha & Omega Semiconductor*		3,300		57
Analog Devices		4,900		402


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Applied Materials		15,000	$	584
Booz Allen Hamilton Holding, Cl A		17,200		609
CA		1,200		38
CACI International, Cl A*		700		82
CDK Global		9,800		637
CDW		13,400		773
Citrix Systems*		2,600		217
Cognizant Technology Solutions, Cl A*		2,100		125
CommScope Holding*		17,500		730
DST Systems		2,500		306
Electronic Arts*		11,200		1,003
F5 Networks, Cl A*		4,600		656
First Data, Cl A*		6,600		102
Fiserv, Cl A*		3,200		369
Fortinet*		1,600		61
Hackett Group		4,700		92
Intuit		4,400		510
Jabil Circuit		7,000		203
Juniper Networks		23,800		662
Leidos Holdings		10,900		557
Manhattan Associates*		7,300		380
Maxim Integrated Products		15,000		674
Micron Technology*		35,300		1,020
Motorola Solutions		8,500		733
NetApp		8,500		356
Nvidia		1,600		174
ON Semiconductor*		27,400		424
Red Hat*		1,800		156
Seagate Technology (A)		11,000		505
Semtech*		5,600		189
Skyworks Solutions		9,000		882
Symantec, Cl A		31,000		951
Synopsys*		10,500		757
Teradyne		7,500		233
Total System Services		9,700		519
Western Digital		700		58

				17,911


Materials — 4.8%
Alcoa		8,500		292
Cabot		4,000		240
Eastman Chemical		4,800		388
Freeport-McMoRan, Cl B*		45,200		604
LyondellBasell Industries, Cl A		2,200		201
Newmont Mining		18,000		593
Nucor		13,300		794
Owens-Illinois*		21,100		430
Packaging Corp of America		6,300		577
Reliance Steel & Aluminum		1,500		120
RPM International		6,000		330
Steel Dynamics		20,200		702


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
WestRock		4,900	$	255

				5,526


Real Estate — 8.9%
Apple Hospitality (A)		16,000		306
Ashford Hospitality Prime‡		13,300		141
Ashford Hospitality Trust‡		13,300		85
Brixmor Property Group‡		22,600		485
CBRE Group, Cl A*		20,600		717
Chesapeake Lodging Trust‡		13,100		314
Chimera Investment‡		28,140		568
Colony NorthStar, Cl A		2,968		38
CoreCivic		20,500		644
DDR‡		6,600		83
Equity Commonwealth*‡		9,500		297
Forest City Realty Trust, Cl A‡		12,900		281
Franklin Street Properties‡		16,400		199
GEO Group‡		13,900		644
GGP		22,300		517
HCP‡		11,900		372
Host Hotels & Resorts‡		15,600		291
InfraREIT‡		14,400		259
Outfront Media‡		24,000		637
Paramount Group‡		14,700		238
ProLogis‡		14,600		757
RMR Group		2,400		119
Spirit Realty Capital‡		60,600		614
Tier‡		2,200		38
VEREIT‡		79,700		677
WP Carey‡		9,000		560
Xenia Hotels & Resorts‡		15,400		263

				10,144


Telecommunication Services — 1.3%
CenturyLink (A)		31,900		752
Telephone & Data Systems		17,100		453
US Cellular*		6,600		247

				1,452


Utilities — 6.6%
AES		59,700		668
Atmos Energy		8,700		687
Centerpoint Energy		26,300		725
DTE Energy		5,100		521
Eversource Energy		9,400		553
FirstEnergy		24,700		786
MDU Resources Group		20,800		569
NiSource		28,500		678
PPL		22,300		834
Public Service Enterprise Group		10,400		461
SCANA		5,800		379


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
UGI		14,300	$	706

				7,567

Total Common Stock (Cost $95,721) ($ Thousands)				107,083


AFFILIATED PARTNERSHIP — 2.8%
SEI Liquidity Fund, L.P.
0.870% **† (B)		3,198,676		3,198

Total Affiliated Partnership (Cost $3,198) ($ Thousands)				3,198


CASH EQUIVALENT — 5.4%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		6,211,561		6,212

Total Cash Equivalent (Cost $6,212) ($ Thousands)				6,212

Total Investments — 101.7% (Cost $105,131) ($ Thousands)			$	116,493

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:

Type of Contract

Number of
Contracts
Long

Expiration

Date

Unrealized
Appreciation
($ Thousands)

S&P Mid Cap 400 Index E-MINI

Jun-2017

Percentages are based on Net Assets of $114,514 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

†

Investment in Affiliated Security (See Note 6).

‡

Real Estate Investment Trust.

(A)

This security or a partial position of this security is on loan at March 31, 2017 (see Note 10). The total market value of securities on loan at March 31, 2017 was $3,124 ($ 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 March 31, 2017 was $3,198 ($ 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 March 31, 2017, in valuing the Fund’s investments carried at value ($ Thousands):


Investments in Securities	Level 1		Level 2		Level 3		Total
Common Stock	$	107,083	$	—	$	—	$	107,083
Affiliated Partnership		—		3,198		—		3,198
Cash Equivalent		6,212		—		—		6,212

Total Investments in Securities	$	113,295	$	3,198	$	—	$	116,493


Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures Contracts *
Unrealized Appreciation	$	22	$	—	$	—	$	22

Total Other Financial Instruments	$	22	$	—	$	—	$	22

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 98.1%

Consumer Discretionary — 9.5%
AMC Networks, Cl A*		42,553	$	2,497
American Eagle Outfitters		29,814		418
Aramark		251,461		9,271
Autozone*		4,800		3,471
Bed Bath & Beyond		108,741		4,291
Best Buy		32,222		1,584
Big Lots		117,152		5,703
BJ's Restaurants*		12,392		501
Brinker International		42,527		1,869
Canadian Tire, Cl A		30,700		3,637
Carriage Services		12,539		340
CBS, Cl B		8,102		562
Cheesecake Factory		150,906		9,561
Children's Place		46,400		5,570
Comcast, Cl A		98,200		3,691
Cooper Tire & Rubber		15,028		667
Cooper-Standard Holdings*		7,441		825
Cracker Barrel Old Country Store		4,800		764
Darden Restaurants		176,707		14,785
Del Frisco's Restaurant Group*		9,995		180
Dollar General		65,245		4,550
Domino's Pizza		2,385		440
Eldorado Resorts*		15,513		294
Escalade		6,743		87
Foot Locker, Cl A		59,483		4,450
Gannett		16,715		140
General Motors		8,173		289
Golden Entertainment*		3,753		50
Grand Canyon Education*		9,252		663
International Speedway, Cl A		865		32
Kohl’s		89,800		3,575
Lear		17,581		2,489
Macy’s		37,300		1,106
McDonald’s		117,262		15,198
Michael Kors Holdings*		119,449		4,552
MSG Networks*		43,328		1,012
Murphy USA*		58,900		4,324
National CineMedia		24,332		307
NVR*		2,000		4,214
Panera Bread, Cl A*		9,719		2,545
PetMed Express		35,402		713
Regal Entertainment Group, Cl A		25,239		570
Ross Stores		22,954		1,512
Sally Beauty Holdings*		142,800		2,919
Scripps Networks Interactive, Cl A		51,600		4,044
Six Flags Entertainment		24,452		1,455
Staples		131,088		1,150
Target, Cl A		294,166		16,235
Ulta Salon Cosmetics & Fragrance*		2,754		786
Viacom, Cl B		40,400		1,883
Visteon*		2,994		293


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Walt Disney		7,133	$	809
Wendy’s		5,394		73
Yum! Brands		60,365		3,857

				156,803


Consumer Staples — 16.5%
Altria Group		311,666		22,259
Blue Buffalo Pet Products*		3,229		74
Bunge		76,837		6,090
Calavo Growers		14,295		866
Cal-Maine Foods*		1,241		46
Clorox		8,794		1,186
Coca-Cola		189,454		8,040
Colgate-Palmolive		128,558		9,409
Costco Wholesale		76,610		12,847
CVS Health		112,600		8,839
Dean Foods		204,494		4,020
Dr Pepper Snapple Group		279,455		27,364
Flowers Foods		216,147		4,195
Fresh Del Monte Produce		99,913		5,918
General Mills		168,008		9,914
Hormel Foods		57,827		2,003
Ingredion		26,354		3,174
J&J Snack Foods		5,929		804
Kellogg		55,732		4,047
Kimberly-Clark		90,119		11,862
Kroger		344,584		10,162
Lancaster Colony		10,346		1,333
McCormick		111,502		10,877
Medifast		4,108		182
Metro, Cl A		92,100		2,821
Nu Skin Enterprises, Cl A		7,137		396
PepsiCo		155,863		17,435
Philip Morris International		122,390		13,818
Pinnacle Foods		58,802		3,403
Procter & Gamble		57,253		5,144
Sanderson Farms		41,900		4,351
Snyder’s-Lance		8,820		356
Sysco, Cl A		268,189		13,924
Turning Point Brands*		3,566		56
Tyson Foods, Cl A		109,200		6,739
Universal		45,737		3,236
USANA Health Sciences*		2,400		138
Vector Group		49,650		1,033
Wal-Mart Stores		472,037		34,024
Weis Markets		10,536		629

				273,014


Energy — 0.8%
Exxon Mobil		111,500		9,144
Frank's International		111,707		1,181
Overseas Shipholding Group, Cl A*		61,725		238


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Valero Energy		51,600	$	3,421

				13,984


Financials — 15.0%
Aflac		104,719		7,584
AGNC Investment‡		55,100		1,096
Alleghany*		2,759		1,696
Allied World Assurance Holdings		47,000		2,496
Allstate		151,475		12,344
American Financial Group		86,638		8,267
American National Insurance		3,738		441
Amerisafe		3,186		207
Annaly Capital Management‡		516,100		5,734
Arch Capital Group*		90,931		8,618
Argo Group International Holdings		5,484		372
Aspen Insurance Holdings		145,185		7,557
Assured Guaranty		76,548		2,841
Atlas Financial Holdings*		9,959		136
Axis Capital Holdings		242,517		16,256
Baldwin & Lyons, Cl B		11,424		279
Bank of America		13,625		321
Bank of Marin Bancorp		2,321		149
BankUnited		32,957		1,230
BB&T		44,500		1,989
Berkshire Hathaway, Cl B*		75,500		12,584
Blue Capital Reinsurance Holdings		3,208		62
BOK Financial		14,812		1,159
Capitol Federal Financial		66,277		970
Carolina Financial		10,829		325
CBOE Holdings		64,471		5,227
Charter Financial		11,684		230
Citizens Financial Group		76,884		2,656
CU Bancorp*		7,805		309
Cullen/Frost Bankers		2,314		206
Employers Holdings		8,614		327
Enstar Group*		3,173		607
Essent Group*		24,459		885
Everest Re Group		102,642		23,999
Farmers Capital Bank		10,869		439
Farmers National Banc		3,409		49
Fidelity & Guaranty Life		14,431		401
First Business Financial Services		10,525		273
First Foundation*		11,934		185
First Mid-Illinois Bancshares		4,216		143
Genworth MI Canada		71,000		1,958
Green Dot, Cl A*		23,086		770
Hanover Insurance Group, Cl A		28,820		2,596
Hartford Financial Services Group		60,878		2,926
Heritage Insurance Holdings		2,526		32
Houlihan Lokey, Cl A		10,707		369
James River Group Holdings		8,608		369
JPMorgan Chase		13,601		1,195


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Marsh & McLennan		6,889	$	509
MBT Financial		8,074		92
MFA Financial‡		803,853		6,495
Middleburg Financial		1,280		51
MidWestOne Financial Group		1,792		61
Morningstar, Cl A		5,095		400
National Bank Holdings, Cl A		18,485		601
National Bank of Canada		96,800		4,053
National General Holdings		4,501		107
New Mountain Finance		142,100		2,117
Nicolet Bankshares*		1,692		80
NMI Holdings, Cl A*		9,933		113
Northwest Bancshares		25,491		429
Old Line Bancshares		12,833		365
Old Republic International		6,257		128
Old Second Bancorp		15,242		171
OneBeacon Insurance Group, Cl A		16,763		268
Oritani Financial		4,965		84
Pacific Premier Bancorp*		22,726		876
PennyMac Financial Services, Cl A*		13,347		228
Peoples Financial Services		3,918		164
People's Utah Bancorp		2,867		76
Popular		34,332		1,398
ProAssurance		19,684		1,186
Progressive		27,876		1,092
Prudential Financial		11,211		1,196
QCR Holdings		3,057		129
Reinsurance Group of America, Cl A		34,734		4,411
RenaissanceRe Holdings		88,451		12,794
RLI		8,944		537
Royal Bank of Canada		58,700		4,265
S&P Global		66,342		8,674
Safety Insurance Group		6,911		484
Southern First Bancshares*		942		31
Southern Missouri Bancorp		535		19
Starwood Property Trust‡		112,600		2,542
Stonegate Bank		23,967		1,129
Territorial Bancorp		2,184		68
TFS Financial		5,082		84
Travelers		131,026		15,794
United Financial Bancorp		107,408		1,827
Unum Group		18,309		859
US Bancorp		125,974		6,488
Validus Holdings		301,053		16,976
Virtu Financial, Cl A		51,473		875
Voya Financial		13,684		519
Washington Federal		19,100		632
WashingtonFirst Bankshares		4,741		133
Waterstone Financial		17,315		316
Wells Fargo		90,400		5,032

				247,822


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)

Health Care — 15.0%
Abbott Laboratories		18,093	$	803
AbbVie		70,265		4,578
Allscripts Healthcare Solutions*		28,541		362
Amgen, Cl A		47,757		7,835
Anthem		48,900		8,087
AxoGen*		6,859		72
Baxter International		244,465		12,678
Biogen*		4,833		1,321
Bio-Rad Laboratories, Cl A*		1,956		390
Bristol-Myers Squibb		149,742		8,143
C.R. Bard		16,499		4,101
Cardinal Health		144,431		11,778
Chemed		13,955		2,549
DaVita*		34,759		2,363
Eli Lilly		16,288		1,370
Enzo Biochem*		33,072		277
Express Scripts Holding*		83,852		5,527
Gilead Sciences		72,663		4,935
Haemonetics*		15,348		623
HCA Holdings*		61,638		5,485
HealthSouth		26,720		1,144
Henry Schein*		9,017		1,533
Heska*		8,953		940
Hill-Rom Holdings		4,024		284
ICON*		25,675		2,047
ICU Medical*		5,492		839
Johnson & Johnson		298,436		37,170
Laboratory Corp of America Holdings*		48,496		6,958
LeMaitre Vascular		30,002		739
Mallinckrodt*		10,124		451
Masimo*		13,701		1,278
McKesson		9,220		1,367
Merck		524,740		33,342
Meridian Bioscience		38,436		530
Myriad Genetics*		26,852		516
NeoGenomics*		44,871		354
Owens & Minor		124,369		4,303
Pfizer		814,253		27,856
Premier, Cl A*		7,457		237
Quality Systems*		49,408		753
Quest Diagnostics		110,677		10,867
Quintiles Transnational*		18,550		1,494
Tactile Systems Technology*		7,344		139
Teleflex		47,140		9,132
Tivity Health*		7,631		222
United Therapeutics*		20,967		2,839
UnitedHealth Group		63,968		10,491
Utah Medical Products		6,072		378
Varian Medical Systems*		43,362		3,952
Vocera Communications*		30,216		750
Waters*		11,104		1,736


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
WellCare Health Plans*		3,222	$	452
West Pharmaceutical Services		1,868		152
Zoetis, Cl A		7,061		377

				248,899


Industrials — 9.1%
3M		11,353		2,172
Alaska Air Group		43,298		3,993
American Airlines Group		8,132		344
Babcock & Wilcox Enterprises*		23,553		220
Blue Bird*		8,410		144
Boeing		42,300		7,481
BWX Technologies, Cl W		4,105		195
Danaher, Cl A		6,426		550
Deere		63,600		6,924
Delta Air Lines, Cl A		90,381		4,154
Expeditors International of Washington		36,941		2,087
FedEx		37,029		7,226
JetBlue Airways*		30,966		638
Landstar System		61,177		5,240
Lockheed Martin		52,483		14,045
Macquarie Infrastructure		5,265		424
ManpowerGroup		3,657		375
MSC Industrial Direct, Cl A		4,187		430
Northrop Grumman		64,429		15,324
Owens Corning		5,307		326
Raytheon		66,945		10,209
Republic Services		180,600		11,344
Southwest Airlines, Cl A		38,398		2,064
Spirit AeroSystems Holdings, Cl A		69,655		4,034
Spirit Airlines*		18,340		973
United Continental Holdings*		63,120		4,459
United Parcel Service, Cl B		153,703		16,492
United Technologies		45,000		5,049
Waste Management		319,782		23,319

				150,235


Information Technology — 12.6%
Acacia Communications*		937		55
Accenture, Cl A		54,421		6,524
Alphabet, Cl A*		2,380		2,018
Amdocs		417,188		25,444
Amkor Technology*		27,635		320
Apple		67,400		9,683
Applied Materials		117,199		4,559
Aspen Technology*		83,467		4,918
Booz Allen Hamilton Holding, Cl A		162,751		5,760
Broadridge Financial Solutions		38,234		2,598
CA		137,597		4,365
Cadence Design Systems*		20,538		645
Cardtronics*		3,049		143
CDW		34,827		2,010


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Cisco Systems		412,845	$	13,954
Citrix Systems*		32,043		2,672
CommVault Systems*		1,349		68
Convergys		130,791		2,766
CSG Systems International		11,975		453
Dell Technologies - VMware, Cl V*		49,671		3,183
DST Systems		7,897		967
eBay*		276,736		9,290
F5 Networks, Cl A*		4,400		627
Forrester Research		25,885		1,029
Genpact		18,042		447
Harris		37,426		4,164
HP		73,394		1,312
IAC*		47,803		3,524
Intel		272,687		9,836
International Business Machines		82,677		14,397
Intuit		35,130		4,075
Micron Technology*		12,556		363
Microsoft		34,012		2,240
Motorola Solutions		105,193		9,070
NCR*		36,829		1,682
NetApp		107,358		4,493
Oracle, Cl B		150,201		6,700
Planet Payment*		19,517		78
Qualcomm		126,000		7,225
RealPage*		23,874		833
Sanmina*		16,234		659
Sapiens International		5,815		75
Square, Cl A*		213,899		3,696
Sykes Enterprises*		5,752		169
Symantec, Cl A		240,367		7,374
Synopsys*		63,311		4,567
Take-Two Interactive Software, Cl A*		39,091		2,317
Tech Data*		30,000		2,817
Teradata*		9,518		296
Teradyne		123,347		3,836
VeriSign*		51,711		4,505
Western Union		154,100		3,136

				207,937


Materials — 1.4%
Avery Dennison		44,400		3,579
Bemis		104,603		5,111
Compass Minerals International, Cl A		33,141		2,249
Kaiser Aluminum		26,200		2,093
LyondellBasell Industries, Cl A		21,071		1,921
Schweitzer-Mauduit International		60,500		2,506
Sonoco Products		103,900		5,498
Trinseo		3,914		263

				23,220


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)

Real Estate — 3.4%
American Homes 4 Rent, Cl A‡		7,628	$	175
Anworth Mortgage Asset‡		93,474		519
Apollo Commercial Real Estate Finance‡		209,092		3,933
Apple Hospitality		186,384		3,560
Brixmor Property Group‡		145,800		3,129
Capstead Mortgage‡		109,336		1,152
CBL & Associates Properties‡		123,265		1,176
Chimera Investment‡		11,884		240
City Office		25,978		316
Easterly Government Properties‡		40,203		796
Four Corners Property Trust‡		24,337		556
Great Ajax‡		7,494		98
Hospitality Properties Trust‡		51,641		1,628
LaSalle Hotel Properties‡		81,903		2,371
Mid-America Apartment Communities‡		34,700		3,530
Monogram Residential Trust‡		20,773		207
MTGE Investment		59,245		992
National Health Investors‡		57,000		4,140
New Residential Investment‡		9,016		153
Outfront Media‡		4,431		118
Owens Realty Mortgage‡		1,858		33
Piedmont Office Realty Trust, Cl A‡		363,325		7,768
PS Business Parks‡		7,787		894
Retail Properties of America, Cl A‡		238,300		3,436
RMR Group		6,004		297
Ryman Hospitality Properties		7,033		435
Select Income‡		15,967		412
Senior Housing Properties Trust‡		156,600		3,171
Sun Communities‡		9,195		739
Tanger Factory Outlet Centers‡		102,200		3,349
Taubman Centers‡		4,154		274
Two Harbors Investment‡		679,066		6,512

				56,109


Telecommunication Services — 5.6%
AT&T		817,127		33,952
BCE		82,400		3,638
Hawaiian Telcom Holdco*		12,860		294
Nippon Telegraph & Telephone ADR		86,900		3,723
NTT DoCoMo ADR		260,300		6,078
Rogers Communications, Cl B		15,872		702
SK Telecom ADR		191,000		4,809
TELUS		209,047		6,774
Verizon Communications		676,896		32,999

				92,969


Utilities — 9.2%
AES		132,553		1,482
ALLETE		10,633		720
Ameren		111,000		6,060
American Electric Power		240,863		16,169


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Avista		12,265	$	479
California Water Service Group, Cl A		11,941		428
Centerpoint Energy		155,067		4,275
CMS Energy		92,368		4,133
Consolidated Edison		86,400		6,710
DTE Energy		24,700		2,522
Edison International		146,115		11,632
El Paso Electric, Cl A		12,081		610
Entergy		169,092		12,844
Exelon		485,054		17,452
FirstEnergy		279,052		8,879
Hawaiian Electric Industries		97,419		3,245
Idacorp, Cl A		12,298		1,020
Korea Electric Power ADR*		172,200		3,570
MGE Energy		4,670		304
Northwest Natural Gas		17,621		1,041
NorthWestern		19,499		1,145
OGE Energy		8,330		291
PG&E		102,597		6,808
Pinnacle West Capital		101,015		8,423
PNM Resources		21,615		800
Portland General Electric		198,007		8,795
PPL		20,295		759
Public Service Enterprise Group		279,978		12,417
Southwest Gas Holdings		9,490		787
Unitil		22,335		1,006
Vectren		8,151		478
Xcel Energy		141,328		6,282

				151,566

Total Common Stock (Cost $1,345,533) ($ Thousands)				1,622,558


CASH EQUIVALENT — 1.6%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		27,037,261		27,037

Total Cash Equivalent (Cost $27,037) ($ Thousands)				27,037

Total Investments — 99.7% (Cost $1,372,570) ($ Thousands)			$	1,649,595

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized (Depreciation) ($ Thousands)
S&P 500 Index E-MINI		100		Jun-2017	$	(14	)

Percentages are based on Net Assets of $1,654,952 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 6).

ADR — American Depositary Receipt

Cl — Class

S&P— Standard & Poor's

The following is a list of the level of inputs used as of March 31, 2017, 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	$	1,622,558		$	—	$	—	$	1,622,558
Cash Equivalent		27,037			—		—		27,037

Total Investments in Securities	$	1,649,595		$	—	$	—	$	1,649,595


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts *
Unrealized Depreciation	$	(14	)	$	—	$	—	$	(14	)

Total Other Financial Instruments	$	(14	)	$	—	$	—	$	(14	)

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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%

Australia — 4.1%
AGL Energy		288,364	$	5,801
ASX		14,438		556
Aurizon Holdings		600,066		2,403
Ausdrill		21,954		24
AusNet Services		1,223,501		1,573
Coca-Cola Amatil		354,615		2,927
Cochlear		8,786		906
Computershare		399,675		4,287
Crown Resorts		47,085		424
CSL		67,292		6,434
Flight Centre Travel Group		38,106		839
Harvey Norman Holdings		35,035		121
LendLease Group		186,932		2,222
Orica		55,091		740
Sonic Healthcare		65,391		1,103
South32		1,019,093		2,146
Stockland		421,082		1,490
Telstra, Cl B		1,148,557		4,083
Wesfarmers		551,423		18,959

				57,038


Austria — 1.2%
Agrana Beteiligungs		1,465		155
BUWOG		42,352		1,071
Conwert Immobilien Invest		67,050		1,135
EVN		5,476		70
Lenzing		3,118		526
Oberbank		594		45
Oesterreichische Post		51,263		2,047
OMV		16,324		644
POLYTEC Holding		8,743		124
Telekom Austria, Cl A		91,176		623
UNIQA Insurance Group		29,202		228
Verbund‡		44,467		757
voestalpine		229,696		9,065

				16,490


Belgium — 0.5%
Colruyt		39,785		1,958
Elia System Operator		12,183		644
Proximus SADP		119,495		3,760

				6,362


Canada — 8.1%
Atco, Cl I		122,277		4,741
Bank of Montreal		135,517		10,093
Barrick Gold		183,900		3,483
BCE		222,082		9,829
Canadian Imperial Bank of Commerce		61,668		5,302
Canadian Tire, Cl A		16,200		1,919
Capital Power, Cl B		85,600		1,673
CCL Industries, Cl B		15,800		3,437
Cineplex		6,985		265


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Constellation Software		2,600	$	1,274
Dollarama		41,700		3,446
Emera		174,029		6,131
Empire, Cl A		52,400		798
First Capital Realty		150,500		2,260
George Weston		73,643		6,407
H&R‡		102,400		1,771
Intact Financial		37,300		2,645
Jean Coutu Group PJC, Cl A		28,100		441
Kinross Gold*		315,000		1,108
Loblaw		62,800		3,398
Maple Leaf Foods		47,627		1,153
Metro, Cl A		118,200		3,621
Morguard‡		5,637		67
Morguard North American Residential Real Estate Investment Trust		4,900		54
National Bank of Canada		108,800		4,556
Open Text		24,907		844
Pure Industrial Real Estate Trust‡		164,000		749
RioCan‡		110,200		2,165
Rogers Communications, Cl B		272,910		12,033
Royal Bank of Canada		41,586		3,021
Saputo		40,800		1,404
Shaw Communications, Cl B		256,801		5,309
Toronto-Dominion Bank		115,064		5,747

				111,144


Denmark — 0.8%
Coloplast, Cl B		9,610		753
ISS		23,100		876
Novo Nordisk, Cl B		196,822		6,780
Schouw		6,845		629
TDC		258,091		1,335
William Demant Holding*		57,913		1,214

				11,587


Finland — 0.0%
Orion, Cl A		1,232		64
Orion, Cl B		9,170		479

				543


France — 1.2%
Aeroports de Paris, Cl A		12,008		1,488
Atos		5,857		726
Boiron		654		60
Credit Agricole		391,673		5,320
Dassault Aviation		1,216		1,550
Engie		226,917		3,223
Eutelsat Communications		61,481		1,376
Gemalto		5,511		309
GL Events		3,124		73
Groupe Guillin		3,090		110
Metropole Television		18,468		413
Rallye		14,608		297


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Rubis SCA		10,376	$	1,020
SPIE		20,569		498
Vilmorin & Cie		2,344		162

				16,625


Germany — 1.0%
Celesio		11,402		314
Freenet		31,537		1,028
KWS Saat		697		217
MAN		2,451		253
Merck KGaA		38,721		4,423
MVV Energie		2,427		59
RHOEN-KLINIKUM		99,275		2,715
STADA Arzneimittel		59,894		3,676
Suedzucker		27,344		688

				13,373


Guernsey — 0.6%
Amdocs		141,376		8,622


Hong Kong — 3.7%
ASM Pacific Technology		139,300		1,895
BOC Hong Kong Holdings		424,500		1,734
Cheung Kong Infrastructure Holdings		176,000		1,381
CLP Holdings, Cl B		1,624,656		16,986
First Pacific		756,000		549
Guoco Group		8,000		93
Hang Seng Bank		6,100		124
HK Electric Investments & HK Electric Investments (A)		1,691,500		1,558
HKT Trust & HKT		2,487,000		3,206
Hongkong & Shanghai Hotels		98,500		116
Hopewell Holdings		52,000		195
Hutchison Port Holdings, Cl U		1,348,000		559
Hysan Development		47,000		213
Kerry Properties		257,000		891
Li & Fung		892,000		387
Link‡		769,500		5,391
Miramar Hotel & Investment		32,000		69
MTR		539,000		3,027
New World Development		164,000		202
NWS Holdings		238,000		434
PCCW		2,066,000		1,217
Power Assets Holdings		23,500		203
Regal Hotels International Holdings		50,000		28
Shangri-La Asia		332,000		484
Sun Hung Kai Properties		17,000		250
Swire Pacific, Cl A		207,500		2,072
WH Group (A)		4,843,500		4,176
Wheelock		195,000		1,542
Yue Yuen Industrial Holdings		549,500		2,160

				51,142


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)

Ireland — 0.1%
Hibernia,‡		341,851	$	455
UDG Healthcare		22,663		199

				654


Israel — 1.5%
Amot Investments		50,943		245
Ashtrom Group		16,195		51
Bank Hapoalim		1,621,055		9,861
Bank Leumi Le-Israel*		1,622,821		7,158
Electra Consumer Products 1970		2,233		46
Israel Discount Bank, Cl A*		1,312,866		3,081
Maabarot Products		1,705		33
Rami Levi Chain Stores Hashikma Marketing 2006		812		34
Shufersal		110,836		536

				21,045


Italy — 0.8%
Hera		1,651,751		4,607
Terna Rete Elettrica Nazionale		1,291,845		6,425

				11,032


Japan — 7.0%
Aeon Hokkaido		17,100		93
Ahjikan		2,500		36
Albis		4,900		152
Alfresa Holdings		9,400		163
Alpen		38,669		672
Amiyaki Tei		1,100		41
Asahi Glass		38,000		308
Astellas Pharma		118,300		1,556
Atsugi		139,000		163
Best Denki		35,100		48
Canon		133,200		4,149
Central Sports		2,800		88
Coca-Cola West		59,711		1,924
Daiichi Sankyo		254,779		5,732
Dunlop Sports		7,921		74
Dydo Drinco		36,590		1,711
Earth Chemical		11,300		605
EDION		39,200		360
Ehime Bank		5,000		61
Eisai		61,600		3,186
Feed One		91,900		163
Fujiya		171,000		404
G-7 Holdings, Cl 7		9,000		203
Gakkyusha		2,900		40
HABA Laboratories		1,500		52
Hakudo		2,200		34
Heiwa		12,200		303
Hoya		58,800		2,826
ITOCHU		56,500		801
Itochu-Shokuhin		2,003		82


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Japan Tobacco		168,300	$	5,465
J-Oil Mills		2,500		94
Kadoya Sesame Mills		1,000		51
Kato Sangyo		29,100		746
KDDI		96,100		2,520
Keiyo		4,900		25
Key Coffee		1,600		31
Kohnan Shoji		69,746		1,318
Kohsoku		2,600		26
Koike-ya		400		17
Kourakuen Holdings		1,500		23
Kurimoto		8,700		172
Kyokuyo		3,600		95
KYORIN Holdings		86,800		1,831
Kyoritsu Printing		19,100		58
Mars Engineering		2,500		52
Marubeni		332,300		2,044
Marudai Food		42,636		186
Maruha Nichiro		72,473		2,192
Matsuya Foods		20,216		753
McDonald’s Holdings Japan		17,300		505
Medipal Holdings		18,300		287
Ministop		47,755		897
Mitsubishi		43,300		935
Mitsubishi Gas Chemical		84,800		1,759
Mitsubishi Tanabe Pharma		294,400		6,124
Mitsui		150,800		2,182
Mitsui Sugar		14,000		340
Miyoshi Oil & Fat		65,000		82
Mochida Pharmaceutical		5,200		385
Mory Industries		4,000		80
MOS Food Services		58,058		1,691
Mr Max		76,103		275
Nakayama Steel Works		6,000		39
Nihon Yamamura Glass		101,000		179
Nippon Beet Sugar Manufacturing		5,000		106
Nippon Denko		67,500		235
Nippon Express		150,000		770
Nippon Flour Mills		68,534		1,011
Nippon Koshuha Steel		59,000		45
Nippon Valqua Industries		10,000		164
Nisshin Oillio Group		229,760		1,307
Nissui Pharmaceutical		3,300		41
NTT DOCOMO		298,000		6,933
Ohmoto Gumi		4,000		29
Ohsho Food Service		3,500		129
Okinawa Electric Power		71,100		1,688
Okuwa		10,000		102
Ootoya Holdings		1,500		28
Oracle Japan		42,600		2,431
Osaka Gas		832,000		3,158
Parco		17,800		190


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Plenus		25,400	$	562
Renaissance		3,200		51
Rock Field		18,762		307
Sagami Chain		2,600		32
Sankyo		2,400		80
Satori Electric		8,400		61
Sega Sammy Holdings		32,700		438
Shikibo		82,000		104
Shimachu		7,500		183
Shoei Foods		4,700		113
Showa Sangyo		22,000		116
Soken Chemical & Engineering		3,400		48
Starzen		12,700		509
Studio Alice		17,532		360
Sumitomo		35,200		473
Sumitomo Dainippon Pharma		178,200		2,939
Suzuken		27,474		900
Taiko Pharmaceutical		6,900		117
Taisho Pharmaceutical Holdings		3,500		284
Takara Holdings		86,700		934
Takeda Pharmaceutical		6,500		305
Tokai		4,805		176
Tokyo Gas		102,000		464
Tokyo Theatres		169,000		221
Toppan Printing		96,000		978
Trend Micro		47,400		2,106
Tsumura		45,500		1,425
United Super Markets Holdings		28,400		259
VIA Holdings		6,400		64
Vital KSK Holdings		59,400		550
WIN-Partners		9,200		79
Yamatane		4,000		55
Yasuda Logistics		7,900		53
Yellow Hat		9,500		220
Yoshinoya Holdings		154,904		2,251
Zensho Holdings		14,800		248
ZERIA Pharmaceutical		19,300		297

				96,218


Luxembourg — 0.2%
RTL Group		18,720		1,512
SES, Cl A		68,546		1,598

				3,110


Netherlands — 0.1%
ABN AMRO Group (A)		30,351		738
Amsterdam Commodities		1,871		47
Heineken Holding		10,566		843
Sligro Food Group		3,364		127

				1,755


New Zealand — 2.0%
Argosy Property‡		303,685		206
Arvida Group		114,143		101


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Auckland International Airport		946,329	$	4,472
Chorus		367,067		1,108
Contact Energy		1,403,586		4,965
Fisher & Paykel Healthcare		604,761		4,101
Fletcher Building		339,197		1,973
Freightways		22,267		117
Goodman Property Trust		273,523		230
Kiwi Property Group‡		496,830		495
Mainfreight		3,460		55
Mercury NZ		485,324		1,069
Meridian Energy		129,503		253
Property for Industry		42,432		48
Ryman Healthcare		235,077		1,382
Sanford		10,470		54
Sky City Entertainment Group		794,715		2,306
Spark New Zealand		1,925,677		4,711
Vector		27,320		61

				27,707


Norway — 1.5%
Austevoll Seafood		16,866		124
Leroy Seafood Group		16,239		711
Marine Harvest		209,655		3,195
Norsk Hydro		467,688		2,715
Orkla		1,009,388		9,038
Telenor		314,313		5,229

				21,012


Portugal — 0.1%
Redes Energeticas Nacionais		343,890		1,038


Singapore — 1.4%
BreadTalk Group		39,300		38
CapitaLand Commercial Trust		2,430,200		2,687
CapitaLand Mall Trust		933,600		1,316
ComfortDelGro		731,100		1,340
DBS Group Holdings		92,800		1,288
OUE		55,100		84
SATS		248,900		869
Sheng Siong Group		222,500		151
SIA Engineering		20,800		55
Singapore Airlines		14,000		101
Singapore Press Holdings		586,900		1,491
Singapore Technologies Engineering		286,200		764
StarHub		1,807,067		3,725
Venture		255,359		2,096
Wilmar International		1,286,500		3,250

				19,255


Spain — 0.5%
Ebro Foods		87,712		1,778
Iberdrola		614,821		4,409

				6,187


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)

Sweden — 1.1%
Axfood		138,287	$	2,085
ICA Gruppen		26,696		914
Swedish Match		366,358		11,961
Tele2, Cl B		16,130		155

				15,115


Switzerland — 5.3%
ABB		146,300		3,425
Allreal Holding, Cl A		17,235		2,817
Alpiq Holding		2,180		192
ALSO Holding		1,952		240
Aryzta		2,436		78
Baloise Holding		2,611		359
Bell		243		101
BKW		5,285		286
Chocoladefabriken Lindt & Spruengli		7		465
Coca-Cola HBC		77,480		1,997
Conzzeta*		218		194
dorma+kaba Holding		1,291		1,028
Dufry*		7,742		1,180
EMS-Chemie Holding		4,427		2,581
Flughafen Zuerich		2,445		521
Forbo Holding		558		855
Galenica		46		49
Kuehne & Nagel International		898		127
Mobimo Holding		6,525		1,690
Nestle		237,291		18,218
Novartis		172,420		12,807
Panalpina Welttransport Holding		2,577		311
Pargesa Holding		1,821		129
Roche Holding		12,735		3,254
Schindler Holding		11,480		2,223
SFS Group*		1,843		175
Siegfried Holding		344		91
Sika		109		654
Sonova Holding		21,509		2,985
Swiss Prime Site		48,314		4,255
Swisscom		11,567		5,340
Valora Holding		8,393		2,903
Ypsomed Holding		11,197		2,131

				73,661


United Kingdom — 3.8%
Aviva		19,043		127
British American Tobacco		77,348		5,126
Close Brothers Group		57,042		1,097
Cranswick		27,762		888
Dechra Pharmaceuticals		14,046		294
Diageo		267,834		7,648
GlaxoSmithKline		349,728		7,257
Greggs		92,135		1,202
Imperial Brands		198,549		9,601


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Joules Group		11,754	$	35
Kennedy Wilson Europe Real Estate		46,821		553
Kingfisher		704,045		2,871
McBride		44,054		109
Melrose Industries		40,201		112
Moneysupermarket.com Group		75,250		311
QinetiQ Group		191,591		668
Reckitt Benckiser Group		80,624		7,345
Rentokil Initial		309,043		953
Rightmove		22,396		1,117
Rio Tinto		36,463		1,682
Sage Group		34,453		272
SSE		119,583		2,207
Tate & Lyle		9,411		90
Tritax Big Box‡		203,964		369

				51,934


United States — 50.8%

Consumer Discretionary — 4.1%
Autozone*		847		612
Big Lots		6,006		292
Capella Education		8,968		763
Comcast, Cl A		254,004		9,548
CST Brands		16,395		788
Darden Restaurants		49,860		4,172
Dollar General		29,964		2,089
Gap		189,512		4,603
Home Depot		7,673		1,127
Liberty Media Group, Cl A*		49,697		1,625
Madison Square Garden*		5,460		1,090
McDonald’s		109,963		14,252
NACCO Industries, Cl A		1,490		104
New York Times, Cl A		99,956		1,439
RCI Hospitality Holdings		14,074		244
Scholastic, Cl B		48,823		2,078
Target, Cl A		5,104		282
Travelport Worldwide		32,197		379
Walt Disney		93,497		10,602

				56,089


Consumer Staples — 16.0%
AdvancePierre Foods Holdings		10,922		340
Alliance One International*		5,157		66
Altria Group		186,895		13,348
Blue Buffalo Pet Products*		34,626		796
Church & Dwight		164,535		8,205
Clorox		149,292		20,129
Coca-Cola		217,458		9,229
Colgate-Palmolive		135,965		9,951
Costco Wholesale		58,852		9,869
Dr Pepper Snapple Group		39,458		3,864
Estee Lauder, Cl A		93,420		7,921
Fresh Del Monte Produce		158,566		9,392


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
General Mills		52,621	$	3,105
Hershey		19,372		2,116
Ingredion		35,166		4,235
J&J Snack Foods		15,226		2,064
Kellogg		107,946		7,838
Kimberly-Clark		75,642		9,957
Lancaster Colony		2,964		382
McCormick		15,187		1,482
Medifast		12,397		550
Oil-Dri Corp of America		1,780		66
PepsiCo		106,334		11,895
Philip Morris International		88,791		10,025
Procter & Gamble		176,826		15,888
Spectrum Brands Holdings		74,943		10,418
Sysco, Cl A		356,946		18,533
Tyson Foods, Cl A		79,386		4,899
Universal		84,470		5,976
Vector Group		166,236		3,458
Wal-Mart Stores		156,688		11,294
WD-40		3,897		425

				217,716


Financials — 6.7%
AGNC Investment‡		746,713		14,852
American Financial Group		15,371		1,467
American National Insurance		3,864		456
Annaly Capital Management‡		399,208		4,435
Ares Commercial Real Estate‡		94,443		1,264
BankFinancial		7,144		104
Beneficial Bancorp		223,104		3,570
Berkshire Hathaway, Cl B*		59,964		9,995
Capitol Federal Financial		450,114		6,585
Citizens Financial Group		92,753		3,205
Dime Community Bancshares		24,370		495
Ellington Residential Mortgage‡		6,136		90
First Defiance Financial		1,514		75
First Financial		2,491		118
First Northwest Bancorp*		6,976		108
Flagstar Bancorp*		13,681		386
HomeTrust Bancshares*		3,808		90
Kearny Financial		297,785		4,482
Lincoln National		68,181		4,462
Meridian Bancorp		62,436		1,143
MetLife		152,786		8,070
National Western Life Group, Cl A		1,518		462
Northfield Bancorp		27,753		500
NorthStar Realty Europe‡		15,143		176
Northwest Bancshares		249,654		4,204
Oritani Financial		9,019		153
PJT Partners		3,853		135
Provident Financial Services		15,067		389
Reinsurance Group of America, Cl A		41,712		5,297
SI Financial Group		2,463		35


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Solar Senior Capital		2,221	$	40
Timberland Bancorp		1,923		43
Trustco Bank NY		91,826		721
Trustmark		4,839		154
United Financial Bancorp		4,826		82
Voya Financial		285,179		10,825
Washington Federal		25,641		849
Waterstone Financial		28,550		521
Zions Bancorporation		16,735		703

				90,741


Health Care — 13.3%
AbbVie		26,632		1,735
AmerisourceBergen, Cl A		109,127		9,658
Amgen, Cl A		2,550		418
Baxter International		18,777		974
Bio-Rad Laboratories, Cl A*		47,156		9,400
Bristol-Myers Squibb		53,227		2,894
C.R. Bard		41,810		10,391
Cardinal Health		75,923		6,192
Chemed		52,849		9,655
DaVita HealthCare Partners*		133,753		9,091
Exactech*		4,662		117
Express Scripts Holding*		122,885		8,099
Gilead Sciences		102,774		6,980
Henry Schein*		40,057		6,809
Hill-Rom Holdings		3,943		278
Intuitive Surgical*		6,288		4,820
Johnson & Johnson		151,588		18,880
LifePoint Health*		48,343		3,166
Luminex		17,080		314
Masimo*		56,300		5,251
Merck		148,933		9,463
Mettler Toledo International*		17,574		8,416
National HealthCare		12,906		920
Owens & Minor		220,302		7,622
Pfizer		242,797		8,306
PharmAthene		61,407		50
PRA Health Sciences*		11,334		739
Prestige Brands Holdings, Cl A*		13,188		733
Quest Diagnostics		107,105		10,517
Teleflex		52,522		10,175
United Therapeutics*		22,445		3,039
UnitedHealth Group		1,311		215
Varian Medical Systems*		70,824		6,454

				181,771


Industrials — 4.3%
Applied Industrial Technologies, Cl A		15,447		955
Danaher, Cl A		108,621		9,290
Expeditors International of Washington		43,064		2,433
General Electric		284,327		8,473
Kaman, Cl A		2,309		111


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Kimball International, Cl B		40,594	$	670
L3 Technologies		3,391		561
Lockheed Martin		1,792		480
ManpowerGroup		23,262		2,386
Northrop Grumman		9,690		2,305
Republic Services		178,981		11,242
United Parcel Service, Cl B		81,596		8,755
Waste Management		145,909		10,640

				58,301


Information Technology — 2.7%
AVX		19,461		319
Bel Fuse, Cl B		1,101		28
CACI International, Cl A*		51,521		6,043
CSG Systems International		15,321		579
DST Systems		25,394		3,111
EchoStar, Cl A*		4,062		231
Jack Henry & Associates		29,149		2,714
KLA-Tencor		6,650		632
Mantech International, Cl A		49,266		1,706
MasterCard, Cl A		49,697		5,589
NETGEAR*		12,107		600
QAD, Cl A		2,728		76
Sykes Enterprises*		15,539		457
Symantec, Cl A		112,132		3,440
Synopsys*		77,048		5,557
VMware, Cl A*		63,569		5,857
Western Union		16,075		327

				37,266


Materials — 1.4%
Kaiser Aluminum		76,215		6,090
Materion		5,690		191
Newmont Mining		29,532		973
Nucor		40,034		2,391
Reliance Steel & Aluminum		123,148		9,854
Universal Stainless & Alloy*		2,897		49

				19,548


Real Estate — 0.7%
Apollo Commercial Real Estate Finance‡		132,985		2,501
Apple Hospitality		30,958		591
Chimera Investment‡		199,831		4,033
MTGE Investment		105,065		1,760

				8,885


Telecommunication Services — 0.9%
AT&T		226,294		9,403
NII Holdings*		292,905		381
Telephone & Data Systems		49,849		1,322
Verizon Communications		10,433		509

				11,615


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Utilities — 1.3%
Consolidated Edison		18,455	$	1,433
Exelon		221,942		7,985
PPL		17,907		670
Southern		121,989		6,073
Unitil		28,919		1,302

				17,463

				699,395

Total Common Stock (Cost $1,172,832) ($ Thousands)				1,342,044


PREFERRED STOCK — 0.3%
Germany — 0.3%
Henkel & KGaA		25,051		3,218


Sweden — 0.0%
Akelius Residential Property		11,767		407

Total Preferred Stock (Cost $3,751) ($ Thousands)				3,625


CASH EQUIVALENT — 1.3%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		17,874,529		17,875

Total Cash Equivalent (Cost $17,875) ($ Thousands)				17,875

Total Investments — 99.0% (Cost $1,194,458) ($ Thousands)			$	1,363,544

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		46		Jun-2017	$	45
FTSE 100 Index		12		Jun-2017		—
Hang Seng Index		2		Apr-2017		(4	)
S&P 500 Index E-MINI		65		Jun-2017		(7	)
SPI 200 Index		5		Jun-2017		9
TOPIX Index		10		Jun-2017		(22	)

					$	21

A list of the open forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Settlement Date	Currency to Deliver (Thousands)			Currency To Receive (Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)
04/27/17		USD	15		NOK	127	$	—
04/27/17		USD	19		NZD	27		—
04/27/17		USD	44		DKK	303		(1	)
04/27/17		USD	49		SEK	425		(1	)
04/27/17		USD	56		HKD	436		—
04/27/17		USD	66		SGD	92		—
04/27/17		USD	159		AUD	208		—
04/27/17		USD	347		EUR	319		(6	)
04/27/17		USD	368		CHF	361		(6	)
04/27/17		USD	402		JPY	44,302		(4	)
04/27/17		USD	194		GBP	155		—
04/27/17		USD	245		GBP	195		(1	)
04/27/17		USD	143		CAD	191		—
04/27/17		USD	348		CAD	462		(1	)
04/27/17		SGD	12,783		USD	9,174		22
04/27/17		SGD	59		USD	43		—
04/27/17		NZD	21,340		USD	15,019		114
04/27/17		NZD	183		USD	128		—
04/27/17		GBP	24,848		USD	31,258		176
04/27/17		GBP	424		USD	527		(3	)
04/27/17		CHF	35,865		USD	36,517		630
04/27/17		CHF	233		USD	233		—
04/27/17		AUD	11		USD	8		—
04/27/17		AUD	40,194		USD	30,594		(50	)
04/27/17		EUR	41,520		USD	45,238		790
04/27/17		DKK	41,854		USD	6,129		102
04/27/17		DKK	291		USD	42		—
04/27/17		SEK	69,155		USD	7,892		136
04/27/17		SEK	416		USD	47		—
04/27/17		CAD	73,440		USD	54,896		(195	)
04/27/17		NOK	133,979		USD	15,807		200
04/27/17		NOK	1,089		USD	127		—
04/27/17		HKD	190,606		USD	24,553		12
04/27/17		HKD	383		USD	49		—
04/27/17		JPY	5,230,535		USD	47,407		416
04/27/17		JPY	24,478		USD	220		—

							$	2,330

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation ($ Thousands)
Brown Brothers Harriman	$	(326,012	)	$	328,342	$	2,330

						$	2,330

Percentages are based on Net Assets of $1,377,919 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

‡

Real Estate Investment Trust.

†

Investment in Affiliated Security (see Note 10).

(A)

AUD — Australian Dollar

CAD — Canadian Dollar

CHF — Swiss Franc

Cl — 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

TOPIX — Tokyo Price Index

USD — United States Dollar

The following is a list of the level of inputs used as of March 31, 2017, 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	$	1,287,590		$	54,454		$	—	$	1,342,044
Preferred Stock		3,625			—			—		3,625
Cash Equivalent		17,875			—			—		17,875

Total Investments in Securities	$	1,309,090		$	54,454		$	—	$	1,363,544


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	54		$	—		$	—	$	54
Unrealized Depreciation		(33	)		—			—		(33	)
Forwards Contracts*
Unrealized Appreciation		—			2,598			—		2,598
Unrealized Depreciation		—			(268	)		—		(268	)

Total Other Financial Instruments	$	21		$	2,330		$	—	$	2,351

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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.


Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 98.2%

Consumer Discretionary — 5.6%
AMC Networks, Cl A*		13,838	$	812
Autozone*		3,400		2,459
Best Buy		13,870		682
Big Lots		16,600		808
Canadian Tire, Cl A		29,600		3,506
Cheesecake Factory		33,400		2,116
Children's Place		37,800		4,538
Comcast, Cl A		85,800		3,225
Cooper-Standard Holdings*		21,900		2,429
Darden Restaurants		52,400		4,384
Dollar General		18,394		1,283
Dunkin' Brands Group		40,288		2,203
Fiat Chrysler Automobiles*		30,990		339
Foot Locker, Cl A		45,064		3,371
Graham Holdings, Cl B		1,400		840
McDonald's		41,554		5,386
NVR*		696		1,467
Panera Bread, Cl A*		20,095		5,262
Scripps Networks Interactive, Cl A		46,400		3,636
Target, Cl A		144,537		7,977
Tenneco		5,064		316

				57,039

Consumer Staples — 20.3%
Altria Group		234,072		16,717
Archer-Daniels-Midland		45,200		2,081
Campbell Soup		19,049		1,090
Church & Dwight		123,346		6,151
Clorox		54,877		7,399
Coca-Cola		185,969		7,893
Coca-Cola European Partners		49,400		1,862
Colgate-Palmolive		75,764		5,545
ConAgra Foods		123,574		4,985
Costco Wholesale		40,733		6,831
CVS Health		75,600		5,935
Dean Foods		18,762		369
Dr Pepper Snapple Group		127,825		12,517
Fresh Del Monte Produce		46,500		2,754
General Mills		60,437		3,566
Hershey		72,705		7,943
Ingredion		29,882		3,599
JM Smucker		33,707		4,418
Kellogg		72,747		5,282
Kimberly-Clark		67,862		8,933
Kroger		200,439		5,911
Lamb Weston Holdings		41,191		1,733
McCormick		72,119		7,035
Metro, Cl A		58,400		1,789
Nu Skin Enterprises, Cl A		31,729		1,762
PepsiCo		100,850		11,281
Philip Morris International		54,261		6,126


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Pinnacle Foods		18,100	$	1,047
Procter & Gamble		93,908		8,438
Reynolds American		137,289		8,652
Sanderson Farms		28,200		2,928
SYSCO, Cl A		163,536		8,491
Tyson Foods, Cl A		81,900		5,054
Universal		16,000		1,132
Wal-Mart Stores		226,005		16,290
Weis Markets		43,300		2,583
Whole Foods Market		55,118		1,638

				207,760


Energy — 1.0%
Exxon Mobil		94,000		7,709
Valero Energy		39,600		2,625

				10,334


Financials — 16.7%
Aflac		56,400		4,085
AGNC Investment‡		226,233		4,500
Allied World Assurance Holdings*		96,415		5,120
Allstate		72,824		5,934
American Financial Group		41,500		3,960
Annaly Capital Management‡		409,600		4,551
Arch Capital Group*		78,888		7,476
Aspen Insurance Holdings		30,873		1,607
Assurant		13,330		1,275
Assured Guaranty		43,385		1,610
Axis Capital Holdings		179,222		12,013
Bank of America		26,785		632
Berkshire Hathaway, Cl B*		59,100		9,851
BOK Financial		52,300		4,094
Canadian Imperial Bank of Commerce		31,000		2,665
CBOE Holdings		123,794		10,036
Chubb		12,399		1,689
Everest Re Group		52,221		12,210
Genworth MI Canada		23,900		659
Hanover Insurance Group, Cl A		19,700		1,774
Maiden Holdings		62,300		872
MFA Financial‡		624,682		5,047
Morningstar, Cl A		57,051		4,484
National Bank of Canada		54,700		2,290
New Mountain Finance		107,500		1,602
Popular		6,756		275
ProAssurance		78,979		4,759
Progressive		115,800		4,537
Reinsurance Group of America, Cl A		13,925		1,768
RenaissanceRe Holdings		100,686		14,564
Starwood Property Trust‡		113,800		2,570
TFS Financial		173,405		2,882
Travelers		87,605		10,560
Validus Holdings		233,913		13,190


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Voya Financial		13,830	$	525
White Mountains Insurance Group		5,238		4,609

				170,275


Health Care — 13.5%
AbbVie		53,300		3,473
Aetna, Cl A		50,492		6,440
AmerisourceBergen, Cl A		64,617		5,719
Amgen, Cl A		16,800		2,756
Anthem		47,563		7,866
AstraZeneca ADR		107,200		3,338
Baxter International		26,572		1,378
Biogen*		4,990		1,364
C.R. Bard		7,276		1,809
Cardinal Health		10,758		877
Chemed		2,119		387
Edwards Lifesciences, Cl A*		2,820		265
Eli Lilly		71,230		5,991
Express Scripts Holding*		15,564		1,026
Gilead Sciences		21,208		1,441
Hill-Rom Holdings		9,563		675
Hologic*		42,851		1,823
Humana		11,900		2,453
ICON*		20,611		1,643
Johnson & Johnson		201,336		25,077
Laboratory Corp of America Holdings*		24,100		3,458
Masimo*		14,010		1,307
McKesson		11,300		1,675
Merck		243,657		15,482
Pfizer		707,414		24,201
Premier, Cl A*		80,647		2,567
Quest Diagnostics		59,038		5,797
United Therapeutics*		8,900		1,205
UnitedHealth Group		40,133		6,582
Varian Medical Systems*		2,690		245

				138,320


Industrials — 11.4%
3M		26,347		5,041
Boeing		32,700		5,783
BWX Technologies, Cl W		34,931		1,663
Delta Air Lines, Cl A		18,190		836
EMCOR Group		24,772		1,559
Expeditors International of Washington		104,761		5,918
General Dynamics		8,600		1,610
Huntington Ingalls Industries, Cl A		8,389		1,680
Kaman, Cl A		32,900		1,584
L3 Technologies		24,061		3,977
Landstar System		81,428		6,974
Lockheed Martin		30,905		8,270
Northrop Grumman		55,397		13,176
Orbital ATK		24,500		2,401


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Quanta Services*		47,559	$	1,765
Raytheon		97,987		14,943
Republic Services		146,100		9,177
Southwest Airlines, Cl A		31,053		1,669
Spirit AeroSystems Holdings, Cl A		21,720		1,258
United Continental Holdings*		23,109		1,632
United Parcel Service, Cl B		97,036		10,412
United Technologies		41,800		4,690
Waste Management		137,382		10,018

				116,036


Information Technology — 10.4%
Amdocs		178,571		10,891
Apple		51,000		7,327
Applied Materials		34,415		1,339
Aspen Technology*		30,237		1,781
Automatic Data Processing		41,459		4,245
Benchmark Electronics*		52,700		1,676
Broadridge Financial Solutions		25,828		1,755
CA		69,600		2,208
Canon ADR		87,700		2,742
Cisco Systems		242,600		8,200
Citrix Systems*		4,190		349
CSG Systems International		37,600		1,422
eBay*		39,530		1,327
Flex*		16,170		272
Harris		20,200		2,248
Intel		210,500		7,593
International Business Machines		59,400		10,344
Intuit		14,677		1,702
Jack Henry & Associates		13,800		1,285
Microsoft		72,739		4,791
Motorola Solutions		48,500		4,182
NetApp		11,469		480
Oracle, Cl B		85,200		3,801
Qualcomm*		28,300		1,623
Science Applications International		14,671		1,091
Symantec, Cl A		253,470		7,776
Synopsys*		62,405		4,501
Take-Two Interactive Software, Cl A*		30,728		1,821
Tech Data*		22,200		2,084
Teradyne		19,298		600
VeriSign*		20,993		1,829
Western Union		118,100		2,403

				105,688


Materials — 1.4%
AptarGroup		7,900		608
Avery Dennison		31,600		2,547
Bemis		44,400		2,169
Cabot		13,784		826
Kaiser Aluminum		33,600		2,685


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
LyondellBasell Industries, Cl A		7,480	$	682
Royal Gold, Cl A		3,538		248
Sonoco Products		50,200		2,656
Trinseo		25,375		1,703

				14,124


Real Estate — 1.5%
Equity LifeStyle Properties‡		22,999		1,772
Mid-America Apartment Communities‡		28,000		2,849
National Health Investors‡		26,300		1,910
Piedmont Office Realty Trust, Cl A‡		222,000		4,747
Select Income‡		65,000		1,676
Senior Housing Properties Trust‡		132,100		2,675

				15,629


Telecommunication Services — 4.9%
AT&T		599,940		24,928
BCE		67,200		2,967
NTT DoCoMo ADR		130,100		3,038
SK Telecom ADR		129,800		3,268
TELUS		115,600		3,742
Verizon Communications		256,685		12,513

				50,456


Utilities — 11.5%
Alliant Energy		12,600		499
Ameren		60,200		3,286
American Electric Power		122,164		8,201
Centerpoint Energy		60,225		1,660
Consolidated Edison		165,942		12,887
DTE Energy		45,217		4,617
Duke Energy		71,120		5,832
Edison International		125,527		9,993
Entergy		109,672		8,331
Eversource Energy		113,570		6,676
Exelon		161,500		5,811
FirstEnergy		87,500		2,784
Great Plains Energy		5,200		152
PG&E		133,963		8,890
Pinnacle West Capital		52,344		4,364
Portland General Electric		80,431		3,573
Public Service Enterprise Group		194,029		8,605
SCANA		41,600		2,719
Southern		138,614		6,900
Southwest Gas		13,553		1,124
UGI		36,713		1,814
Vectren		31,174		1,827


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
WEC Energy Group		119,032	$	7,217

				117,762

Total Common Stock (Cost $705,775) ($ Thousands)				1,003,423

	Number of Rights

RIGHTS — 0.0%

Safeway CVR - PDC*‡‡		85,430		4
Safeway CVR - Casa Ley*‡‡		85,430		87

Total Rights (Cost $—) ($ Thousands)				91

	Shares

CASH EQUIVALENT — 1.6%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		16,154,053		16,154

Total Cash Equivalent (Cost $16,154) ($ Thousands)				16,154

Total Investments — 99.8% (Cost $721,929) ($ Thousands)			$	1,019,668

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Depreciation ($ Thousands)
S&P 500 Index E-MINI		58		Jun-2017	$	(9	)

Percentages

are based on Net Assets of $1,021,987 ($ Thousands).

Non-income producing security.

The rate reported is the 7-day effective yield as of March 31, 2017.

‡

Real Estate Investment Trust.

‡‡

Expiration date unavailable.

†

Investment in Affiliated Security (see Note 6).

ADR — American Depositary Receipt

Cl — Class

S&P — Standard & Poor’s

The following is a list of the level of inputs used as of March 31, 2017, 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	$	1,003,423		$	—	$	—	$	1,003,423
Rights		—			91		—		91
Cash Equivalent		16,154			—		—		16,154

Total Investments in Securities	$	1,019,577		$	91	$	—	$	1,019,668


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Depreciation	$	(9	)	$	—	$	—	$	(9	)

Total Other Financial Instruments	$	(9	)	$	—	$	—	$	(9	)

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 96.9%

Australia — 6.7%
AGL Energy		205,787	$	4,140
ASX		37,637		1,449
BT Investment Management		26,886		205
Caltex Australia		28,786		648
Coca-Cola Amatil		167,478		1,382
Crown Resorts		68,603		618
CSL		11,300		1,080
Flight Centre		11,806		260
Harvey Norman Holdings		115,094		398
LendLease Group		65,829		782
Mirvac Group‡		449,279		751
QBE Insurance Group		26,987		265
South32		410,831		865
Stockland‡		251,198		889
Telstra, Cl B		1,316,198		4,679
Vicinity Centres‡		418,483		904
Wesfarmers		18,192		626

				19,941


Austria — 2.4%
BUWOG		25,791		652
CA Immobilien Anlagen		20,205		445
Erste Group Bank		5,692		186
Lenzing		3,809		642
Oesterreichische Post		21,047		841
OMV		24,744		976
Raiffeisen Bank International		35,144		795
S IMMO		9,548		115
Telekom Austria, Cl A		108,184		739
UNIQA Insurance Group		71,224		555
Verbund		14,655		249
voestalpine		20,367		804

				6,999


Belgium — 1.2%
bpost		38,009		895
Colruyt		12,128		597
Proximus SADP		40,525		1,275
Sipef		1,175		80
TER Beke		295		53
UCB, Cl A		4,155		323
Umicore		6,817		389

				3,612


Canada — 2.4%
Canadian Tire, Cl A		10,364		1,228
Metro, Cl A		12,901		395
Open Text		29,815		1,011
TELUS		62,262		2,015
Toronto-Dominion Bank		48,511		2,423

				7,072


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Denmark — 2.6%
Carlsberg, Cl B		9,379	$	869
Coloplast, Cl B		15,809		1,238
Danske Bank		64,629		2,208
ISS		37,630		1,427
Jyske Bank		17,004		863
Matas		44,172		629
TDC		56,120		290
United International Enterprises		564		102
William Demant Holding*		5,208		109

				7,735


Finland — 1.0%
Orion, Cl B		31,515		1,647
Sponda		137,669		577
Tietoenator		21,996		601
Tokmanni Group		10,542		117

				2,942


France — 4.7%
Atos		12,547		1,556
Bastide le Confort Medical		2,603		86
Christian Dior, Cl B		2,007		468
Cie Generale des Etablissements Michelin		7,953		969
Credit Agricole		21,689		295
Dassault Aviation		479		611
Euler Hermes Group		12,429		1,145
Eutelsat Communications		11,490		257
Fleury Michon		2,160		140
Groupe Guillin		2,861		102
Le Noble Age		2,819		130
Metropole Television		40,778		912
PSB Industries		657		37
Publicis Groupe		4,139		290
Rubis SCA		1,253		123
Sanofi		48,741		4,411
Societe Fonciere Lyonnaise‡		1,508		77
Thales, Cl A		7,046		683
TOTAL		32,739		1,660
Vilmorin & Cie		1,681		116

				14,068


Germany — 5.8%adidas		3,191		609
Beiersdorf		6,787		644
Celesio		39,366		1,083
Deutsche Post		18,204		625
DIC Asset		10,443		104
Evonik Industries		16,352		535
Fraport Frankfurt Airport Services Worldwide		7,517		533
Hannover Rueck		12,686		1,467
Henkel & KGaA		5,726		638
Krones		6,952		782
KWS Saat		620		193


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
MAN		1,390	$	144
Merck KGaA		8,368		956
Metro		21,342		684
MTU Aero Engines		6,676		871
Muenchener Rueckversicherungs-Gesellschaft in Muenchen		12,362		2,425
Norddeutsche Affinerie		1,800		121
Salzgitter		18,883		685
SAP		6,978		686
Siemens		14,297		1,963
Siltronic*		3,140		210
Sirius Real Estate (United Kingdom)		87,389		57
Suedzucker		29,434		740
Vonovia		15,417		545
Wuestenrot & Wuerttembergische		5,037		100

				17,400


Hong Kong — 4.7%
ASM Pacific Technology		115,900		1,576
Cheung Kong Infrastructure Holdings		85,000		667
China Motor Bus		18,400		258
CLP Holdings, Cl B		205,000		2,143
First Pacific		196,000		142
Hang Lung Group		100,000		427
HK Electric Investments & HK Electric
Investments (A)		693,000		638
HKT Trust & HKT		680,000		877
Hong Kong & China Gas		199,000		398
Hong Kong Aircraft Engineering		15,200		105
Hongkong & Shanghai Hotels		222,500		261
Hutchison Port Holdings, Cl U		1,104,800		458
Hysan Development		20,000		91
Kerry Properties		480,000		1,664
MTR		130,500		733
New World Development		94,000		116
NWS Holdings		137,000		250
Paliburg Holdings		328,000		111
PCCW		471,000		278
Power Assets Holdings		9,000		78
Regal Hotels International Holdings		168,000		93
Regal Real Estate Investment Trust‡		372,000		106
Shangri-La Asia		90,000		131
Tian An China Investment		170,000		136
WH Group (A)		1,724,500		1,487
Wheelock		100,000		791

				14,015


Ireland — 0.4%
AerCap Holdings*		18,057		830
Irish Residential Properties‡		278,495		369
Total Produce		51,466		107

				1,306


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Israel — 1.7%
Bank Hapoalim		381,085	$	2,318
Bank Leumi Le-Israel*		57,265		253
Check Point Software Technologies*		660		68
Israel Discount Bank, Cl A*		185,998		436
Isras Investment		1,037		117
Kerur Holdings		1,212		37
Mizrahi Tefahot Bank		59,335		1,005
Orbotech*		21,474		693
Shufersal		26,493		128

				5,055


Italy — 0.9%
Ansaldo STS		23,482		309
Enel		214,945		1,015
Hera		368,325		1,027
Snam Rete Gas		61,930		269

				2,620


Japan — 20.9%
Alfresa Holdings		30,000		519
Alpen		6,500		113
AOKI Holdings		57,200		662
Aoyama Trading		19,400		665
Aozora Bank		349,000		1,284
Arcs		51,400		1,228
Asahi Group Holdings		15,700		593
Asahi Kasei		177,000		1,715
Astellas Pharma		168,500		2,217
Canon		55,500		1,729
Chubu Electric Power		30,600		409
COMSYS Holdings		43,800		782
Daiichi Sankyo		39,000		877
Daiki Aluminium Industry		26,000		116
Daiohs		3,400		32
Daito Trust Construction		600		82
Doutor Nichires Holdings		55,400		1,083
Ebara Foods Industry		4,700		87
EDION		23,400		215
Electric Power Development		10,000		234
FJ Next		16,100		139
FUJIFILM Holdings		26,000		1,015
Gakkyusha		8,400		115
Hakudo		7,000		109
Heiwa		43,600		1,083
Honda Motor		34,800		1,047
Idemitsu Kosan		12,600		438
Inaba Denki Sangyo		20,600		736
Japan Tobacco		36,800		1,195
Joshin Denki		12,000		122
Kato Sangyo		8,700		223
KDDI		48,000		1,259
Keihanshin Building		19,000		105


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Key Coffee		13,900	$	272
Kinden		83,700		1,167
K's Holdings		31,700		581
Kuraray		64,800		982
Kurimoto		12,000		237
Kyokuyo		15,000		395
KYORIN Holdings		4,800		101
Kyowa Exeo		63,300		915
Matsumotokiyoshi Holdings		17,200		815
Mebuki Financial Group		135,900		543
Mitsubishi		22,800		492
Mitsubishi Gas Chemical		28,300		587
Mitsubishi Shokuhin		29,700		920
Mitsubishi Steel Manufacturing		86,000		185
Mitsubishi Tanabe Pharma		163,100		3,393
Mitsui		67,900		983
Nakayama Steel Works		15,800		103
Nichias		61,000		613
Nippo		56,000		1,061
Nippon Express		138,000		708
Nippon Koshuha Steel		119,000		91
Nippon Telegraph & Telephone		81,800		3,488
Nissan Motor		210,400		2,027
Nissui Pharmaceutical		5,700		71
NTT DOCOMO		80,700		1,878
Okinawa Electric Power		44,300		1,052
Okuwa		3,000		30
Osaka Gas		498,000		1,890
Otsuka		7,300		396
OUG Holdings		45,000		105
PanaHome		97,000		888
Proto		6,100		80
Ryoden		15,000		99
Sanyo Electric Railway		20,000		102
Sega Sammy Holdings		55,400		742
Senshu Ikeda Holdings		213,500		881
Shibusawa Warehouse		36,000		114
Shidax		15,300		60
Shikibo		96,000		121
Shimachu		27,900		679
Shin-Keisei Electric Railway		41,000		153
Showa Sangyo		36,000		190
Starzen		2,400		96
Sumitomo Bakelite		153,000		920
Sumitomo Dainippon Pharma		4,300		71
Sumitomo Osaka Cement		280,000		1,163
Suzuken		42,600		1,395
Taisho Pharmaceutical Holdings		9,400		763
TAKEBISHI		1,900		25
Takeda Pharmaceutical		17,800		835
Takihyo		23,000		93
Tokyo Gas		50,000		227


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Tokyo Rakutenchi		20,000	$	97
Toshiba Plant Systems & Services		6,900		101
Tsumura		13,000		407
West Japan Railway		23,300		1,514
Yaizu Suisankagaku Industry		9,400		109
Yamada Denki		210,700		1,049
Yasuda Logistics		17,000		114
Yellow Hat		5,600		130
Yodogawa Steel Works		11,200		304
Yomeishu Seizo		6,000		113
Yuasa Funashoku		83,600		227

				62,171


Luxembourg — 1.0%
APERAM		16,368		820
RTL Group		5,911		479
SES, Cl A		76,966		1,795

				3,094


Netherlands — 1.4%
ABN AMRO Group (A)		6,767		165
ASR Nederland*		12,485		357
Atrium European Real Estate		23,953		97
Corbion		15,795		433
Heineken		9,386		801
Koninklijke KPN		123,075		372
NN Group		61,181		1,995

				4,220


New Zealand — 2.1%
Arvida Group		102,048		91
Chorus		184,530		557
Fisher & Paykel Healthcare		133,565		906
Fletcher Building		149,213		868
Freightways		32,367		169
Mercury NZ		363,423		800
Meridian Energy		238,637		467
Sanford		22,191		114
Sky City Entertainment Group		153,417		445
Spark New Zealand		597,878		1,463
Summerset Group Holdings		26,580		96
Tourism Holdings		55,789		146

				6,122


Norway — 2.2%
AF Gruppen		3,803		68
Austevoll Seafood		45,302		332
DNB, Cl A		52,682		835
Ekornes		7,939		100
Gjensidige Forsikring		15,950		243
Hafslund, Cl B		571		6
Leroey Seafood Group		7,415		325
Marine Harvest		53,519		816
Norsk Hydro		187,364		1,088


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Olav Thon Eiendomsselskap		5,355	$	100
Orkla		33,592		301
Statoil		20,758		354
Telenor		63,064		1,049
Weifa		33,649		107
Yara International		22,632		871

				6,595


Portugal — 0.3%
Redes Energeticas Nacionais		293,679		886


Singapore — 4.1%
CapitaLand Commercial Trust‡		577,300		638
CapitaMall Trust‡		182,000		257
DBS Group Holdings		175,600		2,438
Mapletree Industrial Trust‡		421,700		537
Mapletree Logistics Trust‡		994,700		780
OUE		80,600		123
SATS		306,500		1,070
Sheng Siong Group		302,800		205
SIA Engineering		83,100		220
Singapore Airlines		83,500		602
Singapore Technologies Engineering		66,300		177
SPH‡		87,400		61
StarHub		412,400		850
United Industrial		50,700		112
United Overseas Bank		44,200		699
UOL Group		58,700		293
Venture		138,400		1,136
Viva Industrial Trust‡		34,200		20
Wilmar International		818,200		2,067

				12,285


Spain — 3.0%
Cia de Distribucion Integral Logista Holdings		20,972		488
Ebro Foods		24,335		493
Enagas		65,712		1,711
Endesa		126,341		2,977
Grifols		45,003		1,107
Iberdrola		239,110		1,715
Red Electrica		23,548		453

				8,944


Sweden — 1.9%
Axfood		36,931		557
Cloetta, Cl B		31,487		125
Getinge, Cl B		7,003		123
Hemfosa Fastigheter		70,206		629
ICA Gruppen		14,075		482
KNOW IT		10,862		144
L E Lundbergforetagen, Cl B		6,643		452
Saab, Cl B		2,435		103
Svenska Cellulosa SCA, Cl B		33,979		1,100


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Swedish Match		56,400	$	1,842

				5,557


Switzerland — 10.6%
ABB		4,513		106
Actelion*		3,040		857
Allreal Holding, Cl A		688		112
ALSO Holding		1,128		139
Baloise Holding		8,737		1,202
Barry Callebaut		244		319
BKW		9,860		533
Coca-Cola HBC		37,057		955
Forbo Holding		171		262
Kuehne & Nagel International		6,353		898
Nestle		31,510		2,419
Novartis		32,373		2,405
Pargesa Holding		900		64
Plazza		12		3
Roche Holding		21,574		5,513
Romande Energie Holding		84		105
Schindler Holding		7,369		1,427
SGS, Cl B		72		154
Sika		81		486
Sonova Holding		11,977		1,662
St. Galler Kantonalbank		265		111
Swiss Life Holding		10,672		3,446
Swiss Prime Site		26,240		2,311
Swiss Re		31,122		2,797
Swisscom		2,440		1,126
Zurich Insurance Group		7,778		2,078

				31,490


United Kingdom — 14.4%
Aldermore Group*		87,209		243
AstraZeneca		18,054		1,109
BAE Systems		417,134		3,351
BCA Marketplace		150,153		342
BP		254,007		1,453
British American Tobacco		24,792		1,643
BTG*		32,897		241
Carnival		29,319		1,678
Central Asia Metals		34,500		90
Centrica		309,103		839
Craneware		7,808		120
Diageo		34,438		983
F&C UK Real Estate Investment‡		30,456		39
Finsbury Food Group		70,953		94
GlaxoSmithKline		258,069		5,355
HSBC Holdings		186,206		1,516
IDOX		131,753		116
Imperial Brands		96,973		4,689
J D Wetherspoon		25,595		302
J Sainsbury		350,376		1,158


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Kingfisher		401,317	$	1,637
Lancashire Holdings		40,531		341
Lloyds Banking Group		554,526		460
National Grid		81,840		1,037
QinetiQ Group		404,274		1,410
Reckitt Benckiser Group		9,298		847
Rio Tinto		35,873		1,655
Royal Bank of Scotland Group*		240,843		729
Royal Mail		26,498		141
Secure Income‡		25,660		111
Severn Trent		6,709		200
Smith & Nephew		65,977		1,003
SSE		143,512		2,649
Tate & Lyle		202,537		1,936
UBM		45,607		436
Vodafone Group		364,126		948
Wm Morrison Supermarkets		428,529		1,286
WPP		32,009		701

				42,888


United States — 0.5%
Actelion ADR		1,762		124
International Game Technology		15,784		374
QIAGEN		30,202		875

				1,373

Total Common Stock (Cost $269,362) ($ Thousands)				288,390


PREFERRED STOCK — 0.3%

Germany — 0.3%
Bayerische Motoren Werke		1,354		107
Draegerwerk & KGaA		3,080		317
Henkel & KGaA		4,100		527

				951

Total Preferred Stock (Cost $878) ($ Thousands)				951


CASH EQUIVALENT — 1.8%
SEI Daily Income Trust, Government Fund, Cl F
0.530%**†		5,246,175		5,246

Total Cash Equivalent (Cost $5,246) ($ Thousands)				5,246

Total Investments — 99.0% (Cost $275,486) ($ Thousands)			$	294,587

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long		Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
DJ Euro Stoxx 50 Index		40		Jun-2017	$	40
FTSE 100 Index		8		Jun-2017		—
Hang Seng Index		1		Apr-2017		(1	)
SPI 200 Index		3		Jun-2017		4
TOPIX Index		7		Jun-2017		(15	)

					$	28

Percentages are based on Net Assets of $297,434 ($ Thousands).

Non-income producing security.

Rate shown is the 7-day effective yield as of March 31, 2017.

‡

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 March 31, 2017, the value of these securities amounted to $2,290 ($ Thousands), representing 0.8% of the Net Assets of the Fund.

ADR — American Depositary Receipt

Cl — Class

DJ — Dow Jones

FTSE— Financial Times and Stock Exchange

SPI — Share Price Index

TOPIX — Tokyo Price Index

The following is a list of the level of inputs used as of March 31, 2017, 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	$	275,482		$	12,908	$	—	$	288,390
Preferred Stock		951			—		—		951
Cash Equivalent		5,246			—		—		5,246

Total Investments in Securities	$	281,679		$	12,908	$	—	$	294,587


Other Financial Instruments	Level 1			Level 2		Level 3		Total
Futures Contracts*
Unrealized Appreciation	$	44		$	—	$	—	$	44
Unrealized Depreciation		(16	)		—		—		(16	)

Total Other Financial Instruments	$	28		$	—	$	—	$	28

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

For the period ended March 31, 2017, there were no transfers between Level 1 and Level 2 assets and liabilities.

For the period ended March 31, 2017, 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 — 96.6%

Consumer Discretionary — 12.1%
Advance Auto Parts		2,294	$	340
Amazon.com, Cl A*		12,536		11,114
Autonation*		2,116		89
Autozone*		925		669
Bed Bath & Beyond		4,655		184
Best Buy		8,678		427
BorgWarner		6,601		276
CarMax*		5,956		353
Carnival		13,080		771
CBS, Cl B		11,488		797
Charter Communications, Cl A*		6,800		2,226
Chipotle Mexican Grill, Cl A*		923		411
Coach		9,034		373
Comcast, Cl A		149,880		5,634
Darden Restaurants		3,734		312
Delphi Automotive		8,641		696
Discovery Communications, Cl A*		5,229		152
Discovery Communications, Cl C*		6,593		187
DISH Network, Cl A*		7,200		457
Dollar General		8,073		563
Dollar Tree*		7,685		603
DR Horton		10,386		346
Expedia		3,715		469
Foot Locker, Cl A		4,100		307
Ford Motor		123,276		1,435
Gap		6,198		151
Garmin		3,304		169
General Motors		43,977		1,555
Genuine Parts		4,604		425
Goodyear Tire & Rubber		8,516		307
H&R Block		6,610		154
Hanesbrands		12,167		253
Harley-Davidson, Cl A		5,555		336
Hasbro		3,498		349
Home Depot		38,782		5,694
Interpublic Group		12,597		310
Johnson Controls International		29,238		1,232
Kohl’s		5,727		228
L Brands		7,408		349
Leggett & Platt		4,165		210
Lennar, Cl A		6,474		331
LKQ *		10,300		301
Lowe’s		27,545		2,264
Macy’s		9,930		294
Marriott International, Cl A		10,251		965
Mattel		11,299		289
McDonald’s		26,107		3,384
Michael Kors Holdings*		4,828		184
Mohawk Industries*		2,058		472
NetFlix*		13,520		1,998
Newell Brands, Cl B		15,013		708


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
News, Cl A		12,630	$	164
News, Cl B		5,000		68
Nike, Cl B		42,038		2,343
Nordstrom		3,566		166
Omnicom Group		7,569		653
O’Reilly Automotive*		3,012		813
Priceline Group*		1,509		2,686
PulteGroup		9,743		229
PVH		2,420		250
Ralph Lauren, Cl A		1,660		135
Ross Stores		12,635		832
Royal Caribbean Cruises		5,110		501
Scripps Networks Interactive, Cl A		2,894		227
Signet Jewelers		2,113		146
Staples		19,201		168
Starbucks		46,557		2,718
Target, Cl A		17,784		982
TEGNA		7,238		185
Tiffany		3,498		333
Time Warner		24,323		2,377
TJX		20,638		1,632
Tractor Supply		3,946		272
TripAdvisor *		3,697		160
Twenty-First Century Fox, Cl A		33,162		1,074
Twenty-First Century Fox, Cl B		15,100		480
Ulta Salon Cosmetics & Fragrance*		1,800		513
Under Armour, Cl A*		4,946		98
Under Armour, Cl C*		4,981		91
VF		10,440		574
Viacom, Cl B		10,930		510
Walt Disney		46,181		5,236
Whirlpool		2,309		396
Wyndham Worldwide		3,219		271
Wynn Resorts		2,317		266
Yum! Brands		10,897		696

				80,348


Consumer Staples — 9.0%
Altria Group		61,769		4,412
Archer-Daniels-Midland		18,341		844
Brown-Forman, Cl B		5,928		274
Campbell Soup		6,272		359
Church & Dwight		8,100		404
Clorox		4,122		556
Coca-Cola		122,882		5,215
Colgate-Palmolive		28,148		2,060
ConAgra Foods		12,892		520
Constellation Brands, Cl A		5,670		919
Costco Wholesale		13,976		2,344
Coty, Cl A		14,849		269
CVS Health		32,499		2,551
Dr Pepper Snapple Group		5,689		557


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Estee Lauder, Cl A		6,944	$	589
General Mills		18,141		1,070
Hershey		4,386		479
Hormel Foods		8,716		302
JM Smucker		3,604		472
Kellogg		8,194		595
Kimberly-Clark		11,177		1,471
Kraft Heinz		18,800		1,707
Kroger		29,648		874
McCormick		3,714		362
Mead Johnson Nutrition, Cl A		5,938		529
Molson Coors Brewing, Cl B		5,924		567
Mondelez International, Cl A		48,653		2,096
Monster Beverage*		12,665		585
PepsiCo		45,440		5,083
Philip Morris International		49,137		5,548
Procter & Gamble		80,909		7,270
Reynolds American		26,264		1,655
SYSCO, Cl A		16,043		833
Tyson Foods, Cl A		8,975		554
Walgreens Boots Alliance		27,107		2,251
Wal-Mart Stores		47,976		3,458
Whole Foods Market		10,451		311

				59,945


Energy — 6.4%
Anadarko Petroleum, Cl A		17,493		1,085
Apache		11,801		606
Baker Hughes		13,515		809
Cabot Oil & Gas		14,198		340
Chesapeake Energy*		21,302		127
Chevron		60,226		6,467
Cimarex Energy		3,149		376
Concho Resources*		4,700		603
ConocoPhillips		39,386		1,964
Devon Energy		16,726		698
EOG Resources		18,227		1,778
EQT		5,405		330
Exxon Mobil		131,800		10,809
Halliburton		27,342		1,346
Helmerich & Payne		3,243		216
Hess		8,574		413
Kinder Morgan		61,014		1,326
Marathon Oil		25,892		409
Marathon Petroleum		16,337		826
Murphy Oil		5,395		154
National Oilwell Varco, Cl A		12,230		490
Newfield Exploration*		6,373		235
Noble Energy		13,437		461
Occidental Petroleum		24,100		1,527
Oneok		6,554		363
Phillips 66		13,999		1,109


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Pioneer Natural Resources		5,292	$	986
Range Resources		5,587		163
Schlumberger, Cl A		44,437		3,471
Southwestern Energy*		13,886		113
TechnipFMC*		15,213		494
Tesoro		3,803		308
Transocean*		12,231		152
Valero Energy		14,197		941
Williams		25,546		756

				42,251


Financials — 13.8%
Affiliated Managers Group		1,729		283
Aflac		12,809		928
Allstate		11,512		938
American Express		24,213		1,916
American International Group		29,505		1,842
Ameriprise Financial		4,917		638
Aon		8,409		998
Arthur J. Gallagher		5,300		300
Assurant		1,782		171
Bank of America		318,245		7,507
Bank of New York Mellon		33,543		1,584
BB&T		25,956		1,160
Berkshire Hathaway, Cl B*		60,330		10,056
BlackRock		3,815		1,463
Capital One Financial		15,415		1,336
CBOE Holdings		2,900		235
Charles Schwab		38,135		1,556
Chubb		14,666		1,998
Cincinnati Financial		4,793		346
Citigroup		87,745		5,249
Citizens Financial Group		16,000		553
CME Group		10,748		1,277
Comerica		5,573		382
Discover Financial Services		12,546		858
ETrade Financial		8,170		285
Fifth Third Bancorp		24,251		616
Franklin Resources		11,236		474
Goldman Sachs Group		11,721		2,693
Hartford Financial Services Group		11,661		561
Huntington Bancshares		35,047		469
Intercontinental Exchange		18,680		1,118
Invesco		12,812		392
JPMorgan Chase		113,517		9,971
KeyCorp		33,452		595
Leucadia National		10,640		277
Lincoln National		7,109		465
Loews		8,789		411
M&T Bank		4,908		759
Marsh & McLennan		16,517		1,220
MetLife		35,012		1,849


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Moody’s		5,104	$	572
Morgan Stanley		45,417		1,946
Nasdaq, Cl A		3,487		242
Navient		10,409		154
Northern Trust		6,871		595
People’s United Financial		9,789		178
PNC Financial Services Group		15,297		1,839
Principal Financial Group, Cl A		8,333		526
Progressive		18,221		714
Prudential Financial		13,677		1,459
Raymond James Financial		4,100		313
Regions Financial		38,260		556
S&P Global		8,178		1,069
SunTrust Banks		15,739		870
Synchrony Financial		24,701		847
T. Rowe Price Group		7,740		528
Torchmark, Cl A		3,435		265
Travelers		9,052		1,091
Unum Group		6,963		327
US Bancorp		50,802		2,616
Wells Fargo		143,233		7,972
Willis Towers Watson		4,047		530
XL Group		8,914		355
Zions Bancorporation		6,137		258

				91,551


Health Care — 13.2%
Abbott Laboratories		55,225		2,453
AbbVie		50,325		3,279
Aetna, Cl A		11,216		1,431
Agilent Technologies		10,085		533
Alexion Pharmaceuticals*		7,008		850
Allergan		10,580		2,528
AmerisourceBergen, Cl A		5,154		456
Amgen, Cl A		23,363		3,833
Anthem		8,338		1,379
Baxter International		15,692		814
Becton Dickinson		6,752		1,239
Biogen*		6,850		1,873
Boston Scientific*		42,392		1,054
Bristol-Myers Squibb		53,338		2,901
C.R. Bard		2,397		596
Cardinal Health		9,903		808
Celgene, Cl A*		24,494		3,048
Centene*		5,400		385
Cerner*		9,312		548
Cigna		8,010		1,173
Cooper, Cl A		1,600		320
DaVita HealthCare Partners*		4,857		330
DENTSPLY SIRONA		7,271		454
Edwards Lifesciences, Cl A*		6,772		637
Eli Lilly		30,613		2,575


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Envision Healthcare*		3,836	$	235
Express Scripts Holding*		19,532		1,287
Gilead Sciences		41,413		2,813
HCA Holdings*		9,343		831
Henry Schein*		2,522		429
Hologic*		8,800		374
Humana		4,690		967
Idexx Laboratories*		2,900		448
Illumina*		4,600		785
Incyte*		5,500		735
Intuitive Surgical*		1,146		878
Johnson & Johnson		85,944		10,704
Laboratory Corp of America Holdings*		3,217		462
Mallinckrodt*		3,211		143
McKesson		6,837		1,014
Medtronic		43,141		3,475
Merck		87,266		5,545
Mettler Toledo International*		800		383
Mylan*		14,326		559
Patterson		2,462		111
PerkinElmer		3,569		207
Perrigo		4,476		297
Pfizer		188,457		6,447
Quest Diagnostics		4,478		440
Regeneron Pharmaceuticals*		2,415		936
Stryker		9,876		1,300
Thermo Fisher Scientific		12,411		1,906
UnitedHealth Group		30,611		5,020
Universal Health Services, Cl B		2,842		354
Varian Medical Systems*		2,965		270
Vertex Pharmaceuticals*		7,958		870
Waters*		2,520		394
Zimmer Biomet Holdings		6,353		776
Zoetis, Cl A		15,773		842

				87,734


Industrials — 9.8%
3M		18,926		3,621
Acuity Brands		1,300		265
Alaska Air Group		3,900		360
Allegion		3,194		242
American Airlines Group		16,125		682
Ametek		7,364		398
Arconic		13,992		369
Boeing		18,209		3,220
C.H. Robinson Worldwide		4,587		354
Caterpillar, Cl A		18,445		1,711
Cintas		2,852		361
CSX		29,688		1,382
Cummins		4,763		720
Danaher, Cl A		19,391		1,658
Deere		9,413		1,025


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Delta Air Lines, Cl A		22,922	$	1,053
Dover		4,846		389
Dun & Bradstreet		1,252		135
Eaton		14,139		1,048
Emerson Electric		20,526		1,229
Equifax		3,876		530
Expeditors International of Washington		5,808		328
Fastenal, Cl A		9,222		475
FedEx		7,769		1,516
Flowserve		3,754		182
Fluor		4,592		242
Fortive		9,395		566
Fortune Brands Home & Security		4,800		292
General Dynamics		9,065		1,697
General Electric		276,193		8,231
Honeywell International		24,252		3,028
Illinois Tool Works		9,831		1,302
Ingersoll-Rand		8,303		675
Jacobs Engineering Group		3,921		217
JB Hunt Transport Services		2,845		261
Kansas City Southern		3,563		306
L3 Technologies		2,419		400
Lockheed Martin		7,993		2,139
Masco		10,323		351
Nielsen Holdings		10,380		429
Norfolk Southern		9,102		1,019
Northrop Grumman		5,561		1,323
PACCAR		11,219		754
Parker-Hannifin, Cl A		4,152		666
Pentair		5,377		338
Quanta Services*		4,382		163
Raytheon		9,299		1,418
Republic Services		7,262		456
Robert Half International		4,159		203
Rockwell Automation		3,935		613
Rockwell Collins		3,930		382
Roper Technologies		3,314		684
Ryder System		1,523		115
Snap-on		1,855		313
Southwest Airlines, Cl A		19,533		1,050
Stanley Black & Decker		4,711		626
Stericycle, Cl A*		2,826		234
Textron		8,437		401
TransDigm Group		1,600		352
Union Pacific		25,919		2,745
United Continental Holdings*		9,300		657
United Parcel Service, Cl B		21,711		2,330
United Rentals*		2,699		337
United Technologies		23,732		2,663
Verisk Analytics, Cl A*		4,700		381
Waste Management		12,782		932
WW Grainger		1,747		407


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Xylem		5,948	$	299

				65,250


Information Technology — 21.4%
Accenture, Cl A		19,848		2,379
Activision Blizzard		21,500		1,072
Adobe Systems*		15,764		2,051
Advanced Micro Devices*		24,600		358
Akamai Technologies*		5,474		327
Alliance Data Systems		1,846		460
Alphabet, Cl A*		9,369		7,943
Alphabet, Cl C*		9,393		7,792
Amphenol, Cl A		9,520		678
Analog Devices		11,592		950
Apple		166,330		23,895
Applied Materials		34,271		1,333
Autodesk, Cl A*		6,005		519
Automatic Data Processing		14,342		1,468
Broadcom, Cl A		12,775		2,797
CA		9,933		315
Cisco Systems		158,872		5,370
Citrix Systems*		4,926		411
Cognizant Technology Solutions, Cl A*		19,577		1,165
Corning, Cl B		28,971		782
CSRA		4,666		137
eBay*		32,347		1,086
Electronic Arts*		9,628		862
F5 Networks, Cl A*		2,191		312
Facebook, Cl A*		74,571		10,593
Fidelity National Information Services, Cl B		10,453		832
Fiserv, Cl A*		6,782		782
Flir Systems		3,792		138
Global Payments		4,747		383
Harris		3,927		437
Hewlett Packard Enterprise		52,110		1,235
HP		53,410		955
Intel		149,997		5,410
International Business Machines		27,368		4,766
Intuit		7,585		880
Juniper Networks		12,533		349
KLA-Tencor		4,849		461
Lam Research		5,120		657
MasterCard, Cl A		29,882		3,361
Microchip Technology		7,037		519
Micron Technology*		32,971		953
Microsoft		245,096		16,142
Motorola Solutions		5,202		449
NetApp		9,028		378
Nvidia		18,648		2,031
Oracle, Cl B		94,933		4,235
Paychex		10,200		601
PayPal Holdings*		35,885		1,544


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Qorvo*		3,805	$	261
Qualcomm		46,468		2,664
Red Hat*		5,660		490
salesforce.com*		20,972		1,730
Seagate Technology		9,543		438
Skyworks Solutions		6,007		589
Symantec, Cl A		20,008		614
Synopsys*		4,800		346
TE Connectivity		11,303		843
Teradata*		3,999		124
Texas Instruments		31,911		2,571
Total System Services		5,367		287
VeriSign*		2,678		233
Visa, Cl A		59,132		5,255
Western Digital		9,238		762
Western Union		15,577		317
Xerox		29,156		214
Xilinx		8,087		468
Yahoo!*		27,832		1,292

				142,051


Materials — 2.7%
Air Products & Chemicals		6,961		942
Albemarle		3,400		359
Avery Dennison		2,776		224
Ball		5,756		427
CF Industries Holdings		7,137		209
Dow Chemical, Cl A		35,489		2,255
E.I. Du Pont de Nemours		27,465		2,206
Eastman Chemical		4,598		372
Ecolab		8,254		1,035
FMC		4,449		310
Freeport-McMoRan, Cl B*		41,462		554
International Flavors & Fragrances		2,515		333
International Paper		13,273		674
LyondellBasell Industries, Cl A		10,643		971
Martin Marietta Materials, Cl A		2,065		451
Monsanto		13,928		1,577
Mosaic		11,110		324
Newmont Mining		16,304		537
Nucor		9,848		588
PPG Industries		8,270		869
Praxair		8,933		1,059
Sealed Air		6,358		277
Sherwin-Williams, Cl A		2,513		779
Vulcan Materials		4,230		510
WestRock		8,092		421

				18,263


Real Estate — 2.8%
Alexandria Real Estate Equities‡		2,800		309
American Tower, Cl A‡		13,716		1,667


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Apartment Investment & Management, Cl A‡		4,543	$	201
AvalonBay Communities‡		4,322		794
Boston Properties‡		4,808		637
CBRE Group, Cl A*		9,625		335
Crown Castle International‡		11,228		1,060
Digital Realty Trust, Cl A‡		5,000		532
Equinix‡		2,459		985
Equity Residential‡		11,733		730
Essex Property Trust‡		2,160		500
Extra Space Storage‡		3,900		290
Federal Realty Investment Trust‡		2,200		294
GGP		18,197		422
HCP‡		15,230		476
Host Hotels & Resorts‡		23,112		431
Iron Mountain‡		7,776		277
Kimco Realty‡		12,596		278
Macerich‡		3,565		230
Mid-America Apartment Communities‡		3,600		366
ProLogis‡		16,871		875
Public Storage‡		4,700		1,029
Realty Income‡		8,418		501
Regency Centers‡		4,401		292
Simon Property Group‡		10,258		1,765
SL Green Realty‡		3,115		332
UDR‡		8,900		323
Ventas‡		11,110		723
Vornado Realty Trust‡		5,431		545
Welltower‡		11,607		822
Weyerhaeuser‡		23,860		811

				18,832


Telecommunication Services — 2.3%
AT&T		195,303		8,115
CenturyTel		16,542		390
Level 3 Communications*		9,081		519
Verizon Communications		129,698		6,323

				15,347


Utilities — 3.1%
AES		19,812		222
Alliant Energy		7,000		277
Ameren		7,844		428
American Electric Power		15,629		1,049
American Water Works		5,700		443
Centerpoint Energy		13,117		362
CMS Energy		9,113		408
Consolidated Edison		9,778		759
Dominion Resources		19,904		1,544
DTE Energy		5,741		586
Duke Energy		22,398		1,837
Edison International		10,390		827
Entergy		5,677		431


Description	Shares			Market Value ($ Thousands)
COMMON STOCK (continued)
Eversource Energy		9,744		$	573
Exelon		29,390			1,057
FirstEnergy		14,521			462
NextEra Energy		14,798			1,900
NiSource		9,413			224
NRG Energy		10,564			198
PG&E		16,093			1,068
Pinnacle West Capital		3,494			291
PPL		21,239			794
Public Service Enterprise Group		15,857			703
SCANA		4,480			293
Sempra Energy		7,968			881
Southern		30,982			1,542
WEC Energy Group		9,737			590
Xcel Energy		15,946			709

					20,458

Total Common Stock (Cost $554,071) ($ Thousands)					642,030

Total Investments — 96.6% (Cost $554,071) ($ Thousands)				$	642,030


	Contracts

PURCHASED OPTION — 0.0%
April 2017 Put on SPX, Expires 04/22/2017, Strike Price $2,180*		263			20

Total Purchased Option (Cost $535) ($ Thousands)				$	20


WRITTEN OPTION — 0.0%
April 2017 Put on SPX, Expires 04/22/2017 Strike Price $2,070*		(263	)		(11	)

Total Written Option (Premiums Received $(254)) ($ Thousands)				$	(11	)

A list of the open futures contracts held by the Fund at March 31, 2017, is as follows:


Type of Contract	Number of Contracts Long (Short)			Expiration Date		Unrealized Appreciation (Depreciation) ($ Thousands)
CAC40 10 Euro Index		235			Apr-2017	$	260
Dax Index		39			Jun-2017		247
IBEX 35 Index		115			Apr-2017		274
S&P 500 Index E-MINI		(437	)		Jun-2017		265
Topix Index		231			Jun-2017		(582	)

						$	464

A list of the open forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Settlement Date		Currency to Deliver (Thousands)			Currency To Receive (Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
04/10/17-04/10/17	USD		1,904	JPY		212,768	$	6
04/10/17	USD		2,836	JPY		315,773		(1	)
04/10/17-04/10/17	USD		12,979	CAD		17,275		(23	)
04/10/17	USD		16,498	SGD		23,016		(23	)
04/10/17	USD		70	TWD		2,158		2
04/10/17	USD		16,648	TWD		504,442		(23	)
04/10/17-04/10/17	USD		12,527	MXP		268,823		1,725
07/10/17	USD		13,656	MXP		259,999		(62	)
04/10/17-07/10/17	CAD		35,000	USD		26,513		246
07/10/17	SGD		23,016	USD		16,506		15
04/10/17-07/10/17	SGD		23,237	USD		16,327		(305	)
04/10/17	USD		66,779	KRW		74,460,460		(174	)
04/10/17-04/10/17	USD		69,404	EUR		64,688		(189	)
04/10/17-07/10/17	EUR		68,657	USD		73,998		228
04/10/17-07/10/17	EUR		61,518	USD		64,398		(1,429	)
04/10/17-07/10/17	USD		196,709	INR		13,190,944		5,670
04/10/17-07/10/17	MXP		271,199	USD		14,431		61
04/10/17	MXP		8,824	USD		422		(46	)
07/10/17	JPY		315,773	USD		2,847		1
04/10/17-07/10/17	JPY		542,534	USD		4,673		(199	)
07/10/17	TWD		505,241	USD		16,730		29
04/10/17	TWD		506,600	USD		16,182		(515	)
04/10/17	INR		6,577,322	USD		101,361		75
04/10/17-07/10/17	INR		120,200	USD		1,815		(26	)
07/10/17	KRW		74,494,360	USD		66,852		105
04/10/17-04/10/17	KRW		74,460,460	USD		61,699		(4,907	)
01/09/18	SAR		125,029	USD		33,039		(269	)

							$	(28	)

A list of the counterparties for the outstanding forward foreign currency contracts held by the Fund at March 31, 2017, is as follows:


Counterparty	Currency to Deliver ($ Thousands)			Currency to Receive ($ Thousands)		Unrealized Appreciation (Depreciation) ($ Thousands)
Bank of America	$	(333,143	)	$	338,594	$	5,451
Bank of Montreal		(38,389	)		38,605		216
BNP Paribas		(1,790	)		1,796		6
Citigroup		(40,977	)		42,698		1,721
Goldman Sachs		(68,398	)		67,044		(1,354	)
HSBC		(744	)		746		2
JPMorgan Chase Bank		(4,956	)		5,010		54
Morgan Stanley		(112,011	)		106,757		(5,254	)
Societe Generale		(137,550	)		137,498		(52	)
Standard Chartered		(142,575	)		142,146		(429	)
UBS		(53,218	)		52,870		(348	)
Westpac Banking		(986	)		945		(41	)

						$	(28	)

Percentages are based on Net Assets of $664,881 ($ Thousands).

Non-income producing security.

‡

Real Estate Investment Trust.

CAD — Canadian Dollar

Cl — Class

EUR — Euro

INR — Indian Rupee

JPY — Japanese Yen

KRW — Korean Won

MXN — Mexican Peso

S&P — Standard & Poor's

SAR — Saudi Riyal

SGD — Singapore Dollar

TWD — Taiwan Dollar

USD — United States Dollar

The following is a list of the level of inputs used as of March 31, 2017, 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	$	642,030		$	—		$	—	$	642,030

Total Investments in Securities	$	642,030		$	—		$	—	$	642,030


Other Financial Instruments	Level 1			Level 2			Level 3		Total
Purchased Option	$	20		$	—		$	—	$	20
Written Option		(11	)		—			—		(11	)
Futures Contracts*
Unrealized Appreciation		1,046			—			—		1,046
Unrealized Depreciation		(582	)		—			—		(582	)
Forwards Contracts*
Unrealized Appreciation		—			8,163			—		8,163
Unrealized Depreciation		—			(8,191	)		—		(8,191	)

Total Other Financial Instruments	$	473		$	(28	)	$	—	$	445

Futures contracts and forward contracts are valued at the unrealized appreciation (depreciation) on the instruments.

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 Act (17 CFR 270.30a-3(c))) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)) 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 Act(17 CFR 270.30a-3(d)) 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 Registrant’s 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 Act (17 CFR 270.30a-2(a)), are filed herewith.

(b) Officer certifications as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), also accompany this filing as an exhibit.

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.



Summary Schedules of Investments/Schedules of Investments/Consolidated Schedule of Investments			1

Statements of Assets and Liabilities/Consolidated Statements of Assets and Liabilities			240

Statements of Operations/Consolidated Statements of Operations			252

Statements of Changes in Net Assets/Consolidated Statements of Changes in Net Assets			258

Consolidated Statement of Cash Flows			266

Financial Highlights/Consolidated Financial Highlights			267

Notes to Financial Statements/Consolidated Notes to Financial Statements			278

Disclosure of Fund Expenses			320

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreement			326


SEI Institutional Managed Trust / Semi-Annual Report / March 31, 2017			1


Interest Rate Swaps
Counterparty	Fund Pays	Fund Receives	Termination Date	Notional Amount ($ Thousands)		Net Unrealized Appreciation (Depreciation) ($Thousands)
BNP Paribas	3-Month USD LIBOR	1.58%	06/13/26	$	9,520	$	636
BNP Paribas	3-Month USD LIBOR	1.19%	06/13/21		9,530		(307	)
Barclays	1.90%	3-Month USD LIBOR	11/30/22		34,472		422
UBS	1.90%	3-Month USD LIBOR	08/31/22		22,800		241
Merrill Lynch	1.27%	3-Month USD LIBOR	05/15/23		22,656		1,174

						$	2,166


Credit Default Swaps
Counterparty	Reference Entity/Obligation	Buy/Sell Protection	(Pays)/Receives Rate	Termination Date	Notional Amount ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Credit Suisse	CDX.NA.IG.27	SELL	1.00%	12/20/21	$	(9,100	)	$	3
UBS	CDX.NA.HY.27	BUY	5.00%	12/20/21		3,178			(34	)

								$	(31	)


	Investments in Corporate Obligations				Investments in Asset-Backed Securities				Investments in Loan Participations				Investments in Common Stock			Investments in Municipal Bonds				Investments in Convertible Bonds				Investments in Preferred Stock				Investments in Warrants
Balance as of October 1, 2016		$	5,566			$	162,028			$	13,534			$	2,338		$	7,946			$	432			$	425			$	5
Accrued discounts/premiums			(10	)			(13	)			186				—			—				(2	)			—				—
Realized gain/(loss)			—				16,721				(12	)			—			—				—				—				—
Change in unrealized appreciation/depreciation			(99	)			11,722				1,055				303			(6	)			(322	)			(176	)			—
Purchases			21				15,439				586				—			—				—				—				—
Sales			—				(46,368	)			(292	)			—			—				—				—				—
Net transfer into Level 3			127				—				1,463				—			—				—				—				—
Net transfer out of Level 3			—				—				(6,349	)			—			(4,161	)			—				—				—

Ending Balance as of March 31, 2017		$	5,605			$	159,529			$	10,171			$	2,641		$	3,779			$	108			$	249			$	5

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date		$	(244	)		$	13,115			$	1,000			$	273		$	(6	)		$	(90	)		$	(176	)		$	—


Interest Rate Swaps
Broker	Fund Pays	Fund Receives	Termination Date	Currency	Notional Amount ($ Thousands)		Net Unrealized Depreciation ($ Thousands)
Deutsche Bank	1.44%	1.0 X BP0006M + 0.0 BPS	01/05/47	GBP	$	572	$	(4	)
JPMorgan Chase Bank	1.37%	1.0 X BP0006M + 0.0 BPS	01/05/67	GBP		500		(27	)
Merrill Lynch	1.56%	1.0 X BP0006M + 0.0 BPS	11/29/46	GBP		520		(22	)
Morgan Stanley	1.60%	1.0 X BP0006M + 0.0 BPS	12/01/46	GBP		254		(14	)
State Street	1.82%	1.0 X BUBOR06M + 0.0 BPS	06/21/22	HUF		161,718		(12	)
State Street	1.83%	1.0 X BUBOR06M + 0.0 BPS	06/21/22	HUF		335,353		(24	)
State Street	1.79%	1.0 X BUBOR06M + 0.0 BPS	06/21/22	HUF		237,963		(16	)

							$	(119	)


206		SEI Institutional Managed Trust/Semi-Annual Report/March 31, 2017


	Investments in Asset-Backed Securities			Investments in Corporate Obligations			Investments in Loan Participations			Investments in Mortgage-Backed Securities			Investments in Common Stock			Investments in Convertible Bonds			Investments in Warrants
Balance as of September 30, 2016	$	2,560		$	3,447		$	8,156		$	1,777		$	71		$	47		$	14
Accrued discounts/premiums		—			—			(8	)		—			—			—			—
Realized gain/(loss)		(496	)		—			(226	)		—			—			—			—
Change in unrealized appreciation/depreciation		469			275			178			—			—			(35	)		3
Purchases		—			—			459			—			(4	)		—			—
Sales		(19	)		(113	)		(971	)		—			—			—			—
Net transfer into Level 3		2,231			893			10,678			7,153			—			—			—
Net transfer out of Level 3		(989	)		(166	)		—			(1,777	)		—			—			—

Ending Balance as of March 31, 2017	$	3,756		$	4,336		$	18,266		$	7,153		$	67		$	12		$	17

Changes in unrealized gains/(losses) included in earnings related to securities still held at reporting date	$	91		$	278		$	122		$	2		$	—		$	(35	)	$	3


232		SEI Institutional Management Trust / Semi-Annual Report / March 31, 2017


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.27	SELL	1.00%	12/20/21	$	(710	)	$	2
Morgan Stanley	CDX.HY.IG.27	SELL	1.00%	12/20/21		(870	)		3
Morgan Stanley	CDX.HY.IG.27	SELL	1.00%	12/20/21		(1,000	)		2
Morgan Stanley	CDX.HY.IG.27	SELL	5.00%	12/20/21		(485	)		6
Morgan Stanley	CDX.HY.IG.27	SELL	1.00%	12/20/21		(790	)		2
Morgan Stanley	CDX.HY.IG.27	SELL	5.00%	12/20/21		(703	)		11
Morgan Stanley	CDX.HY.IG.27	SELL	5.00%	12/20/21		(584	)		9
Morgan Stanley	CDX.HY.IG.27	SELL	1.00%	12/20/21		(610	)		2
Morgan Stanley	CDX.HY.IG.27	SELL	5.00%	12/20/21		(1,069	)		17
Morgan Stanley	CDX.HY.IG.27	SELL	1.00%	12/20/21		(1,060	)		3
Morgan Stanley	CDX.HY.IG.27	SELL	1.00%	12/20/21		(800	)		1
Morgan Stanley	CDX.HY.IG.27	SELL	5.00%	12/20/21		(832	)		—
Morgan Stanley	CDX.HY.IG.27	SELL	5.00%	12/20/21		(980	)		2
Morgan Stanley	CDX.HY.IG.27	SELL	1.00%	12/20/21		(1,000	)		2
Morgan Stanley	CDX.HY.IG.27	SELL	5.00%	12/20/21		(4,406	)		(25	)
Morgan Stanley	CDX.HY.IG.27	SELL	1.00%	12/20/21		(700	)		—
Morgan Stanley	CDX.HY.IG.27	SELL	5.00%	12/20/21		(1,119	)		11
Morgan Stanley	CDX.HY.IG.27	SELL	5.00%	12/20/21		(1,010	)		7
Morgan Stanley	CDX.HY.IG.28	SELL	1.00%	06/20/22		(1,020	)		1
Morgan Stanley	CDX.HY.IG.28	SELL	1.00%	06/20/22		(980	)		—
Morgan Stanley	CDX.HY.IG.28	SELL	5.00%	06/20/22		(510	)		1
Morgan Stanley	CDX.HY.IG.28	SELL	1.00%	06/20/22		(590	)		—
Morgan Stanley	CDX.NA.IG.27	SELL	1.00%	12/20/21		(1,170	)		9
Morgan Stanley	CDX.NA.IG.27	SELL	1.00%	12/20/21		(560	)		3
Morgan Stanley	Itraxx.EUR.Xover.25	SELL	5.00%	12/20/21		(350	)		3
Morgan Stanley	Itraxx.EUR.Xover.26	SELL	5.00%	12/20/21		(1,080	)		30
Morgan Stanley	Itraxx.EUR.Xover.26	SELL	5.00%	12/20/21		(130	)		3
Morgan Stanley	Itraxx.EUR.Xover.26	SELL	5.00%	12/20/21		(540	)		3
Morgan Stanley	Itraxx.EUR.Xover.27	SELL	5.00%	06/20/22		(470	)		—

								$	108


	Large Cap Fund			Large Cap Value Fund
Assets:
Investments, at value†	$	2,206,224	*	$	1,315,153	*
Affiliated investments, at value††		144,360			104,949
Cash and cash equivalents		222			220
Cash pledged as collateral on futures contracts		197			—
Foreign currency, at value†††		—			—
Receivable for fund shares sold		1,653			601
Dividends and Interest receivable		2,038			1,676
Foreign tax reclaim receivable		8			—
Receivable for investment securities sold		—			4,154
Receivable for variation margin		—			—
Receivable from investment adviser		—			—
Other receivables		—			2
Prepaid expenses		43			24
Total Assets		2,354,745			1,426,779
Liabilities:
Payable upon return on securities loaned		10,431			28,891
Payable for fund shares redeemed		1,966			1,720
Administration fees payable		555			359
Shareholder servicing fees payable Class E		—			—
Shareholder servicing fees payable Class F⁽¹⁾		470			279
Shareholder servicing fees payable Class I		—			—
Payable for variation margin		9			—
Payable for investment securities purchased		—			6,865
Payable to custodian		—			—
Investment advisory fees payable		673			373
Chief Compliance Officer fees payable		3			2
Administration servicing fees payable Class I		—			1
Accrued expense payable		81			42
Total Liabilities		14,188			38,532
Net Assets	$	2,340,557		$	1,388,247
† Cost of investments and repurchase agreements	$	1,752,963		$	1,038,814
†† Cost of affiliated investments		144,350			104,950
††† Cost of foreign currency		—			—
* Includes market value of securities on loan		10,190			28,205


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

	$1,373,522	*		$3,260,957	*		$743,597	*		$554,791	*		$374,455	*		$320,441	*		$755,958	*		$107,083	*
	44,905			255,851			20,895			98,087			72,260			37,777			139,554			9,410
	—			248			—			—			—			409			—			19
	—			374			—			597			172			—			361			116
	—			127			—			—			—			—			—			—
	577			1,532			1,253			474			214			122			624			991
	332			3,289			771			484			589			88			742			209
	7			12			—			—			—			—			—			1
	9,512			—			—			7,408			2,661			4,615			3,788			—
	—			—			—			28			8			—			9			—
	—			—			—			—			1			—			—			—
	2			—			—			—			—			—			—			—
	22			53			—			11			—			6			33			1
	1,428,879			3,522,443			766,516			661,880			450,360			363,458			901,069			117,830

	8,773			57,228			3,492			59,675			51,676			27,189			97,014			3,198
	1,855			1,579			487			615			464			318			408			24
	364			699			114			151			100			84			202			29
	—			—			10			—			—			—			—			—
	285			685			52			117			77			65			137			23
	—			—			1			—			—			—			—			—
	—			17			38			—			—			—			—			—
	8,437			—			2,065			6,992			2,451			3,895			7,368			—
	7			—			2			638			—			—			615			—
	379			1,111			19			282			188			149			377			38
	2			4			1			1			—			—			1			—
	1			—			1			—			—			—			—			—
	43			1			40			22			9			15			29			4
	20,146			61,324			6,322			68,493			54,965			31,715			106,151			3,316
	$1,408,733			$3,461,119			$760,194			$593,387			$395,395			$331,743			$794,918			$114,514
	$1,061,898			$1,925,155			$365,006			$481,450			$307,130			$286,463			$509,630			$ 95,721
	44,906			255,854			20,895			98,091			72,263			37,778			139,558			9,410
	—			129			—			—			—			—			—			—
	8,598			55,808			3,412			58,442			50,922			26,556			95,303			3,124


	Large Cap Fund			Large Cap Value Fund
Net Assets:
Paid-in capital — (unlimited authorization — no par value)		$1,853,084			$1,138,942
Undistributed (distributions in excess of) net investment income		5,836			9,943
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency		28,327			(36,976	)
Net unrealized appreciation on investments and securities sold short		453,271			276,338
Net unrealized appreciation (depreciation) on futures contracts		39			—
Net Assets		$2,340,557			$1,388,247
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 F⁽¹⁾		$13.58			$23.49
		($2,190,792,609 ÷ 161,362,400 shares	)		($1,296,447,412 ÷ 55,195,608 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class I		N/A			$23.49
					($6,367,636 ÷ 271,024 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class Y		$13.58			$23.49
		($149,764,158 ÷ 11,024,981 shares	)		($85,431,526 ÷ 3,636,312 shares	)


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

	$1,085,202			$2,108,383			$377,310			$507,805			$320,073			$319,893			$539,178			$ 99,523
	1,447			7,986			2,926			(234	)		1,071			(1,150	)		386			238
	10,461			8,954			1,413			12,298			6,869			(20,977	)		8,958			3,369
	311,623			1,335,799			378,591			73,337			67,322			33,977			246,324			11,362
	—			(3	)		(46	)		181			60			—			72			22
	$1,408,733			$3,461,119			$760,194			$593,387			$395,395			$331,743			$794,918			$114,514
	N/A			N/A			$56.85			N/A			N/A			N/A			N/A			N/A
							($307,489,985 ÷ 5,408,638 shares	)
	$31.26			$22.50			$56.46			$12.61			$25.08			$31.35			$20.69			$26.24
	($1,319,428,041 ÷ 42,209,832 shares	)		($3,202,911,771 ÷ 142,350,228 shares	)		($416,084,949 ÷ 7,369,692 shares	)		($557,622,724 ÷ 44,225,135 shares	)		($364,018,748 ÷ 14,514,653 shares	)		($310,328,118 ÷ 9,899,314 shares	)		($733,644,367 ÷ 35,463,579 shares	)		($112,097,835 ÷ 4,271,259 shares	)
	$30.64			N/A			$56.77			N/A			$24.88			$30.19			N/A			$26.21
	($4,329,014 ÷ 141,272 shares	)					($6,961,857 ÷ 122,625 shares	)					($2,698,086 ÷ 108,428 shares	)		($2,168,315 ÷ 71,814 shares	)					($860,476 ÷ 32,835 shares	)
	$31.29			$22.51			$56.46			$12.65			$25.10			$31.46			$20.70			$26.26
	($84,976,327 ÷ 2,715,597 shares	)		($258,206,779 ÷ 11,469,534 shares	)		($29,657,300 ÷ 525,234 shares	)		($35,764,511 ÷ 2,827,225 shares	)		($28,678,203 ÷ 1,142,642 shares	)		($19,246,885 ÷ 611,713 shares	)		($61,273,670 ÷ 2,960,060 shares	)		($1,555,594 ÷ 59,230 shares	)


	U.S. Managed Volatility Fund		Global Managed Volatility Fund
Assets:
Investments, at value†		$1,622,558		$1,345,669
Affiliated investments, at value††		27,037		17,875
Cash and cash equivalents		117		5,739
Cash pledged as collateral on swap contracts		—		—
Cash pledged as collateral on futures contracts		505		625
Foreign currency, at value†††		3,478		1,400
Receivable for fund shares sold		1,353		1,790
Receivable for investment securities sold		5,682		210
Dividends and Interest receivable		3,230		3,689
Unrealized gain on forward foreign currency contracts		—		2,598
Unrealized gain on spot currency contracts		—		—
Options purchased, at value†††††		—		—
Foreign tax reclaim receivable		—		2,518
Receivable for variation margin		—		8
Receivable from investment adviser		—		—
Other receivables		—		—
Prepaid expenses		5		40
Total Assets		1,663,965		1,382,161
Liabilities:
Payable for investment securities purchased		5,993		—
Payable for fund shares redeemed		1,695		2,602
Administration fees payable		419		352
Shareholder servicing fees payable Class F⁽¹⁾		236		259
Payable for variation margin		26		41
Payable upon return on securities loaned		—		—
Income distribution payable		—		—
Options written, at value†††††		—		—
Payable to custodian		—		—
Unrealized loss on forward foreign currency contracts		—		268
Unrealized loss on currency spot contracts		—		—
Investment advisory fees payable		602		614
Chief Compliance Officer fees payable		3		2
Trustees fees payable		—		—
Interest payable		—		—
Administration servicing fees payable Class I		—		—
Unfunded commitments on Loan Participations		—		—
Accrued expense payable		39		104
Total Liabilities		9,013		4,242
Net Assets		$1,654,952		$1,377,919
† Cost of investments and repurchase agreements		$1,345,533		$1,176,583
†† Cost of affiliated investments		27,037		17,875
††† Cost of foreign currency		3,524		1,401
††††† Cost (premiums received)		—		—
* Includes market value of securities on loan		—		—


Tax-Managed Managed Volatility Fund		Tax-Managed International Managed Volatility Fund		Real Estate Fund			Enhanced Income Fund		Core Fixed Income Fund			U.S. Fixed Income Fund			High Yield Bond Fund

	$1,003,514		$289,341		$179,274	*		$79,836		$2,111,074	*		$1,799,473	*		$1,531,569
	16,154		5,246		5,007			2,646		124,387			114,212			53,824
	—		980		—			—		—			—			3,392
	—		—		—			—		2,120			1,145			893
	335		226		—			19		1,422			560			—
	1,477		1,013		—			—		1,635			—			—
	781		328		264			—		1,718			4,172			5,288
	618		4,227		3,114			887		119,439			124,117			14,128
	1,813		1,252		608			270		10,787			8,595			22,798
	—		—		—			—		502			57			—
	—		5		—			—		—			—			—
	—		—		—			—		460			271			—
	5		162		—			—		16			—			11
	—		7		—			1		465			165			7
	—		—		—			—		2			—			—
	—		—		—			—		—			—			—
	21		1		1			3		39			25			33
	1,024,718		302,788		188,268			83,662		2,374,066			2,052,792			1,631,943

	690		4,624		3,372			2,559		296,726			303,986			34,438
	1,141		445		309			68		1,601			1,900			1,313
	263		113		47			—		330			—			271
	208		60		31			9		392			326			299
	16		17		—			3		380			201			—
	—		—		488			—		53,042			25,807			6
	—		—		—			—		397			2,982			653
	—		—		—			—		513			271			—
	—		—		—			157		1,444			101			—
	—		—		—			—		1,348			392			—
	—		1		—			—		—			—			—
	370		90		89			12		291			243			549
	1		—		—			—		2			2			2
	—		—		—			—		—			—			—
	—		—		—			1		—			269			—
	—		—		—			—		—			—			2
	—		—		—			—		—			—			2
	42		4		4			37		195			402			59
	2,731		5,354		4,340			2,846		356,661			336,882			37,594
	$1,021,987		$297,434		$183,928			$80,816		$2,017,405			$1,715,910			$1,594,349
	$ 705,775		$270,241		$146,625			$80,948		$2,113,237			$1,798,624			$1,524,054
	16,154		5,246		5,007			2,646		124,394			114,219			53,824
	1,465		1,015		—			—		1,585			—			—
	—		—		—			—		(224	)		(79	)		—
	—		—		478			—		51,579			25,141			1


	U.S. Managed Volatility Fund			Global Managed Volatility Fund
Net Assets:
Paid-in capital — (unlimited authorization — no par value)		$1,325,100			$1,149,134
Undistributed (distributions in excess of) net investment income		5,921			(18,192	)
Accumulated net realized gain (loss) on investments, option contracts, swaptions, futures contracts, securities sold short, swap contracts and foreign currency		46,967			75,737
Net unrealized appreciation (depreciation) on investments and securities sold short		277,025			169,086
Net unrealized appreciation on option contracts		—			—
Net unrealized appreciation (depreciation) on futures contracts		(14	)		21
Net unrealized appreciation (depreciation) on forward foreign currency contracts, foreign currencies and translation of other assets and liabilities denominated in foreign currencies		(47	)		2,133
Net unrealized appreciation on swap contracts		—			—
Net Assets		$1,654,952			$1,377,919
Net Asset Value, Offering and Redemption Price Per Share — Class F⁽¹⁾		$17.73			$11.31
		($1,111,571,401 ÷ 62,708,303 shares	)		($1,222,804,517 ÷ 108,126,242 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class I		$17.71			$11.10
		($2,086,762 ÷ 117,827 shares	)		($1,630,218 ÷ 146,922 shares	)
Net Asset Value, Offering and Redemption Price Per Share — Class Y		$17.74			$11.33
		($541,293,379 ÷ 30,519,536 shares	)		($153,483,849 ÷ 13,548,497 shares	)


	Conservative Income Fund		Tax-Free Conservative Income Fund
Assets:
Investments, at value†		$199,810		$151,403
Affiliated investments, at value††		35		—
Repurchase agreements†		2,000		—
Cash and cash equivalents		—		41
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		382		160
Dividends and Interest receivable		196		720
Receivable for investment securities sold		—		—
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		—		—
Receivable from investment adviser		25		—
Prepaid expenses		2		1
Total Assets		202,450		152,325
Liabilities:
Payable for fund shares redeemed		476		506
Income distribution payable		54		17
Shareholder servicing fees payable Class F⁽¹⁾		17		13
Administration fees payable		11		8
Payable to custodian		3		—
Payable for securities sold short@		—		—
Payable for investment securities purchased		—		—
OTC Swap contracts, at value††††		—		—
Options written, at value†††††		—		—
Reverse repurchase agreements		—		—
Foreign currency payable to custodian, at value†††		—		—
Payable for variation margin		—		—
Unrealized loss on foreign currency spot contracts		—		—
Unrealized loss on forward foreign currency contracts		—		—
Investment advisory fees payable		18		13
Chief Compliance Officer fees payable		—		—
Unfunded commitments on Loan Participations		—		—
Accrued expense payable		35		5
Total Liabilities		614		562
Net Assets		$201,836		$151,763
† Cost of investments and repurchase agreements		$201,779		$151,427
†† Cost of affiliated investments		35		—
††† Cost of foreign currency		—		—
†††† Cost (premiums received)		—		—
††††† Cost (premiums received)		—		—
@ Proceeds from securities sold short		—		—


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

	$279,251		$642,030		$410,549			$2,000,202		$819,050			$1,022,423			$279,056			$31,971
	364		—		102,591			—		—			—			—			—
	—		—		—			—		—			—			—			—
	—		4,867		104,258			474,076		14,516			148,273			442,340			—
	—		9,466		—			—		—			—			—			—
	—		8,117		3,885			8,120		25,448			464			2,710			—
	—		—		170			68,910		2,144			2,106			6,511			1,005
	—		—		—			9,013		87			8			1,521			—
	203		674		346			1,788		940			754			679			—
	378		673		943			2,657		5,061			2,014			684			—
	—		—		28,277			—		15,819			250			88			—
	—		8,163		108			6,338		91			430			2,195			—
	—		—		23			12		—			10			7			—
	—		—		146			3,474		—			25			—			—
	—		20		290			—		2,780			394			825			—
	—		—		3			140		12			19			—			—
	—		310		8			448,634		137			1,307			172			2
	—		—		—			—		—			—			—			—
	6		10		10			66		11			21			13			4
	280,202		674,330		651,607			3,023,430		886,096			1,178,498			736,801			32,982

	386		474		534			1,803		712			832			1,174			—
	—		—		—			—		377			—			—			—
	22		129		107			486		61			174			58			—
	48		169		130			582		213			226			186			8
	—		—		—			—		—			—			—			—
	—		—		119,167			—		208			115,438			—			—
	—		—		22,119			—		36,304			575			49			—
	—		—		119			6,568		—			524			—			—
	—		11		68			—		1,742			—			373			—
	—		—		—			—		—			168,042			—			—
	—		—		71			—		—			—			—			—
	—		347		72			453,664		113			2,218			322			29
	—		—		—			17		1			10			7			—
	—		8,191		114			6,190		196			720			2,940			—
	29		97		220			1,317		242			234			119			16
	—		1		1			3		1			1			1			—
	—		—		—			—		97			—			—			—
	11		30		22			101		110			318			24			2
	496		9,449		142,744			470,731		40,377			289,312			5,253			55
	$279,706		$664,881		$508,863			$2,552,699		$845,719			$ 889,186			$731,548			$32,927
	$277,289		$554,071		$404,948			$1,974,487		$807,872			$1,010,586			$279,740			$31,944
	364		—		101,234			—		—			—			—			—
	—		—		(70	)		9,077		87			8			1,461			—
	—		—		(17	)		—		—			(660	)		—			—
	—		281		310			—		311			328			(157	)		—
	—		—		(113,987	)		—		(208	)		(113,798	)		—			—


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

	$280,282			$567,295			$511,382			$2,696,168			$833,811			$ 999,569			$728,561			$31,401
	1,257			399			(942	)		(41,250	)		1,887			(7,909	)		(687	)		(93	)
	(3,795	)		9,064			(3,116	)		(142,560	)		(1,879	)		(106,365	)		2,906			1,314
	1,962			87,959			1,778			25,715			11,178			10,197			(684	)		27
	—			(272	)		(88	)		—			727			66			609			—
	—			464			(2	)		16,919			166			(5,544	)		1,661			278
	—			(28	)		(10	)		(1,143	)		(111	)		(355	)		(674	)		—
	—			—			(139	)		(1,150	)		(60	)		(473	)		(144	)		—
	$279,706			$664,881			$508,863			$2,552,699			$845,719			$ 889,186			$731,548			$32,927
	$10.17			$11.31			$9.86			$9.60			$10.73			$8.60			$10.10			$10.43
	($261,412,244 ÷ 25,697,609 shares	)		($607,657,534 ÷ 53,745,825 shares	)		($506,352,019 ÷ 51,358,727 shares	)		($2,316,556,703 ÷ 241,320,697 shares	)		($722,530,687 ÷ 67,314,584 shares	)		($822,072,577 ÷ 95,601,479 shares	)		($680,018,795 ÷ 67,323,285 shares	)		($20,636 ÷ 1,979 shares	)
	$10.20			$11.32			$9.85			$9.63			$10.73			$8.60			$10.12			$10.47
	($18,293,634 ÷ 1,792,807 shares	)		($57,223,799 ÷ 5,056,367 shares	)		($2,511,427 ÷ 254,881 shares	)		($236,142,440 ÷ 24,509,735 shares	)		($123,188,292 ÷ 11,477,588 shares	)		($67,113,882 ÷ 7,802,567 shares	)		($51,528,823 ÷ 5,093,664 shares	)		($32,905,889 ÷ 3,142,932 shares	)


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

$	29,705		$	7,382		$	3,007		$	3,230		$	1,067		$	5,182		$	953
	316			27			56			30			21			53			8
	1			3			1			1			1			1			1
	85			10			429			317			443			748			18
	(158	)		—			(9	)		(6	)		(1	)		(10	)		—
	29,949			7,422			3,484			3,572			1,531			5,974			980

	6,768			104			1,875			1,272			1,051			2,452			196
	4,549			765			865			587			485			1,132			147
	3,940			478			677			458			383			874			120
	—			8			—			3			3			—			1
	26			5			4			3			2			6			1
	10			2			2			1			1			2			—
	—			8			—			3			3			—			1
	189			38			33			22			18			42			5
	142			19			16			11			9			30			3
	90			17			15			9			8			18			2
	62			11			11			7			5			13			2
	—			34			—			—			—			—			—
	41			9			9			7			5			11			2
	15,817			1,498			3,507			2,383			1,973			4,580			480

	(971	)		—			(257	)		(174	)		(192	)		(333	)		—
	—			—			—			—			—			—			—
	(5	)		(134	)		(1	)		(1	)		(1	)		(105	)		—
	—			(3	)		—			—			—			—			—
	—			(129	)		—			—			—			—			—
	14,841			1,232			3,249			2,208			1,780			4,142			480
	15,108			6,190			235			1,364			(249	)		1,832			500

	176,676			3,119			27,729			19,854			8,785			14,821			4,376
	861			2,015			(465	)		422			(10	)		39			62

	88,153			55,126			18,639			17,826			18,337			51,551			4,582
	(26	)		(350	)		219			63			—			70			22
	—			—			—			—			—			1			—
$	280,772		$	66,100		$	46,357		$	39,529		$	26,863		$	68,314		$	9,542


Tax-Managed International Managed Volatility Fund⁽¹⁾			Real Estate Fund			Enhanced Income Fund			Core Fixed Income Fund			U.S. Fixed Income Fund			High Yield Bond Fund			Conservative Income Fund

$	3,767		$	3,357		$	7		$	23		$	—		$	1,050		$	—
	16			7			5			98			152			114			—
	3			1			1,100			28,876			18,243			53,451			967
	—			1			—			265			135			—			—
	(353	)		—			—			(1	)		(2	)		—			—
	3,433			3,366			1,112			29,261			18,528			54,615			967

	768			622			193			2,809			2,216			3,968			100
	532			287			124			2,431			1,914			2,033			199
	290			194			111			2,396			1,833			1,811			227
	—			1			—			11			—			9			—
	2			2			1			16			12			13			1
	1			1			—			6			5			5			1
	—			1			—			11			—			9			—
	14			11			5			115			90			92			11
	5			5			3			58			45			74			5
	10			5			4			55			36			47			3
	5			3			3			37			31			30			6
	—			—			—			—			—			—			—
	—			—			—			—			—			—			—
	6			3			33			276			141			117			5
	1,633			1,135			477			8,221			6,323			8,208			558

	(325	)		(81	)		(68	)		(1,075	)		(860	)		(710	)		—
	—			—			(49	)		—			(3	)		(2	)		(136	)
	—			—			—			(1	)		—			(1	)		—
	—			—			—			—			—			—			—
	—			—			(76	)		(419	)		(313	)		(412	)		(130	)
	—			(5	)		—			—			—			—			—
	1,308			1,049			284			6,726			5,147			7,083			292
	2,125			2,317			828			22,535			13,381			47,532			675

	(7,079	)		5,156			(571	)		(15,783	)		(21,443	)		9,243			2
	1,034			—			50			4,828			4,857			—			—
	(367	)		—			—			1,243			2,402			—			—
	—			—			—			392			205			—			—
	—			—			—			(1,053	)		(209	)		619			—

	19,100			(12,711	)		1,729			(52,208	)		(34,557	)		27,610			26
	28			—			(6	)		(1,308	)		(925	)		—			—
	—			—			—			118			59			—			—
	—			—			—			5,996			1,831			(184	)		—

	(4	)		—			—			(343	)		(176	)		—			—
$	14,837		$	(5,238	)	$	2,030		$	(35,583	)	$	(34,575	)	$	84,820		$	703


	Large Cap Fund
	10/01/16 to 03/31/17			2016
Operations:
Net investment income		$ 11,462			$ 24,209
Net realized gain (loss) from investments, securities sold short, futures contracts, options, swaptions and swap contracts		112,825			(40,384	)
Net realized (Loss) on foreign currency transactions		—			—
Net change in unrealized appreciation (depreciation) on investments, securities sold short, futures contracts, options and swap contracts		60,144			252,691
Net Increase in Net Assets Resulting from Operations		184,431			236,516
Dividends and Distributions to Shareholders:
Net investment income:
Class E		N/A			N/A
Class F⁽¹⁾		(9,803	)		(22,122	)
Class I		N/A			N/A
Class T		N/A			N/A
Class Y		(874	)		(2,019	)
Net capital gains:
Class E		N/A			N/A
Class F⁽¹⁾		—			(369,451	)
Class I		N/A			N/A
Class T		N/A			N/A
Class Y		—			(25,458	)
Total Dividends and Distributions		(10,677	)		(419,050	)
Capital Share Transactions:⁽²⁾
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 from Class E transactions		N/A			N/A
Class F⁽¹⁾:
Proceeds from shares issued		275,074			572,117
Reinvestment of dividends & distributions		9,125			355,095
Cost of shares redeemed		(493,875	)		(1,000,085	)
Net increase (decrease) from Class F transactions		(209,676	)		(72,873	)
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 decrease from Class I transactions		N/A			N/A
Class Y:
Proceeds from shares issued		16,160			35,851
Reinvestment of dividends & distributions		872			27,475
Cost of shares redeemed		(42,827	)		(45,385	)
Net increase (decrease) from Class Y transactions		(25,795	)		17,941
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(235,471	)		(54,932	)
Net Increase (Decrease) in Net Assets		(61,717	)		(237,466	)
Net Assets
Beginning of period		2,402,274			2,639,740
End of period		$2,340,557			$ 2,402,274
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End		$ 5,836			$ 5,051


Large Cap Value Fund						Large Cap Growth Fund						Tax-Managed Large Cap Fund						S&P 500 Index Fund						Small Cap Fund
10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016

	$ 9,952			$ 20,665			$ 1,453			$ 932			$ 15,108			$ 33,081			$ 6,190			$ 11,509			$ 235			$ 245
	36,042			(38,340	)		90,858			(70,590	)		177,537			(23,600	)		5,134			22,525			27,264			(4,935	)
	—			—			—			—			—			(1	)		—			—			—			—
	104,492			146,991			(22,406	)		203,284			88,127			297,817			54,776			56,121			18,858			47,891
	150,486			129,316			69,905			133,626			280,772			307,297			66,100			90,155			46,357			43,201


	N/A			N/A			N/A			N/A			N/A			N/A			(2,525	)		(4,549	)		N/A			N/A
	(9,240	)		(18,523	)		(1,021	)		(440	)		(12,784	)		(30,096	)		(3,133	)		(6,553	)		(775	)		(81	)
	(37	)		(79	)		—			—			N/A			N/A			(41	)		(110	)		N/A			N/A
	N/A			N/A			N/A			N/A			—			—			N/A			N/A			N/A			N/A
	(443	)		(195	)		(218	)		(18	)		(1,135	)		(1,885	)		(113	)		(9	)		(110	)		(30	)

	N/A			N/A			N/A			N/A			N/A			N/A			(8,334	)		(352	)		N/A			N/A
	—			(170,943	)		—			(247,678	)		—			—			(11,171	)		(563	)		—			(53,729	)
	—			(838	)		—			(854	)		N/A			N/A			(182	)		(10	)		N/A			N/A
	N/A			N/A			N/A			N/A			—			—			N/A			N/A			N/A			N/A
	—			(3	)		—			(3	)		—			—			(700	)		—			—			(3,378	)
	(9,720	)		(190,581	)		(1,239	)		(248,993	)		(13,919	)		(31,981	)		(26,199	)		(12,146	)		(885	)		(57,218	)


	N/A			N/A			N/A			N/A			N/A			N/A			24,164			33,726			N/A			N/A
	N/A			N/A			N/A			N/A			N/A			N/A			10,039			4,442			N/A			N/A
	N/A			N/A			N/A			N/A			N/A			N/A			(21,017	)		(33,888	)		N/A			N/A
	N/A			N/A			N/A			N/A			N/A			N/A			13,186			4,280			N/A			N/A

	85,357			175,232			84,475			213,121			279,597			678,227			97,629			105,268			73,195			152,199
	8,665			178,150			958			234,095			11,528			27,092			13,249			6,660			722			47,634
	(232,560	)		(289,549	)		(251,073	)		(351,098	)		(763,360	)		(609,417	)		(102,670	)		(158,094	)		(109,537	)		(130,137	)
	(138,538	)		63,833			(165,640	)		96,118			(472,235	)		95,902			8,208			(46,166	)		(35,620	)		69,696

	324			1,924			325			1,555			N/A			N/A			1,603			5,253			N/A			N/A
	29			731			—			627			N/A			N/A			113			71			N/A			N/A
	(784	)		(3,668	)		(969	)		(2,584	)		N/A			N/A			(1,604	)		(7,598	)		N/A			N/A
	(431	)		(1,013	)		(644	)		(402	)		N/A			N/A			112			(2,274	)		N/A			N/A

	63,775			19,939			61,831			19,291			62,399			69,611			28,561			1,046			3,262			13,098
	442			195			218			18			1,095			1,857			745			9			110			3,408
	(5,965	)		(1,001	)		(2,618	)		(942	)		(22,339	)		(20,114	)		(1,491	)		(411	)		(8,252	)		(11,825	)
	58,252			19,133			59,431			18,367			41,155			51,354			27,815			644			(4,880	)		4,681
	(80,717	)		81,953			(106,853	)		114,083			(431,080	)		147,256			49,321			(43,516	)		(40,500	)		74,377
	60,049			20,688			(38,187	)		(1,284	)		(164,227	)		422,572			89,222			34,493			4,972			60,360

	1,328,198			1,307,510			1,446,920			1,448,204			3,625,346			3,202,774			670,972			636,479			588,415			528,055
	$1,388,247			$1,328,198			$1,408,733			$1,446,920			$3,461,119			$3,625,346			$ 760,194			$ 670,972			$ 593,387			$588,415
	$ 9,943			$ 9,711			$ 1,447			$ 1,233			$ 7,986			$ 6,797			$ 2,926			$ 2,548			$ (234	)		$ 416


	Small Cap Value Fund						Small Cap Growth Fund						Tax-Managed Small/Mid Cap Fund
	10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016
Operations:
Net investment Income (Loss)	$	1,364		$	2,358		$	(249	)	$	(966	)	$	1,832		$	2,358
Net realized gain (loss) from investments, securities sold short, futures contracts, options, swaptions and swap contracts		20,276			(4,387	)		8,775			(9,414	)		14,860			(1,434	)
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		17,889			39,715			18,337			35,793			51,621			51,653
Net change in unrealized appreciation (depreciation) on foreign currency transactions		—			—			—			—			1			—
Net Increase in Net Assets Resulting from Operations		39,529			37,686			26,863			25,413			68,314			52,577
Dividends and Distributions to Shareholders:
Net investment income:
Class F⁽³⁾		(1,300	)		(2,620	)		—			—			(2,303	)		(1,942	)
Class I		(7	)		(17	)		—			—			N/A			N/A
Class Y		(91	)		(26	)		—			—			(236	)		(205	)
Net capital gains:
Class F⁽³⁾		—			(23,148	)		—			—			—			—
Class I		—			(176	)		—			—			N/A			N/A
Class Y		—			(1	)		—			—			—			—
Total Dividends and Distributions		(1,398	)		(25,988	)		—			—			(2,539	)		(2,147	)
Capital Share Transactions:⁽⁴⁾
Class F⁽³⁾:
Proceeds from shares issued		37,395			91,045			18,731			37,779			115,098			140,278
Reinvestment of dividends & distributions		1,207			24,137			—			—			2,047			1,729
Cost of shares redeemed		(73,637	)		(108,797	)		(46,219	)		(74,997	)		(88,019	)		(134,198	)
Net increase (decrease) from Class F transactions		(35,035	)		6,385			(27,488	)		(37,218	)		29,126			7,809
Class I:
Proceeds from shares issued		169			1,365			134			1,127			N/A			N/A
Reinvestment of dividends & distributions		6			164			—			—			N/A			N/A
Cost of shares redeemed		(656	)		(2,458	)		(396	)		(1,807	)		N/A			N/A
Net increase (decrease) from Class I transactions		(481	)		(929	)		(262	)		(680	)		N/A			N/A
Class Y:
Proceeds from shares issued		21,669			6,260			11,742			6,390			14,277			20,131
Reinvestment of dividends & distributions		85			26			—			—			223			201
Cost of shares redeemed		(1,439	)		(305	)		(848	)		(296	)		(4,956	)		(5,900	)
Net increase (decrease) from Class Y transactions		20,315			5,981			10,894			6,094			9,544			14,432
Increase (Decrease) in Net Assets Derived from Capital Share Transactions		(15,201	)		11,437			(16,856	)		(31,804	)		38,670			22,241
Net Increase (Decrease) in Net Assets		22,930			23,135			10,007			(6,391	)		104,445			72,671
Net Assets
Beginning of period		372,465			349,330			321,736			328,127			690,473			617,802
End of period	$	395,395		$	372,465		$	331,743		$	321,736		$	794,918		$	690,473
Undistributed (Distributions in Excess of) Net Investment Income Included in Net Assets at Period End	$	1,071		$	1,105		$	(1,150	)	$	(901	)	$	386		$	1,093


Mid-Cap Fund						U.S. Managed Volatility Fund						Global Managed Volatility Fund						Tax-Managed Managed Volatility Fund						Tax-Managed International Managed Volatility Fund⁽¹⁾
10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016			2017

	$ 500			$ 1,045			$ 12,536			$ 24,083			$ 9,835			$ 29,649			$ 8,292			$ 16,234			$ 2,125

	4,438			(12	)		51,329			46,522			81,745			28,510	⁽²⁾		23,382			13,937			(6,045	)
	—			—			(3	)		66			16,030			880			(9	)		(21	)		(367	)
	4,604			9,570			59,869			97,201			(38,137	)		163,880			44,329			90,442			19,128
	—			—			(50	)		10			1,998			(2,264	)		21			(7	)		(4	)
	9,542			10,603			123,681			167,882			71,471			220,655			76,015			120,585			14,837


	(303	)		(1,316	)		(8,195	)		(16,243	)		(46,339	)		(121,131	)		(8,035	)		(15,355	)		(10	)
	(2	)		(11	)		(12	)		(22	)		(41	)		(66	)		N/A			N/A			N/A
	(3	)		(3	)		(4,134	)		(7,953	)		(3,425	)		(4,789	)		(357	)		(291	)		(3	)

	(698	)		(14,310	)		(31,901	)		(49,368	)		(59,143	)		(30,756	)		(24,946	)		(37,938	)		(90	)
	(6	)		(133	)		(56	)		(78	)		(58	)		(17	)		N/A			N/A			N/A
	(6	)		(3	)		(13,880	)		(19,030	)		(4,213	)		(1,174	)		(1,096	)		(8	)		(1	)
	(1,018	)		(15,776	)		(58,178	)		(92,694	)		(113,219	)		(157,933	)		(34,434	)		(53,592	)		(104	)


	30,320			45,846			175,785			485,649			214,073			686,309			115,930			422,637			315,569
	813			13,666			35,198			57,534			94,813			142,990			28,608			45,387			83
	(15,193	)		(60,453	)		(269,824	)		(422,085	)		(663,385	)		(1,499,613	)*		(370,372	)		(269,936	)		(41,467	)
	15,940			(941	)		(58,841	)		121,098			(354,499	)		(670,314	)		(225,834	)		198,088			274,185

	61			104			180			555			117			1,745			N/A			N/A			N/A
	8			144			68			100			99			83			N/A			N/A			N/A
	(145	)		(229	)		(167	)		(298	)		(1,271	)		(511	)		N/A			N/A			N/A
	(76	)		19			81			357			(1,055	)		1,317			N/A			N/A			N/A

	1,065			517			125,708			183,651			60,422			60,214			11,985			36,398			8,760
	9			2			17,929			26,906			7,336			5,963			1,170			250			4
	(78	)		(100	)		(110,596	)		(144,982	)		(16,208	)		(66,830	)		(6,410	)		(3,583	)		(248	)
	996			419			33,041			65,575			51,550			(653	)		6,745			33,065			8,516
	16,860			(503	)		(25,719	)		187,030			(304,004	)		(669,650	)		(219,089	)		231,153			282,701
	25,384			(5,676	)		39,784			262,218			(345,752	)		(606,928	)		(177,508	)		298,146			297,434

	89,130			94,806			1,615,168			1,352,950			1,723,671			2,330,599			1,199,495			901,349			—
	$114,514			$89,130			$1,654,952			$1,615,168			$1,377,919			$1,723,671			$1,021,987			$1,199,495			$297,434
	$ 238			$ 46			$ 5,921			$ 5,726			$ (18,192	)		$ 21,778			$ 3,819			$ 3,919			$ 2,112


U.S. Fixed Income Fund						High Yield Bond Fund						Conservative Income Fund⁽¹⁾						Tax-Free Conservative Income Fund⁽¹⁾						Real Return Fund
10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016			10/01/16 to 03/31/17			2016

	$ 13,381			$ 22,667			$ 47,532			$ 108,548			$ 675			$ 117			$ 305			$ 57			$ 1,593			$ (31	)

	(16,590	)		23,992			9,862			(52,524	)		2			1			—			—			297			(745	)
	2,402			72			—			—			—			—			—			—			—			—

	(33,592	)		13,681			27,426			128,300			26			5			(10	)		(14	)		(1,108	)		8,054
	(176	)		(111	)		—			—			—			—			—			—			—			—
	(34,575	)		60,301			84,820			184,324			703			123			295			43			782			7,278


	(13,489	)		(21,692	)		(41,194	)		(97,388	)		(607	)		(82	)		(303	)		(35	)		—			—
	N/A			N/A			(201	)		(303	)		N/A			N/A			N/A			N/A			N/A			N/A
	(1,515	)		(1,995	)		(5,103	)		(11,336	)		(69	)		(35	)		(11	)		(22	)		—			—

	(24,147	)		(11,458	)		(23,294	)		(20,752	)		(2	)		—			—			—			—			—
	N/A			N/A			(129	)		(14	)		N/A			N/A			N/A			N/A			N/A			N/A
	(2,464	)		(904	)		(2,751	)		(1,965	)		—			—			—			—			—			—
	(41,615	)		(36,049	)		(72,672	)		(131,758	)		(678	)		(117	)		(314	)		(57	)		—			—


	647,784			341,832			232,664			557,107			164,053			79,708			154,893			34,618			36,397			101,105
	33,826			27,978			58,218			104,534			359			2			216			N/A			—			—
	(254,002	)		(300,552	)		(627,774	)		(516,086	)		(56,571	)		(4,704	)		(37,995	)		(3,662	)		(67,081	)		(80,211	)
	427,608			69,258			(336,892	)		145,555			107,841			75,006			117,114			30,956			(30,684	)		20,894

	N/A			N/A			12,176			17,111			N/A			N/A			N/A			N/A			N/A			N/A
	N/A			N/A			329			257			N/A			N/A			N/A			N/A			N/A			N/A
	N/A			N/A			(8,110	)		(17,757	)		N/A			N/A			N/A			N/A			N/A			N/A
	N/A			N/A			4,395			(389	)		N/A			N/A			N/A			N/A			N/A			N/A

	68,535			28,070			22,815			73,327			4,711			33,606			4,591			13,904			1,539			11,568
	3,948			2,884			7,800			13,277			68			34			6			22			—			—
	(10,385	)		(24,672	)		(53,917	)		(39,455	)		(2,616	)		(16,845	)		(14,797	)		—			(12,146	)		(8,938	)
	62,098			6,282			(23,302	)		47,149			2,163			16,795			(10,200	)		13,926			(10,607	)		2,630
	489,706			75,540			(355,799	)		192,315			110,004			91,801			106,914			44,882			(41,291	)		23,524
	413,516			99,792			(343,651	)		244,881			110,029			91,807			106,895			44,868			(40,509	)		30,802

	1,302,394			1,202,602			1,938,000			1,693,119			91,807			—			44,868			—			320,215			289,413
	$1,715,910			$1,302,394			$1,594,349			$1,938,000			$201,836			$ 91,807			$151,763			$44,868			$279,706			$320,215

	$ (1,458	)		$ 165			$ 17,881			$ 16,847			$ (1	)		$ —			$ (9	)		$ —			$ 1,257			$ (336	)


	Multi-Asset Inflation Managed Fund
Cash Flows from Operating Activities:
Net decrease in net assets from operations	$	(9,971	)
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities:
Purchase of Investment Securities		(817,995	)
Proceeds from disposition of investment securities		1,093,874
Proceeds from securities sold short		160,229
Purchases to cover securities sold short		(212,275	)
Purchased options/purchases to cover written options		(328	)
Proceeds from sale of options/expired options		(26	)
Net Realized Gain/(Loss) on:
Investments and securities sold short		(16,408	)
Options		26
Net Change in Unrealized (Appreciation)/Depreciation on:
Investments and securities sold short		28,176
Options		(66	)
Changes in Assets:
Cash collateral on swaps		503
Cash collateral on futures		(303	)
Foreign currency, at value		(2	)
Receivable for investment securities sold		10,484
Dividends and interest receivable		872
Unrealized gain on foreign currency contracts		(173	)
Unrealized gain of foreign spot currency contracts		(5	)
OTC swap contracts, at value		(3	)
Receivable for variation margin		1,965
Foreign tax reclaim receivable		(4	)
Prepaid expenses		(1	)
Changes in Liabilities:
Administration fees payable		7
Shareholder servicing fees payable, Class A		(27	)
Payable for investment securities purchased		(11,469	)
OTC swap contracts, at value		(636	)
Payable for variation margin		(424	)
Investment advisory fees payable		(48	)
Unrealized loss on forward foreign currency contracts		(1,243	)
Unrealized loss on foreign currency spot contracts		2
Interest payable		(15	)
Due to broker		(1,930	)
Accrued expenses payable		125
Net Cash Provided by Operating Activities		222,911
Cash Flows from Financing Activities
Reverse repurchase agreements		(76,281	)
Dividends and distributions		(10,449	)
Proceeds from shares issued		128,655
Reinvestment of dividends and distributions		9,535
Cost of shares redeemed		(308,843	)
Net Cash Used in Financing Activities		(257,383	)
Net Change in Cash		(34,472	)
Cash and cash equivalents at Beginning of Period	$	182,745
Cash and cash equivalents at End of Period	$	148,273


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)⁽¹⁾			Net Realized and Unrealized Gains (Losses) on Investments⁽¹⁾			Total from Operations			Dividends from Net Investment Income			Distributions from Net Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate†
Large Cap Fund
Class F⁽²⁾
2017@	$	12.54	$	0.06		$	1.04		$	1.10		$	(0.06	)	$	—		$	(0.06	)	$	13.58		8.78	%	$	2,190,793		0.89	%		0.89	%		0.96	%		0.99	%		65	%
2016		13.71		0.12			1.16			1.28			(0.12	)		(2.33	)		(2.45	)		12.54		10.15			2,237,663		0.91	⁽³⁾		0.91	⁽³⁾		0.99	⁽³⁾		1.01			68
2015		15.19		0.11			(0.30	)		(0.19	)		(0.09	)		(1.20	)		(1.29	)		13.71		(1.73	)		2,483,582		0.89			0.89			0.97			0.74			110
2014		13.95		0.09			2.19			2.28			(0.09	)		(0.95	)		(1.04	)		15.19		16.96			2,581,944		0.89			0.89			1.01			0.60			57
2013		12.15		0.12			2.43			2.55			(0.13	)		(0.62	)		(0.75	)		13.95		22.23			2,107,192		0.89			0.89			1.01			0.94			49
2012		10.15		0.10			2.72			2.82			(0.09	)		(0.73	)		(0.82	)		12.15		29.04			1,488,259		0.89			0.89			1.02			0.89			50
Class Y
2017@	$	12.55	$	0.08		$	1.02		$	1.10		$	(0.07	)	$	—		$	(0.07	)	$	13.58		8.83	%	$	149,764		0.64	%		0.64	%		0.71	%		1.24	%		65	%
2016		13.71		0.16			1.16			1.32			(0.15	)		(2.33	)		(2.48	)		12.55		10.50			164,611		0.66	⁽³⁾		0.66	⁽³⁾		0.74	⁽³⁾		1.26			68
2015⁽⁴⁾		14.62		0.11			(0.94	)		(0.83	)		(0.08	)		—			(0.08	)		13.71		(5.74	)		156,158		0.64			0.64			0.72			1.03			110
Large Cap Value Fund
Class F⁽²⁾
2017@	$	21.20	$	0.16		$	2.29		$	2.45		$	(0.16	)	$	—		$	(0.16	)	$	23.49		11.58	%	$	1,296,447		0.89	%		0.89	%		0.93	%		1.43	%		41	%
2016		22.35		0.32			1.78			2.10			(0.30	)		(2.95	)		(3.25	)		21.20		10.16			1,300,029		0.91	⁽³⁾		0.91	⁽³⁾		0.95	⁽³⁾		1.56			70
2015		25.71		0.32			(1.72	)		(1.40	)		(0.25	)		(1.71	)		(1.96	)		22.35		(6.15	)		1,300,033		0.89			0.90			0.93			1.29			96
2014		21.94		0.29			3.76			4.05			(0.28	)		—			(0.28	)		25.71		18.55			1,527,500		0.89			0.89			0.97			1.19			58
2013		18.02		0.28			3.92			4.20			(0.28	)		—			(0.28	)		21.94		23.55			1,444,929		0.89			0.89			0.97			1.39			55
2012		14.13		0.25			3.89			4.14			(0.25	)		—			(0.25	)		18.02		29.54			1,344,405		0.89			0.89			0.98			1.51			37
Class I
2017@	$	21.21	$	0.14		$	2.27		$	2.41		$	(0.13	)	$	—		$	(0.13	)	$	23.49		11.41	%	$	6,368		1.11	%		1.11	%		1.18	%		1.21	%		41	%
2016		22.35		0.28			1.78			2.06			(0.25	)		(2.95	)		(3.20	)		21.21		9.93			6,165		1.13	⁽³⁾		1.13	⁽³⁾		1.20	⁽³⁾		1.33			70
2015		25.71		0.27			(1.72	)		(1.45	)		(0.20	)		(1.71	)		(1.91	)		22.35		(6.34	)		7,477		1.11			1.12			1.18			1.06			96
2014		21.96		0.24			3.75			3.99			(0.24	)		—			(0.24	)		25.71		18.22			9,499		1.11			1.11			1.22			0.97			58
2013		18.02		0.23			3.95			4.18			(0.24	)		—			(0.24	)		21.96		23.35			9,412		1.11			1.11			1.22			1.16			55
2012		14.13		0.21			3.89			4.10			(0.21	)		—			(0.21	)		18.02		29.20			7,668		1.11			1.11			1.23			1.28			37
Class Y
2017@	$	21.21	$	0.19		$	2.27		$	2.46		$	(0.18	)	$	—		$	(0.18	)	$	23.49		11.67	%	$	85,432		0.64	%		0.64	%		0.68	%		1.66	%		41	%
2016⁽⁵⁾		23.90		0.35			0.16			0.51			(0.25	)		(2.95	)		(3.20	)		21.21		2.88			22,004		0.66	⁽³⁾		0.66	⁽³⁾		0.70	⁽³⁾		1.89			70
Large Cap Growth Fund
Class F⁽²⁾
2017@	$	29.74	$	0.03		$	1.51		$	1.54		$	(0.02	)	$	—		$	(0.02	)	$	31.26		5.19	%	$	1,319,428		0.89	%		0.89	%		0.98	%		0.20	%		64	%
2016		32.22		0.02			3.02			3.04			(0.01	)		(5.51	)		(5.52	)		29.74		9.77			1,421,656		0.91	⁽³⁾		0.91	⁽³⁾		1.00	⁽³⁾		0.06			93
2015		33.82		0.08			0.97			1.05			(0.05	)		(2.60	)		(2.65	)		32.22		2.87			1,442,646		0.89			0.89			0.98			0.24			110
2014		30.28		0.09			4.25			4.34			(0.09	)		(0.71	)		(0.80	)		33.82		14.51			1,550,723		0.89			0.89			1.02			0.26			61
2013		25.57		0.08			4.73			4.81			(0.10	)		—			(0.10	)		30.28		18.89			1,433,284		0.89			0.89			1.02			0.28			69
2012		19.77		0.05			5.78			5.83			(0.03	)		—			(0.03	)		25.57		29.47			1,354,774		0.89			0.90			1.03			0.19			88
Class I
2017@	$	29.17	$	—		$	1.47		$	1.47		$	—		$	—		$	—		$	30.64		5.04	%	$	4,329		1.11	%		1.11	%		1.23	%		(0.02	)%		64	%
2016		31.75		(0.04	)		2.97			2.93			—			(5.51	)		(5.51	)		29.17		9.54			4,783		1.13	⁽³⁾		1.13	⁽³⁾		1.25	⁽³⁾		(0.15	)		93
2015		33.40		0.01			0.96			0.97			(0.02	)		(2.60	)		(2.62	)		31.75		2.65			5,558		1.11			1.11			1.23			0.02			110
2014		29.93		0.01			4.21			4.22			(0.04	)		(0.71	)		(0.75	)		33.40		14.28			7,245		1.11			1.11			1.27			0.05			61
2013		25.28		0.02			4.68			4.70			(0.05	)		—			(0.05	)		29.93		18.62			8,324		1.11			1.11			1.27			0.06			69
2012		19.57		—	*		5.71			5.71			—			—			—			25.28		29.18			8,549		1.11			1.12			1.28			(0.02	)		88
Class Y
2017@	$	29.80	$	0.06		$	1.51		$	1.57		$	(0.08	)	$	—		$	(0.08	)	$	31.29		5.29	%	$	84,976		0.64	%		0.64	%		0.73	%		0.39	%		64	%
2016⁽⁵⁾		34.91		0.07			0.36			0.43			(0.03	)		(5.51	)		(5.54	)		29.80		1.58			20,481		0.66	⁽³⁾		0.66	⁽³⁾		0.75	⁽³⁾		0.25			93


	Net Asset Value, Beginning of Period		Net Investment Income (Loss)⁽¹⁾			Net Realized and Unrealized Gains (Losses) on Investments⁽¹⁾			Total from Operations			Dividends from Net Investment Income			Distributions from Net Realized Capital Gains			Total Dividends and Distributions			Net Asset Value, End of Period		Total Return†			Net Assets End of Period ($ Thousands)		Ratio of Net Expenses to Average Net Assets			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Including Waivers)			Ratio of Expenses to Average Net Assets (Excluding Fees Paid Indirectly and Waivers)			Ratio of Net Investment Income (Loss) to Average Net Assets			Portfolio Turnover Rate†
Small Cap Value Fund
Class F⁽²⁾
2017@	$	22.75	$	0.08		$	2.34		$	2.42		$	(0.09	)	$	—		$	(0.09	)	$	25.08		10.63	%	$	364,019		1.14	%		1.14	%		1.23	%		0.67	%		69	%
2016		21.80		0.14			2.27			2.41			(0.15	)		(1.31	)		(1.46	)		22.75		11.60			362,348		1.17	⁽³⁾		1.17	⁽³⁾		1.26	⁽³⁾		0.63			87
2015		23.97		0.13			(0.19	)		(0.06	)		(0.15	)		(1.96	)		(2.11	)		21.80		(0.76	)		345,594		1.14			1.14			1.23			0.56			87
2014		23.24		0.12			0.95			1.07			(0.14	)		(0.20	)		(0.34	)		23.97		4.54			374,828		1.14			1.14			1.27			0.49			52
2013		18.23		0.17			5.03			5.20			(0.19	)		—			(0.19	)		23.24		28.73			391,113		1.14			1.14			1.28			0.84			51
2012		14.26		0.11			4.02			4.13			(0.16	)		—			(0.16	)		18.23		29.04			405,106		1.14			1.15			1.28			0.64			53
Class I
2017@	$	22.57	$	0.05		$	2.32		$	2.37		$	(0.06	)	$	—		$	(0.06	)	$	24.88		10.51	%	$	2,698		1.36	%		1.36	%		1.48	%		0.44	%		69	%
2016		21.64		0.09			2.25			2.34			(0.10	)		(1.31	)		(1.41	)		22.57		11.34			2,910		1.39	⁽³⁾		1.39	⁽³⁾		1.51	⁽³⁾		0.40			87
2015		23.81		0.08			(0.19	)		(0.11	)		(0.10	)		(1.96	)		(2.06	)		21.64		(0.99	)		3,736		1.36			1.36			1.48			0.34			87
2014		23.09		0.07			0.93			1.00			(0.08	)		(0.20	)		(0.28	)		23.81		4.29			4,179		1.36			1.36			1.52			0.27			52
2013		18.10		0.11			5.02			5.13			(0.14	)		—			(0.14	)		23.09		28.51			5,308		1.36			1.36			1.53			0.55			51
2012		14.15		0.07			3.99			4.06			(0.11	)		—			(0.11	)		18.10		28.78			4,368		1.36			1.37			1.53			0.42			53
Class Y
2017@	$	22.76	$	0.13		$	2.32		$	2.45		$	(0.11	)	$	—		$	(0.11	)	$	25.10		10.81	%	$	28,678		0.89	%		0.89	%		0.98	%		1.05	%		69	%
2016⁽⁴⁾		22.95		0.18			1.09			1.27			(0.15	)		(1.31	)		(1.46	)		22.76		6.04			7,207		0.92	⁽³⁾		0.92	⁽³⁾		1.02	⁽³⁾		0.91			87
Small Cap Growth Fund
Class F⁽²⁾
2017@	$	28.86	$	(0.02	)	$	2.51		$	2.49		$	—		$	—		$	—		$	31.35		8.63	%	$	310,328		1.11	%		1.11	%		1.23	%		(0.16	)%		53	%
2016		26.60		(0.08	)		2.34			2.26			—			—			—			28.86		8.50			312,240		1.14	⁽³⁾		1.14	⁽³⁾		1.26	⁽³⁾		(0.31	)		124
2015		25.95		(0.14	)		0.79			0.65			—			—			—			26.60		2.50			325,353		1.11			1.11			1.23			(0.48	)		131
2014		24.63		(0.15	)		1.47			1.32			—	*		—			—	*		25.95		5.36			335,849		1.11			1.11			1.28			(0.57	)		70
2013		18.57		(0.02	)		6.16			6.14			(0.08	)		—			(0.08	)		24.63		33.21			353,097		1.11			1.11			1.28			(0.08	)		81
2012		14.20		(0.02	)		4.39			4.37			—			—			—			18.57		30.77			300,972		1.11			1.12			1.28			(0.13	)		110
Class I
2017@	$	27.83	$	(0.06	)	$	2.42		$	2.36		$	—		$	—		$	—		$	30.19		8.48	%	$	2,168		1.36	%		1.36	%		1.48	%		(0.41	)%		53	%
2016		25.71		(0.14	)		2.26			2.12			—			—			—			27.83		8.25			2,253		1.39	⁽³⁾		1.39	⁽³⁾		1.51	⁽³⁾		(0.56	)		124
2015		25.15		(0.20	)		0.76			0.56			—			—			—			25.71		2.23			2,774		1.36			1.36			1.48			(0.73	)		131
2014		23.93		(0.21	)		1.43			1.22			—			—			—			25.15		5.10			2,968		1.36			1.36			1.52			(0.82	)		70
2013		18.04		(0.07	)		5.99			5.92			(0.03	)		—			(0.03	)		23.93		32.86			3,384		1.36			1.36			1.53			(0.35	)		81
2012		13.82		(0.06	)		4.28			4.22			—			—			—			18.04		30.54			2,650		1.36			1.37			1.53			(0.38	)		110
Class Y
2017@	$	28.93	$	0.01		$	2.52		$	2.53		$	—	*	$	—		$	—	*	$	31.46		8.75	%	$	19,247		0.86	%		0.86	%		0.98	%		0.03	%		53	%
2016⁽⁴⁾		27.72		(0.02	)		1.23			1.21			—			—			—			28.93		4.37			7,243		0.89	⁽³⁾		0.89	⁽³⁾		1.01	⁽³⁾		(0.08	)		124
Tax-Managed Small/Mid Cap Fund
Class F⁽²⁾
2017@	$	18.97	$	0.05		$	1.74		$	1.79		$	(0.07	)	$	—		$	(0.07	)	$	20.69		9.43	%	$	733,644		1.11	%		1.11	%		1.23	%		0.47	%		94	%
2016		17.53		0.06			1.44			1.50			(0.06	)		—			(0.06	)		18.97		8.55			643,288		1.13	⁽³⁾		1.13	⁽³⁾		1.25	⁽³⁾		0.35			107
2015		17.62		0.02			0.09			0.11			(0.01	)		(0.19	)		(0.20	)		17.53		0.58			589,712		1.11			1.11			1.23			0.12			98
2014		17.10		0.01			1.40			1.41			(0.02	)		(0.87	)		(0.89	)		17.62		8.44			573,175		1.11			1.11			1.28			0.07			61
2013		13.26		0.04			3.86			3.90			(0.06	)		—			(0.06	)		17.10		29.54			486,216		1.11			1.11			1.28			0.30			67
2012		10.39		0.03			2.88			2.91			(0.04	)		—			(0.04	)		13.26		28.09			336,339		1.11			1.12			1.28			0.24			67
Class Y
2017@	$	18.98	$	0.07		$	1.74		$	1.81		$	(0.09	)	$	—		$	(0.09	)	$	20.70		9.54	%	$	61,274		0.89	%		0.89	%		0.98	%		0.69	%		94	%
2016		17.55		0.10			1.44			1.54			(0.11	)		—			(0.11	)		18.98		8.79			47,185		0.91	⁽³⁾		0.91	⁽³⁾		1.00	⁽³⁾		0.58			107
2015⁽⁵⁾		18.52		0.05			(1.01	)		(0.96	)		(0.01	)		—			(0.01	)		17.55		(5.17	)		28,090		0.89			0.89			0.98			0.32			98