Ivy Funds VIP Portfolios


COMMON STOCKS	Shares			Value
Consumer Discretionary

Apparel Retail – 0.3%
Limited Brands, Inc.		41		$	3,627


Auto Parts & Equipment – 1.7%
Continental AG (A)		43			9,877
Delphi Automotive plc		135			10,158

					20,035


Cable & Satellite – 1.2%
Comcast Corp., Class A		226			13,810


Home Improvement Retail – 1.5%
Home Depot, Inc. (The)		126			16,852


Internet Retail – 0.9%
Amazon.com, Inc. (B)		17			10,046


Leisure Facilities – 0.0%
Circuit of the Americas LLC, Class B (B)		—	^*		—


Leisure Products – 1.4%
Media Group Holdings LLC, Series H (B)(C)(D)(E)		32			3,000
Media Group Holdings LLC, Series I (B)(C)(D)(E)		19			7,546
Media Group Holdings LLC, Series T (B)(C)(D)(E)		4			5,491

					16,037


Movies & Entertainment – 0.2%
Delta Topco Ltd. (B)(C)		56,728			2,421


Restaurants – 1.9%
Chipotle Mexican Grill, Inc., Class A (B)		40			18,651
McDonalds Corp.		29			3,685

					22,336


Total Consumer Discretionary – 9.1%					105,164
Consumer Staples

Brewers – 0.5%
InBev N.V. (A)		52			6,452


Hypermarkets & Super Centers – 0.6%
Costco Wholesale Corp.		45			7,060


Packaged Foods & Meats – 1.7%
Kraft Foods Group, Inc.		246			19,334


Soft Drinks – 2.8%
Coca-Cola Co. (The)		465			21,548
PepsiCo, Inc.		100			10,248

					31,796


Tobacco – 1.8%
ITC Ltd. (A)		545			2,699
Philip Morris International, Inc.		187			18,307

					21,006


Total Consumer Staples – 7.4%					85,648
Energy

Oil & Gas Equipment & Services – 2.3%
Halliburton Co.		420			15,003
Schlumberger Ltd.		159			11,704

					26,707


Oil & Gas Exploration & Production – 2.4%
Cabot Oil & Gas Corp.		52			1,181
EOG Resources, Inc.		152			11,003
Noble Energy, Inc.		348			10,943
Pioneer Natural Resources Co.		26			3,589

					26,716


Total Energy – 4.7%					53,423
Financials

Diversified Banks – 1.6%
Axis Bank Ltd. (A)		967			6,484
Banca Intesa S.p.A. (A)		3,172			8,785
Kabushiki Kaisha Mitsubishi Tokyo Financial Group (A)		397			1,837
State Bank of India (A)		365			1,070

					18,176


Life & Health Insurance – 1.2%
AIA Group Ltd. (A)		2,381			13,487



Other Diversified Financial Services – 2.7%
Citigroup, Inc.		398		16,629
JPMorgan Chase & Co.		258		15,267

				31,896


Total Financials – 5.5%				63,559
Health Care

Biotechnology – 2.6%
Alexion Pharmaceuticals, Inc. (B)		47		6,585
Amgen, Inc.		95		14,311
Biogen, Inc. (B)		34		8,825

				29,721


Health Care Equipment – 0.6%
Medtronic plc		86		6,435


Managed Health Care – 0.8%
Anthem, Inc.		69		9,590


Pharmaceuticals – 4.3%
Allergan plc (B)		66		17,612
Bristol-Myers Squibb Co.		138		8,803
Pfizer, Inc.		458		13,560
Shire Pharmaceuticals Group plc ADR		44		7,633
Teva Pharmaceutical Industries Ltd. ADR		40		2,124

				49,732


Total Health Care – 8.3%				95,478
Industrials

Aerospace & Defense – 1.0%
Lockheed Martin Corp.		54		12,005


Construction & Engineering – 0.5%
Larsen & Toubro Ltd. (A)		318		5,834


Industrial Machinery – 0.9%
Ingersoll-Rand plc		159		9,853


Total Industrials – 2.4%				27,692
Information Technology

Application Software – 2.7%
Adobe Systems, Inc. (B)		169		15,835
Intuit, Inc. (F)		144		14,998

				30,833


Data Processing & Outsourced Services – 1.1%
Visa, Inc., Class A		168		12,879


Internet Software & Services – 2.2%
Alibaba Group Holding Ltd. ADR (B)		125		9,855
Alphabet, Inc., Class A (B)		20		15,410

				25,265


IT Consulting & Other Services – 1.4%
Cognizant Technology Solutions Corp., Class A (B)(F)		254		15,913


Semiconductors – 0.0%
Micron Technology, Inc. (B)		67		705


Systems Software – 1.9%
Microsoft Corp.		390		21,523


Total Information Technology – 9.3%				107,118
Materials

Paper Products – 0.6%
International Paper Co.		154		6,336


Total Materials – 0.6%				6,336

TOTAL COMMON STOCKS – 47.3%			$	544,418
(Cost: $605,791)

CORPORATE DEBT SECURITIES	Principal
Consumer Discretionary

Leisure Facilities – 0.1%
Circuit of the Americas LLC, Series C,
0.000%, 12-31-20 (G)	$	3,642		992


Movies & Entertainment – 5.0%
Delta Topco Ltd.,
10.000%, 11-24-60 (C)(H)		57,563		57,563


Total Consumer Discretionary – 5.1%				58,555

TOTAL CORPORATE DEBT SECURITIES – 5.1%			$	58,555
(Cost: $60,598)


UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Mortgage-Backed Obligations – 0.0%
Federal Home Loan Mortgage Corp. Agency REMIC/CMO:
5.500%, 3–15–23 (I)		46		3
5.500%, 10–15–25 (I)		214		28
6.000%, 11–15–35 (I)		131		26
Federal National Mortgage Association Agency REMIC/CMO:
5.500%, 6–25–23 (I)		87		11
5.500%, 8–25–33 (I)		139		22
5.500%, 4–25–34 (I)		223		39
5.500%, 11–25–36 (I)		291		57
Government National Mortgage Association Agency REMIC/CMO,
5.500%, 7–20–35 (I)		117		26

				212


TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.0%			$	212
(Cost: $209)

UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Inflation Protected Obligations – 0.7%
U.S. Treasury Notes,
0.625%, 1–15–26		7,818		8,176


Treasury Obligations – 13.5%
U.S. Treasury Bonds:
2.250%, 11–15–25		20,529		21,373
2.875%, 8–15–45		17,879		18,812
3.000%, 11–15–45		11,079		11,965
2.500%, 2–15–46		11,754		11,462
U.S. Treasury Notes:
1.625%, 7–31–20		14,230		14,516
1.750%, 12–31–20		9,135		9,363
1.375%, 1–31–21		23,154		23,328
2.000%, 8–15–25		32,890		33,534
1.625%, 2–15–26		11,483		11,322

				155,675


TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 14.2%			$	163,851
(Cost: $161,397)

BULLION – 6.2%	Troy Ounces
Gold		58		71,700

(Cost: $71,143)

SHORT-TERM SECURITIES	Principal
Commercial Paper(J) – 22.4%
Air Products and Chemicals, Inc.,
0.380%, 4–18–16	$	3,000		2,999
Anheuser–Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB),
0.400%, 4–27–16		8,000		7,998
Apple, Inc.,
0.370%, 5–3–16		5,000		4,998
Baxter International, Inc.:
0.720%, 4–5–16		5,000		5,000
0.700%, 4–7–16		5,000		5,000
Becton Dickinson & Co.,
0.490%, 4–20–16		6,000		5,998
BMW U.S. Capital LLC (GTD by BMW AG):
0.370%, 4–13–16		8,000		7,999
0.390%, 4–25–16		2,000		1,999
BorgWarner, Inc.,
0.490%, 4–21–16		5,000		4,999
Clorox Co. (The):
0.741%, 4–4–16		4,750		4,750
0.480%, 4–18–16		6,000		5,999
0.500%, 5–3–16		7,000		6,997
Corporacion Andina de Fomento:
0.370%, 5–2–16		5,000		4,998
0.370%, 5–4–16		7,000		6,997
Ecolab, Inc.,
0.700%, 4–7–16		10,000		9,999


Essilor International S.A.:
0.370%, 4–14–16	9,500		9,499
0.380%, 4–18–16	10,000		9,998
Exxon Mobil Corp.,
0.410%, 4–5–16	7,000		7,000
General Mills, Inc.,
0.650%, 4–4–16	5,000		5,000
Harley–Davidson Financial Services (GTD by Harley–Davidson Credit Corp.):
0.460%, 4–11–16	5,000		4,999
0.500%, 4–28–16	5,000		4,998
HP, Inc.:
0.831%, 4–4–16	10,000		10,000
0.360%, 4–18–16	8,000		7,999
Kroger Co. (The),
0.670%, 4–6–16	5,000		5,000
Malayan Banking Berhad (GTD by Wells Fargo Bank N.A.),
0.400%, 4–14–16	5,000		4,999
NBCUniversal Enterprise, Inc.,
0.770%, 4–5–16	5,000		5,000
Northern Illinois Gas Co.,
0.470%, 4–13–16	5,000		4,999
Roche Holdings, Inc.,
0.420%, 4–6–16	10,000		9,999
Rockwell Automation, Inc.,
0.360%, 4–11–16	5,000		4,999
Scotiabanc, Inc. (GTD by Bank of Nova Scotia (The)),
0.430%, 4–1–16	10,000		10,000
St. Jude Medical, Inc.,
0.720%, 4–1–16	3,970		3,970
United Technologies Corp.,
0.730%, 4–4–16	8,000		8,000
Virginia Electric and Power Co.:
0.570%, 4–4–16	15,000		14,999
0.460%, 4–20–16	6,000		5,998
0.460%, 4–21–16	10,000		9,997
0.460%, 4–25–16	7,430		7,428
Wisconsin Gas LLC:
0.400%, 4–7–16	6,500		6,499
0.430%, 4–12–16	10,000		9,999

			258,109


Master Note – 0.3%
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (K)	3,189		3,189


Municipal Obligations – 3.8%
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2007B (GTD by Chevron Corp.),
0.380%, 4–1–16 (K)	11,000		11,000
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2007D (GTD by Chevron Corp.),
0.370%, 4–1–16 (K)	25,100		25,100
Muni Elec Auth GA, Gen Resolution Proj Bond Anticipation Notes, Ser A (Taxable), (GTD by Wells Fargo Bank N.A.),
0.420%, 4–7–16	8,140		8,139

			44,239


United States Government Agency Obligations – 0.2%
Overseas Private Investment Corp. (GTD by U.S. Government),
0.400%, 4–29–16 (K)	2,000		2,000


TOTAL SHORT–TERM SECURITIES – 26.7%		$	307,537
(Cost: $307,527)

TOTAL INVESTMENT SECURITIES – 99.5%		$	1,146,273
(Cost: $1,206,665)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.5%			5,249

NET ASSETS – 100.0%		$	1,151,522

The total value of these securities represented 6.6% of net assets at March 31, 2016.

The following forward foreign currency contracts were outstanding at March 31, 2016:

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs 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 reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

● Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

● Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016. See Note 3 to the Financial Statements for further information regarding fair value measurement.

During the period ended March 31, 2016, there were no transfers between any levels.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

Significant increase in long-term growth rate or multiple of book value inputs could result in a higher fair value measurement. However, significant increase in weighted average cost of capital or illiquidity discount inputs could result in a lower fair value measurement.

During the period ended September 30, 2015, securities totaling $7,147 changed valuation techniques from transaction to discounted cash flows model. The change in valuation techniques is primarily due to the transaction method no longer reflecting current market conditions.

Ivy VIP ASF II, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated as a wholly owned subsidiary acting as an investment vehicle for the Asset Strategy Portfolio (referred to as “the Portfolio” in this subsection). Ivy VIP ASF III (SBP), LLC and VIP ASF, LLC (each a “Company”, collectively “the Companies”), Delaware limited liability companies, were incorporated as wholly owned companies acting as investment vehicles for the Portfolio. Each Subsidiary and Company acts as an investment vehicle for the Portfolio, in order to effect certain investments for the Portfolio consistent with the Portfolio’s investment objectives and policies as specified in its prospectus and statement of additional information.

The Portfolio’s investment portfolio has been consolidated and includes the portfolio holdings of the Portfolio, its Subsidiary and the Companies. The consolidated financial statements include the accounts of the Portfolio and its Subsidiary and the Companies. All inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the Portfolio and its Subsidiary and each Company comprising the entire issued share capital of the Subsidiary and each Company with the intent that the Portfolio will remain the sole shareholder and retain all rights. Under the Articles of Association, shares issued by the Subsidiary and each Company confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and each Company and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary and each Company.

See the table below for details regarding the structure, incorporation and relationship as of March 31, 2016 of each Subsidiary and Company to the Portfolio (amounts in thousands).


COMMON STOCKS	Shares		Value
Consumer Discretionary

Cable & Satellite – 1.5%
Comcast Corp., Class A		89	$	5,453


Casinos & Gaming – 0.8%
Las Vegas Sands, Inc.		60		3,080


Home Improvement Retail – 1.0%
Home Depot, Inc. (The)		29		3,863


Homefurnishing Retail – 1.2%
Williams-Sonoma, Inc.		80		4,374


Hotels, Resorts & Cruise Lines – 2.3%
Carnival Corp.		157		8,290


Movies & Entertainment – 1.0%
Twenty-First Century Fox, Inc.		132		3,725


Restaurants – 0.5%
McDonalds Corp.		15		1,854


Total Consumer Discretionary – 8.3%				30,639
Consumer Staples

Brewers – 1.1%
Anheuser-Busch InBev S.A. ADR		31		3,877


Distillers & Vintners – 1.0%
Constellation Brands, Inc.		25		3,702


Packaged Foods & Meats – 3.4%
J.M. Smucker Co. (The)		29		3,804
Kraft Foods Group, Inc.		49		3,881
Mead Johnson Nutrition Co.		59		5,000

				12,685


Total Consumer Staples – 5.5%				20,264
Energy

Oil & Gas Equipment & Services – 1.0%
Schlumberger Ltd.		50		3,713


Oil & Gas Exploration & Production – 1.8%
Newfield Exploration Co. (A)		97		3,232
Noble Energy, Inc.		113		3,545

				6,777


Total Energy – 2.8%				10,490
Financials

Asset Management & Custody Banks – 0.6%
Northern Trust Corp.		34		2,198


Investment Banking & Brokerage – 0.9%
Morgan Stanley		138		3,458


Other Diversified Financial Services – 2.1%
JPMorgan Chase & Co. (B)		129		7,651


Regional Banks – 1.8%
PNC Financial Services Group, Inc. (The)		78		6,601


Specialized Finance – 1.2%
Intercontinental Exchange, Inc.		18		4,256


Specialized REITs – 1.2%
Crown Castle International Corp.		53		4,589


Total Financials – 7.8%				28,753
Health Care

Biotechnology – 0.5%
Biogen, Inc. (A)		8		1,952


Health Care Equipment – 1.2%
Medtronic plc		57		4,297


Health Care Services – 0.8%
Laboratory Corp. of America Holdings (A)		24		2,794


Managed Health Care – 1.7%
Anthem, Inc.		33		4,608
UnitedHealth Group, Inc.		14		1,824

				6,432


Pharmaceuticals – 5.8%
Allergan plc (A)		18		4,878
Johnson & Johnson		50		5,394


Shire Pharmaceuticals Group plc ADR	33		5,612
Teva Pharmaceutical Industries Ltd. ADR	105		5,643

			21,527


Total Health Care – 10.0%			37,002
Industrials

Aerospace & Defense – 0.4%
Boeing Co. (The)	11		1,412


Industrial Conglomerates – 1.0%
General Electric Co.	123		3,897


Railroads – 1.5%
Union Pacific Corp.	68		5,382


Total Industrials – 2.9%			10,691
Information Technology

Application Software – 1.1%
Autodesk, Inc. (A)	72		4,195


Communications Equipment – 1.0%
Harris Corp.	46		3,597


Data Processing & Outsourced Services – 0.9%
FleetCor Technologies, Inc. (A)	21		3,179


IT Consulting & Other Services – 1.5%
Cognizant Technology Solutions Corp., Class A (A)	89		5,574


Semiconductor Equipment – 1.1%
Applied Materials, Inc.	185		3,922


Semiconductors – 4.1%
Broadcom Corp., Class A	54		8,291
Microchip Technology, Inc.	81		3,909
Texas Instruments, Inc.	51		2,920

			15,120


Systems Software – 0.5%
Symantec Corp.	100		1,835


Technology Hardware, Storage & Peripherals – 0.5%
Apple, Inc.	19		2,022


Total Information Technology – 10.7%			39,444
Materials

Diversified Chemicals – 1.5%
PPG Industries, Inc.	48		5,363


Paper Products – 0.4%
International Paper Co.	36		1,488


Total Materials – 1.9%			6,851

TOTAL COMMON STOCKS – 49.9%		$	184,134
(Cost: $163,421)

PREFERRED STOCKS
Energy

Oil & Gas Exploration & Production – 0.5%
Hess Corp., Convertible, 8.000% (A)	27		1,807


Total Energy – 0.5%			1,807
Financials

Diversified Banks – 0.1%
First Republic Bank, Series G, 5.500% (A)	15		375


Other Diversified Financial Services – 0.3%
Citigroup, Inc., 6.300% (A)	48		1,249


Total Financials – 0.4%			1,624
Health Care

Pharmaceuticals – 2.1%
Allergan plc, Convertible Series A, 5.500%	4		3,677
Teva Pharmaceutical Industries Ltd., Convertible, 7.000% (A)	4		3,888

			7,565


Total Health Care – 2.1%			7,565
Industrials

Environmental & Facilities Services – 0.8%
Stericycle, Inc., 5.250%	33		3,067


Total Industrials – 0.8%			3,067


Materials

Commodity Chemicals – 0.6%
A. Schulman, Inc., Convertible		3		2,046


Total Materials – 0.6%				2,046
Telecommunication Services

Integrated Telecommunication Services – 1.0%
Frontier Communications Corp., Convertible Series A, 11.125%		35		3,687


Total Telecommunication Services – 1.0%				3,687

TOTAL PREFERRED STOCKS – 5.4%			$	19,796
(Cost: $20,615)

PURCHASED OPTIONS	Number of Contracts (Unrounded)
S&P 500 Index:
Put $1,875.00, Expires 4–1–16		280		2
Put $1,925.00, Expires 4–22–16		198		45
Put $1,940.00, Expires 5–20–16		197		247
Put $2,000.00, Expires 5–20–16		179		400
Put $2,000.00, Expires 6–3–16		274		789


TOTAL PURCHASED OPTIONS – 0.4%			$	1,483
(Cost: $3,517)

CORPORATE DEBT SECURITIES	Principal
Consumer Discretionary

Auto Parts & Equipment – 0.1%
Delphi Corp.,
5.000%, 2–15–23	$	200		210


Automobile Manufacturers – 0.6%
General Motors Co.,
6.600%, 4–1–36		790		870
Volkswagen Group of America, Inc.,
2.125%, 5–23–19 (C)		1,250		1,236

				2,106


Broadcasting – 0.1%
Discovery Communications LLC,
3.300%, 5–15–22		200		197


Cable & Satellite – 0.6%
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal),
3.150%, 3–1–26		642		669
Pearson Funding Five plc,
3.250%, 5–8–23 (C)		300		286
Viacom, Inc.:
2.500%, 9–1–18		100		101
2.200%, 4–1–19		600		602
2.750%, 12–15–19		500		509

				2,167


General Merchandise Stores – 0.1%
Dollar General Corp.:
4.125%, 7–15–17		100		103
1.875%, 4–15–18		250		252

				355


Homebuilding – 0.1%
Toll Brothers Finance Corp.,
4.375%, 4–15–23		500		489


Hotels, Resorts & Cruise Lines – 0.1%
Hyatt Hotels Corp.,
3.375%, 7–15–23		200		196


Household Appliances – 0.1%
Stanley Black & Decker, Inc.,
2.451%, 11–17–18		500		508


Housewares & Specialties – 0.2%
Newell Rubbermaid, Inc.,
4.200%, 4–1–26		810		847


Internet Retail – 0.1%
Amazon.com, Inc.,
2.600%, 12–5–19		450		468


Specialty Stores – 0.2%
GNC Holdings, Inc., Convertible,
1.500%, 8–15–20 (C)		750		613
L Brands, Inc.,
6.875%, 11–1–35		250		271

				884


Total Consumer Discretionary – 2.3%				8,427
Consumer Staples



Brewers – 0.3%
Anheuser-Busch InBev S.A./N.V.,
2.650%, 2–1–21	800	823
SABMiller Holdings, Inc.,
2.200%, 8–1–18 (C)	500	511

		1,334


Distillers & Vintners – 0.1%
Beam, Inc.,
1.750%, 6–15–18	250	250


Drug Retail – 0.3%
CVS Health Corp.,
2.800%, 7–20–20	635	659
Walgreens Boots Alliance, Inc.,
2.700%, 11–18–19	300	307

		966


Food Distributors – 0.1%
Campbell Soup Co.,
2.500%, 8–2–22	300	294
ConAgra Foods, Inc.,
1.900%, 1–25–18	200	201

		495


Household Products – 0.1%
Church & Dwight Co., Inc.,
2.875%, 10–1–22	250	253


Packaged Foods & Meats – 0.0%
Mead Johnson Nutrition Co.,
3.000%, 11–15–20	200	206


Personal Products – 0.1%
Estee Lauder Co., Inc. (The),
2.350%, 8–15–22	300	304


Tobacco – 0.2%
BAT International Finance plc,
2.750%, 6–15–20 (C)	600	617


Total Consumer Staples – 1.2%		4,425
Energy

Oil & Gas Equipment & Services – 0.6%
Brand Energy & Infrastructure Services,
8.500%, 12–1–21 (C)	1,500	1,410
Newpark Resources, Inc., Convertible,
4.000%, 10–1–17	200	173
Schlumberger Holding Corp.,
2.350%, 12–21–18 (C)	500	504

		2,087


Oil & Gas Exploration & Production – 1.1%
BP Capital Markets plc (GTD by BP plc):
2.241%, 9–26–18	400	405
2.315%, 2–13–20	500	504
Devon Energy Corp.,
2.250%, 12–15–18	500	467
Occidental Petoleum Corp.,
2.600%, 4–15–22	400	403
ONEOK Partners L.P.,
3.200%, 9–15–18	500	484
Whiting Petroleum Corp., Convertible,
1.250%, 4–1–20 (C)	3,000	1,746

		4,009


Oil & Gas Storage & Transportation – 0.8%
Buckeye Partners L.P.,
2.650%, 11–15–18	400	397
Hornbeck Offshore Services, Inc., Convertible,
1.500%, 9–1–19	1,708	1,013
Kinder Morgan Energy Partners L.P.,
2.650%, 2–1–19	500	494
Plains All American Pipeline L.P. and PAA Finance Corp.,
4.650%, 10–15–25	500	463
Williams Partners L.P.,
3.600%, 3–15–22	1,000	821

		3,188


Total Energy – 2.5%		9,284
Financials

Asset Management & Custody Banks – 0.9%
Ares Capital Corp.:
4.875%, 11–30–18	1,200	1,233
3.875%, 1–15–20	1,950	1,999

		3,232


Consumer Finance – 1.1%
American Express Co.,
4.900%, 12–29–49	800	718
Capital One Bank USA N.A.:
2.150%, 11–21–18	500	500
2.250%, 2–13–19	500	499
Capital One N.A.,
2.400%, 9–5–19	650	648


Hyundai Capital America,
2.875%, 8–9–18 (C)	250	254
SLM Corp.,
4.875%, 6–17–19	500	483
Total System Services, Inc.,
2.375%, 6–1–18	1,100	1,099

		4,201


Diversified Banks – 6.3%
ABN AMRO Bank N.V.,
2.500%, 10–30–18 (C)	800	811
Bank of America Corp.:
2.000%, 1–11–18	400	402
8.000%, 12–29–49	1,452	1,421
Bank of New York Mellon Corp. (The),
2.100%, 1–15–19	500	507
Bank of Nova Scotia (The):
1.450%, 4–25–18	500	500
2.050%, 10–30–18	200	202
BNP Paribas S.A.,
2.450%, 3–17–19	900	916
Commonwealth Bank of Australia,
2.250%, 3–13–19	700	709
DBS Group Holdings Ltd.,
2.246%, 7–16–19 (C)	1,000	1,009
HSBC Holdings plc,
3.400%, 3–8–21	625	638
ING Bank N.V.:
2.500%, 10–1–19 (C)	1,100	1,117
2.450%, 3–16–20 (C)	800	806
2.750%, 3–22–21 (C)	1,400	1,422
KeyBank N.A.,
2.500%, 12–15–19	500	506
Lloyds Bank plc,
2.350%, 9–5–19	600	606
Mizuho Bank Ltd.,
2.650%, 9–25–19 (C)	1,300	1,321
National Australia Bank Ltd.,
2.400%, 12–9–19 (C)	1,250	1,269
Rabobank Capital Funding Trust III (GTD by Rabobank Nederland),
5.254%, 12–31–49 (C)	1,500	1,491
Royal Bank of Canada,
2.350%, 10–30–20	500	506
Royal Bank of Scotland Group plc (The),
7.640%, 3–29–49	800	778
Skandinaviska Enskilda Banken AB,
2.375%, 3–25–19 (C)	500	505
Societe Generale S.A.:
4.250%, 4–14–25 (C)	500	481
5.922%, 4–29–49 (C)	1,000	990
Standard Chartered plc,
2.250%, 4–17–20 (C)	1,400	1,368
Sumitomo Mitsui Banking Corp.,
2.450%, 1–16–20	600	607
UBS Preferred Funding Trust V,
6.243%, 5–29–49	1,250	1,250
Westpac Banking Corp.,
2.250%, 7–30–18	1,000	1,016

		23,154


Investment Banking & Brokerage – 1.1%
BGC Partners, Inc.,
5.375%, 12–9–19	500	525
Charles Schwab Corp. (The),
2.200%, 7–25–18	300	304
Credit Suisse Group Funding (Guernsey) Ltd.,
2.750%, 3–26–20	500	494
Goldman Sachs Group, Inc. (The):
2.900%, 7–19–18	450	461
2.625%, 1–31–19	500	510
2.600%, 4–23–20	400	403
Morgan Stanley:
2.125%, 4–25–18	500	504
2.650%, 1–27–20	850	863

		4,064


Life & Health Insurance – 0.3%
AIA Group Ltd.,
2.250%, 3–11–19 (C)	800	803
New York Life Global Funding,
1.550%, 11–2–18 (C)	350	351

		1,154


Multi-line Insurance – 0.1%
Loews Corp.,
3.750%, 4–1–26	250	256


Multi-Line Insurance – 0.2%
American International Group, Inc.,
2.300%, 7–16–19	300	303

Aon plc (GTD by Aon Corp.),
2.800%, 3–15–21	500	505

		808


Other Diversified Financial Services – 2.2%
Citigroup, Inc.:
3.875%, 2–19–19	500	499
5.800%, 11–29–49	1,400	1,339
5.950%, 12–29–49	150	144
5.950%, 12–31–49	1,250	1,203
Daimler Finance North America LLC,
2.375%, 8–1–18 (C)	150	152
Fidelity National Financial, Inc.,
6.600%, 5–15–17	300	314


Fidelity National Information Services, Inc.:
2.000%, 4–15–18	250	249
2.850%, 10–15–18	300	305
Fifth Street Finance Corp.,
4.875%, 3–1–19	1,300	1,274
JPMorgan Chase & Co.,
7.900%, 4–29–49	500	500
Moody’s Corp.,
2.750%, 7–15–19	250	256
MUFG Americas Holdings Corp.,
2.250%, 2–10–20	750	746
PennantPark Investment Corp.,
4.500%, 10–1–19	1,000	990
Total Capital,
2.125%, 8–10–18	300	305

		8,276


Property & Casualty Insurance – 0.1%
Berkshire Hathaway Finance Corp.,
2.200%, 3–15–21	250	255


Regional Banks – 0.4%
PNC Bank N.A.,
2.200%, 1–28–19	750	761
SunTrust Banks, Inc.:
2.350%, 11–1–18	500	504
5.625%, 12–29–49	400	396

		1,661


Specialized Finance – 0.1%
Intercontinental Exchange, Inc.:
2.500%, 10–15–18	100	102
2.750%, 12–1–20	370	378


		480


Specialized REITs – 0.1%
Crown Castle International Corp.,
5.250%, 1–15–23	200	215


Total Financials – 12.9%		47,756
Health Care

Biotechnology – 0.6%
Amgen, Inc.:
2.200%, 5–22–19	1,000	1,023
2.125%, 5–1–20	1,000	1,013

		2,036


Health Care Equipment – 0.1%
Zimmer Holdings, Inc.,
2.700%, 4–1–20	350	355


Health Care Facilities – 0.5%
Surgery Center Holdings, Inc.,
8.875%, 4–15–21 (C)	2,000	2,000


Health Care Services – 0.1%
Quest Diagnostics, Inc.,
2.500%, 3–30–20	500	502


Health Care Supplies – 0.3%
C.R. Bard, Inc.,
1.375%, 1–15–18	500	501
Cardinal Health, Inc.,
2.400%, 11–15–19	700	711

		1,212


Managed Health Care – 0.5%
Aetna, Inc.,
2.200%, 3–15–19	400	407
UnitedHealth Group, Inc.,
2.700%, 7–15–20	300	312
WellPoint, Inc.,
1.875%, 1–15–18	1,000	1,003

		1,722


Pharmaceuticals – 0.7%
Forest Laboratories, Inc.,
5.000%, 12–15–21 (C)	1,258	1,405
Perrigo Co. Ltd.,
2.300%, 11–8–18	945	944

		2,349


Total Health Care – 2.8%		10,176
Industrials

Aerospace & Defense – 1.4%
BAE Systems Holdings, Inc.,
2.850%, 12–15–20 (C)	400	407
Huntington Ingalls Industries, Inc.,
5.000%, 11–15–25 (C)	1,545	1,618
Northrop Grumman Corp.,
1.750%, 6–1–18	250	251
TransDigm Group, Inc.,
7.500%, 7–15–21	1,374	1,439
TransDigm, Inc.,
6.000%, 7–15–22	1,400	1,395

		5,110



Airlines – 0.1%
Southwest Airlines Co.,
2.650%, 11–5–20	375	382


Railroads – 0.1%
Kansas City Southern de Mexico S.A. de C.V.,
2.350%, 5–15–20 (C)	291	286


Trucking – 0.1%
Ryder System, Inc.:
2.450%, 11–15–18	100	101
2.350%, 2-26–19	400	400

		501


Total Industrials – 1.7%		6,279
Information Technology

Data Processing & Outsourced Services – 0.1%
Fiserv, Inc.,
2.700%, 6–1–20	300	305


Semiconductors – 1.2%
Micron Technology, Inc.,
5.500%, 2–1–25	1,426	1,156
Micron Technology, Inc., Convertible,
3.000%, 11–15–43	4,750	3,236

		4,392


Systems Software – 0.3%
CA, Inc.,
2.875%, 8–15–18	150	153
Oracle Corp.,
2.250%, 10–8–19	1,000	1,032

		1,185


Total Information Technology – 1.6%		5,882
Materials

Construction Materials – 0.5%
Hillman Group, Inc. (The),
6.375%, 7–15–22 (C)	2,060	1,720


Diversified Chemicals – 0.1%
Solvay Finance (America) LLC (GTD by Solvay S.A.),
3.400%, 12–3–20 (C)	250	254


Diversified Metals & Mining – 0.5%
Anglo American plc,
4.125%, 4–15–21 (C)	500	415
Glencore Funding LLC:
3.125%, 4–29–19 (C)	500	454
2.875%, 4–16–20 (C)	1,000	890
Teck Resources,
3.000%, 3–1–19	300	240

		1,999


Fertilizers & Agricultural Chemicals – 0.1%
Monsanto Co.,
2.125%, 7–15–19	300	305


Industrial Gases – 0.0%
Praxair, Inc.,
3.000%, 9–1–21	100	105


Metal & Glass Containers – 0.1%
BlueScope Steel (Finance) Ltd. and BlueScope Steel Finance (USA) LLC,
7.125%, 5–1–18 (C)	300	301


Specialty Chemicals – 0.1%
Albemarle Corp. (GTD by Albemarle Holdings Corp. and Albemarle Holdings II Corp.),
3.000%, 12–1–19	150	151
RPM International, Inc.,
3.450%, 11–15–22	250	244

		395


Total Materials – 1.4%		5,079
Telecommunication Services

Integrated Telecommunication Services – 0.6%
AT&T, Inc.,
2.300%, 3–11–19	2,050	2,093
Verizon Communications, Inc.,
2.625%, 2–21–20	107	110

		2,203


Wireless Telecommunication Service – 0.1%
American Tower Corp.,
4.700%, 3–15–22	195	211
Virgin Media Finance plc,
4.875%, 2–15–22	200	178

		389



Total Telecommunication Services – 0.7%			2,592
Utilities

Electric Utilities – 0.3%
Electricite de France S.A.,
2.150%, 1–22–19 (C)	500		506
Entergy Texas, Inc.,
2.550%, 6–1–21	325		327
Georgia Power Co.,
2.400%, 4–1–21	250		253
PPL Energy Supply LLC,
4.600%, 12–15–21	100		80

			1,166


Gas Utilities – 0.1%
Sempra Energy,
2.400%, 3–15–20	500		502


Multi-Utilities – 0.1%
Dominion Resources, Inc.,
2.500%, 12–1–19	500		506


Renewable Electricity – 0.4%
Canadian Solar, Inc., Convertible,
4.250%, 2–15–19	1,500		1,257


Total Utilities – 0.9%			3,431

TOTAL CORPORATE DEBT SECURITIES – 28.0%		$	103,331
(Cost: $106,407)

LOANS (D)
Financials

Other Diversified Financial Services – 0.3%
WP Mustang Holdings LLC,
8.500%, 5–29–22	1,246		1,225


Total Financials – 0.3%			1,225
Industrials

Industrial Machinery – 0.2%
Dynacast International LLC,
9.500%, 1–30–23	800		736


Total Industrials – 0.2%			736

TOTAL LOANS – 0.5%		$	1,961
(Cost: $2,031)

UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Mortgage-Backed Obligations – 0.5%
Federal National Mortgage Association Fixed Rate Pass-Through Certificates:
6.000%, 9–1–17	25		25
5.000%, 1–1–18	12		13
5.000%, 5–1–18	10		10
4.500%, 7–1–18	202		209
6.500%, 10-1-28	103		117
6.500%, 2–1–29	53		61
7.500%, 4–1–31	63		72
7.000%, 7–1–31	68		82
7.000%, 9–1–31	126		150
6.500%, 2–1–32	282		338
7.000%, 2–1–32	172		206
7.000%, 3–1–32	64		77
7.000%, 7–1–32	97		111
5.500%, 5–1–33	72		82
5.500%, 6–1–33	69		78
U.S. Department of Veterans Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust 1997-A, Class 3-A,
8.293%, 12–15–26	43		51

			1,682


TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.5%		$	1,682
(Cost: $1,481)

SHORT-TERM SECURITIES
Commercial Paper(E) – 14.7%
Air Products and Chemicals, Inc.,
0.380%, 4–18–16	3,000		2,999
Becton Dickinson & Co.:
0.760%, 4–4–16	7,000		7,000
0.761%, 4–5–16	5,000		5,000
Corporacion Andina de Fomento,
0.370%, 5–2–16	5,000		4,998
Essilor International S.A.,
0.400%, 5–2–16	5,000		4,998
Mondelez International, Inc.,
0.570%, 4–1–16	3,214		3,214

The following written options were outstanding at March 31, 2016 (contracts and exercise prices unrounded):

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


ASSET–BACKED SECURITIES	Principal		Value
Air Canada Enhanced Equipment Trust Series 2015–2, Class AA,
3.750%, 12–15–27 (A)	$	1,000		997
American Airlines, Inc., Class AA Pass Through Certificates, Series 2016–1,
3.575%, 1–15–28		1,000		1,028

TOTAL ASSET–BACKED SECURITIES – 0.7%			$	2,025
(Cost: $2,000)

CORPORATE DEBT SECURITIES	Principal
Consumer Discretionary

Advertising – 0.4%
Omnicom Group, Inc.,
3.600%, 4–15–26	$	1,000		1,025


Apparel, Accessories & Luxury Goods – 0.5%
Hanesbrands, Inc.,
6.375%, 12–15–20		1,400		1,449


Cable & Satellite – 0.9%
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc.:
3.800%, 3–15–22		1,619		1,707
3.950%, 1–15–25		815		847

				2,554


Footwear – 0.8%
NIKE, Inc.,
3.875%, 11–1–45		2,000		2,093


Homebuilding – 0.5%
Toll Brothers Finance Corp.,
4.375%, 4–15–23		1,555		1,520


Housewares & Specialties – 0.4%
Newell Rubbermaid, Inc.,
4.200%, 4–1–26		1,000		1,046


Internet Retail – 0.1%
Amazon.com, Inc.,
4.800%, 12–5–34		370		414


Movies & Entertainment – 0.8%
Walt Disney Co. (The),
4.125%, 6–1–44		2,000		2,146


Total Consumer Discretionary – 4.4%				12,247
Consumer Staples

Drug Retail – 0.4%
CVS Health Corp.,
2.800%, 7–20–20		1,075		1,116


Food Distributors – 0.4%
Sysco Corp.,
3.300%, 7–15–26		1,000		1,012


Food Retail – 0.9%
Kroger Co. (The),
6.800%, 12–15–18		2,245		2,534


Household Products – 1.1%
Kimberly-Clark Corp.,
2.750%, 2–15–26		1,000		1,023
Procter & Gamble Co. (The),
2.700%, 2–2–26		2,000		2,054

				3,077


Packaged Foods & Meats – 0.6%
General Mills, Inc.,
1.400%, 10–20–17		700		704
Mead Johnson Nutrition Co.,
4.125%, 11–15–25		1,000		1,062

				1,766


Soft Drinks – 1.1%
Coca-Cola Co. (The),
2.875%, 10–27–25		2,000		2,081
PepsiCo, Inc.,
2.850%, 2–24–26		1,000		1,027

				3,108



Total Consumer Staples – 4.5%		12,613
Energy

Oil & Gas Equipment & Services – 0.8%
Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.),
6.500%, 1–31–19	2,000	2,192


Oil & Gas Exploration & Production – 2.6%
BP Capital Markets plc (GTD by BP plc),
1.674%, 2–13–18	2,250	2,253
ConocoPhillips Co. (GTD by ConocoPhillips),
4.150%, 11–15–34	850	759
EQT Corp.,
8.125%, 6–1–19	3,494	3,766
Occidental Petroleum Corp.,
3.400%, 4–15–26	500	504

		7,282


Oil & Gas Storage & Transportation – 2.0%
Copano Energy LLC and Copano Energy Finance Corp.,
7.125%, 4–1–21	984	1,012
Plains All American Pipeline L.P. and PAA Finance Corp.,
3.600%, 11–1–24	1,031	889
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.),
4.400%, 4–1–21	1,500	1,474
Tennessee Gas Pipeline Co.,
7.000%, 3–15–27	2,000	2,100

		5,475


Total Energy – 5.4%		14,949
Financials

Asset Management & Custody Banks – 1.8%
Ares Capital Corp.,
3.875%, 1–15–20	2,780	2,849
Legg Mason, Inc.,
4.750%, 3–15–26	2,000	2,029

		4,878


Consumer Finance – 2.1%
American Express Credit Corp.,
1.875%, 11–5–18	1,000	1,006
Capital One Financial Corp.,
4.200%, 10–29–25	1,500	1,520
Discover Financial Services,
3.950%, 11–6–24	1,500	1,483
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.):
3.500%, 7–10–19	800	821
4.200%, 3–1–21	1,000	1,033

		5,863


Diversified Banks – 3.9%
Bank of America Corp.:
6.000%, 9–1–17	1,000	1,057
4.200%, 8–26–24	500	509
3.875%, 8–1–25	500	520
Bank of Nova Scotia (The),
1.250%, 4–11–17	1,000	1,002
Fifth Third Bank,
3.850%, 3–15–26	1,000	1,026
HSBC Holdings plc,
4.300%, 3–8–26	1,000	1,031
Huntington Bancshares, Inc.,
3.150%, 3–14–21	2,500	2,537
KeyBank N.A.,
2.350%, 3–8–19	1,000	1,009
U.S. Bank N.A.,
1.350%, 1–26–18	2,000	2,006

		10,697


Health Care REITs – 0.5%
Health Care REIT, Inc.,
4.000%, 6–1–25	1,300	1,301


Industrial REITs – 0.8%
Aircastle Ltd.,
5.500%, 2–15–22	2,098	2,189


Investment Banking & Brokerage – 2.6%
Credit Suisse Group Funding (Guernsey) Ltd.,
3.125%, 12–10–20 (A)	1,500	1,492
Goldman Sachs Group, Inc. (The):
2.550%, 10–23–19	1,500	1,524
4.250%, 10–21–25	1,000	1,017
Morgan Stanley,
3.875%, 1–27–26	3,000	3,131

		7,164


Life & Health Insurance – 1.3%
Manulife Financial Corp.,
4.150%, 3–4–26	1,000	1,022


New York Life Global Funding,
1.550%, 11–2–18 (A)	1,000	1,002
Principal Life Global Funding II,
2.625%, 11–19–20 (A)	1,500	1,521

		3,545


Multi–Line Insurance – 1.1%
American International Group, Inc.:
3.300%, 3–1–21	1,000	1,023
3.900%, 4–1–26	2,000	2,007

		3,030


Other Diversified Financial Services – 4.3%
Citigroup, Inc.:
2.700%, 3–30–21	1,000	1,008
4.450%, 9–29–27	3,000	3,020
JPMorgan Chase & Co.:
2.000%, 8–15–17	1,000	1,010
2.550%, 3–1–21	1,000	1,009
4.950%, 6–1–45	1,000	1,056
TIAA Asset Management Finance Co. LLC,
4.125%, 11–1–24 (A)	2,400	2,481
USAA Capital Corp.,
2.450%, 8–1–20 (A)	2,360	2,418

		12,002


Property & Casualty Insurance – 0.5%
Berkshire Hathaway, Inc.,
3.125%, 3–15–26	1,500	1,542


Regional Banks – 1.1%
PNC Bank N.A.:
1.500%, 2–23–18	500	501
2.450%, 11–5–20	1,000	1,017
3.300%, 10–30–24	1,500	1,568

		3,086


Specialized REITs – 0.4%
Crown Castle International Corp.,
5.250%, 1–15–23	1,027	1,104


Total Financials – 20.4%		56,401
Health Care

Biotechnology – 0.7%
Amgen, Inc.,
1.250%, 5–22–17	1,955	1,959


Health Care Supplies – 1.2%
Medtronic, Inc.,
4.375%, 3–15–35	2,940	3,184


Pharmaceuticals – 1.5%
AbbVie, Inc.,
4.500%, 5–14–35	1,400	1,455
Mylan, Inc.,
1.350%, 11–29–16	1,800	1,788
Perrigo Finance Unlimited Co. (GTD by Perrigo Co. plc),
3.500%, 3–15–21	1,000	1,024

		4,267


Total Health Care—3.4%		9,410
Industrials

Aerospace & Defense – 1.3%
BAE Systems Finance, Inc.,
7.500%, 7–1–27 (A)	1,522	1,987
BAE Systems Holdings, Inc.,
4.750%, 10–7–44 (A)	1,000	1,044
Boeing Co. (The),
1.650%, 10–30–20	500	500

		3,531


Air Freight & Logistics – 1.1%
FedEx Corp.:
3.250%, 4–1–26	1,000	1,026
4.750%, 11–15–45	2,000	2,117

		3,143


Airlines – 0.4%
Southwest Airlines Co.,
5.125%, 3–1–17	1,180	1,220


Electrical Components & Equipment – 0.9%
WESCO Distribution, Inc.,
5.375%, 12–15–21	2,375	2,399


Environmental & Facilities Services – 1.3%
Republic Services, Inc.,
3.800%, 5–15–18	1,000	1,043
Waste Management, Inc.,
7.100%, 8–1–26	2,065	2,688

		3,731


Industrial Conglomerates – 0.3%
General Electric Capital Corp.,
0.964%, 4–15–16 (A)	783	783


Railroads – 0.4%
Burlington Northern Santa Fe LLC,
3.400%, 9–1–24	1,000	1,065


Trading Companies & Distributors – 0.8%
HD Supply, Inc.,
5.250%, 12–15–21 (A)	2,007	2,107


Total Industrials – 6.5%		17,979


Information Technology

Data Processing & Outsourced Services – 2.6%
Alliance Data Systems Corp.,
5.250%, 12–1–17 (A)	4,500		4,556
Visa, Inc.:
2.800%, 12–14–22	1,000		1,044
3.150%, 12–14–25	1,500		1,567

			7,167


Internet Software & Services – 1.9%
Alibaba Group Holding Ltd.,
3.600%, 11–28–24	2,040		2,057
Google, Inc.,
3.375%, 2–25–24	2,950		3,229

			5,286


Semiconductors – 0.4%
Intel Corp.,
3.100%, 7–29–22	1,000		1,058


Systems Software – 1.2%
CA, Inc.,
5.375%, 12–1–19	1,080		1,182
Microsoft Corp.,
2.650%, 11–3–22	2,000		2,080

			3,262


Technology Hardware, Storage & Peripherals – 0.3%
Apple, Inc.,
2.500%, 2–9–25	1,000		994


Total Information Technology – 6.4%			17,767
Materials

Diversified Metals & Mining – 0.5%
Glencore Funding LLC,
3.125%, 4–29–19 (A)	1,420		1,289


Specialty Chemicals – 0.6%
Methanex Corp.,
5.250%, 3–1–22	1,904		1,801


Total Materials – 1.1%			3,090
Telecommunication Services

Integrated Telecommunication Services – 3.5%

AT&T, Inc.,
5.650%, 2–15–47	1,000		1,104
Telefonos de Mexico S.A.B de C.V. (GTD by America Movil S.A.B. de C.V.),
5.500%, 11–15–19	3,500		3,911
Verizon Communications, Inc.,
5.150%, 9–15–23	4,000		4,619

			9,634


Wireless Telecommunication Service – 0.7%
American Tower Corp.,
4.400%, 2–15–26	1,000		1,058
Crown Castle Towers LLC,
3.663%, 5–15–25 (A)	1,000		1,015

			2,073


Total Telecommunication Services – 4.2%			11,707
Utilities

Electric Utilities – 1.3%
Edison International,
2.950%, 3–15–23	2,000		2,019
Kansas City Power & Light Co.,
6.375%, 3–1–18	1,500		1,627

			3,646


Multi-Utilities – 2.5%
Duke Energy Carolinas LLC,
3.750%, 6–1–45	3,000		2,959
Duke Energy Indiana, Inc.,
3.750%, 7–15–20	1,061		1,144
NorthWestern Corp.,
6.340%, 4–1–19	2,400		2,717

			6,820


Water Utilities – 0.8%
California Water Service Co.,
5.875%, 5–1–19	2,000		2,239


Total Utilities – 4.6%			12,705

TOTAL CORPORATE DEBT SECURITIES – 60.9%		$	168,868
(Cost: $165,384)



MORTGAGE-BACKED SECURITIES
Non-Agency REMIC/CMO – 0.2%
MASTR Adjustable Rate Mortgage Trust 2005-1,
2.836%, 3–25–35 (B)	1,442		446
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-1,
2.751%, 2–25–34 (B)	221		14
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-3AC,
2.699%, 3–25–34 (B)	475		24

			484


TOTAL MORTGAGE-BACKED SECURITIES – 0.2%		$	484
(Cost: $2,136)

MUNICIPAL BONDS – TAXABLE
Massachusetts – 1.0%
Cmnwlth of MA, Fed Hwy Grant Anticipation Notes (Accelerated Bridge Prog), Ser 2010A,
4.285%, 12–15–18	2,500		2,717


New York – 1.7%
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009,
11.000%, 3–1–29 (A)	3,600		4,822


Ohio – 0.8%
OH State Univ, Gen Receipts Bonds (Multiyear Debt Issuance Prog), Ser 2016A,
3.798%, 12–1–46	2,000		2,083


Pennsylvania – 0.3%
Cmnwlth of PA, GO Bonds, Third Ser B of 2010 (Federally Taxable – Build America Bonds),
4.750%, 7–15–22	750		833


TOTAL MUNICIPAL BONDS—TAXABLE – 3.8%		$	10,455
(Cost: $8,958)

OTHER GOVERNMENT SECURITIES (C)
Canada – 1.2%
Province de Quebec,
7.140%, 2–27–26	2,500		3,360


TOTAL OTHER GOVERNMENT SECURITIES – 1.2%		$	3,360
(Cost: $2,793)

UNITED STATES GOVERNMENT AGENCY OBLIGATIONS
Mortgage-Backed Obligations – 24.5%
Federal Home Loan Mortgage Corp. Agency REMIC/CMO:
4.000%, 6–15–26	4,165		4,527
4.000%, 11–15–36	909		958
4.500%, 9–15–37	293		295
4.500%, 8–15–39	857		890
4.881%, 7–25–44 (A)(B)	2,200		2,293
4.349%, 12–25–44 (A)(B)	5,000		5,300
4.255%, 1–25–45 (A)(B)	3,000		3,165
3.869%, 5–25–45 (A)(B)	1,000		1,018
3.656%, 10–25–45 (A)(B)	2,000		2,040
3.502%, 11–25–45 (A)(B)	2,500		2,512
4.595%, 11–25–46 (A)(B)	2,055		2,203
4.286%, 7–25–48 (A)(B)	2,350		2,403
4.423%, 12–25–48 (A)(B)	1,000		1,065
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates:
3.000%, 8–1–28	3,885		4,066
3.500%, 10–1–28	4,457		4,714
3.000%, 1–1–33	748		782
Federal National Mortgage Association Agency REMIC/CMO:
2.717%, 2–25–22	780		810
2.640%, 6–1–22	1,480		1,540
3.000%, 2–25–25	3,295		3,473
2.390%, 6–1–25	1,404		1,446
5.500%, 11–25–36 (D)	1,142		226
4.500%, 6–25–40	564		606
Federal National Mortgage Association Fixed Rate Pass-Through Certificates:
4.513%, 12–1–19	7,115		7,787
5.500%, 10–1–21	879		936
2.759%, 4–1–22	1,619		1,693
6.000%, 7–1–22	669		737
6.000%, 9–1–22	1,108		1,222
2.703%, 4–1–23	696		722
3.000%, 7–1–28	3,664		3,833
5.500%, 2–1–35	777		892
Government National Mortgage Association Agency REMIC/CMO:
2.000%, 3–16–42	3,752		3,733
0.008%, 6–17–45 (B)(D)	28		—	^*

			67,887



TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 24.5%		$	67,887
(Cost: $67,922)

UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Obligations—5.4%
U.S. Treasury Bonds:
2.750%, 11–15–42	1,000		1,031
3.000%, 11–15–44	6,244		6,740
U.S. Treasury Notes:
2.000%, 8–15–25	5,938		6,054
1.625%, 2–15–26	1,000		986

			14,811


TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 5.4%		$	14,811
(Cost: $14,814)

SHORT-TERM SECURITIES
Commercial Paper (E) – 2.6%
Caterpillar Financial Services Corp. (GTD by Caterpillar, Inc.),
0.350%, 4–6–16	2,000		2,000
St. Jude Medical, Inc.,
0.720%, 4–1–16	1,896		1,896
Wisconsin Electric Power Co.,
0.400%, 4–4–16	3,471		3,471

			7,367


Master Note – 0.9%
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (F)	2,365		2,365


TOTAL SHORT-TERM SECURITIES – 3.5%		$	9,732
(Cost: $9,732)

TOTAL INVESTMENT SECURITIES – 100.2%		$	277,622
(Cost: $273,739)

LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2)%			(526	)

NET ASSETS – 100.0%		$	277,096

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares		Value
Consumer Discretionary

Apparel, Accessories & Luxury Goods – 0.9%
Polo Ralph Lauren Corp.		39	$	3,725


Auto Parts & Equipment – 1.7%
Magna International, Inc.		173		7,445


Cable & Satellite – 2.5%
Comcast Corp., Class A		179		10,934


Footwear – 2.3%
NIKE, Inc., Class B		160		9,835


General Merchandise Stores – 0.5%
Dollar General Corp.		25		2,174


Home Improvement Retail – 1.8%
Home Depot, Inc. (The)		59		7,899


Internet Retail – 1.8%
Amazon.com, Inc. (A)		13		7,934


Restaurants – 2.0%
Chipotle Mexican Grill, Inc., Class A (A)		19		8,807


Total Consumer Discretionary – 13.5%				58,753
Consumer Staples

Brewers – 3.8%
Anheuser-Busch InBev S.A. ADR		62		7,666
Molson Coors Brewing Co., Class B		90		8,666

				16,332


Hypermarkets & Super Centers – 2.0%
Costco Wholesale Corp.		57		8,930


Packaged Foods & Meats – 2.8%
Kraft Foods Group, Inc.		157		12,365


Tobacco – 4.2%
Philip Morris International, Inc.		185		18,108


Total Consumer Staples – 12.8%				55,735
Energy

Oil & Gas Equipment & Services – 2.4%
Halliburton Co.		298		10,652


Oil & Gas Exploration & Production – 5.8%
Cabot Oil & Gas Corp.		295		6,706
Cimarex Energy Co.		99		9,672
EOG Resources, Inc.		120		8,724

				25,102


Total Energy—8.2%				35,754
Financials

Multi-Line Insurance – 2.7%
American International Group, Inc.		220		11,886


Other Diversified Financial Services – 4.1%
Citigroup, Inc.		195		8,120
JPMorgan Chase & Co.		164		9,724

				17,844


Total Financials—6.8%				29,730
Health Care

Biotechnology – 3.4%
Alexion Pharmaceuticals, Inc. (A)		62		8,686
Celgene Corp. (A)		61		6,113

				14,799


Health Care Equipment – 1.3%
Medtronic plc		78		5,880


Health Care Facilities – 2.1%
HCA Holdings, Inc. (A)		118		9,202


Managed Health Care – 0.5%
Anthem, Inc.		15		2,126


Pharmaceuticals – 10.8%
Allergan plc (A)		44		11,819
Bristol-Myers Squibb Co.		146		9,340
Shire Pharmaceuticals Group plc ADR		69		11,784
Teva Pharmaceutical Industries Ltd. ADR		262		14,013

				46,956


Total Health Care—18.1%				78,963


Industrials

Aerospace & Defense – 1.7%
Rockwell Collins, Inc.		79		7,285


Railroads – 3.1%
Canadian Pacific Railway Ltd.		53		7,038
Kansas City Southern		77		6,562

				13,600


Trucking – 1.3%
J.B. Hunt Transport Services, Inc.		65		5,467


Total Industrials—6.1%				26,352
Information Technology

Application Software – 2.7%
Adobe Systems, Inc. (A)		126		11,791


Data Processing & Outsourced Services – 4.3%
MasterCard, Inc., Class A		102		9,629
Visa, Inc., Class A		121		9,216

				18,845


Internet Software & Services – 5.6%
Alphabet, Inc., Class A (A)		21		15,869
Facebook, Inc., Class A (A)		75		8,580

				24,449


IT Consulting & Other Services – 1.5%
Cognizant Technology Solutions Corp., Class A (A)		104		6,508


Semiconductor Equipment – 3.1%
Applied Materials, Inc.		626		13,265


Semiconductors – 2.8%
NXP Semiconductors N.V. (A)		147		11,926


Systems Software – 4.0%
Microsoft Corp.		317		17,502


Total Information Technology—24.0%				104,286
Materials

Industrial Gases – 2.2%
Air Products and Chemicals, Inc.		66		9,522


Specialty Chemicals – 1.6%
Sherwin-Williams Co. (The)		24		6,803


Total Materials—3.8%				16,325

Telecommunication Services

Alternative Carriers – 2.7%
Level 3 Communications, Inc.(A)		223		11,802


Wireless Telecommunication Service – 3.0%
American Tower Corp., Class A		129		13,185


Total Telecommunication Services – 5.7%				24,987

TOTAL COMMON STOCKS – 99.0%			$	430,885
(Cost: $409,668)

SHORT-TERM SECURITIES	Principal

Master Note – 0.4%
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (B)	$	1,486		1,486


Municipal Obligations – 0.1%
CA GO Bonds, Ser 2004B6 (GTD by U.S. Bank N.A.),
0.400%, 4–7–16 (B)		600		600


TOTAL SHORT-TERM SECURITIES – 0.5%			$	2,086
(Cost: $2,086)

TOTAL INVESTMENT SECURITIES – 99.5%			$	432,971
(Cost: $411,754)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.5%				2,165

NET ASSETS – 100.0%			$	435,136

• Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

• Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares			Value
Consumer Discretionary

Advertising – 1.5%
Omnicom Group, Inc.		93		$	7,770


Apparel Retail – 1.4%
Limited Brands, Inc.		81			7,143


Cable & Satellite – 2.9%
Comcast Corp., Class A		195			11,889
Time Warner Cable, Inc.		13			2,681

					14,570


Home Improvement Retail – 1.8%
Home Depot, Inc. (The)		67			8,953


Housewares & Specialties – 1.3%
Newell Rubbermaid, Inc.		149			6,593


Restaurants – 2.4%
McDonalds Corp.		95			11,933


Total Consumer Discretionary – 11.3%					56,962
Consumer Staples

Brewers – 1.5%
Anheuser-Busch InBev S.A. ADR		63			7,854


Drug Retail – 2.5%
CVS Caremark Corp.		125			12,945


Packaged Foods & Meats – 1.7%
Unilever plc (A)		188			8,524


Tobacco – 2.7%
Philip Morris International, Inc.		137			13,456


Total Consumer Staples – 8.4%					42,779
Energy

Integrated Oil & Gas – 1.7%
Occidental Petroleum Corp.		124			8,499
Occidental Petroleum Corp.		—	^*		—	^*

					8,499


Oil & Gas Equipment & Services – 0.9%
Halliburton Co.		124			4,424


Oil & Gas Exploration & Production – 1.8%
Noble Energy, Inc.		295			9,271


Total Energy – 4.4%					22,194
Financials

Diversified Banks – 1.7%
Wells Fargo & Co.		181			8,758


Industrial REITs – 1.7%
ProLogis		193			8,516


Investment Banking & Brokerage – 1.5%
Morgan Stanley		297			7,424


Multi-Line Insurance – 2.5%
American International Group, Inc.		235			12,699


Other Diversified Financial Services – 5.6%
Citigroup, Inc.		252			10,517
JPMorgan Chase & Co.		297			17,616

					28,133


Property & Casualty Insurance – 1.7%
ACE Ltd.		74			8,787


Regional Banks – 0.3%
PNC Financial Services Group, Inc. (The)		17			1,446


Specialized REITs – 2.3%
Crown Castle International Corp.		138			11,915


Total Financials—17.3%					87,678
Health Care

Health Care Equipment – 2.5%
Medtronic plc		167			12,514


Managed Health Care – 1.6%
Anthem, Inc.		57			7,943


Pharmaceuticals – 10.5%
Bristol-Myers Squibb Co.		162			10,336
Pfizer, Inc.		793			23,494
Teva Pharmaceutical Industries Ltd. ADR		362			19,368

					53,198


Total Health Care – 14.6%					73,655


Industrials

Aerospace & Defense – 4.0%
BAE Systems plc (A)		969		7,082
Boeing Co. (The)		32		4,113
Honeywell International, Inc.		81		9,059

				20,254


Commercial Printing – 2.1%
Corrections Corp. of America		329		10,535


Industrial Conglomerates – 2.6%
General Electric Co.		416		13,223


Industrial Machinery – 1.3%
Eaton Corp.		107		6,685


Railroads – 1.8%
Union Pacific Corp.		116		9,191


Research & Consulting Services – 1.1%
Nielsen Holdings plc		103		5,434


Total Industrials – 12.9%				65,322
Information Technology

Communications Equipment – 1.2%
Harris Corp.		80		6,217


Data Processing & Outsourced Services – 1.5%
Paychex, Inc.		139		7,491


Semiconductor Equipment – 3.1%
Applied Materials, Inc.		732		15,495


Semiconductors – 3.3%
Cypress Semiconductor Corp.		868		7,518
Texas Instruments, Inc.		160		9,190

				16,708


Systems Software – 4.1%
Microsoft Corp.		375		20,723


Total Information Technology – 13.2%				66,634
Materials

Diversified Chemicals – 2.0%
PPG Industries, Inc.		91		10,118


Industrial Gases – 1.8%
Air Products and Chemicals, Inc.		64		9,219


Paper Products – 1.2%
International Paper Co.		141		5,780


Total Materials – 5.0%				25,117
Utilities

Electric Utilities – 2.0%
PPL Corp.		270		10,288


Total Utilities – 2.0%				10,288

TOTAL COMMON STOCKS – 89.1%			$	450,629
(Cost: $406,561)

SHORT-TERM SECURITIES	Principal
Commercial Paper (B) – 10.2%
Air Products and Chemicals, Inc., 0.380%, 4–18–16	$	3,000		2,999
Army & Air Force Exchange Service, 0.350%, 4–1–16		4,011		4,011
Baxter International, Inc., 0.700%, 4–7–16		5,000		5,000
Becton Dickinson & Co., 0.761%, 4–5–16		7,000		7,000
Campbell Soup Co., 0.440%, 4–19–16		6,400		6,398
John Deere Canada ULC (GTD by Deere & Co.), 0.390%, 4–26–16		5,000		4,999
Novartis Securities Investment Ltd. (GTD by Novartis AG), 0.330%, 4–18–16		7,000		6,999
Roche Holdings, Inc., 0.420%, 4–6–16		10,000		9,999
Wisconsin Gas LLC, 0.400%, 4–7–16		4,000		4,000

				51,405


Master Note – 0.3%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (C)		1,591		1,591

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares		Value
Energy

Integrated Oil & Gas – 7.0%
Chevron Corp.		15	$	1,436
Exxon Mobil Corp.		50		4,217
Royal Dutch Shell plc, Class A (A)		61		1,474
Suncor Energy, Inc.		73		2,025

				9,152


Oil & Gas Drilling – 1.8%
Helmerich & Payne, Inc.		14		796
Patterson-UTI Energy, Inc.		92		1,626

				2,422


Oil & Gas Equipment & Services – 24.0%
Baker Hughes, Inc.		107		4,703
Cameron International Corp. (B)		38		2,561
Core Laboratories N.V.		27		2,985
FMC Technologies, Inc. (B)		37		1,008
Forum Energy Technologies, Inc. (B)		169		2,229
Halliburton Co.		135		4,828
Schlumberger Ltd.		75		5,509
Superior Energy Services, Inc.		203		2,724
U.S. Silica Holdings, Inc.		105		2,382
Weatherford International Ltd. (B)		288		2,242

				31,171


Oil & Gas Exploration & Production – 45.0%
Anadarko Petroleum Corp.		88		4,084
Cimarex Energy Co.		51		5,000
Concho Resources, Inc. (B)		46		4,693
Continental Resources, Inc. (B)		159		4,817
Diamondback Energy, Inc. (B)		48		3,701
EOG Resources, Inc.		61		4,456
Gulfport Energy Corp. (B)		68		1,930
Laredo Petroleum Holdings, Inc. (B)		189		1,496
Marathon Oil Corp.		117		1,307
Memorial Resource Development Corp. (B)		118		1,200
Newfield Exploration Co. (B)		143		4,746
Noble Energy, Inc.		92		2,894
Oasis Petroleum LLC (B)		334		2,430
Parsley Energy, Inc., Class A (B)		213		4,806
Pioneer Natural Resources Co.		35		4,884
RSP Permian, Inc. (B)		141		4,095
Whiting Petroleum Corp. (B)		253		2,018

				58,557


Oil & Gas Refining & Marketing – 5.8%
Marathon Petroleum Corp.		18		666
Marathon Petroleum Corp. L.P.		57		1,700
Phillips 66		30		2,554
Tesoro Corp.		15		1,303
Valero Energy Corp.		20		1,296

				7,519



Oil & Gas Storage & Transportation – 7.9%
Columbia Pipeline Partners L.P.		83		1,217
Enbridge, Inc.		39		1,527
Enterprise Products Partners L.P.		59		1,446
Phillips 66 Partners L.P.		40		2,475
Shell Midstream Partners L.P.		23		825
Tallgrass Energy GP L.P., Class A		115		2,127
Valero Energy Partners L.P.		13		611

				10,228


Total Energy – 91.5%				119,049
Financials

Specialized Finance – 4.3%
CME Group, Inc.		58		5,523


Total Financials – 4.3%				5,523
Industrials

Railroads – 1.3%
Canadian Pacific Railway Ltd.		13		1,672


Total Industrials – 1.3%				1,672

TOTAL COMMON STOCKS – 97.1%			$	126,244
(Cost: $140,813)

SHORT-TERM SECURITIES	Principal

Commercial Paper (C) – 2.3%
United Technologies Corp., 0.470%, 4–13–16	$	3,000		2,999


Master Note – 3.3%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (D)		4,300		4,300


TOTAL SHORT-TERM SECURITIES – 5.6%			$	7,299
(Cost: $7,299)

TOTAL INVESTMENT SECURITIES – 102.7%			$	133,543
(Cost: $148,112)

LIABILITIES, NET OF CASH AND OTHER ASSETS – (2.7)%				(3,478	)

NET ASSETS – 100.0%			$	130,065

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares		Value
Brazil

Utilities – 0.5%
Alupar Investimento S.A.		11	$	45
Transmissora Alianca de Energia Eletrica S.A.		10		57

				102


Total Brazil – 0.5%			$	102
Chile

Utilities – 0.1%
Aguas Andinas S.A.		34		20


Total Chile – 0.1%			$	20
Panama

Financials – 1.0%
Banco Latinoamericano de Comercio Exterior S.A.		8		193


Total Panama – 1.0%			$	193
United Kingdom

Energy – 0.6%
Royal Dutch Shell plc, Class A		5		113
Seadrill Partners LLC		4		13

				126


Total United Kingdom – 0.6%			$	126
United States

Health Care – 0.7%
Bristol-Myers Squibb Co.		2		141


Information Technology – 0.6%
Intel Corp.		4		133


Utilities – 0.7%
PPL Corp.		4		137


Total United States – 2.0%			$	411

TOTAL COMMON STOCKS – 4.2%			$	852
(Cost: $943)

CORPORATE DEBT SECURITIES	Principal
Argentina

Consumer Discretionary – 0.3%
Arcos Dorados Holdings, Inc. 10.250%, 7–13–16 (A)		BRL 250		65


Energy – 0.9%
Pan American Energy LLC 7.875%, 5–7–21	$	100		99
YPF Sociedad Anonima 8.875%, 12–19–18 (B)		80		83

				182


Industrials – 0.2%
Aeropuertos Argentina 2000 S.A. 10.750%, 12–1–20 (B)		39		41


Total Argentina – 1.4%			$	288
Bahrain

Financials – 1.2%
HDFC Bank Ltd. 3.000%, 3–6–18		250		253


Total Bahrain – 1.2%			$	253
Brazil

Consumer Staples – 0.5%
BFF International Ltd.
7.250%, 1–28–20		100		106


Energy – 0.0%
Lancer Finance Co. (SPV) Ltd.
5.850%, 12–12–16 (B)(C)		15		—	^*


Financials – 1.0%
Banco Bradesco S.A.
4.125%, 5–16–16 (B)		200		200
Banco Cruzeiro do Sul S.A.
7.000%, 7–8–13 (C)		96		4

				204


Industrials – 1.3%
Embraer Overseas Ltd.
6.375%, 1–24–17		225		231
Odebrecht Drilling Norbe VII/IX Ltd.
6.350%, 6–30–21 (B)		98		31

				262


Materials – 1.0%
Suzano Trading Ltd.
5.875%, 1–23–21 (B)		200		202


Total Brazil – 3.8%			$	774
British Virgin Islands

Energy – 0.5%
QGOG Atlantic/Alaskan Rigs Ltd.
5.250%, 7–30–18 (B)		149		111



Financials – 1.5%
Horsepower Finance Ltd.
2.100%, 3–3–17		300		301


Total British Virgin Islands – 2.0%			$	412
Canada

Financials – 0.5%
Bank of Montreal
1.800%, 7–31–18		100		100


Total Canada – 0.5%			$	100
Cayman Islands

Financials – 1.0%
Banco Bradesco S.A.
4.500%, 1–12–17 (B)		200		203


Telecommunication Services – 1.0%
Sable International Finance Ltd.
6.875%, 8–1–22 (B)		200		200


Total Cayman Islands – 2.0%			$	403
Chile

Industrials – 2.0%
Guanay Finance Ltd.
6.000%, 12–15–20 (B)		239		231
LATAM Airlines Group S.A.
7.250%, 6–9–20 (B)		200		184

				415


Materials – 1.9%
Inversiones CMPC S.A. (GTD by Empresas CMPC S.A.):
4.750%, 1–19–18 (B)		175		181
4.375%, 5–15–23 (B)		200		201

				382


Total Chile – 3.9%			$	797
China

Information Technology – 2.5%
Alibaba Group Holding Ltd.
1.625%, 11–28–17		500		500


Total China – 2.5%			$	500
Columbia

Energy – 0.4%
Empresas Publicas de Medellin E.S.P.
8.375%, 2–1–21 (A)		COP 274,000		87


Financials – 1.0%
Banco de Bogota S.A.
5.000%, 1–15–17 (B)	$	200		203


Utilities – 0.5%
Emgesa S.A. E.S.P.
8.750%, 1–25–21 (A)		COP 302,000		96


Total Columbia – 1.9%			$	386
France

Financials – 0.5%
Societe Generale S.A.
5.922%, 4–29–49 (B)	$	100		99


Total France – 0.5%			$	99
Hong Kong

Telecommunication Services – 1.0%
Hutchison Whampoa Ltd.
1.625%, 10–31–17 (B)		200		200


Total Hong Kong – 1.0%			$	200
India

Industrials – 1.0%
Adani Ports and Special Economic Zone Ltd.
3.500%, 7–29–20 (B)		200		201


Total India – 1.0%			$	201
Indonesia

Utilities – 1.5%
Majapahit Holding B.V.
7.750%, 10–17–16		300		310


Total Indonesia – 1.5%			$	310
Ireland

Financials – 1.7%
MTS International Funding Ltd.
5.000%, 5–30–23 (B)		350		339


Total Ireland – 1.7%			$	339
Jamaica

Telecommunication Services – 0.9%
Digicel Group Ltd.
6.000%, 4–15–21 (B)		200		179


Total Jamaica – 0.9%			$	179


Luxembourg

Consumer Discretionary – 0.9%
Altice S.A.
7.625%, 2–15–25 (B)		200		191


Financials – 1.0%
OJSC Russian Agricultural Bank
5.100%, 7–25–18 (B)		200		203


Information Technology – 1.6%
BC Luxco 1 S.A.:
7.375%, 1–29–20 (B)		200		185
7.375%, 1–29–20		150		138

				323


Materials – 0.5%
Steel Capital S.A.
6.700%, 10–25–17		100		105


Total Luxembourg – 4.0%			$	822
Mexico

Financials – 1.2%
PLA Administradora Industrial
5.250%, 11–10–22 (B)		250		241


Materials – 3.4%
C5 Capital (SPV) Ltd.
4.908%, 12–29–49 (B)(D)		150		125
CEMEX S.A.B. de C.V.
6.500%, 12–10–19 (B)		550		566

				691


Total Mexico – 4.6%			$	932
Netherlands

Consumer Discretionary – 3.5%
Myriad International Holdings B.V.
6.375%, 7–28–17 (B)		500		522

VTR Finance B.V.
6.875%, 1–15–24 (B)		200		196

				718


Energy – 0.5%
Petrobras Global Finance (GTD by Petroleo Brasileiro S.A.)
4.875%, 3–17–20		125		104


Materials – 0.7%
Cimpor Financial Operations B.V. (GTD by InterCement Participacoes S.A. and InterCement Brasil S.A.)
5.750%, 7–17–24 (B)		200		145


Telecommunication Services – 0.4%
VimpleCom Holdings B.V.
9.000%, 2–13–18 (A)(B)		RUB 5,000		71


Utilities – 1.0%
Listrindo Capital B.V.
6.950%, 2–21–19 (B)	$	200		206


Total Netherlands – 6.1%			$	1,244
Panama

Financials – 1.5%
Banco Latinoamericano de Comercio Exterior S.A.
3.750%, 4–4–17 (B)		300		305


Total Panama – 1.5%			$	305
Peru

Financials – 0.5%
InRetail Shopping Malls
5.250%, 10–10–21 (B)		100		100


Total Peru – 0.5%			$	100
Russia

Industrials – 1.0%
SCF Capital Ltd.
5.375%, 10–27–17		200		202


Materials – 1.0%
Uralkali Finance Ltd.
3.723%, 4–30–18 (B)		200		197


Total Russia – 2.0%			$	399
Singapore

Consumer Staples – 0.5%
Olam International Ltd.
7.500%, 8–12–20		100		110


Telecommunication Services – 1.0%
TBG Global Pte. Ltd.
4.625%, 4–3–18 (B)		200		201


Total Singapore – 1.5%			$	311
South Korea

Financials – 1.3%
Woori Bank
2.625%, 7–20–21 (B)		250		255


Total South Korea – 1.3%			$	255
Spain

Financials – 1.0%
Banco Bilbao Vizcaya Argentaria S.A.
9.000%, 5–29–49		200		205


Total Spain – 1.0%			$	205


United Arab Emirates

Financials – 1.6%
ICICI Bank Ltd.
3.500%, 3–18–20 (B)	325		334


Total United Arab Emirates – 1.6%		$	334
United Kingdom

Consumer Staples – 1.8%
BAT International Finance plc
1.850%, 6–15–18 (B)	375		378


Financials – 4.9%
Barclays plc
8.250%, 12–29–49	200		200
HSBC Holdings plc
5.625%, 12–29–49	200		192
Royal Bank of Scotland Group plc (The)
7.640%, 3–29–49	200		194
State Bank of India:
3.250%, 4–18–18 (B)	200		204
3.622%, 4–17–19 (B)	200		206

			996


Materials – 0.7%
Vedanta Resources plc
6.000%, 1–31–19 (B)	200		136


Total United Kingdom – 7.4%		$	1,510
United States

Consumer Discretionary – 0.2%
B-Corp Merger Sub, Inc.
8.250%, 6–1–19	50		39


Consumer Staples – 5.0%
Anheuser-Busch InBev S.A./N.V. 2.650%, 2–1–21	500		514
Bunge Ltd. Finance Corp.
3.500%, 11–24–20	250		254
SABMiller Holdings, Inc.
2.200%, 8–1–18 (B)	200		205
Simmons Foods, Inc.
7.875%, 10–1–21 (B)	50		42

			1,015


Energy – 0.4%
Brand Energy & Infrastructure Services
8.500%, 12–1–21 (B)	80		75


Financials – 5.3%
Aircastle Ltd.
4.625%, 12–15–18	235		243
Citigroup, Inc.
8.400%, 4–29–49	75		82
Daimler Finance North America LLC
2.950%, 1–11–17 (B)	200		203
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.)
3.000%, 9–25–17	100		101
Hyundai Capital America
2.000%, 3–19–18 (B)	200		201
UBS Preferred Funding Trust V
6.243%, 5–29–49	200		200
Wells Fargo & Co.
7.980%, 3–29–49	50		52

			1,082


Health Care – 0.9%
Fresenius U.S. Finance II, Inc.:
4.250%, 2–1–21 (B)	100		103
4.500%, 1–15–23 (B)	75		76

			179


Industrials – 0.4%
TransDigm, Inc.
6.000%, 7–15–22	82		82


Information Technology – 1.0%
Alliance Data Systems Corp.
5.250%, 12–1–17 (B)	150		152
Micron Technology, Inc.
5.875%, 2–15–22	50		43

			195


Materials – 0.4%
Hillman Group, Inc. (The)
6.375%, 7–15–22 (B)	110		92


Telecommunication Services – 3.1%
American Tower Corp.
3.400%, 2–15–19	170		174
T–Mobile USA, Inc.
6.000%, 3–1–23	230		236
Verizon Communications, Inc.
2.625%, 2–21–20	214		220

			630


Utilities – 1.2%
Sempra Energy
2.850%, 11–15–20	250		254


Total United States – 17.9%		$	3,643
Venezuela

Financials – 1.2%
Corporacion Andina de Fomento
1.500%, 8–8–17	250		250


Total Venezuela – 1.2%		$	250

TOTAL CORPORATE DEBT SECURITIES – 76.4%		$	15,551
(Cost: $16,270)


OTHER GOVERNMENT SECURITIES (E)
Argentina – 1.0%
City of Buenos Aires
9.950%, 3–1–17 (B)	$	200		209


Russia – 1.0%
Russian Federation
3.500%, 1–16–19 (B)		200		201


TOTAL OTHER GOVERNMENT SECURITIES – 2.0%			$	410
(Cost: $404)

LOANS (D)
United States

Industrials – 1.2%
TransDigm, Inc.
3.750%, 2–28–20	$	241		237


Information Technology – 0.2%
Magic Newco LLC
5.000%, 12–12–18		49		50


Materials – 0.3%
BakerCorp International
4.250%, 2–7–20		74		66


Total United States – 1.7%			$	353
				353


TOTAL LOANS – 1.7%			$	353
(Cost: $363)

UNITED STATES GOVERNMENT OBLIGATIONS
United States – 10.8%
U.S. Treasury Bonds
2.250%, 11–15–25		200		208
U.S. Treasury Notes:
0.625%, 8–31–17		600		599
0.750%, 12–31–17		1,250		1,250
1.750%, 5–15–22		145		148

				2,205


TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 10.8%			$	2,205
(Cost: $2,200)

SHORT-TERM SECURITIES
Master Note – 3.8%
Toyota Motor Credit Corp.
0.443%, 4–6–16 (F)	$	774		774


TOTAL SHORT-TERM SECURITIES – 3.8%			$	774
(Cost: $774)

TOTAL INVESTMENT SECURITIES – 98.9%			$	20,145
(Cost: $20,954)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.1%				214

NET ASSETS – 100.0%			$	20,359

The following forward foreign currency contracts were outstanding at March 31, 2016:

• Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

During the period ended March 31, 2016, there were no transfers between any levels.


COMMON STOCKS	Shares		Value
Belgium

Consumer Staples – 2.2%
InBev N.V.		88	$	10,888


Total Belgium – 2.2%			$	10,888
Brazil

Information Technology – 0.6%
MercadoLibre, Inc.		25		2,996


Total Brazil – 0.6%			$	2,996
Canada

Industrials – 1.4%
Canadian Pacific Railway Ltd.		50		6,681


Total Canada – 1.4%			$	6,681
China

Consumer Discretionary – 3.3%
JD.com, Inc. ADR (A)		613		16,234


Industrials – 0.4%
CAR, Inc. (A)		1,723		2,021


Information Technology – 4.9%
Alibaba Group Holding Ltd. ADR (A)		147		11,626
Tencent Holdings Ltd.		593		12,111

				23,737


Total China – 8.6%			$	41,992
France

Industrials – 4.0%
European Aeronautic Defence and Space Co.		137		9,099
Safran		146		10,246

				19,345


Total France – 4.0%			$	19,345
Germany

Consumer Discretionary – 1.9%
Continental AG		42		9,449


Health Care – 3.8%
Bayer AG		34		4,001
Fresenius SE & Co. KGaA		197		14,420

				18,421


Total Germany – 5.7%			$	27,870
India

Consumer Staples – 1.2%
ITC Ltd.		1,148		5,692


Total India – 1.2%			$	5,692
Ireland

Health Care – 1.6%
Medtronic plc		106		7,967


Total Ireland—1.6%			$	7,967
Israel

Health Care – 2.3%
Teva Pharmaceutical Industries Ltd. ADR		211		11,278


Total Israel – 2.3%			$	11,278
Italy

Financials – 1.3%
Banca Intesa S.p.A.		2,276		6,303


Total Italy – 1.3%			$	6,303
Netherlands

Consumer Discretionary – 1.1%
Koninklijke Philips Electronics N.V., Ordinary Shares		185		5,263


Information Technology – 2.5%
ASML Holding N.V., NY Registry Shares		59		5,885
NXP Semiconductors N.V. (A)		80		6,524

				12,409


Total Netherlands – 3.6%			$	17,672
United Kingdom

Financials – 1.6%
Prudential plc		421		7,871


Health Care – 2.1%
Shire plc		176		9,983


Total United Kingdom – 3.7%			$	17,854


United States

Consumer Discretionary – 12.1%
Amazon.com, Inc. (A)		34		20,253
Carnival Corp.		359		18,933
Home Depot, Inc. (The)		69		9,149
Limited Brands, Inc.		73		6,447
TripAdvisor, Inc. (A)		66		4,403

				59,185


Consumer Staples – 2.1%
Coca-Cola Co. (The)		225		10,428


Energy – 2.6%
Halliburton Co.		218		7,798
Schlumberger Ltd.		66		4,843

				12,641


Financials – 2.3%
JPMorgan Chase & Co.		64		3,777
Signature Bank (A)		56		7,625

				11,402


Health Care – 13.6%
Acadia Healthcare Co., Inc. (A)		155		8,559
Allergan plc (A)		29		7,784
Anthem, Inc.		118		16,427
Biogen, Inc. (A)		31		8,137
Bristol-Myers Squibb Co.		77		4,947
Gilead Sciences, Inc.		89		8,209
HCA Holdings, Inc. (A)		157		12,265

				66,328


Industrials – 5.8%
J.B. Hunt Transport Services, Inc.		162		13,628
Kansas City Southern		62		5,281
Rockwell Collins, Inc.		101		9,324

				28,233


Information Technology – 14.7%
Alphabet, Inc., Class C (A)		27		19,981
Cognizant Technology Solutions Corp., Class A (A)		141		8,821
Facebook, Inc., Class A (A)		49		5,594
MasterCard, Inc., Class A		152		14,393
Visa, Inc., Class A		299		22,874

				71,663

Telecommunication Services – 3.2%
Level 3 Communications, Inc. (A)		290		15,311


Total United States – 56.4%			$	275,191

TOTAL COMMON STOCKS – 92.6%			$	451,729
(Cost: $421,012)

SHORT-TERM SECURITIES	Principal
Commercial Paper(B) – 8.1%
Corporacion Andina de Fomento
0.370%, 5–2–16	$	5,000		4,998
Danaher Corp.
0.450%, 4–6–16		3,000		3,000
Essilor International S.A.
0.370%, 4–14–16		10,000		9,999
Exxon Mobil Corp.
0.410%, 4–5–16		5,000		5,000
Mondelez International, Inc.:
0.500%, 4–26–16		9,940		9,936
0.570%, 4–1–16		3,263		3,263
Virginia Electric and Power Co.
0.670%, 4–6–16		3,000		3,000

				39,196


Master Note – 0.3%
Toyota Motor Credit Corp.
0.443%, 4–6–16 (C)		1,488		1,488


TOTAL SHORT-TERM SECURITIES – 8.4%			$	40,684
(Cost: $40,682)

TOTAL INVESTMENT SECURITIES – 101.0%			$	492,413
(Cost: $461,694)

LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.0)%				(4,809	)

NET ASSETS – 100.0%			$	487,604

Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016:

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares		Value
Canada

Energy – 3.3%
Suncor Energy, Inc.		143	$	3,983


Industrials – 2.2%
Canadian Pacific Railway Ltd.		19		2,554


Total Canada – 5.5%			$	6,537
China

Materials – 0.0%
China Metal Recycling (Holdings) Ltd. (A)		1,900		—


Total China – 0.0%			$	—
France

Materials – 0.9%
L Air Liquide S.A.		9		1,052


Total France – 0.9%			$	1,052
Netherlands

Energy – 1.2%
Core Laboratories N.V.		13		1,467


Total Netherlands – 1.2%			$	1,467
Switzerland

Energy – 1.7%
Weatherford International Ltd. (A)		269		2,094


Total Switzerland – 1.7%			$	2,094
United Kingdom

Materials – 6.7%
BHP Billiton plc		255		2,867
Randgold Resources Ltd. ADR		16		1,462
Rio Tinto plc		133		3,741

				8,070


Total United Kingdom – 6.7%			$	8,070
United States

Energy – 56.7%
Anadarko Petroleum Corp.		53		2,480
Baker Hughes, Inc.		86		3,774
Cameron International Corp. (A)		38		2,538
Cimarex Energy Co.		35		3,414
Concho Resources, Inc. (A)		41		4,163
Continental Resources, Inc. (A)		103		3,118
Diamondback Energy, Inc. (A)		13		972
Enterprise Products Partners L.P.		24		583
EOG Resources, Inc.		60		4,348
Exxon Mobil Corp.		28		2,320
FMC Technologies, Inc. (A)		21		585
Gulfport Energy Corp. (A)		44		1,250
Halliburton Co.		194		6,933
Helmerich & Payne, Inc.		13		787
Marathon Oil Corp.		57		639
Marathon Petroleum Corp.		17		641
Marathon Petroleum Corp. L.P.		28		819
Newfield Exploration Co. (A)		71		2,349
Noble Energy, Inc.		81		2,544
Oasis Petroleum LLC (A)		205		1,495
Patterson-UTI Energy, Inc.		68		1,189
Phillips 66		21		1,849
Pioneer Natural Resources Co.		26		3,589
Schlumberger Ltd.		113		8,319
Shell Midstream Partners L.P.		27		1,005
Superior Energy Services, Inc.		98		1,306
Tallgrass Energy GP L.P., Class A		101		1,871
Tesoro Corp.		7		632
Valero Energy Corp.		10		622
Valero Energy Partners L.P.		12		590
Whiting Petroleum Corp. (A)		145		1,158

				67,882



Financials – 3.8%
CME Group, Inc.		47		4,519


Industrials – 2.7%
Caterpillar, Inc.		42		3,234


Materials – 15.2%
Dow Chemical Co. (The)		140		7,103
LyondellBasell Industries N.V., Class A		59		5,019
PPG Industries, Inc.		24		2,648
Praxair, Inc.		7		830
Southern Copper Corp.		92		2,538

				18,138


Total United States – 78.4%			$	93,773

TOTAL COMMON STOCKS – 94.4%			$	112,993
(Cost: $134,357)

INVESTMENT FUNDS
United States – 2.6%
SPDR Gold Trust (A)		27		3,163


TOTAL INVESTMENT FUNDS – 2.6%			$	3,163
(Cost: $3,140)

PREFERRED STOCKS
United States

Utilities – 0.0%
Konarka Technologies, Inc., 8.000%, Convertible (A)(B)		68		—


Total United States – 0.0%			$	—

TOTAL PREFERRED STOCKS – 0.0%			$	—
(Cost: $211)

SHORT-TERM SECURITIES	Principal
Master Note – 2.7%
Toyota Motor Credit Corp.
0.443%, 4–6–16 (C)	$	3,175		3,175


TOTAL SHORT-TERM SECURITIES – 2.7%			$	3,175
(Cost: $3,175)

TOTAL INVESTMENT SECURITIES – 99.7%			$	119,331
(Cost: $140,883)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3%				349

NET ASSETS – 100.0%			$	119,680

The total value of this security represented 0.0% of net assets at March 31, 2016.

The following forward foreign currency contracts were outstanding at March 31, 2016:

• Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016:

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares		Value
Consumer Discretionary

Automotive Retail – 3.5%
AutoZone, Inc. (A)		19	$	14,898
O’Reilly Automotive, Inc. (A)		55		14,942

				29,840


Cable & Satellite – 2.1%
Comcast Corp., Class A		294		17,927


Casinos & Gaming – 1.5%
Las Vegas Sands, Inc.		250		12,930


Footwear – 1.0%
NIKE, Inc., Class B		137		8,397


Home Improvement Retail – 4.1%
Home Depot, Inc. (The)		261		34,825


Internet Retail – 2.5%
Amazon.com, Inc. (A)		36		21,609


Movies & Entertainment – 1.1%
Walt Disney Co. (The)		99		9,822


Restaurants – 3.9%
McDonalds Corp.		155		19,505
Starbucks Corp.		227		13,546

				33,051


Specialty Stores – 1.1%
Ulta Salon, Cosmetics & Fragrance, Inc. (A)		50		9,706


Total Consumer Discretionary – 20.8%				178,107
Consumer Staples

Brewers – 1.1%
Anheuser-Busch InBev S.A. ADR		78		9,699


Tobacco – 1.7%
Philip Morris International, Inc.		147		14,422


Total Consumer Staples – 2.8%				24,121
Energy

Oil & Gas Exploration & Production – 1.5%
EOG Resources, Inc.		174		12,607


Total Energy – 1.5%				12,607
Financials

Investment Banking & Brokerage – 1.5%
Charles Schwab Corp. (The)		463		12,962


Specialized Finance – 1.7%
CME Group, Inc.		148		14,254


Total Financials – 3.2%				27,216
Health Care

Biotechnology – 9.7%
Alexion Pharmaceuticals, Inc. (A)		29		4,037
Amgen, Inc.		54		8,021
Biogen, Inc. (A)		49		12,704
Celgene Corp. (A)		285		28,496
Gilead Sciences, Inc.		276		25,390
Vertex Pharmaceuticals, Inc. (A)		47		3,736

				82,384


Health Care Facilities – 2.3%
HCA Holdings, Inc. (A)		251		19,622


Pharmaceuticals – 5.7%
Allergan plc (A)		78		21,017
Bristol-Myers Squibb Co.		250		15,964
Shire Pharmaceuticals Group plc ADR		70		11,981

				48,962


Total Health Care – 17.7%				150,968
Industrials

Aerospace & Defense – 4.4%
Boeing Co. (The)		50		6,372
Honeywell International, Inc.		133		14,892
Lockheed Martin Corp.		65		14,287
Northrop Grumman Corp.		11		2,137

				37,688


Industrial Conglomerates – 1.1%
Danaher Corp.		101		9,543


Railroads – 4.7%
Canadian Pacific Railway Ltd.		163		21,576
Union Pacific Corp.		237		18,853

				40,429


Total Industrials – 10.2%				87,660


Information Technology

Application Software – 2.6%
Adobe Systems, Inc. (A)		238		22,296


Data Processing & Outsourced Services – 9.8%
FleetCor Technologies, Inc. (A)		81		12,049
MasterCard, Inc., Class A		381		36,005
Visa, Inc., Class A		463		35,387

				83,441


Internet Software & Services – 10.0%
Alphabet, Inc., Class A (A)		38		28,807
Alphabet, Inc., Class C (A)		32		24,098
Facebook, Inc., Class A (A)		289		32,986

				85,891


IT Consulting & Other Services – 2.1%
Cognizant Technology Solutions Corp., Class A (A)		286		17,926


Semiconductor Equipment – 3.1%
Lam Research Corp.		320		26,440


Semiconductors – 3.3%
Microchip Technology, Inc.		319		15,356
NXP Semiconductors N.V. (A)		162		13,158

				28,514


Systems Software – 4.1%
Microsoft Corp.		633		34,939


Technology Hardware, Storage & Peripherals – 3.0%
Apple, Inc.		234		25,546


Total Information Technology – 38.0%				324,993
Materials

Diversified Chemicals – 1.4%
PPG Industries, Inc.		109		12,119


Total Materials—1.4%				12,119

Telecommunication Services

Wireless Telecommunication Service – 1.5%
American Tower Corp., Class A		125		12,827


Total Telecommunication Services – 1.5%				12,827

TOTAL COMMON STOCKS – 97.1%			$	830,618
(Cost: $649,725)

SHORT-TERM SECURITIES	Principal
Commercial Paper(B) – 2.8%
Air Products and Chemicals, Inc., 0.380%, 4–18–16	$	4,000		3,999
Bemis Co., Inc., 0.480%, 4–19–16		5,000		4,999
DTE Gas Co., 0.480%, 4–1–16		2,436		2,436
Medtronic Global Holdings SCA, 0.570%, 4–5–16		5,000		4,999
Novartis Finance Corp. (GTD by Novartis AG), 0.410%, 4–4–16		4,000		4,000
St. Jude Medical, Inc., 0.480%, 4–19–16		3,000		2,999

				23,432


Master Note – 0.1%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (C)		1,191		1,191


United States Government Agency Obligations – 0.1%
Overseas Private Investment Corp. (GTD by U.S. Government), 0.360%, 4–7–16 (C)		1,167		1,167


TOTAL SHORT-TERM SECURITIES – 3.0%			$	25,790
(Cost: $25,789)

TOTAL INVESTMENT SECURITIES – 100.1%			$	856,408
(Cost: $675,514)

LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)%				(1,281	)

NET ASSETS – 100.0%			$	855,127

• Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016:

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares			Value
Consumer Discretionary

Casinos & Gaming – 0.0%
New Cotai Participation Corp., Class B (A)		—	^*	$	67


Total Consumer Discretionary – 0.0%					67
Industrials

Railroads – 0.1%
Kansas City Southern		3			239


Total Industrials – 0.1%					239
Utilities

Gas Utilities – 0.0%
Suburban Propane Partners L.P.		4			106


Total Utilities – 0.0%					106

TOTAL COMMON STOCKS – 0.1%				$	412
(Cost: $275)

PREFERRED STOCKS
Telecommunication Services

Integrated Telecommunication Services – 0.9%
Frontier Communications Corp., Convertible Series A, 11.125%		61			6,331


Total Telecommunication Services – 0.9%					6,331

TOTAL PREFERRED STOCKS – 0.9%				$	6,331
(Cost: $6,094)

WARRANTS
Agricultural Products – 0.0%
ASG Consolidated LLC, expires 5–15–18 (B)		1			2


TOTAL WARRANTS – 0.0%				$	2
(Cost: $72)

CORPORATE DEBT SECURITIES	Principal
Consumer Discretionary

Advertising – 0.9%
Acosta, Inc., 7.750%, 10–1–22 (C)	$	4,985			4,623
Lamar Media Corp., 5.375%, 1–15–24		959			1,000
Outfront Media Capital LLC and Outfront Media Capital Corp.:
5.250%, 2–15–22		544			558
5.625%, 2–15–24		573			597

					6,778


Apparel Retail – 1.7%
Bon–Ton Stores, Inc. (The),
8.000%, 6–15–21		5,224			2,233
Hot Topic, Inc., 9.250%, 6–15–21 (C)		5,002			5,014
HT Intermediate Holdings Corp.,
12.000%, 5–15–19 (C)(D)		1,527			1,390
Neiman Marcus Group Ltd., Inc., 8.000%, 10–15–21 (C)		3,764			3,237
Nine West Holdings, Inc., 8.250%, 3–15–19 (C)		2,036			560

					12,434


Automotive Retail – 0.7%
Group 1 Automotive, Inc., 5.000%, 6–1–22		855			846
Sonic Automotive, Inc., 5.000%, 5–15–23		4,477			4,410

					5,256


Broadcasting – 1.3%
AMC Networks, Inc., 5.000%, 4–1–24		281			282
Clear Channel Communications, Inc., 10.000%, 1–15–18		1,383			442
Clear Channel Outdoor Holdings, Inc., 6.500%, 11–15–22		4,494			4,421
Clear Channel Worldwide Holdings, Inc., Series A,
7.625%, 3–15–20		221			189
Clear Channel Worldwide Holdings, Inc., Series B,
7.625%, 3–15–20		1,780			1,633
Cumulus Media, Inc., 7.750%, 5–1–19		4,115			1,564
iHeartCommunications, Inc. (GTD by iHeartMedia Capital I LLC),
10.625%, 3–15–23		1,094			758

					9,289


Cable & Satellite – 7.0%
Altice Financing S.A.,
6.625%, 2–15–23 (C)		708	710
Altice S.A.:
7.250%, 5–15–22 (C)(E)	EUR	256	288
7.750%, 5–15–22 (C)	$	9,915	9,757
6.250%, 2–15–25 (C)(E)	EUR	354	362
7.625%, 2–15–25 (C)	$	1,969	1,885
Cablevision Systems Corp.,
5.875%, 9–15–22		4,858	4,093
Columbus International, Inc.,
7.375%, 3–30–21 (C)		517	551
DISH DBS Corp.:
6.750%, 6–1–21		1,936	1,999
5.875%, 7–15–22		910	862
5.000%, 3–15–23		418	372
5.875%, 11–15–24		454	416
Neptune Finco Corp.:
10.125%, 1–15–23 (C)		2,523	2,700
6.625%, 10–15–25 (C)		788	852
10.875%, 10–15–25 (C)		1,946	2,126
Sirius XM Radio, Inc.:
4.625%, 5–15–23 (C)		4,936	4,880
6.000%, 7–15–24 (C)		8,000	8,397
VTR Finance B.V.,
6.875%, 1–15–24 (C)		8,235	8,073
Wave Holdco LLC and Wave Holdco Corp.,
8.250%, 7–15–19 (C)(D)		844	823
WaveDivision Escrow LLC and WaveDivision Escrow Corp.,
8.125%, 9–1–20 (C)		2,825	2,790

			51,936


Casinos & Gaming – 2.7%
Boyd Gaming Corp.,
6.375%, 4–1–26 (C)		374	388
Gateway Casinos & Entertainment Ltd.,
8.500%, 11–26–20 (C)(E)	CAD	3,540	2,562
MCE Finance Ltd.,
5.000%, 2–15–21 (C)	$	600	572
Studio City Finance Ltd.,
8.500%, 12–1–20 (C)		8,750	8,772
Wynn Macau Ltd.,
5.250%, 10–15–21(C)		8,498	8,009

			20,303


Distributors – 1.0%
Pinnacle Operating Corp.,
9.000%, 11–15–20 (C)		8,833	7,619


Education Services – 1.9%
Laureate Education, Inc.,
10.000%, 9–1–19 (C)(F)		19,603	14,408


Leisure Facilities – 0.2%
Palace Entertainment Holdings LLC,
8.875%, 4–15–17 (C)		1,742	1,690


Movies & Entertainment – 1.3%
AMC Entertainment, Inc.,
5.750%, 6–15–25		2,243	2,293
Cinemark USA, Inc.:
5.125%, 12–15–22		208	213
4.875%, 6–1–23		2,900	2,925
WMG Acquisition Corp.,
6.750%, 4–15–22 (C)		4,414	4,370

			9,801


Publishing – 0.1%
MDC Partners, Inc.,
6.500%, 5–1–24 (C)		654	668


Specialized Consumer Services – 2.3%
B–Corp Merger Sub, Inc.,
8.250%, 6–1–19		9,278	7,237
Carlson Travel Holdings,
7.500%, 8–15–19 (C)(D)		1,890	1,777
Emdeon, Inc.,
11.000%, 12–31–19		1,204	1,273
Nielsen Finance,
5.500%, 10–1–21 (C)		2,371	2,466
Nielsen Finance LLC and Nielsen Finance Co.,
5.000%, 4–15–22 (C)		3,885	3,982

			16,735


Specialty Stores – 1.4%
Jo-Ann Stores Holdings, Inc.,
9.750%, 10–15–19 (C)(D)		11,607	9,285
Jo-Ann Stores, Inc.,
8.125%, 3–15–19 (C)		1,205	1,109

			10,394


Total Consumer Discretionary – 22.5%			167,311


Consumer Staples

Food Distributors – 3.1%
Simmons Foods, Inc.,
7.875%, 10–1–21 (C)	6,612	5,570
U.S. Foodservice, Inc.,
8.500%, 6–30–19	17,304	17,780

		23,350

Packaged Foods & Meats – 1.6%
Bumble Bee Foods LLC,
9.625%, 3–15–18 (C)(D)	1,855	1,827
JBS Investments GmbH (GTD by JBS S.A. and JBS Hungary Holdings Kft.),
7.750%, 10–28–20 (C)	400	396
JBS USA LLC and JBS USA Finance, Inc.:
7.250%, 6–1–21 (C)	372	371
5.875%, 7–15–24 (C)	4,261	3,846
5.750%, 6–15–25 (C)	1,588	1,389
Post Holdings, Inc.:
7.375%, 2–15–22	977	1,033
7.750%, 3–15–24 (C)	1,696	1,861
8.000%, 7–15–25 (C)	1,079	1,206

		11,929

Tobacco – 0.5%
Prestige Brands, Inc.,
5.375%, 12–15–21 (C)	3,658	3,704


Total Consumer Staples – 5.2%		38,983
Energy

Coal & Consumable Fuels – 0.4%
Foresight Energy LLC and Foresight Energy Finance Corp.,
7.875%, 8–15–21 (C)(G)	4,390	3,029

Oil & Gas Drilling – 0.6%
Globe Luxembourg SCA,
9.625%, 5–1–18 (C)(F)	1,429	1,083
KCA DEUTAG UK Finance plc,
7.250%, 5–15–21 (C)	1,981	1,238
Offshore Drilling Holding S.A.,
8.375%, 9–20–20 (C)(F)	4,063	1,940
Offshore Group Investment Ltd.,
0.000%, 11–1–19	1,693	—	^*
Offshore Group Investment Ltd., Units,
1.726%, 12–31–30 (K)	3	340

		4,601

Oil & Gas Equipment & Services – 0.6%
Brand Energy & Infrastructure Services,
8.500%, 12–1–21 (C)	4,638	4,359
Key Energy Services, Inc.,
6.750%, 3–1–21	484	91

		4,450

Oil & Gas Exploration & Production – 2.0%
Bellatrix Exploration Ltd.,
8.500%, 5–15–20 (C)	2,247	1,129
California Resources Corp.:
8.000%, 12–15–22 (C)	2,837	1,092
6.000%, 11–15–24	1,600	360
Chesapeake Energy Corp.:
6.500%, 8–15–17	2,207	1,479
7.250%, 12–15–18	157	86
Clayton Williams Energy, Inc.,
7.750%, 4–1–19	6,928	3,464
Crownrock L.P.,
7.750%, 2–15–23 (C)	715	692
EnCana Corp.,
6.500%, 8–15–34	1,094	928
Endeavor Energy Resources L.P.:
7.000%, 8–15–21 (C)	2,185	2,043
8.125%, 9–15–23 (C)	758	720
Gulfport Energy Corp.,
6.625%, 5–1–23	221	206
Laredo Petroleum, Inc.,
7.375%, 5–1–22	2,112	1,829
Midstates Petroleum Co., Inc. and Midstates Petroleum Co. LLC,
10.000%, 6–1–20	1,657	617

		14,645

Oil & Gas Refining & Marketing – 1.1%
PBF Holding Co. LLC and PBF Finance Corp.,
7.000%, 11–15–23 (C)	2,455	2,329
Seven Generations Energy Ltd.:
8.250%, 5–15–20 (C)	2,212	2,218
6.750%, 5–1–23 (C)	3,505	3,321

		7,868


Total Energy – 4.7%		34,593


Financials

Consumer Finance – 1.0%
Creditcorp,
12.000%, 7–15–18 (C)	4,228	2,241
Quicken Loans, Inc.,
5.750%, 5–1–25 (C)	3,346	3,246
Speedy Cash Intermediate Holdings Corp.,
10.750%, 5–15–18 (C)	2,366	1,419
Speedy Group Holdings Corp.,
12.000%, 11–15–17 (C)	986	394

		7,300

Diversified Capital Markets – 1.1%
Patriot Merger Corp.,
9.000%, 7–15–21 (C)	8,406	8,070

Industrial REITs – 1.2%
Aircastle Ltd.:
5.125%, 3–15–21	5,883	6,126
5.500%, 2–15–22	1,532	1,598
5.000%, 4–1–23	1,015	1,020

		8,744

Investment Banking & Brokerage – 0.1%
GFI Group, Inc.,
8.375%, 7–19–18(F)	851	902

Other Diversified Financial Services – 3.0%
AAF Holdings LLC and AAF Finance Co.,
12.000%, 7–1–19 (C)(D)	2,569	2,235
Balboa Merger Sub, Inc.,
11.375%, 12–1–21 (C)	9,982	8,734
Greektown Holdings LLC and Greektown Mothership Corp.,
8.875%, 3–15–19 (C)	2,672	2,739
New Cotai LLC and New Cotai Capital Corp.,
10.625%, 5–1–19 (C)(D)	11,469	8,143

		21,851

Property & Casualty Insurance – 1.9%
Hub International Ltd.,
7.875%, 10–1–21 (C)	3,563	3,509
Onex USI Acquisition Corp.,
7.750%, 1–15–21 (C)	10,688	10,688

		14,197

Real Estate Development – 0.3%
Hub Holdings LLC and Hub Holdings Finance, Inc.,
8.125%, 7–15–19 (C)(D)	2,440	2,257

Specialized Finance – 1.1%
Flexi–Van Leasing, Inc.,
7.875%, 8–15–18 (C)	1,881	1,862
TMX Finance LLC and TitleMax Finance Corp.,
8.500%, 9–15–18 (C)	7,798	6,239

		8,101

Thrifts & Mortgage Finance – 0.6%
Provident Funding Associates L.P. and PFG Finance Corp.,
6.750%, 6–15–21 (C)	4,973	4,712


Total Financials – 10.3%		76,134
Health Care

Health Care Facilities – 2.4%
Centene Escrow Corp.:
5.625%, 2–15–21 (C)	634	661
6.125%, 2–15–24 (C)	453	477
Greatbatch Ltd.,
9.125%, 11–1–23 (C)	2,788	2,764
HCA, Inc.,
5.250%, 6–15–26	652	668
MPH Acquisition Holdings LLC,
6.625%, 4–1–22 (C)	1,753	1,823
Surgery Center Holdings, Inc.,
8.875%, 4–15–21 (C)	4,847	4,847
Tenet Healthcare Corp.:
6.750%, 2–1–20	1,408	1,408
8.125%, 4–1–22	4,662	4,783

		17,431

Health Care Services – 0.6%
Truven Health Analytics, Inc.,
10.625%, 6–1–20	4,277	4,561

Health Care Supplies – 0.6%
Ortho–Clinical Diagnostics,
6.625%, 5–15–22 (C)	3,573	2,698
Universal Hospital Services, Inc.,
7.625%, 8–15–20	1,579	1,460

		4,158

Pharmaceuticals – 2.5%
Concordia Healthcare Corp.,
9.500%, 10–21–22 (C)	9,870	9,524
Jaguar Holding Co. II and Pharmaceutical Product Development LLC,
6.375%, 8–1–23 (C)	2,117	2,174
JLL/Delta Dutch Pledgeco B.V.,
8.750%, 5–1–20 (C)(D)	4,505	4,392
VPII Escrow Corp.,
7.500%, 7–15–21 (C)	1,750	1,458
VRX Escrow Corp.,
5.375%, 3–15–20 (C)	1,574	1,283

		18,831


Total Health Care – 6.1%		44,981


Industrials

Aerospace & Defense – 2.5%
KLX, Inc.,
5.875%, 12–1–22 (C)	596	590
Silver II Borrower SCA and Silver II U.S. Holdings,
7.750%, 12–15–20 (C)	7,777	6,144
TransDigm Group, Inc.,
7.500%, 7–15–21	1,398	1,464
TransDigm, Inc.:
6.000%, 7–15–22	5,075	5,056
6.500%, 7–15–24	5,515	5,472

		18,726

Air Freight & Logistics – 0.2%
TRAC Intermodal LLC and TRAC Intermodal Corp.,
11.000%, 8–15–19	939	1,005
XPO Logistics, Inc.,
6.500%, 6–15–22 (C)	935	908

		1,913

Building Products – 0.8%
Ply Gem Industries, Inc.,
6.500%, 2–1–22	4,710	4,666
Summit Materials LLC and Summit Materials Finance Corp.:
8.500%, 4–15–22 (C)	373	385
6.125%, 7–15–23	777	738

		5,789

Diversified Support Services – 0.2%
Algeco Scotsman Global Finance plc:
8.500%, 10–15–18 (C)	1,500	1,155
10.750%, 10–15–19 (C)	749	223

		1,378

Environmental & Facilities Services – 0.4%
GFL Environmental, Inc.,
7.875%, 4–1–20 (C)	3,146	3,123


Railroads – 0.6%
Florida East Coast Holdings Corp. and Florida East Coast Industries LLC:
6.750%, 5–1–19 (C)	3,449	3,449
9.750%, 5–1–20 (C)	1,017	732

		4,181

Trading Companies & Distributors – 0.8%
HD Supply, Inc.:
11.500%, 7–15–20	3,831	4,250
5.750%, 4–15–24 (C)	1,640	1,685

		5,935


Total Industrials – 5.5%		41,045
Information Technology

Application Software – 1.6%
Ensemble S Merger Sub, Inc.,
9.000%, 9–30–23 (C)	1,871	1,833
Infor Software Parent LLC and Infor Software Parent, Inc.,
7.125%, 5–1–21 (C)(D)	2,461	1,840
Kronos Acquisition Holdings, Inc.,
9.000%, 8–15–23 (C)	8,916	8,158

		11,831

Communications Equipment – 0.4%
West Corp.,
5.375%, 7–15–22 (C)	2,902	2,662


Data Processing & Outsourced Services – 2.2%
Alliance Data Systems Corp.:
5.250%, 12–1–17 (C)	1,110	1,124
6.375%, 4–1–20 (C)	3,362	3,421
5.375%, 8–1–22 (C)	4,224	3,960
Italics Merger Sub, Inc.,
7.125%, 7–15–23 (C)	8,150	7,864

		16,369

Electronic Manufacturing Services – 0.3%
KEMET Corp.,
10.500%, 5–1–18	2,639	1,933


IT Consulting & Other Services – 0.8%
NCR Escrow Corp.:
5.875%, 12–15–21	2,509	2,566
6.375%, 12–15–23	3,346	3,446

		6,012

Semiconductor Equipment – 0.0%
Photronics, Inc., Convertible,
3.250%, 4–1–16	170	170


Semiconductors – 0.7%
Micron Technology, Inc.:
5.875%, 2–15–22	3,267	2,826
5.500%, 2–1–25	3,064	2,484

		5,310

Technology Hardware, Storage & Peripherals – 0.1%
Western Digital Corp.:
7.375%, 4–1–23 (C)	468	478
10.500%, 4–1–24 (C)	468	468

		946



Total Information Technology – 6.1%		45,233
Materials

Aluminum – 1.2%
Constellium N.V.:
8.000%, 1–15–23 (C)	3,774	3,128
5.750%, 5–15–24 (C)	1,851	1,328
Wise Metals Group LLC,
8.750%, 12–15–18 (C)	2,712	2,387
Wise Metals Intermediate Holdings,
9.750%, 6–15–19 (C)(D)	5,405	2,459

		9,302

Construction Materials – 0.7%
Hillman Group, Inc. (The),
6.375%, 7–15–22 (C)	6,615	5,524


Diversified Chemicals – 0.1%
PSPC Escrow II Corp.,
10.375%, 5–1–21 (C)	608	588


Diversified Metals & Mining – 2.1%
Artsonig Pty Ltd.,
11.500%, 4–1–19 (C)(D)	4,586	459
Crystal Merger Sub, Inc.,
7.625%, 10–15–21 (C)	489	286
FMG Resources Pty Ltd.:
8.250%, 11–1–19 (C)	8,482	8,100
9.750%, 3–1–22 (C)	371	370
6.875%, 4–1–22 (C)	5,144	4,115
Lundin Mining Corp.:
7.500%, 11–1–20 (C)	1,326	1,275
7.875%, 11–1–22 (C)	1,091	1,036

		15,641

Metal & Glass Containers – 1.5%
Ardagh Finance Holdings,
8.625%, 6–15–19 (C)(D)	2,998	2,893
Ardagh Packaging Finance plc and Ardagh Holdings USA, Inc.,
6.000%, 6–30–21 (C)	517	491
BlueScope Steel (Finance) Ltd. and BlueScope Steel Finance (USA) LLC,
7.125%, 5–1–18 (C)	2,746	2,760
Consolidated Container Co. LLC and Consolidated Container Capital, Inc.,
10.125%, 7–15–20 (C)	2,578	2,114
Signode Industrial Group,
6.375%, 5–1–22 (C)	2,865	2,604

		10,862

Paper Packaging – 0.3%
Beverage Packaging Holdings II Issuer, Inc. and Beverage Packaging Holdings (Luxembourg) II S.A.,
6.000%, 6–15–17 (C)	790	783
Exopack Holdings S.A.,
7.875%, 11–1–19 (C)	610	546
Reynolds Group Holdings Ltd.,
9.875%, 8–15–19	746	772

		2,101


Total Materials – 5.9%		44,018
Telecommunication Services

Alternative Carriers – 0.8%
Consolidated Communications Finance II Co.,
6.500%, 10–1–22	1,880	1,640
Level 3 Communications, Inc.,
5.750%, 12–1–22	1,317	1,360
Level 3 Escrow II, Inc.,
5.375%, 8–15–22	3,015	3,062

		6,062

Integrated Telecommunication Services – 3.3%
BCP (Singapore) VI Cayman Financing Co. Ltd.,
8.000%, 4–15–21 (C)	377	250
Frontier Communications Corp.:
8.875%, 9–15–20 (C)	2,664	2,780
6.250%, 9–15–21	1,501	1,387
10.500%, 9–15–22 (C)	1,567	1,606
7.125%, 1–15–23	367	325
6.875%, 1–15–25	1,041	879
11.000%, 9–15–25 (C)	1,763	1,772
GCI, Inc.,
6.875%, 4–15–25	3,604	3,676
Sprint Corp.:
7.250%, 9–15–21	8,023	6,128
7.875%, 9–15–23	5,563	4,242
7.125%, 6–15–24	2,049	1,521

		24,566

Wireless Telecommunication Service – 2.0%
Sable International Finance Ltd.,
6.875%, 8–1–22 (C)	3,844	3,844
Sprint Nextel Corp.:
6.000%, 12–1–16	905	899
9.125%, 3–1–17	466	474
8.375%, 8–15–17	1,574	1,556
9.000%, 11–15–18 (C)	569	596
7.000%, 8–15–20	466	371
T–Mobile USA, Inc.:
6.464%, 4–28–19	1,350	1,377
6.731%, 4–28–22	196	205
6.000%, 4–15–24	1,870	1,894
6.500%, 1–15–26	3,251	3,377

		14,593


Total Telecommunication Services – 6.1%		45,221



TOTAL CORPORATE DEBT SECURITIES – 72.4%			$	537,519
(Cost: $604,880)

LOANS(F)
Consumer Discretionary

Advertising – 0.2%
Advantage Sales & Marketing, Inc.,
7.500%, 7–25–22		1,943		1,746


Apparel Retail – 1.4%
Talbots, Inc. (The):
5.500%, 3–19–20		2,337		2,177
9.500%, 3–19–21		6,493		6,044
True Religion Apparel, Inc.,
5.875%, 7–30–19		4,234		1,864

				10,085

Auto Parts & Equipment – 0.4%
Direct ChassisLink, Inc.,
8.250%, 11–12–19		3,577		3,386


Casinos & Gaming – 0.2%
Gateway Casinos & Entertainment Ltd.:
5.250%, 11–26–19 (E)	CAD	1,926		1,479
5.950%, 11–26–19 (E)		5		4

				1,483

General Merchandise Stores – 0.9%
BJ’s Wholesale Club, Inc.,
8.500%, 3–31–20	$	4,277		3,928
Orchard Acquisition Co. LLC,
7.000%, 2–8–19		6,634		2,720

				6,648

Housewares & Specialties – 0.2%
KIK Custom Products, Inc.,
6.000%, 8–26–22		1,547		1,489


Movies & Entertainment – 0.3%
Formula One Holdings Ltd. and Delta Two S.a.r.l.,
7.750%, 7–29–22		2,164		1,981


Specialized Consumer Services – 0.1%
Wand Intermediate I L.P.,
8.250%, 9–17–22		557		501


Total Consumer Discretionary – 3.7%				27,319
Consumer Staples

Food Distributors – 0.1%
Performance Food Group, Inc.:
6.000%, 11–14–19		133		133
7.500%, 11–14–19		567		567

				700

Food Retail – 0.4%
Focus Brands, Inc.,
10.250%, 8–21–18		2,837		2,819


Hypermarkets & Super Centers – 0.2%
GOBP Holdings, Inc.,
9.250%, 10–21–22		1,807		1,672


Packaged Foods & Meats – 0.2%
Shearer’s Foods LLC,
7.750%, 6–30–22		1,386		1,275


Total Consumer Staples – 0.9%				6,466
Energy

Coal & Consumable Fuels – 0.2%
Westmoreland Coal Co.,
7.500%, 12–16–20		1,940		1,147


Oil & Gas Drilling – 0.2%
KCA Deutag Alpha Ltd.,
6.250%, 5–16–20		2,423		1,631


Oil & Gas Exploration & Production – 0.0%
Sabine Oil & Gas LLC,
11.750%, 12–31–18 (G)		468		12


Oil & Gas Storage & Transportation – 0.2%
Bowie Resources Holdings LLC:
6.750%, 8–12–20		920		819
11.750%, 2–16–21		857		712

				1,531


Total Energy – 0.6%				4,321
Financials

Consumer Finance – 0.2%
TransFirst, Inc.,
10.500%, 11–12–22		1,315		1,314


Other Diversified Financial Services – 0.4%
WP Mustang Holdings LLC,
8.500%, 5–29–22		3,313		3,258


Total Financials – 0.6%				4,572


Health Care

Health Care Supplies – 0.5%
Sage Products Holdings III LLC,
9.250%, 6–13–20		3,580		3,577

Life Sciences Tools & Services – 0.3%
Atrium Innovations, Inc.,
7.750%, 8–10–21		2,893		2,329


Total Health Care – 0.8%				5,906
Industrials

Building Products – 0.8%
C.H.I. Overhead Doors, Inc.,
8.750%, 7–31–23		1,935		1,799
GYP Holdings III Corp.,
7.750%, 4–1–22		3,358		2,947
Hampton Rubber Co. & SEI Holding Corp.,
9.000%, 3–27–22		1,785		1,071

				5,817

Construction & Engineering – 0.2%
Tensar International Corp.:
5.750%, 7–10–21		815		660
9.500%, 7–10–22		1,122		695

				1,355

Industrial Conglomerates – 0.1%
Crosby Worldwide Ltd.,
7.000%, 11–22–21		2,072		1,216


Industrial Machinery – 0.7%
Dynacast International LLC,
9.500%, 1–30–23		5,443		5,008


Research & Consulting Services – 0.1%
Larchmont Resources LLC,
9.750%, 8–7–19		2,772		1,220


Total Industrials – 1.9%				14,616
Information Technology

Application Software – 4.0%
Applied Systems, Inc.,
7.500%, 1–23–22		2,311		2,175
Aptean Holdings, Inc.,
5.250%, 2–27–20		1,305		1,268
Misys plc and Magic Newco LLC,
12.000%, 6–12–19		21,504		22,055
TIBCO Software, Inc.:
0.000%, 12–4–20 (H)		950		852
6.500%, 12–4–20		3,287		2,947

				29,297

Internet Software & Services – 0.6%
TravelCLICK, Inc. & TCH–2 Holdings LLC:
5.500%, 5–12–21		2,201		2,091
8.750%, 11–12–21		2,827		2,488

				4,579

IT Consulting & Other Services – 0.9%
Active Network, Inc. (The):
5.500%, 11–15–20		2,003		1,898
9.500%, 11–15–21		2,881		2,477
Triple Point Group Holdings, Inc.:
5.250%, 7–13–20		2,488		1,777
9.250%, 7–13–21		1,587		730

				6,882


Total Information Technology – 5.5%				40,758
Materials

Diversified Metals & Mining – 0.3%
EP Minerals LLC,
8.500%, 8–20–21		996		897
FMG Resources Pty Ltd,
0.000%, 6–30–19 (H)		1,769		1,490

				2,387

Paper Packaging – 0.4%
FPC Holdings, Inc.,
9.250%, 5–27–20		1,740		1,114
Ranpak (Rack Merger),
8.250%, 10–1–22		1,982		1,685

				2,799

Specialty Chemicals – 0.7%
Chemstralia Ltd.,
7.250%, 2–26–22		4,428		4,295
Chromaflo Technologies Corp.,
8.250%, 6–2–20		1,145		859
MacDermid, Inc.,
0.000%, 6–7–20 (H)		281		271

				5,425


Total Materials – 1.4%				10,611

TOTAL LOANS – 15.4%			$	114,569
(Cost: $134,543)

SHORT-TERM SECURITIES	Principal		Value
Commercial Paper(I) – 9.1%
Baxter International, Inc.,
0.730%, 4–4–16		7,000		7,000
Bemis Co., Inc.:
0.460%, 4–12–16		2,000		2,000
0.480%, 4–19–16		5,000		4,999
0.500%, 4–26–16		5,000		4,998


DTE Gas Co.:
0.480%, 4–1–16	4,000		4,000
0.550%, 4–4–16	4,600		4,600
HP, Inc.:
0.340%, 4–15–16	5,200		5,199
0.360%, 4–18–16	4,000		3,999
Kroger Co. (The),
0.700%, 4–4–16	7,000		7,000
NBCUniversal Enterprise, Inc.,
0.770%, 4–5–16	7,000		6,999
Rockwell Automation, Inc.,
0.550%, 4–7–16	3,000		3,000
United Technologies Corp.:
0.680%, 4–5–16	3,500		3,500
0.680%, 4–6–16	10,000		9,999

			67,293

Master Note – 0.3%
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (J)	2,473		2,473


Municipal Obligations – 0.0%
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds (Air Prods and Chemicals, Inc. Proj), Ser 2007 (GTD by Air Prods and Chemicals, Inc.),
0.390%, 4–1–16 (J)	293		293


TOTAL SHORT–TERM SECURITIES – 9.4%		$	70,059
(Cost: $70,055)

TOTAL INVESTMENT SECURITIES – 98.2%		$	728,892
(Cost: $815,919)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.8%			13,362

NET ASSETS – 100.0%		$	742,254

The following forward foreign currency contracts were outstanding at March 31, 2016:

Accounting standards establish a framework for measuring fair value and a three–level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs 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 reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three–tier hierarchy of inputs is summarized as follows:

• Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016.

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. As shown above, transfers in and out of Level 3 represent the values as of the beginning of the reporting period. During the period ended March 31, 2016, there were no transfers between Levels 1 and 2.


COMMON STOCKS	Shares		Value
Australia

Energy – 0.5%
Oil Search Ltd.		293	$	1,521
Santos Ltd.		639		1,973

				3,494


Financials – 1.7%
Westpac Banking Corp.		458		10,662


Health Care – 1.0%
Cochlear Ltd.		78		6,135


Materials – 1.7%
Amcor Ltd.		984		10,826


Total Australia – 4.9%			$	31,117
Brazil

Consumer Staples – 0.9%
Hypermarcas S.A. (A)		771		6,008


Total Brazil – 0.9%			$	6,008
Canada

Energy – 0.9%
Suncor Energy, Inc.		214		5,965


Industrials – 1.2%
Canadian Pacific Railway Ltd.		57		7,577


Total Canada – 2.1%			$	13,542
China

Consumer Discretionary – 1.4%
JD.com, Inc. ADR (A)		340		9,002


Consumer Staples – 1.6%
Kweichow Moutai Co. Ltd., Class A		267		10,208


Financials – 1.3%
PICC Property and Casualty Co. Ltd., H Shares		4,493		8,235


Information Technology – 0.7%
Alibaba Group Holding Ltd. ADR (A)		56		4,442


Total China – 5.0%			$	31,887
Denmark

Financials – 1.4%
Danske Bank A.S.		324		9,145


Total Denmark – 1.4%			$	9,145
Finland

Information Technology – 1.9%
Nokia Corp., Series A ADR		804		4,752
Nokia OYJ		1,299		7,724

				12,476


Total Finland – 1.9%			$	12,476
France

Consumer Staples – 1.8%
Pernod Ricard		100		11,140


Industrials – 2.7%
Bouygues S.A.		229		9,340
European Aeronautic Defence and Space Co.		120		7,961

				17,301


Utilities – 1.4%
ENGIE		581		9,015


Total France – 5.9%			$	37,456
Germany

Consumer Staples – 0.6%
METRO AG		119		3,678


Financials – 0.6%
Deutsche Boerse AG		46		3,923


Health Care – 5.1%
Bayer AG		67		7,892
Fresenius Medical Care AG & Co. KGaA		112		9,894
Fresenius SE & Co. KGaA		206		15,019

				32,805


Industrials – 1.9%
Deutsche Post AG		427		11,862


Total Germany – 8.2%			$	52,268
Hong Kong

Financials – 3.0%
AIA Group Ltd.		1,947		11,033
Cheung Kong (Holdings) Ltd.		640		8,305

				19,338


Total Hong Kong – 3.0%			$	19,338


Ireland

Financials – 0.9%
Bank of Ireland (A)	19,591		5,684


Health Care – 1.9%
Shire Pharmaceuticals Group plc ADR	70		11,970


Materials – 2.8%
CRH plc	342		9,668
James Hardie Industries plc, Class C	616		8,439

			18,107


Total Ireland – 5.6%		$	35,761
Israel

Health Care – 2.4%
Teva Pharmaceutical Industries Ltd. ADR	282		15,102


Total Israel – 2.4%		$	15,102
Italy

Financials – 1.3%
Banca Intesa S.p.A.	3,103		8,593


Total Italy – 1.3%		$	8,593
Japan

Consumer Discretionary – 6.4%
Bridgestone Corp.	442		16,526
Honda Motor Co. Ltd.	473		12,981
Isuzu Motors Ltd.	756		7,805
Nissin Kogyo Co. Ltd.	252		3,389

			40,701


Energy – 0.9%
Inpex Corp.	779		5,905


Financials – 3.0%
Dai-ichi Mutual Life Insurance Co. (The)	539		6,522
Sumitomo Mitsui Financial Group, Inc.	210		6,376
Tokio Marine Holdings, Inc.	192		6,472

			19,370


Industrials – 3.3%
Komatsu Ltd.	517		8,793
Mitsubishi Heavy Industries Ltd.	3,265		12,129

			20,922


Information Technology – 0.7%
Seiko Epson Corp.	296		4,778


Telecommunication Services – 3.3%
SoftBank Group Corp.	445		21,193


Total Japan – 17.6%		$	112,869
Mexico

Telecommunication Services – 1.1%
America Movil S.A.B. de C.V.	6		93
America Movil S.A.B. de C.V., Series L (A)	8,818		6,860

			6,953


Total Mexico – 1.1%		$	6,953

Netherlands

Financials – 1.2%
ING Groep N.V., Certicaaten Van Aandelen	630		7,624


Total Netherlands – 1.2%		$	7,624
South Africa

Consumer Discretionary – 1.6%
Naspers Ltd., Class N	73		10,205


Total South Africa – 1.6%		$	10,205
South Korea

Information Technology – 1.3%
Samsung Electronics Co. Ltd.	7		7,996


Total South Korea – 1.3%		$	7,996
Sweden

Information Technology – 1.9%
Telefonaktiebolaget LM Ericsson ADR	161		1,610
Telefonaktiebolaget LM Ericsson, B Shares	1,047		10,487

			12,097


Materials – 2.2%
Svenska Cellulosa Aktiebolaget SCA (publ), Class B	457		14,272


Total Sweden – 4.1%		$	26,369
Switzerland

Consumer Staples – 0.5%
Nestle S.A., Registered Shares	48		3,609


Health Care – 2.4%
Novartis AG ADR	26		1,869
Novartis AG, Registered Shares	90		6,531
Roche Holdings AG, Genusscheine	28		6,917

			15,317

Industrials – 1.6%
Adecco S.A.	156		10,183


Total Switzerland – 4.5%		$	29,109



United Kingdom

Consumer Discretionary – 3.7%
Carnival plc	73		3,917
Marks and Spencer Group plc	1,066		6,218
WPP Group plc	587		13,715

			23,850


Consumer Staples – 4.2%
Diageo plc	233		6,291
Diageo plc ADR	27		2,869
Imperial Tobacco Group plc	159		8,810
Unilever plc	195		8,809

			26,779


Energy – 2.5%
BP plc	1,434		7,211
Royal Dutch Shell plc, Class A	8		182
Royal Dutch Shell plc, Class B	359		8,767

			16,160


Financials – 3.4%
Aviva plc	1,381		9,048
HSBC Holdings plc	594		3,704
Legal & General Group plc	2,743		9,265

			22,017


Health Care – 2.5%
Shire plc	103		5,845
Smith & Nephew plc	609		10,040

			15,885


Industrials – 2.3%
BAE Systems plc	2,012		14,707


Materials – 1.3%
Rio Tinto plc	219		6,162
Rio Tinto plc ADR	71		2,013

			8,175


Total United Kingdom – 19.9%		$	127,573


United States

Consumer Discretionary – 0.8%
Carnival Corp.		101		5,335


Information Technology – 1.9%
Cognizant Technology Solutions Corp., Class A(A)		189		11,858


Total United States – 2.7%			$	17,193

TOTAL COMMON STOCKS – 96.6%			$	618,584
(Cost: $653,144)

SHORT-TERM SECURITIES	Principal

Commercial Paper(B) – 2.5%
Army & Air Force Exchange Service
0.350%, 4–1–16	$	3,612		3,612
NBCUniversal Enterprise, Inc.
0.770%, 4–5–16		3,394		3,394
Novartis Securities Investment Ltd. (GTD by Novartis AG)
0.330%, 4–18–16		6,000		5,999
St. Jude Medical, Inc.
0.480%, 4–19–16		3,000		2,999

				16,004


Master Note – 0.2%
Toyota Motor Credit Corp.
0.443%, 4–6–16(C)		1,327		1,327


TOTAL SHORT-TERM SECURITIES – 2.7%			$	17,331
(Cost: $17,330)

TOTAL INVESTMENT SECURITIES – 99.3%			$	635,915
(Cost: $670,474)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.7%				4,162

NET ASSETS – 100.0%			$	640,077

The following forward foreign currency contracts were outstanding at March 31, 2016:

The following written options were outstanding at March 31, 2016 (contracts and exercise prices unrounded):

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016.


CORPORATE DEBT SECURITIES	Principal		Value
Consumer Discretionary

Apparel Retail – 0.6%
Limited Brands, Inc., 8.500%, 6–15–19	$	1,046	$	1,224
TJX Cos., Inc. (The), 2.750%, 6–15–21		1,000		1,038

				2,262


Apparel, Accessories & Luxury Goods – 1.7%
Hanesbrands, Inc.,
6.375%, 12–15–20		4,718		4,883
LVMH Moet Hennessy–Louis Vuitton,
1.625%, 6–29–17 (A)		1,725		1,736

				6,619


Auto Parts & Equipment – 0.6%
BorgWarner Automotive, Inc.,
8.000%, 10–1–19		2,000		2,358


Automobile Manufacturers – 1.5%
Toyota Motor Credit Corp.:
2.000%, 9–15–16		1,750		1,760
2.000%, 10–24–18		4,000		4,073

				5,833


Cable & Satellite – 2.5%
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc.,
5.875%, 10–1–19		2,592		2,930
Lender Processing Services, Inc. and Black Knight Lending Solutions, Inc.,
5.750%, 4–15–23		1,076		1,114
Time Warner Cable, Inc.,
5.850%, 5–1–17		1,901		1,982
Time Warner Co., Inc. (GTD by Time Warner, Inc.), 7.250%, 10–15–17		3,337		3,617

				9,643


General Merchandise Stores – 1.0%
Dollar General Corp.,
4.125%, 7–15–17		4,000		4,129


Internet Retail – 1.2%
Amazon.com, Inc.:
1.200%, 11–29–17		2,000		2,003
3.800%, 12–5–24		2,520		2,755

				4,758


Leisure Products – 0.2%
Mattel, Inc.,
2.500%, 11–1–16		1,000		1,008


Total Consumer Discretionary – 9.3%				36,610
Consumer Staples

Brewers – 0.5%
Anheuser–Busch InBev S.A./N.V.,
3.300%, 2–1–23		1,815		1,887


Distillers & Vintners – 0.7%
Beam, Inc.,
1.875%, 5–15–17		2,672		2,685


Drug Retail – 0.5%
CVS Caremark Corp.,
2.250%, 12–5–18		2,000		2,049


Food Distributors – 0.7%
Bestfoods,
7.000%, 10–15–17		2,500		2,714


Food Retail – 0.6%
Kroger Co. (The),
6.800%, 12–15–18		2,245		2,534


Packaged Foods & Meats – 1.2%
Hershey Co. (The), 1.600%, 8–21–18		2,000		2,017
Tyson Foods, Inc. (GTD by Tyson Fresh Meats, Inc.), 2.650%, 8–15–19		2,459		2,522

				4,539


Total Consumer Staples – 4.2%				16,408



Energy

Integrated Oil & Gas – 0.4%
Statoil ASA (GTD by Statoil Petroleum AS), 1.950%, 11–8–18	1,500	1,513


Oil & Gas Equipment & Services – 1.1%
Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.), 6.500%, 1–31–19	1,850	2,027
Schlumberger Investment S.A. (GTD by Schlumberger Ltd.), 1.950%, 9–14–16 (A)	1,000	1,003
Schlumberger Norge A.S. (GTD by Schlumberger Ltd.), 1.250%, 8–1–17(A)	1,500	1,489

		4,519


Oil & Gas Exploration & Production – 1.9%
BP Capital Markets plc (GTD by BP plc), 1.674%, 2–13–18	3,750	3,755
ConocoPhillips Co. (GTD by ConocoPhillips), 3.350%, 11–15–24	1,000	967
EQT Corp.,
8.125%, 6–1–19	2,650	2,856

		7,578


Oil & Gas Refining & Marketing – 0.7%
Shell International Finance B.V. (GTD by Royal Dutch Shell plc), 2.000%, 11–15–18	2,625	2,659


Oil & Gas Storage & Transportation – 1.4%
El Paso Corp.,
7.000%, 6–15–17	2,000	2,098
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.), 4.400%, 4–1–21	2,000	1,965
TransCanada PipeLines Ltd.,
3.125%, 1–15–19	1,250	1,264

		5,327


Total Energy – 5.5%		21,596
Financials

Asset Management & Custody Banks – 0.8%
Ares Capital Corp.,
3.875%, 1–15–20	2,820	2,891


Consumer Finance – 5.0%
American Express Credit Corp.,
1.300%, 7–29–16	1,978	1,981
American Honda Finance Corp.:
7.625%, 10–1–18 (A)	1,000	1,143
2.125%, 10–10–18	3,000	3,055
Capital One Financial Corp.,
6.750%, 9–15–17	1,000	1,065
Caterpillar Financial Services Corp.,
1.000%, 11–25–16	3,000	3,006
Discover Financial Services,
3.950%, 11–6–24	3,000	2,966
Ford Motor Credit Co. LLC:
1.500%, 1–17–17	2,200	2,197
5.000%, 5–15–18	1,126	1,189
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.), 4.200%, 3–1–21	1,000	1,033
Hyundai Capital America:
1.875%, 8–9–16 (A)	1,000	1,002
2.875%, 8–9–18 (A)	1,000	1,018

		19,655


Diversified Banks – 4.2%
Ally Financial, Inc.,
5.500%, 2–15–17	1,630	1,660
Bank of America Corp.,
5.650%, 5–1–18	1,000	1,074
Bank of New York Mellon Corp. (The), 2.300%, 9–11–19	2,550	2,614
Bear Stearns Co., Inc. (The), 6.400%, 10–2–17	2,000	2,140
HSBC Bank plc,
3.100%, 5–24–16 (A)	1,000	1,003
HSBC Holdings plc,
3.400%, 3–8–21	1,000	1,021
Huntington Bancshares, Inc.,
3.150%, 3–14–21	1,000	1,015
Huntington National Bank,
2.200%, 11–6–18	1,000	1,004
KeyCorp.,
2.900%, 9–15–20	3,000	3,050
Wachovia Corp.,
5.750%, 2–1–18	1,500	1,615

		16,196


Investment Banking & Brokerage – 2.2%
Goldman Sachs Group, Inc. (The):
5.625%, 1–15–17	2,500	2,579
2.750%, 9–15–20	800	812
Merrill Lynch & Co., Inc.,
6.400%, 8–28–17	2,000	2,126
Morgan Stanley,
2.450%, 2–1–19	3,000	3,045

		8,562


Life & Health Insurance – 2.1%
Aflac, Inc.,
3.625%, 11–15–24	2,204	2,297
Athene Global Funding,
2.875%, 10–23–18 (A)	2,550	2,511
New York Life Global Funding,
1.550%, 11–2–18 (A)	1,500	1,504
Principal Life Global Funding II,
2.625%, 11–19–20 (A)	2,000	2,028

		8,340


Other Diversified Financial Services – 2.5%
Citigroup, Inc.,
1.300%, 11–15–16	2,000	2,003
Fidelity National Financial, Inc.,
6.600%, 5–15–17	1,000	1,046
Fidelity National Information Services, Inc.,
2.850%, 10–15–18	1,100	1,118
JPMorgan Chase & Co.:
6.000%, 1–15–18	1,316	1,417
2.550%, 3–1–21	1,000	1,009
USAA Capital Corp.,
2.450%, 8–1–20 (A)	3,245	3,325

		9,918


Property & Casualty Insurance – 1.4%
ACE INA Holdings, Inc. (GTD by ACE Ltd.),
2.300%, 11–3–20	1,500	1,526
Berkshire Hathaway, Inc.:
2.100%, 8–14–19	3,000	3,058
2.750%, 3–15–23	1,000	1,020

		5,604


Regional Banks – 0.9%
PNC Bank N.A.,
1.300%, 10–3–16	2,000	2,004
PNC Funding Corp. (GTD by PNC Financial Services Group, Inc.),
6.700%, 6–10–19	1,447	1,655

		3,659


Total Financials–19.1%		74,825
Health Care

Biotechnology – 0.6%
Amgen, Inc.,
5.850%, 6–1–17	2,373	2,498


Health Care Services – 0.2%
Quest Diagnostics, Inc.,
3.200%, 4–1–16	544	544


Health Care Supplies – 2.2%
Catholic Health Initiatives,
2.600%, 8–1–18	3,575	3,642
DENTSPLY International, Inc.,
2.750%, 8–15–16	1,000	1,005
Medtronic, Inc.,
3.500%, 3–15–25	2,748	2,933
Stryker Corp.,
2.625%, 3–15–21	1,000	1,020

		8,600

Pharmaceuticals – 0.7%
AbbVie, Inc.,
2.500%, 5–14–20	1,200	1,222
Mylan, Inc.,
1.350%, 11–29–16	1,500	1,490

		2,712


Total Health Care – 3.7%		14,354
Industrials

Aerospace & Defense – 1.7%
BAE Systems Holdings, Inc.,
3.850%, 12–15–25 (A)	1,500	1,544
Exelis, Inc.:
4.250%, 10–1–16	2,150	2,181
5.550%, 10–1–21	460	513
Huntington Ingalls Industries, Inc.,
5.000%, 11–15–25 (A)	2,257	2,364

		6,602


Air Freight & Logistics – 0.7%
FedEx Corp.,
8.000%, 1–15–19	2,252	2,640


Airlines – 1.0%
Southwest Airlines Co.:
5.125%, 3–1–17	2,263	2,339
2.650%, 11–5–20	1,500	1,530

		3,869



Environmental & Facilities Services – 1.9%
Republic Services, Inc.,
3.800%, 5–15–18	4,000	4,171
Waste Management, Inc.:
6.100%, 3–15–18	2,540	2,775
7.100%, 8–1–26	550	716

		7,662


Industrial Conglomerates – 0.7%
General Electric Capital Corp.,
5.012%, 1–1–24	2,586	2,855


Railroads – 0.8%
Burlington Northern Santa Fe Corp.,
5.750%, 3–15–18	2,750	2,991


Trading Companies & Distributors – 0.5%
HD Supply, Inc.,
5.250%, 12–15–21 (A)	2,054	2,157


Total Industrials – 7.3%		28,776
Information Technology

Communications Equipment – 0.8%
Cisco Systems, Inc.,
2.200%, 2–28–21	2,000	2,044
Juniper Networks, Inc.,
3.125%, 2–26–19	1,000	1,017

		3,061


Data Processing & Outsourced Services – 1.2%
Alliance Data Systems Corp.,
6.375%, 4–1–20 (A)	1,000	1,018
Visa, Inc.,
2.800%, 12–14–22	3,375	3,523

		4,541


Electronic Manufacturing Services – 0.8%
Jabil Circuit, Inc.,
7.750%, 7–15–16	3,000	3,043


Semiconductors – 0.3%
Intel Corp.,
2.450%, 7–29–20	1,000	1,035


Systems Software – 1.3%
CA, Inc.,
5.375%, 12–1–19	1,000	1,094
Microsoft Corp.,
2.000%, 11–3–20	4,000	4,100

		5,194


Technology Hardware, Storage & Peripherals – 0.6%
Apple, Inc.,
1.550%, 2–7–20	2,500	2,511


Total Information Technology – 5.0%		19,385
Materials

Diversified Chemicals – 0.2%
Dow Chemical Co. (The),
4.250%, 11–15–20	724	788


Metal & Glass Containers – 0.3%
FBG Finance Ltd.,
7.875%, 6–1–16 (A)	1,000	1,011


Specialty Chemicals – 0.5%
Methanex Corp.,
3.250%, 12–15–19	2,163	2,013


Total Materials – 1.0%		3,812
Telecommunication Services

Integrated Telecommunication Services – 1.4%
CC Holdings GS V LLC,
2.381%, 12–15–17	1,000	1,009
SBA Tower Trust,
2.240%, 4–16–18 (A)	1,700	1,688
Verizon Communications, Inc.,
6.350%, 4–1–19	2,455	2,781

		5,478


Wireless Telecommunication Service – 1.2%
American Tower Corp.:
3.300%, 2–15–21	2,500	2,544
5.900%, 11–1–21	1,000	1,143
Crown Castle Towers LLC,
3.222%, 5–15–22 (A)	1,000	1,001

		4,688


Total Telecommunication Services – 2.6%		10,166
Utilities

Electric Utilities – 1.3%
Entergy Texas, Inc.,
2.550%, 6–1–21	1,275	1,282
Kansas City Power & Light Co.,
7.150%, 4–1–19	2,590	2,980
National Rural Utilities Cooperative Finance Corp.,
1.650%, 2–8–19	1,000	1,003

		5,265


Multi–Utilities – 1.1%
Dominion Resources, Inc.,
6.400%, 6–15–18	3,000		3,264
Dominion Resources, Inc., Series A,
1.400%, 9–15–17	1,000		995

			4,259


Total Utilities – 2.4%			9,524

TOTAL CORPORATE DEBT SECURITIES – 60.1%		$	235,456
(Cost: $232,605)

MORTGAGE–BACKED SECURITIES
Other – 0.2%
CFCRE Commercial Mortgage Trust, Series 2015 –RUM, Class B,
2.577%, 7–15–30 (A)(B)	870		844


TOTAL MORTGAGE–BACKED SECURITIES – 0.2%		$	844
(Cost: $861)

MUNICIPAL BONDS–TAXABLE

California – 0.7%
Alameda Corridor Trans Auth, Taxable Sr Lien Rev Bonds, Ser 1999C,
6.500%, 10–1–19	1,200		1,314
The Regents of the Univ of CA, Gen Rev Bonds, Ser 2013AH,
1.796%, 7–1–19	1,500		1,534

			2,848


TOTAL MUNICIPAL BONDS – TAXABLE – 0.7%		$	2,848
(Cost: $2,813)

UNITED STATES GOVERNMENT AGENCY OBLIGATIONS

Agency Obligations – 1.7%
Federal Home Loan Bank,
2.750%, 3–2–26	2,000		1,993
Ukraine Government AID Bond,
1.844%, 5–16–19	4,500		4,561

			6,554


Mortgage–Backed Obligations – 23.3%
Federal Home Loan Mortgage Corp. Agency REMIC/CMO:
2.699%, 5–25–18	1,050		1,075
3.548%, 2–25–22 (A)(B)	1,000		923
4.000%, 6–15–26	4,165		4,527
4.881%, 7–25–44 (A)(B)	1,100		1,146
4.949%, 8–25–44 (A)(B)	1,000		1,087
4.161%, 9–25–44 (A)(B)	2,000		2,058
4.349%, 12–25–44 (A)(B)	3,047		3,230
3.751%, 2–25–45 (A)(B)	1,906		1,961
4.344%, 1–25–46 (A)(B)	1,000		1,059
4.595%, 11–25–46 (A)(B)	1,557		1,669
4.423%, 12–25–48 (A)(B)	3,625		3,859
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates:
3.000%, 8–1–28	3,885		4,066
3.000%, 9–1–28	3,806		3,984
3.500%, 10–1–28	4,456		4,713
3.000%, 11–1–29	1,675		1,755
4.500%, 8–1–30	1,274		1,393
2.500%, 5–15–44	1,026		1,059
4.286%, 7–25–48 (A)(B)	1,275		1,286


Federal National Mortgage Association Agency REMIC/CMO:
2.990%, 11–1–18	1,700		1,764
3.000%, 2–25–25	2,421		2,551
3.510%, 4–25–29	2,500		2,547
2.375%, 2–24–31	1,500		1,500
2.000%, 4–25–39	1,297		1,291
2.000%, 4–25–40	1,328		1,337
2.500%, 11–25–45	3,622		3,711
Federal National Mortgage Association Fixed Rate Pass–Through Certificates:
4.580%, 6–1–19	3,585		3,904
4.637%, 7–1–20	2,437		2,672
3.680%, 2–1–21	1,336		1,391
4.380%, 6–1–21	1,820		2,022
5.500%, 10–1–21	685		729
5.450%, 10–18–21	4,640		4,753
2.375%, 4–25–28	3,275		3,275
3.000%, 7–1–28	3,664		3,833
3.000%, 9–1–28	1,983		2,074
4.000%, 12–1–31	2,906		3,133
2.000%, 10–25–41	2,458		2,470
2.500%, 12–25–45	3,720		3,808
Government National Mortgage Association Agency REMIC/CMO,
2.000%, 3–16–42	1,608		1,600

			91,215


TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 25.0%		$	97,769
(Cost: $96,976)

UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Obligations – 9.8%
U.S. Treasury Notes:
0.625%, 9–30–17	20,000		19,975
0.750%, 10–31–17	5,000		5,002
2.750%, 2–28–18	9,000		9,345
2.000%, 8–15–25	3,850		3,925

			38,247


TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 9.8%		$	38,247
(Cost: $38,080)

SHORT–TERM SECURITIES

Commercial Paper(C) – 2.9%
Army & Air Force Exchange Service,
0.350%, 4–1–16	3,371		3,371
Danaher Corp.,
0.450%, 4–6–16	4,000		4,000
United Technologies Corp.,
0.470%, 4–13–16	4,000		3,999

			11,370


Master Note – 0.4%
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (D)	1,553		1,553


TOTAL SHORT–TERM SECURITIES – 3.3%		$	12,923
(Cost: $12,923)

TOTAL INVESTMENT SECURITIES – 99.1%		$	388,087
(Cost: $384,258)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.9%			3,694

NET ASSETS – 100.0%		$	391,781

Accounting standards establish a framework for measuring fair value and a three – level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs 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 reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three – tier hierarchy of inputs is summarized as follows:

• Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares		Value
Consumer Discretionary

Auto Parts & Equipment – 3.0%
Motorcar Parts of America, Inc. (A)		41	$	1,542


Broadcasting – 1.7%
Entravision Communications Corp.		114		851


Education Services – 1.5%
2U, Inc. (A)		35		787


Home Improvement Retail – 3.8%
Tile Shop Holdings, Inc. (A)		131		1,947


Leisure Products – 3.3%
Nautilus Group, Inc. (The) (A)		88		1,704


Restaurants – 4.7%
Dave & Buster’s Entertainment, Inc. (A)		22		857
Kona Grill, Inc. (A)		74		959
Potbelly Corp. (A)		46		629

				2,445


Specialty Stores – 3.0%
Sportsman’s Warehouse Holdings, Inc. (A)		123		1,545


Total Consumer Discretionary – 21.0%				10,821
Consumer Staples

Packaged Foods & Meats – 1.2%
Inventure Foods, Inc. (A)		105		592


Personal Products – 2.2%
Inter Parfums, Inc.		37		1,140


Total Consumer Staples – 3.4%				1,732
Energy

Oil & Gas Equipment & Services – 1.4%
Natural Gas Services Group, Inc. (A)		33		714


Oil & Gas Exploration & Production – 0.5%
Laredo Petroleum Holdings, Inc. (A)		35		277


Total Energy – 1.9%				991
Financials

Asset Management & Custody Banks – 1.7%
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		47		900


Total Financials – 1.7%				900
Health Care

Biotechnology – 2.4%
Natera, Inc. (A)		45		426
NewLink Genetics Corp. (A)		13		240
Repligen Corp. (A)		22		588

				1,254


Health Care Equipment – 3.5%
Avinger, Inc. (A)		56		533
K2M Group Holdings, Inc. (A)		45		663
Oxford Immunotec Global plc (A)		62		616

				1,812


Health Care Facilities – 2.1%
Surgical Care Affiliates, Inc. (A)		23		1,079


Health Care Services – 1.6%
Adeptus Health, Inc., Class A (A)		14		805


Health Care Supplies – 3.9%
Endologix, Inc. (A)		97		807
ICU Medical, Inc. (A)		12		1,207

				2,014


Health Care Technology – 6.5%
Evolent Health, Inc., Class A (A)		44		460
Imprivata, Inc. (A)		98		1,235
Omnicell, Inc. (A)		35		976
Press Ganey Holdings, Inc. (A)		23		695

				3,366


Pharmaceuticals – 5.6%
Aerie Pharmaceuticals, Inc. (A)		47		576
Intersect ENT, Inc. (A)		72		1,376
Intra-Cellular Therapies, Inc. (A)		23		628
Revance Therapeutics, Inc. (A)		16		276

				2,856


Total Health Care – 25.6%				13,186
Industrials



Building Products – 3.0%
American Woodmark Corp. (A)		9		701
PGT, Inc. (A)		87		860

				1,561


Construction & Engineering – 2.8%
MYR Group, Inc. (A)		58		1,449


Electrical Components & Equipment – 1.5%
Thermon Group Holdings, Inc. (A)		44		778


Heavy Electrical Equipment – 0.6%
Power Solutions International, Inc. (A)		22		308


Total Industrials – 7.9%				4,096
Information Technology

Application Software – 3.1%
Globant S.A. (A)		6		198
Zix Corp. (A)		352		1,382

				1,580


Communications Equipment – 3.0%
Bookham, Inc. (A)		122		659
Ruckus Wireless, Inc. (A)		89		873

				1,532


Electronic Manufacturing Services – 1.1%
Mercury Computer Systems, Inc. (A)		29		579


Internet Software & Services – 11.9%
comScore, Inc. (A)		39		1,178
Cornerstone OnDemand, Inc. (A)		41		1,347
LogMeIn, Inc. (A)		25		1,241
Q2 Holdings, Inc. (A)		49		1,178
SPS Commerce, Inc. (A)		28		1,181

				6,125


Semiconductor Equipment – 2.0%
PDF Solutions, Inc. (A)		76		1,014


Semiconductors – 2.3%
NVE Corp.		21		1,204


Total Information Technology – 23.4%				12,034
Materials

Specialty Chemicals – 1.4%
Flotek Industries, Inc. (A)		101		738


Total Materials – 1.4%				738
Telecommunication Services

Alternative Carriers – 3.4%
8x8, Inc. (A)		176		1,768


Integrated Telecommunication Services – 1.9%
GTT Communications, Inc. (A)		58		963


Wireless Telecommunication Service – 1.3%
RingCentral, Inc., Class A (A)		42		663


Total Telecommunication Services – 6.6%				3,394

TOTAL COMMON STOCKS – 92.9%			$	47,892
(Cost: $47,791)

SHORT-TERM SECURITIES	Principal
Master Note – 7.1%
Toyota Motor Credit Corp., 0.443%, 4-6-16 (B)	$	3,636		3,636


TOTAL SHORT-TERM SECURITIES – 7.1%			$	3,636
(Cost: $3,636)

TOTAL INVESTMENT SECURITIES – 100.0%			$	51,528
(Cost: $51,427)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0%				8

NET ASSETS – 100.0%			$	51,536

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares		Value
Consumer Discretionary

Apparel Retail – 1.3%
DSW, Inc., Class A		272	$	7,515


Apparel, Accessories & Luxury Goods – 5.4%
Burberry Group plc (A)		334		6,553
Kate Spade & Co. (B)		295		7,524
lululemon athletica, Inc. (B)		83		5,592
Polo Ralph Lauren Corp. (C)		75		7,175
Under Armour, Inc., Class A (B)		61		5,197

				32,041


Auto Parts & Equipment – 1.5%
BorgWarner, Inc.		225		8,657


Homebuilding – 1.6%
D.R. Horton, Inc.		323		9,753


Homefurnishing Retail – 2.8%
Bed Bath & Beyond, Inc. (B)		182		9,057
Williams-Sonoma, Inc.		137		7,495

				16,552


Internet Retail – 1.0%
TripAdvisor, Inc. (B)		88		5,875


Leisure Products – 4.2%
Mattel, Inc.		385		12,960
Polaris Industries, Inc.		125		12,267

				25,227


Restaurants – 1.9%
Dunkin’ Brands Group, Inc. (C)		239		11,294


Specialty Stores – 3.3%
Tiffany & Co.		129		9,471
Tractor Supply Co.		109		9,882

				19,353

Total Consumer Discretionary – 23.0%			136,267
Consumer Staples

Food Retail – 1.5%
Whole Foods Market, Inc.		287		8,917


Packaged Foods & Meats – 5.2%
Blue Buffalo Pet Products, Inc. (B)		235		6,042
Hain Celestial Group, Inc. (The) (B)		239		9,788
Mead Johnson Nutrition Co. (C)		179		15,215

				31,045

Total Consumer Staples – 6.7%			39,962
Energy

Oil & Gas Exploration & Production – 4.3%
Cabot Oil & Gas Corp.		271		6,148
Cimarex Energy Co.		65		6,290
Continental Resources, Inc. (B)		244		7,411
Noble Energy, Inc.		187		5,865

				25,714

Total Energy – 4.3%			25,714
Financials

Asset Management & Custody Banks – 3.4%
Northern Trust Corp.		223		14,538
Oaktree Capital Group LLC		115		5,678

				20,216


Insurance Brokers – 1.8%
Willis Towers Watson plc		89		10,590


Regional Banks – 3.6%
First Republic Bank		157		10,459
Signature Bank (B)		79		10,799

				21,258


Specialized Finance – 2.7%
CME Group, Inc.		166		15,899

Total Financials – 11.5%			67,963
Health Care

Biotechnology – 4.1%
ACADIA Pharmaceuticals, Inc. (B)		144		4,029
Alkermes plc (B)		190		6,508
BioMarin Pharmaceutical, Inc. (B)		101		8,347
Medivation, Inc. (B)		116		5,325

				24,209


Health Care Distributors – 1.3%
Henry Schein, Inc. (B)		43		7,381


Health Care Equipment – 4.3%
Edwards Lifesciences Corp. (B)		90		7,931
Intuitive Surgical, Inc. (B)		29		17,696

				25,627



Health Care Facilities – 0.8%
Acadia Healthcare Co., Inc. (B)	85		4,674


Health Care Services – 2.0%
Diplomat Pharmacy, Inc. (B)	121		3,306
Laboratory Corp. of America Holdings (B)	74		8,699

			12,005


Health Care Supplies – 1.5%
Align Technology, Inc. (B)	123		8,957


Pharmaceuticals – 2.8%
Zoetis, Inc.	378		16,778

Total Health Care – 16.8%		99,631
Industrials

Air Freight & Logistics – 2.0%
Expeditors International of Washington, Inc.	244		11,925


Building Products – 2.5%
Fortune Brands Home & Security, Inc. (C)	263		14,750


Electrical Components & Equipment – 0.8%
Generac Holdings, Inc. (B)	135		5,019


Industrial Machinery – 2.1%
IDEX Corp.	97		8,058
Woodward, Inc.	87		4,511

			12,569


Research & Consulting Services – 3.9%
CoStar Group, Inc. (B)(D)	72		13,595
Verisk Analytics, Inc., Class A (B)	122		9,723

			23,318

Trading Companies & Distributors – 3.6%
Fastenal Co. (C)	430		21,086

Total Industrials – 14.9%		88,667
Information Technology

Application Software – 3.0%
ANSYS, Inc. (B)	95		8,518
Ellie Mae, Inc. (B)	46		4,195
Guidewire Software, Inc. (B)	98		5,347

			18,060


Communications Equipment – 1.4%
Harris Corp.	109		8,510


Electronic Manufacturing Services – 1.4%
Trimble Navigation Ltd. (B)	322		7,993


Home Entertainment Software – 2.8%
Electronic Arts, Inc. (B)(C)	247		16,323


Internet Software & Services – 2.6%
Akamai Technologies, Inc. (B)	42		2,354
GrubHub, Inc. (B)	253		6,369
Pandora Media, Inc. (B)	771		6,899

			15,622


Semiconductors – 3.0%
Maxim Integrated Products, Inc.	65		2,403
Microchip Technology, Inc.	315		15,184

			17,587


Systems Software – 3.0%
Red Hat, Inc. (B)	119		8,848
ServiceNow, Inc. (B)	149		9,143

			17,991


Total Information Technology – 17.2%			102,086
Materials

Fertilizers & Agricultural Chemicals – 1.2%
Scotts Miracle-Gro Co. (The)	100		7,270


Specialty Chemicals – 2.0%
Valspar Corp. (The)	108		11,586


Total Materials – 3.2%			18,856
TOTAL COMMON STOCKS – 97.6%		$579,146
(Cost: $558,607)



PURCHASED OPTIONS	Number of Contracts (Unrounded)
Russell 2000 Index,
Put $1,050.00, Expires 4–8–16, OTC (Ctrpty: Morgan Stanley & Co., Inc.)		211		14
S&P 500 Index,
Put $1,965.00, Expires 4–8–16		81		6
SPDR S&P Midcap 400 ETF Trust,
Put $247.50, Expires 4–8–16, OTC (Ctrpty: Citibank N.A.)		1,025		5


TOTAL PURCHASED OPTIONS – 0.0%			$	25
(Cost: $683)

SHORT-TERM SECURITIES	Principal
Commercial Paper(E) – 2.3%
Army & Air Force Exchange Service,
0.350%, 4–1–16	$	3,353		3,353
John Deere Canada ULC (GTD by Deere & Co.),
0.370%, 4–20–16		5,000		4,999
United Technologies Corp.,
0.470%, 4–13–16		4,000		3,999
Wisconsin Electric Power Co.,
0.400%, 4–4–16		1,000		1,000

				13,351


Master Note – 0.7%
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (F)		4,327		4,327


TOTAL SHORT-TERM SECURITIES – 3.0%			$	17,678
(Cost: $17,678)

TOTAL INVESTMENT SECURITIES – 100.6%			$	596,849
(Cost: $576,968)

LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.6)%				(3,684	)

NET ASSETS – 100.0%			$	593,165

The following written options were outstanding at March 31, 2016 (contracts and exercise prices unrounded):

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016:

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


CORPORATE OBLIGATIONS	Principal		Value

Certificate Of Deposit
Banco del Estado de Chile:
0.788%, 4–14–16 (A)	$	6,300	$	6,300
0.778%, 4–22–16 (A)		3,000		3,000
0.780%, 4–22–16 (A)		6,500		6,500
Bank of America N.A.,
0.670%, 7–6–16		6,000		6,000
Bank of Montreal:
0.781%, 4–7–16 (A)		6,200		6,200
0.781%, 4–17–16 (A)		5,000		5,000
BMO Harris Bank N.A.,
0.770%, 4–7–16 (A)		8,500		8,500
Toyota Motor Credit Corp.,
0.740%, 4–18–16 (A)		8,500		8,500
U.S. Bank National Association,
0.540%, 4–21–16		7,000		7,000


Total Certificate Of Deposit – 10.5%				57,000
Commercial Paper (B)
Air Products and Chemicals, Inc.,
0.480%, 5–2–16		12,800		12,795
American Honda Finance Corp. (GTD by Honda Motor Co.),
0.460%, 5–18–16		2,000		1,999
BMW U.S. Capital LLC (GTD by BMW AG),
0.410%, 4–25–16		2,200		2,199
Corporacion Andina de Fomento:
0.360%, 4–15–16		7,600		7,599
0.370%, 4–18–16		12,600		12,597
0.500%, 6–1–16		5,000		4,996
Essilor International S.A.:
0.500%, 4–1–16		3,660		3,660
0.430%, 4–4–16		5,000		5,000
0.470%, 4–7–16		2,000		2,000
0.450%, 4–14–16		12,000		11,998
0.490%, 4–25–16		3,000		2,999
J.M. Smucker Co. (The),
0.650%, 4–1–16		2,690		2,690
John Deere Financial Ltd. (GTD by John Deere Capital Corp.),
0.410%, 4–28–16		2,000		1,999
Malayan Banking Berhad (GTD by Wells Fargo Bank N.A.):
0.640%, 4–20–16		6,300		6,298
0.440%, 5–5–16		500		500
0.700%, 5–9–16		2,700		2,698
0.690%, 5–19–16		2,250		2,248
0.500%, 6–1–16		550		549
0.490%, 6–16–16		7,300		7,290
Mondelez International, Inc.,
0.570%, 4–1–16		2,690		2,690
Northern Illinois Gas Co.:
0.570%, 4–5–16		12,200		12,199
0.570%, 4–12–16		9,270		9,268
0.570%, 4–13–16		5,500		5,499
Pfizer, Inc.,
0.490%, 5–11–16		1,000		999
River Fuel Co. #2, Inc. (GTD by Bank of Nova Scotia),
0.550%, 4–29–16		14,800		14,793
River Fuel Funding Co. #3, Inc. (GTD by Bank of Nova Scotia),
0.620%, 6–1–16		12,345		12,332
Roche Holdings, Inc.,
0.430%, 4–18–16		4,500		4,499
The Regents of the Univ of CA, Commercial Paper Notes, Ser B (Taxable),
0.420%, 4–11–16		1,000		1,000
Wisconsin Electric Power Co.:
0.400%, 4–4–16		4,150		4,150
0.650%, 4–6–16		2,565		2,565
Wisconsin Gas LLC,
0.400%, 4–8–16		6,000		6,000


Total Commercial Paper – 30.9%				168,108

Master Note
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (A)		9,056		9,056


Total Master Note – 1.7%				9,056



Notes
American Honda Finance Corp.,
0.101%, 5–26–16 (A)	6,050		6,054
Banco del Estado de Chile,
0.780%, 4–26–16 (A)	11,000		11,000
Bank of Nova Scotia (The):
1.140%, 4–17–16 (A)	4,000		4,005
0.780%, 4–19–16 (A)	18,500		18,500
BMO Harris Bank N.A.,
0.890%, 4–18–16 (A)	7,000		7,000
GE Capital International Funding Co.,
0.964%, 4–15–16	24,741		24,744
JPMorgan Chase Bank N.A.:
0.780%, 4–22–16 (A)	1,650		1,650
0.840%, 6–7–16 (A)	4,750		4,750
Rabobank Nederland,
0.680%, 6–1–16 (A)	5,000		5,000
Royal Bank of Canada:
0.740%, 6–12–16 (A)	2,500		2,499
2.300%, 7–20–16	2,113		2,123
Toyota Motor Credit Corp.,
0.630%, 4–14–16 (A)	7,500		7,500
Wells Fargo Bank N.A.:
0.680%, 4–20–16 (A)	3,000		3,000
0.710%, 4–20–16 (A)	7,500		7,500
0.760%, 6–10–16 (A)	3,500		3,500
0.750%, 6–15–16 (A)	4,500		4,500


Total Notes – 20.8%			113,325

TOTAL CORPORATE OBLIGATIONS – 63.9%		$	347,489
(Cost: $347,489)

MUNICIPAL OBLIGATIONS
California – 4.4%
CA Hlth Fac Fin Auth, Var Rate Hosp Rev Bonds (Adventist Hlth Sys/West), Ser 1998B (GTD by U.S. Bank N.A.),
0.360%, 4–1–16 (A)	700		700
CA Infra and Econ Dev Bank, Var Rate Demand Rfdg Rev Bonds (LA Cnty Mus of Nat Hist Fndtn), Ser 2008A (GTD by Wells Fargo Bank N.A.),
0.320%, 4–1–16 (A)	1,900		1,900
CA Muni Fin Auth, Recovery Zone Fac Bonds (Chevron USA, Inc. Proj), Ser 2010C (GTD by Chevron Corp.),
0.340%, 4–1–16 (A)	4,314		4,314
CA Pollutn Ctl Fin Auth, Pollutn Ctl Rfdg Rev Bonds (Pacific Gas and Elec Co.), Ser C (GTD by TD Bank N.A.),
0.450%, 4–1–16 (A)	1,200		1,200
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (Wyndover Apts), Ser 2004 LL (GTD by FNMA),
0.410%, 4–7–16 (A)	2,232		2,232
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (The Crossings Sr Apts/Phase I), Ser 2005 I (GTD by FNMA),
0.410%, 4–7–16 (A)	8,700		8,700
San Francisco City and Cnty, Pub Util Comnty Water Rev, Series A1T (Taxable), (GTD by Royal Bank of Canada),
0.440%, 5–3–16	5,000		5,000

			24,046

Colorado – 1.4%
Castle Rock, CO, Cert of Part, Ser 2008 (GTD by Wells Fargo Bank N.A.),
0.460%, 4–7–16 (A)	2,315		2,315
CO Hsng and Fin Auth, Multifam Hsng Rev Bonds (Greentree Vlg Apts Proj), Ser 2007 (GTD by U.S. Bank N.A.),
0.410%, 4–7–16 (A)	3,100		3,100
Exempla Gen Impvt Dist of Lafayette, CO, Spl Impvt Dist No. 02–01, Spl Assmt Rev Rfdg and Impvt Bonds, Ser 2002 (GTD by Wells Fargo Bank N.A.),
0.450%, 4–7–16 (A)	250		250


Sheridan Redev Agy CO Tax, Var Rfdg S Santa Fe Dr Corridor Redev PJ, Ser A–1 (GTD by JPMorgan Chase & Co.):
0.460%, 4–7–16 (A)	1,500	1,500
0.600%, 4–7–16 (A)	550	550

		7,715


Florida – 0.6%
FL Muni Power Agy, All–Requirements Power Supply Proj Var Rate Demand Rfdg Rev Bonds, Ser 2008C (GTD by Bank of America N.A.),
0.380%, 4–1–16 (A)	3,060	3,060


Georgia – 0.7%
Muni Elec Auth GA, Gen Resolution Proj Bond Anticipation Notes, Ser B (Taxable), (GTD by TD Bank N.A.),
0.450%, 4–6–16	3,850	3,850


Illinois – 0.3%
Elmhurst, IL, Adj Demand Rev Bonds, Joint Comsn on Accred of Hlthcare Org (GTD by JPMorgan Chase Bank N.A.),
0.410%, 4–7–16 (A)	460	460
IL Fin Auth, Var Rate Demand Rev Bonds (The Univ of Chicago Med Ctr), Ser D (GTD by JPMorgan Chase & Co.),
0.350%, 4–1–16 (A)	1,000	1,000

		1,460


Iowa – 0.2%
IA Fin Auth, Var Rate Demand Hlth Fac Rev Bonds (Great River Med Ctr Proj), Ser 2008 (GTD by Great River Medical Center),
0.410%, 4–1–16 (A)	1,065	1,065


Louisiana – 1.5%
LA Pub Fac Auth, Rev Bonds (Air Products and Chemicals Proj), Ser 2009A (GTD by Air Products and Chemicals, Inc.),
0.410%, 4–7–16 (A)	2,350	2,350
LA Pub Fac Auth, Rev Bonds (Air Products and Chemicals Proj), Ser 2008A (GTD by Air Products and Chemicals, Inc.),
0.390%, 4–1–16 (A)	3,941	3,941
Parish of St. Bernard, LA, Exempt Fac Rev Bonds (Mobil Oil Corp. Proj), Ser 1996 (GTD by Exxon Mobil Corp.),
0.370%, 4–1–16 (A)	1,600	1,600

		7,891


Maryland – 0.3%
MD Hlth and Higher Edu Fac Auth Rev Bonds, Anne Arundel Hlth Sys Issue, Ser 2009A (GTD by Toronto Dominion Bank),
0.400%, 4–7–16 (A)	1,370	1,370


Michigan – 0.4%
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds (Air Prods and Chemicals, Inc. Proj), Ser 2007 (GTD by Air Prods and Chemicals, Inc.),
0.390%, 4–1–16 (A)	1,900	1,900


Minnesota – 0.4%
MN Office of Higher Edu, Adj Rate Supplemental Student Loan Prog Rev Bonds, Ser 2008B (Tax–Exempt), (GTD by U.S. Bank N.A.),
0.430%, 4–7–16 (A)	2,000	2,000


Mississippi – 0.0%
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2007B (GTD by Chevron Corp.),
0.380%, 4–1–16 (A)	237	237


Missouri – 0.3%
Kansas City, MO, Var Rate Demand Taxable Spl Oblig Rfdg Bonds (President Hotel Redev Proj), Ser 2009B (GTD by JPMorgan Chase & Co.),
0.400%, 4–7–16 (A)	1,340	1,340


New Jersey – 0.7%
NJ Hlth Care Fac Fin Auth, Rev Bonds, AHS Hosp Corp. Issue, Ser 2008C (GTD by JPMorgan Chase & Co.),
0.400%, 4–7–16 (A)	3,200	3,200
Trap Rock Industries, Inc., Var Demand Bonds, Ser 2005 (GTD by Wachovia Bank N.A.),
0.430%, 4–7–16 (A)	707	707

		3,907


New York – 1.8%
NY Hsng Fin Agy, Related–Caroline Apt Hsng Rev Bonds, Ser 2008A (GTD by Federal Home Loan Mortgage Corp.),
0.410%, 4–7–16 (A)	2,400	2,400
NY State Hsng Fin Agy, Maestro West Chelsea Hsng Rev Bonds, Ser 2015B (GTD by Wells Fargo Bank N.A.),
0.450%, 4–7–16 (A)	2,000	2,000
NYC GO Bonds, Fiscal 2006 Ser E (GTD by Bank of America N.A.),
0.390%, 4–7–16 (A)	2,600	2,600
NYC Hsng Dev Corp., Multi–Fam Mtg Rev Bonds (Target V Apt), Ser 2006A (GTD by Citibank N.A.),
0.390%, 4–7–16 (A)	3,000	3,000

		10,000


Ohio – 0.3%
Columbus Rgnl Arpt Auth, Cap Funding Rev Bonds (OASBO Expanded Asset Pooled Fin Prog), Sr Ser 2006 (GTD by U.S. Bank N.A.),
0.410%, 4–7–16 (A)	1,700	1,700


Oregon – 0.1%
Hosp Fac Auth of Clackamas Cnty, OR, Rev Bonds (Legacy Hlth Sys), Ser 2008B (GTD by U.S. Bank N.A.),
0.400%, 4–7–16 (A)	700	700


South Dakota – 0.7%
SD Hlth and Edu Fac Auth, Var Rate Demand Rev Bonds (Sioux Vly Hosp and Hlth Sys), Ser 2001C (GTD by U.S. Bank N.A.),
0.330%, 4–7–16 (A)	3,700	3,700


Tennessee – 1.0%
Johnson City, TN Hlth and Edu Fac, Hosp Rev Bonds (Mountain States Hlth Alliance), Ser 2013A (GTD by U.S. Bank N.A.),
0.410%, 4–7–16 (A)	5,500	5,500


Texas – 2.1%
Port Arthur Nav Dist Indl Dev Corp., Exempt Fac Var Rate Rev Bonds (Air Products Proj), Ser 2006 (GTD by Air Products and Chemicals, Inc.),
0.390%, 4–1–16 (A)	9,220	9,220
Port Arthur Nav Dist Indl Dev Corp., Exempt Fac Var Rate Rev Bonds (Air Prdts Proj), Ser 2005 (GTD by Air Products and Chemicals, Inc.),
0.390%, 4–1–16 (A)	2,250	2,250

		11,470


Wisconsin – 0.7%
WI Hlth and Edu Fac Auth, Var Rate Demand Rev Bonds (Wausau Hosp, Inc.), Ser 1998B (GTD by JPMorgan Chase Bank N.A.),
0.400%, 4–7–16 (A)	4,000	4,000



Wyoming – 0.4%
Uinta Cnty, WY, Pollutn Ctl Rfdg Rev Bonds (Chevron USA, Inc. Proj), Ser 1992 (GTD by Chevron Corp.),
0.370%, 4–1–16 (A)	2,381		2,381


TOTAL MUNICIPAL OBLIGATIONS – 18.3%		$	99,292
(Cost: $99,292)

UNITED STATES GOVERNMENT OBLIGATIONS
Treasury Bills – 1.8%
U.S. Treasury Bills,
0.540%, 6–30–16	10,000		9,986

Treasury Notes – 1.5%
U.S. Treasury Notes,
0.470%, 4–2–16 (A)	8,000		7,979


TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 3.3%		$	17,965
(Cost: $17,965)

UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
United States Government Agency Obligations – 14.4%
Federal Home Loan Bank:
0.720%, 2–17–17	6,200		6,200
0.790%, 3–30–17	2,550		2,550
Overseas Private Investment Corp. (GTD by U.S. Government):
0.360%, 4–6–16 (A)	6,514		6,514
0.400%, 4–6–16 (A)	16,383		16,384
0.400%, 4–7–16 (A)	42,013		42,013
0.400%, 4–29–16 (A)	5,100		5,100

			78,761


TOTAL UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS – 14.4%		$	78,761
(Cost: $78,761)

TOTAL INVESTMENT SECURITIES – 99.9%		$	543,507
(Cost: $543,507)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1%			276

NET ASSETS – 100.0%		$	543,783

• Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016:

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.

Pathfinder Aggressive


AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Global Growth		1,653	$	13,820
Ivy Funds VIP Growth		1,473		16,236
Ivy Funds VIP International Core Equity		625		9,263
Ivy Funds VIP Limited-Term Bond		1,775		8,780
Ivy Funds VIP Mid Cap Growth		850		7,946
Ivy Funds VIP Small Cap Growth		733		7,171
Ivy Funds VIP Small Cap Value		502		8,093
Ivy Funds VIP Value		1,309		7,848


TOTAL AFFILIATED MUTUAL FUNDS – 99.2%				$79,157
(Cost: $85,819)

SHORT-TERM SECURITIES	Principal
Master Note – 0.8%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (A)	$	600		600


TOTAL SHORT-TERM SECURITIES – 0.8%				$600
(Cost: $600)

TOTAL INVESTMENT SECURITIES – 100.0%				$79,757
(Cost: $86,419)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0%				4

NET ASSETS – 100.0%				$79,761

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between any levels.

Pathfinder Moderate – Managed Volatility


AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Dividend Opportunities		8,239	$	63,312
Ivy Funds VIP Global Growth		6,094		50,958
Ivy Funds VIP Growth		5,334		58,782
Ivy Funds VIP International Core Equity		1,904		28,229
Ivy Funds VIP Limited-Term Bond		9,183		45,415
Ivy Funds VIP Mid Cap Growth		1,778		16,624
Ivy Funds VIP Money Market		83,572		83,572
Ivy Funds VIP Small Cap Growth		2,719		26,614
Ivy Funds VIP Small Cap Value		1,310		21,122
Ivy Funds VIP Value		3,413		20,461


TOTAL AFFILIATED MUTUAL FUNDS – 96.9%			$	415,089
(Cost: $443,557)

SHORT-TERM SECURITIES	Principal
Commercial Paper (A) – 1.8%
Harley-Davidson Financial Services (GTD by Harley-Davidson Credit Corp.), 0.500%, 4-26–16	$	6,000		5,998
McCormick & Co., Inc., 0.470%, 4–27–16		2,000		1,999

				7,997


Master Note – 1.3%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (B)		5,394		5,394

TOTAL SHORT-TERM SECURITIES – 3.1%			$	13,391
(Cost: $13,390)

TOTAL INVESTMENT SECURITIES – 100.0%			$	428,480
(Cost: $456,947)

CASH AND OTHER ASSETS, NET OF LIABILITIES(C) – 0.0%				139

NET ASSETS – 100.0%			$	428,619

The following futures contracts were outstanding at March 31, 2016 (contracts unrounded):

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


Pathfinder Moderate

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Dividend Opportunities		17,244	$	132,513
Ivy Funds VIP Global Growth		12,722		106,387
Ivy Funds VIP Growth		11,176		123,156
Ivy Funds VIP International Core Equity		3,953		58,614
Ivy Funds VIP Limited-Term Bond		19,205		94,982
Ivy Funds VIP Mid Cap Growth		3,688		34,476
Ivy Funds VIP Money Market		174,790		174,790
Ivy Funds VIP Small Cap Growth		5,585		54,663
Ivy Funds VIP Small Cap Value		2,719		43,846
Ivy Funds VIP Value		7,095		42,539


TOTAL AFFILIATED MUTUAL FUNDS – 100.0%			$	865,966
(Cost: $892,117)

SHORT-TERM SECURITIES	Principal
Master Note – 0.1%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (A)	$	1,119		1,119

TOTAL SHORT-TERM SECURITIES – 0.1%			$	1,119
(Cost: $1,119)

TOTAL INVESTMENT SECURITIES – 100.1%			$	867,085
(Cost: $893,236)

LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)%				(553	)

NET ASSETS – 100.0%			$	866,532

(A) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2016. Date shown represents the date that the variable rate resets.

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio investments by the fair value hierarchy levels as of March 31, 2016. See Note 3 to the Financial Statements for further information regarding fair value measurement.


Pathfinder Moderately Aggressive – Managed Volatility

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Dividend Opportunities		1,303	$	10,015
Ivy Funds VIP Global Growth		962		8,048
Ivy Funds VIP Growth		844		9,297
Ivy Funds VIP International Core Equity		514		7,625
Ivy Funds VIP Limited-Term Bond		1,454		7,190
Ivy Funds VIP Mid Cap Growth		350		3,275
Ivy Funds VIP Money Market		6,615		6,615
Ivy Funds VIP Small Cap Growth		487		4,767
Ivy Funds VIP Small Cap Value		331		5,331
Ivy Funds VIP Value		538		3,227


TOTAL AFFILIATED MUTUAL FUNDS – 97.4%			$	65,390
(Cost: $72,133)

SHORT-TERM SECURITIES	Principal
Master Note – 2.4%
Toyota Motor Credit Corp., 0.443%, 4-6-16 (A)	$	1,642		1,642


TOTAL SHORT-TERM SECURITIES – 2.4%			$	1,642
(Cost: $1,642)

TOTAL INVESTMENT SECURITIES – 99.8%			$	67,032
(Cost: $73,775)

CASH AND OTHER ASSETS, NET OF LIABILITIES (B) – 0.2%				162

NET ASSETS – 100.0%			$	67,194

The following futures contracts were outstanding at March 31, 2016 (contracts unrounded):

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


Pathfinder Moderately Aggressive

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Dividend Opportunities		20,387	$	156,665
Ivy Funds VIP Global Growth		15,041		125,783
Ivy Funds VIP Growth		13,214		145,608
Ivy Funds VIP International Core Equity		8,012		118,803
Ivy Funds VIP Limited-Term Bond		22,705		112,290
Ivy Funds VIP Mid Cap Growth		5,451		50,956
Ivy Funds VIP Money Market		103,319		103,319
Ivy Funds VIP Small Cap Growth		7,547		73,866
Ivy Funds VIP Small Cap Value		5,143		82,947
Ivy Funds VIP Value		8,388		50,293


TOTAL AFFILIATED MUTUAL FUNDS – 100.0%			$	1,020,530
(Cost: $1,057,169)

SHORT-TERM SECURITIES	Principal

Master Note – 0.0%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (A)	$	269		269


TOTAL SHORT-TERM SECURITIES – 0.0%			$	269
(Cost: $269)

TOTAL INVESTMENT SECURITIES – 100.0%			$	1,020,799
(Cost: $1,057,438)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0%				295

NET ASSETS – 100.0%			$	1,021,094

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Dividend Opportunities		926	$	7,119
Ivy Funds VIP Global Growth		467		3,908
Ivy Funds VIP Growth		692		7,624
Ivy Funds VIP International Core Equity		246		3,652
Ivy Funds VIP Limited-Term Bond		1,747		8,640
Ivy Funds VIP Mid Cap Growth		230		2,151
Ivy Funds VIP Money Market		13,564		13,564
Ivy Funds VIP Small Cap Growth		300		2,940
Ivy Funds VIP Small Cap Value		102		1,641
Ivy Funds VIP Value		442		2,649


TOTAL AFFILIATED MUTUAL FUNDS – 96.8%			$	53,888
(Cost: $57,364)

SHORT-TERM SECURITIES	Principal
Master Note – 3.1%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (A)	$	1,749		1,749


TOTAL SHORT-TERM SECURITIES – 3.1%			$	1,749
(Cost: $1,749)

TOTAL INVESTMENT SECURITIES – 99.9%			$	55,637
(Cost: $59,113)

CASH AND OTHER ASSETS, NET OF LIABILITIES(B) – 0.1%				34

NET ASSETS – 100.0%			$	55,671

The following futures contracts were outstanding at March 31, 2016 (contracts unrounded):

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio investments by the fair value hierarchy levels as of March 31, 2016:

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


Pathfinder Moderately Conservative

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Dividend Opportunities		4,535	$	34,851
Ivy Funds VIP Global Growth		2,285		19,106
Ivy Funds VIP Growth		3,392		37,376
Ivy Funds VIP International Core Equity		1,199		17,782
Ivy Funds VIP Limited-Term Bond		8,538		42,224
Ivy Funds VIP Mid Cap Growth		1,119		10,458
Ivy Funds VIP Money Market		66,294		66,294
Ivy Funds VIP Small Cap Growth		1,452		14,208
Ivy Funds VIP Small Cap Value		495		7,981
Ivy Funds VIP Value		2,152		12,906

TOTAL AFFILIATED MUTUAL FUNDS – 99.8%			$	263,186
(Cost: $272,620)

SHORT-TERM SECURITIES	Principal
Master Note – 0.2%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (A)	$	562		562


TOTAL SHORT-TERM SECURITIES – 0.2%			$	562
(Cost: $562)

TOTAL INVESTMENT SECURITIES – 100.0%			$	263,748
(Cost: $273,182)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0%				37

NET ASSETS – 100.0%			$	263,785

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


Pathfinder Conservative

AFFILIATED MUTUAL FUNDS	Shares		Value
Ivy Funds VIP Dividend Opportunities		1,929	$	14,823
Ivy Funds VIP Global Growth		301		2,521
Ivy Funds VIP Growth		1,339		14,758
Ivy Funds VIP International Core Equity		360		5,337
Ivy Funds VIP Limited-Term Bond		4,104		20,298
Ivy Funds VIP Mid Cap Growth		357		3,335
Ivy Funds VIP Money Market		39,471		39,471
Ivy Funds VIP Small Cap Growth		514		5,027
Ivy Funds VIP Small Cap Value		140		2,262
Ivy Funds VIP Value		732		4,388


TOTAL AFFILIATED MUTUAL FUNDS – 99.4%			$	112,220
(Cost: $116,276)

SHORT-TERM SECURITIES	Principal
Master Note – 0.2%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (A)	$	173		173


TOTAL SHORT-TERM SECURITIES – 0.2%			$	173
(Cost: $173)

TOTAL INVESTMENT SECURITIES – 99.6%			$	112,393
(Cost: $116,449)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.4%				428

NET ASSETS – 100.0%			$	112,821

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio investments by the fair value hierarchy levels as of March 31, 2016.

During the period ended March 31, 2016, there were no transfers between any levels.


COMMON STOCKS	Shares		Value
Financials

Diversified REITs – 0.5%
STORE Capital Corp.		10	$	248


Health Care REITs – 5.2%
Care Capital Properties, Inc.		6		164
HCP, Inc.		5		176
Health Care, Inc.		30		2,087
Physicians Realty Trust		5		96

				2,523


Hotel & Resort REITs – 1.2%
Chesapeake Lodging Trust		9		228
Pebblebrook Hotel Trust		13		375

				603


Industrial REITs – 6.8%
DCT Industrial Trust, Inc.		13		530
First Industrial Realty Trust, Inc.		30		685
ProLogis		47		2,086

				3,301


Office REITs – 16.5%
Alexandria Real Estate Equities, Inc.		10		918
Boston Properties, Inc.		15		1,932
Douglas Emmett, Inc.		21		635
Duke Realty Corp.		44		983
Highwoods Properties, Inc.		15		693
Kilroy Realty Corp.		11		681
SL Green Realty Corp.		12		1,153
Vornado Realty Trust		11		1,038

				8,033


Residential REITs – 22.1%
American Campus Communities, Inc.		19		881
Apartment Investment and Management Co., Class A		9		376
AvalonBay Communities, Inc.		12		2,370
Camden Property Trust		11		916
Education Realty Trust, Inc.		4		179
Equity Lifestyle Properties, Inc.		8		574
Equity Residential		24		1,802
Essex Property Trust, Inc.		9		2,117
Sun Communities, Inc.		7		473
UDR, Inc.		29		1,124

				10,812


Retail REITs – 23.2%
Acadia Realty Trust		4		131
Brixmor Property Group, Inc.		16		407
Federal Realty Investment Trust		4		655
General Growth Properties, Inc.		45		1,346
Kimco Realty Corp.		38		1,097
Macerich Co. (The)		12		943
National Retail Properties, Inc.		2		69
Regency Centers Corp.		10		771
Simon Property Group, Inc.		25		5,117
Weingarten Realty Investors		21		799

				11,335



Specialized REITs – 18.6%
CubeSmart		24	812
Digital Realty Trust, Inc.		13	1,186
Extra Space Storage, Inc.		13	1,168
Host Hotels & Resorts, Inc.		65	1,091
LaSalle Hotel Properties		4	109
Public Storage, Inc.		10	2,704
RLJ Lodging Trust		17	398
Sunstone Hotel Investors, Inc.		19	270
Ventas, Inc.		21	1,347

			9,085


Total Financials – 94.1%			45,940
Industrials

Office Services & Supplies – 0.6%
CyrusOne, Inc.		6	288


Total Industrials – 0.6%			288
Information Technology

Internet Software & Services – 3.9%
Equinix, Inc.		6	1,881


Total Information Technology – 3.9%			1,881

TOTAL COMMON STOCKS – 98.6%			$48,109
(Cost: $41,714)

SHORT-TERM SECURITIES	Principal
Master Note – 0.3%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (A)	$	149	149


TOTAL SHORT-TERM SECURITIES – 0.3%			$149
(Cost: $149)

TOTAL INVESTMENT SECURITIES – 98.9%			$48,258
(Cost: $41,863)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.1%			555

NET ASSETS – 100.0%			$48,813

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016:

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares		Value
Consumer Discretionary

Consumer Electronics – 2.5%
Garmin Ltd.		149	$	5,962
Harman International Industries, Inc.		79		7,016

				12,978


Total Consumer Discretionary – 2.5%				12,978
Consumer Staples

Agricultural Products – 0.2%
Arcadia Biosciences, Inc. (A)		299		832


Total Consumer Staples—0.2%				832
Financials

Specialized REITs – 1.4%
QTS Realty Trust, Inc., Class A		159		7,519


Total Financials – 1.4%				7,519
Health Care

Biotechnology – 6.8%
Evogene Ltd. (A)		175		1,142
FibroGen, Inc. (A)		113		2,404
Isis Pharmaceuticals, Inc. (A)		342		13,863
Seres Therapeutics, Inc. (A)		32		842
Spark Therapeutics, Inc. (A)		12		345
Vertex Pharmaceuticals, Inc. (A)		216		17,202

				35,798


Health Care Equipment – 0.2%
Avinger, Inc. (A)		133		1,278


Health Care Facilities – 2.4%
Tenet Healthcare Corp. (A)		429		12,423


Health Care Technology – 3.1%
Cerner Corp. (A)		308		16,290


Life Sciences Tools & Services – 1.8%
PRA Health Sciences, Inc. (A)		228		9,754


Pharmaceuticals – 3.0%
Teva Pharmaceutical Industries Ltd. ADR		295		15,807


Total Health Care – 17.3%				91,350
Industrials

Building Products – 0.8%
Advanced Drainage Systems, Inc.		205		4,358


Construction & Engineering – 0.2%
Abengoa S.A., Class B ADR		536		766


Industrial Machinery – 2.1%
Pentair, Inc.		204		11,069


Total Industrials – 3.1%				16,193
Information Technology

Application Software – 11.1%
ACI Worldwide, Inc. (A)		876		18,218
Aspen Technology, Inc. (A)		669		24,160
Globant S.A. (A)		151		4,660
Mobileye N.V. (A)		96		3,591
Silver Spring Networks, Inc. (A)		552		8,147

				58,776


Data Processing & Outsourced Services – 14.5%
Alliance Data Systems Corp. (A)		112		24,728
Euronet Worldwide, Inc. (A)(B)		339		25,111
EVERTEC, Inc.		167		2,336
First Data Corp., Class A (A)		209		2,698
QIWI plc ADR		223		3,225
WNS (Holdings) Ltd. ADR (A)		611		18,715

				76,813


Electronic Components – 2.1%
Universal Display Corp. (A)		208		11,242


Internet Software & Services – 10.3%
21Vianet Group, Inc. ADR(A)		81		1,620
Alibaba Group Holding Ltd. ADR (A)		73		5,777
Alphabet, Inc., Class A (A)		13		10,223
Alphabet, Inc., Class C (A)		18		13,285
Facebook, Inc., Class A (A)		150		17,081
Pandora Media, Inc. (A)		280		2,503
Twitter, Inc. (A)		236		3,909

				54,398



IT Consulting & Other Services – 4.1%
Acxiom Corp. (A)		654		14,028
CSRA, Inc.		136		3,645
Virtusa Corp. (A)		112		4,196

				21,869


Semiconductor Equipment – 1.4%
Nanometrics, Inc. (A)		154		2,438
Photronics, Inc. (A)		473		4,921

				7,359


Semiconductors – 17.2%
Cypress Semiconductor Corp.		874		7,568
Dialog Semiconductor plc (A)(C)		139		5,485
Marvell Technology Group Ltd.		506		5,215
Micron Technology, Inc. (A)		1,679		17,574
Microsemi Corp. (A)		533		20,423
NXP Semiconductors N.V. (A)		198		16,019
Rambus, Inc. (A)		667		9,164
Semtech Corp. (A)		367		8,079
Silicon Laboratories, Inc. (A)		26		1,156

				90,683


Systems Software – 4.0%
Microsoft Corp.		380		20,987


Technology Hardware, Storage & Peripherals – 0.7%
Hewlett Packard Enterprise Co.		220		3,904


Total Information Technology – 65.4%				346,031
Materials

Commodity Chemicals – 0.4%
BioAmber, Inc. (A)		480		2,017


Fertilizers & Agricultural Chemicals – 0.0%
Marrone Bio Innovations, Inc. (A)		280		252


Total Materials – 0.4%				2,269
Telecommunication Services

Alternative Carriers – 1.5%
Zayo Group Holdings, Inc. (A)		324		7,842


Total Telecommunication Services – 1.5%				7,842
Utilities

Renewable Electricity – 0.9%
Abengoa Yield plc		283		5,033


Total Utilities – 0.9%				5,033

TOTAL COMMON STOCKS – 92.7%			$	490,047
(Cost: $364,039)

WARRANTS
Commodity Chemicals – 0.1%
BioAmber, Inc., expires 5–9–17 (D)		201		353


Fertilizers & Agricultural Chemicals – 0.0%
Marrone Bio Innovations, Inc., expires 8–20–23 (D)(E)		230		—	^*


TOTAL WARRANTS – 0.1%			$	353
(Cost: $24)

PURCHASED OPTIONS	Number of Contracts (Unrounded)
Xerox Corp.,
Call $11.00, Expires 4–15–16, OTC (Ctrpty: Societe Generale Bank)		2,861		92


TOTAL PURCHASED OPTIONS – 0.0%			$	92
(Cost: $141)



CORPORATE DEBT SECURITIES	Principal
Materials

Fertilizers & Agricultural Chemicals – 0.4%
Marrone Bio Innovations, Inc., 8.000%, 8–20–20 (E)	$	2,300		2,298


Total Materials – 0.4%				2,298

TOTAL CORPORATE DEBT SECURITIES – 0.4%			$	2,298
(Cost: $2,300)

SHORT-TERM SECURITIES
Commercial Paper(F) – 6.5%
BorgWarner, Inc.,
0.610%, 4–5–16		5,000		5,000
Caterpillar Financial Services Corp. (GTD by Caterpillar, Inc.),
0.350%, 4–6–16		3,000		3,000
Essilor International S.A.:
0.430%, 4–4–16		3,000		3,000
0.400%, 5–2–16		5,000		4,998
Harley-Davidson Financial Services (GTD by Harley-Davidson Credit Corp.),
0.500%, 5–3–16		5,000		4,998
John Deere Canada ULC (GTD by Deere & Co.):
0.370%, 4–20–16		4,500		4,499
0.390%, 4–26–16		5,000		4,998
Rockwell Automation, Inc.,
0.440%, 4–13–16		4,000		3,999

				34,492


Master Note – 0.6%
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (G)		3,260		3,260


TOTAL SHORT-TERM SECURITIES – 7.1%			$	37,752
(Cost: $37,751)

TOTAL INVESTMENT SECURITIES – 100.3%			$	530,542
(Cost: $404,255)

LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.3)%				(1,542	)

NET ASSETS – 100.0%			$	529,000

The total value of these securities represented 0.4% of net assets at March 31, 2016.

The following written options were outstanding at March 31, 2016 (contracts and exercise prices unrounded):

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

During the period ended March 31, 2016, securities totaling $284 were transferred from Level 1 to Level 2 due to the lack of observable market data due to decreased market activity or information for these securities. Transfers out of Level 1 represent the values as of the beginning of the reporting period.


COMMON STOCKS	Shares		Value
Consumer Discretionary

Apparel Retail – 1.6%
Citi Trends, Inc.		192	$	3,429
Francesca’s Holdings Corp. (A)		161		3,075

				6,504


Auto Parts & Equipment – 2.7%
Motorcar Parts of America, Inc. (A)		286		10,854


Automotive Retail – 1.5%
Lithia Motors, Inc.		66		5,735


Casinos & Gaming – 1.3%
Penn National Gaming, Inc. (A)		315		5,262


Footwear – 2.6%
Skechers USA, Inc. (A)		338		10,278


Home Improvement Retail – 0.8%
Tile Shop Holdings, Inc. (A)		200		2,975


Homebuilding – 1.3%
Installed Building Products, Inc. (A)		60		1,596
LGI Homes, Inc. (A)		148		3,590

				5,186


Leisure Facilities – 2.7%
Vail Resorts, Inc.		81		10,816

Leisure Products – 1.7%
Nautilus Group, Inc. (The) (A)		348		6,716


Movies & Entertainment – 1.3%
IMAX Corp. (A)		171		5,310


Restaurants – 2.7%
Carrols Restaurant Group, Inc. (A)		174		2,510
Chuy’s Holdings, Inc. (A)		134		4,157
Dave & Buster’s Entertainment, Inc. (A)		100		3,893

				10,560


Specialty Stores – 1.4%
Five Below, Inc. (A)		129		5,325


Total Consumer Discretionary – 21.6%				85,521
Consumer Staples

Packaged Foods & Meats – 2.5%
Lance, Inc.		311		9,792


Total Consumer Staples – 2.5%				9,792
Energy

Oil & Gas Equipment & Services – 0.5%
Matrix Service Co. (A)		115		2,041


Oil & Gas Exploration & Production – 1.2%
Parsley Energy, Inc., Class A (A)		216		4,884


Total Energy – 1.7%				6,925
Financials

Consumer Finance – 1.7%
Portfolio Recovery Associates, Inc. (A)		236		6,927


Regional Banks – 1.6%
Banc of California, Inc.		183		3,196
Renasant Corp.		90		2,952

				6,148


Thrifts & Mortgage Finance – 3.0%
LendingTree, Inc. (A)		122		11,880


Total Financials – 6.3%				24,955
Health Care

Biotechnology – 1.4%
Eagle Pharmaceuticals, Inc. (A)		44		1,786
Insys Therapeutics, Inc. (A)		104		1,658
Ligand Pharmaceuticals, Inc. (A)		19		1,992

				5,436


Health Care Equipment – 8.1%
AtriCure, Inc. (A)		268		4,507
DexCom, Inc. (A)		93		6,298
Inogen, Inc. (A)		143		6,446
K2M Group Holdings, Inc. (A)		649		9,617
Nevro Corp. (A)		93		5,227

				32,095


Health Care Facilities – 3.4%
Acadia Healthcare Co., Inc. (A)	115	6,331
Surgical Care Affiliates, Inc. (A)	152	7,032

		13,363


Health Care Services – 4.5%
AMN Healthcare Services, Inc. (A)	349	11,716
ExamWorks Group, Inc. (A)	213	6,297

		18,013


Health Care Supplies – 1.1%
Vascular Solutions, Inc. (A)	136	4,409


Pharmaceuticals – 1.3%
Akorn, Inc. (A)	130	3,057
Revance Therapeutics, Inc. (A)	124	2,162

		5,219


Total Health Care – 19.8%		78,535
Industrials

Building Products – 5.4%
American Woodmark Corp. (A)	117	8,742
Apogee Enterprises, Inc.	154	6,761
Insteel Industries, Inc.	99	3,014
Trex Co., Inc. (A)	62	2,972

		21,489


Construction & Engineering – 1.3%
Comfort Systems USA, Inc.	153	4,867


Industrial Machinery – 2.2%
John Bean Technologies Corp.	85	4,806
Woodward, Inc.	77	3,980

		8,786


Total Industrials – 8.9%		35,142
Information Technology

Application Software – 9.2%
BroadSoft, Inc. (A)	222	8,958
Ellie Mae, Inc. (A)	52	4,686
HubSpot, Inc. (A)	105	4,567
Paycom Software, Inc. (A)	124	4,407
Tyler Technologies, Inc. (A)	62	7,967
Ultimate Software Group, Inc. (The) (A)	31	6,059

		36,644


Communications Equipment – 4.1%
Applied Optoelectronics, Inc. (A)	240	3,574
Dycom Industries, Inc. (A)	193	12,481

		16,055


Home Entertainment Software – 3.2%
Take-Two Interactive Software, Inc. (A)	341	12,834


Internet Software & Services – 2.0%
Demandware, Inc. (A)	110	4,293
LogMeIn, Inc. (A)	72	3,628

		7,921


IT Consulting & Other Services – 0.5%
Luxoft Holding, Inc., Class A (A)	36	1,965


Semiconductor Equipment – 1.7%
MaxLinear, Inc., Class A (A)	357	6,606


Semiconductors – 7.7%
Himax Technologies, Inc. ADR	465	5,230
Integrated Device Technology, Inc. (A)	583	11,916
Mellanox Technologies Ltd. (A)	158	8,573
Silicon Motion Technology Corp. ADR	128	4,960

		30,679


Systems Software – 2.5%
Gigamon, Inc. (A)	178	5,528
Imperva, Inc. (A)	86	4,358

		9,886


Total Information Technology – 30.9%		122,590
Materials

Construction Materials – 1.4%
U.S. Concrete, Inc. (A)	92	5,482


Specialty Chemicals – 0.7%
Flotek Industries, Inc.(A)	409	2,994


Total Materials – 2.1%		8,476


Telecommunication Services

Wireless Telecommunication Service – 0.8%
RingCentral, Inc., Class A (A)		215		3,389


Total Telecommunication Services – 0.8%			3,389

TOTAL COMMON STOCKS – 94.6%			$	375,325
(Cost: $346,406)

SHORT-TERM SECURITIES	Principal
Commercial Paper(B) – 4.4%
Caterpillar Financial Services Corp. (GTD by Caterpillar, Inc.),
0.350%, 4–6–16	$	2,000		2,000
Ecolab, Inc.,
0.700%, 4–7–16		4,000		4,000
John Deere Financial Ltd. (GTD by John Deere Capital Corp.),
0.360%, 4–19–16		5,000		4,999
Mondelez International, Inc.,
0.570%, 4–1–16		2,059		2,059
Wisconsin Gas LLC,
0.440%, 4–14–16		4,000		3,999

				17,057


Master Note – 0.4%
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (C)		1,777		1,777


TOTAL SHORT-TERM SECURITIES – 4.8%			$	18,834
(Cost: $18,834)

TOTAL INVESTMENT SECURITIES – 99.4%			$	394,159
(Cost: $365,240)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.6%				2,578

NET ASSETS – 100.0%			$	396,737

(C) Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2016. Date shown represents the date that the variable rate resets.

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2016:

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares		Value
Consumer Discretionary

Automotive Retail – 4.4%
Monro Muffler Brake, Inc.		199	$	14,228


Movies & Entertainment – 2.7%
AMC Entertainment Holdings, Inc., Class A		181		5,061
Carmike Cinemas, Inc.(A)		120		3,593

				8,654


Restaurants – 1.0%
Cheesecake Factory, Inc. (The)		61		3,246


Total Consumer Discretionary – 8.1%				26,128
Consumer Staples

Food Retail – 2.8%
Smart & Final Stores, Inc.(A)		550		8,906


Packaged Foods & Meats – 3.4%
Pinnacle Foods, Inc.		71		3,181
TreeHouse Foods, Inc.(A)		91		7,882

				11,063


Total Consumer Staples – 6.2%				19,969
Energy

Oil & Gas Equipment & Services – 1.0%
U.S. Silica Holdings, Inc.		143		3,253


Oil & Gas Exploration & Production – 4.0%
EnCana Corp.		268		1,631
Laredo Petroleum Holdings, Inc. (A)		1,047		8,303
Parsley Energy, Inc., Class A (A)		67		1,519
Whiting Petroleum Corp. (A)		174		1,385

				12,838


Total Energy – 5.0%				16,091
Financials

Hotel & Resort REITs – 0.9%
Pebblebrook Hotel Trust		99		2,878


Office REITs – 2.5%
Highwoods Properties, Inc.		126		6,005
Mack-Cali Realty Corp.		92		2,160

				8,165


Property & Casualty Insurance – 1.3%
Argo Group International Holdings Ltd.		74		4,250


Regional Banks – 9.9%
BankUnited, Inc.		354		12,202
PrivateBancorp, Inc.		49		1,876
Synovus Financial Corp.		83		2,407
Webster Financial Corp.		346		12,439
Western Alliance Bancorporation(A)		94		3,128

				32,052


Reinsurance – 4.1%
Endurance Specialty Holdings Ltd.		69		4,508
Reinsurance Group of America, Inc.		91		8,749

				13,257


Retail REITs – 2.1%
Kite Realty Group Trust		238		6,587


Specialized REITs – 1.5%
Entertainment Properties Trust		73		4,896


Total Financials – 22.3%				72,085
Health Care

Health Care Facilities – 2.0%
LifePoint Health, Inc. (A)		96		6,637


Total Health Care – 2.0%				6,637
Industrials

Aerospace & Defense – 2.0%
Hexcel Corp.		147		6,443


Building Products – 2.1%
Continental Building Products, Inc. (A)		368		6,826


Commercial Printing – 1.3%
Deluxe Corp.		69		4,296


Construction Machinery & Heavy Trucks – 1.5%
Manitowoc Co., Inc. (The)		489		2,119
Manitowoc Co., Inc. (The) (A)		178		2,625

				4,744


Diversified Support Services – 1.1%
G&K Services, Inc. (A)		51		3,726


Heavy Electrical Equipment – 0.8%
Babcock & Wilcox Enterprises, Inc. (A)		116		2,476


Industrial Machinery – 2.7%
Woodward, Inc.		167		8,706


Marine – 1.6%
Kirby Corp. (A)		88		5,281


Office Services & Supplies – 1.3%
Avery Dennison Corp.		58		4,189


Trading Companies & Distributors – 2.7%
Beacon Roofing Supply, Inc. (A)		211		8,663


Trucking – 2.7%
Marten Transport Ltd.		138		2,581
Swift Transportation Co. (A)		117		2,182
YRC Worldwide, Inc. (A)		431		4,020

				8,783


Total Industrials – 19.8%				64,133
Information Technology

Communications Equipment – 0.8%
Bookham, Inc. (A)		456		2,461


Data Processing & Outsourced Services – 1.5%
Wright Express Corp. (A)		59		4,903


Home Entertainment Software – 4.6%
Take-Two Interactive Software, Inc. (A)		395		14,872


IT Consulting & Other Services – 3.1%
Computer Sciences Corp.		114		3,903
Science Applications International Corp.		118		6,273

				10,176


Semiconductor Equipment – 1.5%
Teradyne, Inc.		223		4,823


Semiconductors – 2.8%
Cypress Semiconductor Corp.		527		4,567
Fairchild Semiconductor International, Inc. (A)		226		4,520

				9,087


Technology Distributors – 0.7%
Ingram Micro, Inc., Class A		62		2,230


Total Information Technology – 15.0%				48,552
Materials

Aluminum – 2.5%
Kaiser Aluminum Corp.		94		7,949


Commodity Chemicals – 2.5%
Axiall Corp.		374		8,168


Fertilizers & Agricultural Chemicals – 2.9%
Scotts Miracle-Gro Co. (The)		130		9,467


Gold – 1.7%
Kinross Gold Corp. (A)		1,624		5,523


Specialty Chemicals – 3.1%
Flotek Industries, Inc. (A)		488		3,579
H.B. Fuller Co.		17		713
PolyOne Corp.		186		5,639

				9,931


Total Materials – 12.7%				41,038
Utilities

Electric Utilities – 4.2%
Great Plains Energy, Inc.		376		12,120
Portland General Electric Co.		41		1,615

				13,735


Gas Utilities – 1.8%
Southwest Gas Corp.		89		5,866


Total Utilities – 6.0%				19,601

TOTAL COMMON STOCKS – 97.1%			$	314,234
(Cost: $302,401)

SHORT-TERM SECURITIES		Principal
Commercial Paper(B) – 3.5%
Army & Air Force Exchange Service,
0.350%, 4–1–16	$	3,356		3,356
GlaxoSmithKline Finance plc (GTD by GlaxoSmithKline plc),
0.400%, 4–29–16		8,000		7,998

				11,354


Master Note – 0.4%
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (C)		1,351		1,351


TOTAL SHORT-TERM SECURITIES – 3.9%			$	12,705
(Cost: $12,705)

TOTAL INVESTMENT SECURITIES – 101.0%			$	326,939
(Cost: $315,106)

LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.0)%				(3,178	)

NET ASSETS – 100.0%			$	323,761

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

During the period ended March 31, 2016, there were no transfers between Level 1 and 2.


COMMON STOCKS	Shares		Value
Consumer Discretionary

Cable & Satellite – 5.3%
Comcast Corp., Class A		179	$	10,958
Time Warner Cable, Inc. (A)		43		8,860

				19,818


Casinos & Gaming – 2.5%
Las Vegas Sands, Inc. (A)		177		9,122


Department Stores – 2.6%
Macy’s, Inc.		219		9,669


Housewares & Specialties – 1.9%
Newell Rubbermaid, Inc.		161		7,148


Total Consumer Discretionary – 12.3%				45,757
Consumer Staples

Agricultural Products – 2.5%
Ingredion, Inc.		88		9,398


Drug Retail – 2.6%
CVS Caremark Corp.		93		9,657


Tobacco – 2.0%
Philip Morris International, Inc.		75		7,309


Total Consumer Staples – 7.1%				26,364
Energy

Integrated Oil & Gas – 0.6%
Chevron Corp.		23		2,156


Oil & Gas Exploration & Production – 0.8%
Devon Energy Corp.		109		2,994


Oil & Gas Refining & Marketing – 3.1%
Marathon Petroleum Corp. (A)		261		9,685
NuStar Energy L.P.		45		1,810

				11,495


Oil & Gas Storage & Transportation – 1.6%
VTTI Energy Partners L.P.		315		5,822


Total Energy – 6.1%				22,467
Financials

Asset Management & Custody Banks – 2.9%
State Street Corp.		182		10,627


Consumer Finance – 4.1%
Capital One Financial Corp.		219		15,165


Life & Health Insurance – 3.9%
MetLife, Inc.		327		14,351


Mortgage REITs – 1.4%
American Capital Agency Corp.		275		5,118


Multi-Line Insurance – 4.0%
American International Group, Inc.		279		15,069


Other Diversified Financial Services – 9.3%
Citigroup, Inc. (A)		416		17,347
JPMorgan Chase & Co.		290		17,168

				34,515


Property & Casualty Insurance – 3.3%
Allstate Corp. (The)		183		12,295


Reinsurance – 2.7%
Reinsurance Group of America, Inc.(A)		105		10,106


Total Financials – 31.6%				117,246
Health Care

Biotechnology – 2.3%
Amgen, Inc. (A)		57		8,576


Health Care Facilities – 3.0%
HCA Holdings, Inc. (B)		144		11,208


Managed Health Care – 6.9%
Aetna, Inc.		79		8,898
Anthem, Inc.		35		4,892
Cigna Corp.		54		7,411
Humana, Inc.		23		4,208

				25,409


Pharmaceuticals – 3.0%
Teva Pharmaceutical Industries Ltd. ADR		209		11,184


Total Health Care – 15.2%				56,377
Information Technology

Semiconductor Equipment – 2.8%
Lam Research Corp.		126		10,408


Semiconductors – 1.6%
Micron Technology, Inc.(B)		579		6,062


Systems Software – 4.6%
Microsoft Corp.		309		17,088


Technology Hardware, Storage & Peripherals – 2.2%
Western Digital Corp.		170		8,031


Total Information Technology – 11.2%				41,589
Materials

Diversified Chemicals – 3.4%
Dow Chemical Co. (The)		244		12,415


Total Materials – 3.4%				12,415
Utilities

Electric Utilities – 5.6%
Duke Energy Corp.		153		12,320
Exelon Corp. (A)		240		8,602

				20,922


Total Utilities – 5.6%				20,922

TOTAL COMMON STOCKS – 92.5%			$	343,137
(Cost: $350,117)

SHORT-TERM SECURITIES		Principal
Commercial Paper(C) – 6.6%
Army & Air Force Exchange Service, 0.350%, 4–1–16	$	2,297		2,297
BorgWarner, Inc., 0.650%, 4–1–16		2,070		2,070
Ecolab, Inc., 0.700%, 4–7–16		5,000		5,000
Essilor International S.A., 0.400%, 5–2–16		5,000		4,998
GlaxoSmithKline Finance plc (GTD by GlaxoSmithKline plc), 0.400%, 4–29–16		10,000		9,997

				24,362


Master Note – 0.5%
Toyota Motor Credit Corp., 0.443%, 4–6–16 (D)		1,849		1,849


Municipal Obligations – 0.8%
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2007B (GTD by Chevron Corp.), 0.380%, 4–1–16 (D)		3,000		3,000


TOTAL SHORT-TERM SECURITIES – 7.9%			$	29,211
(Cost: $29,211)

TOTAL INVESTMENT SECURITIES – 100.4%			$	372,348
(Cost: $379,328)

LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.4)%				(1,574	)

NET ASSETS – 100.0%			$	370,774

The following written options were outstanding at March 31, 2016 (contracts and exercise prices unrounded):

● Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.

During the period ended March 31, 2016, securities totaling $24 were transferred from Level 2 to Level 1 due to increased availability of observable market data due to increased market activity or information for these securities. Securities totaling $27 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on December 31, 2014. Transfers in and out of Level 2 represent the values as of the beginning of the reporting period.

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).

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.


	Common Stocks			Corporate Debt Securities
Beginning Balance 1-1-16	$	43,715		$	52,330
Net realized gain (loss)		—			—
Net change in unrealized appreciation (depreciation)		(22,733	)		—	*
Purchases		—			5,233
Sales		(2,524	)		—
Amortization/Accretion of premium/discount		—			—
Transfers into Level 3 during the period		—			—
Transfers out of Level 3 during the period		—			—
Ending Balance 3-31-16	$	18,458		$	57,563
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 3-31-16	$	(22,733	)	$	—	*


	Fair Value at 3-31-2016		Valuation Technique(s)		Unobservable Input(s)		Input Value(s)
Assets
Common Stocks	$	18,458		Discounted cash flows model		Long-term growth rate		2.50	%
						Weighted average cost of capital		9.22 to 40	%
						Illiquidity discount		10	%
Corporate Debt Securities		52,330		Discounted cash flows model		Long-term growth rate		2.50	%
						Weighted average cost of capital		9.22	%
						Illiquidity discount		10	%


Subsidiary/Company	Date of Incorporation		Subscription Agreement		Portfolio Net Assets		Subsidiary Net Assets		Percentage of Portfolio Net Assets
Ivy VIP ASF II, Ltd.		1-31-13		4-10-13	$	1,291,101	$	44,361		3.44	%
Ivy VIP ASF III (SBP), LLC		4-9-13		4-23-13		1,291,101		27,305		2.12
VIP ASF, LLC		12-10-12		12-18-12		1,291,101		16,500		1.28


Cost	$	1,206,665
Gross unrealized appreciation		37,076
Gross unrealized depreciation		(97,468	)
Net unrealized depreciation	$	(60,392	)


Underlying Security	Counterparty, if OTC	Type	Number of Contracts		Expiration Month		Exercise Price		Premium Received		Value
S&P 500 Index	N/A	Put		151		April 2016	$	1,700.00	$	89	$	(1	)
	N/A	Put		198		April 2016		1,725.00		79		(8	)
	N/A	Put		197		May 2016		1,700.00		127		(33	)
	N/A	Put		179		May 2016		1,850.00		196		(100	)
	N/A	Put		274		June 2016		1,750.00		116		(111	)
									$	607	$	(253	)


Security	Acquisition Date(s)		Shares		Cost		Market Value
Delta Topco Ltd.		1-23-12 to 6-15-12		56,728	$	26,773	$	2,421
Media Group Holdings LLC, Series H		8-29-13 to 10-31-13		32		22,374		3,000
Media Group Holdings LLC, Series I		4-23-13 to 11-8-13		19		10,478		7,546
Media Group Holdings LLC, Series T		7-2-13 to 1-23-15		4		8,613		5,491
			Principal
Delta Topco Ltd., 10.000%, 11-24-60		4-1-12 to 1-1-15	$	57,563		58,053		57,563
					$	126,291	$	76,021


	Level 1		Level 2		Level 3
Assets
Investments in Securities
Common Stocks
Consumer Discretionary	$	86,706	$	—	$	18,458
Consumer Staples		85,648		—		—
Energy		53,423		—		—
Financials		63,559		—		—
Health Care		95,478		—		—
Industrials		27,692		—		—
Information Technology		107,118		—		—
Materials		6,336		—		—
Total Common Stocks	$	525,960	$	—	$	18,458
Corporate Debt Securities		—		992		57,563
United States Government Agency Obligations		—		212		—
United States Government Obligations		—		163,851		—
Bullion		71,700		—		—
Short-Term Securities		—		307,537		—
Total	$	597,660	$	472,592	$	76,021
Liabilities
Forward Foreign Currency Contracts	$	—	$	82	$	—


Novartis Finance Corp. (GTD by Novartis AG):
0.410%, 4–4–16	10,000		9,999
0.350%, 4–18–16	5,000		4,999
Roche Holdings, Inc.,
0.420%, 4–6–16	5,000		5,000
Virginia Electric and Power Co.,
0.670%, 4–6–16	3,000		3,000
Wisconsin Gas LLC,
0.400%, 4–7–16	3,000		3,000

			54,207


Master Note – 0.5%
Toyota Motor Credit Corp.,
0.443%, 4–6–16 (F)	1,783		1,783


TOTAL SHORT-TERM SECURITIES – 15.2%		$	55,990
(Cost: $55,990)

TOTAL INVESTMENT SECURITIES – 99.9%		$	368,377
(Cost: $353,462)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1%			253

NET ASSETS – 100.0%		$	368,630



Cost	$	353,462
Gross unrealized appreciation		32,214
Gross unrealized depreciation		(17,299	)

Net unrealized appreciation	$	14,915


Cost	$	273,739
Gross unrealized appreciation		7,859
Gross unrealized depreciation		(3,976	)
Net unrealized appreciation	$	3,883


Cost	$	411,754
Gross unrealized appreciation		45,400
Gross unrealized depreciation		(24,183	)
Net unrealized appreciation	$	21,217


SCHEDULE OF INVESTMENTS
Dividend Opportunities (in thousands)		MARCH 31, 2016 (UNAUDITED)



Municipal Obligations – 0.2%
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2007B (GTD by Chevron Corp.),
0.380%, 4–1–16 (C)	1,000		1,000


TOTAL SHORT-TERM SECURITIES – 10.7%		$	53,996
(Cost: $53,994)

TOTAL INVESTMENT SECURITIES – 99.8%		$	504,625
(Cost: $460,555)

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2%			953

NET ASSETS – 100.0%		$	505,578


Cost	$	460,555
Gross unrealized appreciation		54,148
Gross unrealized depreciation		(10,078	)
Net unrealized appreciation	$	44,070


SCHEDULE OF INVESTMENTS
Energy (in thousands)		MARCH 31, 2016 (UNAUDITED)


Cost	$	148,112
Gross unrealized appreciation		4,755
Gross unrealized depreciation		(19,324	)
Net unrealized depreciation	$	(14,569	)


	Currency to be Delivered			Currency to be Received		Settlement Date		Counterparty		Unrealized Appreciation		Unrealized Depreciation
British Pound		81	U.S. Dollar		117		4-26-16		Barclays Capital, Inc.	$	1	$	—


Cost	$	20,954
Gross unrealized appreciation		315
Gross unrealized depreciation		(1,122	)
Net unrealized depreciation	$	(809	)


Cost	$	461,694
Gross unrealized appreciation		50,163
Gross unrealized depreciation		(19,444	)
Net unrealized appreciation	$	30,719


	Currency to be Delivered			Currency to be Received		Settlement Date		Counterparty	Unrealized Appreciation		Unrealized Depreciation
British Pound		4,806	U.S. Dollar		6,956		4-26-16	UBS AG	$	54	$	—
Canadian Dollar		5,228	U.S. Dollar		4,020		4-26-16	UBS AG		—		5
Euro		912	U.S. Dollar		1,033		4-26-16	UBS AG		—		6
									$	54	$	11


Cost	$	140,883
Gross unrealized appreciation		5,009
Gross unrealized depreciation		(26,561	)
Net unrealized depreciation	$	(21,552	)


Cost	$	675,514
Gross unrealized appreciation		198,102
Gross unrealized depreciation		(17,208	)
Net unrealized appreciation	$	180,894


	Common Stocks		Loans
Beginning Balance 1–1–16	$	62	$	40,479
Net realized gain (loss)		—		(1,467	)
Net unrealized appreciation (depreciation)		5		(1,025	)
Purchases		—		—
Sales		—		(12,926	)
Amortization/Accretion of premium/discount		—		(173	)
Transfers into Level 3 during the period		—		10,475
Transfers out of Level 3 during the period		—		(9,987	)
Ending Balance 3–31–16	$	67	$	25,376
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 3–31–16	$	5	$	(2,103	)


Cost	$	815,919
Gross unrealized appreciation		5,260
Gross unrealized depreciation		(92,287	)
Net unrealized depreciation	$	(87,027	)


Cost	$	670,474
Gross unrealized appreciation		32,678
Gross unrealized depreciation		(67,237	)
Net unrealized depreciation	$	(34,559	)


Cost	$	384,258
Gross unrealized appreciation		4,592
Gross unrealized depreciation		(763	)
Net unrealized appreciation	$	3,829


Cost	$	51,427
Gross unrealized appreciation		5,797
Gross unrealized depreciation		(5,696	)
Net unrealized appreciation	$	101


Cost	$	576,968
Gross unrealized appreciation		72,850
Gross unrealized depreciation		(52,969	)
Net unrealized appreciation	$	19,881


Cost	$	543,507
Gross unrealized appreciation		—
Gross unrealized depreciation		—
Net unrealized appreciation	$	—


Cost	$	86,419
Gross unrealized appreciation		59
Gross unrealized depreciation		(6,721	)
Net unrealized depreciation	$	(6,662	)


Description	Type		Expiration Date		Number of Contracts		Value			Unrealized Depreciation
E-mini Russell 2000 Index		Short		6-17-16		21	$	(2,330	)	$	(59	)
S&P 500 Index		Short		6-17-16		23		(11,796	)		(237	)
							$	(14,126	)	$	(296	)


Cost	$	456,947
Gross unrealized appreciation		286
Gross unrealized depreciation		(28,753	)
Net unrealized depreciation	$	(28,467	)


Cost	$	893,236

Gross unrealized appreciation		7,422
Gross unrealized depreciation		(33,573	)

Net unrealized depreciation	$	(26,151	)


Cost	$	73,775

Gross unrealized appreciation		39
Gross unrealized depreciation		(6,782	)

Net unrealized depreciation	$	(6,743	)


Cost	$	1,057,438
Gross unrealized appreciation		9,542
Gross unrealized depreciation		(46,181	)
Net unrealized depreciation	$	(36,639	)