SEC Info - Virtus Opportunities Trust - ‘N-Q’ for 12/31/16

Senior Vice President, Chief Legal Officer, Counsel and Secretary for Registrant

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


	SHARES		VALUE
AFFILIATED MUTUAL FUNDS⁽³⁾—49.1%
Equity Funds—41.0%
Virtus Global Infrastructure Fund Class I		667,637	$	8,766
Virtus Global Real Estate Securities Fund Class I		175,450		4,741
Virtus International Real Estate Securities Fund Class I		799,898		4,927
Virtus Real Estate Securities Fund Class I		134,788		4,025

				22,459

Fixed Income Fund—8.1%
Virtus Senior Floating Rate Fund Class I		467,181		4,438

TOTAL AFFILIATED MUTUAL FUNDS (Identified Cost $21,014)				26,897

EXCHANGE-TRADED FUNDS⁽³⁾—50.8%
Global X Uranium Index Fund		1,570		20
iShares S&P North American Natural Resources Sector Index Fund		295,996		10,641
PowerShares DB Commodity Index Tracking Fund⁽²⁾		517,043		8,190
PowerShares DB G10 Currency Harvest Fund⁽²⁾		216,792		5,379
Vaneck Vectors Agribusiness Index Fund		38,998		2,002
Vaneck Vectors Coal Index Fund		129,292		1,585

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $25,376)				27,817

TOTAL LONG TERM INVESTMENTS—99.9% (Identified Cost $46,390)				54,714

TOTAL INVESTMENTS—99.9% (Identified Cost $46,390)				54,714	⁽¹⁾
Other assets and liabilities, net—0.1%				44

NET ASSETS—100.0%			$	54,758

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.


	PAR VALUE		VALUE
U.S. GOVERNMENT SECURITIES—4.3%
U.S. Treasury Bond 2.500%, 2/15/46	$	3,505	$	3,107

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $3,576)				3,107

MUNICIPAL BONDS—2.5%
California—1.1%
California, State of, Build America Bonds Taxable 7.600%, 11/1/40		520		783

Georgia—0.4%
Rockdale County Water & Sewerage Authority Revenue Taxable 3.060%, 7/1/24		255		259

New York—1.0%
New York City Transitional Finance Authority Taxable 5.000%, 5/1/40		650		739

TOTAL MUNICIPAL BONDS (Identified Cost $1,861)				1,781

FOREIGN GOVERNMENT SECURITIES—2.5%
Argentine Republic
144A 7.500%, 4/22/26⁽³⁾		155		163
144A 7.625%, 4/22/46⁽³⁾		150		150
Kingdom of Bahrain 144A 7.000%, 10/12/28⁽³⁾		200		205
Kingdom of Jordan 144A 5.750%, 1/31/27⁽³⁾		200		190
Kingdom of Saudi Arabia 144A 3.250%, 10/26/26⁽³⁾		210		199
Republic of Costa Rica 144A 7.000%, 4/4/44⁽³⁾		200		184
Republic of Panama 3.875%, 3/17/28		200		195
Republic of Turkey 4.875%, 10/9/26		400		371
Sultanate of Oman 144A 4.750%, 6/15/26⁽³⁾		200		193

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $1,908)				1,850

MORTGAGE-BACKED SECURITIES—25.2%
Agency—9.7%
FHLMC
5.000%, 12/1/35		29		32
4.000%, 2/1/45		417		438
3.500%, 3/1/45		326		335
3.000%, 5/1/45		129		128
3.500%, 4/1/46		374		383


	PAR VALUE		VALUE
Agency—(continued)
FNMA
6.000%, 7/1/17	$	1	$	1
5.500%, 9/1/17		2		2
5.000%, 4/1/20		45		46
5.000%, 8/1/21		8		8
6.000%, 5/1/29		27		31
6.500%, 5/1/30		1		1
7.000%, 7/1/31		8		8
5.500%, 4/1/36		39		44
5.500%, 9/1/36		153		171
6.000%, 9/1/37		21		25
6.000%, 8/1/38		168		190
6.000%, 8/1/38		13		14
5.000%, 6/1/39		562		621
5.000%, 9/1/39		144		160
5.500%, 9/1/39		285		318
4.500%, 9/1/40		229		250
3.500%, 12/1/42		271		279
3.000%, 3/1/43		472		469
3.000%, 5/1/43		136		136
4.000%, 9/1/44		108		113
3.000%, 5/1/45		754		750
3.500%, 8/1/45		607		623
3.500%, 8/1/45		571		585
3.500%, 1/1/46		138		141
4.000%, 1/1/46		242		254
3.000%, 2/1/46		201		199
3.500%, 6/1/46		241		247
GNMA 6.500%, 9/15/28		28		32

				7,034

Non-Agency—15.5%
Access Point Financial, Inc. 15-A, A 144A 2.610%, 4/15/20⁽³⁾		50		50
Agate Bay Mortgage Trust 13-1, A1 144A 3.500%, 7/25/43⁽²⁾⁽³⁾		76		76
American Homes 4 Rent Trust
14-SFR2, C 144A 4.705%, 10/17/36⁽³⁾		195		202
15-SFR2, C 144A 4.691%, 10/17/45⁽³⁾		125		129
15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		218		219
Ameriquest Mortgage Securities, Inc. 03-AR3, M4 4.274%, 6/25/33⁽²⁾		130		125


	PAR VALUE		VALUE
Non-Agency—(continued)
AMSR Trust
16-SFR1, A 144A 2.136%, 11/17/33⁽²⁾⁽³⁾	$	100	$	100
16-SFR1, C 144A 2.986%, 11/17/33⁽²⁾⁽³⁾		100		100
Aventura Mall Trust 13-AVM, C 144A 3.743%, 12/5/32⁽²⁾⁽³⁾		325		336
Banc of America Funding Trust
04-B, 2A1 3.439%, 11/20/34⁽²⁾		75		74
05-1, 1A1 5.500%, 2/25/35		84		85
Banc of America Mortgage Trust 05-3, 1A15 5.500%, 4/25/35		72		73
Bank of America (Countrywide) Asset-Backed Certificates 05-1, AF5A 5.137%, 7/25/35⁽²⁾		252		262
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust 04-6, 1A2 3.020%, 5/25/34⁽²⁾		243		241
Bayview Opportunity Master Fund IVa Trust 16-SPL1, B1 144A 4.250%, 4/28/55⁽³⁾		160		163
Bayview Opportunity Master Fund IVb Trust 16-SPL2, B1 144A 4.250%, 6/28/53⁽²⁾⁽³⁾		100		100
Colony Starwood Homes Trust 16-2A, C 144A 2.886%, 12/17/33⁽²⁾⁽³⁾		195		195
Credit Suisse Mortgage-Backed Trust 06-08, 3A1 6.000%, 10/25/21		83		79
Deutsche Bank-UBS Mortgage Trust 11-LC3A, D 144A 5.345%, 8/10/44⁽²⁾⁽³⁾		180		186
Freddie Mac Structured Agency Credit Risk Debt Notes 16-DNA2, M2 2.956%, 10/25/28⁽²⁾		250		253
Goldman Sachs Mortgage Securities Trust 07-GG10, A1A 5.793%, 8/10/45⁽²⁾		84		85
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾		64		65
GSR Mortgage Loan Trust 06-1F, 2A4 6.000%, 2/25/36		162		141
Jefferies Resecuritization Trust 14-R1, 1A1 144A 4.000%, 12/27/37⁽³⁾		45		45
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 03-S11, 3A5 5.950%, 11/25/33		166		172
JPMorgan Chase Commercial Mortgage Securities Trust 14-C22, A4 3.801%, 9/15/47		195		203
JPMorgan Chase Mortgage Trust
04-A4, 2A1 3.117%, 9/25/34⁽²⁾		180		183


	PAR VALUE		VALUE
Non-Agency—(continued)
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾	$	99	$	102
16-1, M2 144A 3.750%, 4/25/45⁽²⁾⁽³⁾		136		134
15-4, 1A4 144A 3.500%, 6/25/45⁽²⁾⁽³⁾		109		110
16-2, M2 144A 3.750%, 12/25/45⁽²⁾⁽³⁾		177		175
16-1, A3 144A 3.500%, 5/25/46⁽³⁾		510		515
MASTR Adjustable Rate Mortgages Trust 05-1, 3A1 4.373%, 2/25/35⁽²⁾		143		130
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35⁽²⁾⁽³⁾		120		121
Morgan Stanley - Bank of America (Merrill Lynch) Trust
13-C13, AS 4.266%, 11/15/46		360		381
15-C22, AS 3.561%, 4/15/48		310		309
15-C26, C 4.411%, 10/15/48⁽²⁾		195		191
Morgan Stanley Capital Barclays Bank Trust 16-Mart, A 144A 2.200%, 9/13/31⁽³⁾		140		137
Morgan Stanley Capital I Trust
07-T27, A4 5.643%, 6/11/42⁽²⁾		511		516
08-T29, A4 6.275%, 1/11/43⁽²⁾		519		538
07-IQ14, AM 5.690%, 4/15/49⁽²⁾		190		186
07-IQ14, A4 5.692%, 4/15/49⁽²⁾		222		223
Motel 6 Trust 15-MTL6, D 144A 4.532%, 2/5/30⁽³⁾		210		211
New Residential Mortgage Loan Trust
14-1A, A 144A 3.750%, 1/25/54⁽²⁾⁽³⁾		159		164
15-2A, A1 144A 3.750%, 8/25/55⁽²⁾⁽³⁾		188		194
16-1A, A1 144A 3.750%, 3/25/56⁽²⁾⁽³⁾		159		161
16-4A, B1A 144A 4.500%, 11/25/56⁽³⁾		179		186
Novastar Mortgage Funding Trust Series 04-4, M5 2.481%, 3/25/35⁽²⁾		185		181
Residential Asset Securitization Trust 05-A1, A3 5.500%, 4/25/35		137		137
Sequoia Mortgage Trust
14-2, A1 144A 4.000%, 7/25/44⁽²⁾⁽³⁾		95		97
14-4, A6 144A 3.500%, 11/25/44⁽²⁾⁽³⁾		169		169
Towd Point Mortgage Trust
15-1, A2 144A 3.250%, 10/25/53⁽²⁾⁽³⁾		150		146
16-1, A1B, 144A 2.750%, 2/25/55⁽²⁾⁽³⁾		185		186
15-5, A2 144A 3.500%, 5/25/55⁽²⁾⁽³⁾		220		221
15-2, 1M1 144A 3.250%, 11/25/60⁽²⁾⁽³⁾		445		442
Vericrest Opportunity Loan Transfer
15-NP11, A1 144A 3.625%, 7/25/45⁽²⁾⁽³⁾		89		89
16 - NPL8, A1 144A 3.500%, 7/25/46⁽²⁾⁽³⁾		111		111


	PAR VALUE		VALUE
Non-Agency—(continued)
16-NPL9, A1 144A 3.500%, 9/25/46⁽²⁾⁽³⁾	$	97	$	97
16-NP11, A1 144A 3.500%, 10/25/46⁽²⁾⁽³⁾		99		99
15-NPL4, A1 144A 3.500%, 2/25/55⁽²⁾⁽³⁾		79		79
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust 15-LC20, B 3.719%, 4/15/50		300		299
Wells Fargo - Royal Bank of Scotland plc Commercial Mortgage Trust 11-C5, C 144A 5.673%, 11/15/44⁽²⁾⁽³⁾		205		219

				11,198

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $18,142)				18,232

ASSET-BACKED SECURITIES—5.3%
AmeriCredit Automobile Receivables Trust 14-1, D 2.540%, 6/8/20		235		237
Avis Budget Rental Car Funding LLC
(AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽³⁾		375		375
(AESOP) 16-1A, A 144A 2.990%, 6/20/22⁽³⁾		200		200
CarFinance Capital Auto Trust 14-1A, D 144A 4.900%, 4/15/20⁽³⁾		215		215
CarMax Auto Owner Trust 15-2, C 2.390%, 3/15/21		235		234
Centre Point Funding LLC 12-2A,1 144A 2.610%, 8/20/21⁽³⁾		205		202
Drive Auto Receivables Trust 15-DA, C 144A 3.380%, 11/15/21⁽³⁾		260		264
Drug Royalty II LP 1 14-1, A2 144A 3.484%, 7/15/23⁽³⁾		149		147
DT Auto Owner Trust 16-4A C,144A 2.740%, 10/17/22⁽³⁾		235		233
Exeter Automobile Receivables Trust 13-1A, C 144A 3.520%, 2/15/19⁽³⁾		157		158
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		141		142
Navistar Financial Dealer Note Master Owner Trust II 16-1, B 144A 2.342%, 9/27/21⁽²⁾⁽³⁾		310		312
Orange Lake Timeshare Trust 12-AA, A 144A 3.450%, 3/10/27⁽³⁾		38		38
Santander Drive Auto Receivables Trust 13-1, D 2.270%, 1/15/19		215		216
Sierra Timeshare Receivables Funding LLC 12-3A, A 144A 1.870%, 8/20/29⁽³⁾		76		76


	PAR VALUE		VALUE
Silverleaf Finance LLC XV 12-D, A 144A 3.000%, 3/17/25⁽³⁾	$	28	$	28
SoFi Professional Loan Program LLC 15-A, A2 144A 2.420%, 3/25/30⁽³⁾		94		94
Taco Bell Funding LLC 16-1A, A21 144A 3.832%, 5/25/46⁽³⁾		239		240
Trip Rail Master Funding LLC 14-1A, A1 144A 2.863%, 4/15/44⁽³⁾		228		222
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽³⁾		222		224

TOTAL ASSET-BACKED SECURITIES (Identified Cost $3,861)				3,857

CORPORATE BONDS AND NOTES—48.5%
Consumer Discretionary—6.1%
AMC Entertainment Holdings, Inc. 144A 5.875%, 11/15/26⁽³⁾		20		21
Boyd Gaming Corp. 6.875%, 5/15/23		75		81
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽⁴⁾		98		102
Caesars Growth Properties Holdings LLC 9.375%, 5/1/22		75		81
Cequel Communications Holdings I LLC (Cequel Capital Corp.)
144A 5.125%, 12/15/21⁽³⁾		45		46
144A 5.125%, 12/15/21⁽³⁾		110		112
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20		175		176
Columbus Cable Barbados Ltd. 144A 7.375%, 3/30/21⁽³⁾		200		214
Cooper-Standard Automotive, Inc. 144A 5.625%, 11/15/26⁽³⁾		155		154
Delphi Automotive plc 3.150%, 11/19/20		145		147
Diamond Resorts International, Inc. 144A 7.750%, 9/1/23⁽³⁾		15		15
Grupo Televisa SAB 4.625%, 1/30/26		200		202
Landry’s, Inc. 144A 6.750%, 10/15/24⁽³⁾		45		46
Live Nation Entertainment, Inc. 144A 4.875%, 11/1/24⁽³⁾		130		131
M/I Homes, Inc. 6.750%, 1/15/21		95		100
MDC Holdings, Inc. 5.500%, 1/15/24		180		187
MPG Holdco I, Inc. 7.375%, 10/15/22		145		152
NCL Corp., Ltd. 144A 4.750%, 12/15/21⁽³⁾		110		110


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
New York University 4.142%, 7/1/48	$	70	$	66
Pinnacle Entertainment, Inc. 144A 5.625%, 5/1/24⁽³⁾		60		60
Priceline Group, Inc. (The) 3.650%, 3/15/25		195		194
QVC, Inc. 4.375%, 3/15/23		265		263
Scientific Games International, Inc. 6.625%, 5/15/21		95		81
SFR (Numericable) Group S.A. 144A 6.000%, 5/15/22⁽³⁾		200		206
Signet UK Finance plc 4.700%, 6/15/24		210		201
Station Casinos LLC 7.500%, 3/1/21		230		242
TI Group Automotive Systems LLC 144A 8.750%, 7/15/23⁽³⁾		80		84
Toll Brothers Finance Corp.
5.625%, 1/15/24		10		10
4.875%, 11/15/25		305		300
TRI Pointe Group, Inc. 5.875%, 6/15/24		155		160
Wyndham Worldwide Corp. 5.100%, 10/1/25		245		258
Ziggo Secured Finance BV 144A 5.500%, 1/15/27⁽³⁾		200		195

				4,397

Consumer Staples—1.8%
AdvancePierre Foods Holdings, Inc. 144A 5.500%, 12/15/24⁽³⁾		105		106
Anheuser-Busch InBev Finance, Inc.
3.300%, 2/1/23		90		91
3.650%, 2/1/26		185		187
CVS Health Corp. 2.875%, 6/1/26		255		243
Flowers Foods, Inc. 4.375%, 4/1/22		275		289
Safeway, Inc. 7.250%, 2/1/31		115		113
Tops Holding LLC (Tops Markets II Corp.) 144A 8.000%, 6/15/22⁽³⁾		155		134
Whole Foods Market, Inc. 5.200%, 12/3/25		140		148

				1,311

Energy—4.7%
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp.) 144A 7.875%, 12/15/24⁽³⁾		75		78
Antero Midstream Partners LP 144A 5.375%, 9/15/24⁽³⁾		60		61
Antero Resources Corp. 5.625%, 6/1/23		80		82


	PAR VALUE		VALUE
Energy—(continued)
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾	$	45	$	45
Callon Petroleum Co. 144A 6.125%, 10/1/24⁽³⁾		35		36
Cheniere Corpus Christi Holdings LLC 144A 5.875%, 3/31/25⁽³⁾		110		113
Cimarex Energy Co. 4.375%, 6/1/24		120		125
Concho Resources, Inc. 4.375%, 1/15/25		110		110
Continental Resources, Inc.
5.000%, 9/15/22		110		112
4.500%, 4/15/23		70		69
Diamondback Energy, Inc.
144A 4.750%, 11/1/24⁽³⁾		15		15
144A 5.375%, 5/31/25⁽³⁾		150		151
Enbridge Energy Partners LP 4.375%, 10/15/20		30		31
EnLink Midstream Partners LP 4.850%, 7/15/26		15		15
EP Energy LLC (Everest Acquisition Finance, Inc.) 144A 8.000%, 11/29/24⁽³⁾		20		22
FTS International, Inc. 6.250%, 5/1/22		60		50
Helmerich & Payne International Drilling Co. 4.650%, 3/15/25		115		119
Holly Energy Partners LP 144A 6.000%, 8/1/24⁽³⁾		15		16
HollyFrontier Corp. 5.875%, 4/1/26		190		194
Kinder Morgan Energy Partners LP 7.500%, 11/15/40		245		293
Matador Resources Co. 144A 6.875%, 4/15/23⁽³⁾		120		127
MPLX LP 4.875%, 12/1/24		255		262
NGL Energy Partners LP 5.125%, 7/15/19		155		155
Noble Holding International Ltd. 7.750%, 1/15/24		45		42
Parsley Energy LLC 144A 6.250%, 6/1/24⁽³⁾		215		227
Petroleos Mexicanos 144A 6.875%, 8/4/26⁽³⁾		170		179
QEP Resources, Inc. 5.250%, 5/1/23		55		55
Range Resources Corp. 144A 5.000%, 3/15/23⁽³⁾		130		129
RSP Permian, Inc. 144A 5.250%, 1/15/25⁽³⁾		80		81
Sabine Pass Liquefaction LLC 6.250%, 3/15/22		140		153
Sunoco LP 6.375%, 4/1/23		215		219
Tesoro Logistics LP 5.250%, 1/15/25		20		21

				3,387

Financials—16.9%
AerCap Ireland Capital Ltd. (Aercap Global Aviation Trust) 3.950%, 2/1/22		200		202
Air Lease Corp. 2.625%, 9/4/18		70		70


	PAR VALUE		VALUE
Financials—(continued)
Allstate Corp. (The) 5.750%, 8/15/53⁽²⁾⁽⁶⁾	$	180	$	186
Ally Financial, Inc. 5.750%, 11/20/25		120		120
Apollo Management Holdings LP 144A 4.000%, 5/30/24⁽³⁾		190		188
Ares Capital Corp.
4.875%, 11/30/18		26		27
3.875%, 1/15/20		71		72
Ares Finance Co., LLC 144A 4.000%, 10/8/24⁽³⁾		270		250
Banco de Credito del Peru 144A 6.125%, 4/24/27⁽²⁾⁽³⁾		175		189
Banco de Credito e Inversiones 144A 4.000%, 2/11/23⁽³⁾		275		280
Banco Inbursa S.A. Institucion de Banca Multiple 144A 4.125%, 6/6/24⁽³⁾		160		157
Banco Internacional del Peru SAA Interbank 144A 6.625%, 3/19/29⁽²⁾⁽³⁾		185		196
Banco Nacional de Comercio Exterior SVC 144A 4.375%, 10/14/25⁽³⁾		200		196
Banco Santander Chile 144A 3.875%, 9/20/22⁽³⁾		215		221
Bancolombia S.A. 5.125%, 9/11/22		260		264
Bank of America Corp.
2.000%, 1/11/18		150		150
5.625%, 7/1/20		235		258
4.200%, 8/26/24		285		290
4.450%, 3/3/26		55		57
Bank of India 144A 3.250%, 4/18/18⁽³⁾		265		268
Bank of New York Mellon Corp. (The) 2.800%, 5/4/26		210		202
Barclays Bank plc 144A 6.050%, 12/4/17⁽³⁾		250		258
Berkshire Hathaway, Inc. 3.125%, 3/15/26		45		45
Capital One Financial Corp.
4.200%, 10/29/25		180		180
3.750%, 7/28/26		200		194
Citigroup, Inc. 4.600%, 3/9/26		230		237
Compass Bank 3.875%, 4/10/25		250		238
Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22⁽³⁾		290		279
Discover Financial Services 3.950%, 11/6/24		190		188
Ford Motor Credit Co., LLC 5.750%, 2/1/21		235		258
FS Investment Corp.
4.250%, 1/15/20		165		166
4.750%, 5/15/22		40		40


	PAR VALUE		VALUE
Financials—(continued)
General Motors Financial Co., Inc.
4.200%, 3/1/21	$	90	$	93
3.450%, 4/10/22		30		30
Goldman Sachs Group, Inc. (The) 5.750%, 1/24/22		500		562
Hutchison Whampoa International Ltd. Series 12 144A 6.000%^(2)(3)(5)(6)		310		313
ICAHN Enterprises LP 5.875%, 2/1/22		65		65
ING Groep NV 6.000%^(2)(5)(6)		200		196
iStar Financial, Inc. 5.000%, 7/1/19		90		91
Jefferies Group LLC 6.875%, 4/15/21		85		97
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		215		208
Leucadia National Corp. 5.500%, 10/18/23		150		159
Liberty Mutual Group, Inc. 144A 4.250%, 6/15/23⁽³⁾		245		256
Lincoln National Corp. 4.200%, 3/15/22		250		264
Macquarie Group Ltd. 144A 6.250%, 1/14/21⁽³⁾		210		232
Manulife Financial Corp. 4.150%, 3/4/26		215		224
Morgan Stanley
4.100%, 5/22/23		155		159
4.350%, 9/8/26		340		346
6.375%, 7/24/42		435		558
Navient Corp. 7.250%, 9/25/23		40		41
OM Asset Management plc 4.800%, 7/27/26		200		189
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁷⁾		255		263
Prudential Financial, Inc. 5.625%, 6/15/43⁽²⁾⁽⁶⁾		160		166
S&P Global, Inc. 4.000%, 6/15/25		195		200
Santander Holdings USA, Inc. 2.700%, 5/24/19		195		195
SBA Tower Trust 144A 2.877%, 7/15/21⁽³⁾		320		317
Societe Generale S.A. 144A 4.750%, 11/24/25⁽³⁾		200		201
Starwood Property Trust, Inc. 144A 5.000%, 12/15/21⁽³⁾		20		20
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54⁽²⁾⁽³⁾		160		157
Tervita Escrow Corp. 144A 7.625%, 12/1/21⁽³⁾		15		15
Trinity Acquisition plc
3.500%, 9/15/21		15		15
4.400%, 3/15/26		80		81
UBS AG 7.625%, 8/17/22		500		567
Woodside Finance Ltd. 144A 3.700%, 9/15/26⁽³⁾		50		49

				12,255


	PAR VALUE		VALUE
Health Care—3.2%
Abbott Laboratories
3.400%, 11/30/23	$	40	$	40
3.750%, 11/30/26		150		149
AbbVie, Inc.
2.850%, 5/14/23		135		131
3.600%, 5/14/25		65		64
3.200%, 5/14/26		110		105
Cardinal Health, Inc.
3.200%, 3/15/23		130		131
3.750%, 9/15/25		165		170
Community Health Systems, Inc. 5.125%, 8/1/21		45		42
Envision Healthcare Corp. 144A 6.250%, 12/1/24⁽³⁾		35		37
Forest Laboratories LLC 144A 4.875%, 2/15/21⁽³⁾		160		172
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23⁽³⁾		35		36
HCA, Inc.
5.375%, 2/1/25		80		80
5.250%, 6/15/26		20		21
IASIS Healthcare LLC 8.375%, 5/15/19		80		70
MEDNAX, Inc. 144A 5.250%, 12/1/23⁽³⁾		90		93
Mylan NV
144A 3.000%, 12/15/18⁽³⁾		55		55
144A 3.150%, 6/15/21⁽³⁾		55		54
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22⁽³⁾		120		107
Owens & Minor, Inc. 3.875%, 9/15/21		35		35
Shire Acquisitions Investments 2.400%, 9/23/21		80		77
Surgery Center Holdings, Inc. 144A 8.875%, 4/15/21⁽³⁾		120		128
Surgical Care Affiliates, Inc. 144A 6.000%, 4/1/23⁽³⁾		160		166
Team Health, Inc. 144A 7.250%, 12/15/23⁽³⁾		5		6
Tenet Healthcare Corp.
4.463%, 6/15/20⁽²⁾		75		76
4.500%, 4/1/21		85		85
144A 7.500%, 1/1/22⁽³⁾		5		5
Teva Pharmaceutical Finance III BV 3.150%, 10/1/26		120		110
Valeant Pharmaceuticals International, Inc.
144A 7.500%, 7/15/21⁽³⁾		25		21
144A 5.500%, 3/1/23⁽³⁾		50		38


	PAR VALUE		VALUE
Health Care—(continued)
Zoetis, Inc. 3.450%, 11/13/20	$	45	$	46

				2,350

Industrials—3.0%
Air Canada Pass-Through-Trust 13-1, B 144A 5.375%, 5/15/21⁽³⁾		77		79
Allegiant Travel Co. 5.500%, 7/15/19		35		36
Bombardier, Inc. 144A 4.750%, 4/15/19⁽³⁾		110		111
Carpenter Technology Corp. 4.450%, 3/1/23		250		239
Continental Airlines Pass-Through-Trust
99-1, A 6.545%, 2/2/19		297		309
00-1, A1 8.048%, 11/1/20		249		277
Doric Nimrod Air Alpha Pass-Through-Trust 13-1, A 144A 5.250%, 5/30/23⁽³⁾		167		174
GATX Corp. 3.250%, 9/15/26		35		33
Masco Corp.
5.950%, 3/15/22		110		122
4.450%, 4/1/25		55		56
Owens Corning 3.400%, 8/15/26		200		190
Penske Truck Leasing Co., LP 144A 3.375%, 2/1/22⁽³⁾		75		76
Prime Security Services Borrower LLC 144A 9.250%, 5/15/23⁽³⁾		75		82
TransDigm, Inc.
6.000%, 7/15/22		115		120
6.500%, 5/15/25		45		47
Wheels Up Finance I LLC
16-01, A 7.431%, 6/1/24^(2)(8)(12)		11		11
16-01, A 7.500%, 6/30/24⁽⁸⁾		228		225

				2,187

Information Technology—1.9%
Apple, Inc. 3.250%, 2/23/26		155		155
Diamond 1 Finance Corp. (Diamond 2 Finance Corp.)
144A 5.450%, 6/15/23⁽³⁾		40		43
144A 6.020%, 6/15/26⁽³⁾		40		43
144A 8.100%, 7/15/36⁽³⁾		85		101
Dun & Bradstreet Corp. (The) 4.375%, 12/1/22		270		273
First Data Corp. 144A 5.000%, 1/15/24⁽³⁾		230		232
Flex Ltd. 4.750%, 6/15/25		200		211
Hewlett Packard Enterprise Co. 4.900%, 10/15/25		120		123
Oracle Corp. 2.400%, 9/15/23		25		24


	PAR VALUE		VALUE
Information Technology—(continued)
Verisk Analytics, Inc. 4.000%, 6/15/25	$	190	$	193

				1,398

Materials—2.8%
Alpek SAB de C.V. 144A 5.375%, 8/8/23⁽³⁾		310		320
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		95		97
Equate Petrochemical BV 144A 4.250%, 11/3/26⁽³⁾		200		191
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24⁽³⁾		200		199
Inversiones CMPC S.A. 144A 4.375%, 5/15/23⁽³⁾		375		377
NewMarket Corp. 4.100%, 12/15/22		288		293
Novelis Corp.
144A 6.250%, 8/15/24⁽³⁾		10		11
144A 5.875%, 9/30/26⁽³⁾		150		152
Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%, 4/25/24⁽³⁾		200		207
Scotts Miracle-Gro Co. (The) 144A 5.250%, 12/15/26⁽³⁾		15		15
Standard Industries, Inc. 144A 6.000%, 10/15/25⁽³⁾		145		152

				2,014

Real Estate—4.2%
Alexandria Real Estate Equities, Inc. 3.950%, 1/15/27		120		119
Brixmor Operating Partnership LP 3.875%, 8/15/22		55		56
Communications Sales & Leasing, Inc. (CSL Capital LLC) 144A 7.125%, 12/15/24⁽³⁾		150		152
CoreCivic, Inc. 5.000%, 10/15/22		165		165
Corporate Office Properties LP 3.600%, 5/15/23		265		255
Developers Diversified Realty Corp.
7.875%, 9/1/20		155		180
3.500%, 1/15/21		130		132
Digital Realty Trust LP 5.250%, 3/15/21		165		179
Education Realty Operating Partnership LP 4.600%, 12/1/24		205		204
EPR Properties 4.750%, 12/15/26		90		89
Healthcare Realty Trust, Inc. 3.875%, 5/1/25		125		123
Kilroy Realty LP 4.375%, 10/1/25		190		195
Kimco Realty Corp. 3.400%, 11/1/22		185		188
MPT Operating Partnership LP
6.375%, 3/1/24		20		21
5.500%, 5/1/24		90		91


	PAR VALUE		VALUE
Real Estate—(continued)
5.250%, 8/1/26	$	10	$	10
National Retail Properties, Inc. 4.000%, 11/15/25		60		61
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24		155		149
Select Income REIT 4.500%, 2/1/25		190		183
Sovran Acquisition LP 3.500%, 7/1/26		125		120
Welltower, Inc. 4.000%, 6/1/25		200		204
WP Carey, Inc. 4.600%, 4/1/24		160		162

				3,038

Telecommunication Services—2.0%
AT&T, Inc. 3.875%, 8/15/21		425		438
Crown Castle International Corp. 3.700%, 6/15/26		20		20
Empresa Nacional de Telecomunicaciones S.A. 144A 4.875%, 10/30/24⁽³⁾		215		215
Frontier Communications Corp. 10.500%, 9/15/22		145		153
Qwest Corp. 7.250%, 9/15/25		150		161
T-Mobile USA, Inc. 6.375%, 3/1/25		105		112
Telefonica Emisiones SAU 4.570%, 4/27/23		225		236
Zayo Group LLC (Zayo Capital, Inc.) 6.375%, 5/15/25		75		79

				1,414

Utilities—1.9%
Comision Federal de Electricidad 144A 4.750%, 2/23/27⁽³⁾		200		192
Dominion Resources, Inc. 2.962%, 7/1/19⁽²⁾		20		20
Duke Energy Corp. 2.650%, 9/1/26		205		191
Dynegy, Inc. 7.375%, 11/1/22		165		158
FirstEnergy Transmission LLC 144A 4.350%, 1/15/25⁽³⁾		210		217
Southern Power Co. 4.150%, 12/1/25		230		238
State Grid Overseas Investment Ltd. 144A 4.125%, 5/7/24⁽³⁾		200		208
TerraForm Power Operating LLC 144A 6.375%, 2/1/23⁽²⁾⁽³⁾		145		148

				1,372

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $34,698)				35,123


	PAR VALUE		VALUE
LOAN AGREEMENTS⁽²⁾—4.1%
Consumer Discretionary—1.0%
Boyd Gaming Corp. Tranche B-2 3.756%, 9/15/23	$	46	$	47
Caesars Entertainment Resort Properties LLC Tranche B, 7.000%, 10/11/20		154		156
Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21		59		60
CDS U.S. Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.) First Lien, 5.000%, 7/8/22		40		40
Floor & Decor Outlets of America, Inc. 5.250%, 9/30/23		77		77
Laureare Education, Inc. 2021 Extended, 8.868%, 3/17/21		63		63
Station Casinos LLC Tranche B, 3.750%, 6/8/23		72		73
U.S. Farathane LLC Tranche B-2, 5.750%, 12/23/21		111		111
UFC Holdings LLC First Lien 5.000%, 8/18/23		93		94

				721

Consumer Staples—0.2%
Albertson’s Cos., LLC Tranche B-4, 3.750%, 8/25/21		112		113

Energy—0.1%
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		94		89

Health Care—0.9%
CHG Healthcare Services, Inc. (CHG Buyer Co.) First Lien, 4.750%, 6/7/23		104		106
Community Health Systems, Inc. (CHS) Tranche H, 4.000%, 1/27/21		77		75
Concordia International Corp. (f/k/a Concordia Healthcare Corp.) 5.250%, 10/21/21		65		51
Inventiv Group Holdings, Inc. 4.750%, 11/9/23		58		59
MMM Holdings, Inc. 9.750%, 6/30/19		41		40
MPH Acquisition Holdings LLC 5.000%, 6/7/23		45		46
MSO of Puerto Rico, Inc. 9.750%, 6/30/19		30		29
NVA Holdings, Inc. Second Lien, 8.000%, 8/14/22		64		64
Quorum Health Corp. 6.750%, 4/29/22		91		89
Surgery Center Holdings, Inc. First Lien, 4.750%, 11/3/20		99		100

				659


	PAR VALUE		VALUE
Industrials—0.7%
84 Lumber Co. 6.750%, 10/25/23	$	115	$	116
Advanced Disposal Services, Inc. 3.500%, 11/10/23		17		17
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien, 5.000%, 5/4/22		98		98
Navistar, Inc. Tranche B, 6.500%, 8/7/20		120		121
Sedgwick Claims Management Services, Inc. Second Lien, 6.750%, 2/28/22		120		120
Zodiac Pool Solutions LLC First Lien, 5.500%, 12/20/23		30		30

				502

Information Technology—0.3%
Donnelley Financial Solutions, Inc. Tranche B, 5.000%, 9/29/23		35		36
NXP B.V. (NXP Funding LLC) Tranche F, 3.270%, 12/7/20		74		74
On Semiconductor 4.020%, 3/31/23		50		51
Rackspace Hosting, Inc. Tranche B, First Lien, 4.500%, 11/3/23		34		35
SS&C European Holdings S.a.r.l.
Tranche B-1, 4.010%, 7/8/22		40		40
Tranche B-2, 4.010%, 7/8/22		4		4
Western Digital Corp. Tranche B-1, 4.520%, 4/29/23		14		14

				254

Materials—0.1%
Anchor Glass Container Corp. First Lien, 4.250%, 12/7/23		17		17
Huntsman International LLC Tranche B, 3.873%, 4/1/23		44		44
INEOS U.S. Finance LLC Tranche 2022, 4.250%, 3/31/22		9		9

				70

Real Estate—0.1%
Capital Automotive LP Second Lien, 6.000%, 4/30/20		71		72

Telecommunication Services—0.2%
T-Mobile USA, Inc. Senior Lien 3.520%, 11/9/22		85		87


	PAR VALUE			VALUE
Telecommunication Services—(continued)
UPC Financing Partnership 4.080%, 8/31/24	$	63		$	63

					150

Utilities—0.5%
NRG Energy, Inc. 3.520%, 6/30/23		235			238
Vistra Operations Company LLC (f/k/a TEX Operations Co., LLC)
5.000%, 8/4/23		70			72
Tranche C, 5.000%, 8/4/23		17			17

					327

TOTAL LOAN AGREEMENTS (Identified Cost $2,939)					2,957


	SHARES
PREFERRED STOCKS—3.7%
Energy—0.3%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		200	⁽⁹⁾		202

Financials—2.4%
Bank of New York Mellon Corp. (The) Series E, 4.950%⁽²⁾		150	⁽⁹⁾		151
Citigroup, Inc. Series J, 7.125%		8,000			224
Citigroup, Inc. Series T, 6.250%⁽²⁾		155	⁽⁹⁾		160
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾		45	⁽⁹⁾		46
KeyCorp Series D, 5.000%⁽²⁾		190	⁽⁹⁾		175
M&T Bank Corp. Series F, 5.125%⁽²⁾		75	⁽⁹⁾		73
PNC Financial Services Group, Inc. (The) Series R, 4.850%⁽²⁾		215	⁽⁹⁾		206
PNC Financial Services Group, Inc. (The) Series S, 5.000%⁽²⁾		195	⁽⁹⁾		188
SunTrust Bank, Inc. 5.625%⁽²⁾		45	⁽⁹⁾		46
Wells Fargo & Co. Series K, 7.980%⁽²⁾		230	⁽⁹⁾		240
Zions Bancorp 6.950%		8,800			246

					1,755

Industrials—1.0%
General Electric Co. Series D, 5.000%⁽²⁾		686	⁽⁹⁾		712

TOTAL PREFERRED STOCKS (Identified Cost $2,596)					2,669


	SHARES		VALUE
EXCHANGE-TRADED FUND—1.1%
iShares iBoxx $ Investment Grade Corporate Bond Fund⁽¹¹⁾		6,725	$	788

TOTAL EXCHANGE-TRADED FUND (Identified Cost $802)				788

AFFILIATED MUTUAL FUND—1.6%
Virtus Credit Opportunities Fund Class R6⁽¹¹⁾		117,904		1,168

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $1,179)				1,168

Total Long Term Investments—98.8% (Identified Cost $71,562)				71,532	⁽¹⁰⁾

TOTAL INVESTMENTS—98.8% (Identified Cost $71,562)				71,532	⁽¹⁾
Other assets and liabilities, net—1.2%				841

NET ASSETS—100.0%			$	72,373

Abbreviations:


FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”)
FNMA		Federal National Mortgage Association (“Fannie Mae”)
GNMA		Government National Mortgage Association (“Ginnie Mae”)
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2016.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $22,861 or 31.6% of net assets.

⁽⁴⁾	Security in default, portion of the interest payments are being received during the bankruptcy proceedings.

⁽⁵⁾	No contractual maturity date.

⁽⁶⁾	Interest payments may be deferred.

⁽⁷⁾	This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁸⁾	Illiquid security.

⁽⁹⁾	Value shown as par value.

⁽¹⁰⁾	All or a portion of the Fund’s assets have been segregated for delayed delivery securities.

⁽¹¹⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

⁽¹²⁾	Represents unfunded portion of security and commitment fee earned on this portion.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers from Level 1 to Level 2 related to securities held as of December 31, 2016.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.

The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.


	PAR VALUE		VALUE
MUNICIPAL TAX-EXEMPT BONDS⁽²⁾—95.2%
Development Revenue—16.0%
Garden Grove Agency for Community Development Successor Agency, Garden Grove Community Project (BAM Insured) 5.000%, 10/1/29	$	350	$	406
Lafayette Redevelopment Agency Successor Agency, Lafayette Redevelopment Project (AGM Insured) 5.000%, 8/1/38		250		275
Los Angeles County Redevelopment Refunding Authority, Long Beach Project, 5.000%, 8/1/34		215		245
Menlo Park Community Development Agency Successor Agency, Las Pulgas Community Development Project (AGM Insured) 5.000%, 10/1/29		100		115
Milpitas Redevelopment Agency Successor Agency Redevelopment Project Area No.1, 5.000%, 9/1/30		250		289
Palmdale Community Redevelopment Agency Successor Agency, Subordinate Lien (NATL Insured) 5.000%, 9/1/34		300		337
Rancho Cucamonga Redevelopment Agency Successor Agency, Rancho Redevelopment Project Area (NATL Insured) 4.000%, 9/1/34		200		205
Sacramento Redevelopment Agency Successor Agency
(BAM Insured) 5.000%, 12/1/33		75		85
(BAM Insured) 5.000%, 12/1/34		75		84
San Diego Redevelopment Agency, Center City Redevelopment Project (AMBAC Insured) 4.750%, 9/1/30		500		501
San Marcos Redevelopment Agency Successor Agency, 5.000%, 10/1/33		250		283
San Mateo Redevelopment Agency Successor Agency, 5.000%, 8/1/30		250		284
Santa Clara Redevelopment Agency, Bayshore North Project (NATL Insured) 5.000%, 6/1/22		500		507
Union City Redevelopment Agency Successor Agency, Union City Redevelopment Project, 5.000%, 10/1/36		200		221
Westminster Redevelopment Agency Successor Agency,


	PAR VALUE		VALUE
Development Revenue—(continued)
(BAM Insured) 4.000%, 11/1/34	$	75	$	76
(BAM Insured) 4.000%, 11/1/36		225		228

				4,141

General Obligation—14.1%
Cajon Valley Union School District, 5.000%, 8/1/31		250		288
California State of, 5.500%, 3/1/26		250		262
(AMBAC Insured) 5.000%, 2/1/27		290		353
5.000%, 9/1/32		300		334
5.000%, 12/1/37		75		77
6.000%, 4/1/38		250		273
Grossmont Healthcare District 5.000%, 7/15/25		350		421
Los Alamitos Unified School District, School Facilities Improvement District, 5.250%, 8/1/39		100		115
Midpeninsula Regional Open Space District 4.000%, 9/1/36		100		104
Oakland Unified School District
(AGM Insured) 5.000%, 8/1/24		200		239
5.000%, 8/1/33		300		344
Ross Valley School District, 5.000%, 8/1/37		350		390
San Diego Community College District, 5.000%, 8/1/43		150		168
San Diego Unified School District (AGM Insured) 5.500%, 7/1/25		225		280

				3,648

General Revenue—9.4%
California Infrastructure & Economic Development Bank 5.000%, 10/1/23		200		237
California State Municipal Finance Authority, Bowles Hall Foundation 4.000%, 6/1/22		100		104
San Bernardino Water Department Facility Project (BAM Insured) 5.000%, 8/1/41		250		279
Golden State Tobacco Securitization Corp.,
5.000%, 6/1/29		350		393
5.125%, 6/1/47		950		839
Midpeninsula Regional Open Space District, Promissory Notes 5.000%, 9/1/23		120		143


	PAR VALUE		VALUE
General Revenue—(continued)
South Bay Regional Public Communications Authority, Hawthorne Projects (ACA Insured) 4.750%, 1/1/31	$	435	$	435

				2,430

Higher Education Revenue—3.8%
California State University 5.000%, 11/1/41		300		339
California Statewide Communities Development Authority, The Culinary Institute of America 5.000%, 7/1/46		250		258
University of California,
General Revenue 5.000%, 5/15/23		100		118
Limited Projects Revenue 5.000%, 5/15/23		225		265

				980

Lease Revenue—11.9%
California State Public Works Board,
Department of General Services, Buildings 8&9 6.125%, 4/1/29		500		552
Capital Projects, 5.750%, 10/1/30		550		606
Department of Forestry & Fire Protection, 5.000%, 11/1/32		500		514
General Revenue 4.000%, 12/1/33		150		157
Municipal Improvement Corp. of Los Angeles Real Property 5.000%, 11/1/36		250		283
San Diego Regional Building Authority, County Operations Center 5.000%, 10/15/35		335		379
Ventura County Public Financing Authority, 5.000%, 11/1/25		250		286
West Hollywood Public Financing Authority, West Hollywood Park Phase II 5.000%, 4/1/34		250		285

				3,062

Medical Revenue—9.8%
California Municipal Finance Authority, Community Medical Centers, 5.000%, 2/1/27		100		113
California State Health Facilities Financing Authority,
El Camino Hospital, 5.000%, 2/1/26		100		115
Cedars-Sinai Medical Center, 5.000%, 11/15/31		250		290
Cedars-Sinai Medical Center 5.000%, 8/15/34		300		344
Sutter Health, 5.000%, 11/15/35		125		140


	PAR VALUE		VALUE
Medical Revenue—(continued)
Providence St Joseph Health Revenue 4.000%, 10/1/36	$	50	$	50
Providence Health & Services, 6.500%, 10/1/38		195		213
Lucille Salter Packard Children’s Hospital at Stanford, 5.000%, 8/15/43		100		112
Sutter Health, 5.000%, 8/15/43		135		149
California Statewide Communities Development Authority,
Loma Linda University Medical Center, 5.000%, 12/1/30⁽³⁾		100		104
John Muir Health Center 5.000%, 8/15/41		100		110
Cottage Health System, 5.000%, 11/1/43		250		272
Loma Linda University Medical Center 5.250%, 12/1/56⁽³⁾		100		102
Regents of The University of California Medical Center Pooled Revenue 4.500%, 5/15/36		250		274
San Benito Health Care District (CHFCLIF Insured) 4.000%, 3/1/18		140		145

				2,533

Natural Gas Revenue—2.7%
Roseville Natural Gas Financing Authority,
5.000%, 2/15/24		450		492
5.000%, 2/15/27		195		213

				705

Power Revenue—2.6%
Northern California Power Agency, Hydroelectric Project No.1, 5.000%, 7/1/32		200		222
Sacramento Municipal Utility District, 5.000%, 8/15/29		150		171
Southern California Public Power Authority, Windy Point Project, 5.000%, 7/1/28		250		276

				669

Pre-Refunded—9.9%
California State Health Facilities Financing Authority, Providence Health & Services (Pre-refunded 10/1/18 @100) 6.500%, 10/1/38		5		6
California State Infrastructure & Economic Development Bank, Bay Area Toll Bridges (AMBAC Insured) (Pre-refunded 7/1/26 @100) 5.125%, 7/1/37		530		653


	PAR VALUE		VALUE
Pre-Refunded—(continued)
City of Stockton CA (GNMA Collateralized) (Pre-refunded 9/20/17 @ 100) 5.600%, 3/20/28	$	150	$	157
County of Riverside CA (Escrowed to Maturity) (GNMA Collateralized) 7.800%, 5/1/21		1,085		1,336
Los Alamitos Unified School District, School Facilities Improvement District (Pre-refunded 8/01/23 @ 100) 5.250%, 8/1/39		150		179
Northern California Power Agency (AMBAC Insured) (Pre-refunded 7/1/21 @ 100) 7.500%, 7/1/23		195		228

				2,559

Special Tax Revenue—2.0%
Chula Vista Municipal Financing Authority, 5.000%, 9/1/27		200		232
Tustin Unified School District, Community Facilities District No. 97-1 (BAM Insured) 5.000%, 9/1/33		250		280

				512

Transportation Revenue—7.2%
County of Sacramento CA, Airport System Revenue 5.000%, 7/1/41		100		111
Los Angeles Department of Airports 5.000%, 5/15/32		200		232
Los Angeles Harbor Department, 5.000%, 8/1/35		235		266
San Diego County Regional Airport Authority, 5.000%, 7/1/40		400		436
San Diego County Regional Transportation Commission 5.000%, 4/1/36		100		116
San Diego Unified Port District, 5.000%, 9/1/28		200		226
San Francisco City & County Airport Commission, San Francisco International Airport, 5.000%, 5/1/43		150		167
San Francisco Municipal Transportation Agency,
5.000%, 3/1/31		125		142
5.000%, 3/1/33		150		169

				1,865

Water & Sewer Revenue—5.8%
Los Angeles Department of Water & Power, 5.000%, 7/1/35		295		336


	PAR VALUE		VALUE
Water & Sewer Revenue—(continued)
Oakland, City of, Sewer Revenue, 5.000%, 6/15/29	$	200	$	232
Ross Valley Public Financing Authority, Sanitary District No.1 (AGM Insured) 5.000%, 10/1/33		225		255
Santa Margarita-Dana Point Authority, Water Improvement Districts Nos. 2,3,4, 5.125%, 8/1/38		630		665

				1,488

TOTAL MUNICIPAL TAX-EXEMPT BONDS (Identified Cost $24,035)				24,592

TOTAL LONG TERM INVESTMENTS—95.2% (Identified Cost $24,035)				24,592

TOTAL INVESTMENTS—95.2% (Identified Cost $24,035)				24,592	⁽¹⁾
Other assets and liabilities, net—4.8%				1,253

NET ASSETS—100.0%			$	25,845

Abbreviations:


ACA		American Capital Access Financial Guarantee Corp.
AGM		Assured Guaranty Municipal Corp.
AMBAC		American Municipal Bond Assurance Corp.
BAM		Build America Municipal Insured
CHFCLIF		California Health Facility Construction Loan Insurance Fund
GNMA		Government National Mortgage Association (“Ginnie Mae”)
NATL		National Public Finance Guarantee Corp.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾

At December 31, 2016, the concentration of the Fund’s investments by state or territory determined as a percentage of net assets is as follows: California 100%. At December 31, 2016, 37.96% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. None of the insurers’ concentration exceeds 10% of the Fund’s net assets.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $206 or 0.8% of net assets.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 1 (quoted prices) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.


	PAR VALUE			VALUE
FOREIGN GOVERNMENT SECURITIES—43.2%
Arab Republic of Egypt 144A 5.875%, 6/11/25⁽³⁾	$	200		$	181
Argentine Republic
144A 7.500%, 4/22/26⁽³⁾		300			315
Series NY 8.280%, 12/31/33		652			699
144A 7.125%, 7/6/36⁽³⁾		150			143
2.500%, 12/31/38⁽²⁾		150			92
Bermuda RegS 4.854%, 2/6/24⁽⁴⁾		200			208
Bolivarian Republic of Venezuela
RegS 7.750%, 10/13/19⁽⁴⁾		140			78
RegS 7.650%, 4/21/25⁽⁴⁾		285			131
9.375%, 1/13/34		325			152
City of Buenos Aires 144A 7.500%, 6/1/27⁽³⁾		250			256
Dominican Republic
144A 5.875%, 4/18/24⁽³⁾		100			101
144A 6.875%, 1/29/26⁽³⁾		200			209
144A 6.850%, 1/27/45⁽³⁾		100			95
Federative Republic of Brazil
Treasury Note Series F, 10.000%, 1/1/23		285	^BRL		83
Treasury Note Series F, 10.000%, 1/1/25		420	^BRL		120
6.000%, 4/7/26		400			415
5.625%, 1/7/41		300			268
Gabonese Republic 144A 6.375%, 12/12/24⁽³⁾		200			187
Hungary
5.375%, 2/21/23		146			158
5.375%, 3/25/24		180			196
Islamic Republic of Pakistan 144A 8.250%, 9/30/25⁽³⁾		200			219
Kingdom of Bahrain
144A 7.000%, 10/12/28⁽³⁾		200			205
144A 6.000%, 9/19/44⁽³⁾		200			163
Kingdom of Jordan 144A 5.750%, 1/31/27⁽³⁾		200			190
Kingdom of Morocco 144A 5.500%, 12/11/42⁽³⁾		200			203
Kingdom of Qatar
144A 3.250%, 6/2/26⁽³⁾		200			193
144A 4.625%, 6/2/46⁽³⁾		200			200
Kingdom of Saudi Arabia 144A 3.250%, 10/26/26⁽³⁾		210			199
Lebanese Republic 6.600%, 11/27/26		200			193
Mongolia 144A 10.875%, 4/6/21⁽³⁾		200			211
Provincia de Buenos Aires 144A 9.125%, 3/16/24⁽³⁾		150			164


	PAR VALUE			VALUE
Republic of Armenia 144A 7.150%, 3/26/25⁽³⁾	$	200		$	210
Republic of Chile 5.500%, 8/5/20		70,000	^CLP		110
Republic of Colombia
Treasury Note, Series B, 11.250%, 10/24/18		100,000	^COP		36
6.125%, 1/18/41		100			108
Republic of Costa Rica 144A 7.000%, 4/4/44⁽³⁾		200			184
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28⁽³⁾		200			195
Republic of Croatia 144A 6.000%, 1/26/24⁽³⁾		200			218
Republic of El Salvador
144A 6.375%, 1/18/27⁽³⁾		155			143
144A 7.650%, 6/15/35⁽³⁾		70			65
Republic of Ghana RegS 10.750%, 10/14/30⁽⁴⁾		200			236
Republic of Guatemala 144A 4.500%, 5/3/26⁽³⁾		200			193
Republic of Indonesia
Series FR63, 5.625%, 5/15/23		624,000	^IDR		41
Series FR56, 8.375%, 9/15/26		1,566,000	^IDR		120
144A 5.250%, 1/17/42⁽³⁾		200			202
144A 5.125%, 1/15/45⁽³⁾		200			200
Republic of Iraq RegS 5.800%, 1/15/28⁽⁴⁾		250			208
Republic of Kazakhstan
144A 5.125%, 7/21/25⁽³⁾		200			214
144A 4.875%, 10/14/44⁽³⁾		200			191
Republic of Panama
3.750%, 3/16/25		200			199
3.875%, 3/17/28		200			196
Republic of Paraguay 144A 4.625%, 1/25/23⁽³⁾		200			202
Republic of Peru 4.125%, 8/25/27		280			291
Republic of Poland Series 1021, 5.750%, 10/25/21		300	^PLN		81
Republic of South Africa
Series R203, 8.250%, 9/15/17		758	^ZAR		55
Series R208, 6.750%, 3/31/21		1,470	^ZAR		101
4.300%, 10/12/28		200			186
5.000%, 10/12/46		200			185
Republic of Sri Lanka
144A 5.875%, 7/25/22⁽³⁾		200			197
144A 6.825%, 7/18/26⁽³⁾		200			197
Republic of Turkey
5.125%, 3/25/22		200			199
7.375%, 2/5/25		320			352
4.875%, 10/9/26		400			371
6.750%, 5/30/40		225			228
6.625%, 2/17/45		200			200
Republic of Ukraine 144A 7.750%, 9/1/20⁽³⁾		200			198


	PAR VALUE			VALUE
Republic of Uruguay 5.100%, 6/18/50	$	400	⁽⁷⁾	$	360
Romania
144A 6.750%, 2/7/22⁽³⁾		150			171
RegS 6.125%, 1/22/44⁽⁴⁾		120			140
Sultanate of Oman 144A 4.750%, 6/15/26⁽³⁾		200			193
Ukraine 144A 7.750%, 9/1/26⁽³⁾		160			150
United Mexican States 4.750%, 3/8/44		150			136

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $14,280)					13,689

CORPORATE BONDS AND NOTES—52.9%
Argentina—0.3%
YPF S.A. 144A 8.500%, 3/23/21⁽³⁾		90			97

Azerbaijan—1.3%
Southern Gas Corridor CJSC 144A 6.875%, 3/24/26⁽³⁾		200			216
State Oil Co. (Republic of Azerbaijan) 6.950%, 3/18/30		200			209

					425

Barbados—0.7%
Columbus Cable Barbados Ltd. 144A 7.375%, 3/30/21⁽³⁾		200			214

Brazil—4.6%
BRF SA 7.750%, 5/22/18		400	^BRL		115
JBS Investments GmbH 144A 7.250%, 4/3/24⁽³⁾		200			210
Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22⁽³⁾		168			44
Petrobras Global Finance BV
5.375%, 1/27/21		290			284
8.375%, 5/23/21		60			65
4.375%, 5/20/23		95			83
8.750%, 5/23/26		296			320
6.750%, 1/27/41		300			252
Vale Overseas Ltd. 5.875%, 6/10/21		70			73

					1,446

Canada—0.1%
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		45			46

Chile—2.6%
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		206			208
Inversiones CMPC S.A. 144A 4.375%, 5/15/23⁽³⁾		200			201


	PAR VALUE		VALUE
Chile—(continued)
Transelec S.A. 144A 4.250%, 1/14/25⁽³⁾	$	200	$	200
VTR Finance BV 144A 6.875%, 1/15/24⁽³⁾		200		207

				816

China—2.5%
Bank of China Ltd. 144A 5.000%, 11/13/24⁽³⁾		200		207
BOC Aviation Pte Ltd. 3.875%, 5/9/19		200		206
Sinopec Group Overseas Development 2016 Ltd. 144A 2.750%, 9/29/26⁽³⁾		200		181
State Grid Overseas Investment Ltd. 144A 4.125%, 5/7/24⁽³⁾		200		208

				802

Colombia—2.5%
Banco de Bogota S.A. 144A 6.250%, 5/12/26⁽³⁾		200		204
Bancolombia S.A. 5.125%, 9/11/22		100		101
Ecopetrol S.A.
5.875%, 9/18/23		200		212
5.375%, 6/26/26		70		70
GrupoSura Finance S.A. 144A 5.500%, 4/29/26⁽³⁾		200		205

				792

El Salvador—0.6%
AES El Salvador Trust II 144A 6.750%, 3/28/23⁽³⁾		200		185

Hong Kong—0.7%
Bank of China Hong Kong Ltd. 144A 5.550%, 2/11/20⁽³⁾		200		213

India—2.1%
Bharti Airtel International Netherlands BV 144A 5.125%, 3/11/23⁽³⁾		200		209
ICICI Bank Ltd. 144A 4.000%, 3/18/26⁽³⁾		200		194
Reliance Holdings USA, Inc. 144A 5.400%, 2/14/22⁽³⁾		250		270

				673

Indonesia—3.5%
Pelabuhan Indonesia II PT 144A 4.250%, 5/5/25⁽³⁾		200		190
Pertamina Persero PT
144A 4.875%, 5/3/22⁽³⁾		200		206
144A 6.000%, 5/3/42⁽³⁾		275		266
144A 5.625%, 5/20/43⁽³⁾		200		185


	PAR VALUE			VALUE
Indonesia—(continued)
Perusahaan Listrik Negara PT 144A 5.500%, 11/22/21⁽³⁾	$	250		$	269

					1,116

Jamaica—0.5%
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		200			173

Kazakhstan—1.3%
Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22⁽³⁾		200			192
KazMunayGas National Co. 144A 6.375%, 4/9/21⁽³⁾		200			218

					410

Kuwait—0.6%
Equate Petrochemical BV 144A 4.250%, 11/3/26⁽³⁾		200			191

Mexico—8.0%
Alfa SAB de CV 144A 5.250%, 3/25/24⁽³⁾		200			205
Alpek SA de C.V. 144A 5.375%, 8/8/23⁽³⁾		200			206
America Movil SAB de C.V. Series 12 6.450%, 12/5/22		2,000	^MXN		87
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.750%, 9/30/22⁽³⁾		150			164
Banco Santander Mexico SA 144A 5.950%, 1/30/24^(2)(3)(6)		200			205
Cemex SAB de C.V. 144A 7.250%, 1/15/21⁽³⁾		200			213
Comision Federal de Electricidad 144A 4.750%, 2/23/27⁽³⁾		200			192
Fermaca Enterprises S de RL de CV 144A 6.375%, 3/30/38⁽³⁾		191			188
Fomento Economico Mexicano SAB de CV 2.875%, 5/10/23		150			143
Grupo Televisa SAB
7.250%, 5/14/43		2,000	^MXN		72
6.125%, 1/31/46		200			198
Petroleos Mexicanos
4.250%, 1/15/25		100			92
144A 6.875%, 8/4/26⁽³⁾		205			216
6.375%, 1/23/45		200			182
5.625%, 1/23/46		200			166

					2,529


	PAR VALUE			VALUE
Morocco—0.7%
Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%, 4/25/24⁽³⁾	$	200		$	207

Netherlands—0.7%
GTH Finance BV 144A 7.250%, 4/26/23⁽³⁾		200			215

Peru—2.0%
Banco de Credito del Peru
144A 5.375%, 9/16/20⁽³⁾		100			108
144A 6.125%, 4/24/27⁽²⁾⁽³⁾		100			108
Banco Internacional del Peru SAA 144A 5.750%, 10/7/20⁽³⁾		100			108
Banco Internacional del Peru SAA Interbank 144A 6.625%, 3/19/29⁽²⁾⁽³⁾		100			106
Transportadora de Gas del Peru SA 144A 4.250%, 4/30/28⁽³⁾		200			197

					627

Poland—0.7%
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁵⁾		200			207

Qatar—0.6%
Ooredoo International Finance Ltd. 144A 3.750%, 6/22/26⁽³⁾		200			196

Russia—4.8%
AHML Finance Ltd. 144A 7.750%, 2/13/18⁽³⁾		5,000	^RUB		80
Gazprom OAO (Gaz Capital S.A.)
144A 6.000%, 11/27/23⁽³⁾⁽⁵⁾		200			213
144A 4.950%, 2/6/28⁽³⁾⁽⁵⁾		200			197
Lukoil International Finance BV 144A 4.563%, 4/24/23⁽³⁾		200			202
Metalloinvest Finance Ltd. 144A 5.625%, 4/17/20⁽³⁾		200			210
SCF Capital Ltd. 144A 5.375%, 6/16/23⁽³⁾		200			203
Severstal OAO Via Steel Capital SA 144A 5.900%, 10/17/22⁽³⁾⁽⁵⁾		200			215
Vnesheconombank (VEB Finance plc) 144A 6.800%, 11/22/25⁽³⁾⁽⁵⁾		200			213

					1,533

Singapore—0.7%
Oversea-Chinese Banking Corp., Ltd. 144A 4.000%, 10/15/24⁽²⁾⁽³⁾		200			206


	PAR VALUE		VALUE
South Africa—1.9%
Eskom Holdings SOC Ltd.
144A 6.750%, 8/6/23⁽³⁾	$	200	$	202
144A 7.125%, 2/11/25⁽³⁾		200		202
Transnet SOC Ltd. 144A 4.000%, 7/26/22⁽³⁾		200		191

				595

Sultanate of Oman—0.6%
Lamar Funding Ltd. 144A 3.958%, 5/7/25⁽³⁾		200		184

Supranational—2.0%
Africa Finance Corp. 144A 4.375%, 4/29/20⁽³⁾		200		205
Corp Andina de Fomento 4.375%, 6/15/22		200		212
Eurasian Development Bank 144A 4.767%, 9/20/22⁽³⁾		200		206

				623

Trinidad and Tobago—0.1%
Petroleum Co. of Trinidad & Tobago Ltd. RegS 6.000%, 5/8/22⁽⁴⁾		46		45

Turkey—2.4%
Akbank Tas 144A 5.125%, 3/31/25⁽³⁾		200		182
Turkiye Is Bankasi
144A 5.375%, 10/6/21⁽³⁾		200		192
144A 7.850%, 12/10/23⁽³⁾		200		207
Turkiye Vakiflar Bankasi Tao 144A 6.875%, 2/3/25⁽²⁾⁽³⁾		200		193

				774

Ukraine—1.1%
Oschadbank Via (SSB #1 plc) RegS 9.375%, 3/10/23^(2)(4)(5)		200		195
Ukreximbank Via Biz Finance plc 144A 9.625%, 4/27/22⁽³⁾		150		147

				342

United Arab Emirates—0.8%
DP World Ltd. 144A 6.850%, 7/2/37⁽³⁾		250		266

United Kingdom—0.5%
EnQuest plc 144A 7.000%, 4/15/22⁽³⁾		208		152

United States—0.1%
Parker Drilling Co. 6.750%, 7/15/22		50		43


	PAR VALUE			VALUE
Venezuela—1.3%
Petroleos de Venezuela S.A.
RegS 8.500%, 11/2/17⁽⁴⁾	$	60		$	48
144A 8.500%, 10/27/20⁽³⁾		150			112
144A 6.000%, 5/16/24⁽³⁾		555			215
RegS 6.000%, 11/15/26⁽⁴⁾		100			39

					414

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $17,285)					16,757

LOAN AGREEMENTS⁽²⁾—0.2%
Luxembourg—0.2%
Delta 2 (Lux) S.a.r.l. Tranche B-3, 4.750%, 7/30/21		47			47

TOTAL LOAN AGREEMENTS (Identified Cost $47)					47


	SHARES
PREFERRED STOCK—0.6%
Thailand—0.6%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		200	⁽⁸⁾		202

TOTAL PREFERRED STOCK (Identified Cost $201)					202

COMMON STOCK—0.1%
Colombia—0.1%
Pacific Exploration and Production Corp.⁽⁹⁾		1,103			45

TOTAL COMMON STOCK (Identified Cost $39)					45

TOTAL LONG TERM INVESTMENTS—97.0% (Identified Cost $31,852)					30,740

TOTAL INVESTMENTS—97.0% (Identified Cost $31,852)					30,740	⁽¹⁾
Other assets and liabilities, net—3.0%					938

NET ASSETS—100.0%				$	31,678

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2016.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $20,204 or 63.8% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁶⁾	Interest payments may be deferred.

⁽⁷⁾	Principal amount is adjusted daily pursuant to the change in the Consumer Price Index.

⁽⁸⁾	Value shown as par value.

⁽⁹⁾	Non-income producing.

Foreign Currencies:

BRL	Brazilian Real

CLP	Chilean Peso

COP	Colombian Peso

IDR	Indonesian Rupiah

MXN	Mexican Peso

PLN	Polish Zloty

RUB	Russian Ruble

ZAR	South African Rand

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
PREFERRED STOCK—5.2%
Consumer Staples—0.5%
Companhia Brasileira de Distribuicao Grupo Pao de Acucar 0.03% (Brazil)		7,200	$	121

Financials—1.8%
Banco Bradesco S.A. 4.26% (Brazil)		33,320		297
Bancolombia S.A. 3.18% (Colombia)		5,231		47
Itausa Investimentos Itau S.A. 5.68% (Brazil)		49,470		126

				470

Materials—1.4%
Braskem S.A. Class A 7.07% (Brazil)		11,200		118
Suzano Papel e Celulose S.A. Class A 2.18% (Brazil)		59,400		259

				377

Telecommunication Services—0.8%
Telefonica Brasil S.A. 4.59% (Brazil)		15,600		211

Utilities—0.7%
Companhia Energetica de Minas Gerais 7.47% (Brazil)		58,800		139
Companhia Paranaense de Energia, Class B 4.01% (Brazil)		6,700		57

				196

TOTAL PREFERRED STOCK (Identified Cost $991)				1,375

COMMON STOCKS—92.1%
Consumer Discretionary—8.0%
Astra International Tbk PT (Indonesia)		465,900		286
Bajaj Auto Ltd. (India)		2,607		101
Coway Co., Ltd. (South Korea)		2,510		183
Dongfeng Motor Group Co., Ltd. Class H (China)		178,000		174
Ford Otomotiv Sanayi AS (Turkey)		8,044		70
Foschini Group Ltd. (The) (South Africa)		5,425		63
Home Product Center PCL (Thailand)		398,100		113
Hotai Motor Co., Ltd. (Taiwan)		12,000		137
Kangwon Land, Inc. (South Korea)		6,365		188
Kia Motors Corp. (South Korea)		5,225		170
Lojas Renner S.A. (Brazil)		17,000		121
Merida Industry Co., Ltd. (Taiwan)		27,000		121
Steinhoff International Holdings NV (Netherlands)		35,813		186


	SHARES		VALUE
Consumer Discretionary—(continued)
Truworths International Ltd. (South Africa)		16,702	$	97
Tsogo Sun Holdings Ltd. (South Africa)		40,092		81

				2,091

Consumer Staples—3.9%
Ambev S.A. (Brazil)		45,000		227
Eurocash S.A. (Poland)		5,501		52
Fomento Economico Mexicano S.A.B. de CV (Mexico)		20,100		153
Hindustan Unilever Ltd. (India)		8,952		109
KT&G Corp. (South Korea)		2,778		232
Spar Group Ltd. (The) (South Africa)		5,658		82
Want Want China Holdings Ltd. (China)		239,000		153

				1,008

Energy—7.3%
Cosan S.A. Industria e Comercio (Brazil)		17,700		207
Gazprom PAO (Gazstream S.A.) Sponsored ADR (Russia)		80,736		411
IRPC PCL (Thailand)		1,762,100		236
Lukoil PJSC Sponsored ADR (Russia)		2,973		167
MOL Hungarian Oil & Gas PLC (Hungary)		818		57
Rosneft OJSC GDR (Russia)		20,422		135
Thai Oil PCL (Thailand)		132,300		267
Ultrapar Participacoes S.A. (Brazil)		7,700		162
United Tractors Tbk PT (Indonesia)		164,800		260

				1,902

Financials—25.1%
Abu Dhabi Commercial Bank PJSC (United Arab Emirates)		36,732		69
Agricultural Bank of China Ltd. Class H (China)		685,000		281
Banco de Chile (Chile)		387,263		45
Banco do Brasil S.A. (Brazil)		31,500		272
Banco Santander Chile S.A. (Chile)		2,360,174		131
Bank of China Ltd. Class H (China)		1,123,000		498
Barclays Africa Group Ltd. (South Africa)		20,416		251
BM&F Bovespa S.A. (Brazil)		18,100		92
Chailease Holding Co., Ltd. (Taiwan)		90,000		154
China Construction Bank Corp. Class H (China)		1,362,000		1,049
China Everbright Bank Co., Ltd. Class H (China)		398,000		181
China Everbright Ltd. (China)		126,000		240
CIMB Group Holdings Bhd (Malaysia)		90,800		91
Commercial Bank QSC (The) (Qatar)⁽²⁾		1,218		0


	SHARES		VALUE
Financials—(continued)
Dongbu Insurance Co., Ltd. (South Korea)		4,467	$	231
Dubai Islamic Bank PJSC (United Arab Emirates)		59,472		90
Emlak Konut Gayrimenkul Yatirim Ortakligi AS (Turkey)		124,666		106
First Gulf Bank PJSC (United Arab Emirates)		22,301		78
FirstRand Ltd. (South Africa)		77,913		302
Fubon Financial Holding Co., Ltd. (Taiwan)		126,000		199
Gentera S.A.B de CV (Mexico)		54,700		88
Hyundai Marine & Fire Insurance Co., Ltd. (South Korea)		11,555		301
Industrial & Commercial Bank of China Ltd. Class H (China)		1,361,000		816
Liberty Holdings Ltd. (South Africa)		15,086		122
MMI Holdings Ltd. (South Africa)		32,426		56
OTP Bank plc (Hungary)		3,826		109
Ping An Insurance Group Co. of China Ltd. Class H (China)		49,500		248
Porto Seguro S.A. (Brazil)		13,300		110
Standard Bank Group Ltd. (South Africa)		20,494		226
Turkiye Is Bankasi Class C (Turkey)		76,876		113

				6,549

Health Care—2.0%
China Medical System Holdings Ltd. (China)		158,000		250
Richter Gedeon Nyrt (Hungary)		6,181		131
Sinopharm Group Co., Ltd.Class H (China)		37,200		153

				534

Industrials—6.3%
Air China Ltd. Class H (China)		192,000		123
AirAsia BHD (Malaysia)		215,600		110
Bidvest Group Ltd. (The) (South Africa)		11,862		157
China Conch Venture Holdings Ltd. (China)		94,000		167
Grupo Aeroportuario del Pacifico SAB de C.V. Class B (Mexico)		6,800		56
Kepco Plant Service & Engineering Co., Ltd. (South Korea)		2,864		128
LG Corp. (South Korea)		3,918		195
Shanghai Industrial Holdings Ltd. (China)		124,000		336
Sinopec Engineering Group Co., Ltd. Class H (China)		118,000		98
TAV Havalimanlari Holding AS (Turkey)		14,089		56
Weg S.A. (Brazil)		13,300		63


	SHARES		VALUE
Industrials—(continued)
Zhejiang Expressway Co., Ltd. Class H (China)		160,000	$	153

				1,642

Information Technology—23.5%
Advanced Semiconductor Engineering, Inc. (Taiwan)		217,000		223
Asustek Computer, Inc. (Taiwan)		26,000		214
Catcher Technology Co., Ltd. (Taiwan)		49,000		341
Compal Electronics, Inc. (Taiwan)		312,000		179
Delta Electronics Thailand PCL (Thailand)		91,900		209
Foxconn Technology Co., Ltd. (Taiwan)		520		1
HCL Technologies Ltd. (India)		59,520		726
Hon Hai Precision Industry Co., Ltd. (Taiwan)		121,190		317
Infosys Ltd. (India)		50,210		748
Lite-On Technology Corp. (Taiwan)		92,473		139
NetEase, Inc. ADR (China)		966		208
Pegatron Corp. (Taiwan)		105,000		251
Phison Electronics Corp. (Taiwan)		37,000		293
Simplo Technology Co., Ltd. (Taiwan)		33,000		95
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)		141,000		794
Tata Consultancy Services Ltd. (India)		13,096		456
Travelsky Technology Ltd. Class H (China)		91,000		191
Vanguard International Semiconductor Corp. (Taiwan)		68,000		119
Wipro Ltd. (India)		20,305		142
Wistron Corp. (Taiwan)		301,644		233
WPG Holdings Ltd. (Taiwan)		216,000		255

				6,134

Materials—5.8%
Asia Cement Corp. (Taiwan)		223,000		182
Cementos Argos S.A. (Colombia)		22,940		91
Grupo Mexico S.A.B. de C.V. Class B (Mexico)		28,500		77
Hyosung Corp. (South Korea)		3,211		387
Mondi Ltd. (South Africa)		2,877		59
PTT Global Chemical PCL (Thailand)		81,900		144
Sasol Ltd. (South Africa)		2,832		82
Siam Cement PCL (Thailand)		16,800		234
Sibanye Gold Ltd. (South Africa)		141,029		261

				1,517

Real Estate—2.6%
Aldar Properties PJSC (United Arab Emirates)		174,550		125


	SHARES		VALUE
Real Estate—(continued)
Guangzhou R&F Properties Co., Ltd. Class H (China)		139,600	$	169
Shimao Property Holdings Ltd. (China)		193,000		252
Sino-Ocean Land Holdings Ltd. (China)		328,500		147

				693

Telecommunication Services—5.5%
America Movil S.A.B. de C.V. Class L (Mexico)		100,300		63
Axiata Group Bhd (Malaysia)		63,400		67
China Communications Services Corp. Ltd. Class H (China)		400,000		255
China Mobile Ltd. (China)		37,000		392
Globe Telecom Inc (Philippines)		4,730		143
SK Telecom Co., Ltd. (South Korea)		1,064		197
Telkom S.A. SOC Ltd. (South Africa)		38,402		207
Vodacom Group Ltd. (South Africa)		11,233		125

				1,449

Utilities—2.1%
China Resources Power Holdings Co., Ltd. (China)		168,000		266
Enel Generacion Chile S.A. (Chile)		71,445		47
Interconexion Electrica S.A. ESP (Colombia)		15,382		51
Korea Electric Power Corp. (South Korea)		4,990		182

				546

TOTAL COMMON STOCKS (Identified Cost $22,911)				24,065

TOTAL LONG TERM INVESTMENTS—97.3% (Identified Cost $23,902)				25,440

TOTAL INVESTMENTS—97.3% (Identified Cost $23,902)				25,440	⁽¹⁾
Other assets and liabilities, net—2.7%				695

NET ASSETS—100.0%			$	26,135

Abbreviations:

ADR	American Depositary Receipt

GDR	Global Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $ 16,782 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).


	SHARES			VALUE
COMMON STOCKS—99.5%
Consumer Discretionary—5.9%
Kangwon Land, Inc. (South Korea)		2,402,628		$	71,116
Las Vegas Sands Corp. (United States)		1,453,113			77,611
Matahari Department Store Tbk PT (Indonesia)		85,155,934			95,601
Naspers Ltd. Class N (South Africa)		910,712			133,558

					377,886

Consumer Staples—39.5%
Ambev S.A. Sponsored ADR (Brazil)		53,263,742			261,525
Amorepacific Corp. (South Korea)		482,854			128,529
Anheuser-Busch Inbev S.A. NV (Belgium)		1,287,823			136,309
British American Tobacco Bhd (Malaysia)		1,691,314	⁽⁴⁾		16,815
British American Tobacco plc (United Kingdom)		6,737,334	⁽³⁾		381,961
Colgate Palmolive India Ltd. (India)		1,626,621			21,680
CP ALL PCL (Thailand)		101,735,400			177,559
Fomento Economico Mexicano SAB de C.V. Sponsored ADR (Mexico)		3,109,611			236,983
Hanjaya Mandala Sampoerna Tbk PT (Indonesia)		312,424,000			88,817
Heineken N.V. (Netherlands)		1,761,181			132,110
Hindustan Unilever Ltd. (India)		7,020,177			85,474
ITC Ltd. (India)		80,471,068			286,516
LG Household & Health Care Ltd. (South Korea)		137,068			97,257
President Chain Store Corp. (Taiwan)		6,724,158			48,195
Thai Beverage PCL (Thailand)		124,656,700			73,168
Unilever Indonesia Tbk PT (Indonesia)		5,506,080			15,857
Unilever N.V. CVA (Netherlands)⁽⁵⁾		4,957,396			204,119
Wal-Mart de Mexico SAB de CV (Mexico)		89,410,186			160,018

					2,552,892

Energy—2.4%
Ultrapar Participacoes S.A. (Brazil)		7,344,579			154,465

Financials—22.5%
Bank Central Asia Tbk PT (Indonesia)		104,509,793			120,238
Bank Pekao SA (Poland)		2,410,802			72,474
BB Seguridade Participacoes (Brazil)		12,750,917			110,871
Grupo Financiero Santander Mexico SAB de C.V. ADR, Class B (Mexico)		10,998,930			79,082
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		1,013,498			23,944
Housing Development Finance Corp. Ltd. (India)		14,668,832			272,887


	SHARES		VALUE
Financials—(continued)
Housing Development Finance Corp. Bank Ltd. (India)		18,376,541	$	326,592
Housing Development Finance Corp. Bank Ltd. ADR (India)		605,072		36,716
Public Bank Bhd (Malaysia)		23,794,000		104,596
Remgro Ltd. (South Africa)		6,329,978		102,805
Samsung Fire & Marine Insurance Co., Ltd. (South Korea)		387,383		86,117
United Overseas Bank Ltd. (Singapore)		8,287,000		116,739

				1,453,061

Health Care—3.4%
Dr. Reddy’s Laboratories Ltd. (India)		1,158,236		52,227
Dr. Reddy’s Laboratories Ltd. ADR (India)⁽⁵⁾		360,312		16,315
Mediclinic International plc (United Kingdom)		7,888,954		74,675
Sun Pharmaceutical Industries Ltd. (India)		8,217,468		76,278

				219,495

Industrials—2.1%
Airports of Thailand PCL (Thailand)		2,993,600		33,271
Grupo Aeroportuario del Pacifico SAB de C.V. Class B (Mexico)		4,093,243		33,647
Korea Aerospace Industries Ltd. (South Korea)		1,268,651		70,375

				137,293

Information Technology—18.8%
Alibaba Group Holding Ltd. Sponsored ADR (China)⁽²⁾		3,404,372		298,938
Cielo S.A. (Brazil)		13,413,509		114,942
NetEase, Inc. ADR (China)		699,538		150,638
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)		18,277,302		102,930
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan)		3,297,344		94,799
Tata Consultancy Services Ltd. (India)		4,779,555		166,587
Tencent Holdings Ltd. (China)		11,543,314		282,387

				1,211,221

Real Estate—1.5%
Link REIT (The) (Hong Kong)		15,100,008		98,142

Telecommunication Services—2.6%
Telekomunikasi Indonesia Persero Tbk PT (Indonesia)		576,284,265		170,244


	SHARES		VALUE
Utilities—0.8%
Infraestructura Energetica Nova Sab de CV (Mexico)		12,482,781	$	54,376

TOTAL COMMON STOCKS (Identified Cost $6,474,455)				6,429,075

TOTAL LONG TERM INVESTMENTS—99.5% (Identified Cost $6,474,455)				6,429,075

SECURITIES LENDING COLLATERAL—0.2%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) - Institutional Shares (seven-day effective yield 0.670%)⁽⁶⁾⁽⁷⁾		12,325,109		12,325

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $12,325)				12,325

TOTAL INVESTMENTS—99.7% (Identified Cost $6,486,780)				6,441,400	⁽¹⁾
Other assets and liabilities, net—0.3%				17,086

NET ASSETS—100.0%			$	6,458,486

Abbreviations:


ADR		American Depositary Receipt
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares traded on Johannesburg Exchange.

⁽⁴⁾	Shares traded on London Exchange.

⁽⁵⁾	All or a portion of security is on loan.

⁽⁶⁾	Represents security purchased with cash collateral received for securities on loan.

⁽⁷⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $3,186,884 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).


	SHARES		VALUE
PREFERRED STOCK—1.0%
Consumer Discretionary—1.0%
Whirlpool SA 0.14% (Brazil)⁽²⁾		55,164	$	54

TOTAL PREFERRED STOCK(Identified Cost $45)				54

COMMON STOCKS—90.4%
Consumer Discretionary—8.8%
Ace Hardware Indonesia Tbk PT (Indonesia)		1,633,000		101
Goldlion Holdings Ltd. (Hong Kong)		270,000		105
Pico Far East Holdings Ltd. (Hong Kong)		706,780		217
Whirlpool SA (Brazil)⁽²⁾		54,661		51

				474

Consumer Staples—22.0%
AVI Ltd. (South Africa)		25,710		171
Compania Cervecerias Unidas SA Sponsored ADR (Chile)		6,680		140
Embotelladora Andina ADR S.A. Class-B (Chile)		2,300		52
Heineken Malaysia Bhd (Malaysia)		35,000		128
Oldtown Bhd (Malaysia)		322,750		137
Pinar SUT Mamulleri Sanayii AS (Turkey)		22,800		102
Premier Marketing PCL (Thailand)		643,000		160
Union de Cervecerias Peruanas Backus y Johnston SAA (Peru)		17,300		83
Wawel SA (Poland)		832		219

				1,192

Energy—1.9%
Qualitech PCL (Thailand)		397,979		101

Financials—14.4%
ARA Asset Management Ltd. (Singapore)		165,880		195
BFI Finance Indonesia Tbk PT (Indonesia)		779,000		202
Credit Analysis & Research Ltd. (India)		7,900		152
Korea Ratings Corp. (South Korea)		3,360		116
Tisco Financial Group PCL (Thailand)		66,700		112

				777

Industrials—22.5%
Blue Dart Express Ltd. (India)		800		52
DKSH Holding AG (Switzerland)		780		54
Freight Management Holdings Bhd (Malaysia)		218,729		55
Hy-Lok Corp. (South Korea)		5,800		101


	SHARES		VALUE
Industrials—(continued)
Lumax International Corp., Ltd. (Taiwan)		118,628	$	194
Prosegur Cia de Seguridad SA (Spain)		15,700		98
S-1 Corp. (South Korea)		1,950		142
Sinmag Equipment Corp. (Taiwan)		28,520		125
Taiwan Secom Co., Ltd. (Taiwan)		61,874		170
Tegma Gestao Logistica SA (Brazil)⁽²⁾		51,000		120
Turk Traktor Ve Ziraat Makineleri AS (Turkey)		5,100		108

				1,219

Information Technology—8.6%
Autohome, Inc. ADR (China)⁽²⁾		8,970		227
Cartrack Holdings Ltd. (South Africa)		76,200		61
MercadoLibre, Inc. (United States)		315		49
Yandex N.V. Class A (Russia)⁽²⁾		6,410		129

				466

Materials—12.2%
Corp. Moctezuma SAB de C.V. (Mexico)		36,000		103
Enaex SA (Chile)		10,600		101
Tikkurila Oyj (Finland)		2,700		54
Transpaco Ltd. (South Africa)		87,500		185
Yung Chi Paint & Varnish Manufacturing Co. Ltd. (Taiwan)		87,000		216

				659

TOTAL COMMON STOCKS (Identified Cost $4,869)				4,888

TOTAL LONG TERM INVESTMENTS—91.4% (Identified Cost $4,914)				4,942

SHORT-TERM INVESTMENT—5.0%
Money Market Mutual Fund—5.0%
JPMorgan U.S. Government Money Market Fund - Institutional Shares (seven-day effective yield 0.440%)⁽³⁾		268,851		269

TOTAL SHORT-TERM INVESTMENT (Identified Cost $269)				269


	VALUE
TOTAL INVESTMENTS—96.4% (Identified Cost $5,183)	$	5,211	⁽¹⁾
Other assets and liabilities, net—3.6%		196

NET ASSETS—100.0%	$	5,407


Abbreviation:

ADR		American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $105 were transferred from Level 1 to Level 2 and securities held by the Fund with an end of period value of $2,050 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).


	SHARES		VALUE
COMMON STOCKS—100.3%
Consumer Discretionary—28.4%
Advance Auto Parts, Inc.		10,601	$	1,793
Amazon.com, Inc.⁽²⁾		10,651		7,987
AutoNation, Inc.⁽²⁾		10,553		513
AutoZone, Inc.⁽²⁾		4,365		3,447
Best Buy Co., Inc.		260,123		11,099
CarMax, Inc.⁽²⁾		29,130		1,876
Carnival Corp.		74,648		3,886
CBS Corp. Class B		104,884		6,673
Charter Communications, Inc. Class A⁽²⁾		11,994		3,453
Chipotle Mexican Grill, Inc.⁽²⁾		1,409		532
Comcast Corp. Class A		130,105		8,984
Darden Restaurants, Inc.		4,949		360
Discovery Communications, Inc. Class A⁽²⁾		38,911		1,067
Discovery Communications, Inc. Class C⁽²⁾		57,811		1,548
Expedia, Inc.		3,965		449
Foot Locker, Inc.		13,935		988
Gap, Inc. (The)		26,369		592
Garmin Ltd.		100,417		4,869
Genuine Parts Co.		74,174		7,087
Harley-Davidson, Inc.		195,238		11,390
Harman International Industries, Inc.		62,374		6,934
Hasbro, Inc.		62,312		4,847
Home Depot, Inc. (The)		67,940		9,109
Interpublic Group of Cos., Inc. (The)		163,919		3,837
L Brands, Inc.		28,074		1,848
Leggett & Platt, Inc.		86,963		4,251
LKQ Corp.⁽²⁾		141,813		4,347
Lowe’s Cos., Inc.		44,553		3,169
Marriott International, Inc. Class A		55,157		4,560
Mattel, Inc.		188,313		5,188
McDonald’s Corp.		45,385		5,524
Mohawk Industries, Inc.⁽²⁾		41,021		8,191
Netflix, Inc.⁽²⁾		13,124		1,625
Newell Brands, Inc.		252,875		11,291
NIKE, Inc. Class B		237,424		12,068
O’Reilly Automotive, Inc.⁽²⁾		15,566		4,334
Omnicom Group, Inc.		96,773		8,236
Priceline Group, Inc. (The)⁽²⁾		1,247		1,828
Ross Stores, Inc.		43,864		2,877
Royal Caribbean Cruises Ltd.		28,970		2,377


	SHARES		VALUE
Consumer Discretionary—(continued)
Scripps Networks Interactive, Inc. Class A		24,561	$	1,753
Starbucks Corp.		77,975		4,329
TEGNA, Inc.		55,259		1,182
TJX Cos., Inc. (The)		72,694		5,462
TripAdvisor, Inc.⁽²⁾		3,208		149
Urban Outfitters, Inc.⁽²⁾		10,802		308
Wyndham Worldwide Corp.		18,965		1,448
Wynn Resorts Ltd.		115,030		9,951
Yum! Brands, Inc.		19,436		1,231

				210,847

Consumer Staples—8.1%
Altria Group, Inc.		75,763		5,123
Brown-Forman Corp. Class B		55,261		2,482
Campbell Soup Co.		7,523		455
Conagra Brands, Inc.		19,291		763
Constellation Brands, Inc. Class A		60,112		9,216
General Mills, Inc.		25,132		1,552
Hershey Co. (The)		6,796		703
Hormel Foods Corp.		10,011		348
J.M. Smucker Co. (The)		4,489		575
Kellogg Co.		10,658		785
Kraft Heinz Co.(The)		24,572		2,146
McCormick & Co., Inc.		4,664		435
Mead Johnson Nutrition Co.		7,810		553
Molson Coors Brewing Co. Class B		121,282		11,802
Mondelez International, Inc. Class A		68,033		3,016
Philip Morris International, Inc.		60,160		5,504
Reynolds American, Inc.		29,062		1,629
Sysco Corp.		223,245		12,361
Tyson Foods, Inc. Class A		11,522		711

				60,159

Energy—3.5%
Helmerich & Payne, Inc.		97,487		7,545
Marathon Petroleum Corp.		65,060		3,276
Phillips 66		52,665		4,551
Tesoro Corp.		14,995		1,311
Transocean Ltd.⁽²⁾		349,920		5,158
Valero Energy Corp.		58,310		3,984

				25,825

Financials—10.1%
Aflac, Inc.		26,816		1,866


	SHARES		VALUE
Financials—(continued)
Allstate Corp. (The)		28,798	$	2,134
AON plc		34,898		3,892
Bank of America Corp.		121,304		2,681
BB&T Corp.		45,249		2,128
Charles Schwab Corp. (The)		71,733		2,831
CHUBB Ltd.		34,801		4,598
Cincinnati Financial Corp.		10,102		765
Citigroup, Inc.		34,555		2,054
Citizens Financial Group, Inc.		28,870		1,029
Comerica, Inc.		1,799		123
E*Trade Financial Corp.⁽²⁾		16,185		561
Fifth Third Bancorp		42,576		1,148
Gallagher (Arthur J.) & Co.		23,267		1,209
Goldman Sachs Group, Inc. (The)		22,487		5,384
Huntington Bancshares, Inc.		60,295		797
JPMorgan Chase & Co.		42,953		3,706
KeyCorp		60,111		1,098
Lincoln National Corp.		15,253		1,011
M&T Bank Corp.		8,733		1,366
Marsh & McLennan Cos., Inc.		68,065		4,601
MetLife, Inc.		71,902		3,875
Morgan Stanley		87,707		3,706
People’s United Financial, Inc.		17,339		336
PNC Financial Services Group, Inc. (The)		27,314		3,195
Principal Financial Group, Inc.		17,519		1,014
Progressive Corp. (The)		42,993		1,526
Prudential Financial, Inc.		28,612		2,977
Regions Financial Corp.		69,717		1,001
SunTrust Banks, Inc.		27,866		1,528
Torchmark Corp.		7,218		532
Travelers Cos., Inc. (The)		20,965		2,567
U.S. Bancorp.		19,145		983
Unum Group		15,316		673
Wells Fargo & Co.		53,995		2,976
Willis Towers Watson plc		17,066		2,087
XL Group Ltd.		21,482		800
Zions Bancorporation		9,962		429

				75,187

Health Care—4.9%
Abbott Laboratories		41,282		1,586
Aetna, Inc.		14,616		1,812
Agilent Technologies, Inc.		32,609		1,486


	SHARES		VALUE
Health Care—(continued)
Anthem, Inc.		11,008	$	1,583
Bard (C.R.), Inc.		2,115		475
Baxter International, Inc.		15,731		697
Becton, Dickinson & Co.		6,009		995
Boston Scientific Corp.⁽²⁾		38,338		829
Centene Corp.⁽²⁾		6,147		347
Cigna Corp.		10,923		1,457
Danaher Corp.		14,321		1,115
Edwards Lifesciences Corp.⁽²⁾		6,445		604
Hologic, Inc.⁽²⁾		6,281		252
Humana, Inc.		6,434		1,313
Illumina, Inc.⁽²⁾		14,699		1,882
Intuitive Surgical, Inc.⁽²⁾		1,077		683
Medtronic plc		33,823		2,409
Mettler-Toledo International, Inc.⁽²⁾		2,527		1,058
PerkinElmer, Inc.		11,645		607
St. Jude Medical, Inc.		7,488		600
Stryker Corp.		9,189		1,101
Thermo Fisher Scientific, Inc.		40,295		5,686
UnitedHealth Group, Inc.		36,510		5,843
Varian Medical Systems, Inc.⁽²⁾		2,783		250
Waters Corp.⁽²⁾		8,113		1,090
Zimmer Biomet Holdings, Inc.		5,268		544

				36,304

Industrials—16.3%
3M Co.		15,692		2,802
Allegion plc		17,473		1,118
Arconic, Inc.		11,635		216
Boeing Co. (The)		15,896		2,475
Cintas Corp.		103,749		11,989
Deere & Co.		121,669		12,537
Dover Corp.		14,131		1,059
Dun & Bradstreet Corp. (The)		8,638		1,048
Equifax, Inc.		31,128		3,680
Expeditors International of Washington, Inc.		15,202		805
FedEx Corp.		20,504		3,818
Flowserve Corp.		12,527		602
Fortive Corp.		23,622		1,267
Fortune Brands Home & Security, Inc.		27,562		1,473
General Dynamics Corp.		7,388		1,276
General Electric Co.		220,814		6,978
Honeywell International, Inc.		18,828		2,181


	SHARES		VALUE
Industrials—(continued)
Hunt (JB) Transport Services, Inc.		83,143	$	8,071
Illinois Tool Works, Inc.		25,100		3,074
Ingersoll-Rand plc		24,162		1,813
Johnson Controls International plc		168,908		6,957
L-3 Communications Holdings, Inc.		1,874		285
Lockheed Martin Corp.		6,153		1,538
Masco Corp.		60,101		1,900
Nielsen Holdings plc		85,200		3,574
Northrop Grumman Corp.		4,504		1,048
Parker Hannifin Corp.		12,398		1,736
Pentair plc		16,351		917
Raytheon Co.		7,416		1,053
Republic Services, Inc.		60,792		3,468
Robinson (C.H.) Worldwide, Inc.		11,988		878
Rockwell Collins, Inc.		3,323		308
Roper Technologies, Inc.		2,444		447
Ryder System, Inc.		50,598		3,767
Snap-On, Inc.		5,540		949
Stanley Black & Decker, Inc.		13,472		1,545
Stericycle, Inc.⁽²⁾		21,298		1,641
Textron, Inc.		6,757		328
TransDigm Group, Inc.⁽²⁾		1,326		330
United Parcel Service, Inc. Class B		57,972		6,646
United Technologies Corp.		19,438		2,131
Verisk Analytics, Inc.⁽²⁾		37,094		3,011
Waste Management, Inc.		104,771		7,429
Xylem, Inc.		16,423		813

				120,981

Information Technology—14.6%
Activision Blizzard, Inc.		166,160		6,000
Adobe Systems, Inc.⁽²⁾		39,307		4,047
Akamai Technologies, Inc.⁽²⁾		6,007		401
Alliance Data Systems Corp.		1,305		298
Alphabet, Inc. Class A⁽²⁾		3,924		3,110
Alphabet, Inc. Class C⁽²⁾		3,933		3,036
Amphenol Corp. Class A		79,661		5,353
Analog Devices, Inc.		7,240		526
Apple, Inc.		91,308		10,575
Applied Materials, Inc.		209,979		6,776
Autodesk, Inc.⁽²⁾		17,997		1,332
Automatic Data Processing, Inc.		9,441		970
Broadcom Ltd.		8,970		1,586


	SHARES		VALUE
Information Technology—(continued)
CA, Inc.		5,599	$	178
Citrix Systems, Inc.⁽²⁾		12,040		1,075
Corning, Inc.		267,490		6,492
eBay, Inc.⁽²⁾		13,747		408
Electronic Arts, Inc.⁽²⁾		73,277		5,771
Facebook, Inc. Class A⁽²⁾		34,035		3,916
Fidelity National Information Services, Inc.		5,707		432
First Solar, Inc.⁽²⁾		1,722		55
Fiserv, Inc.⁽²⁾		4,663		496
Global Payments, Inc.		3,898		271
Hewlett Packard Enterprise Co.		30,032		695
HP, Inc.		28,872		429
Intel Corp.		99,124		3,595
Intuit, Inc.		20,359		2,333
KLA-Tencor Corp.		30,326		2,386
Lam Research Corp.		33,276		3,518
Linear Technology Corp.		6,424		401
MasterCard, Inc. Class A		23,896		2,467
Microchip Technology, Inc.		4,593		295
Micron Technology, Inc.⁽²⁾		26,838		588
Microsoft Corp.		141,824		8,813
NetApp, Inc.		3,870		137
NVIDIA Corp.		11,695		1,248
Oracle Corp.		61,778		2,375
Paychex, Inc.		6,602		402
PayPal Holdings, Inc.⁽²⁾		22,688		896
Qorvo, Inc.⁽²⁾		2,734		144
QUALCOMM, Inc.		35,799		2,334
Red Hat, Inc.⁽²⁾		3,735		260
salesforce.com, Inc.⁽²⁾		48,996		3,354
Seagate Technology plc		5,714		218
Skyworks Solutions, Inc.		4,634		346
Symantec Corp.		14,286		341
Texas Instruments, Inc.		24,172		1,764
Total System Services, Inc.		3,511		172
VeriSign, Inc.⁽²⁾		2,526		192
Visa, Inc. Class A		46,981		3,665
Western Digital Corp.		5,192		353
Western Union Co. (The)		10,883		236
Xerox Corp.		19,962		174
Xilinx, Inc.		6,271		379
Yahoo!, Inc.⁽²⁾		11,518		445

				108,059


	SHARES		VALUE
Materials—9.7%
Albemarle Corp.		13,621	$	1,173
Avery Dennison Corp.		18,053		1,268
Dow Chemical Co. (The)		94,716		5,420
Du Pont (E.I.) de Nemours & Co.		73,487		5,394
Eastman Chemical Co.		12,913		971
Ecolab, Inc.		31,768		3,724
International Flavors & Fragrances, Inc.		7,609		897
International Paper Co.		103,964		5,516
Martin Marietta Materials, Inc.		25,975		5,754
Newmont Mining Corp.		366,440		12,485
Nucor Corp.		191,158		11,378
PPG Industries, Inc.		32,234		3,054
Sealed Air Corp.		49,746		2,255
Sherwin-Williams Co. (The)		9,732		2,615
Vulcan Materials Co.		54,458		6,815
WestRock Co.		63,596		3,229

				71,948

Real Estate—3.3%
American Tower Corp.		25,734		2,720
Crown Castle International Corp.		23,214		2,014
Digital Realty Trust, Inc.		8,006		787
Equinix, Inc.		4,868		1,740
Extra Space Storage, Inc.		8,759		676
Iron Mountain, Inc.		12,148		395
Prologis, Inc.		233,553		12,329
Public Storage		10,312		2,305
Weyerhaeuser Co.		54,341		1,635

				24,601

Utilities—1.4%
Ameren Corp.		10,516		552
CenterPoint Energy, Inc.		19,888		490
CMS Energy Corp.		12,282		511
Consolidated Edison, Inc.		18,312		1,349
Dominion Resources, Inc.		34,971		2,678
DTE Energy Co.		7,861		774
NiSource, Inc.		14,346		318
Public Service Enterprise Group, Inc.		21,901		961
SCANA Corp.		5,714		419
Sempra Energy		13,977		1,407


	SHARES		VALUE
Utilities—(continued)
WEC Energy Group, Inc.		13,104	$	768

				10,227

TOTAL COMMON STOCKS (Identified Cost $673,040)				744,138

TOTAL LONG TERM INVESTMENTS—100.3% (Identified Cost $673,040)				744,138

TOTAL INVESTMENTS—100.3% (Identified Cost $673,040)				744,138	⁽¹⁾
Other assets and liabilities, net—(0.3)%				(2,359	)

NET ASSETS—100.0%			$	741,779

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.


	SHARES		VALUE
COMMON STOCK—95.5%
Consumer Discretionary—4.3%
BorgWarner, Inc. (United States)		567	$	22
Coway Co., Ltd. (South Korea)		641		47
Delphi Automotive plc (United Kingdom)		749		50
Enercare, Inc. (Canada)		5,310		71
LKQ Corp. (United States)⁽²⁾		472		15

				205

Consumer Staples—16.1%
Adecoagro SA (Brazil)⁽²⁾		4,010		42
Andersons, Inc. (The) (United States)		425		19
Archer-Daniels-Midland Co. (United States)		2,185		100
BRF SA (Brazil)		1,600		24
Bunge Ltd. (United States)		1,245		90
Dean Foods Co. (United States)		1,048		23
Glanbia plc (Ireland)		1,039		17
Golden Agri-Resources Ltd. (Singapore)		152,500		45
Greencore Group plc (Ireland)		14,816		45
Ingredion, Inc. (United States)		262		33
JBS SA (Brazil)		8,500		30
Kerry Group plc Class A (Ireland)⁽²⁾		150		11
Kuala Lumpur Kepong BHD (Malaysia)		2,000		11
KWS Saat SE (Germany)		60		18
Minerva SA (Brazil)⁽²⁾		6,800		25
Origin Enterprises plc (Ireland)⁽²⁾		4,394		28
PureCircle Ltd. (United Kingdom)⁽²⁾		6,672		20
SLC Agricola SA (Brazil)		10,000		44
SunOpta, Inc. (Canada)⁽²⁾		3,880		27
Tyson Foods, Inc. Class A (United States)		1,008		62
United Natural Foods, Inc. (United States)⁽²⁾		537		26
Wilmar International Ltd. (Singapore)		13,200		33

				773

Energy—1.5%
Cosan Ltd. Class A (Brazil)		8,400		63
Newalta Corp. (Canada)		4,330		7

				70

Financials—2.8%
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (United States)		2,526		48
PICO Holdings, Inc. (United States)⁽²⁾		5,805		88

				136


	SHARES		VALUE
Health Care—2.4%
Agilent Technologies, Inc. (United States)		510	$	23
Danaher Corp. (United States)		1,059		83
Genus plc (United Kingdom)		511		11

				117

Industrials—25.6%
A.O. Smith Corp. (United States)		499		24
Aalberts Industries NV (Netherlands)		527		17
ABB Ltd. Registered Shares (Switzerland)		735		16
Acuity Brands, Inc. (United States)		131		30
Ag Growth International, Inc. (Canada)		345		13
Ameresco, Inc. Class A (United States)⁽²⁾		5,860		32
Amiad Water Systems Ltd. (Israel)		7,152		10
Arcadis NV (Netherlands)		1,973		28
BayWa AG (Germany)		888		29
Broadwind Energy, Inc. (United States)⁽²⁾		2,393		10
China Everbright International Ltd. (Hong Kong)		26,000		29
Costain Group plc (United Kingdom)		8,369		36
Covanta Holding Corp. (United States)		5,549		87
Deere & Co. (United States)		304		31
DIRTT Environmental Solutions (Canada)⁽²⁾		2,406		11
Eaton Corp. plc (United States)		287		19
FuelCell Energy, Inc. (United States)⁽²⁾		582		1
GEA Group AG (Germany)		745		30
H2O Innovation, Inc. (Canada)⁽²⁾		9,581		12
HD Supply Holdings, Inc. (United States)⁽²⁾		823		35
Honeywell International, Inc. (United States)		425		49
IDEX Corp. (United States)		270		24
Johnson Controls International plc (Ireland)		1,736		72
Kingspan Group plc (Ireland)⁽²⁾		611		17
Kubota Corp. (Japan)		3,200		46
Leclanche SA (Switzerland)⁽²⁾		4,742		13
Lumenpulse, Inc. (Canada)⁽²⁾		1,246		17
METAWATER Co., Ltd. (Japan)		700		17
Norma Group SE (Germany)		197		8
Pentair plc (United States)		699		39
PNE Wind AG (Germany)		9,168		21
Rexnord Corp. (United States)⁽²⁾		3,585		70
Roper Technologies, Inc. (United States)		320		59
RPS Group plc (United Kingdom)		7,184		20
Senvion SA (Luxembourg)⁽²⁾		1,063		14
Sif Holding NV (Netherlands)⁽²⁾		851		14


	SHARES		VALUE
Industrials—(continued)
SiteOne Landscape Supply, Inc. (United States)⁽²⁾		1,122	$	39
SPX Corp. (United States)⁽²⁾		1,110		26
Stantec, Inc. (Canada)		1,027		26
Tetra Tech, Inc. (United States)		355		15
Vestas Wind Systems A/S (Denmark)		1,151		75
Xylem, Inc. (United States)		454		22
Zumtobel Group AG (Austria)		1,514		27

				1,230

Information Technology—6.5%
Daqo New Energy Corp. ADR (China)⁽²⁾		559		11
First Solar, Inc. (United States)⁽²⁾		789		25
Infineon Technologies AG (Germany)		1,027		18
Itron, Inc. (United States)⁽²⁾		242		15
NXP Semiconductors NV (Netherlands)⁽²⁾		696		68
Power Integrations, Inc. (United States)		526		36
PSI AG Gesellschaft Fuer Produkte Und Systeme Der Informationstechnologie (Germany)		838		11
Pure Technologies Ltd. (Canada)		14,045		50
SunPower Corp. (United States)⁽²⁾		1,965		13
Sunworks, Inc. (United States)⁽²⁾		6,006		12
Trimble Inc. (United States)⁽²⁾		1,047		32
Universal Display Corp. (United States)⁽²⁾		379		21

				312

Materials—13.8%
Agrium, Inc. (Canada)		712		71
Calgon Carbon Corp. (United States)		1,513		26
CF Industries Holdings, Inc. (United States)		1,654		52
Ecolab, Inc. (United States)		325		38
FMC Corp. (United States)		280		16
Israel Chemicals Ltd. (Israel)		3,851		16
Koninklijke DSM NV (Netherlands)		378		23
Monsanto Co. (United States)		1,121		118
Mosaic Co. (The) (United States)		1,422		42
Novozymes A/S Class B (Denmark)		928		32
PhosAgro OAO GDR Registered Shares (Russia)		1,529		23
Potash Corp. of Saskatchewan, Inc. (Canada)		3,125		56
Syngenta AG Registered Shares (Switzerland)		278		110
Yara International ASA (Norway)		989		39

				662


	SHARES		VALUE
Real Estate—0.4%
Gladstone Land Corp. (United States)		1,612	$	18

Utilities—22.1%
American Water Works Co., Inc. (United States)		331		24
Aqua America, Inc. (United States)		1,255		38
Atlantica Yield plc (United Kingdom)		1,177		23
Azure Power Global Ltd. (India)⁽²⁾		569		10
Beijing Enterprises Water Group Ltd. Class H (Hong Kong)		44,000		29
Capital Stage AG (Germany)		2,492		17
China Water Affairs Group Ltd. (Bermuda)		18,000		12
Companhia de Saneamento Basico do Estado de Sao Paulo ADR (Brazil)		2,904		25
EDP Renovaveis SA (Spain)		11,834		75
Energiekontor AG (Germany)		3,291		52
Energy Development Corp. (Philippines)		146,000		15
Guangdong Investments Ltd. (China)		24,000		32
Huaneng Renewables Corp., Ltd. Class H (China)		148,000		48
Iberdrola SA (Spain)		8,648		57
Innogy SE (Germany)⁽²⁾		1,466		51
Manila Water Co., Inc. (Philippines)		25,000		14
National Grid plc (United Kingdom)		885		10
NextEra Energy, Inc. (United States)		201		24
Northland Power, Inc. (Canada)		535		9
NRG Yield, Inc. Class C (United States)		2,611		41
Pattern Energy Group, Inc. (United States)		1,403		27
Pennon Group plc (United Kingdom)		3,051		31
Renewables Infrastructure Group Ltd. (The) (United Kingdom)		29,079		39
Saeta Yield SA (Spain)		1,765		15
SevernTrent plc (United Kingdom)		1,739		48
Silver Spring Networks, Inc. (United States)⁽²⁾		3,664		49
Suez SA (France)		5,422		80
United Utilities Group plc (United Kingdom)		7,199		80
Veolia Environnement SA (France)		4,911		84

				1,059

TOTAL COMMON STOCK (Identified Cost $4,582)				4,582

CLOSED END FUND—0.8%
Utilities—0.8%
Greencoat UK Wind plc Fund (United Kingdom)⁽³⁾		26,462		39


	SHARES		VALUE
TOTAL CLOSED END FUND (Identified Cost $39)				39

TOTAL LONG TERM INVESTMENTS—96.3% (Identified Cost $4,621)				4,621

SHORT-TERM INVESTMENT—0.3%
Money Market Mutual Fund—0.3%
Fidelity Institutional Money Market Portfolio - Institutional Shares (seven-day effective yield 0.300%)⁽³⁾		14,825	$	15

TOTAL SHORT-TERM INVESTMENT (Identified Cost $15)				15

TOTAL INVESTMENTS—96.6% (Identified Cost $4,636)				4,636	⁽¹⁾
Other assets and liabilities, net—3.4%				161

NET ASSETS—100.0%			$	4,797

Abbreviations:

ADR	American Depositary Receipt

GDR	Global Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $367 were transferred from Level 2 into Level 1 since starting to use an exchange price.


	SHARES		VALUE
COMMON STOCKS—99.1%
Consumer Discretionary—15.9%
Alimentation Couche -Tard, Inc. Class B (Canada)		809,590	$	36,709
Domino’s Pizza Group plc (United Kingdom)		4,100,419		18,233
Hermes International SA (France)		35,296		14,490
LVMH Moet Hennessy Louis Vuitton SE (France)		73,867		14,105
Naspers Ltd. Class N (South Africa)		206,759		30,322
Paddy Power Betfair plc (Ireland)		206,707		22,085
Priceline Group, Inc. (The) (United States)⁽²⁾		19,833		29,076
Shimano, Inc. (Japan)		115,700		18,156
Sodexo SA (France)		125,147		14,386

				197,562

Consumer Staples—38.5%
Ambev S.A. Sponsored ADR (Brazil)		2,926,089		14,367
Anheuser-Busch InBev N.V. (Belgium)		374,072		39,593
British American Tobacco plc (United Kingdom)		1,298,479		73,956
Chocoladefabrike Lindt & Spruengli AG (Switzerland)		2,571		13,318
Diageo plc (United Kingdom)		845,206		21,979
Fomento Economico Mexicano SAB de CV Sponsored ADR (Mexico)		327,311		24,944
Imperial Brands plc (United Kingdom)		391,782		17,104
Japan Tobacco, Inc. (Japan)		550,500		18,106
L’Oreal SA (France)		74,667		13,629
Nestle S.A. Registered Shares (Switzerland)		543,354		38,979
Philip Morris International, Inc. (United States)		773,178		70,738
Reckitt Benckiser Group plc (United Kingdom)		709,258		60,190
Unicharm Corp. (Japan)		971,000		21,248
Unilever N.V. CVA (Netherlands)		1,238,869		51,010

				479,161

Financials—10.6%
Housing Development Finance Corp. Bank Ltd. (India)		3,658,427		65,018
Housing Development Finance Corp. Ltd. (India)		2,388,116		44,427
Lloyds Banking Group plc (United Kingdom)		10,054,875		7,746
UBS Group AG Registered Shares (Switzerland)⁽²⁾		990,406		15,513

				132,704

Health Care—10.9%
Coloplast A/S Class B (Denmark)		199,332		13,443


	SHARES		VALUE
Health Care—(continued)
CSL Ltd. (Australia)		174,498	$	12,644
Essilor International SA (France)		162,885		18,407
Grifols SA (Spain)		1,062,554		21,117
Novo Nordisk A/S Class B (Denmark)		387,504		13,975
Ramsay Health Care Ltd. (Australia)		231,995		11,435
Roche Holding AG (Switzerland)		199,007		45,457

				136,478

Industrials—7.8%
Aena SA (Spain)⁽³⁾		157,934		21,554
Bureau Veritas SA (France)		1,168,581		22,646
Canadian National Railway Co. (Canada)		503,818		33,907
DCC plc (Ireland)		253,829		18,895

				97,002

Information Technology—12.8%
Accenture plc Class A (United States)		198,370		23,235
Alibaba Group Holding Ltd. Sponsored ADR (China)⁽²⁾		280,515		24,632
MasterCard, Inc. Class A (United States)		413,876		42,733
SAP SE (Germany)		487,759		42,518
Tencent Holdings Ltd. (China)		1,070,135		26,179

				159,297

Real Estate—2.6%
Daito Trust Construction Co., Ltd. (Japan)		132,600		19,945
Link REIT (The) (Hong Kong)		1,938,624		12,600

				32,545

TOTAL COMMON STOCKS (Identified Cost $953,795)				1,234,749

TOTAL LONG TERM INVESTMENTS—99.1% (Identified Cost $953,795)				1,234,749

TOTAL INVESTMENTS—99.1% (Identified Cost $953,795)				1,234,749	⁽¹⁾
Other assets and liabilities, net—0.9%				10,981

NET ASSETS—100.0%			$	1,245,730

Abbreviations:

ADR	American Depositary Receipt

REIT	Real Estate Investment Trust

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $249,758 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).


	SHARES		VALUE
COMMON STOCKS—61.7%
Consumer Discretionary—17.9%
Advance Auto Parts, Inc.		172	$	29
Amazon.com, Inc.⁽²⁾		173		130
AutoNation, Inc.⁽²⁾		143		7
AutoZone, Inc.⁽²⁾		71		56
Best Buy Co., Inc.		3,896		166
CarMax, Inc.⁽²⁾		426		27
Carnival Corp.		1,124		59
CBS Corp. Class B		1,578		100
Charter Communications, Inc. Class A⁽²⁾		190		55
Chipotle Mexican Grill, Inc.⁽²⁾		21		8
Comcast Corp. Class A		1,895		131
Darden Restaurants, Inc.		62		5
Discovery Communications, Inc. Class A⁽²⁾		563		15
Discovery Communications, Inc. Class C⁽²⁾		862		23
Expedia, Inc.		44		5
Foot Locker, Inc.		277		20
Gap, Inc. (The)		434		10
Garmin Ltd.		1,511		73
Genuine Parts Co.		1,140		109
Harley-Davidson, Inc.		2,928		171
Harman International Industries, Inc.		945		105
Hasbro, Inc.		1,007		78
Home Depot, Inc. (The)		1,065		143
Interpublic Group of Cos., Inc. (The)		2,542		59
L Brands, Inc.		494		33
Leggett & Platt, Inc.		1,354		66
LKQ Corp.⁽²⁾		2,245		69
Lowe’s Cos., Inc.		752		53
Marriott International, Inc. Class A		835		69
Mattel, Inc.		2,959		82
McDonald’s Corp.		712		87
Mohawk Industries, Inc.⁽²⁾		649		130
Netflix, Inc.⁽²⁾		230		28
Newell Rubbermaid, Inc.		3,635		162
NIKE, Inc. Class B		3,527		179
O’Reilly Automotive, Inc.⁽²⁾		227		63
Omnicom Group, Inc.		1,507		128
Priceline Group, Inc. (The)⁽²⁾		29		43
Ross Stores, Inc.		667		44
Royal Caribbean Cruises Ltd.		438		36
Scripps Networks Interactive, Inc. Class A		369		26


	SHARES		VALUE
Consumer Discretionary—(continued)
Starbucks Corp.		1,215	$	67
Tegna, Inc.		813		17
TJX Cos., Inc. (The)		1,044		78
TripAdvisor, Inc.⁽²⁾		17		1
Urban Outfitters, Inc.⁽²⁾		124		4
Wyndham Worldwide Corp.		283		22
Wynn Resorts Ltd.		1,815		157
Yum! Brands, Inc.		267		17

				3,245

Consumer Staples—4.9%
Altria Group, Inc.		1,142		77
Brown-Forman Corp. Class B		934		42
Campbell Soup Co.		91		5
Conagra Brands, Inc.		225		9
Constellation Brands, Inc. Class A		912		140
General Mills, Inc.		342		21
Hershey Co. (The)		89		9
Hormel Foods Corp.		181		6
J.M. Smucker Co. (The)		67		9
Kellogg Co.		145		11
Kraft Heinz Co.(The)		335		29
McCormick & Co., Inc.		51		5
Mead Johnson Nutrition Co.		95		7
Molson Coors Brewing Co. Class B		1,825		178
Mondelez International, Inc. Class A		863		38
Philip Morris International, Inc.		910		83
Reynolds American, Inc.		449		25
Sysco Corp.		3,346		185
Tyson Foods, Inc. Class A		156		10

				889

Energy—2.2%
Helmerich & Payne, Inc.		1,468		114
Marathon Petroleum Corp.		999		50
Phillips 66		902		78
Tesoro Corp.		240		21
Transocean Ltd.⁽²⁾		5,237		77
Valero Energy Corp.		913		63

				403

Financials—6.1%
Aflac, Inc.		404		28
Allstate Corp. (The)		390		29


	SHARES		VALUE
Financials—(continued)
AON plc		560	$	62
Bank of America Corp.		1,819		40
BB&T Corp.		702		33
Charles Schwab Corp. (The)		1,078		43
CHUBB Ltd.		471		62
Cincinnati Financial Corp.		149		11
Citigroup, Inc.		518		31
Citizens Financial Group, Inc.		434		15
Comerica, Inc.		4		—
Fifth Third Bancorp		653		18
Gallagher (Arthur J.) & Co.		352		18
Goldman Sachs Group, Inc. (The)		346		83
Huntington Bancshares, Inc.		886		12
JPMorgan Chase & Co.		650		56
KeyCorp.		916		17
Lincoln National Corp.		217		14
M&T Bank Corp.		135		21
Marsh & McLennan Cos., Inc.		1,039		70
MetLife, Inc.		1,084		58
Morgan Stanley		1,321		56
People’s United Financial, Inc.		14		—
PNC Financial Services Group, Inc. (The)		428		50
Principal Financial Group, Inc.		250		15
Progressive Corp. (The)		667		24
Prudential Financial, Inc.		433		45
Regions Financial Corp.		1,050		15
SunTrust Banks, Inc.		433		24
Travelers Cos., Inc. (The)		335		41
U.S. Bancorp		271		14
Unum Group		200		9
Wells Fargo & Co.		813		45
Willis Towers Watson plc		283		35
XL Group Ltd.		327		12
Zions Bancorp		81		4

				1,110

Health Care—3.0%
Abbott Laboratories		705		27
Aetna, Inc.		229		28
Agilent Technologies, Inc.		450		21
Anthem, Inc.		162		23
Bard (C.R.), Inc.		14		3
Baxter International, Inc.		280		12


	SHARES		VALUE
Health Care—(continued)
Becton, Dickinson & Co.		90	$	15
Boston Scientific Corp.⁽²⁾		463		10
Centene Corp.⁽²⁾		102		6
Cigna Corp.		162		22
Danaher Corp.		208		16
Edwards Lifesciences Corp.⁽²⁾		76		7
Hologic, Inc.⁽²⁾		87		3
Humana, Inc.		97		20
Illumina, Inc.⁽²⁾		257		33
Intuitive Surgical, Inc.⁽²⁾		22		14
Medtronic plc		581		41
Mettler-Toledo International, Inc.⁽²⁾		18		8
PerkinElmer, Inc.		138		7
St. Jude Medical, Inc.		85		7
Stryker Corp.		124		15
Thermo Fisher Scientific, Inc.		566		80
UnitedHealth Group, Inc.		590		94
Varian Medical Systems, Inc.⁽²⁾		20		2
Waters Corp.⁽²⁾		110		15
Zimmer Biomet Holdings, Inc.		60		6

				535

Industrials—9.9%
3M Co.		210		37
Allegion plc		261		17
Arconic, Inc.		90		2
Boeing Co. (The)		238		37
Cintas Corp.		1,566		181
Deere & Co.		1,833		189
Dover Corp.		216		16
Dun & Bradstreet Corp. (The)		96		12
Equifax, Inc.		449		53
Expeditors International of Washington, Inc.		223		12
FedEx Corp.		326		61
Flowserve Corp.		161		8
Fortive Corp.		362		19
Fortune Brands Home & Security, Inc.		427		23
General Dynamics Corp.		90		15
General Electric Co.		3,415		108
Honeywell International, Inc.		284		33
Hunt (J.B.) Transport Services, Inc.		1,254		122
Illinois Tool Works, Inc.		430		53
Ingersoll-Rand plc		342		26


	SHARES		VALUE
Industrials—(continued)
Johnson Controls International plc		2,621	$	108
L-3 Communications Holdings, Inc.		8		1
Lockheed Martin Corp.		94		23
Masco Corp.		913		29
Nielsen Holdings plc		1,225		51
Northrop Grumman Corp.		54		13
Parker Hannifin Corp.		176		25
Pentair plc		220		12
Raytheon Co.		97		14
Republic Services, Inc.		844		48
Robinson (C.H.) Worldwide, Inc.		176		13
Rockwell Collins, Inc.		38		3
Roper Technologies, Inc.		26		5
Ryder System, Inc.		765		57
Snap-on, Inc.		72		12
Stanley Black & Decker, Inc.		180		21
Stericycle, Inc.⁽²⁾		380		29
Textron, Inc.		69		3
TransDigm Group, Inc.		23		6
United Parcel Service, Inc. Class B		908		104
United Technologies Corp.		285		31
Verisk Analytics, Inc.⁽²⁾		533		43
Waste Management, Inc.		1,605		114
Xylem, Inc.		212		10

				1,799

Information Technology—8.8%
Activision Blizzard, Inc.		2,280		82
Adobe Systems, Inc.⁽²⁾		544		56
Akamai Technologies, Inc.⁽²⁾		13		1
Alliance Data Systems Corp.		12		3
Alphabet, Inc. Class A⁽²⁾		70		56
Alphabet, Inc. Class C⁽²⁾		73		56
Amphenol Corp. Class A		1,282		86
Analog Devices, Inc.		100		7
Apple, Inc.		1,402		162
Applied Materials, Inc.		3,254		105
Autodesk, Inc.⁽²⁾		283		21
Automatic Data Processing, Inc.		160		16
Broadcom Ltd.		143		25
CA, Inc.		42		1
Citrix Systems, Inc.⁽²⁾		152		14
Corning, Inc.		3,855		94


	SHARES		VALUE
Information Technology—(continued)
eBay, Inc.⁽²⁾		211	$	6
Electronic Arts, Inc.⁽²⁾		1,014		80
Facebook, Inc. Class A⁽²⁾		459		53
Fidelity National Information Services, Inc.		83		6
Fiserv, Inc.⁽²⁾		85		9
Global Payments, Inc.		37		3
Hewlett Packard Enterprise Co.		394		9
HP, Inc.		427		6
Intel Corp.		1,542		56
Intuit, Inc.		286		33
KLA-Tencor Corp.		472		37
Lam Research Corp.		501		53
Linear Technology Corp.		78		5
MasterCard, Inc. Class A		343		35
Microchip Technology, Inc.		60		4
Micron Technology, Inc.⁽²⁾		341		8
Microsoft Corp.		2,287		142
NetApp, Inc.		1		—
NVIDIA Corp.		150		16
Oracle Corp.		921		35
Paychex, Inc.		87		5
PayPal Holdings, Inc.⁽²⁾		394		16
Qorvo, Inc.⁽²⁾		4		—
QUALCOMM, Inc.		516		34
Red Hat, Inc.⁽²⁾		40		3
salesforce.com, Inc.⁽²⁾		645		44
Seagate Technology plc		61		2
Skyworks Solutions, Inc.		65		5
Symantec Corp.		167		4
Texas Instruments, Inc.		369		27
Total System Services, Inc.		24		1
Visa, Inc. Class A		666		52
Western Digital Corp.		42		3
Western Union Co. (The)		106		2
Xerox Corp.		182		2
Xilinx, Inc.		75		5
Yahoo!, Inc.⁽²⁾		153		6

				1,592

Materials—5.8%
Albemarle Corp.		209		18
Avery Dennison Corp.		311		22
Dow Chemical Co. (The)		1,435		82


	SHARES		VALUE
Materials—(continued)
Du Pont (E.I.) de Nemours & Co.		1,099	$	81
Eastman Chemical Co.		206		15
Ecolab, Inc.		428		50
International Flavors & Fragrances, Inc.		122		14
International Paper Co.		1,616		86
Martin Marietta Materials, Inc.		374		83
Newmont Mining Corp.		5,484		187
Nucor Corp.		2,867		171
PPG Industries, Inc.		434		41
Sealed Air Corp.		661		30
Sherwin-Williams Co. (The)		121		33
Vulcan Materials Co.		832		104
WestRock Co.		857		43

				1,060

Real Estate—2.0%
American Tower Corp.		387		41
Crown Castle International Corp.		307		27
Digital Realty Trust, Inc.		151		15
Equinix, Inc.		66		24
Extra Space Storage, Inc.		106		8
Iron Mountain, Inc.		129		4
Prologis, Inc.		3,478		184
Public Storage		157		35
Weyerhaeuser Co.		747		22

				360

Utilities—1.1%
Ameren Corp.		194		10
CenterPoint Energy, Inc.		320		8
CMS Energy Corp.		207		9
Consolidated Edison, Inc.		245		18
Dominion Resources, Inc.		491		37
DTE Energy Co.		152		15
NiSource, Inc.		212		5
Public Service Enterprise Group, Inc.		434		19
SCANA Corp.		99		7
Sempra Energy		409		41
WEC Energy Group, Inc.		557		33

				202

TOTAL COMMON STOCKS (Identified Cost $10,135)				11,195


	SHARES		VALUE
EXCHANGE-TRADED FUNDS⁽³⁾—38.3%
iShares China Large-Cap		24,413	$	847
iShares MSCI Australia Index Fund		44,886		908
iShares MSCI Brazil Capped Index Fund		24,734		825
iShares MSCI Canada Index Fund		35,537		929
iShares MSCI Hong Kong Index Fund		41,640		811
iShares MSCI Japan Index Fund		17,931		876
iShares MSCI Switzerland Capped Index Fund		30,997		913
iShares MSCI Taiwan Index Fund		28,929		850

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $6,810)				6,959

TOTAL LONG TERM INVESTMENTS—100.0% (Identified Cost $16,945)				18,154

TOTAL INVESTMENTS—100.0% (Identified Cost $16,945)				18,154	⁽¹⁾
Other assets and liabilities, net—0.0%				(3	)

NET ASSETS—100.0%			$	18,151

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.


	SHARES		VALUE
COMMON STOCKS—99.8%
Energy—19.9%
Enbridge, Inc. (Canada)		86,320	$	3,636
Inter Pipeline Ltd. (Canada)		36,245		800
Kinder Morgan, Inc. (United States)		154,795		3,206
ONEOK, Inc. (United States)		13,080		751
Pembina Pipeline Corp. (Canada)		37,755		1,180
Plains GP Holdings LP Class A (United States)		29,125		1,010
Spectra Energy Corp. (United States)		61,995		2,547
Tallgrass Energy GP LP (United States)		36,870		988
Targa Resources Corp. (United States)		27,615		1,548
TransCanada Corp. (Canada)		86,425		3,902
Williams Cos., Inc. (The) (United States)		53,195		1,657

				21,225

Industrials—26.8%
Abertis Infraestructuras SA (Spain)		206,705		2,893
Aena SA (Spain)⁽³⁾		23,835		3,253
Atlantia SpA (Italy)		163,101		3,822
Auckland International Airport Ltd. (New Zealand)		427,879		1,858
Canadian Pacific Railway Ltd. (Canada)		7,765		1,109
CSX Corp. (United States)		47,205		1,696
Ferrovial SA (Spain)		44,960		804
Flughafen Zuerich AG (Switzerland)		9,580		1,777
Sydney Airport (Australia)		448,620		1,939
Transurban Group (Australia)		789,345		5,879
Union Pacific Corp. (United States)		24,300		2,519
Vinci SA (France)		15,360		1,046

				28,595

Real Estate—7.2%
American Tower Corp. (United States)		39,630		4,188
Crown Castle International Corp. (United States)		40,715		3,533

				7,721

Telecommunication Services—3.2%
BCE, Inc. (Canada)		21,030		909
Cellnex Telecom SA (Spain)⁽³⁾		83,370		1,199
TELUS Corp. (Canada)		41,050		1,307

				3,415

Utilities—42.7%
ALLETE, Inc. (United States)		18,990		1,219
American Electric Power Co., Inc. (United States)		35,735		2,250
American Water Works Co., Inc. (United States)		31,800		2,301


	SHARES		VALUE
Utilities—(continued)
APA Group (Australia)		160,525	$	993
Aqua America, Inc. (United States)		34,420		1,034
Atmos Energy Corp. (United States)		14,550		1,079
Black Hills Corp. (United States)		22,110		1,356
CMS Energy Corp. (United States)		31,910		1,328
Dominion Resources, Inc. (United States)		33,890		2,596
DTE Energy Co. (United States)		23,190		2,284
Edison International (United States)		19,880		1,431
Emera, Inc. (Canada)		23,385		791
Eversource Energy (United States)		18,125		1,001
Iberdrola SA (Spain)		285,705		1,875
Innogy SE (Germany)⁽²⁾⁽³⁾		32,980		1,146
National Grid plc (United Kingdom)		230,430		2,702
NextEra Energy, Inc. (United States)		37,460		4,475
NiSource, Inc. (United States)		79,760		1,766
ONE Gas, Inc. (United States)		14,265		912
PG&E Corp. (United States)		38,115		2,316
Red Electrica Corp. SA (Spain)		39,825		751
Scottish & Southern Energy plc (United Kingdom)		58,190		1,114
Sempra Energy (United States)		32,955		3,317
South Jersey Industries, Inc. (United States)		29,616		998
Spire, Inc. (United States)		15,500		1,001
Vectren Corp. (United States)		20,860		1,088
WEC Energy Group, Inc. (United States)		21,845		1,281
XCEL Energy, Inc. (United States)		29,020		1,181

				45,586

TOTAL COMMON STOCKS (Identified Cost $103,139)				106,542

TOTAL LONG TERM INVESTMENTS—99.8% (Identified Cost $103,139)				106,542

TOTAL INVESTMENTS—99.8% (Identified Cost $103,139)				106,542	⁽¹⁾
Other assets and liabilities, net—0.2%				160

NET ASSETS—100.0%			$	106,702

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $5,598 or 5.2% of net assets.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $10,668 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).


	SHARES		VALUE
COMMON STOCKS—98.9%
Consumer Discretionary—15.7%
Alimentation Couche -Tard, Inc. Class B (Canada)		96,921	$	4,395
Amazon.com, Inc. (United States)⁽²⁾		8,537		6,402
Dollar Tree, Inc. (United States)⁽²⁾		26,984		2,083
Naspers Ltd. Class N (South Africa)		14,991		2,198
NIKE, Inc. Class B (United States)		67,797		3,446
Priceline Group, Inc. (The) (United States)⁽²⁾		2,107		3,089
Starbucks Corp. (United States)		59,665		3,312
TJX Cos., Inc. (The) (United States)		33,927		2,549

				27,474

Consumer Staples—30.7%
Altria Group, Inc. (United States)		110,753		7,489
Anheuser-Busch InBev N.V. (Belgium)		42,483		4,497
British American Tobacco plc (United Kingdom)		139,657		7,954
Casey’s General Stores, Inc. (United States)		18,586		2,209
Coca-Cola Co. (The) (United States)		112,482		4,664
Fomento Economico Mexicano SAB de CV Sponsored ADR (Mexico)		40,415		3,080
Nestle S.A. Registered Shares (Switzerland)		44,964		3,226
Philip Morris International, Inc. (United States)		72,586		6,641
Reckitt Benckiser Group plc (United Kingdom)		75,771		6,430
Reynolds American, Inc. (United States)		58,661		3,287
Unilever N.V. CVA (Netherlands)		98,278		4,047

				53,524

Financials—16.6%
Berkshire Hathaway, Inc. Class B (United States)⁽²⁾		34,452		5,615
Housing Development Finance Corp. Bank Ltd. (India)		339,815		6,039
Housing Development Finance Corp. Bank Ltd. ADR (India)		2,872		174
Housing Development Finance Corp. Ltd. (India)		263,341		4,899
M&T Bank Corp. (United States)		22,561		3,529
PNC Financial Services Group, Inc. (The) (United States)		16,702		1,954
Wells Fargo & Co. (United States)		122,561		6,755

				28,965

Health Care—11.1%
Abbott Laboratories (United States)		77,816		2,989


	SHARES		VALUE
Health Care—(continued)
Bristol-Myers Squibb Co. (United States)		43,288	$	2,530
Medtronic plc (United States)		47,623		3,392
Roche Holding AG (Switzerland)		23,622		5,396
UnitedHealth Group, Inc. (United States)		31,140		4,983

				19,290

Information Technology—21.5%
Alibaba Group Holding Ltd. Sponsored ADR (China)⁽²⁾		29,312		2,574
Alphabet, Inc. Class C (United States)⁽²⁾		9,817		7,577
Facebook, Inc. Class A (United States)⁽²⁾		21,184		2,437
MasterCard, Inc. Class A (United States)		69,026		7,127
PayPal Holdings, Inc. (United States)⁽²⁾		88,355		3,488
SAP SE (Germany)		51,899		4,524
Tencent Holdings Ltd. (China)		112,541		2,753
Visa, Inc. Class A (United States)		89,618		6,992

				37,472

Materials—1.9%
Martin Marietta Materials, Inc. (United States)		15,305		3,390

Real Estate—1.4%
American Tower Corp. (United States)		23,453		2,478

TOTAL COMMON STOCKS (Identified Cost $137,494)				172,593

TOTAL LONG TERM INVESTMENTS—98.9% (Identified Cost $137,494)				172,593

TOTAL INVESTMENTS—98.9% (Identified Cost $137,494)				172,593	⁽¹⁾
Other assets and liabilities, net—1.1%				1,862

NET ASSETS—100.0%			$	174,455


Abbreviation:
ADR		American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $13,691 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).


	SHARES		VALUE
COMMON STOCKS—97.9%
Australia—4.8%
Dexus Property Group		243,339	$	1,689
GPT Group (The) - In Specie^(2)(3)(5)		13,566		1
National Storage REIT		1,194,000		1,288
Scentre Group		898,389		3,008
Westfield Corp.		401,350		2,717

				8,703

Austria—0.4%
Atrium European Real Estate Ltd.⁽²⁾		168,000		695

Canada—3.0%
Allied Properties Real Estate Investment Trust		70,385		1,885
Canadian Real Estate Investment Trust		22,475		775
First Capital Realty, Inc.		53,880		829
RioCan Real Estate Investment Trust		95,662		1,897

				5,386

Finland—0.9%
Citycon OYJ⁽²⁾		695,232		1,711

France—1.7%
Klepierre		53,620		2,108
Mercialys SA		45,150		915

				3,023

Germany—4.8%
ADO Properties SA⁽⁴⁾		64,542		2,175
Deutsche Wohnen AG		56,075		1,761
LEG Immobilien AG		8,304		645
TLG Immobilien AG		65,400		1,232
Vonovia SE		88,848		2,891

				8,704

Hong Kong—1.8%
Hysan Development Co., Ltd.		106,000		438
Link REIT (The)		425,504		2,766

				3,204

Italy—0.2%
Beni Stabili SpA		738,062		422

Japan—6.3%
GLP J-REIT		1,052		1,212
Hulic Co., Ltd.		131,900		1,173


	SHARES		VALUE
Japan—(continued)
Invincible Investment Corp.		1,735	$	782
Japan Real Estate Investment Corp.		218		1,188
Kenedix Office Investment Corp.		231		1,328
Kenedix Retail REIT Corp.		385		878
LaSalle Logiport REIT		1,506		1,426
Nippon Building Fund, Inc.		217		1,201
Nippon Prologis REIT, Inc.⁽²⁾		593		1,212
United Urban Investment Corp.		688		1,047

				11,447

Mexico—0.3%
PLA Administradora Industrial S de Rl de CV⁽²⁾		60,722		77
Prologis Property Mexico SA de CV⁽²⁾		329,800		472

				549

Netherlands—2.4%
Unibail-Rodamco SE		18,448		4,403

Norway—0.7%
Entra ASA⁽⁴⁾		132,500		1,316

Singapore—0.7%
CapitaLand Mall Trust		432,450		563
Global Logistic Properties Ltd.		409,500		622

				1,185

Spain—1.4%
Axiare Patrimonio SOCIMI SA		90,024		1,310
Hispania Activos Inmobiliarios SOCIMI SA		99,318		1,170

				2,480

Sweden—0.9%
Castellum AB		114,410		1,568

United Kingdom—5.7%
Big Yellow Group plc		125,728		1,062
British Land Co. plc		143,500		1,113
Derwent London plc		28,910		988
Great Portland Estates plc		59,276		488
Hammerson plc		190,420		1,345
Land Securities Group plc		108,131		1,421
Safestore Holdings plc		238,557		1,029
SEGRO plc		219,690		1,240
Unite Group plc (The)		215,400		1,609

				10,295


	SHARES		VALUE
United States—61.9%
American Campus Communities, Inc.		44,738	$	2,227
American Homes 4 Rent Class A		74,050		1,554
Apartment Investment & Management Co. Class A		50,100		2,277
AvalonBay Communities, Inc.		19,565		3,466
Boston Properties, Inc.		20,528		2,582
Brixmor Property Group, Inc.		118,633		2,897
Coresite Realty Corp.		28,300		2,246
Cousins Properties, Inc.		111,400		948
CubeSmart		138,975		3,720
CyrusOne, Inc.		20,500		917
DCT Industrial Trust, Inc.		80,298		3,845
Digital Realty Trust, Inc.		50,450		4,957
Douglas Emmett, Inc.		85,695		3,133
Duke Realty Corp.		138,531		3,679
Equinix, Inc.		5,400		1,930
Equity Lifestyle Properties, Inc.		23,746		1,712
Equity Residential		37,415		2,408
Essex Property Trust, Inc.		19,491		4,532
Extra Space Storage, Inc.		39,745		3,070
Federal Realty Investment Trust		19,900		2,828
General Growth Properties, Inc.		63,719		1,592
Healthcare Realty Trust, Inc.		57,321		1,738
Healthcare Trust of America, Inc. Class A		87,800		2,556
Highwoods Properties, Inc.		49,806		2,541
Host Hotels & Resorts, Inc.		72,708		1,370
Kilroy Realty Corp.		55,875		4,091
Paramount Group, Inc.		151,440		2,421
Parkway, Inc.⁽²⁾		9,825		219
Pebblebrook Hotel Trust		36,509		1,086
Prologis, Inc.		97,798		5,163
Public Storage		18,122		4,050
Regency Centers Corp.		51,650		3,561
RLJ Lodging Trust		62,550		1,532
Simon Property Group, Inc.		46,031		8,178
STORE Capital Corp.		113,672		2,809
Sun Communities, Inc.		38,450		2,946
Tanger Factory Outlet Centers		79,750		2,853
Ventas, Inc.		36,372		2,274
Vornado Realty Trust		48,600		5,072


	SHARES		VALUE
United States—(continued)
Welltower, Inc.		11,919	$	798

				111,778

TOTAL COMMON STOCKS (Identified Cost $168,621)				176,869

TOTAL LONG TERM INVESTMENTS—97.9 % (Identified Cost $168,621)				176,869

TOTAL INVESTMENTS—97.9% (Identified Cost $168,621)				176,869	⁽¹⁾
Other assets and liabilities, net—2.1%				3,719

NET ASSETS—100.0%			$	180,588


Abbreviation:
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $3,491 or 1.9% of net assets.

⁽⁵⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $ 24,539 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
PREFERRED STOCK—0.9%
Health Care—0.9%
Grifols SA Class B, 2.350% (Spain)		10,905	$	175

TOTAL PREFERRED STOCK (Identified Cost $179)				175

COMMON STOCKS—98.0%
Consumer Discretionary—14.1%
Christian Dior SE (France)		865		182
Domino’s Pizza Group plc (United Kingdom)		74,879		333
Hermes International SA (France)		1,184		486
LVMH Moet Hennessy Louis Vuitton SE (France)		986		188
Paddy Power Betfair plc (Ireland)		3,323		355
Priceline Group, Inc. (The) (United States)⁽²⁾		556		815
Sodexo SA (France)		2,063		237

				2,596

Consumer Staples—38.6%
Anheuser-Busch InBev N.V. (Belgium)		5,176		548
British American Tobacco plc (United Kingdom)		21,506		1,225
Chocoladefabrike Lindt & Spruengli AG (Switzerland)		42		217
Diageo plc (United Kingdom)		8,713		227
Heineken N.V. (Netherlands)		4,808		361
Imperial Brands plc (United Kingdom)		7,396		323
L’Oreal SA (France)		1,798		328
Nestle S.A. Registered Shares (Switzerland)		12,325		884
Pernod-Ricard SA (France)		2,328		252
Philip Morris International, Inc. (United States)		9,956		911
Reckitt Benckiser Group plc (United Kingdom)		11,143		946
Unilever N.V. CVA (Netherlands)		21,092		868

				7,090

Financials—6.0%
ABN AMRO Group N.V. CVA (Netherlands)⁽³⁾		10,823		240
Lloyds Banking Group plc (United Kingdom)		147,058		113
Reinet Investments SCA (Luxembourg)		7,051		130
Svenska Handelsbanken AB Class A (Sweden)		16,791		233
UBS Group AG Registered Shares (Switzerland)⁽²⁾		23,901		375

				1,091

Health Care—13.9%
Coloplast A/S Class B (Denmark)		4,571		308


	SHARES		VALUE
Health Care—(continued)
Essilor International SA (France)		4,296	$	486
Fresenius Medical Care AG & Co. KGaA (Germany)		5,694		482
Grifols SA (Spain)		15,763		313
Novo Nordisk A/S Class B (Denmark)		5,250		190
Roche Holding AG (Switzerland)		3,398		776

				2,555

Industrials—9.8%
Aena SA (Spain)⁽³⁾		3,262		445
Bureau Veritas SA (France)		15,643		303
DCC plc (Ireland)		3,151		234
DKSH Holding AG (Switzerland)		2,774		191
Flughafen Zuerich AG (Switzerland)		1,714		318
Vinci SA (France)		4,372		298

				1,789

Information Technology—10.2%
Accenture plc Class A (United States)		5,444		638
Amadeus IT Group SA (Spain)		8,326		378
SAP SE (Germany)		9,876		861

				1,877

Materials—4.4%
Air Liquide SA (France)		4,119		458
HeidelbergCement AG (Germany)		1,995		186
Randgold Resources Ltd. (United Kingdom)		1,143		90
Randgold Resources Ltd. ADR (Jersey)		844		65

				799

Real Estate—1.0%
Unibail-Rodamco SE (Netherlands)		790		188

TOTAL COMMON STOCKS (Identified Cost $15,675)				17,985

TOTAL LONG TERM INVESTMENTS—98.9% (Identified Cost $15,854)				18,160

TOTAL INVESTMENTS—98.9% (Identified Cost $15,854)				18,160	⁽¹⁾
Other assets and liabilities, net—1.1%				198

NET ASSETS—100.0%			$	18,358

Abbreviation:

ADR	American Depositary Receipt

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.


	SHARES		VALUE
CLOSED END FUNDS⁽³⁾—71.0%
Equity Funds—40.4%
Adams Diversified Equity Fund, Inc.		126,991	$	1,614
Adams Natural Resources Fund, Inc.		82,946		1,673
Allianzgi NFJ Dividend Interest & Premium Strategy Fund		111,708		1,409
Alpine Total Dynamic Dividend Fund		205,809		1,560
BlackRock Science & Technology Trust		137,284		2,463
Boulder Growth & Income Fund, Inc.		301,002		2,691
Central Securities Corp.		101,615		2,214
Cohen & Steers MLP Income and Energy Opportunity Fund, Inc.		33,913		369
Gabelli Healthcare & WellnessRx Trust (The)		73,525		693
General American Investors Co., Inc.		32,686		1,018
Kayne Anderson Energy Total Return Fund, Inc.		53,522		632
Liberty All Star Equity Fund		203,633		1,051
Nuveen Dow 30sm Dynamic Overwrite Fund		21,954		329
Nuveen S&P 500 Buy-Write Income Fund		81,841		1,041
Salient Midstream & MLP Fund		91,165		1,238
Source Capital, Inc.		14,320		514
Tortoise Pipeline & Energy Fund, Inc.		41,056		886
Tri-Continental Corp.		24,736		546
Western Asset (Claymore Inflation-Linked Securities & Income Fund)		12,974		149

				22,090

Fixed Income Fund—12.7%
BlackRock Credit Allocation Income Trust IV		18,884		245
NexPoint Credit Strategies Fund		166,079		3,782
PIMCO Dynamic Credit Income Fund		127,610		2,580
Tortoise Power and Energy Infrastructure Fund, Inc.		6,500		145
Western Asset (Claymore Inflation-Linked Opportunities & Income Fund)		16,000		178

				6,930

International Equity Funds—16.2%
Aberdeen Japan Equity Fund, Inc.		106,643		787
Alpine Global Dynamic Dividend Fund		106,859		937
Clough Global Opportunities Fund		40,477		362
Delaware Enhanced Global Dividend and Income Fund		18,872		191
First Trust Dynamic Europe Equity Income Fund		47,755		741
Japan Smaller Capitalization Fund, Inc.		97,928		952


	SHARES		VALUE
International Equity Funds—(continued)
New Germany Fund, Inc. (The)		56,890	$	744
Taiwan Fund, Inc. (The)⁽²⁾		18,577		299
Tekla Healthcare Opportunities Fund		147,806		2,294
Tekla World Healthcare Fund		108,290		1,390
Templeton Dragon Fund, Inc.		10,137		166

				8,863

International Fixed Income Fund—0.6%
Diversified Real Asset Income Fund		19,626		306

Loan Participation Fund—1.1%
Avenue Income Credit Strategies Fund		44,255		594

TOTAL CLOSED END FUNDS (Identified Cost $38,548)				38,783

PREFERRED STOCKS—21.7%
Financials—21.7%
Eagle Point Credit Co., Inc. 7.00%		152,396		3,917
Eagle Point Credit Co., Inc. Series A 7.75%		14,357		368
MVC Capital, Inc. 7.25%		84,231		2,122
Oxford Lane Capital Corp. 7.50%		61,456		1,573
Oxford Lane Capital Corp. 8.125%		150,730		3,899

TOTAL PREFERRED STOCKS (Identified Cost $11,489)				11,879

TOTAL LONG TERM INVESTMENTS—92.7% (Identified Cost $50,037)				50,662

SHORT-TERM INVESTMENT—5.5%
Money Market Mutual Fund—5.5%
JPMorgan U.S. Government Money Market Fund - Institutional Shares (seven-day effective yield 0.440%)⁽³⁾		3,028,826		3,029

TOTAL SHORT-TERM INVESTMENT (Identified Cost $3,029)				3,029

TOTAL INVESTMENTS—98.2% (Identified Cost $53,066)				53,691	⁽¹⁾
Other assets and liabilities, net—1.8%				960

NET ASSETS—100.0%			$	54,651

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $367 were transferred from Level 2 into Level 1 since starting to use an exchange price.


	PAR VALUE		VALUE
FOREIGN GOVERNMENT SECURITIES—1.3%
Argentine Republic
144A 7.500%, 4/22/26⁽³⁾	$	340	$	357
144A 7.125%, 7/6/36⁽³⁾		360		343
Provincia de Buenos Aires 144A 9.125%, 3/16/24⁽³⁾		210		229

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $916)				929

MORTGAGE-BACKED SECURITIES—0.8%
Non-Agency—0.8%
Citigroup Mortgage Loan Trust, Inc. 05-5, 2A3 5.000%, 8/25/35		80		79
JPMorgan Chase Commercial Mortgage Securities Trust 07-LDPX, AM 5.464%, 1/15/49⁽²⁾		180		178
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽³⁾		205		214
Residential Accredit Loans, Inc. 05-QS1, A5 5.500%, 1/25/35		75		75

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $540)				546

ASSET-BACKED SECURITIES—1.6%
CarFinance Capital Auto Trust 14-1A, D 144A 4.900%, 4/15/20⁽³⁾		205		205
CarNow Auto Receivables Trust 16-1A, D 144A 7.340%, 11/15/21⁽³⁾		215		214
Citi Held For Asset Issuance 15-PM3, B 144A 4.310%, 5/16/22⁽³⁾		360		361
Greater Capital Association of Realtors 15-1A, C 9.790%, 10/15/25		250		258
Leaf Receivables Funding 10 LLC 15-1, E2 144A 6.000%, 6/15/23⁽³⁾		160		155

TOTAL ASSET-BACKED SECURITIES (Identified Cost $1,187)				1,193

CORPORATE BONDS AND NOTES—81.9%
Consumer Discretionary—20.3%
Altice SA 144A 7.750%, 5/15/22⁽³⁾		300		321
AMC Entertainment Holdings, Inc. 144A 5.875%, 11/15/26⁽³⁾		50		51


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Beazer Homes USA, Inc. 5.750%, 6/15/19	$	115	$	120
Boyd Gaming Corp. 6.875%, 5/15/23		265		286
Cablevision Systems Corp. 5.875%, 9/15/22		455		445
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽⁸⁾		251		261
Caesars Entertainment Resort Properties LLC 8.000%, 10/1/20		220		232
Caesars Growth Properties Holdings LLC 9.375%, 5/1/22		445		482
CBS Radio, Inc. 144A 7.250%, 11/1/24⁽³⁾		20		21
Cequel Communications Holdings I LLC 144A 6.375%, 9/15/20⁽³⁾		400		413
Clear Channel Worldwide Holdings, Inc.
Series B 7.625%, 3/15/20		1,060		1,063
Series A 7.625%, 3/15/20		150		145
Columbus Cable Barbados Ltd. 144A 7.375%, 3/30/21⁽³⁾		245		262
Cooper-Standard Automotive, Inc. 144A 5.625%, 11/15/26⁽³⁾		220		218
CSC Holdings LLC 5.250%, 6/1/24		290		284
Dana Financing Luxembourg S.a.r.l. 144A 6.500%, 6/1/26⁽³⁾		55		58
Diamond Resorts International, Inc.
144A 7.750%, 9/1/23⁽³⁾		20		20
144A 10.750%, 9/1/24⁽³⁾		250		246
DISH DBS Corp. 5.000%, 3/15/23		475		474
iHeart Communications, Inc. 9.000%, 12/15/19		115		94
Intelsat Jackson Holdings SA 5.500%, 8/1/23		425		288
International Game Technology plc 144A 6.250%, 2/15/22⁽³⁾		200		216
Landry’s, Inc. 144A 6.750%, 10/15/24⁽³⁾		135		137
Lennar Corp.
4.500%, 11/15/19		215		224
4.875%, 12/15/23		70		70
Live Nation Entertainment, Inc. 144A 4.875%, 11/1/24⁽³⁾		195		196
M/I Homes, Inc. 6.750%, 1/15/21		140		147
MDC Holdings, Inc. 5.500%, 1/15/24		325		337
Meritor, Inc. 6.750%, 6/15/21		225		231
MGM Growth Properties Operating Partnership LP (MGP Finance Co-Issuer, Inc.) 144A 5.625%, 5/1/24⁽³⁾		65		68


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
MGM Resorts International 4.625%, 9/1/26	$	380	$	368
MPG Holdco I, Inc. 7.375%, 10/15/22		225		236
NCL Corp., Ltd. 144A 4.750%, 12/15/21⁽³⁾		210		210
Penn National Gaming, Inc. 5.875%, 11/1/21		180		189
PetSmart, Inc. 144A 7.125%, 3/15/23⁽³⁾		345		353
Pinnacle Entertainment, Inc. 144A 5.625%, 5/1/24⁽³⁾		115		116
PulteGroup, Inc. 5.500%, 3/1/26		200		199
RCN Telecom Services LLC (RCN Capital Corp.) 144A 8.500%, 8/15/20⁽³⁾		670		711
Sally Holdings LLC (Sally Capital, Inc.) 5.625%, 12/1/25		145		152
Scientific Games International, Inc.
6.625%, 5/15/21		205		174
144A 7.000%, 1/1/22⁽³⁾		245		264
Servicemaster Co., LLC (The) 144A 5.125%, 11/15/24⁽³⁾		180		183
SFR (Numericable) Group S.A.
144A 6.000%, 5/15/22⁽³⁾		465		479
144A 7.375%, 5/1/26⁽³⁾		340		348
Sinclair Television Group, Inc. 144A 5.125%, 2/15/27⁽³⁾		200		191
Sirius XM Radio, Inc. 144A 5.375%, 7/15/26⁽³⁾		205		201
Six Flags Entertainment Corp. 144A 4.875%, 7/31/24⁽³⁾		95		94
Station Casinos LLC 7.500%, 3/1/21		200		210
Tenneco, Inc. 5.000%, 7/15/26		175		172
TI Group Automotive Systems LLC 144A 8.750%, 7/15/23⁽³⁾		290		304
Toll Brothers Finance Corp. 4.875%, 11/15/25		410		404
TRI Pointe Group, Inc. 5.875%, 6/15/24		400		414
Univision Communications, Inc. 144A 5.125%, 5/15/23⁽³⁾		230		227
UPCB Finance IV Ltd. 144A 5.375%, 1/15/25⁽³⁾		200		203
VTR Finance BV 144A 6.875%, 1/15/24⁽³⁾		450		466
Wolverine World Wide, Inc. 144A 5.000%, 9/1/26⁽³⁾		250		241
Ziggo Secured Finance BV 144A 5.500%, 1/15/27⁽³⁾		265		259

				14,778


	PAR VALUE		VALUE
Consumer Staples—3.2%
AdvancePierre Foods Holdings, Inc. 144A 5.500%, 12/15/24⁽³⁾	$	230	$	233
Albertson’s, Inc. ( Albertson’s LLC) 144A 5.750%, 3/15/25⁽³⁾		195		193
Dole Food Co., Inc. 144A 7.250%, 5/1/19⁽³⁾		250		256
Lamb Weston Holdings, Inc. 144A 4.875%, 11/1/26⁽³⁾		180		179
Pinnacle Foods Finance LLC (Pinnacle Foods Finance Corp.) 5.875%, 1/15/24		35		37
Post Holdings, Inc. 144A 5.000%, 8/15/26⁽³⁾		305		293
Prestige Brands, Inc. 144A 6.375%, 3/1/24⁽³⁾		200		211
Rite Aid Corp. 6.750%, 6/15/21		475		499
Safeway, Inc. 7.250%, 2/1/31		215		210
Tops Holding LLC (Tops Markets II Corp.) 144A 8.000%, 6/15/22⁽³⁾		275		238

				2,349

Energy—15.7%
Alberta Energy Co., Ltd. 8.125%, 9/15/30		115		138
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp.) 144A 7.875%, 12/15/24⁽³⁾		215		224
American Midstream Partners LP 144A 8.500%, 12/15/21⁽³⁾		175		174
Antero Midstream Partners LP 144A 5.375%, 9/15/24⁽³⁾		85		87
Antero Resources Corp. 5.625%, 6/1/23		275		283
Archrock Partners LP 6.000%, 10/1/22		300		293
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		340		342
BreitBurn Energy Partners 7.875%, 4/15/22⁽¹²⁾		150		107
California Resources Corp.
144A 8.000%, 12/15/22⁽³⁾		239		214
6.000%, 11/15/24		16		12
Callon Petroleum Co. 144A 6.125%, 10/1/24⁽³⁾		115		119
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23		185		191
Cheniere Corpus Christi Holdings LLC 144A 5.875%, 3/31/25⁽³⁾		475		486
Chesapeake Energy Corp.
6.625%, 8/15/20		100		102
5.750%, 3/15/23		105		99
Concho Resources, Inc. 4.375%, 1/15/25		175		176
CONSOL Energy, Inc. 5.875%, 4/15/22		200		197


	PAR VALUE		VALUE
Energy—(continued)
Continental Resources, Inc.
5.000%, 9/15/22	$	240	$	243
4.500%, 4/15/23		145		143
Crestwood Midstream Partners LP 6.250%, 4/1/23		295		302
Diamondback Energy, Inc.
144A 4.750%, 11/1/24⁽³⁾		25		25
144A 5.375%, 5/31/25⁽³⁾		150		151
Enbridge Energy Partners LP 4.375%, 10/15/20		35		37
Encana Corp. 3.900%, 11/15/21		190		191
Energy Transfer Equity LP 5.875%, 1/15/24		400		415
EnLink Midstream Partners LP 4.850%, 7/15/26		30		30
EnQuest plc 144A 7.000%, 4/15/22⁽³⁾		261		190
EP Energy LLC (Everest Acquisition Finance, Inc.)
9.375%, 5/1/20		215		199
144A 8.000%, 11/29/24⁽³⁾		25		27
FTS International, Inc.
144A 8.463%, 6/15/20⁽²⁾⁽³⁾		230		230
6.250%, 5/1/22		190		159
Helmerich & Payne International Drilling Co. 4.650%, 3/15/25		150		155
Holly Energy Partners LP 144A 6.000%, 8/1/24⁽³⁾		25		26
Laredo Petroleum, Inc. 5.625%, 1/15/22		110		111
Linn Energy LLC (Linn Energy Finance Corp.)
8.625%, 4/15/20⁽¹²⁾		225		97
7.750%, 2/1/21⁽¹²⁾		200		85
Matador Resources Co. 144A 6.875%, 4/15/23⁽³⁾		250		264
MPLX LP 4.875%, 12/1/24		325		334
Newfield Exploration Co. 5.375%, 1/1/26		165		168
NGL Energy Partners LP 5.125%, 7/15/19		200		200
Noble Holding International Ltd. 7.750%, 1/15/24		160		151
Parsley Energy LLC 144A 6.250%, 6/1/24⁽³⁾		410		433
Petrobras Global Finance BV
8.375%, 5/23/21		100		108
8.750%, 5/23/26		240		260
Precision Drilling Corp. 144A 7.750%, 12/15/23⁽³⁾		130		138
QEP Resources, Inc. 5.250%, 5/1/23		300		302
Range Resources Corp. 144A 5.000%, 3/15/23⁽³⁾		270		268
Regency Energy Partners LP 5.875%, 3/1/22		90		99
Rowan Cos., Inc. 5.400%, 12/1/42		265		201
RSP Permian, Inc. 144A 5.250%, 1/15/25⁽³⁾		135		136
Sabine Oil & Gas Corp. 7.250%, 6/15/19^(11)(12)		329		—	⁽¹⁶⁾
Sabine Pass Liquefaction LLC 5.625%, 2/1/21		380		407


	PAR VALUE		VALUE
Energy—(continued)
SM Energy Co.
6.125%, 11/15/22	$	115	$	117
6.500%, 1/1/23		185		189
Southern Gas Corridor CJSC 144A 6.875%, 3/24/26⁽³⁾		200		216
Sunoco LP 6.375%, 4/1/23		695		707
Transocean, Inc.
144A 9.000%, 7/15/23⁽³⁾		80		82
6.800%, 3/15/38		300		234
Weatherford International Ltd. 8.250%, 6/15/23		190		194
Weatherford International PLC 144A 9.875%, 2/15/24⁽³⁾		30		32
Whiting Petroleum Corp. 5.750%, 3/15/21		130		130

				11,430

Financials—6.6%
AerCap Ireland Capital Ltd. (Aercap Global Aviation Trust)
4.625%, 10/30/20		150		156
4.500%, 5/15/21		400		415
3.950%, 2/1/22		175		177
Aircastle Ltd. 5.000%, 4/1/23		350		358
Ally Financial, Inc.
3.250%, 11/5/18		120		120
4.250%, 4/15/21		205		207
5.750%, 11/20/25		235		235
Altice US Finance I Corp. 144A 5.375%, 7/15/23⁽³⁾		210		219
Banco de Bogota S.A. 144A 6.250%, 5/12/26⁽³⁾		200		204
Genworth Holdings, Inc. 4.900%, 8/15/23		130		108
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		226		229
ICAHN Enterprises LP 5.875%, 2/1/22		295		294
ING Groep NV 6.000% ^(2)(5)(6)		200		195
iStar Financial, Inc. 5.000%, 7/1/19		500		504
Nationstar Mortgage LLC 6.500%, 7/1/21		250		254
Navient Corp. 7.250%, 9/25/23		60		62
Springleaf Finance Corp. 5.250%, 12/15/19		410		414
Sprint Capital Corp. 6.900%, 5/1/19		195		207
Starwood Property Trust, Inc. 144A 5.000%, 12/15/21⁽³⁾		65		66
Tervita Escrow Corp. 144A 7.625%, 12/1/21⁽³⁾		40		41
Voya Financial, Inc. 5.650%, 5/15/53⁽²⁾		205		202


	PAR VALUE		VALUE
Financials—(continued)
Walter Investment Management Corp. 7.875%, 12/15/21	$	215	$	175

				4,842

Health Care—9.6%
Alere, Inc.
6.500%, 6/15/20		150		149
144A 6.375%, 7/1/23⁽³⁾		50		50
Capsugel S.A. PIK Interest Capitalization, 144A 7.000%, 5/15/19⁽³⁾⁽⁷⁾		212		214
Centene Corp.
5.625%, 2/15/21		150		158
4.750%, 5/15/22		65		66
4.750%, 1/15/25		75		73
Community Health Systems, Inc.
5.125%, 8/1/21		400		372
6.875%, 2/1/22		145		102
Concordia International Corp.
144A 9.000%, 4/1/22⁽³⁾		65		55
144A 7.000%, 4/15/23⁽³⁾		345		110
DaVita Healthcare Partners, Inc.
5.125%, 7/15/24		100		100
5.000%, 5/1/25		100		99
Endo Finance LLC 144A 5.375%, 1/15/23⁽³⁾		250		214
Envision Healthcare Corp. 144A 6.250%, 12/1/24⁽³⁾		45		48
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23⁽³⁾		60		62
HCA, Inc.
5.375%, 2/1/25		505		507
5.250%, 6/15/26		230		238
4.500%, 2/15/27		145		142
inVentiv Group Holdings, Inc. 144A 7.500%, 10/1/24⁽³⁾		75		79
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽³⁾		130		130
Mallinckrodt International Finance S.A. 144A 5.625%, 10/15/23⁽³⁾		110		103
MEDNAX, Inc. 144A 5.250%, 12/1/23⁽³⁾		295		304
MPH Acquisition Holdings LLC 144A 7.125%, 6/1/24⁽³⁾		225		237
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22⁽³⁾		225		200


	PAR VALUE		VALUE
Health Care—(continued)
Pinnacle Merger Sub, Inc. (PRA Holdings, Inc.) 144A 9.500%, 10/1/23⁽³⁾	$	225	$	248
Quorum Health Corp. 144A 11.625%, 4/15/23⁽³⁾		50		42
Sterigenics-Nordion Holdings LLC 144A 6.500%, 5/15/23⁽³⁾		325		331
Surgery Center Holdings, Inc. 144A 8.875%, 4/15/21⁽³⁾		200		214
Surgical Care Affiliates, Inc. 144A 6.000%, 4/1/23⁽³⁾		400		415
Team Health, Inc. 144A 7.250%, 12/15/23⁽³⁾		20		23
Tenet Healthcare Corp.
6.000%, 10/1/20		375		392
4.500%, 4/1/21		275		275
144A 7.500%, 1/1/22⁽³⁾		10		10
8.125%, 4/1/22		390		370
Valeant Pharmaceuticals International, Inc.
144A 6.750%, 8/15/18⁽³⁾		140		133
144A 5.375%, 3/15/20⁽³⁾		420		357
144A 6.375%, 10/15/20⁽³⁾		325		281
144A 7.250%, 7/15/22⁽³⁾		70		58

				6,961

Industrials—6.1%
ADT Corp. (The) 6.250%, 10/15/21		200		218
Advanced Disposal Services, Inc. 144A 5.625%, 11/15/24⁽³⁾		205		204
Bombardier, Inc.
RegS 4.750%, 4/15/19⁽⁴⁾		190		192
144A 8.750%, 12/1/21⁽³⁾		150		160
144A 6.125%, 1/15/23⁽³⁾		200		192
CEB, Inc. 144A 5.625%, 6/15/23⁽³⁾		185		180
Cemex SAB de C.V. 144A 7.750%, 4/16/26⁽³⁾		200		222
CNH Industrial N.V. 4.500%, 8/15/23		250		247
Garda World Security Corp. 144A 7.250%, 11/15/21⁽³⁾		410		383
Harland Clarke Holdings Corp.
144A 6.875%, 3/1/20⁽³⁾		150		145
144A 9.250%, 3/1/21⁽³⁾		150		133
Hawaiian Airlines Pass-Through Certificates 13-1B, B 4.950%, 1/15/22		96		96
JBS Investments GmbH 144A 7.250%, 4/3/24⁽³⁾		200		210
Masco Corp. 4.375%, 4/1/26		175		179


	PAR VALUE		VALUE
Industrials—(continued)
Navistar International Corp. 8.250%, 11/1/21	$	110	$	112
NCI Building Systems, Inc. 144A 8.250%, 1/15/23⁽³⁾		290		315
Prime Security Services Borrower LLC 144A 9.250%, 5/15/23⁽³⁾		195		213
Standard Industries, Inc. 144A 5.500%, 2/15/23⁽³⁾		55		57
TransDigm, Inc.
6.000%, 7/15/22		300		313
6.500%, 5/15/25		230		242
UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22		161		174
United Rentals North America, Inc. 5.500%, 7/15/25		270		276

				4,463

Information Technology—2.6%
Blackboard, Inc. 144A 9.750%, 10/15/21⁽³⁾		129		133
Cogent Communications Group, Inc. 144A 5.375%, 3/1/22⁽³⁾		35		36
Corporate Risk Holdings LLC 144A 9.500%, 7/1/19⁽³⁾		210		217
Diamond 1 Finance Corp. (Diamond 2 Finance Corp.)
144A 5.450%, 6/15/23⁽³⁾		60		64
144A 6.020%, 6/15/26⁽³⁾		45		49
144A 8.100%, 7/15/36⁽³⁾		55		65
First Data Corp.
144A 5.000%, 1/15/24⁽³⁾		230		232
144A 5.750%, 1/15/24⁽³⁾		450		466
Inception Merger Sub, Inc. (Rackspace Hosting, Inc.) 144A 8.625%, 11/15/24⁽³⁾		400		424
Infor US, Inc. 6.500%, 5/15/22		130		136
WESCO Distribution, Inc. 144A 5.375%, 6/15/24⁽³⁾		75		75

				1,897

Materials—8.3%
AK Steel Corp.
7.625%, 10/1/21		100		108
7.500%, 7/15/23		140		156
Aleris International, Inc. 144A 9.500%, 4/1/21⁽³⁾		360		388
ArcelorMittal 6.125%, 6/1/25		300		330
Ardagh Packaging Finance plc
144A 6.250%, 1/31/19⁽³⁾		145		148
144A 7.250%, 5/15/24⁽³⁾		345		365


	PAR VALUE		VALUE
Materials—(continued)
Berry Plastics Corp. 5.125%, 7/15/23	$	215	$	220
BlueScope Steel Finance Ltd. 144A 6.500%, 5/15/21⁽³⁾		235		250
Boise Cascade Co. 144A 5.625%, 9/1/24⁽³⁾		75		75
Cascades, Inc.
144A 5.500%, 7/15/22⁽³⁾		575		586
144A 5.750%, 7/15/23⁽³⁾		225		229
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		150		153
Fortescue Metals Group (FMG) Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22⁽³⁾		100		116
Freeport-McMoRan Copper & Gold, Inc.
3.550%, 3/1/22		160		150
3.875%, 3/15/23		180		166
Graphic Packaging International, Inc. 4.125%, 8/15/24		225		215
Hexion U.S. Finance Corp.
8.875%, 2/1/18		125		125
6.625%, 4/15/20		75		67
Hudbay Minerals, Inc. 144A 7.250%, 1/15/23⁽³⁾		100		104
INEOS Group Holdings S.A.
144A 5.875%, 2/15/19⁽³⁾		305		312
144A 5.625%, 8/1/24⁽³⁾		315		313
Novelis Corp.
144A 6.250%, 8/15/24⁽³⁾		35		37
144A 5.875%, 9/30/26⁽³⁾		230		233
Reynolds Group Issuer, Inc.
8.250%, 2/15/21		66		68
144A 5.125%, 7/15/23⁽³⁾		150		153
144A 7.000%, 7/15/24⁽³⁾		10		11
Scotts Miracle-Gro Co. (The) 144A 5.250%, 12/15/26⁽³⁾		25		25
Standard Industries, Inc. 144A 6.000%, 10/15/25⁽³⁾		115		121
Steel Dynamics Inc. 144A 5.000%, 12/15/26⁽³⁾		25		25
Teck Resources Ltd.
144A 8.000%, 6/1/21⁽³⁾		20		22
4.750%, 1/15/22		150		151
144A 8.500%, 6/1/24⁽³⁾		50		58
6.125%, 10/1/35		150		147
Vale Overseas Ltd. 5.875%, 6/10/21		130		136
Vedanta Resources plc
144A 9.500%, 7/18/18⁽³⁾		100		106


	PAR VALUE		VALUE
Materials—(continued)
144A 8.250%, 6/7/21⁽³⁾	$	200	$	209

				6,078

Real Estate—1.2%
Communications Sales & Leasing, Inc. (CSL Capital LLC) 144A 7.125%, 12/15/24⁽³⁾		270		273
CoreCivic, Inc. 5.000%, 10/15/22		145		145
ESH Hospitality, Inc. 144A 5.250%, 5/1/25⁽³⁾		170		170
GLP Capital LP (GLP Financing II, Inc.)
4.875%, 11/1/20		95		100
5.375%, 4/15/26		60		63
MPT Operating Partnership LP
6.375%, 3/1/24		100		105
5.250%, 8/1/26		10		10

				866

Telecommunication Services—6.1%
Altice Financing S.A. 144A 6.625%, 2/15/23⁽³⁾		280		288
CenturyLink, Inc. Series Y 7.500%, 4/1/24		175		184
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24⁽³⁾		45		48
CSC Holdings LLC 144A 5.500%, 4/15/27⁽³⁾		135		137
Frontier Communications Corp.
8.500%, 4/15/20		425		448
10.500%, 9/15/22		550		580
GTH Finance BV 144A 7.250%, 4/26/23⁽³⁾		200		215
Level 3 Financing, Inc. 144A 5.250%, 3/15/26⁽³⁾		135		134
Qwest Corp. 7.250%, 9/15/25		130		139
Sprint Capital Corp. 6.875%, 11/15/28		250		248
Sprint Communications, Inc. 6.000%, 11/15/22		235		237
Sprint Corp. 7.875%, 9/15/23		325		348
T-Mobile USA, Inc.
6.125%, 1/15/22		240		254
6.500%, 1/15/24		275		296
6.375%, 3/1/25		100		107
6.500%, 1/15/26		100		108
Virgin Media Finance plc 144A 6.000%, 10/15/24⁽³⁾		250		259
Windstream Corp. 7.750%, 10/1/21		150		155
Zayo Group LLC (Zayo Capital, Inc.)
6.000%, 4/1/23		180		188
6.375%, 5/15/25		70		73

				4,446


	PAR VALUE		VALUE
Utilities—2.2%
AmeriGas Partners LP
7.000%, 5/20/22	$	122	$	129
5.500%, 5/20/25		105		106
Calpine Corp. 5.375%, 1/15/23		350		344
Dynegy, Inc. 7.375%, 11/1/22		425		408
NRG Energy, Inc. 144A 7.250%, 5/15/26⁽³⁾		185		185
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		175		167
TerraForm Power Operating LLC 144A 6.375%, 2/1/23⁽²⁾⁽³⁾		250		254

				1,593

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $59,093)				59,703

LOAN AGREEMENTS⁽²⁾—10.3%
Consumer Discretionary—2.7%
Bass Pro Group LLC 5.970%, 12/15/23		215		213
Boyd Gaming Corp. Tranche B-2 3.756%, 9/15/23		59		60
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Co., Inc.)
Tranche B-5, 0.000%, 3/1/17⁽⁸⁾		45		49
Tranche B-7, 1.500%, 3/1/17⁽⁸⁾		156		183
Caesars Entertainment Resort Properties LLC Tranche B, 7.000%, 10/11/20		114		116
CDS U.S. Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.) First Lien, 5.000%, 7/8/22		177		179
Floor & Decor Outlets of America, Inc. 5.250%, 9/30/23		150		150
Graton Resort & Casino Tranche B, 5.510%, 9/1/22		102		103
Laureare Education, Inc. 2021 Extended, 0.000%, 3/17/21		145		146
Leslie’s Poolmart, Inc. Tranche B 5.250%, 8/16/23		110		111
Mohegan Tribal Gaming Authority Tranche B, 5.500%, 10/13/23		190		191
Transtar Holding Co. Second Lien, 13.500%, 10/9/19⁽⁸⁾		200		3
U.S. Farathane LLC Tranche B-2, 5.750%, 12/23/21		241		242
UFC Holdings LLC First Lien 5.000%, 8/18/23		195		198

				1,944


	PAR VALUE		VALUE
Consumer Staples—1.2%
Albertson’s Cos., LLC Tranche B-4, 3.750%, 8/25/21	$	209	$	212
Amplify Snack Brands, Inc. 6.500%, 9/2/23		234		229
Chobani LLC (Chobani Idaho LLC) First Lien, 5.250%, 10/9/23		45		46
Crossmark Holdings, Inc. Second Lien, 8.750%, 12/21/20⁽¹¹⁾		190		90
Kronos, Inc. Second Lien, 9.250%, 11/1/24		78		80
Milk Specialities Co. 6.000%, 8/16/23		149		151
Pinnacle Foods Finance LLC Tranche I, 3.506%, 1/13/23		32		32

				840

Energy—0.8%
California Resources Corp. 11.375%, 12/31/21		155		173
Chesapeake Energy Corp. Trance A, 8.500%, 8/23/21		31		34
EP Energy LLC (Everest Acquisition LLC) 9.750%, 6/30/21		190		199
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		125		119
MEG Energy Corp. 3.750%, 3/31/20		85		82

				607

Financials—0.3%
Lightstone Generation LLC
Tranche B, 0.000%, 12/15/23⁽⁹⁾		79		80
Tranche C, 0.000%, 12/15/23⁽⁹⁾		7		7
Lonestar Intermediate Super Holdings LLC 10.000%, 8/31/21		145		150

				237

Health Care—1.4%
21st Century Oncology Holdings, Inc. Tranche B, 7.125%, 4/30/22⁽⁸⁾		157		145
CHG Healthcare Services, Inc. (CHG Buyer Co.) First Lien, 0.000%, 6/7/23⁽⁹⁾		15		15
inVentiv Group Holdings, Inc. 4.750%, 11/9/23		57		58
MMM Holdings, Inc. 9.750%, 6/30/19		65		64
MPH Acquisition Holdings LLC 5.000%, 6/7/23		34		35
MSO of Puerto Rico, Inc. 9.750%, 6/30/19		47		46
NVA Holdings, Inc.
Tranche B-1, First Lien, 5.500%, 8/14/21		83		83
Second Lien, 8.000%, 8/14/22		259		260


	PAR VALUE		VALUE
Health Care—(continued)
Quorum Health Corp. 6.750%, 4/29/22	$	98	$	96
U.S. Renal Care, Inc. First Lien, 0.000%, 12/30/22		190		179

				981

Industrials—1.5%
84 Lumber Co. 6.750%, 10/25/23		190		191
Brickman Group Ltd. LLC (The) Second Lien, 7.500%, 12/17/21		110		111
Coinstar LLC Tranche B, First Lien 6.125%, 9/27/23		89		90
Navistar, Inc. Tranche B, 6.500%, 8/7/20		234		238
PAE Holding Corp. First Lien, 6.500%, 10/20/22		62		63
Sedgwick Claims Management Services, Inc. Second Lien, 6.750%, 2/28/22		390		390

				1,083

Information Technology—1.3%
Avaya, Inc. Tranche B-7, 0.000%, 5/29/20⁽⁹⁾		275		240
Blackboard, Inc. Tranche B-4 First Lien, 6.000%, 6/30/21		142		143
Donnelley Financial Solutions, Inc. Tranche B, 5.000%, 9/29/23		43		43
Information Resources, Inc. (Symphonyiri Group, Inc.) 0.000%, 12/20/23⁽⁹⁾		15		15
Mitchell International, Inc. Second Lien, 8.500%, 10/11/21		64		64
NXP B.V. (NXP Funding LLC) Tranche F, 3.270%, 12/7/20		61		62
Presidio LLC (Presidio, Inc.) Refinancing, 5.250%, 2/2/22		140		142
Rackspace Hosting, Inc. Tranche B, First Lien, 4.500%, 11/3/23		110		112
Veritas US, Inc. Tranche B-1, 6.625%, 1/27/23		155		143
Western Digital Corp. Tranche B-1, 4.520%, 4/29/23		14		14

				978

Materials—0.6%
Anchor Glass Container Corp.
First Lien, 4.250%, 12/7/23		16		16
Second Lien, 8.750%, 12/7/24		64		66
CPI Acquisition, Inc. First Lien, 5.500%, 8/17/22		200		183


	PAR VALUE			VALUE
Materials—(continued)
Omnova Solutions, Inc. Tranche B-2, 5.250%, 8/25/23	$	193		$	196

					461

Utilities—0.5%
APLP Holdings LP 6.000%, 4/13/23		215			218
Vistra Operations Company LLC (TEX Operations Co., LLC)
5.000%, 8/4/23		138			140
Tranche C, 5.000%, 8/4/23		31			31

					389

TOTAL LOAN AGREEMENTS (Identified Cost $7,694)					7,520


	SHARES
PREFERRED STOCKS—1.4%
Financials—1.4%
Citigroup, Inc. Series T, 6.250%⁽²⁾		205	⁽¹⁰⁾		211
Goldman Sachs Group, Inc. (The) Series L, 5.700%⁽²⁾		215	⁽¹⁰⁾		220
JPMorgan Chase & Co. Series V, 5.000%⁽²⁾		145	⁽¹⁰⁾		145
KeyCorp Series D, 5.000%⁽²⁾		375	⁽¹⁰⁾		346
SunTrust Bank, Inc. 5.625%⁽²⁾		95	⁽¹⁰⁾		97

TOTAL PREFERRED STOCKS (Identified Cost $1,037)					1,019

COMMON STOCKS—0.2%
Energy—0.0%
Pacific Exploration and Production Corp.⁽¹⁴⁾		558			23
Sabine Oil & Gas LLC⁽¹¹⁾		157			7

					30

Utilities—0.2%
Vistra Energy Corp.⁽¹⁴⁾		8,562			133

TOTAL COMMON STOCKS (Identified Cost $164)					163

AFFILIATED MUTUAL FUND⁽¹⁵⁾—0.5%
Virtus Credit Opportunities Fund Class R6		35,806			355

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $358)					355


	SHARES			VALUE
RIGHTS—0.0%
Texas Competitive TRA		9		$	14

TOTAL RIGHTS (Identified Cost $7)					14

WARRANTS—0.0%
Sabine Oil & Gas LLC⁽¹¹⁾		—	⁽¹⁶⁾		1
Sabine Oil & Gas LLC⁽¹¹⁾		1			3

TOTAL WARRANTS (Identified Cost $4)					4

TOTAL LONG TERM INVESTMENTS—98.0% (Identified Cost $71,000)					71,446	⁽¹³⁾

TOTAL INVESTMENTS—98.0% (Identified Cost $71,000)					71,446	⁽¹⁾
Other assets and liabilities, net—2.0%					1,486

NET ASSETS—100.0%				$	72,932

Abbreviation:


PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2016.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $29,643 or 40.6% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	No contractual maturity date.

⁽⁶⁾	Interest payments may be deferred.

⁽⁷⁾	100% of the income received was in cash.

⁽⁸⁾	Security in default, portion of the interest payments are being received during the bankruptcy proceedings.

⁽⁹⁾	This loan will settle after December 31, 2016, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽¹⁰⁾	Value shown as par value.

⁽¹¹⁾	Illiquid security.

⁽¹²⁾	Security in default, no interest payments are being received.

⁽¹³⁾	All or a portion of the Fund’s assets have been segregated for delayed delivery securities.

⁽¹⁴⁾	Non-income producing.

⁽¹⁵⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

⁽¹⁶⁾	Amount is less than 500.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers between Level 1 (quoted prices) and Level 2 (significant observable inputs) related to securities held as of December 31, 2016.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
PREFERRED STOCK—2.6%
Consumer Staples—2.6%
Companhia Brasileira de Distribuicao Grupo Pao de Acucar 0.03%(Brazil)		6,385	$	108

TOTAL PREFERRED STOCK (Identified Cost $105)				108

COMMON STOCKS—89.8%
Consumer Discretionary—15.8%
Bayerische Motoren Werke AG (Germany)		1,265		118
Bridgestone Corp. (Japan)		2,745		99
Fuji Heavy Industries Ltd. (Japan)		3,140		128
IMAX Corp. (Canada)⁽²⁾		4,090		128
Sony Corp. Sponsored ADR (Japan)		3,965		111
WPP plc (United Kingdom)		3,865		87

				671

Consumer Staples—5.5%
British American Tobacco plc (United Kingdom)		1,735		99
Marine Harvest ASA Sponsored ADR (Norway)⁽²⁾		7,415		134

				233

Energy—8.3%
Petroleo Brasileiro S.A. Sponsored ADR (Brazil)⁽²⁾		10,720		109
Statoil ASA (Norway)		6,490		119
Technip SA (France)		1,755		125

				353

Financials—14.8%
American International Group, Inc. (United States)		2,030		133
DBS Group Holdings Ltd. (Singapore)		11,205		134
Mizuho Financial Group, Inc. (Japan)		66,065		119
ORIX Corp. (Japan)		7,655		119
Societe Generale SA (France)		2,530		124

				629

Health Care—7.9%
Allergan plc (Ireland)⁽²⁾		635		133
Icon plc (Ireland)⁽²⁾		1,315		99
Shire plc ADR (United Kingdom)		610		104

				336

Industrials—14.7%
Airbus Group SE (France)		1,680		111


	SHARES		VALUE
Industrials—(continued)
Ashtead Group plc (United Kingdom)		7,560	$	147
Nidec Corp. (Japan)		1,510		130
RELX plc (United Kingdom)		5,995		107
Safran SA (France)		1,755		127

				622

Information Technology—8.1%
Broadcom Ltd. (Singapore)		710		126
Check Point Software Technologies Ltd. (Israel)⁽²⁾		1,105		93
SAP SE Sponsored ADR (Germany)		1,430		124

				343

Materials—4.1%
Fortescue Metals Group Ltd. (Australia)		8,675		37
Toray Industries, Inc. (Japan)		17,115		139

				176

Real Estate—2.5%
LendLease Group (Australia)		10,140		107

Telecommunication Services—6.4%
KDDI Corp. (Japan)		3,875		98
Nippon Telegraph & Telephone Corp. ADR (Japan)		2,235		94
Spark New Zealand Ltd. (New Zealand)		33,416		79

				271

Utilities—1.7%
Korea Electric Power Corp. (South Korea)		1,975		72

TOTAL COMMON STOCKS (Identified Cost $3,405)				3,813

TOTAL LONG TERM INVESTMENTS—92.4% (Identified Cost $3,510)				3,921

TOTAL INVESTMENTS—92.4% (Identified Cost $3,510)				3,921	⁽¹⁾
Other assets and liabilities, net—7.6%				324

NET ASSETS—100.0%			$	4,245

Abbreviation:

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

At December 31, 2016, the Fund had entered into forward currency contracts as follows (reported in 000’s):

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $ 860 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).


	SHARES		VALUE
COMMON STOCKS—100.1%
Australia—14.0%
Dexus Property Group		114,518	$	795
GPT Group (The) - In Specie^(2)(3)(5)		588,920		38
National Storage REIT		545,000		588
Scentre Group		422,171		1,414
Westfield Corp.		203,473		1,377

				4,212

Austria—0.6%
Atrium European Real Estate Ltd.		44,000		182

Canada—8.2%
Allied Properties Real Estate Investment Trust		31,065		832
Canadian Real Estate Investment Trust		10,195		351
First Capital Realty, Inc.		24,705		380
RioCan Real Estate Investment Trust		44,550		884

				2,447

Finland—2.9%
Citycon OYJ		349,291		860

France—4.7%
Klepierre		24,956		981
Mercialys SA		21,200		430

				1,411

Germany—11.4%
ADO Properties SA⁽⁴⁾		18,322		617
Deutsche Wohnen AG		26,475		831
LEG Immobilien AG		3,911		304
TLG Immobilien AG		15,800		298
Vonovia SE		42,045		1,368

				3,418

Hong Kong—5.2%
Hysan Development Co. Ltd.		55,000		227
Link REIT (The)		206,441		1,342

				1,569

Italy—0.5%
Beni Stabili SpA		285,164		163

Japan—18.3%
GLP J-REIT		492		567
Hulic Co., Ltd.		62,500		556


	SHARES		VALUE
Japan—(continued)
Invincible Investment Corp.		825	$	372
Japan Real Estate Investment Corp.		111		605
Kenedix Office Investment Corp.		111		638
Kenedix Retail REIT Corp.		179		408
LaSalle Logiport REIT⁽²⁾		715		677
Nippon Building Fund, Inc.		111		614
Nippon Prologis REIT, Inc.		266		544
United Urban Investment Corp.		332		505

				5,486

Mexico—1.0%
PLA Administradora Industrial S de Rl de CV		49,852		63
Prologis Property Mexico SA de CV		167,200		239

				302

Netherlands—6.9%
Unibail-Rodamco SE		8,660		2,067

Norway—1.9%
Entra ASA⁽⁴⁾		59,000		586

Singapore—1.9%
CapitaLand Mall Trust		211,650		275
Global Logistic Properties Ltd.		196,000		298

				573

Spain—3.8%
Axiare Patrimonio SOCIMI SA		41,170		599
Hispania Activos Inmobiliarios Socimi SA		45,327		534

				1,133

Sweden—2.3%
Castellum AB		50,199		688

United Kingdom—16.5%
Big Yellow Group plc		58,288		492
British Land Co. plc		67,105		521
Derwent London plc		13,346		456
Great Portland Estates plc		28,018		231
Hammerson plc		97,209		686
Land Securities Group plc		57,085		750
Safestore Holdings plc		108,376		468
SEGRO plc		104,057		587


	SHARES		VALUE
United Kingdom—(continued)
Unite Group plc (The)		101,700	$	760

				4,951

TOTAL COMMON STOCKS (Identified Cost $24,111)				30,048

TOTAL LONG TERM INVESTMENTS—100.1% (Identified Cost $24,111)				30,048

TOTAL INVESTMENTS—100.1% (Identified Cost $24,111)				30,048	⁽¹⁾

Other assets and liabilities, net—(0.1)%				(44	)

NET ASSETS—100.0%			$	30,004

Abbreviation:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $1,203 or 4.0% of net assets.

⁽⁵⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $ 11,802 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
PREFERRED STOCK—0.1%
Consumer Discretionary—0.1%
Whirlpool SA 0.14% (Brazil)⁽²⁾		42,618	$	42

TOTAL PREFERRED STOCK (Identified Cost $34)				42

COMMON STOCKS—90.9%
Consumer Discretionary—8.3%
Goldlion Holdings Ltd. (Hong Kong)		3,372,600		1,318
Pico Far East Holdings Ltd. (Hong Kong)		4,841,668		1,486
REA Group Ltd. (Australia)		38,440		1,532

				4,336

Consumer Staples—7.2%
Heineken Malaysia Bhd (Malaysia)		276,000		1,008
Oldtown Bhd (Malaysia)		912,550		389
Premier Marketing PCL (Thailand)		3,939,029		979
Wawel SA (Poland)		5,206		1,368

				3,744

Energy—3.5%
Pason Systems, Inc. (Canada)		47,500		695
Qualitech PCL (Thailand)		1,772,163		450
Schoeller-Bleckmann Oilfield Equipment AG (Austria)		8,578		691

				1,836

Financials—10.0%
ARA Asset Management Ltd. (Singapore)		751,716		885
Euler Hermes SA (France)		22,400		1,969
Euroz Ltd. (Australia)⁽⁵⁾		1,614,263		1,217
Korea Ratings Corp. (South Korea)		33,868		1,164

				5,235

Health Care—7.1%
Haw Par Corp. Ltd. (Singapore)⁽⁵⁾		71,719		450
Software Service, Inc. (Japan)		19,853		956
WIN-Partners Co. Ltd. (Japan)		265,265		2,290

				3,696

Industrials—20.0%
AIT Corp. (Japan)		166,300		1,552
Amadeus Fire AG (Germany)		5,695		440
Asiakastieto Group Oyj (Finland)		64,800		1,313
Howden Joinery Group plc (United Kingdom)		324,000		1,533


	SHARES		VALUE
Industrials—(continued)
Interworks, Inc. (Japan)		80,200	$	705
Lumax International Corp., Ltd. (Taiwan)		1,141,397		1,866
Rotork plc (United Kingdom)		239,154		711
Tegma Gestao Logistica SA (Brazil)⁽²⁾		437,060		1,033
WABCO Holdings, Inc. (United States)⁽²⁾		12,050		1,279

				10,432

Information Technology—29.2%
Alten SA (France)		12,300		864
Auto Trader Group plc (United Kingdom)		323,300		1,630
Autohome, Inc. ADR (China)⁽²⁾		84,000		2,123
Bouvet ASA (Norway)⁽⁵⁾		90,645		1,449
carsales.com Ltd. (Australia)		169,367		1,387
Computer Modelling Group Ltd. (Canada)		104,100		706
Firstlogic, Inc. (Japan)⁽³⁾		87,900		1,580
Kakaku.com Inc. (Japan)		26,000		430
Pro-Ship, Inc. (Japan)⁽³⁾		35,500		432
Rightmove plc (United Kingdom)		48,300		2,323
Scout24 AG (Germany)⁽²⁾		64,275		2,289

				15,213

Materials—5.6%
Rimoni Industries Ltd. (Israel)⁽⁵⁾		89,509		1,119
Transpaco Ltd. (South Africa)⁽⁶⁾		730,699		1,543
Victrex plc (United Kingdom)		11,800		281

				2,943

TOTAL COMMON STOCKS (Identified Cost $44,591)				47,435

TOTAL LONG TERM INVESTMENTS—91.0% (Identified Cost $44,625)				47,477

SHORT-TERM INVESTMENT—4.3%
Money Market Mutual Fund—4.3%
JPMorgan U.S. Government Money Market Fund - Institutional Shares (seven-day effective yield 0.440%)⁽⁷⁾		2,261,058		2,261

TOTAL SHORT-TERM INVESTMENT (Identified Cost $2,261)				2,261


	SHARES		VALUE
SECURITIES LENDING COLLATERAL—0.6%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) - Institutional Shares (seven-day effective yield 0.670%) (United States)⁽⁴⁾⁽⁷⁾		318,000	$	318

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $318)				318


			VALUE
TOTAL INVESTMENTS—95.9% (Identified Cost $47,204)				50,056	⁽¹⁾
Other assets and liabilities, net—4.1%				2,130

NET ASSETS—100.0%			$	52,186

Abbreviation:

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	All or a portion of security is on loan.

⁽⁴⁾	Represents security purchased with cash collateral received for securities on loan.

⁽⁵⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽⁶⁾	Illiquid security.

⁽⁷⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $42 were transferred from Level 1 to Level 2 and securities held by the Fund with an end of period value of $21,195 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).


	SHARES		VALUE
COMMON STOCKS—99.3%
Consumer Discretionary—29.6%
Altice NV Class A (Netherlands)⁽²⁾		1,800	$	36
Autogrill S.p.A (Italy)		708		6
Autoneum Holding AG (Switzerland)		79		21
Axel Springer SE (Germany)		556		27
Bayerische Motoren Werke AG (Germany)		282		26
Benesse Holdings, Inc. (Japan)		1,310		36
Brembo S.p.A (Italy)		113		7
Brunello Cucinelli S.p.A (Italy)		307		7
Carnival plc (United Kingdom)		751		38
Chow Tai Fook Jewellery Group Ltd. (Hong Kong)		7,600		6
Christian Dior SE (France)		67		14
Compagnie Financiere Richemont SA Registered Shares (Switzerland)		314		21
Continental AG (Germany)		137		27
Crown Resorts Ltd. (Australia)⁽⁵⁾		2,613		22
CTS Eventim AG & Co. KGaA (Germany)		850		27
Daily Mail & General Trust plc Class A (United Kingdom)		4,010		38
De’ Longhi S.p.A (Italy)		288		7
Dixons Carphone plc (United Kingdom)		8,848		39
Domino’s Pizza Enterprises Ltd. (Australia)		455		21
Don Quijote Holdings Co., Ltd. (Japan)		975		36
Dufry AG (Switzerland)⁽²⁾		167		21
Dunelm Group plc (United Kingdom)		3,882		38
Fast Retailing Co., Ltd. (Japan)		98		35
Fielmann AG (Germany)		415		27
Forbo Holding AG Registered Shares (Switzerland)⁽²⁾		16		21
Galaxy Entertainment Group Ltd. (Hong Kong)		1,340		6
Genting Singapore plc (Singapore)		10,000		6
Geox S.p.A (Italy)⁽²⁾		2,845		7
Global Brands Group Holding Ltd. (Hong Kong)⁽²⁾		44,000		6
Harvey Norman Holdings Ltd. (Australia)		5,914		22
Heiwa Corp. (Japan)		1,625		37
Hennes & Mauritz AB Class B (Sweden)		376		10
Hermes International SA (France)		35		14
Hikari Tsushin, Inc. (Japan)		390		36
Industria de Diseno Textil SA (Spain)		421		14
Jardine Cycle & Carriage Ltd. (Singapore)		228		6
JCDecaux SA (France)		496		15


	SHARES		VALUE
Consumer Discretionary—(continued)
Kering (France)		63	$	14
L’Occitane International SA (France)		7,500		14
Li & Fung Ltd. (Hong Kong)		12,450		5
Luxottica Group S.p.A (Italy)		121		7
LVMH Moet Hennessy Louis Vuitton SE (France)		75		14
M6-Metropole Television SA (France)		768		14
Man Wah Holdings Ltd. (Hong Kong)		8,600		6
Mediaset S.p.A. (Italy)		1,537		7
Mekonomen AB (Sweden)		548		10
Melco Crown Entertainment Ltd. ADR (Hong Kong)		370		6
Melco International Development Ltd. (Hong Kong)		4,300		6
Melia Hotels International SA (Spain)		1,273		15
Merlin Entertainment plc (United Kingdom)⁽³⁾		7,011		39
MGM China Holdings Ltd. (Hong Kong)		3,000		6
Moncler S.p.A (Italy)		392		7
Nitori Holdings Co., Ltd. (Japan)		341		39
NOS SGPS SA (Portugal)		534		3
Ocado Group plc (United Kingdom)⁽²⁾		12,035		39
Plastic Omnium SA (France)		450		14
Prada S.p.A (Italy)		2,000		7
Premier Investments Ltd. (Australia)		2,094		22
Publicis Groupe SA (France)		206		14
Rakuten, Inc. (Japan)		3,700		36
Royal Caribbean Cruises Ltd. (Norway)		71		6
Salvatore Ferragamo S.p.A (Italy)		275		7
Sands China Ltd. (Hong Kong)		1,350		6
Sankyo Co., Ltd. (Japan)		1,125		36
Sega Sammy Holdings, Inc. (Japan)		2,450		36
Seven West Media Ltd. (Australia)		37,405		22
SFR Group SA (France)⁽²⁾		516		15
Shangri-La Asia Ltd. (Hong Kong)		5,550		6
Shimanura Co., Ltd. (Japan)		300		37
SJM Holdings Ltd. (Hong Kong)		7,500		6
Sodexo SA (France)		124		14
Sports Direct International plc (United Kingdom)⁽²⁾		11,150		38
Start Today Co., Ltd. (Japan)		2,175		38
Steinhoff International Holdings NV (Germany)⁽²⁾		5,344		28
Swatch Group AG (The) (Switzerland)		66		21
Techtronics Industries Co., Ltd. (Hong Kong)		1,600		6
Television Francaise 1 (France)		1,422		14
Tod’s S.p.A (Italy)		102		7


	SHARES		VALUE
Consumer Discretionary—(continued)
Universal Entertainment Corp. (Japan)⁽²⁾		1,346	$	39
Vivendi (France)		735		14
Wynn Macau Ltd. (Hong Kong)		3,900		6
Yoox Net-A-Porter Group S.p.A (Italy)⁽²⁾		228		6
Yue Yuen Industrial Holdings Ltd. (Hong Kong)		1,650		6

				1,541

Consumer Staples—12.6%
AAK AB (Sweden)		158		10
Anheuser-Busch InBev N.V. (Belgium)		505		54
Associated British Foods plc (United Kingdom)		1,147		39
Axfood AB (Sweden)		660		10
Barry Callebaut AG (Switzerland)⁽²⁾		17		21
Beiersdorf AG (Germany)		314		27
Carrefour SA (France)		589		14
Casino Guichard Perrachon SA (France)		303		15
Cosmos Pharmaceutical Corp. (Japan)		200		37
Dairy Farm International Holdings Ltd. (Hong Kong)		910		7
Davide Campari-Milano S.p.A (Italy)		642		6
First Resources Ltd. (Singapore)		4,730		6
Golden Agri-Resources Ltd. (Singapore)		21,500		6
Heineken Holding NV (Netherlands)		510		36
Henkel AG & Co. KGaA (Germany)		256		27
Jeronimo Martins SPGS SA (Portugal)		227		4
Kose Corp. (Japan)		438		36
L’Oreal SA (France)		78		14
Marine Harvest ASA (Norway)⁽²⁾		342		6
MARR S.p.A (Italy)		348		6
Metro AG (Germany)		806		27
Orkla ASA (Norway)		674		6
Pernod-Ricard SA (France)		131		14
Pola Orbis Holdings, Inc. (Japan)		444		37
Rallye SA (France)		743		14
Remy Cointreau SA (France)		167		14
Sonae SGPS SA (Portugal)⁽²⁾		3,660		3
Sugi Holdings Co., Ltd. (Japan)		770		37
Sundrug Co., Ltd. (Japan)		530		37
Suntory Beverage & Food Ltd. (Japan)		875		36
Unicharm Corp. (Japan)		1,700		37
WH Group Ltd. (Hong Kong)⁽³⁾		7,200		6
Wilmar International Ltd. (Singapore)		2,520		6

				655


	SHARES		VALUE
Energy—3.5%
Akastor ASA (Norway)⁽²⁾		3,506	$	7
Aker BP ASA (Norway)		350		6
Aker Solutions ASA (Norway)⁽²⁾		1,306		6
Avance Gas Holding Ltd. (Norway)⁽³⁾		1,980		6
BW LPG Ltd. (Norway)⁽³⁾		1,421		6
Delek Group Ltd. (Israel)		29		6
Galp Energia SGPS SA (Portugal)		228		3
Genel Energy plc (United Kingdom)⁽²⁾		40,974		41
Petrofac Ltd. (United Kingdom)		3,584		38
Saras S.p.A (Italy)⁽²⁾		3,641		7
Seadrill Ltd. (Norway)⁽²⁾⁽⁴⁾		1,744		6
Ship Finance International Ltd. (Norway)		391		6
Tecnicas Reunidas SA (Spain)		356		15
Tenaris SA ADR (Italy)		184		7
Transocean Ltd. (United States)⁽²⁾		1,392		21

				181

Financials—8.6%
ACOM Co., Ltd. (Japan)⁽²⁾		8,300		36
Ashmore Group plc (United Kingdom)		10,906		38
Assicurazioni Generali S.p.A (Italy)		431		6
Banca Mediolanum S.p.A (Italy)		898		7
Banco Santander SA (Spain)		2,779		15
Bank Hapoalim BM (Israel)		1,041		6
Bank of East Asia Ltd. (Hong Kong)		1,600		6
Bankinter SA (Spain)		1,837		14
City Developments Ltd. (Singapore)		1,100		6
Emperor Capital Group Ltd. (Hong Kong)		66,000		6
First Pacific Co., Ltd. (Hong Kong)		8,300		6
Goldin Financial Holdings Ltd. (Hong Kong)⁽²⁾		15,100		6
Groupe Bruxelles Lambert SA (Belgium)		630		53
Hutchison Port Holdings Trust (Singapore)		14,300		6
Industrivarden AB Class A (Sweden)		518		10
Kingston Financial Group Ltd. (Hong Kong)		13,300		6
Matsui Securities Co., Ltd. (Japan)		4,145		36
Oversea-Chinese Banking Corp. (Singapore)		1,000		6
Pargesa Holding SA (Switzerland)		321		21
Partners Group Holding AG (Switzerland)		44		21
Platinum Asset Management Ltd. (Australia)⁽⁴⁾		5,688		22
Reinet Investments SCA (United Kingdom)		19,991		39
Schroders plc (United Kingdom)		1,046		39
Svenska Handelsbanken AB Class A (Sweden)		726		10
United Overseas Bank Ltd. (Singapore)		452		6


	SHARES		VALUE
Financials—(continued)
Wendel SE (France)		117	$	14
Wharf Holdings Ltd. (The) (Hong Kong)		925		6

				447

Health Care—4.4%
BioMerieux (France)		95		14
Cyberdyne, Inc. (Japan)⁽²⁾⁽⁴⁾		2,600		37
DiaSorin S.p.A (Italy)		106		6
Eurofins Scientific SE (France)		33		14
Galenica AG Registered Shares (Switzerland)		18		20
Getinge AB Class B (Sweden)		634		10
Ipsen SA (France)		197		14
Rhoen-Klinikum AG (Germany)		986		27
Roche Holding AG (Switzerland)		89		21
Straumann Holding AG (Switzerland)		54		21
Taisho Pharmaceutical Holdings Co., Ltd. (Japan)		445		37
Taro Pharmaceutical Industries Ltd. (Israel)⁽²⁾		60		7

				228

Industrials—13.4%
Abertis Infraestructuras SA (Spain)		1,027		14
ACS Actividades de Construccion y Servicios SA (Spain)		454		14
Alfa Laval AB (Sweden)		614		10
Alstom SA (France)⁽²⁾		515		14
ANDRITZ AG (Austria)		542		27
Assa Abloy AB Class B (Sweden)		535		10
Bollore SA (France)		4,039		14
Bouygues SA (France)		392		14
Cargotec Oyj Class B (Finland)		637		29
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		790		6
CK Hutchison Holdings Ltd. (Hong Kong)		550		6
Dassault Aviation SA (France)		13		15
easyJet plc (United Kingdom)		3,025		37
Ferrovial SA (Spain)		800		14
Fomento de Construcciones y Contratas SA (Spain)⁽²⁾		1,804		14
HK Electric Investments & HK Electric Investments Ltd. (Hong Kong)⁽³⁾		7,200		6
Indutrade AB (Sweden)		504		10
IWG plc (United Kingdom)		12,836		39
Jardine Matheson Holdings Ltd. (Singapore)		118		7


	SHARES		VALUE
Industrials—(continued)
Jardine Strategic Holdings Ltd. (Singapore)		196	$	6
Kloeckner & Co. SE (Germany)⁽²⁾		2,129		27
Kone Oyj Class B (Finland)		638		29
Kuehne & Nagel International AG (Switzerland)		157		21
Nidec Corp. (Japan)		420		36
Noble Group Ltd. (Singapore)⁽²⁾		57,000		7
Nordex SE (Germany)⁽²⁾		1,282		28
NWS Holdings Ltd. (Hong Kong)		3,600		6
Obrascon Huarte Lain SA (Spain)		4,193		15
OC Oerlikon Corp. AG Registered Shares (Switzerland)⁽²⁾		2,140		21
Orient Overseas International Ltd. (Hong Kong)		1,400		6
Prosegur Cia de Seguridad SA (Spain)		2,358		15
Rieter Holding AG (Switzerland)⁽²⁾		119		21
Ryanair Holdings plc Sponsored ADR (United Kingdom)⁽²⁾		459		38
Salini Impregilo S.p.A (Italy)		1,989		6
Securitas AB Class B (Sweden)		655		10
Seven Group Holdings Ltd. (Australia)		3,726		21
SGL Carbon SE (Germany)⁽²⁾		3,141		28
SGS SA Registered Shares (Switzerland)		10		20
Skanska AB Class B (Sweden)		429		10
Sulzer AG (Switzerland)		199		21
Summit Ascent Holdings Ltd. (Hong Kong)⁽²⁾		24,000		6

				698

Information Technology—11.7%
AFG Arbonia Forster Holding AG (Switzerland)⁽²⁾		1,287		21
Check Point Software Technologies Ltd. (Israel)⁽²⁾		74		6
COLOPL, Inc. (Japan)		4,400		37
Dassault Systemes SA (France)		187		14
Gree, Inc. (Japan)		6,900		36
GungHo Online Entertainment, Inc. (Japan)⁽⁴⁾		17,500		37
Hexagon AB Class B (Sweden)		285		10
Keyence Corp. (Japan)		54		37
Konami Corp. (Japan)		950		38
Lenovo Group Ltd. (Hong Kong)		10,400		6
Mixi, Inc. (Japan)		1,030		38
Nexon Co., Ltd. (Japan)		2,490		36
OBIC Business Consultants Co., Ltd. (Japan)		845		37
OBIC Co., Ltd. (Japan)		851		37
Otsuka Corp. (Japan)		768		36
Renishaw plc (United Kingdom)		1,241		39


	SHARES		VALUE
Information Technology—(continued)
SAP SE (Germany)		305	$	27
Silverlake Axis Ltd. (Singapore)		17,600		7
Square Enix Holdings Co., Ltd. (Japan)		1,450		37
United Internet AG Registered Shares (Germany)		685		27
VTech Holdings Ltd. (Hong Kong)		442		6
Yahoo Japan Corp. (Japan)		9,600		37

				606

Materials—7.3%
APERAM SA (Netherlands)		776		36
ArcelorMittal (Netherlands)⁽²⁾		4,732		35
EMS-Chemie Holding AG (Switzerland)		41		21
Evolution Mining Ltd. (Australia)		17,198		26
Fortescue Metals Group Ltd. (Australia)		4,954		21
Frutarom Industries Ltd. (Israel)		120		6
Glencore International plc (United Kingdom)⁽²⁾		11,411		39
HeidelbergCement AG (Germany)		292		27
Hexpol AB (Sweden)		1,085		10
Holmen AB Class B (Sweden)		289		10
Imerys SA (France)		189		14
Israel Chemicals Ltd. (Israel)		1,558		7
Israel Corp. Ltd. (The) (Israel)⁽²⁾		39		7
LafargeHolcim Ltd. Registered Shares (Switzerland)⁽²⁾		396		21
OCI NV (Netherlands)⁽²⁾		2,084		36
Pact Group Holdings Ltd. (Australia)		4,509		22
Vicat (France)		235		14
Wacker Chemie AG (Germany)		261		27

				379

Real Estate—4.7%
Abacus Property Group (Australia)		10,114		22
Champion REIT (Hong Kong)		10,600		6
Cheung Kong Property Holdings Ltd. (Hong Kong)		950		6
Fonciere Des Regions (France)		164		14
Fortune REIT (Hong Kong)		5,400		6
Hang Lung Group Ltd. (Hong Kong)		1,800		6
Hang Lung Properties Ltd. (Hong Kong)		3,000		6
Henderson Land Development Co., Ltd. (Hong Kong)		1,111		6
Hongkong Land Holdings Ltd. (Singapore)		1,000		6
Hufvudstaden AB Class A (Sweden)		667		11
Hysan Development Co., Ltd. (Hong Kong)		1,450		6


	SHARES		VALUE
Real Estate—(continued)
Inmobiliaria Colonial SA (Spain)⁽²⁾		2,080	$	15
Intu Properties plc (United Kingdom)		11,315		39
Kerry Properties Ltd. (Hong Kong)		2,100		6
Lundbergforetagen AB Class B (Sweden)		168		10
New World Development Co., Ltd. (Hong Kong)		5,200		6
Scentre Group (Australia)		6,694		23
Sino Land Co., Ltd. (Hong Kong)		4,000		6
Sun Hung Kai Properties Ltd. (Hong Kong)		450		6
UOL Group Ltd. (Singapore)		1,543		6
Westfield Corp. (Australia)		3,242		22
Wheelock & Co., Ltd. (Hong Kong)		1,105		6
Yanlord Land Group Ltd. (Singapore)		6,900		6

				246

Telecommunication Services—2.5%
HKT Trust & HKT Ltd. (Hong Kong)		5,000		6
Iliad SA (France)		74		14
PCCW Ltd. (Hong Kong)		10,900		6
SmarTone Telecommunications Holdings Ltd. (Hong Kong)		4,200		6
SoftBank Group Corp. (Japan)		541		36
TalkTalk Telecom Group plc (United Kingdom)		18,709		39
TPG Telecom Ltd. (Australia)		4,433		22

				129

Utilities—1.0%
CLP Holdings Ltd. (Hong Kong)		639		6
Engie SA (France)		1,104		14
Hong Kong & China Gas Co., Ltd. (Hong Kong)		3,285		6
Kenon Holdings Ltd. (Israel)⁽²⁾		567		6
Power Assets Holdings Ltd. (Hong Kong)		650		6
Rubis SCA (France)		173		14

				52

TOTAL COMMON STOCKS (Identified Cost $5,194)				5,162

TOTAL LONG TERM INVESTMENTS—99.3% (Identified Cost $5,194)				5,162


	SHARES		VALUE
SECURITIES LENDING COLLATERAL—1.6%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) - Institutional Shares (seven-day effective yield 0.670%)⁽⁶⁾⁽⁷⁾		83,250	$	83

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $83)				83

TOTAL INVESTMENTS—100.9% (Identified Cost $5,277)				5,245	⁽¹⁾
Other assets and liabilities, net—(0.9)%				(44	)

NET ASSETS—100.0%			$	5,201

Abbreviations:


ADR		American Depositary Receipt
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $63 or 1.2% of net assets.

⁽⁴⁾	All or a portion of security is on loan.

⁽⁵⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽⁶⁾	Represents security purchased with cash collateral received for securities on loan.

⁽⁷⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $2,002 were transferred from Level 2 to Level 1 based on our valuation procedures for non U.S. securities (See Note 1A in the Notes to Schedules of Investments for more information).


	PAR VALUE		VALUE
U.S. GOVERNMENT SECURITIES—6.8%
U.S. Treasury Note
0.750%, 12/31/17	$	14,855	$	14,830
1.375%, 4/30/20		10,335		10,262

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $25,265)				25,092

MUNICIPAL BOND—0.1%
Illinois—0.1%
State of Illinois Build America Taxable 5.547%, 4/1/19		190		196

TOTAL MUNICIPAL BOND (Identified Cost $199)				196

FOREIGN GOVERNMENT SECURITIES—0.2%
Democratic Socialist Republic of Sri Lanka 144A 6.000%, 1/14/19⁽³⁾		235		242
Kingdom of Saudi Arabia 144A 2.375%, 10/26/21⁽³⁾		200		194
Sultanate of Oman 144A 3.625%, 6/15/21⁽³⁾		200		200

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $636)				636

MORTGAGE-BACKED SECURITIES—38.7%
Agency—10.7%
FHLMC
4.000%, 2/1/45		373		392
3.500%, 3/1/45		1,986		2,039
FNMA
4.000%, 8/1/25		82		86
3.000%, 6/1/27		272		279
3.000%, 11/1/27		917		942
2.500%, 5/1/28		738		740
2.500%, 11/1/29		702		704
2.500%, 9/1/30		4,038		4,047
3.000%, 9/1/30		2,814		2,890
3.000%, 10/1/30		1,601		1,644
3.000%, 10/1/30		5,019		5,153
2.500%, 2/1/31		6,180		6,192
4.000%, 11/1/31		412		437
5.000%, 10/1/39		305		338
4.500%, 4/1/40		121		131


	PAR VALUE		VALUE
Agency—(continued)
3.500%, 12/1/42	$	619	$	638
4.000%, 10/1/44		883		928
3.500%, 8/1/45		1,578		1,618
3.500%, 1/1/46		1,986		2,036
3.500%, 1/1/46		2,500		2,563
3.500%, 1/1/46		459		471
4.000%, 1/1/46		1,583		1,664
3.500%, 4/1/46		525		538
3.500%, 5/1/46		541		555
3.500%, 6/1/46		2,388		2,448
FNMA REMIC 97-70, PE (P.O.) 0.000%, 4/25/22		5		5
GNMA
7.000%, 7/15/23		2		2
7.000%, 9/15/23		8		8
7.000%, 9/15/23		2		2
7.000%, 1/15/24		5		5
7.000%, 9/15/24		6		6
7.000%, 7/15/25		3		3
7.000%, 7/15/25		11		12

				39,516

Non-Agency—28.0%
A-10 Securitization LLC 13-1, A 144A 2.400%, 11/15/25⁽³⁾		5		5
Access Point Financial, Inc. 15-A, A 144A 2.610%, 4/15/20⁽³⁾		50		50
Agate Bay Mortgage Trust 13-1, A1 144A 3.500%, 7/25/43⁽²⁾⁽³⁾		2,276		2,293
American Homes 4 Rent 15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		194		195
Ameriquest Mortgage Securities, Inc. 03-10, AF6 5.210%, 11/25/33⁽²⁾		170		175
AMSR Trust
16-SFR1, A 144A 2.136%, 11/17/33⁽²⁾⁽³⁾		498		498
16-SFR1, C 144A 2.986%, 11/17/33⁽²⁾⁽³⁾		498		499
Asset Backed Funding Certificates 05-AQ1, A6 4.780%, 6/25/35⁽²⁾		90		93
Aventura Mall Trust
13-AVM, A 144A 3.743%, 12/5/32⁽²⁾⁽³⁾		1,721		1,807
13-AVM, C 144A 3.743%, 12/5/32⁽²⁾⁽³⁾		1,130		1,167
Banc of America Commercial Mortgage Trust
07-2, A4 5.638%, 4/10/49⁽²⁾		263		262


	PAR VALUE		VALUE
Non-Agency—(continued)
07-4, AM 5.814%, 2/10/51⁽²⁾	$	1,950	$	1,986
Banc of America Funding Trust
04-B, 2A1 3.439%, 11/20/34⁽²⁾		50		50
05-1, 1A1 5.500%, 2/25/35		144		144
06-2, 3A1 6.000%, 3/25/36		31		31
16- R1, A1 144A 2.500%, 3/25/40⁽²⁾⁽³⁾		1,819		1,785
Banc of America Mortgage Trust
04-5, 4A1 4.750%, 6/25/19		208		208
04-7, 6A3 4.500%, 8/25/19		47		47
04-11, 5A1 6.500%, 8/25/32		431		434
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust
04-22CB, 1A1 6.000%, 10/25/34		359		384
04-24CB, 1A1 6.000%, 11/25/34		243		251
Bank of America (Merrill Lynch) Investors Series 04-A4, A1 2.862%, 8/25/34⁽²⁾		731		740
Barclays (Lehman Brothers) - UBS Commercial Mortgage Trust
07-C2, A3 5.430%, 2/15/40		521		522
07-C6, A4 5.858%, 7/15/40⁽²⁾		466		469
07-C7, A3 5.866%, 9/15/45⁽²⁾		606		621
Bayview Commercial Asset Trust 08-1, A3 144A 2.256%, 1/25/38⁽²⁾⁽³⁾		194		190
Bayview Financial Acquisition Trust 07-A, 1A2 6.205%, 5/28/37⁽²⁾		343		355
BCRR Trust 09-1, 2A 144A 5.858%, 7/17/40⁽²⁾⁽³⁾		56		56
Centex Home Equity Loan Trust
02-A, AF6 5.540%, 1/25/32		84		84
04-D, AF5 5.850%, 9/25/34⁽²⁾		385		396
Citigroup Commercial Mortgage Trust
16-Smpl, A 144A 2.228%, 9/10/31⁽³⁾		750		730
07-C6, A1A 5.711%, 12/10/49⁽²⁾		775		782
07-C6, A4 5.711%, 12/10/49⁽²⁾		1,550		1,563
08-C7, AM 6.136%, 12/10/49⁽²⁾		230		237
10-RR3, MLSR 144A 5.733%, 6/14/50⁽²⁾⁽³⁾		1,261		1,263
Citigroup Mortgage Loan Trust, Inc.
04-NCM2, 2CB2 6.750%, 8/25/34		160		166
14-A, A 144A 4.000%, 1/25/35⁽²⁾⁽³⁾		555		576
15-PS1, 144A 3.750%, 9/25/42⁽²⁾⁽³⁾		451		464
15-A, A1 144A 3.500%, 6/25/58⁽²⁾⁽³⁾		1,138		1,154
Colony American Finance Ltd. 15-1 144A 2.896%, 10/15/47⁽³⁾		623		621


	PAR VALUE		VALUE
Non-Agency—(continued)
Colony Multi-Family Mortgage Trust 14-1, A 144A 2.543%, 4/20/50⁽³⁾	$	976	$	970
Colony Starwood Homes Trust 16-2A, C 144A 2.886%, 12/17/33⁽²⁾⁽³⁾		1,000		1,003
COLT Mortgage Loan Trust Funding LLC
16-1 A1, 144A 3.000%, 5/25/46⁽³⁾		664		671
16-2, A1 144A 2.750%, 9/25/46⁽²⁾⁽³⁾		972		978
Commercial Mortgage Lease-Backed Certificates 01-CMB, 1 144A 7.471%, 6/20/31⁽²⁾⁽³⁾		460		507
Commercial Mortgage Trust
07-C9, A4 5.812%, 12/10/49⁽²⁾		965		973
07-GG11, AM 5.867%, 12/10/49⁽²⁾		2,123		2,170
Credit Suisse Commercial Mortgage-Backed Trust 07-C1, A1A 5.361%, 2/15/40		46		46
Credit Suisse First Boston Mortgage Securities Corp.
03-27, 5A3 5.250%, 11/25/33		66		67
03-AR30, 5A1 3.151%, 1/25/34⁽²⁾		353		357
Credit Suisse Mortgage Capital Trust
16-BDWN, A 144A 3.439%, 2/15/29⁽²⁾⁽³⁾		875		874
13-HYB1, A16,144A 3.023%, 4/25/43⁽²⁾⁽³⁾		983		985
Freddie Mac Structured Agency Credit Risk Debt Notes 16-DNA2, M2 2.956%, 10/25/28⁽²⁾		835		846
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.382%, 12/15/34⁽²⁾⁽³⁾		810		814
GMAC Mortgage Corp. Loan Trust 04-AR1, 12A 3.489%, 6/25/34⁽²⁾		178		180
Goldman Sachs Mortgage Securities Trust
07-GG10, A4 5.793%, 8/10/45⁽²⁾		1,290		1,298
07-GG10, A1A 5.793%, 8/10/45⁽²⁾		2,164		2,186
GSAA Home Equity Trust
05-1, AF4 5.619%, 11/25/34⁽²⁾		192		197
05-12, AF3W 4.999%, 9/25/35⁽²⁾		50		51
GSR Mortgage Loan Trust 03-3F, 1A6 6.000%, 4/25/33		586		595
Hilton USA Trust 16-SPF, B 144A 3.323%, 11/5/35⁽³⁾		650		642
Home Equity Loan Trust 03-HS2, AIIB 1.006%, 6/25/28⁽²⁾		263		257
IMC Home Equity Loan Trust 97-5, A9 7.310%, 11/20/28		107		107


	PAR VALUE		VALUE
Non-Agency—(continued)
Jefferies Resecuritization Trust 14-R1, 1A1 144A 4.000%, 12/27/37⁽³⁾	$	136	$	136
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust
04-1, 21A1 2.938%, 4/25/34⁽²⁾		90		89
04-9, 22A1 3.577%, 11/25/34⁽²⁾		714		704
04-10, 21A1 3.497%, 1/25/35⁽²⁾		779		784
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities Trust
07- PW17, A4 5.694%, 6/11/50⁽²⁾		696		708
07-PW18, A4 5.700%, 6/11/50		288		294
07-PW18, AM, 6.084%, 6/11/50⁽²⁾		965		995
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust
03-S8, A2 5.000%, 9/25/18		35		35
03-AR6, A1 2.898%, 6/25/33⁽²⁾		310		309
03-AR4, 2A1 2.622%, 8/25/33⁽²⁾		195		191
JPMorgan Chase Commercial Mortgage Securities Trust
10-CNTR, A2 144A 4.311%, 8/5/32⁽³⁾		110		115
15-SGP, B 144A 3.454%, 7/15/36⁽²⁾⁽³⁾		759		764
11-C4, A3 144A 4.106%, 7/15/46⁽³⁾		1,379		1,419
14-C22, A4 3.801%, 9/15/47		1,695		1,766
07-LDPX, AM 5.464%, 1/15/49⁽²⁾		889		881
07-CB19, A4 5.713%, 2/12/49⁽²⁾		1,702		1,713
07-LD12, A4 5.882%, 2/15/51⁽²⁾		1,925		1,951
JPMorgan Chase Mortgage Trust
14-2, 2A2 144A 3.500%, 6/25/29⁽²⁾⁽³⁾		161		164
06-A2, 4A1 3.180%, 8/25/34⁽²⁾		152		152
04-A4, 2A1 3.117%, 9/25/34⁽²⁾		123		124
05-A4, 3A1 3.016%, 7/25/35⁽²⁾		650		642
14-1, 2A2 144A 3.500%, 1/25/44⁽²⁾⁽³⁾		1,443		1,454
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		276		285
16-1, M2 144A 3.750%, 4/25/45⁽²⁾⁽³⁾		780		773
15-4, 1A4 144A 3.500%, 6/25/45⁽²⁾⁽³⁾		1,349		1,359
16-2, M2 144A 3.750%, 12/25/45⁽²⁾⁽³⁾		1,198		1,186
16-1, A3 144A 3.500%, 5/25/46⁽³⁾		2,215		2,233
11-C4, A4, 144A 4.388%, 7/15/46⁽³⁾		295		317
16-3, A3 144A 3.500%, 10/25/46⁽²⁾⁽³⁾		751		757
JPMorgan Chase Trust
15-1, AM1 144A 2.644%, 12/25/44⁽²⁾⁽³⁾		878		876
15-5, A2 144A 2.896%, 5/25/45⁽²⁾⁽³⁾		1,042		1,048


	PAR VALUE		VALUE
Non-Agency—(continued)
MASTR Alternative Loan Trust
04-10, 3A1 5.000%, 9/25/19	$	74	$	75
03-8, 2A1 5.750%, 11/25/33		117		121
04-4, 6A1 5.500%, 4/25/34		166		171
04-7, 9A1 6.000%, 8/25/34		130		134
05-2, 2A1 6.000%, 1/25/35		486		502
MASTR Asset Securitization Trust 05-1, 1A1 5.000%, 5/25/20		271		273
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35⁽²⁾⁽³⁾		398		401
Mill City Mortgage Trust
15 - 1, A3 144A 3.000%, 6/25/56⁽²⁾⁽³⁾		600		583
16-1, A1 144A 2.500%, 4/25/57⁽²⁾⁽³⁾		1,149		1,143
Morgan Stanley - Bank of America (Merrill Lynch) Trust 13-C13, AS 4.266%, 11/15/46		1,515		1,604
Morgan Stanley Capital Barclays Bank Trust 16-Mart, A 144A 2.200%, 9/13/31⁽³⁾		1,515		1,481
Morgan Stanley Capital I Trust
07-T27, A4 5.643%, 6/11/42⁽²⁾		1,369		1,385
08-T29, A4 6.275%, 1/11/43⁽²⁾		188		194
08-T29, AM 6.275%, 1/11/43⁽²⁾		950		982
07-IQ14, AM 5.690%, 4/15/49⁽²⁾		428		419
07-IQ14, A4 5.692%, 4/15/49⁽²⁾		564		565
07- LQ16, A4 5.809%, 12/12/49		662		671
Morgan Stanley Residential Mortgage Loan Trust 14-1A, A1 144A 2.970%, 6/25/44⁽²⁾⁽³⁾		486		489
Motel 6 Trust
15-MTL6, B 144A 3.298%, 2/5/30⁽³⁾		365		364
15-MTL6, D 144A 4.532%, 2/5/30⁽³⁾		810		813
National City Mortgage Capital Trust 08-1, 2A1 6.000%, 3/25/38		211		219
New Residential Mortgage Loan Trust
16-2A, A1 144A 3.750%, 11/26/35⁽²⁾⁽³⁾		373		379
14-1A, A 144A 3.750%, 1/25/54⁽²⁾⁽³⁾		1,693		1,739
14-2A, 3A 144A 3.750%, 5/25/54⁽²⁾⁽³⁾		227		232
14-3A, AFX3 144A 3.750%, 11/25/54⁽²⁾⁽³⁾		1,921		1,947
15-2A, A1 144A 3.750%, 8/25/55⁽²⁾⁽³⁾		1,612		1,663
16-1A, A1 144A 3.750%, 3/25/56⁽²⁾⁽³⁾		656		665
16-3A, A1 144A 3.750%, 9/25/56⁽²⁾⁽³⁾		1,367		1,394
16-4A, A1 144A 3.750%, 11/25/56⁽²⁾⁽³⁾		371		383
Novastar Mortgage Funding Trust Series 04-4, M5 2.481%, 3/25/35⁽²⁾		1,560		1,523


	PAR VALUE		VALUE
Non-Agency—(continued)
Sequoia Mortgage Trust
14-3, A9 144A 3.750%, 10/25/44⁽²⁾⁽³⁾	$	702	$	712
14-4, A6 144A 3.500%, 11/25/44⁽²⁾⁽³⁾		697		697
Structured Adjustable Rate Mortgage Loan Trust
04-1, 6A 3.247%, 2/25/34⁽²⁾		664		645
04-4, 3A2 3.112%, 4/25/34⁽²⁾		506		502
04-4, 3A1 3.112%, 4/25/34⁽²⁾		164		161
04-5, 3A2 3.181%, 5/25/34⁽²⁾		347		350
04-14, 7A 3.109%, 10/25/34⁽²⁾		306		306
Structured Asset Securities Corp.
03-AL1, A 144A 3.357%, 4/25/31⁽³⁾		180		177
03-37A, 2A 2.903%, 12/25/33⁽²⁾		147		146
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates
02-AL1, A3 3.450%, 2/25/32		778		772
02-AL1, A2 3.450%, 2/25/32		150		150
03-33H, 1A1 5.500%, 10/25/33		431		439
03-34A, 6A 3.340%, 11/25/33⁽²⁾		381		376
04-15, 3A3 5.500%, 9/25/34		161		162
Towd Point Mortgage Trust
15-3, A1B 144A 3.000%, 3/25/54⁽²⁾⁽³⁾		655		660
16-1, A1B, 144A 2.750%, 2/25/55⁽²⁾⁽³⁾		756		758
15 - 5, A1B 144A 2.750%, 5/25/55⁽²⁾⁽³⁾		1,067		1,069
15-5, A2 144A 3.500%, 5/25/55⁽²⁾⁽³⁾		175		176
16-2, A1 144A 3.000%, 8/25/55⁽²⁾⁽³⁾		375		377
16-4, A1 144A 2.250%, 7/25/56⁽²⁾⁽³⁾		860		850
Vericrest Opportunity Loan Transfer
16 - NPL8, A1 144A 3.500%, 7/25/46⁽²⁾⁽³⁾		800		797
16-NPL9, A1 144A 3.500%, 9/25/46⁽²⁾⁽³⁾		374		373
14-NPL9, A1 144A 3.375%, 11/25/54⁽²⁾⁽³⁾		123		123
15-NPL2, A1 144A 3.375%, 2/25/55⁽²⁾⁽³⁾		220		220
15-NPL4, A1 144A 3.500%, 2/25/55⁽²⁾⁽³⁾		52		53
15-NPL3, A1 144A 3.375%, 10/25/58⁽²⁾⁽³⁾		209		209
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust
07-C30, A5 5.342%, 12/15/43		376		375
07-C30, AM 5.383%, 12/15/43		1,760		1,760
07-C31, A4 5.509%, 4/15/47		855		857
07-C32, A3 5.707%, 6/15/49⁽²⁾		795		800
07-C33, A5 5.969%, 2/15/51⁽²⁾		79		80
Wells Fargo Mortgage Backed Securities Trust
03-G, A1 2.895%, 6/25/33⁽²⁾		75		75


	PAR VALUE		VALUE
Non-Agency—(continued)
03-J, 5A1 2.963%, 10/25/33⁽²⁾	$	272	$	274
03-J, 2A1 2.968%, 10/25/33⁽²⁾		163		164
04-A, 3.000%, 2/25/34⁽²⁾		73		73
04-K, 1A2 3.109%, 7/25/34⁽²⁾		308		307
04-U, A1 3.133%, 10/25/34⁽²⁾		92		92
04-Z, 2A1 3.002%, 12/25/34⁽²⁾		211		213
05-14, 2A1 5.500%, 12/25/35		74		75

				103,270

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $143,610)				142,786

ASSET-BACKED SECURITIES—25.6%
American Credit Acceptance Receivables Trust 16- 1A, B 144A 4.240%, 6/13/22⁽³⁾		835		850
AmeriCredit Automobile Receivables Trust
12-4, D 2.680%, 10/9/18		160		160
13-2, D 2.420%, 5/8/19		800		805
14-1, D 2.540%, 6/8/20		650		654
16-1, B 2.300%, 3/8/21		2,045		2,054
15-3, C 2.730%, 3/8/21		615		620
16-2, B 2.210%, 5/10/21		1,000		1,000
15-4, C 2.880%, 7/8/21		700		707
16-4, C 2.410%, 7/8/22		725		718
Associates Manufactured Housing Pass-Through Certificates 96-1, B1 8.000%, 3/15/27⁽²⁾		505		521
Avis Budget Rental Car Funding LLC
(AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽³⁾		540		541
(AESOP) 13-1A, A 144A 1.920%, 9/20/19⁽³⁾		1,000		995
(AESOP) 13-2A, A 144A 2.970%, 2/20/20⁽³⁾		1,905		1,924
(AESOP) 16-1A, A 144A 2.990%, 6/20/22⁽³⁾		800		798
BXG Receivables Note Trust
12-A, A 144A 2.660%, 12/2/27⁽³⁾		53		52
13-A, A 144A 3.010%, 12/4/28⁽³⁾		167		167
15-A, A 144A 2.880%, 5/2/30⁽³⁾		382		383
California Republic Auto Receivables Trust
13-1, B 144A 2.240%, 1/15/19⁽³⁾		340		341
15-3, B 2.700%, 9/15/21		650		650
16 - 1, B 3.430%, 2/15/22		785		793
Capital Auto Receivables Asset Trust
13-1, C 1.740%, 10/22/18		396		396
13-4, C 2.670%, 2/20/19		505		509
CarFinance Capital Auto Trust


	PAR VALUE		VALUE
13-1A, B 144A 2.750%, 11/15/18⁽³⁾	$	84	$	84
13-2A, B 144A 3.150%, 8/15/19⁽³⁾		79		79
14-2A, B 144A 2.640%, 11/16/20⁽³⁾		425		426
CarMax Auto Owner Trust
14-4, B 2.200%, 9/15/20		700		703
15-2, C 2.390%, 3/15/21		1,495		1,491
15-4B 2.160%, 8/16/21		725		722
16-2, B 2.160%, 12/15/21		750		743
CarNow Auto Receivables Trust 14-1A, D 144A 4.160%, 11/15/18⁽³⁾		350		350
CCG Receivables Trust
14-1, B 144A 2.150%, 11/15/21⁽³⁾		400		401
15-1, A3 144A 1.920%, 1/17/23⁽³⁾		1,000		1,001
CenterPoint Energy Transition Bond Co.IV LLC 12-1, A1 0.901%, 4/15/18		55		55
Centre Point Funding LLC 12-2A,1 144A 2.610%, 8/20/21⁽³⁾		1,234		1,216
Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽³⁾		628		619
Chrysler Capital Auto Receivables Trust
14-BA D 144A 3.440%, 8/16/21⁽³⁾		750		759
15-BA D 144A 4.170%, 1/16/23⁽³⁾		965		975
Citigroup 15-PM3,A 144A 2.560%, 5/16/22⁽³⁾		255		255
Conseco Financial Corp. 97-3, A5 7.140%, 3/15/28		91		93
DB Master Finance LLC 15-1A, A2I 144A 3.262%, 2/20/45⁽³⁾		983		984
Diamond Resorts Owner Trust 14-1, A 144A 2.540%, 5/20/27⁽³⁾		821		814
DRB Prime Student Loan Trust 15-D, A3 144A 2.500%, 1/25/36⁽³⁾		474		473
Drive Auto Receivables Trust
15-DA, B 144A 2.590%, 12/16/19⁽³⁾		1,006		1,009
16-AA, B 144A 3.170%, 5/15/20⁽³⁾		1,490		1,503
16 - BA, B 144A 2.560%, 6/15/20⁽³⁾		1,785		1,795
15-AA, C 144A 3.060%, 5/17/21⁽³⁾		1,665		1,680
16-CA, C 144A 3.020%, 11/15/21⁽³⁾		995		995
15-DA, C 144A 3.380%, 11/15/21⁽³⁾		1,505		1,529
DT Auto Owner Trust
14-2A, C 144A 2.460%, 1/15/20⁽³⁾		82		82
16 - 1A, B 144A 2.790%, 5/15/20⁽³⁾		850		855
14-3A, C 144A 3.040%, 9/15/20⁽³⁾		1,312		1,319
15-3A, C 144A 3.250%, 7/15/21⁽³⁾		655		661


	PAR VALUE		VALUE
16-2A, C 144A 3.670%, 1/18/22⁽³⁾	$	820	$	828
16-3A C,144A 3.150%, 3/15/22⁽³⁾		865		864
16-4A C,144A 2.740%, 10/17/22⁽³⁾		1,200		1,191
Exeter Automobile Receivables Trust
12-2A, C 144A 3.060%, 7/16/18⁽³⁾		74		74
14-1A, B 144A 2.420%, 1/15/19⁽³⁾		172		172
13-1A, C 144A 3.520%, 2/15/19⁽³⁾		335		337
14-1A, C 144A 3.570%, 7/15/19⁽³⁾		150		151
14-2A, C 144A 3.260%, 12/16/19⁽³⁾		335		337
16-1A A, 144A 2.350%, 7/15/20⁽³⁾		836		839
15-A1, C 144A 4.100%, 12/15/20⁽³⁾		1,000		1,015
15-2A, C 144A 3.900%, 3/15/21⁽³⁾		1,190		1,205
16-3A, B 144A 2.840%, 8/16/21⁽³⁾		1,400		1,394
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		428		429
Fifth Third Auto Trust 13-A, B 1.210%, 4/15/19		385		385
First Investors Auto Owner Trust 16-2A, C 144A 2.530%, 7/15/22⁽³⁾		1,490		1,462
Flagship Credit Auto Trust
16 - 1, A 144A 2.770%, 12/15/20⁽³⁾		724		729
15-2, C 144A 4.080%, 12/15/21⁽³⁾		505		504
16-2, B 144A 3.840%, 9/15/22⁽³⁾		825		840
Foursight Capital Automobile Receivables Trust 16-1 A2, 144A 2.870%, 10/15/21⁽³⁾		1,202		1,192
Gold Key Resorts LLC 14-A, A 144A 3.220%, 3/17/31⁽³⁾		365		363
Hertz Vehicle Financing LLC
11-1A, A2 144A 3.290%, 3/25/18⁽³⁾		650		652
15-2A, A 144A 2.020%, 9/25/19⁽³⁾		1,080		1,070
16 -1A, A144A 2.320%, 3/25/20⁽³⁾		750		745
Hilton Grand Vacations Trust
13-A, A 144A 2.280%, 1/25/26⁽³⁾		776		770
14-AA, A 144A 1.770%, 11/25/26⁽³⁾		226		221
Hyundai Auto Receivables Trust
14-B, D 2.510%, 12/15/20		400		401
15-A, D 2.730%, 6/15/21		550		554
15-C, B 2.150%, 11/15/21		1,500		1,501
Leaf Receivables Funding 10 LLC 15-1, D 144A 3.740%, 5/17/21⁽³⁾		585		576
Marriott Vacation Club Owner Trust 12-1A, A 144A 2.510%, 5/20/30⁽³⁾		306		306
MVW Owner Trust
15-1A, B 144A 2.960%, 12/20/32⁽³⁾		409		409


	PAR VALUE		VALUE
16-1A, A 144A 2.250%, 12/20/33⁽³⁾	$	1,078	$	1,056
Navistar Financial Dealer Note Master Owner Trust II 16-1, B 144A 2.506%, 9/27/21⁽²⁾⁽³⁾		1,710		1,723
OneMain Financial Issuance Trust
14-1A, A 144A 2.430%, 6/18/24⁽³⁾		322		322
15-A, A 144A 3.190%, 3/18/26⁽³⁾		1,660		1,672
Orange Lake Timeshare Trust
12-AA, A 144A 3.450%, 3/10/27⁽³⁾		339		341
15-AA, A 144A 2.880%, 9/8/27⁽³⁾		363		362
Santander Drive Auto Receivables Trust
12-6, D 2.520%, 9/17/18		371		371
13-1, D 2.270%, 1/15/19		1,691		1,697
13-3, C 1.810%, 4/15/19		371		371
13-5, D 2.730%, 10/15/19		540		546
14-4, D 3.100%, 11/16/20		1,095		1,109
16-2, B 2.080%, 2/16/21		1,000		1,001
16-1, C 3.090%, 4/15/22		2,010		2,040
Security National Automotive Acceptance Company Receivables Trust 14-1A, C 144A 2.210%, 1/15/20⁽³⁾		242		242
Sierra Timeshare Receivables Funding LLC
12-3A, A 144A 1.870%, 8/20/29⁽³⁾		338		336
13-1A, A 144A 1.590%, 11/20/29⁽³⁾		68		68
14-1A, A 144A 2.070%, 3/20/30⁽³⁾		108		107
14-2A, A 144A 2.050%, 6/20/31⁽³⁾		72		72
16 - 1A, A 144A 3.080%, 3/21/33⁽³⁾		567		573
16 - 2A, A 144A 2.330%, 7/20/33⁽³⁾		771		757
Silverleaf Finance LLC
XV 12-D, A 144A 3.000%, 3/17/25⁽³⁾		19		19
XVII 13-A, A 144A 2.680%, 3/16/26⁽³⁾		60		59
XVIII 14-A, A 144A 2.810%, 1/15/27⁽³⁾		232		229
SLM Private Education Loan Trust
14-A, 2A2 144A 2.590%, 1/15/26⁽³⁾		1,450		1,453
13-B, A2A 144A 1.850%, 6/17/30⁽³⁾		1,000		994
13-C, A2A 144A 2.940%, 10/15/31⁽³⁾		325		329
SoFi Consumer Loan Program LLC 16-3, A 144A 3.050%, 12/26/25⁽³⁾		961		958
SoFi Professional Loan Program LLC
14-B, A2 144A 2.550%, 8/27/29⁽³⁾		633		635
15-A, A2 144A 2.420%, 3/25/30⁽³⁾		247		247
16 - C, A2B 144A 2.360%, 12/27/32⁽³⁾		1,441		1,418
16 - A, A2 144A 2.760%, 12/26/36⁽³⁾		518		521


	PAR VALUE		VALUE
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 01-SB1, A2 3.375%, 8/25/31	$	144	$	142
SVO VOI Mortgage Corp. 12-AA, A 144A 2.000%, 9/20/29⁽³⁾		1,110		1,090
Taco Bell Funding LLC 16-1A, A21 144A 3.832%, 5/25/46⁽³⁾		993		996
TCF Auto Receivables Owner Trust 14-1A, B 144A 2.330%, 5/15/20⁽³⁾		475		474
Tidewater Auto Receivables Trust 16 - AA, B 144A 3.130%, 3/15/20⁽³⁾		785		790
Trip Rail Master Funding LLC 11-1A, A1A 144A 4.370%, 7/15/41⁽³⁾		239		241
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽³⁾		968		976
United Auto Credit Securitization Trust 16-1, B 144A 2.730%, 5/15/18⁽³⁾		897		899
Volvo Financial Equipment LLC 14-1A, C 144A 1.940%, 11/15/21⁽³⁾		205		205
VSE VOI Mortgage LLC 16-A, A 144A 2.540%, 7/20/33⁽³⁾		1,459		1,442
Welk Resorts LLC
13-AA, A 144A 3.100%, 3/15/29⁽³⁾		131		131
15-AA, A 144A 2.790%, 6/16/31⁽³⁾		271		267
Westgate Resorts LLC 16-1A, A 144A 3.500%, 12/20/28⁽³⁾		1,162		1,157
Westlake Automobile Receivables Trust
15-1A, B 144A 1.680%, 11/16/20⁽³⁾		514		514
16-2A C, 144A 2.830%, 5/17/21⁽³⁾		1,030		1,032
16-3A, B 144A 2.070%, 12/15/21⁽³⁾		1,688		1,679

TOTAL ASSET-BACKED SECURITIES (Identified Cost $94,468)				94,488

CORPORATE BONDS AND NOTES—20.1%
Consumer Discretionary—1.9%
Cequel Communications Holdings I LLC (Cequel Capital Corp.)
144A 5.125%, 12/15/21⁽³⁾		105		107
144A 5.125%, 12/15/21⁽³⁾		250		256
Daimler Finance North America LLC 144A 2.200%, 10/30/21⁽³⁾		1,195		1,167
Delphi Automotive plc 3.150%, 11/19/20		540		548
Hyundai Capital America


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
RegS 1.450%, 2/6/17⁽⁴⁾	$	335	$	335
144A 1.450%, 2/6/17⁽³⁾		170		170
144A 2.125%, 10/2/17⁽³⁾		60		60
144A 2.450%, 6/15/21⁽³⁾		355		347
M/I Homes, Inc. 6.750%, 1/15/21		325		340
Marriott International, Inc. Series N, 3.125%, 10/15/21		290		293
NCL Corp., Ltd. 144A 4.750%, 12/15/21⁽³⁾		580		581
QVC, Inc. 3.125%, 4/1/19		990		1,000
Time Warner Cable, Inc. 6.750%, 7/1/18		215		229
Toll Brothers Finance Corp.
5.625%, 1/15/24		25		26
4.875%, 11/15/25		745		734
TRI Pointe Group, Inc.
4.375%, 6/15/19		295		302
4.875%, 7/1/21		400		409
Wyndham Worldwide Corp. 2.500%, 3/1/18		40		40

				6,944


Consumer Staples—0.6%
Anheuser-Busch InBev Finance, Inc.
1.900%, 2/1/19		180		180
2.650%, 2/1/21		540		543
CVS Health Corp. 2.800%, 7/20/20		540		548
Kraft Heinz Foods Co. (The)
2.800%, 7/2/20		85		86
3.500%, 7/15/22		90		91
Whole Foods Market, Inc. 5.200%, 12/3/25		615		650

				2,098

Energy—1.1%
Anadarko Petroleum Corp. 4.850%, 3/15/21		170		182
Antero Resources Corp. 5.625%, 6/1/23		215		221
Cimarex Energy Co. 4.375%, 6/1/24		490		509
Concho Resources, Inc. 4.375%, 1/15/25		560		562
Enbridge Energy Partners LP 4.375%, 10/15/20		90		94
Energy Transfer Partners LP 5.200%, 2/1/22		130		139
EP Energy LLC (Everest Acquisition Finance, Inc.) 144A 8.000%, 11/29/24⁽³⁾		70		76
Kinder Morgan, Inc. 144A 5.625%, 11/15/23⁽³⁾		85		93
MPLX LP 5.500%, 2/15/23		290		302
NGL Energy Partners LP 5.125%, 7/15/19		365		364
Occidental Petroleum Corp.


	PAR VALUE		VALUE
Energy—(continued)
2.600%, 4/15/22	$	55	$	55
3.400%, 4/15/26		45		45
QEP Resources, Inc. 5.250%, 5/1/23		295		297
Regency Energy Partners LP 5.000%, 10/1/22		215		228
Sabine Pass Liquefaction LLC 6.250%, 3/15/22		340		372
Sinopec Capital Ltd. 144A 1.875%, 4/24/18⁽³⁾		250		249
Sunoco LP 6.375%, 4/1/23		400		407

				4,195

Financials—8.5%
Air Lease Corp. 2.625%, 9/4/18		550		554
Ally Financial, Inc. 5.750%, 11/20/25		330		330
Ares Capital Corp.
4.875%, 11/30/18		62		64
3.875%, 1/15/20		173		175
Aviation Capital Group Corp.
144A 2.875%, 9/17/18⁽³⁾		115		116
RegS 2.875%, 9/17/18⁽⁴⁾		220		223
Bank of America Corp.
5.490%, 3/15/19		66		70
2.650%, 4/1/19		350		354
4.200%, 8/26/24		400		407
4.450%, 3/3/26		75		77
Bank of India 144A 3.250%, 4/18/18⁽³⁾		300		303
Bank of New York Mellon Corp. (The)
2.200%, 3/4/19		230		232
2.050%, 5/3/21		860		843
Barclays Bank plc 144A 6.050%, 12/4/17⁽³⁾		100		103
BBVA Banco Continental S.A. RegS 5.000%, 8/26/22⁽⁴⁾		520		550
Berkshire Hathaway Finance Corp. 1.300%, 8/15/19		1,955		1,930
Blackstone Holdings Finance Co., LLC 144A 6.625%, 8/15/19⁽³⁾		200		222
Citigroup, Inc. 4.600%, 3/9/26		630		650
Corp Andina de Fomento 2.000%, 5/10/19		455		452
Fifth Third Bancorp 4.500%, 6/1/18		150		155
First Horizon National Corp. 3.500%, 12/15/20		440		444
First Tennessee Bank N.A. 2.950%, 12/1/19		250		251
Ford Motor Credit Co., LLC 5.750%, 2/1/21		400		439
FS Investment Corp.
4.250%, 1/15/20		300		302


	PAR VALUE		VALUE
Financials—(continued)
4.750%, 5/15/22	$	185	$	184
General Motors Financial Co., Inc.
3.700%, 11/24/20		670		682
4.200%, 3/1/21		405		417
3.200%, 7/6/21		975		967
Goldman Sachs Group, Inc. (The)
2.350%, 11/15/21		350		340
4.250%, 10/21/25		320		325
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		844		852
HSBC Holdings plc 2.950%, 5/25/21		860		859
Huntington Bancshares, Inc. 7.000%, 12/15/20		245		277
Hutchison Whampoa International Ltd. Series 12 144A 6.000%^(2)(3)(5)(6)		980		990
ICAHN Enterprises LP 5.875%, 2/1/22		200		200
Industrial & Commercial Bank of China Ltd. 3.231%, 11/13/19		250		256
iStar Financial, Inc. 5.000%, 7/1/19		375		378
Jefferies Group LLC 5.125%, 4/13/18		150		155
JPMorgan Chase & Co.
6.125%, 6/27/17		200		204
2.250%, 1/23/20		540		538
2.295%, 8/15/21		300		294
JPMorgan Chase Bank N.A. 1.650%, 9/23/19		615		609
KeyCorp. 5.100%, 3/24/21		185		202
Korea Development Bank 3.875%, 5/4/17		250		252
Lazard Group LLC 4.250%, 11/14/20		350		366
Lincoln National Corp.
8.750%, 7/1/19		69		79
4.200%, 3/15/22		470		497
6.050%, 4/20/67⁽²⁾⁽⁵⁾		75		58
Macquarie Group Ltd. 144A 3.000%, 12/3/18⁽³⁾		75		76
Metropolitan Life Global Funding I 144A 2.500%, 12/3/20⁽³⁾		650		650
Mizuho Corporate Bank Ltd. 144A 1.850%, 3/21/18⁽³⁾		200		200
Mizuho Financial Group Inc. 2.273%, 9/13/21		565		548
Morgan Stanley 4.350%, 9/8/26		1,660		1,691
MUFG Union Bank N.A. 2.625%, 9/26/18		300		303
New York Life Global Funding 144A 1.950%, 2/11/20⁽³⁾		70		70
Nordea Bank AB 144A 1.625%, 9/30/19⁽³⁾		1,005		992
PNC Funding Corp. 5.625%, 2/1/17		10		10


	PAR VALUE		VALUE
Financials—(continued)
Prudential Financial, Inc. 8.875%, 6/15/38⁽²⁾⁽⁵⁾	$	100	$	108
S&P Global, Inc. 3.300%, 8/14/20		519		529
Santander Holdings USA, Inc.
2.700%, 5/24/19		265		265
2.650%, 4/17/20		575		570
SBA Tower Trust
144A 2.933%, 12/11/17⁽³⁾		155		155
144A 3.156%, 10/15/20⁽³⁾		750		754
144A 2.877%, 7/15/21⁽³⁾		800		793
State Street Corp. 4.956%, 3/15/18⁽⁵⁾		525		542
TIAA Asset Management Finance Co., LLC 144A 2.950%, 11/1/19⁽³⁾		430		437
Toronto-Dominion Bank (The) 2.125%, 4/7/21		700		689
Turkiye Is Bankasi 144A 5.500%, 4/21/22⁽³⁾		800		759
UBS Group Funding Jersey Ltd. 144A 2.650%, 2/1/22⁽³⁾		400		388
Voya Financial, Inc. 2.900%, 2/15/18		267		270
Wells Fargo Bank N.A. 2.150%, 12/6/19		985		984
Willis North America, Inc. 6.200%, 3/28/17		40		40
XLIT Ltd. Series E, 2.300%, 12/15/18		135		136
Zions Bancorp 4.500%, 3/27/17		225		226

				31,412

Health Care—1.8%
Abbott Laboratories
2.350%, 11/22/19		360		360
2.900%, 11/30/21		500		499
AbbVie, Inc.
2.500%, 5/14/20		370		370
2.300%, 5/14/21		495		485
3.200%, 11/6/22		45		45
2.850%, 5/14/23		495		480
Actavis Capital S.a.r.l.
(Actavis Funding) 3.000%, 3/12/20		85		86
(Actavis Funding) 3.450%, 3/15/22		90		91
Aetna Inc. 2.400%, 6/15/21		1,010		1,005
Community Health Systems, Inc. 5.125%, 8/1/21		65		60
Forest Laboratories LLC 144A 4.375%, 2/1/19⁽³⁾		205		213
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23⁽³⁾		95		98
Mylan NV
144A 3.000%, 12/15/18⁽³⁾		195		196


	PAR VALUE		VALUE
Health Care—(continued)
144A 3.150%, 6/15/21⁽³⁾	$	230	$	226
Owens & Minor, Inc. 3.875%, 9/15/21		65		65
Shire Acquisitions Investments 2.400%, 9/23/21		435		420
Tenet Healthcare Corp.
4.463%, 6/15/20⁽²⁾		440		444
6.000%, 10/1/20		80		84
Teva Pharmaceutical Finance Netherlands III BV
2.200%, 7/21/21		140		134
2.800%, 7/21/23		140		132
Valeant Pharmaceuticals International, Inc. 144A 5.375%, 3/15/20⁽³⁾		170		145
Zimmer Biomet Holdings, Inc. 3.150%, 4/1/22		825		822
Zoetis, Inc. 3.450%, 11/13/20		165		169

				6,629

Industrials—1.8%
America West Airlines Pass-Through-Trust 01-1, G 7.100%, 4/2/21		552		595
BAE Systems Holdings, Inc. 144A 2.850%, 12/15/20⁽³⁾		200		200
Bombardier, Inc. 144A 4.750%, 4/15/19⁽³⁾		215		217
British Airways Pass-Through-Trust 13-1, B 144A 5.625%, 6/20/20⁽³⁾		658		691
Continental Airlines Pass-Through-Trust
99-1, A 6.545%, 2/2/19		138		143
01-1, A1 6.703%, 6/15/21		302		321
Doric Nimrod Air Alpha Pass-Through-Trust 13-1, A 144A 5.250%, 5/30/23⁽³⁾		902		940
Lockheed Martin Corp. 1.850%, 11/23/18		125		126
Masco Corp. 5.950%, 3/15/22		295		326
Penske Truck Leasing Co., LP
RegS 2.500%, 6/15/19⁽⁴⁾		150		151
144A 3.375%, 2/1/22⁽³⁾		205		207
UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22		2,624		2,827

				6,744

Information Technology—1.0%
Apple, Inc. 2.250%, 2/23/21		400		400
Diamond 1 Finance Corp. (Diamond 2 Finance Corp.) 144A 5.450%, 6/15/23⁽³⁾		685		726
Dun & Bradstreet Corp. (The)
3.250%, 12/1/17		65		65
4.000%, 6/15/20		135		138


	PAR VALUE		VALUE
Information Technology—(continued)
First Data Corp. 144A 5.000%, 1/15/24⁽³⁾	$	785	$	792
Hewlett Packard Enterprise Co.
2.850%, 10/5/18		325		328
3.600%, 10/15/20		60		61
Microsoft Corp. 2.000%, 8/8/23		320		306
NXP BV (NXP Funding LLC) 144A 4.125%, 6/1/21⁽³⁾		425		439
Oracle Corp.
1.900%, 9/15/21		175		171
2.400%, 9/15/23		220		213

				3,639

Materials—0.4%
Airgas, Inc. 3.050%, 8/1/20		28		28
CRH America, Inc. 8.125%, 7/15/18		100		109
Equate Petrochemical BV 144A 3.000%, 3/3/22⁽³⁾		465		443
Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%, 4/25/24⁽³⁾		790		817
Packaging Corp. of America 3.900%, 6/15/22		185		191

				1,588

Real Estate—1.3%
Brixmor Operating Partnership LP 3.875%, 8/15/22		140		143
CoreCivic, Inc. 5.000%, 10/15/22		390		391
Corporate Office Properties LP 3.700%, 6/15/21		220		224
Developers Diversified Realty Corp. 7.875%, 9/1/20		570		663
Digital Realty Trust LP
3.400%, 10/1/20		325		330
3.950%, 7/1/22		195		200
HCP, Inc. 3.750%, 2/1/19		225		231
Healthcare Trust of America Holdings LP 3.375%, 7/15/21		135		136
Kimco Realty Corp. 3.400%, 11/1/22		550		558
MPT Operating Partnership LP (MPT Finance Corp.) 6.375%, 2/15/22		45		47
Select Income REIT 4.150%, 2/1/22		580		574
Senior Housing Properties Trust 3.250%, 5/1/19		125		125
Ventas Realty LP (Ventas Capital Corp.)
4.000%, 4/30/19		505		523
2.700%, 4/1/20		152		153


	PAR VALUE		VALUE
Real Estate—(continued)
West Europe Finance LLC 144A 3.250%, 10/5/20⁽³⁾	$	535	$	544

				4,842

Telecommunication Services—1.3%
Altice Financing S.A. 144A 6.625%, 2/15/23⁽³⁾		460		474
AT&T, Inc. 3.000%, 6/30/22		1,260		1,236
Frontier Communications Corp. 10.500%, 9/15/22		455		480
T-Mobile USA, Inc. 6.000%, 4/15/24		555		586
Telefonica Emisiones SAU 3.192%, 4/27/18		195		198
Verizon Communications, Inc.
3.650%, 9/14/18		310		320
2.550%, 6/17/19		1,335		1,353
4.600%, 4/1/21		70		75

				4,722

Utilities—0.4%
Exelon Corp. 2.850%, 6/15/20		805		813
Korea Western Power Co., Ltd. 144A 3.125%, 5/10/17⁽³⁾		200		201
State Grid Overseas Investment Ltd. 144A 2.750%, 5/7/19⁽³⁾		330		334

				1,348

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $74,027)				74,161

LOAN AGREEMENTS⁽²⁾—4.4%
Consumer Discretionary—1.3%
Altice U.S. Finance I Corp. 3.882%, 1/15/25		310		314
AMC Entertainment Holdings, Inc.(f/k/a AMC Entertainment Inc.) 3.511%, 12/15/23		80		81
Aristocrat Leisure Ltd. Tranche B-1 3.631%, 10/20/21		550		557
Boyd Gaming Corp.
Tranche B, 4.000%, 8/14/20		58		58
Tranche B-2 3.756%, 9/15/23		220		223
Charter Communications Operating LLC (CCO Safari LLC)
Tranche F, 3.020%, 1/3/21		120		120
Tranche H, 2.755%, 1/14/22		82		83
Tranche I, 3.005%, 1/15/24		158		159


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
CSC Holdings LLC (f/k/a CSC Holdings, Inc. (Cablevision)) Tranche 2016, 3.876%, 10/11/24	$	186	$	188
Harbor Freight Tools USA, Inc. 3.887%, 8/18/23		753		765
Hilton Worldwide Finance LLC
Tranche B-1 3.500%, 10/26/20		50		51
Tranche B-2 3.256%, 10/25/23		683		692
Las Vegas Sands LLC Tranche B, 3.006%, 12/19/20		330		332
Libbey Glass, Inc. 3.750%, 4/9/21		143		145
MGM Growth Properties Operating Partnership LP Tranche B, 3.500%, 4/25/23		283		286
PetSmart, Inc. Tranche B-2 4.000%, 3/11/22		307		309
Six Flags Theme Parks, Inc. Tranche B, 3.833%, 6/30/22		122		123
Station Casinos LLC Tranche B, 3.750%, 6/8/23		297		301

				4,787

Consumer Staples—0.8%
Albertson’s Cos., LLC Tranche B-4, 3.750%, 8/25/21		201		204
Albertson’s LLC Tranche B, 4.247%, 12/21/22		333		338
ARAMARK Corp.
Tranche E, 3.294%, 9/7/19		416		421
Tranche F, 3.498%, 2/24/21		853		862
Charger OpCo B.V. (Oak Tea, Inc.) Tranche B-1, 3.250%, 7/2/22		85		85
Coty, Inc. Tranche B, 3.092%, 10/27/22		481		484
Galleria Co. Tranche B, 3.750%, 1/26/23		130		131
Kronos, Inc. First Lien, 5.000%, 11/1/23		494		501
Pinnacle Foods Finance LLC Tranche I, 3.506%, 1/13/23		51		52

				3,078

Energy—0.1%
MEG Energy Corp. 3.750%, 3/31/20		308		300
Paragon Offshore Finance Co. 5.500%, 7/16/21⁽⁹⁾		137		52

				352

Financials—0.1%
Delos Finance S.a.r.l. 3.748%, 3/6/21		95		96
RPI Finance Trust Tranche B-5, 3.498%, 10/14/22		440		446

				542


	PAR VALUE		VALUE
Health Care—0.4%
Community Health Systems, Inc. (CHS) Tranche F, 4.020%, 12/31/18	$	281	$	277
DaVita HealthCare Partners, Inc. Tranche B, 3.520%, 6/24/21		98		100
Envision Healthcare Corp.(f/k/a Emergency Medical Services Corp.) 3.750%, 12/1/23		563		571
Quintiles IMS Inc. Tranche B, 3.500%, 3/17/21		72		73
Team Health, Inc. Tranche B, 3.770%, 11/23/22		192		192
Valeant Pharmaceuticals International, Inc. Series D-2, Tranche B, 5.000%, 2/13/19		136		136

				1,349

Industrials—0.4%
American Airlines, Inc. Tranche B, 3.261%, 4/28/23		660		665
AWAS Finance Luxembourg S.A. 3.630%, 7/16/18		95		96
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien, 5.000%, 5/4/22		300		301
TransDigm, Inc.
Tranche D, 3.884%, 6/4/21		65		66
Tranche E, 3.884%, 5/14/22		79		80
Tranche F, 3.770%, 6/9/23		138		139
United Airlines, Inc. (f/k/a Continental Airlines, Inc.) Tranche B-1, 3.500%, 9/15/21		72		73
Waste Industries USA, Inc. Tranche B, 3.520%, 2/27/20		186		187

				1,607

Information Technology—0.4%
Abacus Innovations Corp. (Leidos, Inc.) Tranche B, 3.520%, 8/16/23		259		262
NXP B.V. (NXP Funding LLC) Tranche F, 3.270%, 12/7/20		249		251
Rackspace Hosting, Inc. Tranche B, First Lien, 4.500%, 11/3/23		182		185
SS&C European Holdings S.a.r.l.
Tranche A-1, 3.520%, 7/8/20		18		18
Tranche A-2, 3.520%, 7/8/20		27		27
Tranche B-1, 4.010%, 7/8/22		101		102
Tranche B-2, 4.010%, 7/8/22		10		10
Western Digital Corp. Tranche B-1, 4.520%, 4/29/23		541		551

				1,406


	PAR VALUE			VALUE
Materials—0.1%
Huntsman International LLC Tranche B, 3.873%, 4/1/23	$	177		$	179
INEOS U.S. Finance LLC Tranche 2022, 4.250%, 3/31/22		25			25

					204

Real Estate—0.0%
ESH Hospitality, Inc. 3.770%, 8/30/23		107			108

Telecommunication Services—0.2%
Level 3 Financing, Inc.
Tranche B, 2020 4.000%, 1/15/20		127			129
Tranche B-II, 2022 3.500%, 5/31/22		93			94
T-Mobile USA, Inc. Senior Lien 3.520%, 11/9/22		253			257
UPC Financing Partnership 4.080%, 8/31/24		297			301

					781

Utilities—0.6%
Calpine Corp. Tranche 2016, 3.590%, 5/31/23		672			676
NRG Energy, Inc. 3.520%, 6/30/23		1,001			1,013
Vistra Operations Company LLC (f/k/a Tex Operations Co., LLC)
5.000%, 8/4/23		234			238
Tranche C, 5.000%, 8/4/23		54			54
Tranche 2016, 4.000%, 12/14/23		83			84

					2,065

TOTAL LOAN AGREEMENTS (Identified Cost $16,175)					16,279


	SHARES			VALUE
PREFERRED STOCKS—0.4%
Financials—0.4%
Bank of New York Mellon Corp. (The) Series E, 4.950%⁽²⁾		390	⁽⁷⁾		392
Citigroup, Inc. Series T, 6.250%⁽²⁾		660	⁽⁷⁾		680
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾		50	⁽⁷⁾		51
Wells Fargo & Co. Series K, 7.980%⁽²⁾		325	⁽⁷⁾		340

TOTAL PREFERRED STOCKS (Identified Cost $1,442)					1,463


	SHARES		VALUE
EXCHANGE-TRADED FUND—1.9%
iShares iBoxx $ Investment Grade Corporate Bond Fund⁽⁸⁾		59,529	$	6,976

TOTAL EXCHANGE-TRADED FUND (Identified Cost $7,163)				6,976


			VALUE
TOTAL LONG TERM INVESTMENTS—98.2% (Identified Cost $362,985)				362,077

TOTAL INVESTMENTS—98.2% (Identified Cost $362,985)				362,077	⁽¹⁾

Other assets and liabilities, net—1.8%				6,561

NET ASSETS—100.0%			$	368,638

Abbreviations:


FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”)
FNMA		Federal National Mortgage Association (“Fannie Mae”)
GNMA		Government National Mortgage Association (“Ginnie Mae”)
REIT		Real Estate Investment Trust
REMIC		Real Estate Mortgage Investment Conduit

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2016.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $145,091 or 39.4% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	Interest payments may be deferred.

⁽⁶⁾	No contractual maturity date.

⁽⁷⁾	Value shown as par value.

⁽⁸⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

⁽⁹⁾	Security in default, portion of the interest payments are being received during the bankruptcy proceedings.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers between Level 1 and Level 2 related to securities held as of December 31, 2016.


	SHARES		VALUE
EXCHANGE-TRADED FUND—105.9%
Powershares S&P 500 Quality Portfolio⁽³⁾⁽⁴⁾		99,700	$	2,591

TOTAL EXCHANGE-TRADED FUND (Identified Cost $2,541)				2,591


	CONTRACTS
PURCHASED OPTION—0.2%
Call Option—0.2%
CBOE Volatility Index expiration 01/04/17 strike price $14		45		4

TOTAL PURCHASED OPTION—0.2% (Premiums Paid $2)				4

TOTAL LONG TERM INVESTMENTS—106.1% (Identified Cost $2,543)				2,595	⁽¹⁾

TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—106.1% (Identified Cost $2,543)				2,595	⁽¹⁾

WRITTEN OPTIONS—(0.1)%
Call Option—(0.1)%
S&P 500^® Index expiration 01/04/17 strike price $2245		3		(2	)
S&P 500^® Index expiration 01/13/17 strike price $2340		2		—	⁽²⁾
S&P 500^® Index expiration 01/18/17 strike price $2330		3		—	⁽²⁾
S&P 500^® Index expiration 01/25/17 strike price $2340		3		—	⁽²⁾

TOTAL WRITTEN OPTIONS—(0.1)% (Premiums Received $9)				(2	)

TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—106.0% (Identified Cost $2,534)				2,593	⁽¹⁾

Other assets and liabilities, net—(6.0)%				(147	)

NET ASSETS—100.0%			$	2,446

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Amount is less than $500.

⁽³⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

⁽⁴⁾	All or a portion of the security is segregated as collateral for written options.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.


	SHARES		VALUE
COMMON STOCKS—36.4%
Consumer Discretionary—10.4%
Advance Auto Parts, Inc.		578	$	98
Amazon.com, Inc.⁽²⁾		588		441
AutoNation, Inc.⁽²⁾		647		31
AutoZone, Inc.⁽²⁾		261		206
Best Buy Co., Inc.		14,382		614
CarMax, Inc.⁽²⁾		1,633		105
Carnival Corp.		4,129		215
CBS Corp. Class B		5,799		369
Charter Communications, Inc. Class A⁽²⁾		713		205
Chipotle Mexican Grill, Inc.⁽²⁾		119		45
Comcast Corp. Class A		7,353		508
Darden Restaurants, Inc.		403		29
Discovery Communications, Inc. Class A⁽²⁾		2,144		59
Discovery Communications, Inc. Class C⁽²⁾		3,197		86
Expedia, Inc.		234		26
Foot Locker, Inc.		809		57
Gap, Inc. (The)		1,300		29
Garmin Ltd.		5,553		269
Genuine Parts Co.		4,444		425
Harley-Davidson, Inc.		10,794		630
Harman International Industries, Inc.		3,363		374
Hasbro, Inc.		3,391		264
Home Depot, Inc. (The)		4,024		539
Interpublic Group of Cos., Inc. (The)		9,702		227
L Brands, Inc.		1,589		105
Leggett & Platt, Inc.		5,147		252
LKQ Corp.⁽²⁾		8,017		246
Lowe’s Cos., Inc.		2,571		183
Marriott International, Inc. Class A		3,051		252
Mattel, Inc.		10,478		289
McDonald’s Corp.		2,289		279
Mohawk Industries, Inc.⁽²⁾		2,435		486
Netflix, Inc.⁽²⁾		825		102
Newell Brands, Inc.		13,883		620
NIKE, Inc. Class B		13,474		685
O’Reilly Automotive, Inc.⁽²⁾		791		220
Omnicom Group, Inc.		5,791		493
Priceline Group, Inc. (The)⁽²⁾		113		166
Ross Stores, Inc.		2,402		158
Royal Caribbean Cruises Ltd.		1,603		131
Scripps Networks Interactive, Inc. Class A		1,361		97


	SHARES		VALUE
Consumer Discretionary—(continued)
Starbucks Corp.		3,661	$	203
TEGNA, Inc.		3,050		65
TJX Cos., Inc. (The)		4,109		309
TripAdvisor, Inc.⁽²⁾		180		8
Urban Outfitters, Inc.⁽²⁾		435		12
Wyndham Worldwide Corp.		1,047		80
Wynn Resorts Ltd.		7,099		614
Yum! Brands, Inc.		1,118		71

				11,977

Consumer Staples—3.0%
Altria Group, Inc.		4,214		285
Brown-Forman Corp. Class B		3,635		163
Campbell Soup Co.		777		47
Conagra Brands, Inc.		1,683		67
Constellation Brands, Inc. Class A		3,083		473
General Mills, Inc.		2,141		132
Hershey Co. (The)		591		61
Hormel Foods Corp.		1,183		41
J.M. Smucker Co. (The)		307		39
Kellogg Co.		785		58
Kraft Heinz Co.(The)		1,362		119
McCormick & Co., Inc.		479		45
Mead Johnson Nutrition Co.		686		49
Molson Coors Brewing Co. Class B		6,350		618
Mondelez International, Inc. Class A		3,547		157
Philip Morris International, Inc.		3,392		310
Reynolds American, Inc.		1,746		98
Sysco Corp.		12,343		684
Tyson Foods, Inc. Class A		866		53

				3,499

Energy—1.3%
Helmerich & Payne, Inc.		5,391		417
Marathon Petroleum Corp.		3,694		186
Phillips 66		3,345		289
Tesoro Corp.		835		73
Transocean Ltd.⁽²⁾		19,346		285
Valero Energy Corp.		3,287		225

				1,475

Financials—3.4%
Aflac, Inc.		1,483		103
Allstate Corp. (The)		2,339		173


	SHARES		VALUE
Financials—(continued)
AON plc		2,297	$	256
Bank of America Corp.		6,707		148
BB&T Corp.		2,679		126
Charles Schwab Corp. (The)		3,967		157
CHUBB Ltd.		2,050		271
Cincinnati Financial Corp.		876		66
Citigroup, Inc.		1,911		114
Comerica, Inc.		86		6
Gallagher (Arthur J.) & Co.		1,393		72
Goldman Sachs Group, Inc. (The)		1,250		299
JPMorgan Chase & Co.		2,375		205
M&T Bank Corp.		526		82
Marsh & McLennan Cos., Inc.		4,307		291
MetLife, Inc.		3,977		214
Morgan Stanley		4,849		205
PNC Financial Services Group, Inc. (The)		1,617		189
Progressive Corp. (The)		3,460		123
Prudential Financial, Inc.		1,583		165
SunTrust Banks, Inc.		1,674		92
Travelers Cos., Inc. (The)		1,691		207
Wells Fargo & Co.		2,987		165
Willis Towers Watson plc		1,118		137
XL Group Ltd.		1,762		66

				3,932

Health Care—1.9%
Abbott Laboratories		2,412		93
Aetna, Inc.		791		98
Agilent Technologies, Inc.		2,005		91
Anthem, Inc.		663		95
Bard (C.R.), Inc.		126		28
Baxter International, Inc.		828		37
Becton, Dickinson & Co.		375		62
Boston Scientific Corp.⁽²⁾		2,473		53
Centene Corp.⁽²⁾		345		20
Cigna Corp.		625		83
Danaher Corp.		1,089		85
Edwards Lifesciences Corp.⁽²⁾		393		37
Hologic, Inc.⁽²⁾		320		13
Humana, Inc.		370		76
Illumina, Inc.⁽²⁾		860		110
Intuitive Surgical, Inc.⁽²⁾		76		48
Medtronic plc		2,236		159


	SHARES		VALUE
Health Care—(continued)
Mettler-Toledo International, Inc.⁽²⁾		86	$	36
PerkinElmer, Inc.		728		38
St. Jude Medical, Inc.		425		34
Stryker Corp.		556		67
Thermo Fisher Scientific, Inc.		2,261		319
UnitedHealth Group, Inc.		2,231		357
Varian Medical Systems, Inc.⁽²⁾		160		14
Waters Corp.⁽²⁾		456		61
Zimmer Biomet Holdings, Inc.		316		33

				2,147

Industrials—5.9%
3M Co.		889		159
Allegion plc		1,058		68
Arconic, Inc.		587		11
Boeing Co. (The)		880		137
Cintas Corp.		5,739		663
Deere & Co.		6,561		676
Dover Corp.		873		65
Dun & Bradstreet Corp. (The)		478		58
Equifax, Inc.		1,550		183
FedEx Corp.		1,217		227
Flowserve Corp.		777		37
Fortive Corp.		597		32
Fortune Brands Home & Security, Inc.		1,656		89
General Dynamics Corp.		440		76
General Electric Co.		14,272		451
Honeywell International, Inc.		1,115		129
Hunt (JB) Transport Services, Inc.		4,598		446
Illinois Tool Works, Inc.		1,669		204
Ingersoll-Rand plc		1,314		99
Johnson Controls International plc		9,996		412
L-3 Communications Holdings, Inc.		121		18
Lockheed Martin Corp.		337		84
Masco Corp.		3,600		114
Nielsen Holdings plc		4,755		199
Northrop Grumman Corp.		253		59
Parker Hannifin Corp.		709		99
Pentair plc		887		50
Raytheon Co.		479		68
Republic Services, Inc.		3,375		193
Rockwell Collins, Inc.		133		12
Roper Technologies, Inc.		209		38


	SHARES		VALUE
Industrials—(continued)
Ryder System, Inc.		2,798	$	208
Snap-on, Inc.		303		52
Stanley Black & Decker, Inc.		763		88
Stericycle, Inc.⁽²⁾		1,218		94
Textron, Inc.		342		17
TransDigm Group, Inc.		93		23
United Parcel Service, Inc. Class B		3,435		394
United Technologies Corp.		1,125		123
Verisk Analytics, Inc.⁽²⁾		2,051		167
Waste Management, Inc.		5,728		406
Xylem, Inc.		881		44

				6,772

Information Technology—5.4%
Activision Blizzard, Inc.		8,694		314
Adobe Systems, Inc.⁽²⁾		2,166		223
Akamai Technologies, Inc.⁽²⁾		400		27
Alliance Data Systems Corp.		75		17
Alphabet, Inc. Class A⁽²⁾		235		186
Alphabet, Inc. Class C⁽²⁾		235		181
Amphenol Corp. Class A		4,993		336
Analog Devices, Inc.		388		28
Apple, Inc.		5,281		612
Applied Materials, Inc.		13,019		420
Autodesk, Inc.⁽²⁾		959		71
Automatic Data Processing, Inc.		498		51
Broadcom Ltd.		505		89
CA, Inc.		579		18
Citrix Systems, Inc.⁽²⁾		742		66
Corning, Inc.		14,232		345
eBay, Inc.⁽²⁾		2,097		62
Electronic Arts, Inc.⁽²⁾		3,485		275
Facebook, Inc. Class A⁽²⁾		1,776		204
Fidelity National Information Services, Inc.		304		23
First Solar, Inc.⁽²⁾		149		5
Fiserv, Inc.⁽²⁾		249		27
Global Payments, Inc.		154		11
Hewlett Packard Enterprise Co.		1,615		37
HP, Inc.		1,553		23
Intel Corp.		6,273		228
Intuit, Inc.		1,202		138
KLA-Tencor Corp.		2,179		171
Lam Research Corp.		1,843		195


	SHARES		VALUE
Information Technology—(continued)
Linear Technology Corp.		264	$	17
MasterCard, Inc. Class A		958		99
Microchip Technology, Inc.		243		16
Micron Technology, Inc.⁽²⁾		1,036		23
Microsoft Corp.		8,776		545
NetApp, Inc.		228		8
NVIDIA Corp.		619		66
Oracle Corp.		4,427		170
Paychex, Inc.		340		21
PayPal Holdings, Inc.⁽²⁾		1,142		45
Qorvo, Inc.⁽²⁾		220		12
QUALCOMM, Inc.		1,876		122
Red Hat, Inc.⁽²⁾		207		14
salesforce.com, Inc.⁽²⁾		2,768		190
Seagate Technology plc		294		11
Skyworks Solutions, Inc.		297		22
Symantec Corp.		749		18
Texas Instruments, Inc.		1,281		94
Total System Services, Inc.		185		9
VeriSign, Inc.⁽²⁾		124		9
Visa, Inc. Class A		2,781		217
Western Digital Corp.		196		13
Western Union Co. (The)		510		11
Xerox Corp.		861		8
Xilinx, Inc.		239		14
Yahoo!, Inc.⁽²⁾		1,841		71

				6,228

Materials—3.4%
Albemarle Corp.		814		70
Avery Dennison Corp.		888		62
Dow Chemical Co. (The)		5,272		302
Du Pont (E.I.) de Nemours & Co.		4,212		309
Eastman Chemical Co.		734		55
Ecolab, Inc.		1,882		221
International Flavors & Fragrances, Inc.		386		45
International Paper Co.		6,155		327
Martin Marietta Materials, Inc.		1,370		303
Newmont Mining Corp.		20,260		690
Nucor Corp.		10,569		629
PPG Industries, Inc.		1,909		181
Sealed Air Corp.		1,909		87
Sherwin-Williams Co. (The)		368		99


	SHARES		VALUE
Materials—(continued)
Vulcan Materials Co.		2,859	$	358
WestRock Co.		3,765		191

				3,929

Real Estate—1.2%
American Tower Corp.		1,615		171
Crown Castle International Corp.		1,280		111
Digital Realty Trust, Inc.		469		46
Equinix, Inc.		278		99
Extra Space Storage, Inc.		573		44
Iron Mountain, Inc.		801		26
Prologis, Inc.		12,862		679
Public Storage		573		128
Weyerhaeuser Co.		3,145		95

				1,399

Utilities—0.5%
Ameren Corp.		796		42
CenterPoint Energy, Inc.		1,342		33
CMS Energy Corp.		936		39
Consolidated Edison, Inc.		845		62
Dominion Resources, Inc.		1,817		139
DTE Energy Co.		563		56
NiSource, Inc.		1,140		25
Public Service Enterprise Group, Inc.		1,445		63
SCANA Corp.		392		29
Sempra Energy		745		75
WEC Energy Group, Inc.		869		51
				614

TOTAL COMMON STOCKS (Identified Cost $38,100)				41,972

EXCHANGE-TRADED FUNDS⁽³⁾—63.0%
iShares 1-3 Year Treasury Bond Index Fund		333,870		28,195
iShares China Large-Cap Index Fund		90,324		3,135
iShares Dow Jones U.S. Real Estate Index Fund		51,152		3,936
iShares MSCI Australia Index Fund		166,105		3,360
iShares MSCI Brazil Capped Index Fund		94,707		3,157
iShares MSCI Canada Index Fund		136,088		3,559
iShares MSCI Hong Kong Index Fund		159,457		3,106
iShares MSCI Japan Index Fund		68,640		3,354
iShares MSCI Switzerland Capped Index Fund		118,690		3,497
iShares MSCI Taiwan Index Fund		110,773		3,253
iShares TIPS Bond Index Fund		59,620		6,747


	SHARES		VALUE
PowerShares DB Commodity Index Tracking Fund⁽²⁾		218,549	$	3,462
PowerShares DB U.S. Dollar Index Bullish Fund⁽²⁾		146,058		3,865

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $72,333)				72,626

TOTAL LONG TERM INVESTMENTS—99.4 % (Identified Cost $110,433)				114,598

TOTAL INVESTMENTS—99.4 % (Identified Cost $110,433)				114,598	⁽¹⁾
Other assets and liabilities, net—0.6%				654

NET ASSETS—100.0%			$	115,252


Abbreviation:
TIPS		Treasury-Inflation Protected Securities

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—0.3%
U.S. Treasury Note 1.250%, 3/31/21	$	765		$	747

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $759)					747

MUNICIPAL BONDS—0.1%
Michigan—0.0%
Tobacco Settlement Finance Authority Taxable Series A, 7.309%, 6/1/34		145			133

Virginia—0.1%
Tobacco Settlement Financing Corp. Series A-1, Taxable 6.706%, 6/1/46		325			259

TOTAL MUNICIPAL BONDS (Identified Cost $461)					392

FOREIGN GOVERNMENT SECURITIES—10.6%
Argentine Republic
144A 7.500%, 4/22/26⁽³⁾		1,055			1,108
144A 7.875%, 6/15/27⁽³⁾		1,180			1,168
Series NY 8.280%, 12/31/33		1,570			1,684
144A 7.125%, 7/6/36⁽³⁾		735			701
144A 7.625%, 4/22/46⁽³⁾		370			370
Bolivarian Republic of Venezuela
7.000%, 12/1/18		216			140
RegS 7.750%, 10/13/19⁽⁴⁾		202			113
RegS 7.650%, 4/21/25⁽⁴⁾		1,500			690
9.375%, 1/13/34		2,145			1,003
City of Buenos Aires 144A 7.500%, 6/1/27⁽³⁾		365			374
Dominican Republic 144A 6.875%, 1/29/26⁽³⁾		180			188
Federative Republic of Brazil
8.500%, 1/5/24		1,690	^BRL		454
10.250%, 1/10/28		250	^BRL		71
5.625%, 1/7/41		670			599
Federative Republic of Brazil Treasury Note Series F,
10.000%, 1/1/23		2,480	^BRL		719
10.000%, 1/1/25		1,880	^BRL		537
Kingdom of Bahrain 144A 7.000%, 10/12/28⁽³⁾		910			932
Kingdom of Jordan 144A 5.750%, 1/31/27⁽³⁾		1,075			1,021
Kingdom of Morocco 144A 5.500%, 12/11/42⁽³⁾		800			812
Kingdom of Qatar 144A 3.250%, 6/2/26⁽³⁾		480			463


	PAR VALUE			VALUE
Kingdom of Saudi Arabia 144A 3.250%, 10/26/26⁽³⁾	$	815		$	773
Mongolia 144A 5.125%, 12/5/22⁽³⁾		425			364
Provincia de Buenos Aires 144A 9.125%, 3/16/24⁽³⁾		730			796
Republic of Chile 5.500%, 8/5/20		474,000	^CLP		744
Republic of Colombia
4.375%, 3/21/23		1,867,000	^COP		542
9.850%, 6/28/27		946,000	^COP		371
Republic of Costa Rica
144A 4.375%, 4/30/25⁽³⁾		795			709
144A 7.000%, 4/4/44⁽³⁾		200			184
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28⁽³⁾		905			882
Republic of El Salvador 144A 6.375%, 1/18/27⁽³⁾		1,405			1,300
Republic of Indonesia Series FR56, 8.375%, 9/15/26		13,950,000	^IDR		1,067
Republic of Iraq RegS 5.800%, 1/15/28⁽⁴⁾		610			508
Republic of Kazakhstan 144A 5.125%, 7/21/25⁽³⁾		245			262
Republic of Romania 144A 6.750%, 2/7/22⁽³⁾		520			592
Republic of South Africa
Series R203, 8.250%, 9/15/17		3,690	^ZAR		269
Series R208, 6.750%, 3/31/21		6,720	^ZAR		463
4.300%, 10/12/28		760			705
Republic of Sri Lanka 144A 6.850%, 11/3/25⁽³⁾		800			790
Republic of Turkey
9.000%, 3/8/17		1,250	^TRY		356
6.250%, 9/26/22		515			536
4.875%, 10/9/26		2,440			2,264
4.875%, 4/16/43		945			761
Russian Federation 144A 7.850%, 3/10/18⁽³⁾		60,000	^RUB		968
Sultanate of Oman 144A 4.750%, 6/15/26⁽³⁾		1,170			1,131
Ukraine 144A 7.750%, 9/1/26⁽³⁾		850			795
United Mexican States
Series M, 6.500%, 6/9/22		16,410	^MXN		764
4.750%, 3/8/44		508			462

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $35,885)					32,505

MORTGAGE-BACKED SECURITIES—14.8%
Agency—3.6%
FHLMC 3.500%, 4/1/46		1,248			1,278
FNMA
3.000%, 4/1/43		1,404			1,403


	PAR VALUE		VALUE
Agency—(continued)
3.000%, 5/1/43	$	718	$	717
3.000%, 6/1/43		1,571		1,569
3.000%, 7/1/43		756		755
4.000%, 10/1/44		1,130		1,188
3.500%, 9/1/45		1,942		1,991
3.500%, 1/1/46		1,059		1,086
3.500%, 5/1/46		1,027		1,053

				11,040

Non-Agency—11.2%
American Homes 4 Rent Trust
14-SFR2, C 144A 4.705%, 10/17/36⁽³⁾		915		946
15-SFR2, C 144A 4.691%, 10/17/45⁽³⁾		805		830
15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		679		682
Ameriquest Mortgage Securities, Inc. 03-AR3, M4 4.274%, 6/25/33⁽²⁾		1,135		1,095
AMSR Trust 16-SFR1, D 144A 3.136%, 11/17/33⁽²⁾⁽³⁾		765		763
Banc of America Funding Trust
05-1, 1A1 5.500%, 2/25/35		389		389
06-2, 3A1 6.000%, 3/25/36		185		190
Bank of America (Countrywide) Asset-Backed Certificates
05-1, AF5A 5.137%, 7/25/35⁽²⁾		970		1,008
05-12, 2A4 5.575%, 2/25/36⁽²⁾		507		505
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust
04-22CB, 1A1 6.000%, 10/25/34		389		415
04-24CB, 1A1 6.000%, 11/25/34		90		93
Bayview Opportunity Master Fund IVa Trust 16-SPL1, B1 144A 4.250%, 4/28/55⁽³⁾		625		637
Bayview Opportunity Master Fund IVb Trust 16-SPL2, B1 144A 4.250%, 6/28/53⁽²⁾⁽³⁾		445		447
Citigroup Mortgage Loan Trust, Inc.
05-5, 2A3 5.000%, 8/25/35		224		221
15-A, A1 144A 3.500%, 6/25/58⁽²⁾⁽³⁾		670		680
Colony American Finance Ltd. 15-1A, 144A 2.896%, 10/15/47⁽³⁾		647		645
Colony Starwood Homes Trust 16-2A, C 144A 2.886%, 12/17/33⁽²⁾⁽³⁾		770		772
Commercial Mortgage Trust 07-GG11, AM 5.867%, 12/10/49⁽²⁾		600		613


	PAR VALUE		VALUE
Non-Agency—(continued)
Credit Suisse Commercial Mortgage-Backed Trust 07-C5, A1AM 5.870%, 9/15/40⁽²⁾	$	939	$	881
Credit Suisse Mortgage-Backed Trust 06-08, 3A1 6.000%, 10/25/21		373		354
Deutsche Bank-UBS Mortgage Trust 11-LC3A, D 144A 5.345%, 8/10/44⁽²⁾⁽³⁾		860		889
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.382%, 12/15/34⁽²⁾⁽³⁾		600		603
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾		288		291
GSR Mortgage Loan Trust 06-1F, 2A4 6.000%, 2/25/36		339		296
Home Equity Loan Trust 03-HS3, AI4 5.550%, 9/25/33⁽²⁾		142		145
Jefferies Resecuritization Trust 14-R1, 2A1 144A 4.000%, 12/27/37⁽³⁾		281		278
JPMorgan Chase Commercial Mortgage Securities Trust 07-LDPX, AM 5.464%, 1/15/49⁽²⁾		676		670
JPMorgan Chase Mortgage Trust
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		568		586
16-1, M2 144A 3.750%, 4/25/45⁽²⁾⁽³⁾		563		559
16-2, M2 144A 3.750%, 12/25/45⁽²⁾⁽³⁾		935		926
MASTR Adjustable Rate Mortgages Trust 05-1, 3A1 3.327%, 2/25/35⁽²⁾		537		489
MASTR Alternative Loan Trust
04-6, 7A1 6.000%, 7/25/34		1,033		1,013
05-2, 2A1 6.000%, 1/25/35		452		467
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽³⁾		547		569
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35⁽²⁾⁽³⁾		314		316
Mill City Mortgage Loan Trust 16-1, M1 144A 3.150%, 4/25/57⁽²⁾⁽³⁾		525		510
Morgan Stanley - Bank of America (Merrill Lynch) Trust 15-C26, C 4.411%, 10/15/48⁽²⁾		840		825
Morgan Stanley Capital I Trust 07-IQ14, AM 5.690%, 4/15/49⁽²⁾		925		906
Motel 6 Trust 15-MTL6, D 144A 4.532%, 2/5/30⁽³⁾		1,080		1,084
New Residential Mortgage Loan Trust 16-4A, B1A 144A 4.500%, 11/25/56⁽³⁾		708		735


	PAR VALUE		VALUE
Non-Agency—(continued)
Nomura Asset Acceptance Corp. 04-R3, A1 144A 6.500%, 2/25/35⁽³⁾	$	241	$	235
Resecuritization Pass-Through Trust 05-BR, A5 6.000%, 10/25/34		395		398
Residential Asset Securitization Trust 05-A1, A3 5.500%, 4/25/35		637		636
Sequoia Mortgage Trust
14-2, A1 144A 4.000%, 7/25/44⁽²⁾⁽³⁾		242		246
14-4, A6 144A 3.500%, 11/25/44⁽²⁾⁽³⁾		621		621
15-1, A1 144A 3.500%, 1/25/45⁽²⁾⁽³⁾		698		703
Towd Point Mortgage Trust
15-1, A2 144A 3.250%, 10/25/53⁽²⁾⁽³⁾		555		542
15-6, M1 144A 3.750%, 4/25/55⁽²⁾⁽³⁾		760		742
15-5, A2 144A 3.500%, 5/25/55⁽²⁾⁽³⁾		690		692
15-2, 1M1 144A 3.250%, 11/25/60⁽²⁾⁽³⁾		1,920		1,905
Vericrest Opportunity Loan Transfer
15-NP11, A1 144A 3.625%, 7/25/45⁽²⁾⁽³⁾		416		415
16-NPL9, A1 144A 3.500%, 9/25/46⁽²⁾⁽³⁾		291		291
16-NP11, A1 144A 3.500%, 10/25/46⁽²⁾⁽³⁾		302		301
15-NPL2, A1 144A 3.375%, 2/25/55⁽²⁾⁽³⁾		372		373
15-NPL3, A1 144A 3.375%, 10/25/58⁽²⁾⁽³⁾		359		359
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust 15-LC20, B 3.719%, 4/15/50		875		873
Wells Fargo - Royal Bank of Scotland plc Commercial Mortgage Trust 11-C5, C 144A 5.673%, 11/15/44⁽²⁾⁽³⁾		645		689

				34,344

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $45,618)				45,384

ASSET-BACKED SECURITIES—4.2%
CarFinance Capital Auto Trust
14-1A, D 144A 4.900%, 4/15/20⁽³⁾		1,316		1,315
15-1A, C 144A 3.580%, 6/15/21⁽³⁾		2,160		2,159
CarNow Auto Receivables Trust 16-1A, D 144A 7.340%, 11/15/21⁽³⁾		745		741
Citi Held For Asset Issuance 15-PM3, B 144A 4.310%, 5/16/22⁽³⁾		740		742
DB Master Finance LLC 15-A1, A2II 144A 3.980%, 2/20/45⁽³⁾		376		377


	PAR VALUE		VALUE
Drive Auto Receivables Trust 16-CA, C 144A 3.020%, 11/15/21⁽³⁾	$	745	$	745
Exeter Automobile Receivables Trust 15-A1, C 144A 4.100%, 12/15/20⁽³⁾		900		914
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		525		526
Flagship Credit Auto Trust 14-1, E 144A 5.710%, 8/16/21⁽³⁾		665		673
Foursight Capital Automobile Receivables Trust 15-1, B 144A 4.120%, 9/15/22⁽³⁾		1,110		1,109
Greater Capital Association of Realtors 15-1A, C 9.790%, 10/15/25		545		563
Leaf Receivables Funding 10 LLC 15-1, E2 144A 6.000%, 6/15/23⁽³⁾		555		537
Leaf Receivables Funding 9 LLC 16-1, E2 144A 6.000%, 6/15/24⁽³⁾		290		267
SolarCity LMC Series III LLC 14-2, A 144A 4.020%, 7/20/44⁽³⁾		920		867
Trip Rail Master Funding LLC 11-1A, A1A 144A 4.370%, 7/15/41⁽³⁾		171		172
Wendy’s Funding LLC 15-1A, A2II 144A 4.080%, 6/15/45⁽³⁾		1,096		1,083

TOTAL ASSET-BACKED SECURITIES (Identified Cost $12,833)				12,790

CORPORATE BONDS AND NOTES—51.2%
Consumer Discretionary—6.8%
Altice SA 144A 7.750%, 5/15/22⁽³⁾		700		749
AMC Entertainment Holdings, Inc. 144A 5.875%, 11/15/26⁽³⁾		150		154
Beazer Homes USA, Inc. 5.750%, 6/15/19		472		491
Boyd Gaming Corp. 6.875%, 5/15/23		415		448
Brookfield Residential Properties, Inc. 144A 6.125%, 7/1/22⁽³⁾		185		187
Cablevision Systems Corp. 5.875%, 9/15/22		835		816
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽¹⁰⁾		207		215
Caesars Entertainment Resort Properties LLC 8.000%, 10/1/20		320		337
Caesars Growth Properties Holdings LLC 9.375%, 5/1/22		785		850
CBS Radio, Inc. 144A 7.250%, 11/1/24⁽³⁾		55		58


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Cequel Communications Holdings I LLC (Cequel Capital Corp.)
144A 5.125%, 12/15/21⁽³⁾	$	275	$	281
144A 5.125%, 12/15/21⁽³⁾		655		670
Clear Channel Worldwide Holdings, Inc.
Series B 7.625%, 3/15/20		930		933
Series A 7.625%, 3/15/20		320		309
Columbus Cable Barbados Ltd. 144A 7.375%, 3/30/21⁽³⁾		200		214
Cooper-Standard Automotive, Inc. 144A 5.625%, 11/15/26⁽³⁾		540		535
Dana Financing Luxembourg S.a.r.l. 144A 6.500%, 6/1/26⁽³⁾		230		241
Diamond Resorts International, Inc. 144A 7.750%, 9/1/23⁽³⁾		60		61
International Game Technology plc 144A 6.250%, 2/15/22⁽³⁾		340		366
Landry’s, Inc. 144A 6.750%, 10/15/24⁽³⁾		215		219
Live Nation Entertainment, Inc. 144A 4.875%, 11/1/24⁽³⁾		335		337
M/I Homes, Inc. 6.750%, 1/15/21		525		550
MDC Holdings, Inc. 5.500%, 1/15/24		860		892
Meritor, Inc. 6.750%, 6/15/21		300		308
MPG Holdco I, Inc. 7.375%, 10/15/22		830		871
NCL Corp., Ltd. 144A 4.750%, 12/15/21⁽³⁾		650		651
New York University 4.142%, 7/1/48		545		513
Pinnacle Entertainment, Inc. 144A 5.625%, 5/1/24⁽³⁾		350		352
QVC, Inc. 5.125%, 7/2/22		240		248
RCN Telecom Services LLC (RCN Capital Corp.) 144A 8.500%, 8/15/20⁽³⁾		510		541
Scientific Games International, Inc.
6.625%, 5/15/21		540		459
144A 7.000%, 1/1/22⁽³⁾		590		636
SFR (Numericable) Group S.A.
144A 6.000%, 5/15/22⁽³⁾		580		597
144A 7.375%, 5/1/26⁽³⁾		290		297
Signet UK Finance plc 4.700%, 6/15/24		895		857
Six Flags Entertainment Corp. 144A 4.875%, 7/31/24⁽³⁾		610		604
TI Group Automotive Systems LLC 144A 8.750%, 7/15/23⁽³⁾		490		514


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Toll Brothers Finance Corp.
5.625%, 1/15/24	$	175	$	182
4.875%, 11/15/25		970		955
TRI Pointe Group, Inc. 5.875%, 6/15/24		890		921
VTR Finance BV 144A 6.875%, 1/15/24⁽³⁾		600		621
Ziggo Secured Finance BV 144A 5.500%, 1/15/27⁽³⁾		890		870

				20,910

Consumer Staples—1.3%
AdvancePierre Foods Holdings, Inc. 144A 5.500%, 12/15/24⁽³⁾		510		516
Dole Food Co., Inc. 144A 7.250%, 5/1/19⁽³⁾		545		557
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25⁽³⁾		340		342
Post Holdings, Inc. 144A 5.000%, 8/15/26⁽³⁾		620		595
Safeway, Inc. 7.250%, 2/1/31		510		499
Tops Holding LLC (Tops Markets II Corp.) 144A 8.000%, 6/15/22⁽³⁾		925		800
Whole Foods Market, Inc. 5.200%, 12/3/25		540		571

				3,880

Energy—14.7%
Afren plc 144A 11.500%, 2/1/17^(3)(11)(12)		464		2
Alberta Energy Co., Ltd. 8.125%, 9/15/30		330		397
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp.) 144A 7.875%, 12/15/24⁽³⁾		455		473
American Midstream Partners LP 144A 8.500%, 12/15/21⁽³⁾		365		363
Anadarko Petroleum Corp.
4.850%, 3/15/21		150		161
5.550%, 3/15/26		215		241
6.600%, 3/15/46		460		568
Antero Midstream Partners LP 144A 5.375%, 9/15/24⁽³⁾		220		225
Antero Resources Corp. 5.625%, 6/1/23		490		504
Archrock Partners LP 6.000%, 10/1/22		740		722
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		305		307
Callon Petroleum Co. 144A 6.125%, 10/1/24⁽³⁾		265		274
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23		675		695
Cheniere Corpus Christi Holdings LLC 144A 7.000%, 6/30/24⁽³⁾		680		740
Cimarex Energy Co. 4.375%, 6/1/24		450		467


	PAR VALUE		VALUE
Energy—(continued)
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21	$	725	$	337
Concho Resources, Inc.
5.500%, 4/1/23		295		307
4.375%, 1/15/25		445		446
CONSOL Energy, Inc. 5.875%, 4/15/22		325		320
Continental Resources, Inc.
5.000%, 9/15/22		510		517
4.500%, 4/15/23		305		300
Diamondback Energy, Inc.
144A 4.750%, 11/1/24⁽³⁾		110		108
144A 5.375%, 5/31/25⁽³⁾		645		650
Ecopetrol S.A.
5.875%, 9/18/23		615		651
5.375%, 6/26/26		910		905
Enbridge Energy Partners LP 4.375%, 10/15/20		170		178
Encana Corp. 3.900%, 11/15/21		320		322
Energy Transfer Equity LP 5.875%, 1/15/24		885		918
EnLink Midstream Partners LP 4.850%, 7/15/26		80		81
EnQuest plc 144A 7.000%, 4/15/22⁽³⁾		922		673
EP Energy LLC (Everest Acquisition Finance, Inc.)
9.375%, 5/1/20		420		389
144A 8.000%, 11/29/24⁽³⁾		35		38
FTS International, Inc. 6.250%, 5/1/22		450		376
Gazprom OAO (Gaz Capital S.A.)
144A 6.000%, 11/27/23⁽³⁾⁽⁷⁾		255		272
144A 4.950%, 2/6/28⁽³⁾⁽⁷⁾		750		739
Helmerich & Payne International Drilling Co. 4.650%, 3/15/25		540		557
Holly Energy Partners LP 144A 6.000%, 8/1/24⁽³⁾		65		68
HollyFrontier Corp. 5.875%, 4/1/26		900		919
KazMunayGas National Co. 144A 6.375%, 4/9/21⁽³⁾		450		490
Kinder Morgan, Inc. 7.750%, 1/15/32		890		1,089
Laredo Petroleum, Inc. 7.375%, 5/1/22		610		635
Linn Energy LLC
6.500%, 5/15/19⁽¹¹⁾		512		219
6.500%, 9/15/21⁽¹¹⁾		155		66
Lukoil International Finance BV 144A 4.563%, 4/24/23⁽³⁾		930		939
Matador Resources Co. 144A 6.875%, 4/15/23⁽³⁾		910		960
MPLX LP 4.875%, 12/1/24		1,390		1,430


	PAR VALUE		VALUE
Energy—(continued)
Newfield Exploration Co. 5.625%, 7/1/24	$	785	$	818
NGL Energy Partners LP 5.125%, 7/15/19		925		923
Noble Holding International Ltd. 7.750%, 1/15/24		220		208
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22⁽³⁾⁽⁷⁾		1,105		1,090
Occidental Petroleum Corp.
3.400%, 4/15/26		30		30
4.400%, 4/15/46		700		711
Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22⁽³⁾		1,030		273
Parker Drilling Co. 7.500%, 8/1/20		1,075		973
Parsley Energy LLC 144A 6.250%, 6/1/24⁽³⁾		1,020		1,078
Pertamina Persero PT
144A 4.300%, 5/20/23⁽³⁾		600		599
144A 6.000%, 5/3/42⁽³⁾		400		386
144A 5.625%, 5/20/43⁽³⁾		320		296
Petrobras Global Finance BV
5.375%, 1/27/21		830		812
8.375%, 5/23/21		170		184
8.750%, 5/23/26		1,375		1,487
Petroleos de Venezuela S.A.
RegS 8.500%, 11/2/17⁽⁴⁾		89		71
144A 8.500%, 10/27/20⁽³⁾		177		132
144A 6.000%, 5/16/24⁽³⁾		1,580		612
Petroleos Mexicanos
144A 6.875%, 8/4/26⁽³⁾		1,185		1,250
6.500%, 6/2/41		465		436
5.500%, 6/27/44		650		541
PHI, Inc. 5.250%, 3/15/19		360		340
QEP Resources, Inc.
6.875%, 3/1/21		445		475
5.250%, 5/1/23		572		576
Range Resources Corp. 144A 5.000%, 3/15/23⁽³⁾		835		829
Regency Energy Partners LP 5.000%, 10/1/22		1,010		1,069
RSP Permian, Inc. 144A 5.250%, 1/15/25⁽³⁾		480		484
Sabine Oil & Gas Corp. 7.250%, 6/15/19^(11)(12)		935		—	⁽¹⁶⁾
Sabine Pass Liquefaction LLC 5.625%, 2/1/21		915		979
SM Energy Co.
6.125%, 11/15/22		320		326
6.500%, 1/1/23		400		409
Southern Gas Corridor CJSC 144A 6.875%, 3/24/26⁽³⁾		400		432


	PAR VALUE			VALUE
Energy—(continued)
State Oil Co. (Republic of Azerbaijan) 6.950%, 3/18/30	$	855		$	896
Sunoco LP 6.375%, 4/1/23		1,790			1,821
Tesoro Logistics LP 5.250%, 1/15/25		145			149
Transocean, Inc.
144A 9.000%, 7/15/23⁽³⁾		215			221
6.800%, 3/15/38		250			195
Weatherford International PLC 144A 9.875%, 2/15/24⁽³⁾		250			267
YPF S.A. 144A 8.500%, 3/23/21⁽³⁾		490			527

					44,943

Financials—10.3%
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾		2,440	^TRY		662
Allstate Corp. (The) 5.750%, 8/15/53⁽²⁾⁽⁶⁾		845			874
Ally Financial, Inc. 5.750%, 11/20/25		575			576
Ares Capital Corp. 3.625%, 1/19/22		465			450
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26⁽³⁾		725			733
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%, 3/10/21⁽³⁾		425			458
Banco de Bogota S.A. 144A 6.250%, 5/12/26⁽³⁾		730			746
Banco de Credito del Peru 144A 6.125%, 4/24/27⁽²⁾⁽³⁾		1,095			1,181
Banco Internacional del Peru SAA Interbank 144A 6.625%, 3/19/29⁽²⁾⁽³⁾		395			419
Banco Nacional de Comercio Exterior SVC 144A 4.375%, 10/14/25⁽³⁾		550			539
Bancolombia S.A. 5.125%, 9/11/22		1,015			1,031
Bank of America Corp.
4.200%, 8/26/24		890			906
4.450%, 3/3/26		165			170
Bank of China Ltd. 144A 5.000%, 11/13/24⁽³⁾		875			907
Bonos del Banco Central de Chile En Pesos 4.500%, 6/1/20		185,000	^CLP		285
Citigroup, Inc. 4.600%, 3/9/26		580			599
Citizens Financial Group, Inc. 5.500%, 12/29/49⁽²⁾		920			911
Compass Bank 3.875%, 4/10/25		900			855
Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22⁽³⁾		1,090			1,049
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21⁽³⁾		915			881


	PAR VALUE			VALUE
Financials—(continued)
Eurasian Development Bank 144A 4.767%, 9/20/22⁽³⁾	$	925		$	953
FS Investment Corp.
4.250%, 1/15/20		525			528
4.750%, 5/15/22		200			199
General Motors Financial Co., Inc. 3.700%, 5/9/23		740			728
Genworth Holdings, Inc. 4.900%, 8/15/23		585			485
GrupoSura Finance S.A. 144A 5.500%, 4/29/26⁽³⁾		725			742
ICAHN Enterprises LP
6.000%, 8/1/20		370			380
5.875%, 2/1/22		510			509
ICICI Bank Ltd. 144A 4.000%, 3/18/26⁽³⁾		230			223
ING Groep NV 6.000%^(2)(5)(6)		865			845
iStar Financial, Inc. 5.000%, 7/1/19		940			947
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		795			771
Leucadia National Corp. 5.500%, 10/18/23		575			608
Lincoln National Corp. 6.050%, 4/20/67⁽²⁾⁽⁶⁾		300			231
Morgan Stanley
144A 10.090%, 5/3/17⁽³⁾		2,400	^BRL		729
4.350%, 9/8/26		415			423
Navient Corp. 7.250%, 9/25/23		190			196
OM Asset Management plc 4.800%, 7/27/26		785			743
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁷⁾		1,315			1,358
Prudential Financial, Inc. 5.875%, 9/15/42⁽²⁾		1,430			1,500
Santander Bank NA 8.750%, 5/30/18		400			430
Sberbank of Russia Via SB Capital S.A. 144A 5.500%, 2/26/24^(2)(3)(7)		450			457
Springleaf Finance Corp. 5.250%, 12/15/19		500			505
Starwood Property Trust, Inc. 144A 5.000%, 12/15/21⁽³⁾		140			142
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54⁽²⁾⁽³⁾		740			726
Tervita Escrow Corp. 144A 7.625%, 12/1/21⁽³⁾		120			123
Toronto-Dominion Bank (The) 3.625%, 9/15/31⁽²⁾		295			290
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾		500			484
Voya Financial, Inc. 5.650%, 5/15/53⁽²⁾		870			858
Woodside Finance Ltd. 144A 3.700%, 9/15/26⁽³⁾		135			132

					31,477


	PAR VALUE		VALUE
Health Care—2.9%
Abbott Laboratories
3.400%, 11/30/23	$	165	$	164
3.750%, 11/30/26		585		581
Centene Corp. 4.750%, 1/15/25		760		744
Community Health Systems, Inc. 6.875%, 2/1/22		525		368
Concordia International Corp.
144A 9.000%, 4/1/22⁽³⁾		185		157
144A 7.000%, 4/15/23⁽³⁾		175		56
Endo Finance LLC 144A 5.375%, 1/15/23⁽³⁾		660		564
Envision Healthcare Corp. 144A 6.250%, 12/1/24⁽³⁾		165		174
HCA, Inc. 5.375%, 2/1/25		435		437
IASIS Healthcare LLC 8.375%, 5/15/19		545		477
inVentiv Group Holdings, Inc. 144A 7.500%, 10/1/24⁽³⁾		300		316
MEDNAX, Inc. 144A 5.250%, 12/1/23⁽³⁾		395		407
MPH Acquisition Holdings LLC 144A 7.125%, 6/1/24⁽³⁾		675		712
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22⁽³⁾		710		632
Surgery Center Holdings, Inc. 144A 8.875%, 4/15/21⁽³⁾		570		608
Surgical Care Affiliates, Inc. 144A 6.000%, 4/1/23⁽³⁾		912		946
Team Health, Inc. 144A 7.250%, 12/15/23⁽³⁾		40		46
Tenet Healthcare Corp.
4.750%, 6/1/20		275		278
6.000%, 10/1/20		180		188
144A 7.500%, 1/1/22⁽³⁾		35		37
8.125%, 4/1/22		385		365
Valeant Pharmaceuticals International, Inc.
144A 6.375%, 10/15/20⁽³⁾		320		276
144A 7.500%, 7/15/21⁽³⁾		130		111
144A 5.625%, 12/1/21⁽³⁾		140		109
144A 5.875%, 5/15/23⁽³⁾		380		289

				9,042

Industrials—4.6%
Advanced Disposal Services, Inc. 144A 5.625%, 11/15/24⁽³⁾		120		120
Air Canada Pass-Through-Trust 13-1, B 144A 5.375%, 5/15/21⁽³⁾		1,187		1,216


	PAR VALUE		VALUE
Industrials—(continued)
Allegiant Travel Co. 5.500%, 7/15/19	$	165	$	171
Bombardier, Inc.
RegS 4.750%, 4/15/19⁽⁴⁾		110		111
144A 6.125%, 1/15/23⁽³⁾		740		709
Carpenter Technology Corp. 5.200%, 7/15/21		600		605
CEB, Inc. 144A 5.625%, 6/15/23⁽³⁾		610		595
Cemex Finance LLC 144A 6.000%, 4/1/24⁽³⁾		740		762
Continental Airlines Pass-Through-Trust 01-1, A1 6.703%, 6/15/21		56		60
Delhi International Airport Pvt Ltd. 144A 6.125%, 10/31/26⁽³⁾		250		259
DP World Ltd. 144A 6.850%, 7/2/37⁽³⁾		400		426
GATX Corp. 3.250%, 9/15/26		125		118
Harland Clarke Holdings Corp. 144A 6.875%, 3/1/20⁽³⁾		595		577
Hawaiian Airlines Pass-Through Certificates 13-1B, B 4.950%, 1/15/22		749		745
JBS Investments GmbH 144A 7.250%, 4/3/24⁽³⁾		865		908
Masco Corp.
5.950%, 3/15/22		640		707
4.450%, 4/1/25		320		325
Navistar International Corp. 8.250%, 11/1/21		460		467
Owens Corning 3.400%, 8/15/26		900		854
Pelabuhan Indonesia II PT 144A 4.250%, 5/5/25⁽³⁾		925		880
Prime Security Services Borrower LLC 144A 9.250%, 5/15/23⁽³⁾		490		535
SCF Capital Ltd. 144A 5.375%, 6/16/23⁽³⁾		470		476
Standard Industries, Inc. 144A 5.500%, 2/15/23⁽³⁾		225		233
TransDigm, Inc.
6.000%, 7/15/22		630		658
6.500%, 5/15/25		270		284
United Airlines Pass-Through Trust 14-1, B 4.750%, 4/11/22		409		409
Wheels Up Finance I LLC
16-01, A 7.431%, 6/1/24^(2)(12)(15)		39		39
16-01, A 7.500%, 6/30/24⁽¹²⁾		832		823

				14,072

Information Technology—1.2%
Blackboard, Inc. 144A 9.750%, 10/15/21⁽³⁾		503		518
Diamond 1 Finance Corp. (Diamond 2 Finance Corp.)


	PAR VALUE		VALUE
Information Technology—(continued)
144A 5.450%, 6/15/23⁽³⁾	$	150	$	159
144A 6.020%, 6/15/26⁽³⁾		145		157
144A 8.100%, 7/15/36⁽³⁾		295		350
Hewlett Packard Enterprise Co. 4.900%, 10/15/25		425		437
Inception Merger Sub, Inc. (Rackspace Hosting, Inc.) 144A 8.625%, 11/15/24⁽³⁾		1,405		1,491
NXP BV 144A 4.625%, 6/1/23⁽³⁾		355		374
WESCO Distribution, Inc. 144A 5.375%, 6/15/24⁽³⁾		255		256

				3,742

Materials—4.6%
AK Steel Corp. 7.500%, 7/15/23		385		428
Alpek SAB de C.V. 144A 5.375%, 8/8/23⁽³⁾		1,460		1,508
ArcelorMittal 6.125%, 6/1/25		945		1,040
Berry Plastics Corp. 5.125%, 7/15/23		610		624
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75^(2)(3)(6)		525		589
BlueScope Steel Finance Ltd. 144A 6.500%, 5/15/21⁽³⁾		500		531
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		455		464
Equate Petrochemical BV 144A 4.250%, 11/3/26⁽³⁾		765		730
Fibria Overseas Finance Ltd. 5.250%, 5/12/24		440		441
Fortescue Metals Group (FMG) Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22⁽³⁾		375		435
Freeport-McMoRan Copper & Gold, Inc.
3.550%, 3/1/22		255		238
3.875%, 3/15/23		385		355
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽³⁾		635		679
Gerdau Trade, Inc. 144A 5.750%, 1/30/21⁽³⁾		150		154
Graphic Packaging International, Inc. 4.125%, 8/15/24		790		756
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24⁽³⁾		910		905
Novelis Corp.
144A 6.250%, 8/15/24⁽³⁾		60		64
144A 5.875%, 9/30/26⁽³⁾		700		709
Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%, 4/25/24⁽³⁾		690		714
Reynolds Group Issuer, Inc.
144A 5.125%, 7/15/23⁽³⁾		150		153
144A 7.000%, 7/15/24⁽³⁾		25		27


	PAR VALUE			VALUE
Materials—(continued)
Scotts Miracle-Gro Co. (The) 144A 5.250%, 12/15/26⁽³⁾	$	85		$	85
Severstal OAO Via Steel Capital SA 144A 5.900%, 10/17/22⁽³⁾⁽⁷⁾		275			295
Standard Industries, Inc. 144A 6.000%, 10/15/25⁽³⁾		450			474
Teck Resources Ltd.
144A 8.000%, 6/1/21⁽³⁾		70			77
144A 8.500%, 6/1/24⁽³⁾		180			208
Vale Overseas Ltd. 5.875%, 6/10/21		535			562
Vedanta Resources plc 144A 6.000%, 1/31/19⁽³⁾		995			1,007

					14,252

Real Estate—1.0%
Communications Sales & Leasing, Inc. (CSL Capital LLC) 144A 7.125%, 12/15/24⁽³⁾		900			911
EPR Properties 4.750%, 12/15/26		300			297
ESH Hospitality, Inc. 144A 5.250%, 5/1/25⁽³⁾		605			603
MPT Operating Partnership LP
5.500%, 5/1/24		455			460
5.250%, 8/1/26		40			39
Select Income REIT 4.500%, 2/1/25		900			869

					3,179

Telecommunication Services—2.3%
Altice Financing S.A. 144A 6.625%, 2/15/23⁽³⁾		650			669
America Movil SAB de C.V. Series 12 6.450%, 12/5/22		5,000	^MXN		219
AT&T, Inc.
4.800%, 6/15/44		580			547
5.650%, 2/15/47		300			321
Cincinnati Bell, Inc. 144A 7.000%, 7/15/24⁽³⁾		180			191
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		665			574
Empresa Nacional de Telecomunicaciones S.A. 144A 4.875%, 10/30/24⁽³⁾		430			430
Frontier Communications Corp.
6.250%, 9/15/21		370			352
10.500%, 9/15/22		695			733
GTH Finance BV 144A 7.250%, 4/26/23⁽³⁾		700			753
Qwest Corp. 7.250%, 9/15/25		400			429
Sprint Communications, Inc. 6.000%, 11/15/22		875			884
T-Mobile USA, Inc. 6.375%, 3/1/25		435			466


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Zayo Group LLC (Zayo Capital, Inc.) 6.375%, 5/15/25	$	325	$	341

				6,909

Utilities—1.5%
AmeriGas Partners LP 5.500%, 5/20/25		340		345
Comision Federal de Electricidad 144A 4.750%, 2/23/27⁽³⁾		300		288
Dynegy, Inc. 7.375%, 11/1/22		675		648
Lamar Funding Ltd. 144A 3.958%, 5/7/25⁽³⁾		910		836
Majapahit Holding BV 144A 7.750%, 1/20/20⁽³⁾		795		894
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		625		595
TerraForm Power Operating LLC 144A 6.375%, 2/1/23⁽²⁾⁽³⁾		860		875

				4,481

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $160,204)				156,887

LOAN AGREEMENTS⁽²⁾—9.5%
Consumer Discretionary—2.3%
Advantage Sales & Marketing, Inc. Second Lien, 7.500%, 7/25/22		370		362
Affinity Gaming LLC 5.000%, 7/1/23		539		544
Bass Pro Group LLC 5.970%, 12/15/23		915		908
Caesars Entertainment Operating Co., Inc. (f/k/a Harrah’s Operating Co., Inc.) Tranche B-6, 1.500%, 3/1/17⁽¹⁰⁾		484		539
Caesars Entertainment Resort Properties LLC Tranche B, 7.000%, 10/11/20		751		759
Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21		348		351
CDS U.S. Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.) First Lien, 5.000%, 7/8/22		251		253
Cengage Learning, Inc. 2016 Refinancing Term, 5.250%, 6/7/23		243		237
Floor & Decor Outlets of America, Inc. 5.250%, 9/30/23		496		498


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Graton Resort & Casino Tranche B, 5.510%, 9/1/22	$	236	$	238
Harbor Freight Tools USA, Inc. 3.887%, 8/18/23		337		342
Laureare Education, Inc. 2021 Extended, 8.868%, 3/17/21		457		460
Leslie’s Poolmart, Inc. Tranche B 5.250%, 8/16/23		304		308
Mohegan Tribal Gaming Authority Tranche B, 5.500%, 10/13/23		449		454
Transtar Holding Co. Second Lien, 13.500%, 10/9/19⁽¹⁰⁾		380		6
U.S. Farathane LLC Tranche B-2, 5.750%, 12/23/21		486		488
UFC Holdings LLC First Lien 5.000%, 8/18/23		361		366

				7,113

Consumer Staples—0.9%
Albertson’s Cos., LLC Tranche B-4, 3.750%, 8/25/21		664		672
Amplify Snack Brands, Inc. 6.500%, 9/2/23		768		749
Chobani LLC (Chobani Idaho LLC) First Lien, 5.250%, 10/9/23		142		144
Coty, Inc. Tranche B, 3.092%, 10/27/22		118		118
Galleria Co. Tranche B, 3.750%, 1/26/23		237		239
Kronos, Inc. Second Lien, 9.250%, 11/1/24		193		200
Milk Specialities Co. 6.000%, 8/16/23		559		568

				2,690

Energy—0.7%
California Resources Corp. 11.375%, 12/31/21		420		467
Chesapeake Energy Corp. Trance A, 8.500%, 8/23/21		122		133
EP Energy LLC (f/k/a Everest Acquisition LLC) 9.750%, 6/30/21		610		640
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		520		494
Seadrill Operating LP 4.000%, 2/21/21		496		345

				2,079

Financials—0.4%
Lonestar Intermediate Super Holdings LLC 10.000%, 8/31/21		460		475
Walter Investment Management Corp. Tranche B, 4.750%, 12/18/20		665		636

				1,111


	PAR VALUE		VALUE
Health Care—1.2%
21st Century Oncology Holdings, Inc. Tranche B, 7.125%, 4/30/22⁽¹¹⁾	$	159	$	148
American Renal Holdings, Inc. Tranche B, First Lien, 4.750%, 8/20/19		168		169
CHG Healthcare Services, Inc. (CHG Buyer Co.) First Lien, 4.750%, 6/7/23		479		485
Concordia International Corp. (f/k/a Concordia Healthcare Corp.) 5.250%, 10/21/21		285		224
Inventiv Group Holdings, Inc. 4.750%, 11/9/23		224		226
MMM Holdings, Inc. 9.750%, 6/30/19		201		197
MPH Acquisition Holdings LLC 5.000%, 6/7/23		201		205
MSO of Puerto Rico, Inc. 9.750%, 6/30/19		146		143
NVA Holdings, Inc. Second Lien, 8.000%, 8/14/22		509		511
Quorum Health Corp. 6.750%, 4/29/22		246		242
Surgery Center Holdings, Inc. First Lien, 4.750%, 11/3/20		638		645
U.S. Renal Care, Inc. First Lien, 0.000%12/30/22⁽⁸⁾		640		602

				3,797

Industrials—1.3%
84 Lumber Co. 6.750%, 10/25/23		735		739
Coinstar LLC Tranche B, First Lien 6.125%, 9/27/23		278		283
Husky Injection Molding Systems Ltd. 4.250%, 6/30/21		508		512
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien, 5.000%, 5/4/22		441		442
Navistar, Inc. Tranche B, 6.500%, 8/7/20		449		455
PAE Holding Corp. First Lien, 6.500%, 10/20/22		246		248
Quikrete International, Inc. First Lien, 0.000%, 11/15/23⁽⁸⁾		75		76
Sedgwick Claims Management Services, Inc. Second Lien, 6.750%, 2/28/22		1,105		1,106
Zodiac Pool Solutions LLC First Lien, 5.500%, 12/20/23		210		212

				4,073

Information Technology—1.5%
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22		284		287
Avaya, Inc. Tranche B-7, 0.000%, 5/29/20⁽⁸⁾		375		327
Blackboard, Inc. Tranche B-4 First Lien, 6.000%, 6/30/21		555		561


	PAR VALUE		VALUE
Information Technology—(continued)
Donnelley Financial Solutions, Inc. Tranche B, 5.000%, 9/29/23	$	168	$	170
First Data Corp. Tranche 2022-C, 3.756%, 7/8/22		870		880
Information Resources, Inc. (Symphonyiri Group, Inc.) 0.000%, 12/20/23⁽⁸⁾		70		71
Masergy Communications, Inc. Tranche B, First Lien, 5.500%, 12/15/23		160		161
Mitchell International, Inc. Second Lien, 8.500%, 10/11/21		382		380
On Semiconductor 4.020%, 3/31/23		229		233
Presidio LLC (f/k/a Presidio, Inc.) Refinancing Term, 5.250%, 2/2/22		645		652
Rackspace Hosting, Inc. Tranche B, First Lien, 4.500%, 11/3/23		277		281
Veritas US, Inc. Tranche B-1, 0.000%, 1/27/23⁽⁸⁾		500		464
Western Digital Corp. Tranche B-1, 4.520%, 4/29/23		54		55

				4,522

Materials—0.7%
Anchor Glass Container Corp.
First Lien, 4.250%, 12/7/23		188		190
Second Lien, 8.750%, 12/7/24		202		206
CPI Acquisition, Inc. First Lien, 5.500%, 8/17/22		674		617
INEOS U.S. Finance LLC Tranche 2022, 4.250%, 3/31/22		56		57
MacDermid, Inc. (Platform Specialty Products Corp.) Tranche B-5, 4.500%, 6/7/20		430		436
Omnova Solutions, Inc. Tranche B-2, 5.250%, 8/25/23		592		603
PQ Corp. Tranche B-1, 5.250%, 11/4/22		122		124

				2,233

Real Estate—0.1%
Capital Automotive LP Second Lien, 6.000%, 4/30/20		450		457

Utilities—0.4%
APLP Holdings LP 6.000%, 4/13/23		663		673
Vistra Operations Company LLC (f/k/a TEX Operations Co., LLC) 5.000%, 8/4/23		324		329


	PAR VALUE			VALUE
Utilities—(continued)
Tranche C, 5.000%, 8/4/23	$	73		$	74

					1,076

TOTAL LOAN AGREEMENTS (Identified Cost $29,272)					29,151


	SHARES
PREFERRED STOCKS—3.4%
Energy—0.3%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		905	⁽⁹⁾		913

Financials—2.6%
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%⁽²⁾		265	⁽⁹⁾		262
Citigroup, Inc. Series J, 7.125%⁽²⁾		46,600			1,304
Citigroup, Inc. Series T, 6.250%⁽²⁾		1,010	⁽⁹⁾		1,040
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾		175	⁽⁹⁾		179
KeyCorp Series D, 5.000%⁽²⁾		735	⁽⁹⁾		678
M&T Bank Corp. Series F, 5.125%⁽²⁾		365	⁽⁹⁾		353
PNC Financial Services Group, Inc. (The) Series R, 4.850%⁽²⁾		965	⁽⁹⁾		927
PNC Financial Services Group, Inc. (The) Series S, 5.000%⁽²⁾		775	⁽⁹⁾		748
SunTrust Bank, Inc. 5.625%⁽²⁾		260	⁽⁹⁾		266
Wells Fargo & Co. Series K, 7.980%⁽²⁾		950	⁽⁹⁾		993
Zions Bancorp 6.950%⁽²⁾		38,525			1,079

					7,829

Industrials—0.5%
General Electric Co. Series D, 5.000%⁽²⁾		1,485	⁽⁹⁾		1,541

TOTAL PREFERRED STOCKS (Identified Cost $9,995)					10,283

COMMON STOCKS—0.1%
Consumer Discretionary—0.0%
Mark IV Industries		446			11

Energy—0.1%
Pacific Exploration and Production Corp.		3,406			139

Utilities—0.0%
Vistra Energy Corp.		6,252			97


	SHARES		VALUE
TOTAL COMMON STOCKS (Identified Cost $221)			$	247

AFFILIATED MUTUAL FUND—3.0%
Virtus Credit Opportunities Fund Class R6⁽¹³⁾		934,418		9,260

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $9,341)				9,260

RIGHTS—0.0%
Texas Competitive TRA		6		10

TOTAL RIGHTS (Identified Cost $5)				10

TOTAL LONG TERM INVESTMENTS—97.2% (Identified Cost $304,594)				297,656	⁽¹⁴⁾

TOTAL INVESTMENTS—97.2% (Identified Cost $304,594)				297,656	⁽¹⁾
Other assets and liabilities, net—2.8%				8,716

NET ASSETS—100.0%			$	306,372

Abbreviations:


FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”)
FNMA		Federal National Mortgage Association (“Fannie Mae”)
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2016.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $128,053 or 41.8% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	No contractual maturity date.

⁽⁶⁾	Interest payments may be deferred.

⁽⁷⁾	This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁸⁾	This loan will settle after December 31, 2016, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽⁹⁾	Value shown as par value.

⁽¹⁰⁾	Security in default, portion of the interest payments are being received during the bankruptcy proceedings.

⁽¹¹⁾	Security in default, no interest payments are being received.

⁽¹²⁾	Illiquid security.

($ reported in thousands)

⁽¹³⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

⁽¹⁴⁾	All or a portion of the Fund’s assets have been segregated for delayed delivery securities.

⁽¹⁵⁾	Represents the unfunded portion of security and commitment fee earned on this portion.

⁽¹⁶⁾	Amount is less than $500 (reported in thousands).

Foreign Currencies:


BRL		Brazilian Real
CLP		Chilean Peso
COP		Colombian Peso
IDR		Indonesian Rupiah
MXN		Mexican Peso
RUB		Russian Ruble
TRY		Turkish Lira
ZAR		South African Rand

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers from Level 1 to Level 2 related to securities held at December 31, 2016.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—0.5%
U.S. Treasury Note
1.250%, 3/31/21	$	24,250		$	23,670
1.625%, 2/15/26		12,600			11,755

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $36,748)					35,425

MUNICIPAL BOND—0.1%
Virginia—0.1%
Tobacco Settlement Financing Corp. Series A-1, Taxable 6.706%, 6/1/46		4,635			3,691

TOTAL MUNICIPAL BOND (Identified Cost $4,310)					3,691

FOREIGN GOVERNMENT SECURITIES—5.4%
Argentine Republic
144A 6.875%, 4/22/21⁽³⁾		7,200			7,668
144A 7.500%, 4/22/26⁽³⁾		12,545			13,172
144A 7.875%, 6/15/27⁽³⁾		5,000			4,948
Series NY 8.280%, 12/31/33		24,360			26,126
Bolivarian Republic of Venezuela
7.000%, 12/1/18		20,999			13,597
RegS 7.750%, 10/13/19⁽⁴⁾		19,501			10,920
Democratic Socialist Republic of Sri Lanka 144A 6.000%, 1/14/19⁽³⁾		17,450			17,984
Dominican Republic 144A 6.875%, 1/29/26⁽³⁾		3,300			3,442
Federative Republic of Brazil
Treasury Note Series F, 10.000%, 1/1/23		47,335	^BRL		13,720
8.500%, 1/5/24		37,050	^BRL		9,961
Treasury Note Series F, 10.000%, 1/1/25		37,510	^BRL		10,716
6.000%, 4/7/26		10,400			10,790
10.250%, 1/10/28		13,095	^BRL		3,727
Kingdom of Qatar 144A 3.250%, 6/2/26⁽³⁾		11,745			11,329
Kingdom of Saudi Arabia 144A 2.375%, 10/26/21⁽³⁾		955			927
Mongolia
RegS 5.125%, 12/5/22⁽⁴⁾		4,455			3,820
144A 5.125%, 12/5/22⁽³⁾		4,855			4,163
Provincia de Buenos Aires Argentina 144A 5.750%, 6/15/19⁽³⁾		5,795			6,098
Republic of Chile 5.500%, 8/5/20		11,647,000	^CLP		18,295
Republic of Colombia


	PAR VALUE			VALUE
Treasury Note, Series B, 11.250%, 10/24/18	$	21,072,000	^COP	$	7,618
9.850%, 6/28/27		24,145,000	^COP		9,460
Republic of Indonesia Series FR56, 8.375%, 9/15/26		258,591,000	^IDR		19,779
Republic of Kazakhstan 144A 5.125%, 7/21/25⁽³⁾		6,495			6,939
Republic of Panama 3.875%, 3/17/28		10,455			10,220
Republic of South Africa Series R203, 8.250%, 9/15/17		134,520	^ZAR		9,824
Republic of Turkey
9.000%, 3/8/17		30,355	^TRY		8,635
7.000%, 6/5/20		9,625			10,359
5.625%, 3/30/21		16,375			16,791
6.250%, 9/26/22		25,545			26,612
4.875%, 10/9/26		6,820			6,328
Romania 144A 6.750%, 2/7/22⁽³⁾		12,430			14,152
Russian Federation
144A 7.850%, 3/10/18⁽³⁾		410,000	^RUB		6,614
6.700%, 5/15/19		605,000			9,556
Sultanate of Oman
144A 3.625%, 6/15/21⁽³⁾		9,610			9,611
144A 4.750%, 6/15/26⁽³⁾		5,295			5,117
United Mexican States Series M, 6.500%, 6/9/22		250,769	^MXN		11,680

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $400,959)					380,698

MORTGAGE-BACKED SECURITIES—24.8%
Agency—4.9%
FHLMC 3.500%, 4/1/46		22,691			23,239
FNMA
5.500%, 1/1/17		—	⁽¹⁴⁾		—	⁽¹⁴⁾
6.000%, 5/1/17		1			1
4.500%, 4/1/18		39			40
5.000%, 10/1/19		138			141
5.500%, 2/1/20		44			45
5.500%, 3/1/20		16			16
5.500%, 3/1/20		10			10
5.500%, 3/1/20		24			25
5.500%, 3/1/20		52			54
5.500%, 4/1/20		127			132
5.000%, 6/1/20		220			229
4.000%, 8/1/25		7,513			7,878
3.000%, 6/1/27		888			913
3.000%, 10/1/30		23,557			24,187


	PAR VALUE		VALUE
Agency—(continued)
3.000%, 10/1/30	$	33,168	$	34,054
2.500%, 2/1/31		37,031		37,104
3.000%, 2/1/31		14,458		14,844
6.000%, 12/1/32		34		38
5.500%, 2/1/33		38		43
5.500%, 5/1/34		247		277
6.000%, 8/1/34		187		215
5.500%, 11/1/34		146		163
5.500%, 11/1/34		137		152
6.000%, 11/1/34		140		159
5.500%, 12/1/34		86		95
5.500%, 1/1/35		241		270
5.500%, 7/1/37		3		4
6.000%, 7/1/37		26		29
6.000%, 4/1/38		136		154
5.000%, 12/1/39		4,647		5,077
4.500%, 4/1/40		6,401		6,885
5.000%, 8/1/40		9,572		10,447
4.000%, 10/1/40		129		136
4.000%, 3/1/41		4,575		4,818
4.500%, 5/1/41		4,379		4,713
3.500%, 4/1/42		9,859		10,161
3.000%, 3/1/43		51,883		51,527
3.000%, 5/1/43		14,943		14,929
4.000%, 10/1/44		22,186		23,324
3.500%, 12/1/45		22,059		22,613
3.500%, 1/1/46		10,426		10,687
4.000%, 1/1/46		14,004		14,726
3.500%, 6/1/46		21,059		21,591
GNMA
6.500%, 11/15/31		19		21
6.500%, 2/15/32		21		24

				346,190

Non-Agency—19.9%
A-10 Securitization LLC 13-1, A 144A 2.400%, 11/15/25⁽³⁾		55		55
ABN AMRO Mortgage Corp. 02-9, M 5.750%, 12/25/32		509		516
Access Point Financial, Inc. 15-A, A 144A 2.610%, 4/15/20⁽³⁾		2,645		2,645


	PAR VALUE		VALUE
Non-Agency—(continued)
Agate Bay Mortgage Trust 13-1, A1 144A 3.500%, 7/25/43⁽²⁾⁽³⁾	$	9,694	$	9,766
American Homes 4 Rent Trust 15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		11,826		11,886
Americold LLC Trust 10-ARTA, A1 144A 3.847%, 1/14/29⁽³⁾		6,703		6,945
Ameriquest Mortgage Securities, Inc. 03-10, AF6 5.210%, 11/25/33⁽²⁾		593		610
AMSR Trust
16-SFR1, A 144A 2.136%, 11/17/33⁽²⁾⁽³⁾		3,340		3,340
16-SFR1, C 144A 2.986%, 11/17/33⁽²⁾⁽³⁾		3,495		3,503
16-SFR1, D 144A 3.136%, 11/17/33⁽²⁾⁽³⁾		425		424
Asset Backed Funding Certificates 05-AQ1, A6 4.780%, 6/25/35⁽²⁾		1,667		1,714
Aventura Mall Trust 13-AVM, A 144A 3.743%, 12/5/32⁽²⁾⁽³⁾		10,350		10,866
Banc of America Commercial Mortgage Trust 07-2, A4 5.638%, 4/10/49⁽²⁾		2,993		2,991
Banc of America Funding Trust
04-4, 3A1 4.750%, 10/25/19		1,376		1,342
04-B, 2A1 3.439%, 11/20/34⁽²⁾		670		660
05-1, 1A1 5.500%, 2/25/35		433		434
06-2, 3A1 6.000%, 3/25/36		1,888		1,937
16- R1, A1 144A 2.500%, 3/25/40⁽²⁾⁽³⁾		7,073		6,941
Banc of America Mortgage Trust
04-7, 6A3 4.500%, 8/25/19		426		424
04-11, 5A1 6.500%, 8/25/32		802		809
04-11, 2A1 5.750%, 1/25/35		1,289		1,307
05-3, 1A15 5.500%, 4/25/35		1,348		1,362
Bank of America (Countrywide) Asset-Backed Certificates Trust 05-1, AF5A 5.137%, 7/25/35⁽²⁾		10,868		11,300
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 04-22CB, 1A1 6.000%, 10/25/34		20,454		21,857
Bank of America (Merrill Lynch - Countrywide) Asset-Backed Certificates Trust 04-10, AF6 4.485%, 12/25/34⁽²⁾		344		354
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust
04-6, 1A2 3.020%, 5/25/34⁽²⁾		1,288		1,275
04-4, A6 5.500%, 5/25/34		736		743


	PAR VALUE		VALUE
Non-Agency—(continued)
Bank of America (Merrill Lynch) Mortgage Investors Trust, Inc. 98-C1, B 6.750%, 11/15/26⁽²⁾	$	6,761	$	6,830
Bank of America (Merrill Lynch) Investors Trust Series MLMI 04-A4, A1 2.862%, 8/25/34⁽²⁾		1,456		1,473
Barclays (Lehman Brothers) - UBS Commercial Mortgage Trust
07-C2, A3 5.430%, 2/15/40		1,542		1,545
07-C6, A4 5.858%, 7/15/40⁽²⁾		7,989		8,044
07-C7, A3 5.866%, 9/15/45⁽²⁾		10,447		10,705
Bayview Commercial Asset Trust 08-1, A3 144A 2.256%, 1/25/38⁽²⁾⁽³⁾		19,299		18,903
Bayview Financial Acquisition Trust
07-A, 1A2 6.205%, 5/28/37⁽²⁾		5,626		5,826
06-A, 1A4 6.087%, 2/28/41⁽²⁾		15,852		16,222
Bayview Opportunity Master Fund IVa Trust 16-SPL1, B1 144A 4.250%, 4/28/55⁽³⁾		7,758		7,909
Bayview Opportunity Master Fund IVb Trust 16-SPL2, B1 144A 4.250%, 6/28/53⁽²⁾⁽³⁾		5,532		5,559
BCRR Trust 09-1, 2A 144A 5.858%, 7/17/40⁽²⁾⁽³⁾		1,035		1,035
Citigroup Commercial Mortgage Trust
16-SMPL, A 144A 2.228%, 9/10/31⁽³⁾		3,555		3,462
07-C6, A1A 5.711%, 12/10/49⁽²⁾		24,855		25,071
07-C6, A4 5.711%, 12/10/49⁽²⁾		388		391
08-C7, AM 6.136%, 12/10/49⁽²⁾		12,335		12,686
10-RR3, MLSR 144A 5.733%, 6/14/50⁽²⁾⁽³⁾		2,821		2,827
Citigroup Mortgage Loan Trust, Inc.
03-UP3, A2 7.000%, 9/25/33		645		668
04-UST1, A3 2.914%, 8/25/34⁽²⁾		1,261		1,261
04-NCM2, 2CB2 6.750%, 8/25/34		10,278		10,707
14-A, A 144A 4.000%, 1/25/35⁽²⁾⁽³⁾		10,461		10,859
05-5, 2A3 5.000%, 8/25/35		404		399
15-PS1, 144A 3.750%, 9/25/42⁽²⁾⁽³⁾		9,154		9,408
15-A, A1 144A 3.500%, 6/25/58⁽²⁾⁽³⁾		4,057		4,115
Colony American Finance Ltd. 15-1A, 144A 2.896%, 10/15/47⁽³⁾		10,839		10,799
Colony Multi-Family Mortgage Trust 14-1, A 144A 2.543%, 4/20/50⁽³⁾		11,786		11,714
Colony Starwood Homes Trust 16-2A, C 144A 2.886%, 12/17/33⁽²⁾⁽³⁾		18,880		18,928
COLT Mortgage Loan Trust Funding LLC
16-1 A1, 144A 3.000%, 5/25/46⁽³⁾		4,665		4,711


	PAR VALUE		VALUE
Non-Agency—(continued)
16-2, A1 144A 2.750%, 9/25/46⁽²⁾⁽³⁾	$	12,328	$	12,393
16-3 A1, 144A 2.800%, 12/26/46⁽²⁾⁽³⁾		5,700		5,705
Commercial Mortgage Lease-Backed Certificates 01-CMB, 1 144A 7.471%, 6/20/31⁽²⁾⁽³⁾		4,080		4,494
Commercial Mortgage Trust
10-C1, D 144A 6.139%, 7/10/46⁽²⁾⁽³⁾		6,669		7,177
07-GG11, AM 5.867%, 12/10/49⁽²⁾		19,989		20,428
Credit Suisse Commercial Mortgage Trust 14-LVR2, A2 144A 3.851%, 4/25/44⁽²⁾⁽³⁾		10,283		10,548
Credit Suisse Commercial Mortgage-Backed Trust
07-C1, A1A 5.361%, 2/15/40		6,467		6,459
07-C5, A1AM 5.870%, 9/15/40⁽²⁾		21,039		19,741
Credit Suisse First Boston Mortgage Securities Corp.
03-27, 5A3 5.250%, 11/25/33		1,347		1,360
03-AR30, 5A1 3.151%, 1/25/34⁽²⁾		6,235		6,313
04-8, 7A1 6.000%, 12/25/34		5,301		5,547
Credit Suisse Mortgage Capital Trust
16-BDWN, A 144A 3.439%, 2/15/29⁽²⁾⁽³⁾		2,975		2,972
13-HYB1, A16,144A 3.023%, 4/25/43⁽²⁾⁽³⁾		5,281		5,292
Deutsche Bank-UBS Mortgage Trust 11-LC3A, D 144A 5.345%, 8/10/44⁽²⁾⁽³⁾		6,941		7,175
Freddie Mac Structured Agency Credit Risk Debt Notes 16-DNA2, M2 2.956%, 10/25/28⁽²⁾		5,005		5,068
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.382%, 12/15/34⁽²⁾⁽³⁾		16,875		16,950
GMAC Mortgage Corp. Loan Trust
04-AR1, 12A 3.489%, 6/25/34⁽²⁾		5,584		5,634
05-AR1, 5A 3.161%, 3/18/35⁽²⁾		1,543		1,504
Goldman Sachs Mortgage Securities Trust
07-GG10, A1A 5.793%, 8/10/45⁽²⁾		2,756		2,785
07-GG10, A4 5.793%, 8/10/45⁽²⁾		17,417		17,525
GSAA Home Equity Trust
05-1, AF4 5.619%, 11/25/34⁽²⁾		411		423
05-12, AF3W 4.999%, 9/25/35⁽²⁾		4,047		4,092
GSR Mortgage Loan Trust 06-1F, 2A4 6.000%, 2/25/36		838		730
Hilton USA Trust 16-SPF, B 144A 3.323%, 11/5/35⁽³⁾		22,020		21,737
Home Equity Loan Trust
06-HI1, M1 6.010%, 2/25/36⁽²⁾		1,088		1,094
07-HSA3, AI4 6.110%, 6/25/37⁽²⁾		9,928		9,983


	PAR VALUE		VALUE
Non-Agency—(continued)
IMC Home Equity Loan Trust 97-5, A9 7.310%, 11/20/28	$	2,377	$	2,385
Jefferies Resecuritization Trust
14-R1, 1A1 144A 4.000%, 12/27/37⁽³⁾		4,684		4,681
14-R1, 2A1 144A 4.000%, 12/27/37⁽³⁾		3,094		3,052
JP Morgan Mortgage Trust 16-5, A1 144A 2.602%, 12/25/46⁽²⁾⁽³⁾		9,635		9,576
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust 04-10, 14A1 3.476%, 1/25/35⁽²⁾		1,334		1,302
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities Trust
07- PW17, A4 5.694%, 6/11/50⁽²⁾		18,352		18,669
07-PW18, AM, 6.084%, 6/11/50⁽²⁾		12,400		12,790
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust
04-CB1, 5A 5.000%, 6/25/19		637		644
03-AR6, A1 2.898%, 6/25/33⁽²⁾		790		786
03-AR4, 2A1 2.622%, 8/25/33⁽²⁾		255		251
04-CB1, 2A 5.000%, 6/25/34		2,332		2,369
JPMorgan Chase Commercial Mortgage Securities Trust
09-IWST, A1 144A 4.314%, 12/5/27⁽³⁾		4,266		4,408
10-CNTR, A2 144A 4.311%, 8/5/32⁽³⁾		7,503		7,871
15-SGP, B 144A 3.454%, 7/15/36⁽²⁾⁽³⁾		13,925		14,012
11-C4, A3 144A 4.106%, 7/15/46⁽³⁾		1,808		1,860
06-LDP9, AM 5.372%, 5/15/47		18,664		18,658
14-C22, A4 3.801%, 9/15/47		16,998		17,712
07-LDPX, AM 5.464%, 1/15/49⁽²⁾		19,391		19,223
07-LD12, A4 5.882%, 2/15/51⁽²⁾		14,794		14,992
JPMorgan Chase Mortgage Trust
14-2, 2A2 144A 3.500%, 6/25/29⁽²⁾⁽³⁾		10,114		10,274
06-A2, 4A1 3.180%, 8/25/34⁽²⁾		1,464		1,467
04-A4, 2A1 3.117%, 9/25/34⁽²⁾		5,096		5,168
05-A1, 4A1 3.308%, 2/25/35⁽²⁾		704		709
05-A2, 4A1 2.690%, 4/25/35⁽²⁾		907		890
05-A4, 3A1 3.016%, 7/25/35⁽²⁾		3,845		3,796
06-A6, 3A3L 3.058%, 10/25/36⁽²⁾		1,398		1,182
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		18,934		19,535
16-1, M2 144A 3.750%, 4/25/45⁽²⁾⁽³⁾		15,994		15,867
15-4, 1A4 144A 3.500%, 6/25/45⁽²⁾⁽³⁾		10,475		10,552
16-2, M2 144A 3.750%, 12/25/45⁽²⁾⁽³⁾		16,228		16,071
16-1, A3 144A 3.500%, 5/25/46⁽³⁾		12,830		12,933


	PAR VALUE		VALUE
Non-Agency—(continued)
11-C4, A4, 144A 4.388%, 7/15/46⁽³⁾	$	5,175	$	5,553
16-3, A3 144A 3.500%, 10/25/46⁽²⁾⁽³⁾		6,554		6,603
JPMorgan Chase Trust
15-1, AM1 144A 2.644%, 12/25/44⁽²⁾⁽³⁾		17,995		17,955
15-5, A2 144A 2.896%, 5/25/45⁽²⁾⁽³⁾		17,118		17,220
Key Commercial Mortgage Securities Trust 07 -SL1, B 144A 5.628%, 12/15/40⁽²⁾⁽³⁾		5,344		5,336
MASTR Adjustable Rate Mortgages Trust 04-12, 3A1 3.249%, 11/25/34⁽²⁾		876		868
MASTR Alternative Loan Trust
04-7, 4A1 4.500%, 7/25/19		1,613		1,625
03-8, 2A1 5.750%, 11/25/33		4,761		4,912
04-4, 6A1 5.500%, 4/25/34		2,694		2,786
04-6, 7A1 6.000%, 7/25/34		4,983		4,886
04-7, 9A1 6.000%, 8/25/34		12,510		12,906
05-2, 2A1 6.000%, 1/25/35		3,258		3,363
05-2, 1A1 6.500%, 3/25/35		9,279		9,541
MASTR Asset Securitization Trust 05-1, 1A1 5.000%, 5/25/20		389		392
Mill City Mortgage Trust
15 - 1, A3 144A 3.000%, 6/25/56⁽²⁾⁽³⁾		11,900		11,565
16-1, A1 144A 2.500%, 4/25/57⁽²⁾⁽³⁾		3,990		3,969
Morgan Stanley - Bank of America (Merrill Lynch) Trust 13-C13, AS 4.266%, 11/15/46		1,735		1,837
Morgan Stanley Capital Barclays Bank Trust 16-MART, A 144A 2.200%, 9/13/31⁽³⁾		14,805		14,474
Morgan Stanley Capital I Trust
08-T29, AM 6.275%, 1/11/43⁽²⁾		1,610		1,665
07-IQ14, AM 5.690%, 4/15/49⁽²⁾		15,932		15,610
07-IQ14, A4 5.692%, 4/15/49⁽²⁾		12,897		12,926
07- LQ16, A4 5.809%, 12/12/49		16,312		16,552
Morgan Stanley Mortgage Loan Trust
04-2AR, 3A 2.855%, 2/25/34⁽²⁾		1,266		1,260
04-2AR, 4A 2.905%, 2/25/34⁽²⁾		944		950
Morgan Stanley Residential Mortgage Loan Trust 14-1A, A1 144A 2.970%, 6/25/44⁽²⁾⁽³⁾		6,009		6,053
Motel 6 Trust
15-MTL6, B 144A 3.298%, 2/5/30⁽³⁾		7,775		7,760
15-MTL6, D 144A 4.532%, 2/5/30⁽³⁾		1,500		1,505
National City Mortgage Capital Trust 08-1, 2A1 6.000%, 3/25/38		1,531		1,588
New Residential Mortgage Loan Trust


	PAR VALUE		VALUE
Non-Agency—(continued)
16-2A, A1 144A 3.750%, 11/26/35⁽²⁾⁽³⁾	$	10,564	$	10,726
14-1A, A 144A 3.750%, 1/25/54⁽²⁾⁽³⁾		14,742		15,142
14-2A, 3A 144A 3.750%, 5/25/54⁽²⁾⁽³⁾		1,686		1,728
14-3A, AFX3 144A 3.750%, 11/25/54⁽²⁾⁽³⁾		13,679		13,868
15-2A, A1 144A 3.750%, 8/25/55⁽²⁾⁽³⁾		10,366		10,694
16-1A, A1 144A 3.750%, 3/25/56⁽²⁾⁽³⁾		8,895		9,018
16-3A, A1 144A 3.750%, 9/25/56⁽²⁾⁽³⁾		9,197		9,377
16-4A, A1 144A 3.750%, 11/25/56⁽²⁾⁽³⁾		6,708		6,911
Nomura Asset Acceptance Corp. 04-R3, A1 144A 6.500%, 2/25/35⁽³⁾		6,733		6,584
Novastar Mortgage Funding Trust Series 04-4, M5 2.481%, 3/25/35⁽²⁾		3,556		3,472
Residential Accredit Loans, Inc. 05-QS1, A5 5.500%, 1/25/35		642		638
Residential Asset Mortgage Products, Inc.
04-SL2, A3 7.000%, 10/25/31		1,610		1,673
04-SL1, A8 6.500%, 11/25/31		2,020		2,046
05-SL2, A4 7.500%, 2/25/32		1,768		1,780
04-SL4, A3 6.500%, 7/25/32		903		913
03-RS8, AI7 5.015%, 9/25/33⁽²⁾		248		251
Residential Asset Securitization Trust
03-A11, A9 5.750%, 11/25/33		2,309		2,342
04-A1, A5 5.500%, 4/25/34		10,807		10,847
Residential Funding Mortgage Securities I, Inc. 06-S12, 1A1 5.500%, 12/25/21		698		705
Sequoia Mortgage Trust
13-1, 1A1 1.450%, 2/25/43⁽²⁾		2,179		2,117
14-2, A1 144A 4.000%, 7/25/44⁽²⁾⁽³⁾		6,796		6,911
14-3, A9 144A 3.750%, 10/25/44⁽²⁾⁽³⁾		14,549		14,766
14-4, A6 144A 3.500%, 11/25/44⁽²⁾⁽³⁾		15,940		15,937
15-1, A1 144A 3.500%, 1/25/45⁽²⁾⁽³⁾		7,682		7,728
Structured Adjustable Rate Mortgage Loan Trust
04-4, 3A4 3.112%, 4/25/34⁽²⁾		2,066		2,035
04-4, 3A2 3.112%, 4/25/34⁽²⁾		2,677		2,656
04-4, 3A1 3.112%, 4/25/34⁽²⁾		605		595
04-5, 3A2 3.181%, 5/25/34⁽²⁾		1,179		1,191
04-14, 7A 3.109%, 10/25/34⁽²⁾		10,238		10,235
Structured Asset Securities Corp. 03-AL1, A 144A 3.357%, 4/25/31⁽³⁾		6,854		6,751
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates
02-AL1, A3 3.450%, 2/25/32		8,343		8,272


	PAR VALUE		VALUE
Non-Agency—(continued)
03-30, 2A1 5.039%, 10/25/33⁽²⁾	$	2,539	$	2,575
03-33H, 1A1 5.500%, 10/25/33		3,482		3,551
03-34A, 6A 3.340%, 11/25/33⁽²⁾		2,471		2,438
04-15, 3A3 5.500%, 9/25/34		1,815		1,826
Towd Point Mortgage Trust
15-1, A2 144A 3.250%, 10/25/53⁽²⁾⁽³⁾		10,356		10,115
15-3, A1B 144A 3.000%, 3/25/54⁽²⁾⁽³⁾		4,896		4,936
16-1, A1B, 144A 2.750%, 2/25/55⁽²⁾⁽³⁾		8,096		8,115
15-6, M1 144A 3.750%, 4/25/55⁽²⁾⁽³⁾		10,910		10,652
15-5, A1B 144A 2.750%, 5/25/55⁽²⁾⁽³⁾		6,918		6,931
15-5, A2 144A 3.500%, 5/25/55⁽²⁾⁽³⁾		3,901		3,913
16-3, A1 144A 2.250%, 8/25/55⁽²⁾⁽³⁾		7,503		7,440
16-2, A1 144A 3.000%, 8/25/55⁽²⁾⁽³⁾		7,958		7,996
16-4, A1 144A 2.250%, 7/25/56⁽²⁾⁽³⁾		10,188		10,078
15-2, 1M1 144A 3.250%, 11/25/60⁽²⁾⁽³⁾		7,523		7,464
Tricon American Homes Trust 16-SFR1, C 144A 3.487%, 11/17/33⁽³⁾		4,640		4,502
Vericrest Opportunity Loan Transfer
15-NP11, A1 144A 3.625%, 7/25/45⁽²⁾⁽³⁾		4,763		4,757
16 - NPL8, A1 144A 3.500%, 7/25/46⁽²⁾⁽³⁾		1,207		1,202
16-NPL9, A1 144A 3.500%, 9/25/46⁽²⁾⁽³⁾		8,138		8,119
16-NP11, A1 144A 3.500%, 10/25/46⁽²⁾⁽³⁾		7,262		7,245
14-NP10, A1 144A 3.375%, 10/25/54⁽²⁾⁽³⁾		1,475		1,476
14-NPL9, A1 144A 3.375%, 11/25/54⁽²⁾⁽³⁾		5,271		5,273
15-NPL4, A1 144A 3.500%, 2/25/55⁽²⁾⁽³⁾		2,116		2,117
15-NPL5, A1 144A 3.500%, 3/25/55⁽²⁾⁽³⁾		4,236		4,248
15-NPL3, A1 144A 3.375%, 10/25/58⁽²⁾⁽³⁾		8,878		8,866
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust
07-C30, A5 5.342%, 12/15/43		5,191		5,185
07-C30, AM 5.383%, 12/15/43		25,695		25,701
07-C31, A4 5.509%, 4/15/47		3,759		3,766
07-31, AM 5.591%, 4/15/47⁽²⁾		34,000		34,215
07-C32, A3 5.707%, 6/15/49⁽²⁾		7,251		7,295
07-C33, A5 5.969%, 2/15/51⁽²⁾		1,265		1,284
Wells Fargo - Royal Bank of Scotland plc Commercial Mortgage Trust 11-C5, C 144A 5.673%, 11/15/44⁽²⁾⁽³⁾		2,425		2,592
Wells Fargo Mortgage Backed Securities Trust
06-17, A1 5.500%, 11/25/21		88		91
03-G, A1 2.895%, 6/25/33⁽²⁾		1,175		1,177
03-J, 5A1 2.963%, 10/25/33⁽²⁾		383		386


	PAR VALUE		VALUE
Non-Agency—(continued)
04-4, A9 5.500%, 5/25/34	$	1,553	$	1,583
04-U, A1 3.133%, 10/25/34⁽²⁾		988		983
04-Z, 2A1 3.002%, 12/25/34⁽²⁾		4,695		4,738
04-CC, A1 3.040%, 1/25/35⁽²⁾		2,281		2,297
05-12, 1A1 5.500%, 11/25/35		3,024		3,054
05-14, 2A1 5.500%, 12/25/35		2,259		2,317
07-16, 1A1 6.000%, 12/28/37		2,409		2,491
07-AR10, 2A1 6.161%, 1/25/38⁽²⁾		2,892		2,781

				1,392,217

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,739,226)				1,738,407

ASSET-BACKED SECURITIES—18.2%
American Credit Acceptance Receivables Trust
14-3, C 144A 3.430%, 6/10/20⁽³⁾		19,200		19,355
16- 1A, B 144A 4.240%, 6/13/22⁽³⁾		7,500		7,639
AmeriCredit Automobile Receivables Trust
12-4, D 2.680%, 10/9/18		7,150		7,153
14-2, C 2.180%, 6/8/20		19,450		19,570
14-1, D 2.540%, 6/8/20		18,320		18,444
15-3, C 2.730%, 3/8/21		9,730		9,806
16-4, C 2.410%, 7/8/22		7,080		7,011
Applebee’s Funding LLC (IHOP Funding LLC) 14-1, A2 144A 4.277%, 9/5/44⁽³⁾		15,168		14,991
Arbys Funding LLC 15-1A, A2 144A 4.969%, 10/30/45⁽³⁾		5,940		5,889
Ascentium Equipment Receivables LLC 15-A1, B 144A 2.260%, 6/10/21⁽³⁾		5,400		5,433
Associates Manufactured Housing Pass-Through Certificates 96-1, B1 8.000%, 3/15/27⁽²⁾		868		894
Avis Budget Rental Car Funding LLC
(AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽³⁾		23,085		23,107
(AESOP) 13-2A, A 144A 2.970%, 2/20/20⁽³⁾		6,350		6,414
(AESOP) 16-1A, A 144A 2.990%, 6/20/22⁽³⁾		18,500		18,455
BankAmerica Manufactured Housing Contract Trust 98-1, B1 7.810%, 8/10/25⁽²⁾		797		807
Barclays (Lehman Brothers) Manufactured Housing Contract Trust 01-B, A3 4.350%, 4/15/40		1,987		2,022
BCC Funding VIII LLC
14-A, B 144A 3.123%, 8/20/20⁽³⁾		2,799		2,807
14-1A, C 144A 4.216%, 8/20/20⁽³⁾		5,519		5,550


	PAR VALUE		VALUE
BCC Funding XIII LLC 16-1, D 144A 4.780%, 8/20/22⁽³⁾	$	5,392	$	5,282
BXG Receivables Note Trust
10-A, A 144A 5.100%, 3/2/26⁽³⁾		857		860
12-A, A 144A 2.660%, 12/2/27⁽³⁾		2,881		2,856
13-A, A 144A 3.010%, 12/4/28⁽³⁾		5,894		5,890
15-A, A 144A 2.880%, 5/2/30⁽³⁾		2,419		2,429
California Republic Auto Receivables Trust
13-1, B 144A 2.240%, 1/15/19⁽³⁾		11,600		11,640
14-2, B 2.340%, 4/15/20		7,090		7,142
15-3, B 2.700%, 9/15/21		3,705		3,705
16-1, B 3.430%, 2/15/22		4,615		4,662
Capital Auto Receivables Asset Trust
13-1, C 1.740%, 10/22/18		1,705		1,706
15-2, C 2.670%, 8/20/20		7,250		7,285
16-3, C 2.350%, 9/20/21		8,935		8,783
CarFinance Capital Auto Trust
13-1A, B 144A 2.750%, 11/15/18⁽³⁾		996		999
13-A1, C 144A 3.450%, 3/15/19⁽³⁾		2,210		2,225
13-2A, B 144A 3.150%, 8/15/19⁽³⁾		5,072		5,091
14-1A, B 144A 2.720%, 4/15/20⁽³⁾		5,081		5,111
14-2A, B 144A 2.640%, 11/16/20⁽³⁾		3,455		3,462
14-2A, C 144A 3.240%, 11/16/20⁽³⁾		2,765		2,763
15-A1, B 144A 2.910%, 6/15/21⁽³⁾		6,000		6,012
CarMax Auto Owner Trust
14-2, B 1.880%, 11/15/19		1,000		1,002
15-2, C 2.390%, 3/15/21		2,275		2,268
CarNow Auto Receivables Trust
14-1A, D 144A 4.160%, 11/15/18⁽³⁾		3,000		3,003
14-1A, E 144A 5.530%, 1/15/20⁽³⁾		8,350		8,351
16-1A, D 144A 7.340%, 11/15/21⁽³⁾		5,360		5,333
CCG Receivables Trust 14-1, B 144A 2.150%, 11/15/21⁽³⁾		5,080		5,089
Centre Point Funding LLC 12-2A,1 144A 2.610%, 8/20/21⁽³⁾		10,461		10,312
Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽³⁾		19,842		19,584
Citi Held For Asset Issuance 15-PM3, B 144A 4.310%, 5/16/22⁽³⁾		24,650		24,716
Conn’s Receivables Funding LLC 16-B, A 144A 3.730%, 10/15/18⁽³⁾		6,867		6,884
Consumer Installment Loan Trust 16-LD1, A 144A 3.960%, 7/15/22⁽³⁾		3,802		3,812


	PAR VALUE		VALUE
CPS Auto Receivables Trust
16 - C, B 144A 2.480%, 9/15/20⁽³⁾	$	3,000	$	3,004
16-B, 144A 3.180%, 9/15/20⁽³⁾		4,500		4,559
DB Master Finance LLC
15-1A, A2I 144A 3.262%, 2/20/45⁽³⁾		7,860		7,870
15-A1, A2II 144A 3.980%, 2/20/45⁽³⁾		13,772		13,791
Diamond Resorts Owner Trust 14-1, A 144A 2.540%, 5/20/27⁽³⁾		7,547		7,483
Direct Capital Funding IV LLC 13-A1, C 144A 4.830%, 11/20/20⁽³⁾		5,000		5,002
DRB Prime Student Loan Trust 15-D, A3 144A 2.500%, 1/25/36⁽³⁾		5,001		4,992
Drive Auto Receivables Trust
15-DA, B 144A 2.590%, 12/16/19⁽³⁾		3,650		3,663
16-AA, B 144A 3.170%, 5/15/20⁽³⁾		7,310		7,374
15-AA, C 144A 3.060%, 5/17/21⁽³⁾		23,685		23,897
16-CA, C 144A 3.020%, 11/15/21⁽³⁾		7,205		7,207
15-AA, D 144A 4.120%, 7/15/22⁽³⁾		13,120		13,334
Drug Royalty II LP 2 1 14-1, A2 144A 3.484%, 7/15/23⁽³⁾		14,879		14,776
Drug Royalty III LP 1 16-1A, A 144A 3.979%, 4/15/27⁽³⁾		4,194		4,154
DT Auto Owner Trust
14-2A, C 144A 2.460%, 1/15/20⁽³⁾		3,570		3,575
16 - 1A, B 144A 2.790%, 5/15/20⁽³⁾		5,200		5,231
14-3A, C 144A 3.040%, 9/15/20⁽³⁾		9,806		9,861
15-1A, C 144A 2.870%, 11/16/20⁽³⁾		6,946		6,968
15-3A, C 144A 3.250%, 7/15/21⁽³⁾		2,285		2,305
16-2A, C 144A 3.670%, 1/18/22⁽³⁾		8,555		8,637
16-3A C,144A 3.150%, 3/15/22⁽³⁾		8,485		8,480
16-4A C,144A 2.740%, 10/17/22⁽³⁾		17,785		17,653
Exeter Automobile Receivables Trust
12-2A, C 144A 3.060%, 7/16/18⁽³⁾		2,960		2,962
14-1A, B 144A 2.420%, 1/15/19⁽³⁾		2,456		2,458
13-1A, C 144A 3.520%, 2/15/19⁽³⁾		13,867		13,952
14-1A, C 144A 3.570%, 7/15/19⁽³⁾		15,830		15,932
14-2A, C 144A 3.260%, 12/16/19⁽³⁾		14,615		14,696
15-A1, C 144A 4.100%, 12/15/20⁽³⁾		19,850		20,155
15-2A, C 144A 3.900%, 3/15/21⁽³⁾		19,835		20,080
14-3A, D 144A 5.690%, 4/15/21⁽³⁾		19,380		19,706
16-3A, B 144A 2.840%, 8/16/21⁽³⁾		8,475		8,439
15-3A, D 144A 6.550%, 10/17/22⁽³⁾		3,375		3,417


	PAR VALUE		VALUE
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾	$	20,090	$	20,153
First Investors Auto Owner Trust 15-1A, C 144A 2.710%, 6/15/21⁽³⁾		5,000		4,991
Flagship Credit Auto Trust
16 - 1, A 144A 2.770%, 12/15/20⁽³⁾		4,293		4,325
14-2, D 144A 5.210%, 2/15/21⁽³⁾		9,560		9,600
15-1, D 144A 5.260%, 7/15/21⁽³⁾		3,565		3,578
15-2, C 144A 4.080%, 12/15/21⁽³⁾		6,495		6,481
16-2, B 144A 3.840%, 9/15/22⁽³⁾		4,175		4,249
16-3, D 144A 3.890%, 11/15/22⁽³⁾		5,900		5,780
Foundation Finance Trust 16-1A, A 144A 3.960%, 6/15/35⁽³⁾		3,235		3,227
Foursight Capital Automobile Receivables Trust
16-1 A2, 144A 2.870%, 10/15/21⁽³⁾		7,752		7,685
14-1, B 144A 3.560%, 11/22/21⁽³⁾		4,704		4,688
15-1, B 144A 4.120%, 9/15/22⁽³⁾		5,589		5,583
GLS Auto Receivables Trust 16-1A, B 144A 4.390%, 1/15/21⁽³⁾		10,500		10,475
Gold Key Resorts LLC 14-A, A 144A 3.220%, 3/17/31⁽³⁾		7,214		7,165
Greater Capital Association of Realtors 15-1A, C 9.790%, 10/15/25		8,195		8,469
Hertz Vehicle Financing LLC
11-1A, A2 144A 3.290%, 3/25/18⁽³⁾		7,480		7,498
15-2A, A 144A 2.020%, 9/25/19⁽³⁾		4,845		4,798
16 -1A, A144A 2.320%, 3/25/20⁽³⁾		8,800		8,739
Hilton Grand Vacations Trust
13-A, A 144A 2.280%, 1/25/26⁽³⁾		6,480		6,425
14-AA, A 144A 1.770%, 11/25/26⁽³⁾		8,948		8,780
Hyundai Auto Receivables Trust
14-B, D 2.510%, 12/15/20		9,675		9,690
15-A, D 2.730%, 6/15/21		8,950		9,014
Leaf Receivables Funding 10 LLC
15-1, D 144A 3.740%, 5/17/21⁽³⁾		800		787
15-1, E1 144A 5.210%, 7/15/21⁽³⁾		4,500		4,437
15-1, E2 144A 6.000%, 6/15/23⁽³⁾		2,455		2,374
Leaf Receivables Funding 11 LLC 16-1, E1 144A 5.500%, 4/15/23⁽³⁾		5,000		4,887
Leaf Receivables Funding 9 LLC
13-1,E2 C 144A 3.460%, 9/15/21⁽³⁾		6,850		6,843
13-1, D 144A 5.110%, 9/15/21⁽³⁾		1,186		1,205
16-1, E2 144A 6.000%, 6/15/24⁽³⁾		4,170		3,834


	PAR VALUE		VALUE
Marriott Vacation Club Owner Trust
12-1A, A 144A 2.510%, 5/20/30⁽³⁾	$	11,513	$	11,508
10-1A, A 144A 3.540%, 10/20/32⁽³⁾		340		343
10-1A, B 144A 4.520%, 10/20/32⁽³⁾		662		673
Murray Hill Marketplace Trust 16-LC1, A 144A 4.190%, 11/25/22⁽³⁾		3,470		3,486
MVW Owner Trust
15-1A, B 144A 2.960%, 12/20/32⁽³⁾		1,483		1,484
16-1A, A 144A 2.250%, 12/20/33⁽³⁾		6,494		6,362
NCF Dealer Floorplan Master Trust 16-1A, A 144A 3.812%, 3/21/22⁽²⁾⁽³⁾		9,000		8,935
OneMain Direct Auto Receivables Trust 16 - 1A, B 144A 2.760%, 5/15/21⁽³⁾		5,000		4,995
OneMain Financial Issuance Trust
14-1A, A 144A 2.430%, 6/18/24⁽³⁾		6,815		6,816
15-2A, A 144A 2.570%, 7/18/25⁽³⁾		19,675		19,674
15-A, A 144A 3.190%, 3/18/26⁽³⁾		26,301		26,484
Orange Lake Timeshare Trust
12-AA, A 144A 3.450%, 3/10/27⁽³⁾		3,062		3,080
15-AA, A 144A 2.880%, 9/8/27⁽³⁾		6,177		6,152
14-AA, A 144A 2.290%, 7/9/29⁽³⁾		2,727		2,692
Prestige Auto Receivables Trust 14-1A, C 144A 2.390%, 5/15/20⁽³⁾		7,000		7,008
Santander Drive Auto Receivables Trust
12-6, D 2.520%, 9/17/18		12,201		12,217
13-3, C 1.810%, 4/15/19		3,823		3,829
14-3, C 2.130%, 8/17/20		16,400		16,460
16-2, B 2.080%, 2/16/21		8,250		8,254
Security National Automotive Acceptance Company Receivables Trust 14-1A, C 144A 2.210%, 1/15/20⁽³⁾		4,129		4,132
Sierra Timeshare Receivables Funding LLC
12-2A, B 144A 3.420%, 3/20/29⁽³⁾		1,534		1,536
12-3A, A 144A 1.870%, 8/20/29⁽³⁾		5,897		5,859
13-1A, A 144A 1.590%, 11/20/29⁽³⁾		2,138		2,127
14-1A, A 144A 2.070%, 3/20/30⁽³⁾		2,066		2,052
14-2A, A 144A 2.050%, 6/20/31⁽³⁾		2,968		2,962
16 - 1A, A 144A 3.080%, 3/21/33⁽³⁾		6,995		7,062
16 - 2A, A 144A 2.330%, 7/20/33⁽³⁾		6,939		6,811
Silverleaf Finance LLC
XV 12-D, A 144A 3.000%, 3/17/25⁽³⁾		2,521		2,521
XVII 13-A, A 144A 2.680%, 3/16/26⁽³⁾		2,433		2,409
XVIII 14-A, A 144A 2.810%, 1/15/27⁽³⁾		1,779		1,753


	PAR VALUE		VALUE
Skopos Auto Receivables Trust 15 - 2A, A 144A 3.550%, 2/15/20⁽³⁾	$	2,760	$	2,768
SLM Private Education Loan Trust
13-B, A2A 144A 1.850%, 6/17/30⁽³⁾		4,500		4,475
13-C, A2A 144A 2.940%, 10/15/31⁽³⁾		5,000		5,058
SoFi Consumer Loan Program LLC 16-3, A 144A 3.050%, 12/26/25⁽³⁾		18,968		18,899
SoFi Professional Loan Program LLC
14-B, A2 144A 2.550%, 8/27/29⁽³⁾		946		949
15-A, A2 144A 2.420%, 3/25/30⁽³⁾		3,908		3,894
16-A, A2 144A 2.760%, 12/26/36⁽³⁾		1,967		1,977
SolarCity LMC Series III LLC 14-2, A 144A 4.020%, 7/20/44⁽³⁾		8,027		7,563
Springleaf Funding Trust 16-AA, A 144A 2.900%, 11/15/29⁽³⁾		9,485		9,460
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 01-SB1, A2 3.375%, 8/25/31		1,414		1,398
SVO VOI Mortgage Corp. 12-AA, A 144A 2.000%, 9/20/29⁽³⁾		7,476		7,341
Taco Bell Funding LLC 16-1A, A21 144A 3.832%, 5/25/46⁽³⁾		14,359		14,411
TCF Auto Receivables Owner Trust
14-1A, B 144A 2.330%, 5/15/20⁽³⁾		1,733		1,729
14-1A, C 144A 3.120%, 4/15/21⁽³⁾		2,035		2,038
16-PT1A, C 144A 3.210%, 1/17/23⁽³⁾		10,900		10,841
Tidewater Auto Receivables Trust
14-AA, C 144A 2.560%, 8/15/19⁽³⁾		3,500		3,513
16-AA, B 144A 3.130%, 3/15/20⁽³⁾		7,393		7,444
Trip Rail Master Funding LLC
11-1A, A1A 144A 4.370%, 7/15/41⁽³⁾		11,271		11,381
14-1A, A1 144A 2.863%, 4/15/44⁽³⁾		9,414		9,184
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽³⁾		30,198		30,449
United Auto Credit Securitization Trust
16-1, B 144A 2.730%, 5/15/18⁽³⁾		4,863		4,872
16-2, C 144A 2.480%, 3/10/20⁽³⁾		9,425		9,393
Volvo Financial Equipment LLC 14-1A, C 144A 1.940%, 11/15/21⁽³⁾		6,000		6,005
VSE VOI Mortgage LLC 16-A, A 144A 2.540%, 7/20/33⁽³⁾		7,320		7,237
Welk Resorts LLC
13-AA, A 144A 3.100%, 3/15/29⁽³⁾		3,139		3,143


	PAR VALUE		VALUE
15-AA, A 144A 2.790%, 6/16/31⁽³⁾	$	5,384	$	5,311
Wendy’s Funding LLC
15-1A, A2II 144A 3.371%, 6/15/45⁽³⁾		5,346		5,338
15-1A, A2II 144A 4.080%, 6/15/45⁽³⁾		20,113		19,872
Westgate Resorts LLC 16-1A, A 144A 3.500%, 12/20/28⁽³⁾		8,704		8,670
Westlake Automobile Receivables Trust
15-1A, C 144A 2.290%, 11/16/20⁽³⁾		8,500		8,523
16-2A C, 144A 2.830%, 5/17/21⁽³⁾		3,190		3,197
15-3A, D,144A 4.400%, 5/17/21⁽³⁾		10,000		10,110

TOTAL ASSET-BACKED SECURITIES (Identified Cost $1,281,406)				1,281,096

CORPORATE BONDS AND NOTES—35.6%
Consumer Discretionary—2.8%
Alibaba Group Holding Ltd. 2.500%, 11/28/19		6,600		6,630
Altice SA 144A 7.750%, 5/15/22⁽³⁾		10,060		10,764
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽¹⁰⁾		3,565		3,708
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20		18,230		18,287
Columbus Cable Barbados Ltd. 144A 7.375%, 3/30/21⁽³⁾		5,990		6,397
Delphi Automotive plc 3.150%, 11/19/20		15,000		15,229
Diamond Resorts International, Inc. 144A 7.750%, 9/1/23⁽³⁾		590		599
Hyundai Capital America 144A 2.125%, 10/2/17⁽³⁾		2,940		2,945
International Game Technology plc
144A 5.625%, 2/15/20⁽³⁾		3,245		3,440
144A 6.250%, 2/15/22⁽³⁾		5,190		5,592
Live Nation Entertainment, Inc. 144A 4.875%, 11/1/24⁽³⁾		12,405		12,467
M/I Homes, Inc. 6.750%, 1/15/21		4,675		4,897
Marriott International, Inc. Series N, 3.125%, 10/15/21		13,545		13,682
MGM Growth Properties Operating Partnership LP (MGP Finance Co-Issuer, Inc.) 144A 5.625%, 5/1/24⁽³⁾		1,740		1,823
NCL Corp., Ltd. 144A 4.750%, 12/15/21⁽³⁾		13,240		13,265
Newell Brands, Inc. 3.150%, 4/1/21		1,925		1,957
QVC, Inc. 3.125%, 4/1/19		12,765		12,893
Scientific Games International, Inc. 144A 7.000%, 1/1/22⁽³⁾		5,625		6,061


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
SFR (Numericable) Group S.A.
144A 6.000%, 5/15/22⁽³⁾	$	4,580	$	4,717
144A 7.375%, 5/1/26⁽³⁾		7,075		7,252
Toll Brothers Finance Corp.
4.000%, 12/31/18		5,080		5,226
6.750%, 11/1/19		9,716		10,675
5.625%, 1/15/24		915		954
4.875%, 11/15/25		8,520		8,392
TRI Pointe Group, Inc.
4.375%, 6/15/19		13,872		14,184
4.875%, 7/1/21		3,740		3,824
Wyndham Worldwide Corp. 2.500%, 3/1/18		2,960		2,985

				198,845

Consumer Staples—0.3%
ESAL GmbH 144A 6.250%, 2/5/23⁽³⁾		8,600		8,669
Whole Foods Market, Inc. 5.200%, 12/3/25		14,325		15,148

				23,817

Energy—6.6%
Afren plc 144A 11.500%, 2/1/17^(3)(9)(15)		4,674		24
Alberta Energy Co., Ltd. 8.125%, 9/15/30		8,110		9,761
Anadarko Petroleum Corp.
4.850%, 3/15/21		3,845		4,123
5.550%, 3/15/26		5,455		6,109
Antero Resources Corp. 5.625%, 6/1/23		6,835		7,032
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		4,595		4,618
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23		4,150		4,274
Cheniere Corpus Christi Holdings LLC 144A 7.000%, 6/30/24⁽³⁾		7,155		7,781
Cimarex Energy Co. 4.375%, 6/1/24		11,490		11,936
CNOOC Finance Property Ltd. 2.625%, 5/5/20		5,800		5,773
Concho Resources, Inc.
5.500%, 4/1/23		9,345		9,731
4.375%, 1/15/25		7,550		7,573
Continental Resources, Inc.
5.000%, 9/15/22		5,035		5,101
4.500%, 4/15/23		3,035		2,989
Diamondback Energy, Inc. 144A 4.750%, 11/1/24⁽³⁾		2,070		2,039
Ecopetrol S.A. 5.875%, 9/18/23		20,920		22,144
Enbridge Energy Partners LP 4.375%, 10/15/20		3,930		4,103


	PAR VALUE		VALUE
Energy—(continued)
Encana Corp. 3.900%, 11/15/21	$	7,960	$	8,017
Energy Transfer Partners LP 5.200%, 2/1/22		4,855		5,194
EP Energy LLC (Everest Acquisition Finance, Inc.)
9.375%, 5/1/20		11,345		10,515
144A 8.000%, 11/29/24⁽³⁾		860		929
FTS International, Inc. 6.250%, 5/1/22		2,245		1,875
KazMunayGas National Co. 144A 6.375%, 4/9/21⁽³⁾		4,800		5,222
Kinder Morgan, Inc. 144A 5.625%, 11/15/23⁽³⁾		20,300		22,259
Linn Energy LLC 6.500%, 5/15/19⁽⁹⁾		9,980		4,266
Lukoil OAO International Finance BV 144A 3.416%, 4/24/18⁽³⁾		6,000		6,060
Midcontinent Express Pipeline LLC 144A 6.700%, 9/15/19⁽³⁾		3,500		3,692
MPLX LP 5.500%, 2/15/23		11,935		12,417
Newfield Exploration Co. 5.625%, 7/1/24		7,925		8,262
NGL Energy Partners LP 5.125%, 7/15/19		18,475		18,429
Noble Holding International Ltd. 7.750%, 1/15/24		5,220		4,923
Occidental Petroleum Corp.
2.600%, 4/15/22		885		882
3.400%, 4/15/26		10,865		10,932
Petrobras Global Finance BV
8.375%, 5/23/21		22,915		24,748
8.750%, 5/23/26		405		438
Petroleos de Venezuela S.A.
RegS 8.500%, 11/2/17⁽⁴⁾		6,664		5,298
144A 8.500%, 10/27/20⁽³⁾		13,303		9,944
144A 6.000%, 5/16/24⁽³⁾		12,980		5,030
Petroleos Mexicanos
5.500%, 1/21/21		10,070		10,360
4.875%, 1/24/22		16,470		16,519
144A 6.875%, 8/4/26⁽³⁾		13,475		14,216
PHI, Inc. 5.250%, 3/15/19		6,275		5,930
Pride International, Inc. 8.500%, 6/15/19		4,065		4,553
QEP Resources, Inc.
6.875%, 3/1/21		5,220		5,572
5.250%, 5/1/23		13,087		13,185
Range Resources Corp.
144A 5.000%, 8/15/22⁽³⁾		3,730		3,725
144A 5.000%, 3/15/23⁽³⁾		8,025		7,965
Regency Energy Partners LP 5.000%, 10/1/22		17,910		18,960
Sabine Oil & Gas Corp. 7.250%, 6/15/19^(9)(15)		9,035		—	⁽¹⁴⁾


	PAR VALUE			VALUE
Energy—(continued)
Sabine Pass Liquefaction LLC
5.625%, 2/1/21	$	8,000		$	8,560
6.250%, 3/15/22		8,415			9,214
Sinopec Capital Ltd. 144A 1.875%, 4/24/18⁽³⁾		11,750			11,704
Southern Gas Corridor CJSC 144A 6.875%, 3/24/26⁽³⁾		6,435			6,943
Sunoco LP 6.375%, 4/1/23		16,520			16,809
Transocean, Inc.
144A 9.000%, 7/15/23⁽³⁾		3,680			3,790
6.800%, 3/15/38		7,800			6,084
Weatherford International PLC 144A 9.875%, 2/15/24⁽³⁾		4,795			5,122
YPF S.A. 144A 8.500%, 3/23/21⁽³⁾		7,000			7,526

					461,180

Financials—12.8%
ABN AMRO Bank N.V. 144A 4.250%, 2/2/17⁽³⁾		4,425			4,435
AerCap Ireland Capital Ltd. (Aercap Global Aviation Trust) 3.950%, 2/1/22		3,670			3,702
Air Lease Corp. 2.625%, 9/4/18		5,495			5,532
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾		33,705	^TRY		9,141
Ally Financial, Inc.
4.250%, 4/15/21		10,530			10,629
5.750%, 11/20/25		7,090			7,099
Altice US Finance I Corp. 144A 5.375%, 7/15/23⁽³⁾		8,250			8,590
Ares Capital Corp.
4.875%, 11/30/18		1,545			1,601
3.875%, 1/15/20		4,286			4,346
3.625%, 1/19/22		4,475			4,334
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26⁽³⁾		14,195			14,355
Aviation Capital Group Corp. 144A 2.875%, 9/17/18⁽³⁾		4,415			4,470
Banco de Credito del Peru 144A 4.250%, 4/1/23⁽³⁾		15,500			15,849
Bank of America Corp.
2.000%, 1/11/18		14,905			14,938
5.490%, 3/15/19		2,868			3,041
4.200%, 8/26/24		8,820			8,974
4.450%, 3/3/26		1,655			1,703
Bank of Baroda 144A 4.875%, 7/23/19⁽³⁾		11,775			12,391
Bank of India
144A 3.250%, 4/18/18⁽³⁾		10,470			10,583


	PAR VALUE			VALUE
Financials—(continued)
144A 3.625%, 9/21/18⁽³⁾	$	10,200		$	10,326
Barclays Bank plc 144A 6.050%, 12/4/17⁽³⁾		13,130			13,564
Barclays plc 3.200%, 8/10/21		10,345			10,225
BBVA Banco Continental S.A. RegS 5.000%, 8/26/22⁽⁴⁾		16,280			17,216
Blackstone Holdings Finance Co., LLC 144A 6.625%, 8/15/19⁽³⁾		7,105			7,888
Bonos del Banco Central de Chile En Pesos 4.500%, 6/1/20		4,570,000	^CLP		7,047
Capital One N.A. 2.400%, 9/5/19		5,000			5,009
Citigroup, Inc.
5.500%, 2/15/17		11,730			11,785
4.600%, 3/9/26		10,445			10,781
Corp Financiera de Desarrollo SA 144A 4.750%, 7/15/25⁽³⁾		10,000			10,413
Corpbanca SA 144A 3.875%, 9/22/19⁽³⁾		4,000			4,121
Discover Bank 8.700%, 11/18/19		1,750			1,986
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21⁽³⁾		14,685			14,134
Fidelity National Financial, Inc. 6.600%, 5/15/17		6,475			6,586
Fifth Third Bancorp 4.500%, 6/1/18		6,745			6,958
First Tennessee Bank N.A. 2.950%, 12/1/19		4,500			4,509
Ford Motor Credit Co., LLC 5.000%, 5/15/18		10,000			10,390
FS Investment Corp. 4.250%, 1/15/20		7,725			7,767
General Motors Financial Co., Inc.
3.500%, 7/10/19		9,715			9,894
4.200%, 3/1/21		7,300			7,512
Genworth Holdings, Inc. 7.625%, 9/24/21		6,910			6,409
Goldman Sachs Group, Inc. (The)
2.350%, 11/15/21		4,425			4,295
4.250%, 10/21/25		24,315			24,667
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		25,001			25,251
HBOS plc 144A 6.750%, 5/21/18⁽³⁾		685			722
HSBC USA, Inc. 2.625%, 9/24/18		19,485			19,681
Huntington Bancshares, Inc. 7.000%, 12/15/20		17,065			19,307
Hutchison Whampoa International Ltd. Series 12 144A 6.000% ^(2)(3)(6)(7)		16,710			16,877
ICAHN Enterprises LP 5.875%, 2/1/22		12,875			12,843
ICICI Bank Ltd.
RegS 4.700%, 2/21/18⁽⁴⁾		13,000			13,312
144A 4.000%, 3/18/26⁽³⁾		6,505			6,312


	PAR VALUE			VALUE
Financials—(continued)
Industrial & Commercial Bank of China Ltd. 3.231%, 11/13/19	$	6,275		$	6,433
International Lease Finance Corp. 3.875%, 4/15/18		7,635			7,778
iStar Financial, Inc.
4.875%, 7/1/18		12,250			12,281
5.000%, 7/1/19		6,210			6,257
Jefferies Group LLC
5.125%, 4/13/18		6,541			6,760
6.875%, 4/15/21		3,725			4,234
JPMorgan Chase & Co.
6.125%, 6/27/17		8,850			9,045
2.295%, 8/15/21		4,495			4,408
JPMorgan Chase Bank N.A. 1.650%, 9/23/19		8,805			8,713
Lazard Group LLC 4.250%, 11/14/20		7,765			8,114
Lincoln National Corp.
8.750%, 7/1/19		4,613			5,306
6.050%, 4/20/67⁽²⁾⁽⁷⁾		2,885			2,221
Macquarie Group Ltd.
144A 3.000%, 12/3/18⁽³⁾		4,870			4,942
144A 6.000%, 1/14/20⁽³⁾		10,950			11,856
Mitsubishi UFJ Financial Group, Inc. 2.950%, 3/1/21		2,500			2,515
Morgan Stanley
144A 10.090%, 5/3/17⁽³⁾		22,595	^BRL		6,862
4.350%, 9/8/26		20,295			20,679
MUFG Union Bank N.A. 2.625%, 9/26/18		2,700			2,729
Navient Corp. 7.250%, 9/25/23		3,620			3,729
New York Life Global Funding 144A 1.950%, 2/11/20⁽³⁾		2,855			2,833
Phosagro OAO (Phosagro Bond Funding DAC.) 144A 4.204%, 2/13/18⁽³⁾⁽⁵⁾		7,800			7,919
PNC Funding Corp. 5.625%, 2/1/17		3,130			3,139
Prudential Financial, Inc. 8.875%, 6/15/38⁽²⁾⁽⁷⁾		11,200			12,096
QBE Insurance Group Ltd. 144A 2.400%, 5/1/18⁽³⁾		7,750			7,759
Regions Bank 7.500%, 5/15/18		2,369			2,538
Russian Agricultural Bank OJSC (RSHB Capital SA)
144A 5.298%, 12/27/17⁽³⁾		13,655			13,932
144A 5.100%, 7/25/18⁽³⁾⁽⁵⁾		8,750			8,925
S&P Global, Inc. 3.300%, 8/14/20		15,097			15,382
Santander Holdings USA, Inc.


	PAR VALUE		VALUE
Financials—(continued)
2.700%, 5/24/19	$	10,650	$	10,638
2.650%, 4/17/20		7,540		7,468
SBA Tower Trust
144A 3.156%, 10/15/20⁽³⁾		6,050		6,084
144A 2.933%, 12/9/42⁽³⁾		13,275		13,289
Sberbank of Russia (Sberbank Capital S.A.) 5.717%, 6/16/21⁽⁵⁾		7,000		7,433
Springleaf Finance Corp. 5.250%, 12/15/19		9,585		9,681
Starwood Property Trust, Inc. 144A 5.000%, 12/15/21⁽³⁾		2,640		2,682
State Street Corp. 4.956%, 3/15/18⁽⁷⁾		24,025		24,818
SunTrust Bank, Inc.
6.000%, 9/11/17		4,925		5,072
5.450%, 12/1/17		3,750		3,867
Tervita Escrow Corp. 144A 7.625%, 12/1/21⁽³⁾		1,200		1,227
TIAA Asset Management Finance Co., LLC 144A 2.950%, 11/1/19⁽³⁾		2,850		2,898
Toronto-Dominion Bank (The) 2.125%, 4/7/21		11,005		10,827
Trinity Acquisition plc
3.500%, 9/15/21		1,485		1,498
4.400%, 3/15/26		9,145		9,245
Turkiye Garanti Bankasi AS 144A 4.750%, 10/17/19⁽³⁾		8,500		8,476
Turkiye Is Bankasi 144A 3.750%, 10/10/18⁽³⁾		12,630		12,472
Turkiye Vakiflar Bankasi TAO 144A 3.750%, 4/15/18⁽³⁾		4,000		3,957
UBS Group Funding Jersey Ltd. 144A 2.650%, 2/1/22⁽³⁾		8,475		8,229
Vnesheconombank (VEB Finance plc) 144A 6.902%, 7/9/20⁽³⁾		16,000		17,285
Wells Fargo Bank N.A. 2.150%, 12/6/19		17,645		17,632
Willis North America, Inc. 6.200%, 3/28/17		4,960		5,015
XLIT Ltd. Series E, 2.300%, 12/15/18		9,730		9,792
Zions Bancorp 4.500%, 3/27/17		12,675		12,729

				895,199

Health Care—2.3%
Abbott Laboratories
2.350%, 11/22/19		6,325		6,329
2.900%, 11/30/21		8,815		8,794
AbbVie, Inc.
2.500%, 5/14/20		11,705		11,701


	PAR VALUE		VALUE
Health Care—(continued)
3.200%, 11/6/22	$	1,940	$	1,939
Actavis Capital S.a.r.l.
(Actavis Funding) 3.000%, 3/12/20		2,825		2,863
(Actavis Funding) 3.450%, 3/15/22		3,815		3,868
Alere, Inc. 6.500%, 6/15/20		6,175		6,113
Community Health Systems, Inc. 5.125%, 8/1/21		4,790		4,455
Concordia International Corp. 144A 7.000%, 4/15/23⁽³⁾		1,510		483
Endo Finance LLC 144A 6.000%, 7/15/23⁽³⁾		720		635
Express Scripts Holding Co. 3.300%, 2/25/21		2,330		2,372
Forest Laboratories LLC 144A 4.375%, 2/1/19⁽³⁾		13,430		13,958
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23⁽³⁾		2,590		2,681
HCA, Inc. 6.500%, 2/15/20		13,125		14,359
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽³⁾		8,625		8,643
Mylan NV
144A 3.000%, 12/15/18⁽³⁾		5,360		5,398
144A 3.150%, 6/15/21⁽³⁾		4,065		3,986
Owens & Minor, Inc. 3.875%, 9/15/21		2,485		2,491
Shire Acquisitions Investments 2.400%, 9/23/21		9,275		8,951
Tenet Healthcare Corp.
4.750%, 6/1/20		4,650		4,697
4.463%, 6/15/20⁽²⁾		4,045		4,085
6.000%, 10/1/20		9,560		9,990
144A 7.500%, 1/1/22⁽³⁾		490		512
8.125%, 4/1/22		6,595		6,255
Teva Pharmaceutical Finance Netherlands III BV
2.200%, 7/21/21		2,670		2,552
2.800%, 7/21/23		2,640		2,496
Valeant Pharmaceuticals International, Inc. 144A 5.375%, 3/15/20⁽³⁾		3,060		2,601
Zimmer Biomet Holdings, Inc. 3.150%, 4/1/22		17,905		17,838
Zoetis, Inc. 3.450%, 11/13/20		2,780		2,851

				163,896

Industrials—3.5%
ADT Corp. (The) 6.250%, 10/15/21		13,700		14,933
Air Canada Pass-Through-Trust 13-1, B 144A 5.375%, 5/15/21⁽³⁾		18,164		18,618
Allegiant Travel Co. 5.500%, 7/15/19		2,330		2,412
America West Airlines Pass-Through-Trust 01-1, G 7.100%, 4/2/21		36,627		39,511


	PAR VALUE		VALUE
Industrials—(continued)
BAE Systems Holdings, Inc. 144A 2.850%, 12/15/20⁽³⁾	$	4,655	$	4,658
Bombardier, Inc. 144A 4.750%, 4/15/19⁽³⁾		15,692		15,849
British Airways Pass-Through-Trust 13-1, B 144A 5.625%, 6/20/20⁽³⁾		9,011		9,461
Cemex Finance LLC 144A 6.000%, 4/1/24⁽³⁾		7,110		7,323
Continental Airlines Pass-Through-Trust
99-1, A 6.545%, 2/2/19		8,163		8,499
99-2, C2 AMBC 6.236%, 3/15/20		8,696		9,109
00-1, A1 8.048%, 11/1/20		4,270		4,745
01-1, A1 6.703%, 6/15/21		3,306		3,513
Doric Nimrod Air Alpha Pass-Through-Trust 13-1, A 144A 5.250%, 5/30/23⁽³⁾		10,911		11,374
Hawaiian Airlines Pass-Through Certificates 13-1B, B 4.950%, 1/15/22		6,905		6,862
JBS Investments GmbH 144A 7.250%, 4/3/24⁽³⁾		1,535		1,612
Masco Corp. 5.950%, 3/15/22		18,385		20,315
Penske Truck Leasing Co., LP
RegS 2.500%, 6/15/19⁽⁴⁾		3,470		3,481
144A 3.375%, 2/1/22⁽³⁾		8,365		8,428
SCF Capital Ltd. 144A 5.375%, 6/16/23⁽³⁾		8,460		8,576
Toledo Edison Co. (The) 7.250%, 5/1/20		224		248
U.S. Airways Pass-Through-Trust 12-2, C 5.450%, 6/3/18		13,180		13,131
UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22		24,155		26,027
United Airlines Pass-Through Trust 14-1, B 4.750%, 4/11/22		4,558		4,558

				243,243

Information Technology—1.0%
Diamond 1 Finance Corp. (Diamond 2 Finance Corp.) 144A 5.450%, 6/15/23⁽³⁾		16,410		17,389
Dun & Bradstreet Corp. (The)
3.250%, 12/1/17		12,110		12,239
4.000%, 6/15/20		4,660		4,780
Hewlett Packard Enterprise Co.
144A 2.850%, 10/5/18⁽³⁾		9,690		9,782
144A 3.600%, 10/15/20⁽³⁾		1,845		1,876
Microsoft Corp. 2.000%, 8/8/23		4,475		4,277
NXP BV 144A 4.625%, 6/1/23⁽³⁾		4,675		4,920
NXP BV (NXP Funding LLC) 144A 4.125%, 6/1/21⁽³⁾		7,100		7,331


	PAR VALUE		VALUE
Information Technology—(continued)
Oracle Corp.
1.900%, 9/15/21	$	3,530	$	3,446
2.400%, 9/15/23		4,315		4,175

				70,215

Materials—2.1%
Air Liquide Finance SA 144A 1.750%, 9/27/21⁽³⁾		3,000		2,881
Airgas, Inc. 3.050%, 8/1/20		890		909
Allegheny Technologies, Inc. 9.375%, 6/1/19		7,245		7,788
Ardagh Packaging Finance plc
144A 6.250%, 1/31/19⁽³⁾		2,705		2,759
144A 4.625%, 5/15/23⁽³⁾		7,340		7,248
Cemex SAB de CV RegS 6.500%, 12/10/19⁽⁴⁾		5,200		5,512
CRH America, Inc. 8.125%, 7/15/18		4,770		5,217
Equate Petrochemical BV 144A 3.000%, 3/3/22⁽³⁾		9,535		9,082
Fortescue Metals Group (FMG) Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22⁽³⁾		6,820		7,912
Freeport-McMoRan Copper & Gold, Inc.
3.550%, 3/1/22		3,070		2,870
3.875%, 3/15/23		7,645		7,052
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽³⁾		7,630		8,164
Gerdau Trade, Inc. 144A 5.750%, 1/30/21⁽³⁾		1,700		1,743
INEOS Group Holdings S.A. 144A 5.875%, 2/15/19⁽³⁾		5,870		6,005
Novelis Corp. 144A 6.250%, 8/15/24⁽³⁾		605		643
Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%, 4/25/24⁽³⁾		17,090		17,671
Packaging Corp. of America 3.900%, 6/15/22		7,215		7,434
Reynolds Group Issuer, Inc.
5.750%, 10/15/20		12,945		13,366
144A 4.380%, 7/15/21⁽²⁾⁽³⁾		3,100		3,177
144A 5.125%, 7/15/23⁽³⁾		1,600		1,628
144A 7.000%, 7/15/24⁽³⁾		110		117
Teck Resources Ltd. 144A 8.000%, 6/1/21⁽³⁾		1,570		1,731
Vale Overseas Ltd. 5.875%, 6/10/21		7,475		7,849
Vedanta Resources plc 144A 6.000%, 1/31/19⁽³⁾		17,325		17,542

				146,300

Real Estate—1.5%
Brixmor Operating Partnership LP 3.875%, 8/15/22		5,570		5,672
Digital Realty Trust LP 3.400%, 10/1/20		11,735		11,928


	PAR VALUE		VALUE
Real Estate—(continued)
3.950%, 7/1/22	$	8,175	$	8,392
Education Realty Operating Partnership LP 4.600%, 12/1/24		2,040		2,028
Government Properties Income Trust 3.750%, 8/15/19		2,905		2,936
HCP, Inc. 3.750%, 2/1/19		4,035		4,147
Kimco Realty Corp. 3.400%, 11/1/22		10,605		10,750
MPT Operating Partnership LP (MPT Finance Corp.) 6.375%, 2/15/22		1,150		1,192
Select Income REIT 4.150%, 2/1/22		18,910		18,708
Senior Housing Properties Trust 3.250%, 5/1/19		6,685		6,703
Ventas Realty LP (Ventas Capital Corp.)
4.000%, 4/30/19		7,100		7,358
2.700%, 4/1/20		2,948		2,964
Welltower, Inc. 4.125%, 4/1/19		4,100		4,255
West Europe Finance LLC 144A 3.250%, 10/5/20⁽³⁾		19,265		19,584

				106,617

Telecommunication Services—1.7%
Altice Financing S.A. 144A 6.625%, 2/15/23⁽³⁾		7,045		7,256
AT&T, Inc.
3.800%, 3/15/22		11,365		11,639
3.000%, 6/30/22		7,200		7,060
4.125%, 2/17/26		6,955		7,033
CenturyLink, Inc. Series T 5.800%, 3/15/22		7,000		7,181
Crown Castle International Corp. 3.700%, 6/15/26		870		853
Crown Castle Towers LLC
144A 6.113%, 1/15/20⁽³⁾		5,900		6,392
144A 3.222%, 5/15/22⁽³⁾		3,000		3,050
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		10,365		8,945
Frontier Communications Corp.
8.500%, 4/15/20		3,200		3,372
8.875%, 9/15/20		3,380		3,612
10.500%, 9/15/22		9,085		9,585
Sprint Communications, Inc. 6.000%, 11/15/22		14,060		14,201
T-Mobile USA, Inc. 6.000%, 4/15/24		10,030		10,594
Telefonica Emisiones SAU 3.192%, 4/27/18		2,805		2,845
Verizon Communications, Inc. 2.625%, 8/15/26		7,550		6,940
Zayo Group LLC (Zayo Capital, Inc.) 6.000%, 4/1/23		6,960		7,273

				117,831


	PAR VALUE		VALUE
Utilities—1.0%
AmeriGas Partners LP 7.000%, 5/20/22	$	3,463	$	3,651
Dominion Resources, Inc. 2.962%, 7/1/19⁽²⁾		1,760		1,781
Exelon Corp. 2.850%, 6/15/20		18,845		19,035
Korea Western Power Co., Ltd. 144A 3.125%, 5/10/17⁽³⁾		9,800		9,838
Majapahit Holding BV 144A 7.750%, 1/20/20⁽³⁾		8,800		9,900
State Grid Overseas Investment Ltd.
144A 1.750%, 5/22/18⁽³⁾		5,000		4,977
144A 2.750%, 5/7/19⁽³⁾		9,370		9,490
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		10,340		9,849

				68,521

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $2,489,033)				2,495,664

LOAN AGREEMENTS⁽²⁾—12.0%
Consumer Discretionary—3.9%
Altice U.S. Finance I Corp. 2016 Refinancing, 3.882%, 1/15/25		12,806		12,982
AMC Entertainment Holdings, Inc.(AMC Entertainment Inc.) 3.511%, 12/15/23		1,829		1,851
Aristocrat Leisure Ltd. Tranche B-1 3.631%, 10/20/21		8,791		8,899
Bass Pro Group LLC 5.970%, 12/15/23		17,870		17,726
Boyd Gaming Corp.
Tranche B, 4.000%, 8/14/20		2,284		2,309
Tranche B-2 3.756%, 9/15/23		4,146		4,202
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Co., Inc.)
Tranche B-6, 1.500%, 3/1/17⁽¹⁰⁾		3,645		4,061
Tranche B-4, 0.750%, 10/31/17⁽¹⁰⁾		3,413		4,012
Caesars Entertainment Resort Properties LLC Tranche B, 7.000%, 10/11/20		11,421		11,546
Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21		7,174		7,239
CDS U.S. Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.) First Lien, 5.000%, 7/8/22		5,664		5,723
Cengage Learning, Inc. 2016 Refinancing Term, 5.250%, 6/7/23		4,759		4,644
Charter Communications Operating LLC (CCO Safari LLC)


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Tranche E, 3.020%, 7/1/20	$	6,273	$	6,312
Tranche F, 3.020%, 1/3/21		14,195		14,282
Tranche I, 3.005%, 1/15/24		2,857		2,879
CityCenter Holdings LLC Tranche B, 4.250%, 10/16/20		5,909		5,988
CSC Holdings LLC (CSC Holdings, Inc. (Cablevision)) 2016 Extended, 3.876%, 10/11/24		11,018		11,156
Delta 2 (Lux) S.a.r.l. Tranche B-3, 4.750%, 7/30/21		7,421		7,507
El Dorado Resorts, Inc. 4.250%, 7/25/22		2,736		2,759
Harbor Freight Tools USA, Inc. 3.887%, 8/18/23		17,735		18,014
Hilton Worldwide Finance LLC
Tranche B-1 3.500%, 10/26/20		852		861
Tranche B-2 3.256%, 10/25/23		11,581		11,731
Intelsat Jackson Holdings S.A. Tranche B-2, 3.750%, 6/30/19		7,912		7,675
Las Vegas Sands LLC Tranche B, 3.006%, 12/19/20		6,785		6,830
Libbey Glass, Inc. 3.750%, 4/9/21		5,542		5,603
MGM Growth Properties Operating Partnership LP Tranche B, 3.500%, 4/25/23		7,112		7,205
Nexstar Broadcasting, Inc.
Tranche B, 0.000%, 9/26/23⁽¹²⁾		3,897		3,936
0.000%, 9/26/23⁽¹²⁾		347		351
PetSmart, Inc. Tranche B-2 4.000%, 3/11/22		17,419		17,492
Scientific Games International, Inc.
6.000%, 10/18/20		2,757		2,796
Tranche B-2, 6.000%, 10/1/21		3,357		3,405
Seminole Tribe of Florida, Inc. 3.248%, 4/29/20		6,586		6,622
ServiceMaster Co. Tranche C, 3.270%, 11/8/23		8,188		8,231
Sinclair Television Group, Inc. Tranche B-1, 3.520%, 7/30/21		11,485		11,514
Six Flags Theme Parks, Inc. Tranche B, 3.833%, 6/30/22		4,979		5,025
Station Casinos LLC Tranche B, 3.750%, 6/8/23		6,330		6,423
Tribune Media Co. Tranche B, 3.770%, 12/27/20		6,895		6,965
UFC Holdings LLC First Lien 5.000%, 8/18/23		8,331		8,452

				275,208


	PAR VALUE		VALUE
Consumer Staples—1.4%
Albertson’s Cos., LLC Tranche B-4, 3.750%, 8/25/21	$	15,996	$	16,208
Albertson’s LLC Tranche B, 4.247%, 12/21/22		2,172		2,203
ARAMARK Corp.
Tranche E, 3.294%, 9/7/19		11,971		12,107
Tranche F, 3.498%, 2/24/21		14,446		14,602
Charger OpCo B.V. (Oak Tea, Inc.) Tranche B-1, 3.250%, 7/2/22		2,749		2,776
Chobani LLC (Chobani Idaho LLC) First Lien, 5.250%, 10/9/23		2,550		2,591
Coty, Inc. Tranche B, 3.092%, 10/27/22		2,741		2,754
Galleria Co. Tranche B, 3.750%, 1/26/23		5,523		5,560
Hostess Brands LLC 2016 Refinancing, Tranche B, 4.000%, 8/3/22		14,644		14,828
Kronos, Inc.
First Lien, 5.000%, 11/1/23		17,854		18,105
Second Lien, 9.250%, 11/1/24		3,287		3,397
Pinnacle Foods Finance LLC Tranche I, 3.506%, 1/13/23		983		1,001

				96,132

Energy—0.2%
EP Energy LLC (Everest Acquisition LLC) 9.750%, 6/30/21		4,868		5,105
Paragon Offshore Finance Co. 5.500%, 7/16/21⁽¹⁰⁾		9,933		3,766
Seadrill Operating LP 4.000%, 2/21/21		8,792		6,111

				14,982

Financials—0.7%
Asurion LLC
Tranche B-4, 5.000%, 8/4/22		6,185		6,276
Tranche B-5, 0.000%, 11/3/23⁽¹²⁾		5,002		5,079
Clipper Acquisitions Corp. Tranche B, 3.181%, 2/6/20		6,125		6,135
Delos Finance S.a.r.l. 3.748%, 3/6/21		16,529		16,671
iStar Financial, Inc. 5.500%, 7/1/20		3,200		3,243
RPI Finance Trust Tranche B-5, 3.498%, 10/14/22		4,791		4,853
TransUnion LLC Tranche B-2, 3.520%, 4/9/21		10,045		10,148

				52,405

Health Care—1.0%
American Renal Holdings, Inc. Tranche B, First Lien, 0.792%, 8/20/19		5,608		5,633


	PAR VALUE		VALUE
Health Care—(continued)
Community Health Systems, Inc. (CHS) Tranche F, 4.020%, 12/31/18	$	7,649	$	7,542
Convatec Healthcare D S.a.r.l. 2.923%, 10/14/21		1,906		1,918
Endo Luxembourg Finance Co. S.a.r.l. Tranche B, 3.813%, 9/26/22		5,515		5,551
Envision Healthcare Corp.(Emergency Medical Services Corp.) 3.750%, 12/1/23		11,596		11,748
inVentiv Group Holdings, Inc. 4.750%, 11/9/23		5,363		5,419
MPH Acquisition Holdings LLC 5.000%, 6/7/23		3,389		3,454
Quorum Health Corp. 6.750%, 4/29/22		6,260		6,153
Team Health, Inc. Tranche B, 3.770%, 11/23/22		7,552		7,572
U.S. Renal Care, Inc. First Lien, 0.000%, 12/30/22⁽¹²⁾		6,995		6,584
Valeant Pharmaceuticals International, Inc. Series D-2, Tranche B, 5.000%, 2/13/19		11,710		11,721

				73,295

Industrials—1.3%
Advanced Disposal Services, Inc. 3.500%, 11/10/23		2,310		2,333
Air Canada 3.614%, 10/6/23		3,125		3,152
American Airlines, Inc.
3.250%, 10/10/21		10,776		10,859
Tranche B, 3.261%, 4/28/23		16,065		16,177
Tranche B, 3.250%, 12/14/23		6,695		6,740
AWAS Finance Luxembourg S.A. 1.210%, 7/16/18		6,664		6,721
Husky Injection Molding Systems Ltd. 4.250%, 6/30/21		4,994		5,031
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien, 5.000%, 5/4/22		10,786		10,816
Quikrete International, Inc. First Lien, 4.000%, 11/15/23⁽¹²⁾		11,111		11,238
United Airlines, Inc. (Continental Airlines, Inc.) Tranche B-1, 3.500%, 9/15/21		4,709		4,755
Waste Industries USA, Inc. Tranche B, 3.520%, 2/27/20		9,775		9,847
Zodiac Pool Solutions LLC First Lien, 5.500%, 12/20/23		2,985		3,013

				90,682

Information Technology—1.5%
Abacus Innovations Corp. (Leidos, Inc.) Tranche B, 3.520%, 8/16/23		5,366		5,428


	PAR VALUE		VALUE
Information Technology—(continued)
Blackboard, Inc. Tranche B-4 First Lien, 6.000%, 6/30/21	$	16,342	$	16,495
First Data Corp.
Tranche 2021-C, 3.756%, 3/24/21		26,634		26,976
Tranche 2022-C, 3.756%, 7/8/22		5,604		5,673
Mitchell International, Inc. 4.500%, 10/13/20		4,968		4,984
NXP B.V. (NXP Funding LLC) Tranche F, 3.270%, 12/7/20		6,727		6,771
On Semiconductor 4.020%, 3/31/23		3,391		3,440
Presidio LLC (Presidio, Inc.) Refinancing, 5.250%, 2/2/22		8,130		8,230
Rackspace Hosting, Inc. Tranche B, First Lien, 0.000%, 11/3/23⁽¹²⁾		7,595		7,705
SS&C European Holdings S.a.r.l.
Tranche A-1, 3.520%, 7/8/20		838		840
Tranche A-2, 3.520%, 7/8/20		1,300		1,303
Tranche B-1, 4.010%, 7/8/22		4,912		4,985
Tranche B-2, 4.010%, 7/8/22		501		509
Veritas US, Inc. Tranche B-1, 6.625%, 1/27/23		5,352		4,962
Western Digital Corp. Tranche B-1, 4.520%, 4/29/23		4,770		4,853

				103,154

Materials—0.5%
Anchor Glass Container Corp. First Lien, 4.250%, 12/7/23		2,859		2,888
Berry Plastics Corp. Tranche H, 3.750%, 10/1/22		7,493		7,579
CPI Acquisition, Inc. First Lien, 5.500%, 8/17/22		7,121		6,515
Huntsman International LLC Tranche B, 3.873%, 4/1/23		3,895		3,942
INEOS U.S. Finance LLC Tranche 2022, 4.250%, 3/31/22		5,668		5,747
PolyOne Corp. Tranche B-1, 3.500%, 11/11/22		6,822		6,911

				33,582

Real Estate—0.3%
Capital Automotive LP
Tranche B-1, 2.000%, 4/10/19		2,559		2,589
Second Lien, 6.000%, 4/30/20		6,047		6,142
ESH Hospitality, Inc. 3.770%, 8/30/23		2,491		2,526
Realogy Group LLC 3.770%, 7/20/22		9,119		9,193

				20,450


	PAR VALUE			VALUE
Telecommunication Services—0.4%
Level 3 Financing, Inc.
Tranche B-III, 2019 2.000%, 8/1/19	$	6,319		$	6,416
Tranche B-II, 2022 3.500%, 5/31/22		5,842			5,921
UPC Financing Partnership 4.080%, 8/31/24		5,560			5,627
Virgin Media Bristol LLC 0.000%, 1/31/25⁽¹²⁾		7,300			7,343

					25,307

Utilities—0.8%
Calpine Construction Finance Co., LP Tranche B-1, 1.510%, 5/3/20		8,236			8,243
Dynegy Finance IV, Inc. 5.000%, 6/27/23		9,128			9,259
NRG Energy, Inc. 3.520%, 6/30/23		17,732			17,938
State of Santa Catarina (The) 4.000%, 12/27/22		11,827			10,378
Vistra Operations Company LLC (TEX Operations Co., LLC)
5.000%, 8/4/23		6,017			6,098
Tranche C, 5.000%, 8/4/23		1,373			1,392
4.000%, 12/14/23		1,576			1,599

					54,907

TOTAL LOAN AGREEMENTS (Identified Cost $841,975)					840,104


	SHARES			VALUE
PREFERRED STOCKS—1.0%
Energy—0.1%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		8,645	⁽⁸⁾		8,722

Financials—0.9%
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%⁽²⁾		2,295	⁽⁸⁾		2,272
Bank of New York Mellon Corp. (The) Series E, 4.950%⁽²⁾		12,070	⁽⁸⁾		12,130
Citigroup, Inc. Series T, 6.250%⁽²⁾		17,805	⁽⁸⁾		18,344
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾		3,985	⁽⁸⁾		4,077
Wells Fargo & Co. Series K, 7.980%⁽²⁾		16,155	⁽⁸⁾		16,882
XLIT Ltd. Series E, 6.50%⁽²⁾		12,790	⁽⁸⁾		9,976

					63,681

TOTAL PREFERRED STOCKS (Identified Cost $74,466)					72,403


	SHARES		VALUE
COMMON STOCKS—0.1%
Energy—0.1%
Pacific Exploration and Production Corp.⁽¹⁶⁾		75,733	$	3,082

Utilities—0.0%
Vistra Energy Corp.⁽¹⁶⁾		98,789		1,531

TOTAL COMMON STOCKS (Identified Cost $4,210)				4,613

AFFILIATED MUTUAL FUND—1.0%
Virtus Credit Opportunities Fund Class R6⁽¹¹⁾		6,989,143		69,262

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $69,865)				69,262

RIGHTS—0.0%
Texas Competitive TRA		99		163

TOTAL RIGHTS (Identified Cost $84)				163

TOTAL LONG TERM INVESTMENTS—98.7% (Identified Cost $6,942,282)				6,921,526	⁽¹³⁾

SHORT-TERM INVESTMENT—0.7%
Money Market Mutual Fund—0.7%
JPMorgan U.S. Government Money Market Fund - Institutional Shares (seven-day effective yield 0.440%)⁽¹¹⁾		50,090,614		50,091

TOTAL SHORT-TERM INVESTMENT (Identified Cost $50,091)				50,091

TOTAL INVESTMENTS—99.4% (Identified Cost $6,992,373)				6,971,617	⁽¹⁾
Other assets and liabilities, net—0.6%				43,305

NET ASSETS—100.0%			$	7,014,922

Abbreviations:


FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”)
FNMA		Federal National Mortgage Association (“Fannie Mae”)
GNMA		Government National Mortgage Association (“Ginnie Mae”)
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2016.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $2,871,604 or 40.9% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁶⁾	No contractual maturity date.

⁽⁷⁾	Interest payments may be deferred.

⁽⁸⁾	Value shown as par value.

⁽⁹⁾	Security in default, no interest payments are being received.

⁽¹⁰⁾	Security in default, portion of the interest payments are being received during the bankruptcy proceedings.

⁽¹¹⁾	Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available.

⁽¹²⁾	This loan will settle after December 31, 2016, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽¹³⁾	All or a portion of the Fund’s assets have been segregated for delayed delivery security.

⁽¹⁴⁾	Amount is less than 500.

⁽¹⁵⁾	Illiquid security.

⁽¹⁶⁾	Non-income producing.

Foreign Currencies:


BRL		Brazilian Real
CLP		Chilean Peso
COP		Colombian Peso
IDR		Indonesian Rupiah
MXN		Mexican Peso
RUB		Russian Ruble
TRY		Turkish Lira
ZAR		South African Rand

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
COMMON STOCKS—99.5%
Real Estate Investment Trusts—99.5%
DATA CENTERS—11.0%
CoreSite Realty Corp.		270,900	$	21,502
CyrusOne, Inc.		196,000		8,767
Digital Realty Trust, Inc.		487,350		47,887
Equinix, Inc.		115,000		41,102

				119,258

DIVERSIFIED—4.4%
Vornado Realty Trust		457,100		47,708

				47,708

HEALTH CARE—6.4%
Healthcare Realty Trust, Inc.		627,775		19,034
Healthcare Trust of America, Inc. Class A		906,000		26,374
Ventas, Inc.		303,361		18,966
Welltower, Inc.		66,641		4,460

				68,834

INDUSTRIAL/OFFICE—25.4%
Industrial—10.6%
DCT Industrial Trust, Inc.		780,303		37,361
Duke Realty Corp.		1,254,309		33,315
Prologis, Inc.		844,352		44,573

				115,249

Office—14.8%
Boston Properties, Inc.		212,983		26,789
Cousins Properties, Inc.		1,219,170		10,375
Douglas Emmett, Inc.		795,829		29,095
Highwoods Properties, Inc.		524,731		26,767
Kilroy Realty Corp.		517,442		37,887
Paramount Group, Inc.		1,723,236		27,555
Parkway, Inc.⁽²⁾		72,096		1,604

				160,072

Total Industrial / Office				275,321

LODGING/RESORTS—3.9%
Host Hotels & Resorts, Inc.		510,386		9,616


	SHARES		VALUE
Real Estate Investment Trusts—(continued)
Pebblebrook Hotel Trust		532,463	$	15,841
RLJ Lodging Trust		669,802		16,403

				41,860

RESIDENTIAL—17.3%
Apartments—12.8%
American Campus Communities, Inc.		426,517		21,228
Apartment Investment & Management Co. Class A		460,600		20,934
AvalonBay Communities, Inc.		169,090		29,954
Equity Residential		369,545		23,784
Essex Property Trust, Inc.		183,540		42,673

				138,573

Manufactured Homes—2.9%
Equity LifeStyle Properties, Inc.		216,053		15,577
Sun Communities, Inc.		214,300		16,418

				31,995

Single Family Homes—1.6%
American Homes 4 Rent Class A		802,300		16,832

				16,832

Total Residential				187,400

RETAIL—21.8%
Free Standing—2.5%
STORE Capital Corp.		1,106,743		27,348

				27,348

Regional Malls—8.1%
General Growth Properties, Inc.		565,875		14,135
Simon Property Group, Inc.		417,441		74,167

				88,302

Shopping Centers—11.2%
Brixmor Property Group, Inc.		1,153,696		28,173
Federal Realty Investment Trust		185,200		26,319
Regency Centers Corp.		497,700		34,316
Tanger Factory Outlet Centers, Inc.		901,384		32,252

				121,060

Total Retail				236,710

SELF STORAGE—9.3%
CubeSmart		1,311,650		35,113


	SHARES		VALUE
Real Estate Investment Trusts—(continued)
Extra Space Storage, Inc.		394,183	$	30,446
Public Storage		157,892		35,289

				100,848

TOTAL COMMON STOCKS (Identified Cost $736,748)				1,077,939

TOTAL LONG TERM INVESTMENTS—99.5% (Identified Cost $736,748)				1,077,939

TOTAL INVESTMENTS—99.5% (Identified Cost $736,748)				1,077,939	⁽¹⁾
Other assets and liabilities, net—0.5%				5,480

NET ASSETS—100.0%			$	1,083,419

Footnote Legend:

⁽¹⁾	Federal Income Tax Information : For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held as of December 31, 2016.


	SHARES		VALUE
COMMON STOCKS—99.0%
Consumer Discretionary—19.7%
Advance Auto Parts, Inc.		2,232	$	377
Amazon.com, Inc.⁽²⁾		11,955		8,965
AutoNation, Inc.⁽²⁾		1,991		97
AutoZone, Inc.⁽²⁾		875		691
Bed Bath & Beyond, Inc.		4,610		187
Best Buy Co., Inc.		8,279		353
BorgWarner, Inc.		6,070		239
CarMax, Inc.⁽²⁾		5,770		372
Carnival Corp.		12,711		662
CBS Corp. Class B		11,882		756
Charter Communications, Inc. Class A⁽²⁾		6,564		1,890
Chipotle Mexican Grill, Inc.⁽²⁾		878		331
Coach, Inc.		8,499		298
Comcast Corp. Class A		72,250		4,989
Darden Restaurants, Inc.		3,731		271
Delphi Automotive plc		8,215		553
Discovery Communications, Inc. Class A⁽²⁾		4,606		126
Discovery Communications, Inc. Class C⁽²⁾		6,687		179
Dollar General Corp.		7,704		571
Dollar Tree, Inc.⁽²⁾		7,156		552
Expedia, Inc.		3,661		415
Foot Locker, Inc.		4,102		291
Ford Motor Co.		118,311		1,435
Gap, Inc. (The)		6,650		149
Garmin Ltd.		3,485		169
General Motors Co.		42,050		1,465
Genuine Parts Co.		4,509		431
Goodyear Tire & Rubber Co. (The)		7,914		244
H&R Block, Inc.		6,641		153
Hanesbrands, Inc.		11,457		247
Harley-Davidson, Inc.		5,363		313
Harman International Industries, Inc.		2,114		235
Hasbro, Inc.		3,405		265
Home Depot, Inc. (The)		36,927		4,951
Horton (D.R.), Inc.		10,287		281
Interpublic Group of Cos., Inc. (The)		12,035		282
Kohl’s Corp.		5,358		265
L Brands, Inc.		7,282		479
Leggett & Platt, Inc.		4,052		198
Lennar Corp. Class A		5,957		256
LKQ Corp.⁽²⁾		9,322		286


	SHARES		VALUE
Consumer Discretionary—(continued)
Lowe’s Cos., Inc.		26,368	$	1,875
Macy’s, Inc.		9,266		332
Marriott International, Inc. Class A		9,707		803
Mattel, Inc.		10,369		286
McDonald’s Corp.		25,174		3,064
Michael Kors Holdings Ltd.⁽²⁾		4,979		214
Mohawk Industries, Inc.⁽²⁾		1,911		382
Netflix, Inc.⁽²⁾		13,009		1,610
Newell Brands, Inc.		14,624		653
News Corp. Class A		11,577		133
News Corp. Class B		3,624		43
NIKE, Inc. Class B		40,505		2,059
Nordstrom, Inc.		3,520		169
O’Reilly Automotive, Inc.⁽²⁾		2,864		797
Omnicom Group, Inc.		7,150		609
PVH Corp.		2,403		217
Priceline Group, Inc. (The)⁽²⁾		1,496		2,193
PulteGroup, Inc.		9,023		166
Ralph Lauren Corp.		1,707		154
Ross Stores, Inc.		12,022		789
Royal Caribbean Cruises Ltd.		5,074		416
Scripps Networks Interactive, Inc. Class A		2,888		206
Signet Jewelers Ltd.		2,109		199
Staples, Inc.		19,721		178
Starbucks Corp.		44,119		2,449
Target Corp.		17,027		1,230
TEGNA, Inc.		6,500		139
Tiffany & Co.		3,245		251
Time Warner, Inc.		23,376		2,256
TJX Cos., Inc. (The)		19,762		1,485
Tractor Supply Co.		3,979		302
TripAdvisor, Inc.⁽²⁾		3,465		161
Twenty-First Century Fox, Inc. Class A		32,096		900
Twenty-First Century Fox, Inc. Class B		14,766		402
Ulta Salon Cosmetics & Fragrance, Inc.⁽²⁾		1,777		453
Under Armour, Inc. Class A⁽²⁾		5,570		162
Under Armour, Inc. Class C⁽²⁾		5,601		141
Urban Outfitters, Inc.⁽²⁾		2,678		76
VF Corp.		10,033		535
Viacom, Inc. Class B		10,530		370
Walt Disney Co. (The)		44,380		4,625
Whirlpool Corp.		2,277		414
Wyndham Worldwide Corp.		3,267		249


	SHARES		VALUE
Consumer Discretionary—(continued)
Wynn Resorts Ltd.		2,407	$	208
Yum! Brands, Inc.		10,569		669

				70,293

Energy—19.7%
Anadarko Petroleum Corp.		30,485		2,126
Apache Corp.		20,493		1,301
Baker Hughes, Inc.		26,248		1,705
Cabot Oil & Gas Corp.		47,253		1,104
Chesapeake Energy Corp.⁽²⁾		46,482		326
Chevron Corp.		90,316		10,630
Cimarex Energy Co.		4,448		605
Concho Resources, Inc.⁽²⁾		6,841		907
ConocoPhillips		42,896		2,151
Devon Energy Corp.		28,315		1,293
EOG Resources, Inc.		32,930		3,329
EQT Corp.		8,092		529
Exxon Mobil Corp.		131,088		11,832
FMC Technologies, Inc.⁽²⁾		19,004		675
Halliburton Co.		48,491		2,623
Helmerich & Payne, Inc.		5,066		392
Hess Corp.		15,527		967
Kinder Morgan, Inc.		89,923		1,862
Marathon Oil Corp.		46,598		807
Marathon Petroleum Corp.		24,723		1,245
Murphy Oil Corp.		10,291		320
National Oilwell Varco, Inc.		22,453		841
Newfield Exploration Co.⁽²⁾		9,238		374
Noble Energy, Inc.		27,363		1,041
Occidental Petroleum Corp.		31,248		2,226
ONEOK, Inc.		9,861		566
Phillips 66		20,737		1,792
Pioneer Natural Resources Co.		18,017		3,244
Range Resources Corp.		13,813		475
Schlumberger Ltd.		68,015		5,710
Southwestern Energy Co.⁽²⁾		29,395		318
Spectra Energy Corp.		44,110		1,813
Tesoro Corp.		17,220		1,506
Transocean Ltd.⁽²⁾		18,234		269
Valero Energy Corp.		29,610		2,023
Williams Cos., Inc. (The)		45,166		1,406

				70,333


	SHARES		VALUE
Financials—19.8%
Affiliated Managers Group, Inc.⁽²⁾		1,355	$	197
Aflac, Inc.		10,086		702
Allstate Corp. (The)		9,101		675
American Express Co.		19,002		1,408
American International Group, Inc.		24,117		1,575
Ameriprise Financial, Inc.		3,906		433
AON plc		6,503		725
Assurant, Inc.		1,409		131
Bank of America Corp.		249,753		5,520
Bank of New York Mellon Corp. (The)		26,132		1,238
BB&T Corp.		20,055		943
Berkshire Hathaway, Inc. Class B⁽²⁾		46,931		7,649
BlackRock, Inc.		3,005		1,144
Capital One Financial Corp.		11,920		1,040
Charles Schwab Corp. (The)		29,816		1,177
CHUBB Ltd.		11,501		1,519
Cincinnati Financial Corp.		3,706		281
Citigroup, Inc.		70,433		4,186
Citizens Financial Group, Inc.		12,651		451
CME Group, Inc.		8,388		968
Comerica, Inc.		4,258		290
Discover Financial Services		9,747		703
E*Trade Financial Corp.⁽²⁾		6,766		234
Fifth Third Bancorp		18,675		504
Franklin Resources, Inc.		8,576		339
Gallagher (Arthur J.) & Co.		4,398		228
Goldman Sachs Group, Inc. (The)		9,140		2,189
Hartford Financial Services Group, Inc. (The)		9,336		445
Huntington Bancshares, Inc.		26,811		354
Intercontinental Exchange, Inc.		14,722		831
Invesco Ltd.		10,097		306
JPMorgan Chase & Co.		88,439		7,631
KeyCorp		26,710		488
Leucadia National Corp.		8,008		186
Lincoln National Corp.		5,649		374
Loews Corp.		6,829		320
M&T Bank Corp.		3,832		599
Marsh & McLennan Cos., Inc.		12,743		861
MetLife, Inc.		27,165		1,464
Moody’s Corp.		4,111		388
Morgan Stanley		35,642		1,506
Nasdaq, Inc.		2,817		189
Navient Corp.		7,491		123


	SHARES		VALUE
Financials—(continued)
Northern Trust Corp.		5,261	$	468
People’s United Financial, Inc.		7,696		149
PNC Financial Services Group, Inc. (The)		12,024		1,406
Principal Financial Group, Inc.		6,613		383
Progressive Corp. (The)		14,343		509
Prudential Financial, Inc.		10,628		1,106
Regions Financial Corp.		30,424		437
S&P Global, Inc.		6,403		689
State Street Corp.		8,962		697
SunTrust Banks, Inc.		12,130		665
Synchrony Financial		19,381		703
T. Rowe Price Group, Inc.		6,017		453
Torchmark Corp.		2,727		201
Travelers Cos., Inc. (The)		7,021		859
U.S. Bancorp		39,488		2,028
Unum Group		5,737		252
Wells Fargo & Co.		111,716		6,157
Willis Towers Watson plc		3,177		388
XL Group Ltd.		6,650		248
Zions Bancorporation		5,035		217

				70,529

Industrials—19.8%
3M Co.		21,229		3,791
Acuity Brands, Inc.		1,517		350
Alaska Air Group, Inc.		4,243		377
Allegion plc		3,300		211
American Airlines Group, Inc.		17,833		833
AMETEK, Inc.		7,965		387
Arconic, Inc.		15,092		280
Boeing Co. (The)		20,634		3,212
Caterpillar, Inc.		21,477		1,992
Cintas Corp.		3,574		413
CSX Corp.		38,864		1,396
Cummins, Inc.		9,774		1,336
Deere & Co.		11,117		1,146
Delta Air Lines, Inc.		25,345		1,247
Dover Corp.		6,470		485
Dun & Bradstreet Corp. (The)		1,266		154
Eaton Corp. plc		19,009		1,275
Emerson Electric Co.		23,427		1,306
Equifax, Inc.		5,609		663
Expeditors International of Washington, Inc.		6,208		329


	SHARES		VALUE
Industrials—(continued)
Fastenal Co.		9,948	$	467
FedEx Corp.		9,023		1,680
Flowserve Corp.		4,490		216
Fluor Corp.		6,971		366
Fortive Corp.		11,627		624
Fortune Brands Home & Security, Inc.		5,312		284
General Dynamics Corp.		10,723		1,851
General Electric Co.		225,455		7,124
Honeywell International, Inc.		27,676		3,206
Hunt (JB) Transport Services, Inc.		3,011		292
Illinois Tool Works, Inc.		11,558		1,415
Ingersoll-Rand plc		8,892		667
Jacobs Engineering Group, Inc.⁽²⁾		4,156		237
Johnson Controls International plc		32,241		1,328
Kansas City Southern		3,704		314
L-3 Communications Holdings, Inc.		2,661		405
Lockheed Martin Corp.		9,188		2,296
Masco Corp.		12,577		398
Nielsen Holdings plc		11,564		485
Norfolk Southern Corp.		11,797		1,275
Northrop Grumman Corp.		6,554		1,524
PACCAR, Inc.		14,035		897
Parker Hannifin Corp.		5,791		811
Pentair plc		5,755		323
Pitney Bowes, Inc.		7,331		111
Quanta Services, Inc.⁽²⁾		5,200		181
Raytheon Co.		11,060		1,571
Republic Services, Inc.		7,956		454
Robert Half International, Inc.		6,274		306
Robinson (C.H.) Worldwide, Inc.		4,874		357
Rockwell Automation, Inc.		5,711		768
Rockwell Collins, Inc.		5,794		537
Roper Technologies, Inc.		3,490		639
Ryder System, Inc.		3,343		249
Snap-on, Inc.		1,997		342
Southwest Airlines Co.		23,233		1,158
Stanley Black & Decker, Inc.		5,187		595
Stericycle, Inc.⁽²⁾		2,929		226
Textron, Inc.		11,613		564
TransDigm Group, Inc.		1,726		430
Union Pacific Corp.		30,874		3,201
United Continental Holdings, Inc.⁽²⁾		9,938		724
United Parcel Service, Inc. Class B		24,158		2,769


	SHARES		VALUE
Industrials—(continued)
United Rentals, Inc.⁽²⁾		2,899	$	306
United Technologies Corp.		27,384		3,002
Verisk Analytics, Inc.⁽²⁾		5,360		435
W.W. Grainger, Inc.		2,472		574
Waste Management, Inc.		15,273		1,083
Xylem, Inc.		6,174		306

				70,556

Information Technology—8.9%
Accenture plc Class A		4,878		571
Activision Blizzard, Inc.		5,497		198
Adobe Systems, Inc.⁽²⁾		3,927		404
Akamai Technologies, Inc.⁽²⁾		1,436		96
Alliance Data Systems Corp.		474		108
Alphabet, Inc. Class A⁽²⁾		2,310		1,831
Alphabet, Inc. Class C⁽²⁾		2,314		1,786
Amphenol Corp. Class A		2,487		167
Analog Devices, Inc.		2,487		181
Apple, Inc.		41,582		4,816
Applied Materials, Inc.		8,626		278
Autodesk, Inc.⁽²⁾		1,605		119
Automatic Data Processing, Inc.		3,569		367
Broadcom Ltd.		3,131		553
CA, Inc.		2,596		82
Cisco Systems, Inc.		39,308		1,188
Citrix Systems, Inc.⁽²⁾		1,274		114
Cognizant Technology Solutions Corp. Class A⁽²⁾		4,812		270
Corning, Inc.		7,626		185
CSRA, Inc.		1,348		43
eBay, Inc.⁽²⁾		8,302		246
Electronic Arts, Inc.⁽²⁾		2,416		190
F5 Networks, Inc.⁽²⁾		550		80
Facebook, Inc. Class A⁽²⁾		18,254		2,100
Fidelity National Information Services, Inc.		2,636		199
First Solar, Inc.⁽²⁾		702		23
Fiserv, Inc.⁽²⁾		1,735		184
FLIR Systems, Inc.		1,211		44
Global Payments, Inc.		1,264		88
Harris Corp.		1,026		105
Hewlett Packard Enterprise Co.		13,254		307
HP, Inc.		13,728		204
Intel Corp.		37,101		1,346
International Business Machines Corp.		6,778		1,125


	SHARES		VALUE
Information Technology—(continued)
Intuit, Inc.		1,943	$	223
Juniper Networks, Inc.		3,194		90
KLA-Tencor Corp.		1,283		101
Lam Research Corp.		1,327		140
Linear Technology Corp.		1,976		123
MasterCard, Inc. Class A		7,472		771
Microchip Technology, Inc.		1,777		114
Micron Technology, Inc.⁽²⁾		8,474		186
Microsoft Corp.		60,633		3,768
Motorola Solutions, Inc.		1,369		113
NetApp, Inc.		2,335		82
NVIDIA Corp.		4,308		460
Oracle Corp.		23,484		903
Paychex, Inc.		2,592		158
PayPal Holdings, Inc.⁽²⁾		8,883		351
Qorvo, Inc.⁽²⁾		1,082		57
QUALCOMM, Inc.		11,604		757
Red Hat, Inc.⁽²⁾		1,463		102
salesforce.com, Inc.⁽²⁾		5,037		345
Seagate Technology plc		2,496		95
Skyworks Solutions, Inc.		1,523		114
Symantec Corp.		5,092		122
TE Connectivity Ltd.		2,853		198
Teradata Corp.⁽²⁾		1,191		32
Texas Instruments, Inc.		7,870		574
Total System Services, Inc.		1,377		68
VeriSign, Inc.⁽²⁾		761		58
Visa, Inc. Class A		14,623		1,141
Western Digital Corp.		2,331		158
Western Union Co. (The)		4,022		87
Xerox Corp.		7,089		62
Xilinx, Inc.		2,070		125
Yahoo!, Inc.⁽²⁾		6,972		270

				31,546

Materials—5.0%
Air Products & Chemicals, Inc.		7,016		1,009
Albemarle Corp.		3,726		321
Avery Dennison Corp.		2,976		209
Ball Corp.		5,743		431
CF Industries Holdings, Inc.		7,862		247
Dow Chemical Co. (The)		36,196		2,071
Du Pont (E.I.) de Nemours & Co.		28,061		2,060


	SHARES		VALUE
Materials—(continued)
Eastman Chemical Co.		4,857	$	365
Ecolab, Inc.		8,469		993
FMC Corp.		4,487		254
Freeport-McMoRan, Inc.⁽²⁾		41,196		543
International Flavors & Fragrances, Inc.		2,621		309
International Paper Co.		13,441		713
LyondellBasell Industries N.V. Class A		9,906		850
Martin Marietta Materials, Inc.		2,092		463
Monsanto Co.		14,138		1,487
Mosaic Co. (The)		11,636		341
Newmont Mining Corp.		17,338		591
Nucor Corp.		10,443		622
PPG Industries, Inc.		7,738		733
Praxair, Inc.		9,212		1,080
Sealed Air Corp.		6,410		291
Sherwin-Williams Co. (The)		2,638		709
Vulcan Materials Co.		4,340		543
WestRock Co.		8,274		420

				17,655

Telecommunication Services—1.0%
AT&T, Inc.		47,888		2,037
CenturyLink, Inc.		4,427		105
Frontier Communications Corp.		10,074		34
Level 3 Communications, Inc.⁽²⁾		2,367		133
Verizon Communications, Inc.		26,300		1,404

				3,713

Utilities—5.1%
AES Corp.		20,130		234
Alliant Energy Corp.		7,004		265
Ameren Corp.		7,156		375
American Electric Power Co., Inc.		14,455		910
American Water Works Co., Inc.		5,251		380
CenterPoint Energy, Inc.		12,777		315
CMS Energy Corp.		8,343		347
Consolidated Edison, Inc.		8,974		661
Dominion Resources, Inc.		18,332		1,404
DTE Energy Co.		5,305		523
Duke Energy Corp.		19,596		1,521
Edison International		9,575		689
Entergy Corp.		5,240		385
Eversource Energy		9,278		512
Exelon Corp.		29,331		1,041


	SHARES		VALUE
Utilities—(continued)
FirstEnergy Corp.		12,453	$	386
NextEra Energy, Inc.		14,226		1,700
NiSource, Inc.		9,588		212
NRG Energy, Inc.		10,001		123
PG&E Corp.		15,495		942
Pinnacle West Capital Corp.		3,497		273
PPL Corp.		19,954		680
Public Service Enterprise Group, Inc.		14,797		649
SCANA Corp.		4,180		306
Sempra Energy		7,354		740
Southern Co. (The)		28,665		1,410
WEC Energy Group, Inc.		9,231		541
XCEL Energy, Inc.		14,986		610

				18,134

TOTAL COMMON STOCKS (Identified Cost $333,641)				352,759

TOTAL LONG TERM INVESTMENTS—99.0% (Identified Cost $333,641)				352,759

TOTAL INVESTMENTS—99.0% (Identified Cost $333,641)				352,759	⁽¹⁾
Other assets and liabilities, net—1.0%				3,475

NET ASSETS—100.0%			$	356,234

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.


	PAR VALUE		VALUE
MORTGAGE-BACKED SECURITIES—0.2%
Non-Agency—0.2%
Home Equity Loan Trust 07-HSA3, AI4 6.110%, 6/25/37⁽²⁾	$	1,146	$	1,152

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,137)				1,152

CORPORATE BONDS AND NOTES—5.4%
Consumer Discretionary—0.9%
Boyd Gaming Corp. 6.875%, 5/15/23		365		394
IHO Verwaltungs GmbH PIK Interest Capitalization 144A 4.125%, 9/15/21⁽³⁾⁽⁴⁾		330		334
NCL Corp., Ltd. 144A 4.750%, 12/15/21⁽³⁾		660		661
PetSmart, Inc. 144A 7.125%, 3/15/23⁽³⁾		905		926
SFR (Numericable) Group S.A. 144A 6.000%, 5/15/22⁽³⁾		1,505		1,550
TRI Pointe Group, Inc. 4.875%, 7/1/21		1,165		1,191

				5,056

Consumer Staples—0.1%
Dole Food Co., Inc. 144A 7.250%, 5/1/19⁽³⁾		880		900

Energy—1.1%
Alta Mesa Holdings LP (Alta Mesa Finance Services Corp.) 144A 7.875%, 12/15/24⁽³⁾		765		796
Antero Midstream Partners LP 144A 5.375%, 9/15/24⁽³⁾		430		440
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23		895		922
Diamondback Energy, Inc. 144A 4.750%, 11/1/24⁽³⁾		170		167
FTS International, Inc. 144A 8.463%, 6/15/20⁽²⁾⁽³⁾		1,120		1,121
6.250%, 5/1/22		825		689
Newfield Exploration Co. 5.750%, 1/30/22		580		614
Noble Holding International Ltd. 7.750%, 1/15/24		180		170
Range Resources Corp. 144A 5.000%, 8/15/22⁽³⁾		600		599
RSP Permian, Inc. 144A 5.250%, 1/15/25⁽³⁾		480		484
Whiting Petroleum Corp. 5.750%, 3/15/21		350		350

				6,352

Financials—0.5%
iStar Financial, Inc.
4.875%, 7/1/18		785		787


	PAR VALUE		VALUE
Financials—(continued)
5.000%, 7/1/19	$	430	$	433
Springleaf Finance Corp. 5.250%, 12/15/19		1,410		1,424

				2,644

Health Care—0.5%
Capsugel S.A. PIK Interest Capitalization, 144A 7.000%, 5/15/19⁽³⁾⁽⁴⁾		270		273
Surgery Center Holdings, Inc. 144A 8.875%, 4/15/21⁽³⁾		435		464
Tenet Healthcare Corp.
5.000%, 3/1/19		415		407
4.463%, 6/15/20⁽²⁾		730		737
6.000%, 10/1/20		435		455
Valeant Pharmaceuticals International, Inc. 144A 5.375%, 3/15/20⁽³⁾		750		637

				2,973

Industrials—0.5%
American Airlines Group, Inc. 144A 4.625%, 3/1/20⁽³⁾		460		467
Standard Industries, Inc. 144A 5.500%, 2/15/23⁽³⁾		555		575
Wheels Up Finance I LLC
16-01, A 7.431%, 6/30/17^(2)(7)(10)		77		76
16-01, A 7.500%, 6/30/24⁽⁷⁾		1,649		1,633

				2,751

Information Technology—0.5%
Diamond 1 Finance Corp. (Diamond 2 Finance Corp.) 144A 5.450%, 6/15/23⁽³⁾		1,785		1,892
First Data Corp.
144A 5.000%, 1/15/24⁽³⁾		600		605
144A 5.750%, 1/15/24⁽³⁾		225		233

				2,730

Materials—0.9%
Ardagh Packaging Finance plc 144A 6.250%, 1/31/19⁽³⁾		400		408
Hexion U.S. Finance Corp. 6.625%, 4/15/20		645		574
INEOS Group Holdings S.A. 144A 5.875%, 2/15/19⁽³⁾		1,130		1,156
Reynolds Group Issuer, Inc.
144A 4.380%, 7/15/21⁽²⁾⁽³⁾		1,500		1,537
144A 5.125%, 7/15/23⁽³⁾		575		585


	PAR VALUE		VALUE
Materials—(continued)
Vedanta Resources plc 144A 6.000%, 1/31/19⁽³⁾	$	685	$	694

				4,954

Telecommunication Services—0.3%
T-Mobile USA, Inc. 6.000%, 4/15/24		1,090		1,151
West Corp. 144A 4.750%, 7/15/21⁽³⁾		695		713

				1,864

Utilities—0.1%
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		780		743


TOTAL CORPORATE BONDS AND NOTES (Identified Cost $30,716)				30,967

LOAN AGREEMENTS⁽²⁾—97.8%
Consumer Discretionary—26.0%
Accuride International, Inc. 8.000%, 11/17/23		1,650		1,617
Advantage Sales & Marketing, Inc. Second Lien, 7.500%, 7/25/22		890		872
Affinity Gaming LLC 5.000%, 7/1/23		1,030		1,040
Altice U.S. Finance I Corp. 2016 Refinancing, 3.882%, 1/15/25		1,634		1,656
AMC Entertainment Holdings, Inc.(AMC Entertainment Inc.) 3.511%, 12/15/23		438		443
Aristocrat Leisure Ltd. Tranche B-1 3.631%, 10/20/21		2,241		2,268
Bass Pro Group LLC
5.720%, 6/8/18		3,575		3,576
5.970%, 12/15/23		3,500		3,472
Boyd Gaming Corp.
Tranche B, 4.000%, 8/14/20		1,524		1,541
Tranche B-2 3.756%, 9/15/23		447		453
Caesars Entertainment Operating Co., Inc. (Harrah’s Operating Co., Inc.)
Tranche B-5, 0.000%, 3/1/17⁽⁵⁾		300		326
Tranche B-7, 1.500%, 3/1/17⁽⁵⁾		1,199		1,408
Tranche B-6, 1.500%, 3/1/17⁽⁵⁾		2,415		2,691
Tranche B-4, 1.500%, 10/31/17⁽⁵⁾		890		1,047
Caesars Entertainment Resort Properties LLC Tranche B, 7.000%, 10/11/20		3,891		3,933
Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21		1,226		1,237
CBAC Borrower LLC Tranche B, 8.250%, 7/2/20		948		952


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
CBS Radio, Inc. 4.500%, 10/17/23	$	593	$	600
CDS U.S. Intermediate Holdings, Inc. (Cirque Du Soleil Canada, Inc.) First Lien, 5.000%, 7/8/22		1,593		1,609
Cengage Learning, Inc. 2016 Refinancing Term, 5.250%, 6/7/23		1,463		1,427
Charter Communications Operating LLC (CCO Safari LLC)
Tranche F, 3.020%, 1/3/21		6,101		6,138
Tranche H, 2.755%, 1/15/22		1,096		1,103
Tranche I, 3.005%, 1/15/24		1,338		1,348
CityCenter Holdings LLC Tranche B, 4.250%, 10/16/20		2,056		2,084
Cooper-Standard Automotive, Inc. 3.588%, 11/2/23		1,372		1,388
CSC Holdings LLC (CSC Holdings, Inc. (Cablevision)) 2016 Extended, 3.876%, 10/11/24		3,329		3,371
Delta 2 (Lux) S.a.r.l. Tranche B-3, 4.750%, 7/30/21		1,813		1,834
El Dorado Resorts, Inc. 4.250%, 7/25/22		1,029		1,038
Federal-Mogul Corp. Tranche C, 4.750%, 4/15/21		2,893		2,872
Floor & Decor Outlets of America, Inc. 5.250%, 9/30/23		1,633		1,639
Gates Global LLC 4.250%, 7/6/21		2,994		3,001
Graton Resort & Casino Tranche B, 5.510%, 9/1/22		1,008		1,018
Harbor Freight Tools USA, Inc. 3.887%, 8/18/23		2,441		2,479
Hilton Worldwide Finance LLC
Tranche B-1 3.500%, 10/26/20		598		604
Tranche B-2 3.256%, 10/25/23		8,125		8,230
iHeartCommunications, Inc. Tranche D, 7.520%, 1/30/19		4,503		3,681
Intelsat Jackson Holdings S.A. Tranche B-2, 3.750%, 6/30/19		1,838		1,783
KAR Auction Services, Inc. Tranche B-2, 4.188%, 3/11/21		2,521		2,546
Laureare Education, Inc. 2021 Extended, 8.868%, 3/17/21		2,426		2,440
Leslie’s Poolmart, Inc. Tranche B 5.250%, 8/16/23		1,149		1,164
Libbey Glass, Inc. 3.750%, 4/9/21		1,375		1,390
Lions Gate Entertainment Corp. Tranche B, 3.750%, 12/8/23		1,662		1,676


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
MCC LLC
Tranche H, 3.250%, 1/29/21	$	1,622	$	1,634
Tranche G, 3.500%, 6/30/21		2,289		2,309
Metaldyne LLC 3.750%, 10/20/21		2,572		2,583
MGM Growth Properties Operating Partnership LP Tranche B, 3.500%, 4/25/23		2,502		2,535
Michaels Stores, Inc. 3.750%, 1/30/23		3,225		3,267
Mohegan Tribal Gaming Authority Tranche B, 5.500%, 10/13/23		1,451		1,466
Neiman Marcus Group 4.250%, 10/25/20		1,816		1,584
Nexstar Broadcasting, Inc.
Tranche B, 0.000%, 9/26/23⁽⁶⁾		1,264		1,277
0.000%, 9/26/23⁽⁶⁾		113		114
Party City Holdings, Inc. 4.030%, 8/19/22		2,747		2,778
Penn National Gaming, Inc. Tranche B, 3.270%, 10/30/20		2,170		2,187
PetSmart, Inc. Tranche B-2 4.000%, 3/11/22		1,103		1,108
Scientific Games International, Inc. Tranche B-2, 6.000%, 10/1/21		2,751		2,790
Serta Simmons Bedding LLC First Lien, 4.500%, 11/8/23		1,714		1,735
ServiceMaster Co. Tranche C, 3.270%, 11/8/23		5,101		5,128
SFR Group S.A.(Numericable) Tranche B-1 5. 137%, 1/15/24		2,164		2,196
Sinclair Television Group, Inc.
Tranche B-1, 3.520%, 7/30/21		2,716		2,723
Tranche B, 0.000%, 12/20/23⁽⁶⁾		1,800		1,802
SRAM LLC First Lien, 4.583%, 4/10/20		1,609		1,603
Station Casinos LLC Tranche B, 3.750%, 6/8/23		2,027		2,056
TI Group Auto Systems LLC 4.500%, 6/30/22		1,128		1,143
Transtar Holding Co.
8.250%, 3/20/17⁽⁷⁾		260		260
First Lien, 7.750%, 10/9/18⁽⁵⁾		1,422		924
Second Lien, 13.500%, 10/9/19⁽⁵⁾		460		7
Tribune Media Co. Tranche B, 3.770%, 12/27/20		2,590		2,617
U.S. Farathane LLC Tranche B-2, 5.750%, 12/23/21		1,987		1,996
UFC Holdings LLC First Lien 5.000%, 8/18/23		1,380		1,400
University Support Services LLC 6.250%, 7/6/22		1,118		1,135
Univision Communications, Inc.
Tranche C-3 4.000%, 3/1/20		6,203		6,245
Tranche C-4 4.000%, 3/1/20		3,343		3,366


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Ziggo Secured Finance Partnership Tranche D 3.704%, 8/31/24	$	3,131	$	3,161

				150,124

Consumer Staples—7.0%
Albertson’s Cos., LLC Tranche B-4, 3.750%, 8/25/21		2,252		2,281
Albertson’s LLC Tranche B, 4.247%, 12/21/22		2,030		2,060
Amplify Snack Brands, Inc. 6.500%, 9/2/23		1,746		1,703
ARAMARK Corp. Tranche E, 3.294%, 9/7/19		2,696		2,727
Charger OpCo B.V. (Oak Tea, Inc.) Tranche B-1, 3.250%, 7/2/22		664		670
Chobani LLC (Chobani Idaho LLC) First Lien, 5.250%, 10/9/23		346		352
Coty, Inc. Tranche B, 3.092%, 10/27/22		842		846
Crossmark Holdings, Inc.
First Lien, 4.500%, 12/20/19⁽⁷⁾		1,943		1,464
Second Lien, 8.750%, 12/21/20⁽⁷⁾		520		247
Dell International, Inc. Tranche B 4.020%, 9/7/23		7,020		7,149
Dole Food Co., Inc. Tranche B, 4.788%, 11/1/18		2,149		2,166
Galleria Co. Tranche B, 3.750%, 9/29/23		1,698		1,709
Hostess Brands LLC 2016 Refinancing, Tranche B, 4.000%, 8/3/22		2,704		2,738
Kronos, Inc.
First Lien, 5.000%, 11/1/23		3,834		3,888
Second Lien, 9.250%, 11/1/24		965		997
Milk Specialities Co. 6.000%, 8/16/23		1,177		1,197
Pinnacle Foods Finance LLC Tranche I, 3.506%, 1/13/23		450		458
Prestige Brands, Inc. Tranche B-3, 3.500%, 9/3/21		212		214
Reynolds Group Holdings, Inc. 4.250%, 2/5/23		5,004		5,077
Rite Aid Corp. Tranche 2, Second Lien, 4.875%, 6/21/21		1,150		1,158
US Foods, Inc. 3.770%, 6/27/23		1,463		1,480

				40,581

Energy—2.8%
Chesapeake Energy Corp. Trance A, 8.500%, 8/23/21		325		355
Chief Exploration & Development LLC Second Lien, 7.753%, 5/16/21		1,639		1,610
Drillships Financing Holding, Inc. (Ocean Rig) Tranche B-1, 6.000%, 3/31/21		1,718		1,122


	PAR VALUE		VALUE
Energy—(continued)
Drillships Ocean Ventures, Inc. 5.500%, 7/25/21	$	748	$	596
EP Energy LLC (Everest Acquisition LLC) 9.750%, 6/30/21		1,185		1,243
Fieldwood Energy LLC
8.000%, 8/31/20		733		699
First Lien, 8.375%, 9/30/20		989		868
Second Lien, 8.375%, 9/30/20		1,623		1,160
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		2,045		1,943
MEG Energy Corp. 3.750%, 3/31/20		3,149		3,072
Paragon Offshore Finance Co. 5.500%, 7/16/21⁽⁵⁾		1,712		649
Seadrill Operating LP 4.000%, 2/21/21		4,050		2,815

				16,132

Financials—3.4%
AlixPartners LLP 2016 Refinancing, Tranche B, 4.000%, 7/28/22		3,156		3,188
Asurion LLC
Tranche B-2, 4.020%, 7/8/20		717		724
Tranche B-4, 5.000%, 8/4/22		1,046		1,061
Delos Finance S.a.r.l. 3.748%, 3/6/21		2,212		2,231
iStar Financial, Inc. 5.500%, 7/1/20		462		468
Lightstone Generation LLC
Tranche B, 0.000%, 12/15/23⁽⁶⁾		692		702
Tranche C, 0.000%, 12/15/23⁽⁶⁾		66		67
Lonestar Intermediate Super Holdings LLC 10.000%, 8/31/21		1,205		1,244
RPI Finance Trust Tranche B-5, 3.498%, 10/14/22		918		929
TransUnion LLC Tranche B-2, 3.520%, 4/9/21		5,148		5,201
VF Holdings Corp. 4.250%, 6/30/23		1,025		1,031
Walter Investment Management Corp. Tranche B, 4.750%, 12/18/20		3,123		2,990

				19,836

Health Care—13.5%
21st Century Oncology Holdings, Inc. Tranche B, 7.125%, 4/30/22⁽⁵⁾		1,335		1,235
Acadia Healthcare Co., Inc. Tranche B-2, 3.756%, 2/16/23		2,066		2,086
Akorn, Inc. 5.250%, 4/16/21		2,180		2,213
Alere, Inc. Tranche B, 4.250%, 6/20/22		2,746		2,750
American Renal Holdings, Inc. Tranche B, First Lien, 4.750%, 8/20/19		1,390		1,396


	PAR VALUE		VALUE
Health Care—(continued)
Amneal Pharmaceuticals LLC Tranche B, 5.375%, 11/1/19	$	1,854	$	1,861
Ardent Legacy Acquisitions, Inc. 6.500%, 8/4/21		1,540		1,534
Capsugel Holdings LLC 4.000%, 7/31/21		3,209		3,223
Change Healthcare Holdings, Inc.
Tranche B-3, 3.750%, 11/2/18		489		490
Tranche B-2, 3.750%, 11/2/18		1,352		1,356
CHG Healthcare Services, Inc. (CHG Buyer Co.) First Lien, 0.000%, 6/7/23⁽⁶⁾		358		363
Community Health Systems, Inc. (CHS)
Tranche F, 4.020%, 12/31/18		1,102		1,086
Tranche G, 3.750%, 12/31/19		1,275		1,240
Tranche H, 4.000%, 1/27/21		4,916		4,776
Concordia International Corp. (f/k/a Concordia Healthcare Corp.) 5.250%, 10/21/21		1,223		961
DaVita HealthCare Partners, Inc. Tranche B, 3.520%, 6/24/21		3,076		3,112
DJO Finance 4.250%, 6/8/20		1,444		1,389
Endo Luxembourg Finance Co. S.a.r.l. Tranche B, 3.813%, 9/26/22		2,228		2,243
Envision Healthcare Corp.(Emergency Medical Services Corp.) 3.750%, 12/1/23		2,046		2,073
Greatbatch, Inc. Tranche B, 5.250%, 10/27/22		832		837
HCA, Inc. Tranche B-6, 4.020%, 3/17/23		1,162		1,178
Iasis Healthcare LLC Tranche B-2, 4.500%, 5/3/18		1,946		1,935
inVentiv Group Holdings, Inc. 4.750%, 11/9/23		1,902		1,922
Jaguar Holding Company I 4.250%, 8/18/22		3,082		3,121
Kindred Healthcare, Inc. 4.250%, 4/9/21		1,147		1,149
MMM Holdings, Inc. 9.750%, 6/30/19		300		293
MPH Acquisition Holdings LLC 5.000%, 6/7/23		812		827
MSO of Puerto Rico, Inc. 9.750%, 6/30/19		218		213
National Mentor Holdings, Inc. Tranche B, 4.250%, 1/31/21		1,054		1,062
National Surgical Hospitals First Lien, 4.500%, 6/1/22		1,072		1,076
NVA Holdings, Inc.
Tranche B-1, First Lien, 5.500%, 8/14/21		478		480
Second Lien, 8.000%, 8/14/22		1,079		1,083
Ortho-Clinical Diagnostics Holdings S.a.r.l. 4.750%, 6/30/21		3,154		3,137
Quintiles IMS Inc. Tranche B, 3.500%, 3/17/21		4,223		4,260
Quorum Health Corp. 6.750%, 4/29/22		1,494		1,469


	PAR VALUE		VALUE
Health Care—(continued)
Select Medical Corp. Tranche B-F 6.875%, 3/3/21	$	1,681	$	1,711
Sterigenics-Nordion 4.250%, 5/16/22		1,072		1,080
Surgery Center Holdings, Inc. First Lien, 4.750%, 11/3/20		1,442		1,457
Surgical Care Affiliates, Inc. 3.750%, 3/17/22		1,256		1,268
Team Health, Inc. Tranche B, 3.770%, 11/23/22		1,940		1,946
U.S. Renal Care, Inc. First Lien, 5.250%, 12/30/22		3,243		3,053
Valeant Pharmaceuticals International, Inc.
Series D-2, Tranche B, 5.000%, 2/13/19		2,077		2,079
Series C-2, Tranche B, 5.250%, 12/11/19		2		2
Series E-1, Tranche B, 5.250%, 8/5/20		3,834		3,831
Series F-1, Tranche B, 5.500%, 4/1/22		2,377		2,382

				78,238

Industrials—13.5%
84 Lumber Co. 6.750%, 10/25/23		2,000		2,010
Accudyne Industries Borrower S.C.A. (Accudyne Industries LLC) (Silver II US Holdings LLC) 4.000%, 12/13/19		3,070		2,911
Advanced Disposal Services, Inc. 3.500%, 11/10/23		626		632
Air Canada 3.614%, 10/6/23		633		638
American Airlines, Inc.
3.256%, 6/27/20		4,286		4,315
Tranche B, 3.261%, 4/28/23		1,210		1,218
Brickman Group Ltd. LLC (The)
First Lien, 4.000%, 12/18/20		3,772		3,788
Second Lien, 7.500%, 12/17/21		1,971		1,987
Casella Waste Systems, Inc. 4.000%, 10/17/23		1,195		1,208
Coinstar LLC Tranche B, First Lien 6.125%, 9/27/23		811		824
Filtration Group Corp.
Second Lien, 0.000%, 11/21/20⁽⁶⁾		950		955
First Lien, 4.250%, 11/23/20		1,823		1,840
Fort Dearborn Holding Co., Inc. First Lien, 5.875%, 10/19/23		847		860
Gardner Denver, Inc. 4.409%, 7/30/20		3,061		3,036
Harland Clarke Holdings Corp.
Tranche B-3, 7.000%, 5/22/18		751		754
Tranche B-4, 6.993%, 8/4/19		637		639
Tranche B-5, 7.000%, 12/31/19		371		374
HD Supply, Inc.


	PAR VALUE		VALUE
Industrials—(continued)
Tranche B-1, 3.588%, 8/13/21	$	2,934	$	2,954
3.630%, 10/17/23		667		673
Headwaters, Inc. Tranche B-1, 4.000%, 3/24/22		3,051		3,073
Husky Injection Molding Systems Ltd. 4.250%, 6/30/21		3,696		3,723
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien, 5.000%, 5/4/22		1,778		1,783
MRC Global (U.S.), Inc. (f/k/a McJunkin Red Man Corp.) 5.000%, 11/8/19		2,446		2,466
Navistar, Inc. Tranche B, 6.500%, 8/7/20		1,306		1,325
NN, Inc. Tranche B, 5.000%, 10/19/22		1,439		1,452
PAE Holding Corp. First Lien, 6.500%, 10/20/22		834		842
Prime Security Services 4.250%, 5/2/22		1,668		1,696
Quikrete International, Inc. First Lien, 4.000%, 11/15/23⁽⁶⁾		3,626		3,668
Rexnord LLC Tranche B, 3.750%, 8/21/23		2,354		2,367
Science Applications International Corp. Tranche B, 3.438%, 5/4/22		1,501		1,516
Sedgwick Claims Management Services, Inc.
First Lien, 3.750%, 3/1/21		3,462		3,477
Second Lien, 6.750%, 2/28/22		1,725		1,727
Siteone Supply Holding LLC 5.500%, 4/29/22		1,356		1,370
Spin Holdco, Inc. First Lien, 4.250%, 11/14/19		2,251		2,248
TransDigm, Inc.
Tranche D, 3.884%, 6/4/21		1,616		1,630
Tranche F, 3.770%, 6/9/23		6,029		6,099
United Airlines, Inc. (Continental Airlines, Inc.) Tranche B-1, 3.500%, 9/15/21		1,145		1,156
Waste Industries USA, Inc. Tranche B, 3.520%, 2/27/20		2,158		2,173
WEX, Inc. 4.270%, 6/30/23		2,023		2,056
Zodiac Pool Solutions LLC First Lien, 5.500%, 12/20/23		830		838

				78,301

Information Technology—10.8%
Abacus Innovations Corp. (Leidos, Inc.) Tranche B, 3.520%, 8/16/23		1,410		1,426
Allflex Holdings III, Inc. First Lien, 4.250%, 7/17/20		1,548		1,557
Alorica, Inc. Tranche B, 5.520%, 6/30/22		395		400
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22		1,145		1,160


	PAR VALUE		VALUE
Information Technology—(continued)
Avago Technologies Cayman Finance Ltd. 3.704%, 2/1/23	$	3,955	$	4,018
Avaya, Inc. Tranche B-7, 0.000%, 5/29/20⁽⁶⁾		1,940		1,693
Blackboard, Inc. Tranche B-4 First Lien, 6.000%, 6/30/21		5,716		5,770
BMC Software, Inc. 5.000%, 9/10/20		2,997		3,000
CCC Information Services 4.000%, 12/20/19		2,245		2,252
CDW LLC 3.000%, 8/17/23		5,398		5,437
Cypress Semiconductor Corp. 6.500%, 7/5/21		1,778		1,822
Donnelley Financial Solutions, Inc. Tranche B, 5.000%, 9/29/23		545		552
First Data Corp.
Tranche 2021-C, 3.756%, 3/24/21		5,673		5,746
Tranche 2022-C, 3.756%, 7/8/22		1,552		1,571
Infor (U.S.), Inc.
Tranche B-3, 3.750%, 6/3/20		1,415		1,418
Tranche B-5, 3.750%, 6/3/20		3,403		3,413
Information Resources, Inc. (Symphonyiri Group, Inc.) 0.000%, 12/20/23⁽⁶⁾		275		277
Masergy Communications, Inc. Tranche B, First Lien, 5.500%, 12/15/23		635		640
Mitchell International, Inc.
4.500%, 10/13/20		3,287		3,297
Second Lien, 8.500%, 10/11/21		1,291		1,284
MKS Instruments, Inc. Tranche B-2, 3.520%, 5/1/23		488		495
NXP B.V. (NXP Funding LLC) Tranche F, 3.270%, 12/7/20		804		809
On Semiconductor 4.020%, 3/31/23		1,255		1,273
Presidio LLC (Presidio, Inc.) Refinancing, 5.250%, 2/2/22		1,353		1,370
Rackspace Hosting, Inc. Tranche B, First Lien, 4.500%, 11/3/23		1,971		2,000
Radiate Holdco LLC 0.000%, 12/9/23⁽⁶⁾		1,579		1,592
Sophia, LP 4.750%, 9/30/22		2,530		2,557
SS&C European Holdings S.a.r.l.
Tranche A-1, 3.520%, 7/8/20		176		177
Tranche A-2, 3.520%, 7/8/20		274		274
Tranche B-1, 4.010%, 7/8/22		1,035		1,050
Tranche B-2, 4.010%, 7/8/22		106		107
Veritas US, Inc. Tranche B-1, 6.625%, 1/27/23		1,865		1,730


	PAR VALUE		VALUE
Information Technology—(continued)
Western Digital Corp. Tranche B-1, 4.520%, 4/29/23	$	2,285	$	2,325

				62,492

Materials—9.9%
American Builders & Contractors Supply Co., Inc. 3.520%, 10/31/23		4,543		4,593
Anchor Glass Container Corp.
First Lien, 4.250%, 12/7/23		1,008		1,018
Second Lien, 8.750%, 12/7/24		1,358		1,389
Ardagh Packaging Finance plc 4.000%, 12/17/21		852		863
Berlin Packaging, Inc. S.a.r.l. First Lien, 4.500%, 10/1/21		1,872		1,891
Berry Plastics Corp.
Tranche D, 3.500%, 2/8/20		4,474		4,515
Tranche G, 3.500%, 1/6/21		1,843		1,858
Tranche H, 3.750%, 10/1/22		631		638
CPG International, Inc. 4.750%, 9/30/20		1,738		1,754
CPI Acquisition, Inc. First Lien, 5.500%, 8/17/22		3,252		2,976
Fortescue Metals Group (FMG) Resources Property Ltd. 3.750%, 6/30/19		2,537		2,547
Huntsman International LLC Tranche B, 3.873%, 4/1/23		4,349		4,401
Ineos U.S .Finance LLC 3.750%, 12/15/20		6,853		6,897
Kraton Polymers 6.000%, 1/6/22		1,800		1,824
MacDermid, Inc. (Platform Specialty Products Corp.) Tranche B-5, 4.500%, 6/7/20		1,045		1,058
Omnova Solutions, Inc. Tranche B-2, 5.250%, 8/25/23		2,836		2,891
PolyOne Corp. Tranche B-1, 3.500%, 11/11/22		399		404
PQ Corp. Tranche B-1, 5.250%, 11/4/22		618		627
Royal Holdings, Inc. First Lien, 4.500%, 6/20/22		2,107		2,127
Solenis International LP First Lien, 4.250%, 7/31/21		2,291		2,301
Summit Materials 4.000%, 7/18/22		3,501		3,538
TricorBraun, Inc.
First Lien, 1.875%, 11/30/23		181		183
First Lien, 4.750%, 11/30/23		1,808		1,831
Univar, Inc. 4.250%, 7/1/22		2,841		2,872
W.R. Grace & Co. 2.881%, 2/3/21		2,038		2,057

				57,053


	PAR VALUE		VALUE
Real Estate—2.1%
Capital Automotive LP
Tranche B-1, 4.000%, 4/10/19	$	1,083	$	1,096
Second Lien, 6.000%, 4/30/20		1,828		1,857
Communications Sales& Leasing, Inc. 4.500%, 10/24/22		1,464		1,487
DTZ U.S. Borrower, LLC (DTZ AUS Holdco PTY Ltd.) First Lien, 4.250%, 11/4/21		2,955		2,975
ESH Hospitality, Inc. 3.770%, 8/30/23		797		808
Realogy Group LLC 3.770%, 7/20/22		3,552		3,581

				11,804

Telecommunication Services—4.7%
Coral-US Co.-Borrower LLC TrancheB-1, 5.588%, 1/3/23		3,184		3,231
Global Tel*Link Corp. First Lien, 5.000%, 5/23/20		1,778		1,774
Level 3 Financing, Inc.
Tranche B-III, 2019 4.000%, 8/1/19		2,575		2,614
Tranche B, 2020 4.000%, 1/15/20		3,388		3,439
Tranche B-II, 2022 3.500%, 5/31/22		2,343		2,375
SBA Senior Finance II LLC Tranche B-1, 3.270%, 3/24/21		3,691		3,716
Securus Technologies Holdings, Inc.
First Lien, 4.750%, 4/30/20		1,478		1,472
First Lien, 5.250%, 4/30/20		757		755
UPC Financing Partnership 4.080%, 8/31/24		3,189		3,228
Virgin Media Bristol LLC 0.000%, 1/31/25⁽⁶⁾		2,310		2,324
West Corp. Tranche B-12, 3.250%, 6/17/23		1,143		1,147
XO Communications LLC 4.250%, 3/20/21		1,251		1,257

				27,332

Utilities—4.1%
APLP Holdings LP 6.000%, 4/13/23		1,796		1,824
Calpine Construction Finance Co., LP
Tranche B-1, 3.020%, 5/3/20		4,637		4,640
Tranche B-2, 3.270%, 1/31/22		3,769		3,776
Dayton Power And Light Co. 4.010%, 8/24/22		276		280
Dynegy Finance IV, Inc. 5.000%, 6/27/23		3,857		3,913
NRG Energy, Inc. 3.520%, 6/30/23		6,123		6,194
Talen Energy Supply LLC 6.000%, 12/6/23		1,054		1,072
Vistra Operations Company LLC (TEX Operations Co., LLC)
5.000%, 8/4/23		1,365		1,384
Tranche C, 5.000%, 8/4/23		312		317


	PAR VALUE			VALUE
Utilities—(continued)
4.000%, 12/14/23	$	394		$	400

					23,800

TOTAL LOAN AGREEMENTS (Identified Cost $565,684)					565,693

	SHARES
COMMON STOCKS—0.4%
Energy—0.0%
Sabine Oil & Gas LLC⁽⁷⁾		714			34

Utilities—0.4%
Vistra Energy Corp.		152,810			2,369

TOTAL COMMON STOCKS (Identified Cost $2,441)					2,403

AFFILIATED MUTUAL FUND—1.0%
Virtus Credit Opportunities Fund Class R6⁽⁹⁾		610,288			6,048

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $6,100)					6,048

	SHARES
RIGHTS—0.0%
Texas Competitive TRA		153			252

TOTAL RIGHTS (Identified Cost $130)					252

WARRANTS—0.0%
Sabine Oil & Gas LLC⁽⁷⁾		2			16
Sabine Oil & Gas LLC⁽⁷⁾		—	⁽¹¹⁾		2

TOTAL WARRANTS (Identified Cost $18)					18

TOTAL LONG TERM INVESTMENTS—104.8% (Identified Cost $606,226)					606,533	⁽⁸⁾


	VALUE
TOTAL INVESTMENTS—104.8% (Identified Cost $606,226)	$	606,533	⁽¹⁾
Other assets and liabilities, net—(4.8)%		(27,885	)

NET ASSETS—100.0%	$	578,648

Abbreviation:


PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2016.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $18,960 or 3.3% of net assets.

⁽⁴⁾	100% of the income received was in cash.

⁽⁵⁾	Security in default, portion of the interest payments are being received during the bankruptcy proceedings.

⁽⁶⁾	This loan will settle after December 31, 2016, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽⁷⁾	Illiquid security.

⁽⁸⁾	All or a portion of the Fund’s assets have been segregated as collateral for delayed delivery settlements and leverage.

⁽⁹⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

⁽¹⁰⁾	Represents the unfunded portion of security and commitment fee earned on this portion.

⁽¹¹⁾	Amount is less than 500.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers between Level 1 and Level 2 related to securities held as of December 31, 2016.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs w ere used to determine fair value.

($ reported in thousands)


	PAR VALUE		VALUE
MUNICIPAL BONDS⁽³⁾—95.0%
Alabama—0.9%
Pell City Special Care Facilities Financing Authority, Noland Health Services Revenue,
4.000%, 12/1/25	$	500	$	516
5.000%, 12/1/25		1,000		1,094

				1,610

Arizona—4.8%
Arizona Board of Regents, Arizona State University System Revenue
5.000%, 7/1/36		1,000		1,135
5.000%, 7/1/37		360		408
Arizona Department of Transportation, State Highway Fund Revenue 5.000%, 7/1/36		500		577
Arizona State Health Facilities Authority, Scottsdale Lincoln Hospital Revenue, 5.000%, 12/1/24		565		665
Maricopa County Industrial Development Authority, Banner Health Revenue 4.000%, 1/1/34		1,000		1,018
Mesa, City of, Excise Tax Revenue 5.000%, 7/1/27		500		510
Northern Arizona University, Stimulus Plan for Economic and Educational Development Revenue,
5.000%, 8/1/24		1,115		1,279
5.000%, 8/1/25		2,290		2,625

				8,217

Arkansas—0.3%
University of Arkansas, Facility Revenue 5.000%, 11/1/33		505		585

California—5.8%
California Health Facilities Financing Authority, Sutter Health Revenue, 5.000%, 11/15/30		600		688
California Municipal Finance Authority,
Bowles Hall Foundation Revenue, 4.000%, 6/1/21		100		104
Bowles Hall Foundation Revenue, 4.500%, 6/1/23		225		240


	PAR VALUE		VALUE
California—(continued)
Bowles Hall Foundation Revenue, 4.500%, 6/1/24	$	150	$	160
Community Medical Centers Revenue 5.000%, 2/1/27		400		451
California State Health Facilities Financing Authority, Providence St Joseph Health Revenue 4.000%, 10/1/36		275		277
California Statewide Communities Development Authority, The Culinary Institute of America Revenue 5.000%, 7/1/28		200		219
California, State of, General Obligation,
5.000%, 10/1/23		150		150
5.000%, 2/1/24		1,500		1,731
California, State of, Public Works Board, Judicial Council Projects Revenue, 5.000%, 3/1/27		500		568
Garden Grove Agency Community Development Successor Agency, Tax Allocation Revenue (BAM Insured), 5.000%, 10/1/30		1,000		1,153
Oakland Unified School District, General Obligation,
5.000%, 8/1/29		1,000		1,174
5.000%, 8/1/30		500		584
San Diego Public Facilities Financing Authority Sewer Revenue, 5.000%, 5/15/32		2,000		2,346
Temecula Valley Unified School District Financing Authority, Special Tax Revenue (BAM Insured), 5.000%, 9/1/25		175		203

				10,048

Colorado—6.3%
Colorado State Health Facilities Authority, Catholic Health Initiatives Revenue, 6.250%, 10/1/33		650		698
Denver Convention Center Hotel Authority Revenue 5.000%, 12/1/27		400		444
E-470 Public Highway Authority Revenue,
5.000%, 9/1/20		340		371
(NATL Insured), 0.000%, 9/1/29		665		343
Public Authority For Colorado Energy, Natural Gas Purchase Revenue,
6.125%, 11/15/23		2,135		2,521
6.250%, 11/15/28		2,250		2,767
University of Colorado, Enterprise Revenue


	PAR VALUE		VALUE
Colorado—(continued)
5.000%, 6/1/19	$	625	$	677
(Pre-refunded 6/1/19 @100) 5.625%, 6/1/22		1,650		1,813
(Pre-refunded 6/1/21 @100) 5.000%, 6/1/24		1,000		1,136

				10,770

Connecticut—1.0%
Connecticut State Health & Educational Facility Authority, Hartford Healthcare Revenue, 5.000%, 7/1/25		1,500		1,716

District of Columbia—3.0%
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue Second Lien, (AGC Insured) 6.500%, 10/1/41		4,000		5,120

Florida—7.5%
Brevard County Health Facilities Authority, Health First Revenue,
5.000%, 4/1/21		115		128
(Pre-refunded 4/1/19 @100) 7.000%, 4/1/39		1,050		1,178
Broward County School District, Certificates of Participation 5.000%, 7/1/32		300		340
Central Florida Expressway Authority, Senior Lien Toll Revenue 4.000%, 7/1/30		200		210
Lee County Transportation Facilities Revenue (AGM Insured) 5.000%, 10/1/19		400		436
Miami Beach Redevelopment Agency, Tax Increment Revenue, 5.000%, 2/1/32		300		334
Miami Beach, City of, Stormwater Revenue, 5.250%, 9/1/23		1,265		1,441
Miami-Dade County Aviation Revenue, 5.000%, 10/1/24		2,425		2,754
Miami-Dade County Educational Facilities Authority, University of Miami Revenue, 5.000%, 4/1/30		200		226
Miami-Dade County Expressway Authority, Toll Revenue 5.000%, 7/1/33		400		455
Miami-Dade County School Board, Certificates of Participation, 5.000%, 2/1/34		1,700		1,890
Seminole County School Board, Certificates of Participation, 5.000%, 7/1/29		1,935		2,233
South Florida Water Management District, Certificates of Participation, 5.000%, 10/1/35		750		831


	PAR VALUE		VALUE
Florida—(continued)
Tallahassee, City of, Health Facilities Revenue, Tallahassee Memorial Healthcare 5.000%, 12/1/36	$	480	$	505

				12,961

Georgia—3.2%
Athens-Clarke County Unified Government, Water and Sewer Revenue (Pre-refunded 1/19/19 @100) 5.625%, 1/1/28		1,500		1,626
Atlanta Water & Wastewater Revenue, 5.000%, 11/1/31		650		754
DeKalb County Water & Sewer Revenue, 5.250%, 10/1/26		2,750		3,151

				5,531

Idaho—0.9%
Idaho Housing & Finance Association, Federal Highway Grant Anticipation Revenue, 4.500%, 7/15/29		1,500		1,620

Illinois—8.3%
Chicago O’Hare International Airport,
Customer Facilities Charge Revenue, Senior Lien, 5.000%, 1/1/21		1,250		1,364
General Revenue, Senior Lien, 5.250%, 1/1/29		100		118
Passenger Facilities Charge Revenue, 5.000%, 1/1/20		750		816
Chicago, City of,
Sales Tax Revenue, 5.000%, 1/1/21		750		810
Waterworks Revenue, Second Lien, 5.000%, 11/1/22		500		555
Waterworks Revenue, Second Lien, 5.000%, 11/1/30		500		551
Illinois Finance Authority,
KishHealth System Revenue (Escrowed to Maturity), 4.750%, 10/1/18		700		740
Rush University Medical Center Revenue 5.000%, 11/15/21		250		283
Rush University Medical Center Revenue (Pre-refunded 11/1/18 @100) 7.250%, 11/1/38		1,220		1,350
Illinois State Toll Highway Authority, Toll Highway Revenue Senior Lien, 5.000%, 1/1/32		1,000		1,131
Illinois, State of, General Obligation,


	PAR VALUE		VALUE
Illinois—(continued)
5.000%, 4/1/22	$	815	$	843
5.000%, 2/1/26		1,490		1,512
5.000%, 2/1/27		1,250		1,256
Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project Revenue (AGM Insured), 0.000%, 6/15/26		1,000		677
University of Illinois, Auxiliary Facilities System Revenue,
5.500%, 4/1/31		1,540		1,690
5.125%, 4/1/36		500		537

				14,233

Indiana—2.1%
Indiana Finance Authority, Indiana University Health Center Revenue, 5.000%, 12/1/22		800		920
Indianapolis Local Public Improvements Bond Bank Revenue, 5.000%, 6/1/19		2,500		2,697

				3,617

Iowa—1.5%
Iowa, State of, Prison Infrastructure Funding Revenue (Pre-refunded 6/15/20 @100), 5.000%, 6/15/27		2,250		2,497

Louisiana—0.7%
New Orleans Sewerage Service Revenue,
5.000%, 6/1/19		500		537
5.000%, 6/1/20		550		603

				1,140

Maine—1.5%
Portland, City of, General Airport Revenue,
5.000%, 7/1/26		1,000		1,107
5.000%, 7/1/29		580		632
5.000%, 7/1/30		770		837

				2,576

Maryland—3.4%
Baltimore Convention Center, Hotel Revenue Senior Lien (XLCA Insured),
5.250%, 9/1/22		400		401
5.250%, 9/1/23		1,500		1,503
Maryland Economic Development Corp., Exelon Generation Co. Revenue, 2.550%, 12/1/25⁽²⁾		500		496


	PAR VALUE		VALUE
Maryland—(continued)
Maryland Health & Higher Educational Facilities Authority,
Anne Arundel Health System Revenue (Pre-refunded 7/1/19 @100), 6.750%, 7/1/29	$	2,015	$	2,274
Anne Arundel Health System Revenue, 5.000%, 7/1/32		250		266
Medstar Health, Inc. Revenue, 5.000%, 8/15/26		800		922

				5,862

Massachusetts—0.7%
Massachusetts Bay Transportation Authority, Assessment Revenue, 5.000%, 7/1/22		1,000		1,157

Michigan—1.6%
Michigan Finance Authority, Beaumont Health Credit Group Revenue, 5.000%, 8/1/27		1,250		1,406
Michigan State Building Authority, Facilities Program Lease Revenue,
5.000%, 4/15/25		500		583
4.000%, 10/15/36		500		511
Royal Oak Hospital Finance Authority, William Beaumont Hospital Revenue, 5.000%, 9/1/19		200		215

				2,715

New Jersey—4.2%
Camden County Improvement Authority Healthcare Redevelopment Project, Cooper Health System Revenue, 5.000%, 2/15/22		950		1,054
New Jersey Economic Development Authority, Cigarette Tax Revenue (AGM Insured), 5.000%, 6/15/22		3,000		3,326
New Jersey Housing & Mortgage Finance Agency, Mortgage Revenue, 4.375%, 4/1/28		1,915		1,994
Tobacco Settlement Financing Corp. Tobacco Settlement Revenue 5.000%, 6/1/41		1,000		869

				7,243

New York—11.9%
Buffalo & Erie County Industrial Land Development Corp., Catholic Health System Revenue, 5.000%, 7/1/23		550		619
Metropolitan Transportation Authority, Transportation Revenue 6.250%, 11/15/23		605		659


	PAR VALUE		VALUE
New York—(continued)
(Pre-refunded 11/15/18 @100) 6.250%, 11/15/23	$	25	$	27
(Pre-refunded 11/15/18 @100) 6.250%, 11/15/23		2,510		2,741
New York City General Obligation,
6.250%, 10/15/28		40		43
(Pre-refunded 10/15/18 @100) 6.250%, 10/15/28		960		1,044
New York City Industrial Development Agency, Queens Baseball Stadium Project Revenue
(AGC Insured), 6.125%, 1/1/29		500		541
(AMBAC Insured), 5.000%, 1/1/20		900		902
(AMBAC Insured), 5.000%, 1/1/31		470		471
New York City Municipal Water Finance Authority, Water & Sewer System Revenue,
5.750%, 6/15/40		3,530		3,730
(Pre-refunded 6/15/18 @100) 5.500%, 6/15/21		500		531
(Pre-refunded 6/15/18 @100) 5.500%, 6/15/22		1,000		1,063
(Pre-refunded 6/15/18 @100) 5.625%, 6/15/24		1,050		1,118
(Pre-refunded 6/15/18 @100) 5.750%, 6/15/40		1,060		1,129
New York City Transitional Finance Authority, Subordinate Future Tax Secured Revenue 5.000%, 5/1/35		3,165		3,629
New York State Dormitory Authority,
New York University Hospitals Center Revenue, 5.000%, 7/1/33		150		169
Orange Regional Medical Center Revenue, 5.000%, 12/1/23⁽⁴⁾		300		328
New York Transportation Development Corp., Transportation Development Revenue, 5.000%, 8/1/26		250		258
Triborough Bridge & Tunnel Authority, Toll Revenue Subordinate Lien, 5.000%, 11/15/23		750		873
Utility Debt Securitization Authority Restructuring Charge, Electric Revenue, 5.000%, 6/15/26		500		593

				20,468

North Dakota—0.8%
Barnes County North Public School District Building Authority, Lease Revenue, 4.250%, 5/1/27		1,330		1,353


	PAR VALUE		VALUE
Ohio—2.6%
New Albany Community Authority, Community Facilities Revenue 5.000%, 10/1/24	$	1,250	$	1,422
Ohio State Juvenile Correction Facilities Project, Lease Revenue,
5.000%, 10/1/20		465		519
5.000%, 10/1/21		1,080		1,226
5.000%, 10/1/22		1,135		1,308

				4,475

Oklahoma—0.8%
Oklahoma State Turnpike Authority, Turnpike Revenue, Second Senior Lien, 5.000%, 1/1/29		1,250		1,384

Oregon—0.9%
Oregon Facilities Authority, University of Portland Revenue, 5.000%, 4/1/30		240		274
Oregon, State of, General Obligation 5.000%, 5/1/33		1,095		1,288

				1,562

Pennsylvania—4.0%
Butler County Hospital Authority, Butler Health System Revenue, 5.000%, 7/1/30		250		277
Pennsylvania Turnpike Commission, Turnpike Revenue Subordinate Lien,
5.250%, 12/1/31		2,000		2,251
6.000%, 12/1/34		1,235		1,410
0.000%, 12/1/38		2,000		2,348
(Pre-refunded 12/1/20 @ 100) 6.000%, 12/1/34		250		290
(Pre-refunded 12/1/20 @ 100) 6.000%, 12/1/34		265		307

				6,883

South Carolina—0.8%
Dorchester County, Water & Sewer Revenue, 5.000%, 10/1/28		1,020		1,167
South Carolina Association of Governmental Organizations Educational Facilities Corp., for Pickens School District Lease Revenue, 5.000%, 12/1/24		250		292

				1,459


	PAR VALUE		VALUE
Tennessee—1.2%
Chattanooga-Hamilton County Hospital Authority, Erlanger Health System Revenue, 5.000%, 10/1/26	$	1,000	$	1,105
Tennessee Housing Development Agency, Residential Finance Program Revenue,
2.050%, 7/1/20		655		652
2.300%, 1/1/21		380		378

				2,135

Texas—9.4%
Forney Independent School District, General Obligation (PSF Guaranteed) (Pre-refunded 8/15/18 @100) 5.750%, 8/15/33		750		804
Harris County Health Facilities Development Corp., Memorial Hermann Healthcare System (Pre-refunded 12/1/18 @100) 7.250%, 12/1/35		2,525		2,802
Hidalgo County Drain District No. 1, General Obligation, 5.000%, 9/1/28		1,000		1,169
La Joya Independent School District, General Obligation (PSF Guaranteed), 5.000%, 2/15/20		1,000		1,100
North Texas Tollway Authority, Senior Lien Toll Revenue, 5.000%, 1/1/30		400		462
Southmost Regional Water Authority, Desalination Plant Project Revenue
(AGM Insured), 5.000%, 9/1/25		1,015		1,148
(AGM Insured), 5.000%, 9/1/23		1,085		1,230
Texas Municipal Gas Acquisition & Supply, Gas Supply Revenue,
Corp. I, Senior. Lien, 6.250%, 12/15/26		1,580		1,851
Corp. II, 1.326%, 9/15/27⁽²⁾		3,000		2,787
Upper Trinity Regional Water District Authority, Regional Treated Supply System Revenue (BAM Insured), 5.000%, 8/1/24		1,340		1,555
Ysleta Independent School District, General Obligation (PSF Guaranteed), 4.000%, 8/15/25		1,140		1,241

				16,149

Utah—0.2%
Utah Transit Authority, Sales Tax Revenue, 5.000%, 6/15/25		250		296


	PAR VALUE		VALUE
Vermont—0.3%
Burlington, City of, Airport Revenue (AGM Insured), 5.000%, 7/1/24	$	200	$	222
Vermont Educational & Health Buildings Financing Agency, University of Vermont Health Network Revenue 5.000%, 12/1/35		300		329

				551

Virginia—1.3%
Riverside Regional Jail Authority, Jail Facility Revenue, 5.000%, 7/1/26		1,250		1,468
Virginia College Building Authority, Marymount University Revenue,
5.000%, 7/1/20⁽⁴⁾		200		209
5.000%, 7/1/21⁽⁴⁾		400		420
5.000%, 7/1/22⁽⁴⁾		195		205

				2,302

Washington—2.0%
King County Sewer Revenue 5.000%, 7/1/36		1,630		1,869
Washington, State of, General Obligation 5.000%, 7/1/25		1,375		1,649

				3,518

West Virginia—0.3%
Monongalia County Building Commission, Monongalia Health System Revenue, 5.000%, 7/1/23		400		454

Wisconsin—0.8%
Public Finance Authority, Renown Regional Medical Center Revenue 5.000%, 6/1/33		1,000		1,094
Public Finance Authority, Waste Management, Inc. Revenue, 2.875%, 5/1/27		250		239

				1,333

TOTAL MUNICIPAL BONDS (Identified Cost $158,622)				163,540

TOTAL LONG TERM INVESTMENTS—95.0% (Identified Cost $158,622)				163,540


	SHARES		VALUE
SHORT-TERM INVESTMENT—2.1%
Money Market Mutual Fund—2.1%
BlackRock Liquidity Funds MuniCash Portfolio - Institutional Shares (seven-day effective yield 0.548%)⁽⁵⁾		3,553,098	$	3,553

TOTAL SHORT-TERM INVESTMENT (Identified Cost $3,553)				3,553

TOTAL INVESTMENTS—97.1% (Identified Cost $162,175)				167,093	⁽¹⁾
Other assets and liabilities, net—2.9%				5,008

NET ASSETS—100.0%			$	172,101

Abbreviations:


AGC		Assured Guaranty Corp.
AGM		Assured Guaranty Municipal Corp.
AMBAC		American Municipal Bond Assurance Corp.
BAM		Build America Municipal Insured
NATL		National Public Finance Guarantee Corp.
PSF		Permanent School Fund
XLCA		XL Capital Assurance

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at December 31, 2016.

⁽³⁾	At December 31, 2016, 21.1% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. None of the Insurers concentration exceeds 10% of the Fund’s net assets.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2016, these securities amounted to a value of $1,162 or 0.7% of net assets.

⁽⁵⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.


	SHARES		VALUE
COMMON STOCKS—99.4%
Consumer Discretionary—34.3%
Amazon.com, Inc.⁽²⁾		549	$	412
AMC Networks, Inc. Class A⁽²⁾		7,980		418
American Eagle Outfitters, Inc.		27,837		422
AutoNation, Inc.⁽²⁾		8,590		418
Buckle, Inc. (The)		18,977		433
Cabela’s, Inc.⁽²⁾		6,723		394
Carnival Corp.		8,025		418
CBS Corp. Class B		6,519		415
Choice Hotels International, Inc.		7,490		420
Columbia Sportswear Co.		7,442		434
Comcast Corp. Class A		5,924		409
Dick’s Sporting Goods, Inc.		7,949		422
Dillard’s, Inc. Class A		6,825		428
Discovery Communications, Inc. Class C⁽²⁾		15,346		411
DISH Network Corp. Class A⁽²⁾		7,118		412
DSW, Inc. Class A		18,141		411
Expedia, Inc.		3,676		416
Federal-Mogul Corp.⁽²⁾		40,153		414
Fossil Group, Inc.⁽²⁾		16,047		415
Gap, Inc. (The)		18,700		420
Garmin Ltd.		8,338		404
Horton (D.R.), Inc.		15,141		414
Hyatt Hotels Corp. Class A⁽²⁾		7,454		412
International Speedway Corp. Class A		11,088		408
L Brands, Inc.		6,306		415
Lands’ End, Inc.⁽²⁾⁽³⁾		24,633		373
Las Vegas Sands Corp.		7,750		414
Lennar Corp. Class A		9,790		420
Liberty Braves Group Class C⁽²⁾		20,443		421
Liberty Broadband Corp. Class C⁽²⁾		5,615		416
Liberty Expedia Holdings, Inc. Class A⁽²⁾		10,431		414
Liberty Global plc Class C⁽²⁾		14,087		418
Liberty Global plc Class C⁽²⁾		19,460		412
Liberty Interactive Corp. Class A⁽²⁾		21,021		420
Liberty Media Series Class C⁽²⁾		13,491		423
Liberty Sirius XM Group Class C⁽²⁾		12,167		413
Liberty Tripadvisor Holdings, Class A⁽²⁾		27,747		418
Liberty Ventures Series A⁽²⁾		11,093		409
Lions Gate Entertainment Corp. Class B⁽²⁾⁽³⁾		16,375		402
Madison Square Garden Co. (The) Class A⁽²⁾		2,416		414
Marriott International, Inc. Class A		5,022		415


	SHARES		VALUE
Consumer Discretionary—(continued)
Marriott Vacations Worldwide Corp.		4,963	$	421
Mohawk Industries, Inc.⁽²⁾		2,070		413
MSG Networks, Inc. Class A⁽²⁾		19,518		420
News Corp. Class A		35,784		410
NIKE, Inc. Class B		8,058		410
Nordstrom, Inc.⁽³⁾		8,707		417
Papa John’s International, Inc.		4,817		412
Penn National Gaming, Inc.⁽²⁾		29,293		404
Penske Automotive Group, Inc.		8,079		419
Ralph Lauren Corp.		4,631		418
Restaurant Brands International, Inc.		8,783		419
Sears Holdings Corp.⁽²⁾⁽³⁾		44,688		415
Sears Hometown and Outlet Stores, Inc.⁽²⁾		84,087		395
Starbucks Corp.		7,366		409
Tesla Motors, Inc.⁽²⁾⁽³⁾		2,015		430
Tronc, Inc.		30,727		426
Twenty-First Century Fox, Inc. Class A		14,773		414
Under Armour, Inc. Class C⁽²⁾		16,505		415
Urban Outfitters, Inc.⁽²⁾		14,707		419
Viacom, Inc. Class B		11,955		420
Weight Watchers International, Inc.⁽²⁾⁽³⁾		37,932		434
Wendy’s Co. (The)		30,512		412
Wynn Resorts Ltd.		4,761		412

				26,561

Consumer Staples—5.4%
Boston Beer Co., Inc. (The) Class A⁽²⁾		2,524		429
Brown-Forman Corp. Class B		9,368		421
Estee Lauder Cos., Inc. (The) Class A		5,336		408
HRG Group, Inc.⁽²⁾		27,353		426
Kraft Heinz Co. (The)		4,811		420
Lancaster Colony Corp.		3,003		425
Monster Beverage Corp.⁽²⁾		9,272		411
Nomad Foods Ltd.⁽²⁾		44,723		428
PriceSmart, Inc.		4,960		414
Tootsie Roll Industries, Inc.		10,346		411

				4,193

Energy—6.4%
Cheniere Energy, Inc.⁽²⁾		10,186		422
Chesapeake Energy Corp.⁽²⁾		57,284		402
Clayton Williams Energy, Inc.⁽²⁾⁽³⁾		3,534		422
Continental Resources, Inc.⁽²⁾		7,994		412


	SHARES		VALUE
Energy—(continued)
CVR Energy, Inc.⁽³⁾		17,727	$	450
Exterran Corp.⁽²⁾		17,402		416
Hess Corp.		6,604		411
Par Pacific Holdings, Inc.⁽²⁾⁽³⁾		28,030		408
RPC, Inc.⁽³⁾		20,754		411
Transocean Ltd.⁽²⁾		28,499		420
W&T Offshore, Inc.⁽²⁾⁽³⁾		143,912		399
Western Refining, Inc.		10,762		407

				4,980

Financials—14.5%
Altisource Portfolio Solutions SA⁽²⁾⁽³⁾		15,868		422
American Financial Group, Inc.		4,805		423
AmTrust Financial Services, Inc.		15,273		418
Berkley (W.R.) Corp.		6,312		420
Berkshire Hathaway, Inc. Class B⁽²⁾		2,529		412
BOK Financial Corp.		5,010		416
Brown & Brown, Inc.		9,397		422
Charles Schwab Corp. (The)		10,564		417
Cohen & Steers, Inc.		12,298		413
Colony Capital, Inc. Class A		20,746		420
Credit Acceptance Corp.⁽²⁾⁽³⁾		1,956		426
Erie Indemnity Co. Class A		3,718		418
First Citizens BancShares, Inc. Class A		1,156		410
Franklin Resources, Inc.		10,420		413
Gaming and Leisure Properties, Inc.		13,807		423
Greenlight Capital RE Ltd. Class A⁽²⁾		17,539		400
Hilltop Holdings, Inc.		14,164		422
Leucadia National Corp.		17,895		416
Loews Corp.		8,811		413
Mercury General Corp.		6,977		420
Morningstar, Inc.		5,661		416
National General Holdings Corp.		16,820		420
Ocwen Financial Corp.⁽²⁾⁽³⁾		76,674		413
PJT Partners, Inc. Class A		13,745		425
Raymond James Financial, Inc.		5,887		408
Third Point Reinsurance Ltd.⁽²⁾		34,908		403
WisdomTree Investments, Inc.⁽³⁾		36,550		407

				11,236

Health Care—3.6%
Akorn, Inc.⁽²⁾		19,927		435
Bruker Corp.		19,630		416
Cerner Corp.⁽²⁾		8,797		417


	SHARES		VALUE
Health Care—(continued)
Danaher Corp.		5,366	$	417
Halozyme Therapeutics, Inc.⁽²⁾		41,166		407
Intrexon Corp.⁽²⁾⁽³⁾		16,416		399
OPKO Health, Inc.⁽²⁾⁽³⁾		36,299		337

				2,828

Industrials—11.3%
Air Lease Corp.		11,944		410
American Railcar Industries, Inc.⁽³⁾		9,002		408
Cintas Corp.		3,499		404
Colfax Corp.⁽²⁾		11,564		415
Covanta Holding Corp.		27,022		422
FedEx Corp.		2,204		410
Fortive Corp.		7,778		417
Heartland Express, Inc.		20,249		412
Herc Holdings, Inc.⁽²⁾		10,324		415
Hertz Global Holdings, Inc.⁽²⁾		19,186		414
Manitowoc Co., Inc. (The)⁽²⁾		67,912		406
Manitowoc Foodservice, Inc.⁽²⁾		23,337		451
MasTec, Inc.⁽²⁾		10,732		411
MSC Industrial Direct Co., Inc. Class A		4,477		414
Navistar International Corp.⁽²⁾		13,591		426
Rollins, Inc.		12,604		426
Seaspan Corp.		47,207		431
Timken Co. (The)		10,365		411
W.W. Grainger, Inc.		1,768		411
Werner Enterprises, Inc.		15,307		413
XPO Logistics, Inc.⁽²⁾		9,589		414

				8,741

Information Technology—11.8%
Alphabet, Inc. Class C⁽²⁾		531		410
Amkor Technology, Inc.⁽²⁾		38,336		404
Anixter International, Inc.⁽²⁾		5,159		418
CommerceHub, Inc. Series C⁽²⁾		28,012		421
eBay, Inc.⁽²⁾		14,234		423
EchoStar Corp. Class A⁽²⁾		8,073		415
Facebook, Inc. Class A⁽²⁾		3,579		412
IAC/InterActiveCorp⁽²⁾		6,360		412
Intuit, Inc.		3,599		412
Marvell Technology Group Ltd.		29,430		408
National Instruments Corp.		13,773		425
Oracle Corp.		10,791		415
Paychex, Inc.		6,841		416


	SHARES		VALUE
Information Technology—(continued)
PayPal Holdings, Inc.⁽²⁾		10,587	$	418
Pegasystems, Inc.		11,622		418
RealPage, Inc.⁽²⁾		13,853		416
salesforce.com, Inc.⁽²⁾		6,017		412
SS&C Technologies Holdings, Inc.		14,545		416
Syntel, Inc.		21,280		421
TeleTech Holdings, Inc.		13,671		417
Xerox Corp.		46,679		408
Yahoo!, Inc.⁽²⁾		10,923		422

				9,139

Materials—5.5%
Freeport-McMoRan, Inc.⁽²⁾		30,470		402
Huntsman Corp.		21,606		412
LyondellBasell Industries N.V. Class A		4,807		412
NewMarket Corp.		990		420
Novagold Resources, Inc.⁽²⁾⁽³⁾		107,911		492
Platform Specialty Products Corp.⁽²⁾		44,009		432
Scotts Miracle-Gro Co. (The) Class A		4,389		419
Silgan Holdings, Inc.		8,260		423
Timkensteel Corp.⁽²⁾		25,838		400
Westlake Chemical Corp.		7,407		415

				4,227

Real Estate—6.6%
American Homes 4 Rent Class A		20,639		433
Boston Properties, Inc.		3,375		424
Equity Lifestyle Properties, Inc.		5,980		431
Equity Residential		6,677		430
Host Hotels & Resorts, Inc.		22,392		422
Howard Hughes Corp. (The)⁽²⁾		3,682		420
Marcus & Millichap, Inc.⁽²⁾		15,283		408
Seritage Growth Properties Class A		9,276		396
Simon Property Group, Inc.		2,384		424
Taubman Centers, Inc.		5,798		429
Urban Edge Properties		15,760		433
Vornado Realty Trust		4,078		426

				5,076

TOTAL COMMON STOCKS (Identified Cost $63,215)				76,981

TOTAL LONG TERM INVESTMENTS—99.4% (Identified Cost $63,215)				76,981


	SHARES		VALUE
SECURITIES LENDING COLLATERAL—10.2%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The)-Institutional Shares (seven-day effective yield 0.670%)⁽⁴⁾⁽⁵⁾		7,890,333	$	7,890

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $7,890)				7,890

TOTAL INVESTMENTS—109.6% (Identified Cost $71,105)				84,871	⁽¹⁾
Other assets and liabilities, net—(9.6)%				(7,403	)

NET ASSETS—100.0%			$	77,468

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2016, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	All or a portion of security is on loan.

⁽⁴⁾	Represents security purchased with cash collateral received for securities on loan.

⁽⁵⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2016 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at December 31, 2016.

The significant accounting policies consistently followed by the Virtus Opportunities Trust (the “Trust”), a trust consisting of 31 Funds (each a “Fund”), in the preparation of the Schedules of Investments are summarized below and for derivatives, included in Note 1B below. The preparation of the Schedules of Investments in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the Schedules of Investments. Actual results could differ from those estimates, and those differences could be significant.

Security valuation procedures for the Trust, which include nightly price variance, as well as back-testing items such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Trustees (the “Board”, or the “Trustees”). All internally fair valued securities are approved by a valuation committee (the “Valuation Committee”) appointed by the Board. The Valuation Committee is comprised of certain members of management as identified to the Board and convenes independently from portfolio management. All internally fair valued securities are updated daily and reviewed in detail by the Valuation Committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of the model inputs and any changes to the model. Fair valuations are reviewed quarterly by the Board.

The Funds utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers between levels at the end of the reporting period.

A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.

Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Fund calculates its net asset value (“NAV”) (at the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases the Funds fair value non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures, exchange-traded funds (“ETFs”) and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing which considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.

Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Both are categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Funds’ net assets by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The significant unobservable inputs used in the fair value measurement of these corporate bonds are based on comparable liquid assets adjusted for accretion/amortization rate, current yield, current swap rates, and discount rates related to differences in capital structure and liquidity. Significant changes in any of these inputs in isolation would result in a significantly lower or higher fair value measurement. Generally, a change in the observable market assumptions would have direct impacts to the discount rates used related to capital structure and/or liquidity discounts.

Disclosures about derivative instruments and hedging activities are intended to enable investors to understand how and why a Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a Fund’s results of operations and financial position. Summarized below are such disclosures and accounting policies for each specific type of derivative instruments used by certain Funds.

Forward Currency Contracts: A forward currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are traded directly between currency traders and their customers.

Funds enter into forward currency contracts in conjunction with the planned purchase or sale of non-U.S. denominated securities in order to hedge the U.S. dollar cost of proceeds. The Funds also, from time to time, hedge the currency exposure of foreign denominated securities held in the portfolio,

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

back to U.S. dollars during perceived times of U.S. dollar strength. This is done to protect the U.S. dollar value of the portfolio. Forward currency contracts involve, to varying degrees, elements of market risk in excess of the amounts reflected on the Schedules of Investments. Risks arise from the possible movements in non-U.S. exchange rates or if the counterparty does not perform under the contract.

Certain Funds may invest in options contracts. An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. Certain Funds may purchase or write both put and call options on portfolio securities. The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund may use options contracts to hedge against changes in the values of equities. When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments.

The risk in writing call options is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value.

Warrants and Rights: Certain Funds hold warrants and rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Fund until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Certain Funds may loan securities to qualified brokers through an agreement with Brown Brothers Harriman (“BBH”), as a third party lending agent. Under the terms of agreement, a Fund doing so is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by a Fund net of fees and rebates charged by BBH for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Fund’s ability to repatriate such amounts.

High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk securities may be complex, and as a result, it may be more difficult for the adviser and/or subadviser to accurately predict risk.

Many municipalities insure repayment for their obligations. Although bond insurance reduces the risk of loss due to default by an issuer, such bonds remain subject to the risk that the market may fluctuate for other reasons, and there is no assurance that the insurance company will meet its obligations. Insured securities have been identified in the Schedule of Investments. A real or perceived decline in creditworthiness of a bond insurer can have an adverse impact on the value of insured bonds held in the Funds.

Certain Funds may invest a high percentage of their assets in specific sectors of the market in their pursuit of a greater investment return. Fluctuations in these sectors of concentration may have a greater impact on a Fund, positive or negative, than if a Fund did not concentrate its investments in such sectors.

Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by a Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment. Illiquid securities are footnoted as such at the end of each Fund’s Schedule of Investments, where applicable. However, a portion of such footnoted securities could be liquid where it is determined that some, though not all, of the position could be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund.

Restricted securities are illiquid securities as defined above, not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.

Each Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

The following Funds held securities considered to be illiquid at December 31, 2016:

At December 31, 2016, the Funds did not hold any securities that were both illiquid and restricted.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

From time to time, the Trust, the Funds’ Adviser and/or Subadvisers and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Adviser believes that the outcomes of such matters are not likely, either individually or in the aggregate, to be material to these financial

On February 20, 2015, a putative class action complaint (In re Virtus Investment Partners, Inc. Securities Litigation; formerly styled as Tom Cummins v. Virtus Investment Partners Inc. et al.) alleging violations of certain provisions of the federal securities laws was filed by an individual shareholder against Virtus and certain of its officers (the “defendants”) in the United States District Court for the Southern District of New York. On August 21, 2015, the lead plaintiff filed a Consolidated Class Action Complaint (the “Consolidated Complaint”) amending the originally filed complaint and adding the Trust as a defendant. The Consolidated Complaint was purportedly filed on behalf of all purchasers of Virtus common stock between January 25, 2013 and May 11, 2015 (the “Class Period”). The Consolidated Complaint alleges that during the Class Period, the defendants disseminated materially false and misleading statements and concealed material adverse facts relating to certain funds previously subadvised by F-Squared Investments, Inc. and/or its affiliates (“F-Squared”). The plaintiff seeks to recover unspecified damages. A motion to dismiss the Consolidated Complaint was filed on behalf of the defendants on October 21, 2015. Pursuant to an Opinion & Order (“Order”) filed on July 1, 2016, the court granted in part and denied in part the defendants’ motion to dismiss. Although the Order narrows the scope of the claims asserted and dismisses one of the defendants from the suit, claims under Sections 10(b) and 20(a) of the Exchange Act and Rule 10b-5 thereunder survive the motion. The remaining defendants filed an Answer to the Consolidated Complaint on August 5, 2016. The parties are briefing the plaintiff’s motion for class certification, and oral argument on class certification will be held on March 3, 2017. Virtus and its affiliates, including the Adviser, believe that the suit is without merit and intend to defend it vigorously. The Trust believes that the risk of loss to the Funds as a result of this suit is remote. The Adviser does not believe that the suit will have any impact on its ability to provide services to the Funds.

On May 8, 2015, a putative class action complaint (Mark Youngers v. Virtus Investment Partners, Inc. et al.) alleging violations of certain provisions of the federal securities laws was filed in the United States District Court for the Central District of California. The complaint, which was purportedly filed on behalf of purchasers of certain Virtus Funds previously subadvised by F-Squared between May 8, 2010 and December 22, 2014, inclusive (the “Class Period”), alleged claims against Virtus, certain Virtus officers and affiliates (including the Adviser, Euclid Advisors LLC (“Euclid”) and VP Distributors, LLC), the trustees and certain officers of the Trust, and certain other parties (the “defendants”). The complaint alleges that during the Class Period the defendants disseminated materially false and misleading statements and concealed or omitted material facts necessary to make the statements made not misleading. On October 1, 2015, the plaintiffs filed a First Amended Class Action Complaint which, among other things, added a derivative claim for breach of fiduciary duty on behalf of the Trust. On October 19, 2015, the United States District Court for the Central District of California entered an order transferring the action to the Southern District of New York. On January 4, 2016, the plaintiffs filed a Second Amended Complaint. Motions to dismiss were filed on behalf of Virtus, its officers and affiliates and the independent trustees on February 1, 2016. An Opinion & Order (“Order”) granting in part and denying in part the defendants’ motions to dismiss was issued on July 1, 2016. The Order dismissed all claims against the Adviser, Euclid, the independent trustees and certain of the other individual defendants, and narrowed the claims asserted against the remaining defendants. The remaining defendants filed an Answer to the Second Amended Complaint on August 5, 2016. A Stipulation of Voluntary Dismissal of the claim under Section 12 of the Securities Act of 1933, as amended, was filed on September 15, 2016. The remaining defendants filed a motion to certify an interlocutory appeal of the

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

July 1, 2016 order to the Court of Appeals for the Second Circuit on August 26, 2016. The motion was denied on January 6, 2017. The parties are briefing the plaintiffs’ motion for class certification, and oral argument on class certification will be held on March 3, 2017. Virtus and its affiliates, including the Adviser, believe that the suit has no basis in law or fact and intend to defend it vigorously. The Trust believes that the risk of loss to the Funds as a result of this suit is remote. The Adviser does not believe that the suit will have any impact on its ability to provide services to the Funds.

Management has evaluated the impact of all subsequent events on the Funds through the date the Schedules of Investments (“N-Q”) were filed, and has determined that the following subsequent events require recognition or disclosure in these Notes to Schedules of Investments.

On January 18, 2017, the Board of Trustees of Virtus Opportunities Trust voted to liquidate Virtus Emerging Markets Equity Income Fund and Virtus Essential Resources Fund (the “Funds”). Based on the recommendation of management, the Trustees determined that liquidation is in the best interest of the shareholders and voted to direct the mandatory redemption of all shares of the Funds. Effective March 3, 2017, the Funds will be closed to new investors and additional investor deposits. On or about March 15, 2017 (the “Liquidation Date”), each of the Funds will be liquidated at its respective net asset value.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

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.


Investments in Securities	Total			Corporate Bonds and Notes
Balance as of September 30, 2016:	$	240		$	240
Accrued discount/(premium)		—	^(c)		—	^(c)
Realized gain (loss)		—	^(c)		—	^(c)
Change in unrealized appreciation (depreciation)		—	^(c)		—	^(c)
Purchases		32			32
Sales^(b)		(36	)		(36	)
Transfers into Level 3^(a)		—			—
Transfers from Level 3 ^(a)		—			—

Balance as of December 31, 2016	$	236		$	236


	Total Value at December 31, 2016		Level 2 Significant Observable Inputs
Debt Securities:
Municipal Tax-Exempt Bonds	$	24,592	$	24,592

Total Investments	$	24,592	$	24,592


Investments in Securities	Corporate Notes and Bonds
Balance as of September 30, 2016:	$	38
Accrued discount/(premium)		—
Realized gain (loss)		(118	)
Change in unrealized appreciation (depreciation)		119
Purchases		—
Sales^(b)		(39	)
Transfers into Level 3^(a)		—
Transfers from Level 3 ^(a)		—
Balance as of December 31, 2016	$	—

Virtus Opportunities Trust – ‘N-Q’ for 12/31/16

On: Tuesday, 2/28/17, at 11:36am ET · Effective: 2/28/17 · For: 12/31/16 · Accession #: 1193125-17-61055 · File #: 811-07455

Previous ‘N-Q’: ‘N-Q’ on 8/29/16 for 6/30/16 · Next: ‘N-Q’ on 8/29/17 for 6/30/17 · Latest: ‘N-Q’ on 3/1/19 for 12/31/18

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-Q
Filing Table of Contents

N-Q — Virtus Opportunities Trust

This is an HTML Document rendered as filed. [ Alternative Formats ]

Dates Referenced Herein and Documents Incorporated by Reference


	Total Value at December 31, 2016		Level 1 Quoted Prices
Equity Securities:
Affiliated Mutual Funds	$	26,897	$	26,897
Exchange-Traded Funds		27,817		27,817

Total Investments	$	54,714	$	54,714


Country Weightings †
United States	84	%
Mexico	2
Chile	1
United Kingdom	1
Netherlands	1
Canada	1
Switzerland	1
Other	9

Total	100	%


	Total Value at December 31, 2016		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Debt Securities:
Asset-Backed Securities	$	3,857	$	—	$	3,857	$	—
Corporate Bonds And Notes		35,123		—		34,887		236
Foreign Government Securities		1,850		—		1,850		—
Loan Agreements		2,957		—		2,957		—
Mortgage-Backed Securities		18,232		—		18,232		—
Municipal Bonds		1,781		—		1,781		—
U.S. Government Securities		3,107		—		3,107		—
Equity Securities:
Affiliated Mutual Fund		1,168		1,168		—		—
Exchange-Traded Funds		788		788		—		—
Preferred Stocks		2,669		470		2,199		—

Total Investments	$	71,532	$	2,426	$	68,870	$	236


Country Weightings †
Mexico	9	%
Brazil	7
Turkey	7
Argentina	6
Indonesia	5
Russia	5
South Africa	4
Other	57

Total	100	%


Country Weightings †
China	27	%
Taiwan	17
Brazil	10
India	9
South Korea	9
South Africa	8
Thailand	5
Other	15

Total	100	%


Country Weightings †
United States	63	%
Japan	6
United Kingdom	6
Germany	5
Australia	5
Canada	3
Netherlands	3
Other	9

Total	100	%


Investments in Securities	Common Stocks
Balance as of September 30, 2016:	$	0	⁽¹⁾
Accrued discount/(premium)		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		1
Purchases		—
Sales		—
Transfers into Level 3^(a)		—
Transfers from Level 3 ^(a)		—

Balance as of December 31, 2016	$	1	⁽¹⁾


Country Weightings †
United Kingdom	18	%
France	18
Switzerland	15
United States	13
Netherlands	9
Germany	9
Spain	7
Other	11

Total	100	%


Investments in Securities	Total			Asset-Backed Securities		Corporate Bonds And Notes			Loan Agreements			Common Stocks		Rights		Warrants
Balance as of September 30, 2016:	$	312		$	255	$	19		$	38		$	—	$	—	$	—
Accrued discount/(premium)		—			—		—			—			—		—		—
Realized gain (loss)		(356	)		—		(82	)		(274	)		—		—		—
Change in unrealized appreciation (depreciation)		343			3		82			251			—		7		—
Purchases		19			—		—			—			8		7		4
Sales^(b)		(31	)		—		(19	)		(12	)		—		—		—
Transfers into Level 3^(a)
		83			—		—			83			—		—		—
Transfers from Level 3^(a)		—			—		—			—			—		—		—

Balance as of December 31, 2016	$	370		$	258	$	—		$	86		$	8	$	14	$	4


	Total Value at December 31, 2016		Level 1 Quoted Prices		Level 3 Significant Unobservable Inputs
Equity Securities:
Common Stocks	$	30,048	$	30,010	$	38	*

Total Investments	$	30,048	$	30,010	$	38	*


	Total Value at December 31, 2016		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Debt Securities:
Corporate Bonds And Notes	$	30,967	$	—	$	29,258	$	1,709
Loan Agreements		565,693		—		561,572		4,121
Mortgage-Backed Securities		1,152		—		1,152		—
Equity Securities:
Affiliated Mutual Fund		6,048		6,048		—		—
Common Stocks		2,403		2,369		—		34
Rights		252		—		—		252
Warrants		18		—		—		18

Total Investments	$	606,533	$	8,417	$	591,982	$	6,134


				Corporate Bonds			Loan Agreements
Investments in Securities	Total			Corporate Bonds			Loan Agreements			Common Stock		Rights		Warrants
Balance as of September 30, 2016:	$	1,846		$	1,736		$	110		$	—	$	—	$	—
Accrued discount/(premium)		1			1			—			—		—		—
Realized gain (loss)		(1,239	)		—			(1,239	)		—		—		—
Change in unrealized appreciation (depreciation)		1,311			(1	)		1,189			—		123		—
Purchases		670			229			260			34		129		18
Sales^(b)		(309	)		(256	)		(53	)		—		—		—
Transfers into Level 3^(a)		3,854			—			3,854			—		—		—
Transfers from Level 3^(a)		—			—			—			—		—		—

Balance as of December 31, 2016	$	6,134		$	1,709		$	4,121		$	34	$	252	$	18


Fund	Market value		Collateral
Emerging Markets Opportunities Fund	$	12,196	$	12,325
International Small-Cap Fund		301		318
International Wealth Masters Fund		79		83
Wealth Masters Fund		7,574		7,890


	Fund Aggregate Value ($ reported in thousands)		% of Fund’s net assets
Bond Fund	$	236		0.3	%
Global Real Estate Securities Fund		1		0.0
High Yield Fund		101		0.1
International Real Estate Fund		38		0.1
International Small Cap Fund		1,543		2.6
Multi-Sector Intermediate Bond Fund		864		0.3
Multi-Sector Short Term Bond Fund		24		0.0
Senior Floating Rate Fund		3,732		0.6


Fund	Federal Tax Cost			Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Alternatives Diversifier Fund	$	73,978		$	3,337	$	(22,601	)	$	(19,264	)
Bond Fund		71,580			1,269		(1,317	)		(48	)
CA Tax-Exempt Bond		24,035			943		(386	)		557
Emerging Markets Debt Fund		31,855			677		(1,791	)		(1,114	)
Emerging Markets Equity Income Fund		24,859			1,615		(1,034	)		581
Emerging Markets Opportunities Fund		6,514,503			452,221		(525,324	)		(73,103	)
Emerging Markets Small-Cap Fund		5,360			165		(314	)		(149	)
Equity Trend Fund		679,516			73,593		(8,971	)		64,622
Essential Resources Fund		4,805			119		(288	)		(169	)
Foreign Opportunities Fund		961,041			316,113		(42,405	)		273,708
Global Equity Fund		17,128			1,285		(259	)		1,026
Global Infrastructure Fund		103,450			8,488		(5,396	)		3,092
Global Opportunities Fund		137,614			38,274		(3,295	)		34,979
Global Real Estate Securities Fund		172,028			9,785		(4,944	)		4,841
Greater European Opportunities Fund		15,980			2,536		(356	)		2,180
Herzfeld Fund		53,298			1,775		(1,382	)		393
High Yield Fund		71,164			2,193		(1,911	)		282
International Equity Fund		3,569			432		(80	)		352
International Real Estate Securities Fund		28,916			5,937		(4,805	)		1,132
International Small-Cap Fund		47,801			4,719		(2,464	)		2,255
International Wealth Masters Fund		5,327			465		(547	)		(82	)
Low Duration Income Fund		363,019			1,506		(2,448	)		(942	)
Low Volatility Equity Fund		2,552			43		—			43
Low Volatility Equity Fund (Written Options)		(9	)		6		—			6
Multi-Asset Trend Fund		111,026			4,947		(1,375	)		3,572
Multi-Sector Intermediate Fund		304,753			6,420		(13,503	)		(7,083	)
Multi-Sector Short Term Bond Fund		6,994,263			97,550		(120,196	)		(22,646	)
Real Estate Securities Fund		755,319			334,881		(12,261	)		322,620
Sector Trend Fund		336,143			18,132		(1,516	)		16,616
Senior Floating Rate Fund		607,451			6,798		(7,716	)		(918	)
Tax Exempt Bond Fund		162,175			7,333		(2,415	)		4,918
Wealth Masters Fund		76,692			11,231		(3,052	)		8,179



By (Signature and Title)*		/s/ *George R. Aylward*
		George R. Aylward, President
		(principal executive officer)


By (Signature and Title)*		/s/ *W. Patrick Bradley*
		W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer
		(principal financial officer)

This ‘N-Q’ Filing	Date	Other Filings

	3/15/17
	3/3/17
Filed on / Effective on:	2/28/17
	1/18/17
	1/6/17
For Period End:	12/31/16
	9/30/16	24F-2NT, 497, N-CSR, NSAR-B
	9/15/16
	8/26/16
	8/5/16
	7/1/16
	2/1/16
	1/4/16
	10/21/15
	10/19/15
	10/1/15
	9/30/15	24F-2NT, N-CSR, NSAR-B
	8/21/15	40-APP
	5/11/15	497, 497K
	5/8/15
	2/20/15
	12/22/14
	1/25/13	485BPOS
	5/8/10
		List all Filings

Virtus Opportunities Trust – ‘N-Q’ for 12/31/16

On: Tuesday, 2/28/17, at 11:36am ET · Effective: 2/28/17 · For: 12/31/16 · Accession #: 1193125-17-61055 · File #: 811-07455

Previous ‘N-Q’: ‘N-Q’ on 8/29/16 for 6/30/16 · Next: ‘N-Q’ on 8/29/17 for 6/30/17 · Latest: ‘N-Q’ on 3/1/19 for 12/31/18

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-QFiling Table of Contents

N-Q — Virtus Opportunities Trust

This is an HTML Document rendered as filed. [ Alternative Formats ]

Dates Referenced Herein and Documents Incorporated by Reference

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-Q
Filing Table of Contents