SEC Info - Virtus Opportunities Trust - ‘N-Q’ for 12/31/15

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 FUND⁽³⁾—56.6%
Equity Funds—45.6%
Virtus Global Infrastructure Fund		716,869	$	8,868
Virtus Global Real Estate Securities Fund		241,825		6,435
Virtus International Real Estate Securities Fund		1,070,291		7,053
Virtus Real Estate Securities Fund		228,433		7,780

				30,136

Fixed Income Funds—11.0%
Virtus Senior Floating Rate Fund		801,824		7,289

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $29,094)				37,425

EXCHANGE-TRADED FUND⁽³⁾—42.9%
Global X Uranium Fund		14,300		200
iShares S&P North American Natural Resources Sector Index Fund		180,010		5,066
Market Vectors Agribusiness Fund		29,600		1,376
PowerShares DB Commodity Index Tracking Fund⁽²⁾		411,400		5,496
PowerShares DB G10 Currency Harvest Fund⁽²⁾		456,650		10,658
WisdomTree Managed Futures Strategy Fund⁽²⁾		133,600		5,621

TOTAL EXCHANGE-TRADED FUND (Identified Cost $30,860)				28,417

TOTAL LONG TERM INVESTMENTS—99.5% (Identified Cost $59,954)				65,842

TOTAL INVESTMENTS—99.5% (Identified Cost $59,954)				65,842	⁽¹⁾
Other assets and liabilities, net—0.5%				313

NET ASSETS—100.0%			$	66,155

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	All of these funds are public funds 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, 2015 (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, 2015.


	PAR VALUE		VALUE
U.S. GOVERNMENT SECURITY—9.0%
U.S. Treasury Note
0.500%, 9/30/16	$	2,500	$	2,496
1.375%, 4/30/20		1,490		1,471
2.000%, 2/15/25		2,665		2,605

TOTAL U.S. GOVERNMENT SECURITY (Identified Cost $6,615)				6,572

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

Michigan—0.0%
City of Flat Rock Finance Authority, Series A, Taxable 6.750%, 10/1/16		20		21

TOTAL MUNICIPAL BONDS (Identified Cost $275)				280

FOREIGN GOVERNMENT SECURITIES—0.6%
Mongolia 144A 5.125%, 12/5/22⁽³⁾		200		160
Republic of Costa Rica 144A 7.000%, 4/4/44⁽³⁾		200		167
Republic of El Salvador 144A 6.375%, 1/18/27⁽³⁾		155		132

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $533)				459

MORTGAGE-BACKED SECURITIES—24.5%
Agency—9.9%
FHLMC
5.000%, 12/1/35		34		38
4.000%, 2/1/45		549		580
3.500%, 3/1/45		380		392
3.000%, 5/1/45		146		146
FNMA
6.500%, 6/1/16		3		3
6.000%, 7/1/17		5		5
5.500%, 9/1/17		9		10
5.000%, 4/1/20		76		80
5.000%, 8/1/21		27		28
6.000%, 5/1/29		33		38
6.500%, 5/1/30		1		1
7.000%, 7/1/31		17		19
5.500%, 4/1/36		52		58


	PAR VALUE		VALUE
Agency—(continued)
5.500%, 9/1/36	$	200	$	225
6.000%, 9/1/37		24		28
6.000%, 8/1/38		259		296
6.000%, 8/1/38		15		16
5.000%, 6/1/39		663		740
5.000%, 9/1/39		178		199
5.500%, 9/1/39		355		396
4.500%, 9/1/40		277		305
3.500%, 12/1/42		312		323
3.000%, 3/1/43		523		522
3.000%, 5/1/43		157		157
3.000%, 5/1/43		358		359
4.000%, 9/1/44		163		172
3.000%, 8/1/45		603		604
3.500%, 8/1/45		704		727
3.500%, 8/1/45		748		773
GNMA 6.500%, 9/15/28		30		34

				7,274

Non-Agency—14.6%
A-10 Securitization LLC 13-1, B 144A 4.120%, 11/15/25⁽³⁾		260		259
Access Point Financial, Inc. 15-A, A 144A 2.610%, 4/15/20⁽³⁾		161		161
American Homes 4 Rent
14-SFR2, C 144A 4.705%, 10/17/36⁽³⁾		195		193
15-SFR2, C 144A 4.691%, 10/17/45⁽³⁾		125		122
15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		222		218
Ameriquest Mortgage Securities, Inc. 03-AR3, M4 4.285%, 6/25/33⁽²⁾		130		123
Aventura Mall Trust 13-AVM, C 144A 3.867%, 12/5/32⁽²⁾⁽³⁾		205		208
B2R Mortgage Trust 15-1, A1 144A 2.524%, 5/15/48⁽³⁾		108		105
Banc of America Funding Trust
04-B, 2A1 2.884%, 11/20/34⁽²⁾		88		87
05-1, 1A1 5.500%, 2/25/35		103		104
Banc of America Mortgage Trust 05-3, 1A15 5.500%, 4/25/35		98		99
Bank of America (Merrill Lynch - Countrywide) Asset-Backed Certificates 05-1 AF5A 5.159%, 7/25/35⁽²⁾		308		304


	PAR VALUE		VALUE
Non-Agency—(continued)
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust 04-6, 1A2 2.613%, 5/25/34⁽²⁾	$	307	$	306
Bank of America (Merrill Lynch - Countrywide) Mortgage Trust 06-C1, AM 5.666%, 5/12/39⁽²⁾		100		100
Citigroup Commercial Mortgage Trust 07-C6, A4 5.709%, 12/10/49⁽²⁾		350		362
CSAIL Commercial Mortgage Trust 15-C2, AS 3.849%, 6/15/57		375		373
CSMC Mortgage-Backed Trust 06-8 6.000%, 10/25/21		155		149
Deutsche Bank-UBS Mortgage Trust 11-LC3A, D 144A 5.464%, 8/10/44⁽²⁾⁽³⁾		180		187
Finnish Real Estate Management Federation (FREMF) Mortgage Trust 144A 3.389%, 7/25/22⁽²⁾⁽³⁾		110		96
Freddie Mac Structured Agency Notes 15-DNA3, M2 3.272%, 4/25/28⁽²⁾		250		250
Goldman Sachs Mortgage Securities Trust 07-GG10, A4 5.794%, 8/10/45⁽²⁾		650		667
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾		73		75
Jefferies Resecuritization Trust 14-R1, 1A1 144A 4.000%, 12/27/37⁽³⁾		84		84
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities, Inc.
06-PWR13, AM 5.582%, 9/11/41⁽²⁾		385		393
07-PW15, AM 5.363%, 2/11/44		140		143
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 03-S11, 3A5 5.950%, 11/25/33		205		211
JPMorgan Chase Commercial Mortgage Securities Trust
10-CNTR, D 144A 6.184%, 8/5/32⁽²⁾⁽³⁾		200		222
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		129		134
06-LDP9, A3 5.336%, 5/15/47		124		126
JPMorgan Chase Mortgage Trust 04-A4, 2A1 2.594%, 9/25/34⁽²⁾		236		240
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35⁽²⁾⁽³⁾		156		159
Morgan Stanley - Bank of America (Merrill Lynch) Trust
15-C22, AS 3.561%, 4/15/48		310		305


	PAR VALUE		VALUE
Non-Agency—(continued)
15-C26, 4.412%, 11/15/48	$	195	$	188
Morgan Stanley Capital I Trust
07-T27, A4 5.821%, 6/11/42⁽²⁾		556		581
08-T29, A4 6.461%, 1/11/43⁽²⁾		574		611
07-IQ14, A4 5.692%, 4/15/49⁽²⁾		300		308
07-IQ14, AM 5.865%, 4/15/49⁽²⁾		190		193
Morgan Stanley Capital I, Inc. 15-MS1, AS 4.029%, 5/15/48⁽²⁾		250		257
Motel 6 Trust 15-MTL6, B 144A 3.298%, 2/5/30⁽³⁾		210		208
New Residential Mortgage Loan Trust 14-1A, A 144A 3.750%, 1/25/54⁽²⁾⁽³⁾		214		218
Novastar Home Equity Loan 04-4, M5 2.147%, 3/25/35⁽²⁾		185		179
Residential Asset Securitization Trust 05-A1, A3 5.500%, 4/25/35		167		169
Residential Mortgage Loan Trust 15-2A, A1 3.750%, 8/25/55⁽²⁾		142		145
Sequoia Mortgage Trust 14-2, A1 144A 4.000%, 7/25/44⁽²⁾⁽³⁾		139		142
Vericrest Opportunity Loan Trust
15-NP11, A1 144A 3.625%, 7/25/45⁽²⁾⁽³⁾		143		141
15-NPL4, A1 144A 3.500%, 2/25/55⁽²⁾⁽³⁾		191		189
Wells Fargo (Royal Bank of Scotland plc) Commercial Mortgage Trust 11-C5, C 144A 5.822%, 11/15/44⁽²⁾⁽³⁾		205		222
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust 15-LC20, B 3.719%, 4/15/50		300		285
WinWater Mortgage Loan Trust 14-1, A1 144A 3.964%, 6/20/44⁽²⁾⁽³⁾		104		107

				10,708

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $17,826)				17,982

ASSET-BACKED SECURITIES—5.0%
AmeriCredit Automobile Receivables Trust 14-1, D 2.540%, 6/8/20		235		235
Avis Budget Rental Car Funding LLC (AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽³⁾		375		375
CarMax Auto Owner Trust 15-2, C 2.390%, 3/15/21		235		233
Centre Point Funding LLC 12-2A, 1 144A 2.610%, 8/20/21⁽³⁾		273		269


	PAR VALUE		VALUE
Drive Auto Receivables Trust 15-D, 144A 3.380%, 11/15/21⁽³⁾	$	260	$	259
Drug Royalty LP II 14-1, A2 144A 3.484%, 7/15/23⁽³⁾		201		202
Exeter Automobile Receivables Trust 13-1A, C 144A 3.520%, 2/15/19⁽³⁾		235		235
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		146		145
Orange Lake Timeshare Trust 12-AA, A 144A 3.450%, 3/10/27⁽³⁾		58		59
Santander Drive Auto Receivables Trust
12-2, D 3.870%, 2/15/18		500		505
13-1, D 2.270%, 1/15/19		215		215
Sierra Timeshare Receivables Funding LLC 12-3A, A 144A 1.870%, 8/20/29⁽³⁾		114		114
Silverleaf Finance LLC XV 12-D, A 144A 3.000%, 3/17/25⁽³⁾		56		56
SoFi Professional Loan Program LLC 15-A, A2 144A 2.420%, 3/25/30⁽³⁾		145		143
TAL Advantage V LLC
13-1A A 144A 2.830%, 2/22/38⁽³⁾		215		214
14-3A, A 144A 3.270%, 11/21/39⁽³⁾		169		166
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽³⁾		268		273

TOTAL ASSET-BACKED SECURITIES (Identified Cost $3,714)				3,698

CORPORATE BONDS AND NOTES—48.6%
Consumer Discretionary—6.7%
Aramark Services Inc. 144A 5.125%, 1/15/24⁽³⁾		75		77
Argos Merger Sub, Inc. 144A 7.125%, 3/15/23⁽³⁾		135		134
Boyd Gaming Corp.
9.000%, 7/1/20		100		106
6.875%, 5/15/23		75		77
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽⁴⁾		100		76
CCO Holding Safari LLC 144A 5.750%, 2/15/26⁽³⁾		120		121
CCO Holdings LLC 144A 5.125%, 5/1/23⁽³⁾		80		80
CCO Safari II LLC 144A 4.908%, 7/23/25⁽³⁾		80		80
Cequel Communications Holdings I LLC (Cequel Capital Corp.)
144A 5.125%, 12/15/21⁽³⁾		45		41
144A 5.125%, 12/15/21⁽³⁾		110		99
Churchill Downs, Inc. 144A 5.375%, 12/15/21⁽³⁾		45		45


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20	$	175	$	162
Columbus International, Inc. Series B, 144A 7.375%, 3/30/21⁽³⁾		200		199
Delphi Automotive plc 3.150%, 11/19/20		145		145
Grupo Televisa SAB 4.625%, 1/30/26		200		198
Jarden Corp. 144A 5.000%, 11/15/23⁽³⁾		25		26
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		260		275
M/I Homes, Inc. 144A 6.750%, 1/15/21⁽³⁾		95		94
MDC Holdings, Inc. 5.500%, 1/15/24		180		183
Meritor, Inc. 6.750%, 6/15/21		125		116
MGM Resorts International 6.000%, 3/15/23		85		84
MPG Holdco I, Inc. 7.375%, 10/15/22		145		147
NCL Corp. Ltd. 144A 4.625%, 11/15/20⁽³⁾		55		54
New York University 4.142%, 7/1/48		70		66
Numericable Group SA 144A 6.000%, 5/15/22⁽³⁾		200		194
Omega US Sub LLC 144A 8.750%, 7/15/23⁽³⁾		155		144
Party City Holdings, Inc. 144A 6.125%, 8/15/23⁽³⁾		20		19
Penn National Gaming, Inc. 5.875%, 11/1/21		110		107
Pinnacle Entertainment, Inc. 6.375%, 8/1/21		175		185
Priceline Group, Inc. (The) 3.650%, 3/15/25		195		190
QVC, Inc. 4.375%, 3/15/23		265		252
Scientific Games International, Inc. 6.625%, 5/15/21		95		45
Signet UK Finance plc 4.700%, 6/15/24		210		207
Station Casinos LLC 7.500%, 3/1/21		230		236
Toll Brothers Finance Corp.
4.000%, 12/31/18		40		41
6.750%, 11/1/19		220		243
TRI Pointe Holdings, Inc. 5.875%, 6/15/24		155		151
Wyndham Worldwide Corp. 5.625%, 3/1/21		235		253

				4,952

Consumer Staples—1.5%
Constellation Brands, Inc. 4.750%, 12/1/25		35		36
Flowers Foods, Inc. 4.375%, 4/1/22		275		286
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25⁽³⁾		60		59
Reynolds American, Inc. 3.250%, 11/1/22		295		292
Rite Aid Corp. 144A 6.125%, 4/1/23⁽³⁾		40		42
Safeway, Inc. 7.250%, 2/1/31		115		103
Tops Holding LLC (Tops Markets II Corp.) 144A 8.000%, 6/15/22⁽³⁾		155		153


	PAR VALUE			VALUE
Consumer Staples—(continued)
Whole Foods Market, Inc. 144A 5.200%, 12/3/25⁽³⁾	$	143		$	143

					1,114

Energy—2.5%
Antero Resources Corp. 144A 5.625%, 6/1/23⁽³⁾		80			63
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		45			31
CONSOL Energy, Inc. 5.875%, 4/15/22		105			66
Enbridge Energy Partners LP 4.375%, 10/15/20		30			29
FTS International, Inc. 6.250%, 5/1/22		60			17
Helmerich & Payne International Drilling Co. 4.650%, 3/15/25		115			115
Kinder Morgan Energy Partners LP 7.500%, 11/15/40		245			224
MPLX LP 144A 4.875%, 12/1/24⁽³⁾		255			229
Newfield Exploration Co. 5.375%, 1/1/26		150			124
NGL Energy Partners LP (NGL Energy Finance Corp.) 5.125%, 7/15/19		155			123
Sabine Pass Liquefaction LLC 6.250%, 3/15/22		140			130
Sunoco LP (Sunoco Finance Corp.) 144A 6.375%, 4/1/23⁽³⁾		215			203
Weatherford International Ltd. 4.500%, 4/15/22		310			224
Williams Cos., Inc. (The)
3.700%, 1/15/23		200			138
4.550%, 6/24/24		170			119

					1,835

Financials—21.9%
Air Lease Corp. 2.625%, 9/4/18		70			69
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾		375	^TRY		115
Allstate Corp. (The) 5.750%, 8/15/53⁽²⁾⁽⁶⁾		310			319
Ally Financial, Inc. 3.250%, 11/5/18		95			93
American Campus Communities LP 3.350%, 10/1/20		25			25
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 Finance Co., LLC 144A 4.000%, 10/8/24⁽³⁾		270			251
Banco de Credito del Peru 144A 6.125%, 4/24/27⁽²⁾⁽³⁾		240			251


	PAR VALUE		VALUE
Financials—(continued)
Banco de Credito e Inversiones 144A 4.000%, 2/11/23⁽³⁾	$	275	$	273
Banco Inbursa SA Institucion de Banca Multiple 144A 4.125%, 6/6/24⁽³⁾		160		150
Banco Internacional del Peru SAA 144A 6.625%, 3/19/29⁽²⁾⁽³⁾		300		303
Banco Nacional de Comercio Exterior SNC 144A 4.375%, 10/14/25⁽³⁾		200		197
Banco Santander Chile 144A 3.875%, 9/20/22⁽³⁾		450		448
Bancolombia S.A. 5.125%, 9/11/22		260		249
Bank of America Corp.
2.000%, 1/11/18		150		150
5.625%, 7/1/20		235		261
Bank of India 144A 3.250%, 4/18/18⁽³⁾		265		269
Barclays Bank plc 144A 6.050%, 12/4/17⁽³⁾		250		267
Brixmor Operating Partnership LP 3.875%, 8/15/22		55		55
Capital One Financial Corp. 4.200%, 10/29/25		180		178
Citizens Financial Group, Inc. 144A 5.500% ^(2)(3)(5)		160		158
Compass Bank 3.875%, 4/10/25		250		229
Corporate Office Properties LP 3.600%, 5/15/23		265		244
Corrections Corp. of America 5.000%, 10/15/22		325		325
CTR Partnership LP (Caretrust Capital Corp.) 5.875%, 6/1/21		130		132
CyrusOne LP / CyrusOne Finance Corp. 6.375%, 11/15/22		160		166
Developers Diversified Realty Corp.
7.875%, 9/1/20		155		185
3.500%, 1/15/21		130		129
Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22⁽³⁾		290		255
Digital Realty Trust LP 5.250%, 3/15/21		165		178
Discover Financial Services, Inc. 3.950%, 11/6/24		190		188
Education Realty Operating Partnership LP 4.600%, 12/1/24		205		202
ESH Hospitality, Inc. 144A 5.250%, 5/1/25⁽³⁾		155		152
First Cash Financial Services, Inc. 6.750%, 4/1/21		100		98
Ford Motor Credit Co. LLC 5.750%, 2/1/21		235		260
FS Investment Corp.
4.250%, 1/15/20		165		166
4.750%, 5/15/22		60		58
General Motors Financial Co., Inc.
4.750%, 8/15/17		175		181


	PAR VALUE		VALUE
Financials—(continued)
3.450%, 4/10/22	$	30	$	29
Genworth Holdings, Inc. 4.900%, 8/15/23		205		137
GLP Capital LP (GLP Financing II, Inc.)
4.875%, 11/1/20		155		152
5.375%, 11/1/23		5		5
Goldman Sachs Group, Inc. (The) 5.750%, 1/24/22		500		569
Healthcare Realty Trust, Inc.
3.875%, 5/1/25		125		121
4.000%, 6/1/25		200		197
Hutchison Whampoa International Ltd. Series 12, 144A 6.000% ^(2)(3)(5)(6)		310		324
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.)
4.875%, 3/15/19		15		15
5.875%, 2/1/22		150		147
ING Groep NV 6.000% ^(2)(5)(6)		200		201
Intesa San Paolo SpA 3.125%, 1/15/16		215		215
iStar Financial, Inc. 5.000%, 7/1/19		90		88
Jefferies Group LLC 6.875%, 4/15/21		85		95
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		215		189
Kilroy Realty LP 4. 375%, 10/1/25		190		192
Kimco Realty Corp. 3.400%, 11/1/22		185		183
Leucadia National Corp. 5.500%, 10/18/23		150		147
Liberty Mutual Group, Inc. 144A 4.250%, 6/15/23⁽³⁾		245		249
Lincoln National Corp. 4.200%, 3/15/22		250		261
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽³⁾		15		17
Macquarie Group Ltd. 144A 6.250%, 1/14/21⁽³⁾		210		234
McGraw Hill Financial Inc. 4.000%, 6/15/25		195		196
Morgan Stanley
5.550%, 4/27/17		330		346
4.100%, 5/22/23		155		157
6.375%, 7/24/42		435		538
MPT Operating Partnership LP 5.500%, 5/1/24		90		90
National Retail Properties, Inc. 4.000%, 11/15/25		60		59
Nordea Bank AB 144A 4.250%, 9/21/22⁽³⁾		265		272
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁷⁾		255		266
Prudential Financial, Inc.
5.875%, 9/15/42⁽²⁾		190		197
5.625%, 6/15/43⁽²⁾⁽⁶⁾		280		286
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24		155		146


	PAR VALUE		VALUE
Financials—(continued)
Sabra Health Care LP 5.500%, 2/1/21	$	100	$	103
Select Income REIT 4.500%, 2/1/25		190		177
Societe Generale SA 144A 4.750%, 11/24/25⁽³⁾		200		194
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54⁽²⁾⁽³⁾		160		157
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾		305		300
UBS AG 7.625%, 8/17/22		500		570
Ventas Realty LP (Ventas Capital Corp.) 3.250%, 8/15/22		250		243
Voya Financial, Inc. 5.650%, 5/15/53⁽²⁾		280		277
WP Carey, Inc. 4.600%, 4/1/24		160		160
York Risk Services Holding Corp. 144A 8.500%, 10/1/22⁽³⁾		105		86

				16,103

Health Care—4.1%
AbbVie, Inc. 3.600%, 5/14/25		65		64
Acadia Healthcare Co., Inc.
5.125%, 7/1/22		65		61
5.625%, 2/15/23		10		10
Alere, Inc. 144A 6.375%, 7/1/23⁽³⁾		60		56
Capsugel SA PIK Interest Capitalization 144A, 7.000%, 5/15/19⁽³⁾⁽⁸⁾		35		34
Cardinal Health, Inc.
3.200%, 3/15/23		130		128
3.750%, 9/15/25		165		168
Community Health Systems, Inc. 5.125%, 8/1/21		45		45
Concordia Healthcare Corp. 144A 7.000%, 4/15/23⁽³⁾		10		9
Crimson Merger Sub, Inc. 144A 6.625%, 5/15/22⁽³⁾		120		83
DaVita Healthcare Partners, Inc. 5.000%, 5/1/25		90		87
Emdeon, Inc. 144A 6.000%, 2/15/21⁽³⁾		105		98
Endo Finance LLC 144A 6.000%, 7/15/23⁽³⁾		110		110
Forest Laboratories, Inc. 144A 4.875%, 2/15/21⁽³⁾		160		174
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23⁽³⁾		35		35
HCA, Inc.
6.500%, 2/15/20		160		174
5.375%, 2/1/25		80		79
HealthSouth Corp.
144A 5.750%, 11/1/24⁽³⁾		15		14
144A 5.750%, 9/15/25⁽³⁾		120		112


	PAR VALUE		VALUE
Health Care—(continued)
IASIS Healthcare LLC 8.375%, 5/15/19	$	80	$	74
Jaguar Holding Co. II (Pharmaceutical Product Development LLC) 144A 6.375%, 8/1/23⁽³⁾		95		93
JLL Delta Dutch Pledgeco BV PIK Interest Capitalization, 144A 8.750%, 5/1/20^(2)(3)(8)		85		82
Mallinckrodt International Finance S.A.
144A 5.750%, 8/1/22⁽³⁾		60		58
144A 5.625%, 10/15/23⁽³⁾		165		158
144A 5.500%, 4/15/25⁽³⁾		5		5
Mednax Inc 144A 5.250%, 12/1/23⁽³⁾		90		90
Mylan NV 144A 3.000%, 12/15/18⁽³⁾		45		45
Owens & Minor, Inc. 3.875%, 9/15/21		35		35
Quintiles Transnational Corp. 144A 4.875%, 5/15/23⁽³⁾		75		76
Select Medical Corp. 6.375%, 6/1/21		205		180
Surgical Care Affiliates, Inc. 144A 6.000%, 4/1/23⁽³⁾		160		157
Team Health, Inc. 144A 7.250%, 12/15/23⁽³⁾		5		5
Tenet Healthcare Corp.
144A 4.012%, 6/15/20⁽²⁾⁽³⁾		75		74
4.500%, 4/1/21		85		83
8.125%, 4/1/22		115		115
Valeant Pharmaceuticals International, Inc.
144A 7.500%, 7/15/21⁽³⁾		25		25
144A 5.500%, 3/1/23⁽³⁾		50		44
Zoetis, Inc. 3.450%, 11/13/20		45		45

				2,985

Industrials—3.5%
ADT Corp. (The) 6.250%, 10/15/21		260		273
Ahern Rentals, Inc. 144A 7.375%, 5/15/23⁽³⁾		150		122
Air Canada Pass-Through-Trust, 13-1, B 144A 5.375%, 5/15/21⁽³⁾		85		86
Bombardier, Inc. 144A 4.750%, 4/15/19⁽³⁾		110		91
Carpenter Technology Corp. 4.450%, 3/1/23		250		240
Continental Airlines Pass-Through-Trust
99-1, A 6.545%, 2/2/19		342		363
00-1, A1 8.048%, 11/1/20		294		330
Delta Air Lines Pass-Through-Trust 12-1, A 4.750%, 5/7/20		270		285
Masco Corp.
5.950%, 3/15/22		180		194
4.450%, 4/1/25		55		54


	PAR VALUE		VALUE
Industrials—(continued)
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21	$	164	$	171
Penske Truck Leasing Co. LP 144A 3.375%, 2/1/22⁽³⁾		75		73
TransDigm, Inc.
6.000%, 7/15/22		115		113
144A 6.500%, 5/15/25⁽³⁾		45		44
United Rentals North America, Inc. 5.500%, 7/15/25		155		151

				2,590

Information Technology—1.7%
Dun & Bradstreet Corp. (The) 4.375%, 12/1/22		270		264
Fidelity National Information Services, Inc. 3.625%, 10/15/20		65		66
First Data Corp. 144A 5.750%, 1/15/24⁽³⁾		55		54
Flextronics International Ltd. 144A 4.750%, 6/15/25⁽³⁾		200		195
Hewlett Packard Enterprise Co.
144A 4.400%, 10/15/22⁽³⁾		120		120
144A 4.900%, 10/15/25⁽³⁾		120		118
KLA-Tencor Corp. 4.650%, 11/1/24		190		191
Riverbed Technology, Inc. 144A 8.875%, 3/1/23⁽³⁾		70		65
Verisk Analytics, Inc. 4.000%, 6/15/25		190		185

				1,258

Materials—2.6%
Alpek SA de C.V. 144A 5.375%, 8/8/23⁽³⁾		310		317
American Builders & Contractors Supply Co., Inc. 144A 5.750%, 12/15/23⁽³⁾		15		15
ArcelorMittal 6.125%, 6/1/25		155		114
Berry Plastics Corp. 5.125%, 7/15/23		145		141
Cemex SAB de CV 144A 7.250%, 1/15/21⁽³⁾		265		256
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		95		84
Fibria Overseas Finance Ltd. 5.250%, 5/12/24		150		143
Inversiones CMPC S.A. 144A 4.375%, 5/15/23⁽³⁾		375		354
Methanex Corp. 4.250%, 12/1/24		190		169
NewMarket Corp. 4.100%, 12/15/22		288		287

				1,880

Telecommunication Services—1.8%
AT&T, Inc. 3.875%, 8/15/21		425		440
Empresa Nacional de Telecomunicaciones S.A. 144A 4.875%, 10/30/24⁽³⁾		215		206


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Frontier Communications Corp.
6.250%, 9/15/21	$	100	$	85
144A 10.500%, 9/15/22⁽³⁾		25		25
Level 3 Financing, Inc. 144A 5.375%, 1/15/24⁽³⁾		25		25
T-Mobile USA, Inc. 6.500%, 1/15/26		135		137
Telefonica Emisiones SAU 4.570%, 4/27/23		225		236
Windstream Corp. 7.750%, 10/15/20		200		169

				1,323

Utilities—2.3%
AmeriGas Partners LP 7.000%, 5/20/22		140		136
Calpine Corp. 5.375%, 1/15/23		121		109
Electricite de France SA 144A 5.250% ^(2)(3)(5)(6)		280		263
FirstEnergy Transmission LLC 144A 4.350%, 1/15/25⁽³⁾		210		213
Israel Electric Corp. Ltd. 144A 5.625%, 6/21/18⁽³⁾		250		265
NRG Yield Operating LLC 5.375%, 8/15/24		60		50
Southern Power Co. 4.150%, 12/1/25		230		230
State Grid Overseas Investment Ltd. 144A 4.125%, 5/7/24⁽³⁾		200		209
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		90		68
TerraForm Power Operating LLC 144A 5.875%, 2/1/23⁽³⁾		145		121


				1,664

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $36,826)				35,704

LOAN AGREEMENTS⁽²⁾—5.0%
Consumer Discretionary—0.8%
Caesars Entertainment Operating Co., Inc. Tranche B-7, 11.750%, 1/28/18⁽⁴⁾		50		42
Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21		60		53
Cirque Du Soleil First Lien, 5.000%, 7/8/22		40		38
El Dorado Resorts, Inc. 4.250%, 7/25/22		35		35
Laureate Education, Inc. 5.000%, 6/15/18		79		66
Marina District Finance Co., Inc. 6.500%, 8/15/18		76		76
PetSmart, Inc. Tranche B-1 4.250%, 3/11/22		21		20
Staples, Inc. First Lien, 0.000%, 4/23/21⁽¹⁰⁾		148		147
U.S. Farathane Corp. 6.750%, 12/23/21		76		75

				552


	PAR VALUE		VALUE
Consumer Staples—0.6%
Albertson’s LLC Tranche B-4, 5.500%, 8/25/21	$	112	$	111
Hostess Brands LLC Tranche B Second Lien, 8.500%, 8/3/23		150		149
Kronos Acquisition Intermediate, Inc. (KIK Custom Products, Inc.) Second Lien, 9.750%, 4/30/20		105		105
Rite Aid Corp. Tranche 2, Second Lien, 4.875%, 6/21/21		80		80

				445

Energy—0.4%
Arch Coal, Inc. 6.250%, 5/16/18⁽⁴⁾		158		71
Chelsea Petroleum I LLC 6.750%, 10/28/22		95		92
Chief Exploration & Development LLC Second Lien, 7.500%, 5/16/21		117		80
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		94		60

				303

Financials—0.1%
Capital Automotive LP Second Lien, 6.000%, 4/30/20		71		71

Health Care—1.3%
AMAG Pharmaceuticals, Inc. 4.750%, 8/17/21		13		12
Amneal Pharmaceuticals LLC Tranche B, 6.000%, 11/1/19		57		56
Ardent Legacy Acquisitions, Inc. 6.500%, 8/4/21		80		79
Concentra, Inc. First Lien, Tranche B 5.500%, 6/1/22		9		9
Concordia Pharmaceuticals, Inc. 5.250%, 10/21/21		66		64
Envision Healthcare Corp. Tranche B-2, 4.500%, 10/28/22		17		17
Greatbatch, Inc. Tranche B, 5.250%, 10/27/22		68		67
InVentiv Health, Inc. Tranche B-4, 7.750%, 5/15/18		110		110
Med Impact Healthcare Systems, Inc. 5.750%, 10/27/22		110		109
MMM Holdings, Inc. 9.750%, 12/12/17⁽⁹⁾		52		34
MSO of Puerto Rico, Inc. 9.750%, 12/12/17⁽⁹⁾		37		25
NVA Holdings, Inc. Second Lien 8.000%, 8/14/22		74		73
Onex TSG Holdings II Corp. First Lien, 5.000%, 7/29/22		80		79
RCHP Tranche B-2, 6.000%, 4/23/19		134		128
Surgery Center Holdings, Inc.


	PAR VALUE		VALUE
Health Care—(continued)
First Lien, 5.250%, 11/3/20	$	100	$	99
Second Lien, 8.500%, 11/3/21		32		30

				991

Industrials—0.4%
Brickman Group Ltd. LLC (The) Second Lien, 7.500%, 12/17/21		78		71
Landmark U.S. Member LLC (Landmark U.S. Corp Acquisition, Inc.) Second Lien 8.250%, 1/25/21		100		100
Sedgwick Claims Management Services, Inc. Second Lien, 6.750%, 2/28/22		120		109

				280

Information Technology—0.8%
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22		35		33
Deltek, Inc. First Lien 5.000%, 6/25/22		5		4
First Data Corp. 4.168%, 7/8/22		220		217
Mitchell International, Inc. Second Lien, 8.500%, 10/11/21		102		98
NXP BV (NXP Funding LLC) 3.750%, 12/7/20		139		139
Riverbed Technologies, Inc. 6.000%, 4/25/22		67		67
SS&C Technologies Holdings Europe S.a.r.l.
Tranche B-1, 4.028%, 7/8/22		46		46
Tranche B-2, 4.083%, 7/8/22		7		7

				611

Materials—0.2%
CPI Acquisition, Inc. First Lien, 5.500%, 8/17/22		54		53
INEOS U.S. Finance LLC 4.250%, 3/31/22		9		9
Polyone Corp. 3.750%, 11/11/22		48		48

				110

Telecommunication Services—0.1%
T-Mobile USA, Inc. Second Lien, 3.500%, 11/9/22		86		86

Utilities—0.3%
Atlantic Power LP 4.750%, 2/24/21		30		30
NRG Energy, Inc. 2.750%, 7/1/18		199		194

				224

TOTAL LOAN AGREEMENTS (Identified Cost $3,940)				3,673


	SHARES			VALUE
PREFERRED STOCKS—3.8%
Energy—0.3%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		200	⁽¹¹⁾	$	195

Financials—2.6%
Bank of New York Mellon Corp. (The) Series E, 4.950%⁽²⁾		150	⁽¹¹⁾		147
Citigroup, Inc. Series J, 7.125%⁽²⁾		8,000			224
Citigroup, Inc. Series N, 5.800%⁽²⁾		155	⁽¹¹⁾		154
Goldman Sachs Group, Inc. (The) Series L, 5.700%⁽²⁾		115	⁽¹¹⁾		114
JPMorgan Chase & Co. Series V, 5.000%⁽²⁾		315	⁽¹¹⁾		299
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾		45	⁽¹¹⁾		45
PNC Financial Services Group, Inc. (The) Series R, 4.850%⁽²⁾		215	⁽¹¹⁾		202
SunTrust Bank, Inc. 5.625%⁽²⁾		45	⁽¹¹⁾		45
Wells Fargo & Co. Series K, 7.980%⁽²⁾		230	⁽¹¹⁾		239
XLIT Ltd. Series E, 6.50%⁽²⁾		240	⁽¹¹⁾		175
Zions Bancorp 6.950%⁽²⁾		8,800			253

					1,897

Industrials—0.9%
General Electric Co. 4.000%,⁽²⁾		358	⁽¹¹⁾		358
General Electric Co. Series C 4.200%,⁽²⁾		328	⁽¹¹⁾		326

					684

TOTAL PREFERRED STOCKS (Identified Cost $2,770)					2,776

AFFILIATED MUTUAL FUND—1.6%
Virtus Credit Opportunities Fund⁽¹²⁾		117,904			1,140

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $1,179)					1,140

TOTAL LONG TERM INVESTMENTS—98.5% (Identified Cost $73,678)					72,284

SHORT-TERM INVESTMENT—0.8%
Money Market Mutual Fund—0.8%
Fidelity Money Market Portfolio - Institutional Shares (seven-day effective yield 0.320%)⁽¹²⁾		614,727			615

TOTAL SHORT-TERM INVESTMENT (Identified Cost $615)					615

($ reported in thousands)


TOTAL INVESTMENTS—99.3% (Identified Cost $74,293)		72,899	⁽¹⁾
Other assets and liabilities, net—0.7%		513

NET ASSETS—100.0%	$	73,412

Abbreviations:


FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”).
FNMA		Federal National Mortgage Association (“Fannie Mae”).
GNMA		Government National Mortgage Association (“Ginnie Mae”)
PIK		Payment-in-Kind Security
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015.

⁽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, 2015, these securities amounted to a value of $19,735 or 26.9% of net assets.

⁽⁴⁾	Security in default.

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

⁽⁹⁾	Illiquid security.

⁽¹⁰⁾	This loan will settle after December 31, 2015, 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.

⁽¹¹⁾	Value shown as par value.

⁽¹²⁾	This fund is a public fund and the prospectus and annual report are publicly available.

Foreign Currencies:

TRY	Turkish Lira

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $253 were transferred from Level 1 into Level 2 since starting to use an exchange price. (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.

None of the securities in this table are internally fair valued. 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 inputs could result in a significantly lower or higher value of Level 3 investments.


	PAR VALUE		VALUE
MUNICIPAL TAX-EXEMPT BONDS⁽²⁾—92.9%
Development Revenue—10.7%
Lafayette Redevelopment Agency Successor Agency, Lafayette Redevelopment Project (AGM Insured) 5.000%, 8/1/38	$	250	$	289
Los Angeles County Redevelopment Refunding Authority, Long Beach Project, 5.000%, 8/1/34		215		249
Menlo Park Community Development Agency Successor Agency, Las Pulgas Community Development Project (AGM Insured) 5.000%, 10/1/29		100		120
Milpitas Redevelopment Agency Successor Agency Redevelopment Project Area #1 5.000%, 9/1/30		250		299
Sacramento Redevelopment Agency Successor Agency
(BAM Insured) 5.000%, 12/1/33		75		86
(BAM Insured) 5.000%, 12/1/34		75		86
San Diego Redevelopment Agency, Center City Redevelopment Project, (AMBAC Insured) 5.350%, 9/1/24		500		502
Center City Redevelopment Project, (AMBAC Insured) 4.750%, 9/1/30		500		513
San Marcos Redevelopment Agency Successor Agency, 5.000%, 10/1/33		250		296
San Mateo Redevelopment Agency Successor Agency, 5.000%, 8/1/30		250		287
Santa Clara Redevelopment Agency, Bayshore North Project (NATL Insured) 5.000%, 6/1/22		500		506
Union City Redevelopment Agency Successor Agency, Union City Redevelopment Project 5.000%, 10/1/36		200		231

				3,464

General Obligation—14.4%
Cajon Valley Union School District, Union School District 5.000%, 8/1/31		250		290
California, State of 5.500%, 3/1/26		250		274
(AMBAC Insured) 5.000%, 2/1/27		290		366
5.000%, 9/1/32		300		347
5.000%, 12/1/37		275		295
6.000%, 4/1/38		250		289


	PAR VALUE		VALUE
General Obligation—(continued)
Contra Costa Community College District, 4.000%, 8/1/28	$	45	$	48
Grossmont Health Care District 5.000%, 7/15/25		350		438
Los Alamitos Unified School District, School Facilities Improvement District #1, 2008 Election 5.250%, 8/1/39		250		289
Oakland Unified School District Alameda County, (AGM Insured) 5.000%, 8/1/24		200		242
5.000%, 8/1/33		300		345
Riverside Unified School District, (AGC Insured) 5.000%, 8/1/32		275		293
Ross Valley School District, 5.000%, 8/1/37		350		400
San Diego Community College District, 5.000%, 8/1/43		150		171
San Diego Unified School District, (AGM Insured) 5.500%, 7/1/25		225		293
Sequoia Union High School District, 4.000%, 7/1/26		250		275

				4,655

General Revenue—23.6%
Anaheim Public Financing Authority, Public Improvement Projects, (AGM Insured) 6.000%, 9/1/16		435		450
California Infrastructure & Economic Development Bank, 5.000%, 10/1/23		200		248
California State Municipal Finance Authority, Bowles Hall Foundation 4.000%, 6/1/22		100		106
Chula Vista Municipal Financing Authority, 5.000%, 9/1/27		200		236
Contra Costa Transportation Authority, 5.000%, 3/1/29		220		261
Golden State Tobacco Securitization Corp.,
5.000%, 6/1/29		350		403
5.125%, 6/1/47		950		821
Imperial County Local Transportation Authority, 4.000%, 6/1/20		300		332
Midpeninsula Regional Open Space District, 5.000%, 9/1/23		120		149
North City West School Facilities Financing Authority, (AMBAC Insured) 5.250%, 9/1/19		750		850
Pomona, City of, Certificates of Participation (AMBAC Insured) 5.500%, 6/1/28		700		709


	PAR VALUE		VALUE
General Revenue—(continued)
Sacramento Area Flood Control Agency, Consolidated Capital Assessment District (BHAC Insured) 5.500%, 10/1/28	$	250	$	278
South Bay Regional Public Communications Authority, Hawthorne Projects, (ACA Insured) 4.750%, 1/1/31		435		438
State of California Public Works Board, Department of General Services, Buildings 8&9 6.125%, 4/1/29		500		574
Capital Projects, 5.750%, 10/1/30		550		634
Department of Forestry & Fire Protection, 5.000%, 11/1/32		500		534
Tustin Unified School District, Community Facilities, District #97-1, (BAM Insured) 5.000%, 9/1/33		250		287
Ventura County Public Financing Authority, 5.000%, 11/1/25		250		300

				7,610

Higher Education Revenue—4.5%
California Educational Facilities Authority, Pomona College, 5.000%, 7/1/45		500		501
California State University, 5.250%, 11/1/38		500		559
University of California, 5.000%, 5/15/23		100		123
5.000%, 5/15/23		225		277

				1,460

Medical Revenue—7.9%
California Municipal Finance Authority, Community Medical Centers Revenue 5.000%, 2/1/27		100		115
California State Health Facilities Financing Authority, El Camino Hospital, 5.000%, 2/1/26		100		119
Cedars-Siani Medical Center 5.000%, 11/15/31		250		301
Kaiser Permanente, 5.250%, 4/1/39		400		404
Sutter Health 5.000%, 8/15/43		135		156
Lucille Salter Packard Children Hospital at Stanford, 5.000%, 8/15/43		100		112
California Statewide Communities Development Authority, Sutter Health, (AMBAC Insured) 5.000%, 11/15/38		205		215


	PAR VALUE		VALUE
Medical Revenue—(continued)
Cottage Health System 5.000%, 11/1/43	$	250	$	287
St. Joseph Health System, (FGIC Insured) 5.750%, 7/1/47		350		384
Regents of the University of California, Medical Center Pooled Revenue (NATL Insured) 4.750%, 5/15/31		300		303
San Benito Health Care District, (CHFCLIF Insured) 4.000%, 3/1/18		140		148

				2,544

Natural Gas Revenue—2.3%
Roseville Natural Gas Financing Authority, 5.000%, 2/15/24		450		519
5.000%, 2/15/27		195		224

				743

Power Revenue—2.2%
Northern California Power Agency, Hydroelectric Project No 1, 5.000%, 7/1/32		200		228
Sacramento Municipal Utility District, 5.000%, 8/15/29		150		180
Southern California Public Power Authority, Windy Point Project 5.000%, 7/1/28		250		288

				696

Pre-Refunded—12.1%
Bay Area Toll Authority, (Pre-refunded 4/1/19 @100) 5.125%, 4/1/39		400		451
California State Health Facilities Financing Authority, Providence Health & Services, (Pre-refunded 10/1/18 @100) 6.500%, 10/1/18		5		6
Providence Health & Services, (Pre-refunded 10/1/18 @100) 6.500%, 10/1/38		195		224
California State Infrastructure & Economic Development Bank, Bay Area Toll Bridges (Pre-refunded 7/1/26 @100) (AMBAC Insured) 5.125%, 7/1/37		755		976
Northern California Power Agency, (Pre-refunded 7/1/21 @ 100) (AMBAC Insured) 7.500%, 7/1/23		195		242
Riverside County Single Family, (Escrowed to Maturity) (GNMA Collateralized) 7.800%, 5/1/21		1,085		1,422


	PAR VALUE		VALUE
Pre-Refunded—(continued)
Stockton Housing Facilities Revenue, O’Connors Woods Project, (Pre-refunded 9/20/17 @ 100) (GNMA Collateralized) 5.600%, 3/20/28	$	155	$	162
University of California, (Pre-refunded 5/15/16 @100) (NATL Insured) 5.000%, 5/15/28		410		421

				3,904

Transportation Revenue—6.8%
Los Angeles Department of Airports 5.000%, 5/15/32		200		238
Los Angeles Harbor Department, 5.000%, 8/1/35		235		274
San Diego County Regional Airport Authority, 5.000%, 7/1/40		250		279
5.000%, 7/1/40		500		557
San Diego Unified Port District, 5.000%, 9/1/28		200		234
San Francisco City & County Airports Community, San Francisco International Airport, 5.000%, 5/1/43		150		171
San Francisco Municipal Transportation Agency, 5.000%, 3/1/31		125		147
5.000%, 3/1/33		250		292

				2,192

Water & Sewer Revenue—8.4%
Los Angeles County Sanitation District #14 5.000%, 10/1/25		300		376
Los Angeles Department of Water & Power, 5.000%, 7/1/35		295		347
Manteca, City of, Water Revenue, 5.000%, 7/1/27		300		347
Oakland, City of, Sewer Revenue, 5.000%, 6/15/29		200		239
Ross Valley Public Financing Authority, Sanitary District #1 (AGM Insured) 5.000%, 10/1/33		225		266
San Diego County Water Authority, 5.000%, 5/1/31		250		295
Santa Margarita-Dana Point Authority, Water Improvement Districts #’s 2,3,4, 5.125%, 8/1/38		630		684
Silicon Valley Clean Water, Sewer Improvement 5.000%, 2/1/34		150		176

				2,730

TOTAL MUNICIPAL TAX-EXEMPT BONDS (Identified Cost $28,250)				29,998


	PAR VALUE	VALUE
TOTAL LONG TERM INVESTMENTS—92.9% (Identified Cost $28,250)		$	29,998

TOTAL INVESTMENTS—92.9% (Identified Cost $28,250)			29,998	⁽¹⁾
Other assets and liabilities, net—7.1%			2,303

NET ASSETS—100.0%		$	32,301

Abbreviations:


ACA		American Capital Access Financial Guarantee Corp.
AGC		Assured Guaranty Corp.
AGM		Assured Guaranty Municipal Corp.
AMBAC		American Municipal Bond Assurance Corp.
BAM		Build America Municipal Insured.
BHAC		Berkshire Hathaway Assurance Corp.
CHFCLIF		California Health Facility Construction Loan Insurance Fund.
FGIC		Financial Guaranty Insurance Company
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, 2015, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾

At December 31, 2015, 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, 2015, 39.98% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. Insurers with a concentration greater than 10% of net assets are as follows: AMBAC 13.5%.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCK—102.6%
Consumer Discretionary—31.6%
Advance Auto Parts, Inc.		10,368	$	1,561
Amazon.com, Inc.⁽²⁾		19,959		13,490
AutoNation, Inc.⁽²⁾		16,702		996
AutoZone, Inc.⁽²⁾		8,420		6,247
Cablevision Systems Corp. Class A		18,150		579
CarMax, Inc.⁽²⁾		49,320		2,662
Comcast Corp. Class A		243,360		13,733
Expedia, Inc.		5,229		650
Goodyear Tire & Rubber Co. (The)		524,540		17,137
Home Depot, Inc. (The)		120,280		15,907
Lowe’s Cos., Inc.		69,980		5,321
Netflix, Inc.⁽²⁾		19,942		2,281
Newell Rubbermaid, Inc.		480,300		21,172
NIKE, Inc. Class B		375,020		23,439
O’Reilly Automotive, Inc.⁽²⁾		27,395		6,942
Priceline Group, Inc. (The)⁽²⁾		2,511		3,201
Time Warner Cable, Inc.		21,982		4,080
TripAdvisor, Inc.⁽²⁾		4,872		415

				139,813

Consumer Staples—13.1%
Brown-Forman Corp. Class B		77,030		7,648
Constellation Brands, Inc. Class A		85,820		12,224
CVS Health Corp.		111,538		10,905
Molson Coors Brewing Co. Class B		211,316		19,847
Walgreens Boots Alliance, Inc.		87,452		7,447

				58,071

Energy—2.9%
Marathon Petroleum Corp.		60,630		3,143
Phillips 66		54,341		4,445
Tesoro Corp.		13,725		1,446
Valero Energy Corp.		56,318		3,983

				13,017

Financials—3.1%
CME Group, Inc.		41,314		3,743
Intercontinental Exchange, Inc.		13,553		3,473
Moody’s Corp.		21,255		2,133
NASDAQ OMX Group, Inc. (The)		14,490		843


	SHARES		VALUE
Financials—(continued)
McGraw-Hill Cos., Inc. (The)		33,505	$	3,303

				13,495

Health Care—11.4%
AbbVie, Inc.		35,983		2,132
Aetna, Inc.		26,365		2,851
Alexion Pharmaceuticals, Inc.⁽²⁾		5,179		988
AmerisourceBergen Corp.		30,498		3,163
Amgen, Inc.		17,001		2,760
Anthem, Inc.		20,085		2,801
Baxalta, Inc.		12,136		474
Biogen, Inc.⁽²⁾		5,309		1,626
Cardinal Health, Inc.		46,943		4,191
Celgene Corp.⁽²⁾		17,731		2,123
Cigna Corp.		18,855		2,759
Gilead Sciences, Inc.		32,449		3,283
Humana, Inc.		11,430		2,040
McKesson Corp.		33,248		6,557
Patterson Cos., Inc.		12,281		555
Regeneron Pharmaceuticals, Inc.⁽²⁾		1,734		941
Schein (Henry), Inc.⁽²⁾		11,945		1,890
UnitedHealth Group, Inc.		75,520		8,884
Vertex Pharmaceuticals, Inc.⁽²⁾		5,213		656

				50,674

Industrials—15.0%
Cintas Corp.		195,607		17,810
United Continental Holdings, Inc.⁽²⁾		55,693		3,191
American Airlines Group, Inc.		105,215		4,456
Allegion plc		105,565		6,959
Robert Half International, Inc.		289,635		13,653
Delta Air Lines, Inc.		123,777		6,274
Masco Corp.		363,920		10,299
Southwest Airlines Co.		89,458		3,852

				66,494

Information Technology—16.1%
Activision Blizzard, Inc.		236,411		9,151
Akamai Technologies, Inc.⁽²⁾		4,875		257
Alliance Data Systems Corp.⁽²⁾		2,535		701
Alphabet, Inc. Class A⁽²⁾		7,094		5,519
Alphabet, Inc. Class C⁽²⁾		7,174		5,444
Apple, Inc.		103,447		10,889


	SHARES		VALUE
Information Technology—(continued)
Automatic Data Processing, Inc.		19,040	$	1,613
eBay, Inc.⁽²⁾		28,078		772
Electronic Arts, Inc.⁽²⁾		148,309		10,192
EMC Corp.		34,598		888
Facebook, Inc. Class A⁽²⁾		55,074		5,764
Fidelity National Information Services, Inc.		14,860		901
Fiserv, Inc.⁽²⁾		13,520		1,237
Hewlett Packard Enterprise Co.		33,207		505
HP, Inc.		33,207		393
MasterCard, Inc. Class A		40,612		3,954
NetApp, Inc.		5,452		145
Paychex, Inc.		18,150		960
PayPal Holdings, Inc.⁽²⁾		28,634		1,037
SanDisk Corp.		3,702		281
Seagate Technology plc		5,598		205
Total System Services, Inc.		6,135		306
VeriSign, Inc.⁽²⁾		2,281		199
Visa, Inc. Class A		101,680		7,885
Western Digital Corp.		4,118		247
Western Union Co. (The)		21,890		392
Xerox Corp.		66,550		707
Yahoo!, Inc.⁽²⁾		22,843		760

				71,304

Materials—6.8%
Sherwin-Williams Co. (The)		10,989		2,853
PPG Industries, Inc.		38,740		3,828
International Flavors & Fragrances, Inc.		11,479		1,373
Martin Marietta Materials, Inc.		51,594		7,047
Vulcan Materials Co.		109,753		10,423
Ecolab, Inc.		38,076		4,355

				29,879

Utilities—2.6%
AGL Resources, Inc.		180,320		11,506

				11,506

TOTAL COMMON STOCK (Identified Cost $435,376)				454,253

TOTAL LONG TERM INVESTMENTS—102.6% (Identified Cost $435,376)				454,253


	SHARES	VALUE
TOTAL INVESTMENTS—102.6% (Identified Cost $435,376)		$	454,253	⁽¹⁾

Other assets and liabilities, net—(2.6)%			(11,454	)

NET ASSETS—100.0%		$	442,799

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015 (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, 2015.


	PAR VALUE			VALUE
FOREIGN GOVERNMENT SECURITIES—29.7%
Argentine Republic Series NY, 8.280%, 12/31/33⁽¹¹⁾	$	252		$	291
Bermuda RegS 4.854%, 2/6/24⁽⁴⁾		200			206
Bolivarian Republic of Venezuela
RegS 5.750%, 2/26/16⁽⁴⁾		30			27
RegS 7.750%, 10/13/19⁽⁴⁾		140			56
RegS 7.650%, 4/21/25⁽⁴⁾		285			107
9.375%, 1/13/34		325			129
Brazilian Government International Bond 5.625%, 1/7/41		100			73
Commonwealth of Jamaica 6.750%, 4/28/28		200			199
Dominican Republic
144A 5.875%, 4/18/24⁽³⁾		100			100
144A 6.850%, 1/27/45⁽³⁾		100			94
Hellenic Republic 3.000%, 2/24/24⁽²⁾		200	^EUR		158
Hungary
5.375%, 2/21/23		146			160
5.750%, 11/22/23		22			25
5.375%, 3/25/24		60			66
Islamic Republic of Pakistan 144A 8.250%, 9/30/25⁽³⁾		200			204
Kingdom of Bahrain 144A 6.000%, 9/19/44⁽³⁾		200			151
Kingdom of Morocco 144A 4.250%, 12/11/22⁽³⁾		200			198
Mongolia 144A 5.125%, 12/5/22⁽³⁾		200			160
Republic of Angola 144A 9.500%, 11/12/25⁽³⁾		200			187
Republic of Armenia 144A 7.150%, 3/26/25⁽³⁾		200			193
Republic of Azerbaijan 144A 4.750%, 3/18/24⁽³⁾		200			187
Republic of Chile 5.500%, 8/5/20		70,000	^CLP		102
Republic of Colombia
Treasury Note, Series B, 11.250%, 10/24/18		100,000	^COP		35
6.125%, 1/18/41		100			97
Republic of Costa Rica 144A 7.000%, 4/4/44⁽³⁾		200			168
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28⁽³⁾		200			182
Republic of Croatia RegS 6.000%, 1/26/24⁽⁴⁾		200			208
Republic of Ecuador 144A 10.500%, 3/24/20⁽³⁾		200			162
Republic of El Salvador
144A 6.375%, 1/18/27⁽³⁾		155			132
144A 7.650%, 6/15/35⁽³⁾		70			60
Republic of Indonesia
Series FR30, 10.750%, 5/15/16		785,000	^IDR		57
Series FR63, 5.625%, 5/15/23		624,000	^IDR		37
144A 5.125%, 1/15/45⁽³⁾		200			181


	PAR VALUE			VALUE
Republic of Iraq RegS 5.800%, 1/15/28⁽⁴⁾	$	250		$	169
Republic of Kazakhstan 144A 4.875%, 10/14/44⁽³⁾		200			168
Republic of Kenya 144A 6.875%, 6/24/24⁽³⁾		200			175
Republic of Lithuania 144A 6.125%, 3/9/21⁽³⁾		100			115
Republic of Panama
5.200%, 1/30/20		200			217
3.750%, 3/16/25		200			196
Republic of Peru 4.125%, 8/25/27		280			274
Republic of Poland Series 1021, 5.750%, 10/25/21		300	^PLN		90
Republic of Romania
144A 6.750%, 2/7/22⁽³⁾		150			176
3.625%, 4/24/24		80			95
RegS 6.125%, 1/22/44⁽⁴⁾		120			140
Republic of South Africa
Series R203, 8.250%, 9/15/17		758	^ZAR		49
Series R208, 6.750%, 3/31/21		1,470	^ZAR		85
Republic of Sri Lanka 144A 5.875%, 7/25/22⁽³⁾		200			183
Republic of Turkey
5.125%, 3/25/22		200			206
6.750%, 5/30/40		225			250
Republic of Uruguay 5.100%, 6/18/50		400	⁽⁸⁾		345
Russian Federal Bond - Ofz 7.400%, 6/14/17		4,800			63
Socialist Republic of Vietnam RegS 4.800%, 11/19/24⁽⁴⁾		200			192
State of Qatar 144A 5.750%, 1/20/42⁽³⁾		200			234
United Mexican States Series M, 6.500%, 6/9/22		614	^MXN		37

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $8,755)					7,851

CORPORATE BONDS AND NOTES—64.6%
Barbados—0.7%
Columbus International, Inc. Series B, 144A 7.375%, 3/30/21⁽³⁾		200			199

Brazil—6.1%
Banco Santander Brasil SA 144A 8.000%, 3/18/16⁽³⁾		300	^BRL		74
Braskem America Finance Co. RegS 7.125%, 7/22/41⁽⁴⁾		205			153
BRF SA 7.750%, 5/22/18		400	^BRL		84
Fibria Overseas Finance Ltd. 5.250%, 5/12/24		115			110
Itau Unibanco Holding SA RegS 5.650%, 3/19/22⁽⁴⁾		250			232
JBS Investments GmbH 144A 7.250%, 4/3/24⁽³⁾		200			182


	PAR VALUE		VALUE
Brazil—(continued)
Marfrig Overseas Ltd. 144A 9.500%, 5/4/20⁽³⁾	$	200	$	197
Odebrecht Finance Ltd. 144A 4.375%, 4/25/25⁽³⁾		200		104
Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22⁽³⁾		179		41
Petrobras Global Finance BV
3.000%, 1/15/19		80		61
5.375%, 1/27/21		290		216
6.750%, 1/27/41		100		64
QGOG Constellation SA 144A 6.250%, 11/9/19⁽³⁾		200		91

				1,609

Canada—0.1%
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		45		40

Chile—3.8%
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		250		247
Inversiones CMPC S.A. 144A 4.375%, 5/15/23⁽³⁾		200		189
Latam Airlines Group SA 144A 7.250%, 6/9/20⁽³⁾		200		179
Transelec S.A. 144A 4.250%, 1/14/25⁽³⁾		200		196
VTR Finance BV 144A 6.875%, 1/15/24⁽³⁾		200		184

				995

China—4.6%
Bank of China Ltd. 144A 5.000%, 11/13/24⁽³⁾		200		206
BOC Aviation Pte Ltd. 3.875%, 5/9/19		200		204
China Cinda Finance Ltd. 144A 4.000%, 5/14/19⁽³⁾		200		203
Kunlun Energy Co., Ltd. 144A 3.750%, 5/13/25⁽³⁾		200		195
State Grid Overseas Investment Ltd. 144A 4.125%, 5/7/24⁽³⁾		200		209
Tencent Holdings Ltd. 144A 3.800%, 2/11/25⁽³⁾		200		195

				1,212

Colombia—0.7%
Bancolombia S.A. 5.125%, 9/11/22		100		96
Ecopetrol SA 5.375%, 6/26/26		70		59
Pacific Rubiales Energy Corp. 144A 5.125%, 3/28/23⁽³⁾		200		41

				196

El Salvador—0.7%
AES El Salvador Trust II 144A 6.750%, 3/28/23⁽³⁾		200		179

Georgia—0.8%
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽³⁾		200		208


	PAR VALUE		VALUE
Guatemala—0.6%
Comcel Trust 144A 6.875%, 2/6/24⁽³⁾⁽⁵⁾	$	200	$	155

Hong Kong—2.1%
Bank of China Hong Kong Ltd. 144A 5.550%, 2/11/20⁽³⁾		200		218
Hutchison Whampoa International Ltd. Series 12, 144A 6.000%, ^(2)(3)(6)(7)		325		340

				558

India—3.4%
Bharti Airtel International Netherlands BV 144A 5.125%, 3/11/23⁽³⁾		200		208
ICICI Bank Ltd. 144A 6.375%, 4/30/22⁽²⁾⁽³⁾		300		308
Reliance Holdings USA, Inc. 144A 5.400%, 2/14/22⁽³⁾		250		270
Vedanta Resources plc 144A 6.000%, 1/31/19⁽³⁾		200		128

				914

Indonesia—3.8%
Pelabuhan Indonesia II PT 144A 4.250%, 5/5/25⁽³⁾		200		178
Pertamina Persero PT
144A 4.875%, 5/3/22⁽³⁾		200		192
144A 6.000%, 5/3/42⁽³⁾		275		226
144A 5.625%, 5/20/43⁽³⁾		200		158
Perusahaan Listrik Negara PT 144A 5.500%, 11/22/21⁽³⁾		250		255

				1,009

Ireland—0.8%
Ardagh Finance Holdings SA PIK Interest Capitalization, 144A 8.625%, 6/15/19⁽³⁾⁽⁹⁾		227		225

Israel—0.8%
Israel Electric Corp. Ltd. RegS 7.250%, 1/15/19⁽⁴⁾		200		222

Jamaica—0.6%
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		200		166

Kazakhstan—0.7%
Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22⁽³⁾		200		176

Luxembourg—0.6%
Altice Financing SA Luxembourg, 144A 7.625%, 2/15/25⁽³⁾		200		173


	PAR VALUE			VALUE
Mexico—7.7%
Alfa SAB de CV 144A 5.250%, 3/25/24⁽³⁾	$	200		$	202
Alpek SA de C.V. 144A 5.375%, 8/8/23⁽³⁾		200			204
America Movil SAB de C.V. Series 12 6.450%, 12/5/22		2,000	^MXN		110
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.750%, 9/30/22⁽³⁾		150			165
Banco Santander Mexico SA 144A 5.950%, 1/30/24⁽²⁾⁽³⁾		200			206
Cemex SAB de CV 144A 7.250%, 1/15/21⁽³⁾		200			193
Fermaca Enterprises S de RL de CV 144A 6.375%, 3/30/38⁽³⁾		196			183
Fomento Economico Mexicano SAB de CV 2.875%, 5/10/23		150			140
Grupo Televisa SAB 7.250%, 5/14/43		2,000	^MXN		97
Grupo Televisa Sab 6.125%, 1/31/46		200			199
Petroleos Mexicanos
144A 4.250%, 1/15/25⁽³⁾		100			88
6.375%, 1/23/45		100			85
144A 5.625%, 1/23/46⁽³⁾		200			153

					2,025

Morocco—0.8%
Office Cherifien des Phosphates S.A. (OCP) 144A 5.625%, 4/25/24⁽³⁾		200			203

Panama—0.6%
Banco Latinoamericano de Comercio Exterior SA 144A 3.750%, 4/4/17⁽³⁾		150			152

Peru—2.3%
Banco de Credito del Peru
144A 5.375%, 9/16/20⁽³⁾		100			106
144A 6.125%, 4/24/27⁽²⁾⁽³⁾		100			104
Banco Internacional del Peru SAA
144A 5.750%, 10/7/20⁽³⁾		100			107
144A 6.625%, 3/19/29⁽²⁾⁽³⁾		100			101
Transportadora de Gas del Peru SA 144A 4.250%, 4/30/28⁽³⁾		200			187

					605

Poland—0.8%
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁵⁾		200			208

Russia—5.6%
AHML Finance Ltd. 144A 7.750%, 2/13/18⁽³⁾		5,000	^RUB		64


	PAR VALUE		VALUE
Russia—(continued)
EuroChem Mineral & Chemical Co. OJSC 144A 5.125%, 12/12/17⁽³⁾⁽⁵⁾	$	200	$	201
Evraz Group S.A. 144A 6.500%, 4/22/20⁽³⁾		200		187
Gazprom OAO (Gaz Capital SA) 144A 6.000%, 11/27/23⁽³⁾⁽⁵⁾		200		189
Lukoil OAO International Finance BV 144A 4.563%, 4/24/23⁽³⁾		200		179
Metalloinvest Finance Ltd. 144A 5.625%, 4/17/20⁽³⁾		200		193
Sberbank of Russia (Sberbank Capital SA) 144A 5.125%, 10/29/22⁽³⁾⁽⁵⁾		200		183
Sberbank of Russia Via SB Capital SA REGS 5.500%, 2/26/24^(2)(4)(5)		200		176
Severstal OAO (Steel Capital SA) 144A 6.700%, 10/25/17⁽³⁾⁽⁵⁾		100		105

				1,477

Singapore—0.8%
Oversea-Chinese Banking Corp. Ltd. 144A 4.000%, 10/15/24⁽²⁾⁽³⁾		200		204

South Africa—2.2%
Myriad International Holdings BV 144A 5.500%, 7/21/25⁽³⁾		200		193
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21⁽³⁾		200		203
Transnet SOC Ltd. 144A 4.000%, 7/26/22⁽³⁾		200		176

				572

South Korea—0.7%
Export-Import Bank of Korea 2.875%, 1/21/25		200		195

Sri Lanka—0.8%
Bank of Ceylon 144A 6.875%, 5/3/17⁽³⁾		200		201

Sultanate of Oman—0.7%
Lamar Funding Ltd. 144A 3.958%, 5/7/25⁽³⁾		200		178

Supranational—2.3%
Africa Finance Corp. 144A 4.375%, 4/29/20⁽³⁾		200		200
Corp Andina de Fomento 4.375%, 6/15/22		200		213
Eurasian Development Bank 144A 4.767%, 9/20/22⁽³⁾		200		191

				604


	PAR VALUE		VALUE
Thailand—0.8%
Bangkok Bank PLC 144A 3.300%, 10/3/18⁽³⁾	$	200	$	204

Trinidad and Tobago—0.2%
Petroleum Co. of Trinidad & Tobago Ltd. RegS 6.000%, 5/8/22⁽⁴⁾		54		50

Turkey—1.6%
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾		200		196
Turkiye Is Bankasi A.S 144A 7.850%, 12/10/23⁽³⁾		200		216

				412

Ukraine—0.5%
Ukreximbank Via Biz Finance plc 144A 9.625%, 4/27/22⁽³⁾		150		135

United Arab Emirates—2.1%
DP World Ltd. 144A 6.850%, 7/2/37⁽³⁾		250		245
IPIC GMTN Ltd. 144A 6.875%, 11/1/41⁽³⁾		250		321

				566

United Kingdom—0.3%
EnQuest plc 144A 7.000%, 4/15/22⁽³⁾		200		71

United States—1.0%
Aircastle Ltd. 6.250%, 12/1/19		100		108
Mallinckrodt International Finance S.A. 144A 5.625%, 10/15/23⁽³⁾		30		29
Parker Drilling Co. 6.750%, 7/15/22		50		34
Tronox Finance LLC 6.375%, 8/15/20		80		49
Weatherford International Ltd. 4.500%, 4/15/22		70		50

				270

Venezuela—1.9%
Petroleos de Venezuela SA
RegS 8.500%, 11/2/17⁽⁴⁾		260		139
144A 6.000%, 5/16/24⁽³⁾		555		208
RegS 6.000%, 11/15/26⁽⁴⁾		400		148

				495

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $19,094)				17,063


	PAR VALUE			VALUE
LOAN AGREEMENTS⁽²⁾—0.6%
Consumer Discretionary—0.6%
Delta 2 (Lux) S.A.R.L. Tranche B-3, 4.750%, 7/30/21	$	47		$	45
Laureate Education, Inc. 5.000%, 6/15/18		147			123

TOTAL LOAN AGREEMENTS (Identified Cost $193)					168


	SHARES			VALUE
PREFERRED STOCK—0.7%
Energy—0.7%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		200	⁽¹⁰⁾		195

TOTAL PREFERRED STOCK (Identified Cost $202)					195

AFFILIATED MUTUAL FUND—0.6%
Virtus Credit Opportunities Fund⁽¹²⁾		14,941			145

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $149)					145

TOTAL LONG TERM INVESTMENTS—96.2% (Identified Cost $28,393)					25,422

TOTAL INVESTMENTS—96.2% (Identified Cost $28,393)					25,422	⁽¹⁾
Other assets and liabilities, net—3.8%					1,009

NET ASSETS—100.0%				$	26,431

Abbreviation:


PIK		Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015.

⁽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, 2015, these securities amounted to a value of $17,374 or 65.7% 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⁾	Principal amount is adjusted pursuant to the change in the Index.

($ reported in thousands)

⁽⁹⁾	100% of the income received was in cash.

⁽¹⁰⁾	Value shown as par value.

⁽¹¹⁾	Security in default.

⁽¹²⁾	This fund is a public fund and the prospectus and annual report are publicly available.

Foreign Currencies:


BRL		Brazilian Real
CLP		Chilean Peso
COP		Colombian Peso
EUR		Euro
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, 2015 (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, 2015.


	SHARES		VALUE
PREFERRED STOCKS—1.8%
Consumer Staples—0.1%
Companhia Brasileira de Distribuicao Grupo Pao de Acucar 1.73% (Brazil)		4,000	$	42

Financials—1.0%
Banco Bradesco S.A. 1.10% (Brazil)		37,300		182
Bancolombia SA 4.01% (Colombia)		25,805		175

				357

Materials—0.4%
Braskem SA 2.47% (Brazil)		18,000		126

Utilities—0.3%
Companhia Paranaense de Energia, Class B 5.11% (Brazil)		14,600		90

TOTAL PREFERRED STOCKS (Identified Cost $731)				615

COMMON STOCKS—98.9%
Consumer Discretionary—8.6%
Arcelik AS (Turkey)		12,854		62
Astra International Tbk PT (Indonesia)		334,400		144
Bajaj Auto Ltd. (India)		6,514		249
Cheng Shin Rubber Industry Co., Ltd. (Taiwan)		76,000		123
Coway Co., Ltd. (South Korea)		1,970		140
Estacio Participacoes SA (Brazil)		33,300		117
Foschini Group Ltd. (The) (South Africa)		16,725		132
Gome Electrical Appliances Holding Ltd. (Bermuda)		558,063		93
Grupo Televisa S.A.B (Mexico)		11,400		62
Halla Visteon Climate Control Corp. (South Korea)		6,251		275
Kangwon Land, Inc. (South Korea)		10,312		337
Kia Motors Corp. (South Korea)		5,886		262
Lojas Americanas SA (Brazil)		18,500		58
Lojas Renner S.A. (Brazil)		31,100		134
Merida Industry Co. Ltd. (Taiwan)		37,000		198
Ruentex Industries Ltd. (Taiwan)		152,000		283
Truworths International Ltd. (South Africa)		18,658		110
Tsogo Sun Holdings Ltd. (South Africa)		103,629		162

				2,941

Consumer Staples—6.1%
Ambev SA (Brazil)		99,000		447


	SHARES		VALUE
Consumer Staples—(continued)
BRF SA (Brazil)		3,700	$	52
Fomento Economico Mexicano S.A.B. de CV (Mexico)		31,900		299
Hindustan Unilever Ltd. (India)		21,714		283
KT&G Corp. (South Korea)		5,323		473
Raia Drogasil SA (Brazil)		12,800		115
Spar Group Ltd. (The) (South Africa)		22,696		270
Want Want China Holdings Ltd. (China)		213,000		158

				2,097

Energy—6.7%
Banpu Public Co. Ltd. (Thailand)		501,800		222
China Petroleum & Chemical Corp. Class H (China)		291,800		175
China Shenhua Energy Co., Ltd. Class H (China)		153,000		239
Coal India Ltd. (India)		26,238		130
Cosan S.A. Industria e Comercio (Brazil)		16,300		104
Empresas COPEC SA (Chile)		9,793		84
Gazprom PAO (Gazstream S.A.) Sponsored ADR (Russia)		96,343		354
Lukoil PJSC Sponsored ADR (Russia)		3,702		120
PTT Exploration & Production plc (Thailand)		58,200		92
Rosneft OJSC GDR (Russia)		23,016		80
Sasol Ltd. (South Africa)		9,950		270
Tatneft PAO Sponsored ADR (Russia)		10,290		272
Ultrapar Participacoes S.A. (Brazil)		11,100		170

				2,312

Financials—31.9%
Abu Dhabi Commercial Bank PJSC (United Arab Emirates)		47,242		84
Agricultural Bank of China Ltd. Class H (China)		794,000		323
AMMB Holdings Bhd (Malaysia)		137,600		145
Banco de Chile (Chile)		2,725,024		278
Banco do Brasil S.A. (Brazil)		46,500		173
Banco Santander Chile SA (Chile)		4,263,552		191
Bank of China Ltd. Class H (China)		1,808,000		802
Barclays Africa Group Ltd. (South Africa)		27,860		258
BB Seguridade Participacoes (Brazil)		20,100		124
China Construction Bank Corp. Class H (China)		1,977,000		1,349
China Everbright Bank Co., Ltd. (China)		452,000		219
China Everbright Ltd. (China)		80,000		183
China Life Insurance Co., Ltd. Class H (China)		128,000		411
Commercial Bank QSC (The) (Qatar)		11,473		144


	SHARES		VALUE
Financials—(continued)
CTBC Financial Holding Co., Ltd. (Taiwan)		161,236	$	82
Dongbu Insurance Co., Ltd. (South Korea)		5,746		344
Emlak Konut Gayrimenkul Yatirim Ortakligi AS (Turkey)		199,992		178
Evergrande Real Estate Group Ltd. (China)		555,000		486
Far East Horizon Ltd. (China)		168,000		156
First Gulf Bank PJSC (United Arab Emirates)		66,793		229
FirstRand Ltd. (South Africa)		127,776		350
Gentera S.A.B de CV (Mexico)		147,700		286
Guangzhou R&F Properties Co., Ltd. (China)		274,800		337
Hanwha Life Insurance Co., Ltd. (South Korea)		35,480		223
Hyundai Marine & Fire Insurance Co., Ltd. (South Korea)		13,273		407
Industrial & Commercial Bank of China Ltd. Class H (China)		1,538,000		922
Komercni Banka A.S. (Czech Republic)		1,536		306
Liberty Holdings Ltd. (South Africa)		13,390		100
Malayan Banking Bhd (Malaysia)		176,200		344
MMI Holdings Ltd. (South Africa)		161,539		230
Power Finance Corp., Ltd. (India)		76,111		230
Qatar National Bank SAQ (Qatar)		1,515		73
Redefine Properties Ltd. (South Africa)		225,464		141
Rural Electrification Corp., Ltd. (India)		98,001		334
Samsung Life Insurance Co., Ltd. (South Korea)		1,413		132
Shimao Property Holdings Ltd. (China)		121,000		213
Standard Bank Group Ltd. (South Africa)		21,988		161

				10,948

Health Care—2.5%
Divi’s Laboratories Ltd. (India)		10,134		176
Kalbe Farma Tbk PT (Indonesia)		2,274,000		216
Richter Gedeon Nyrt (Hungary)		12,494		237
Sinopharm Group Co., Ltd. Class H (China)		54,800		219

				848

Industrials—8.9%
AirAsia BHD (Malaysia)		450,800		135
Alfa S.A.B de C.V. Class A (Mexico)		29,400		58
China Conch Venture Holdings Ltd. (China)		67,000		138
Daewoo International Corp. (South Korea)		24,014		331
Grupo Aeroportuario del Pacifico Sab de C.V. (Mexico)		18,100		160
Industries Qatar Qsc (Qatar)		4,807		146


	SHARES		VALUE
Industrials—(continued)
Jiangsu Expressway Co., Ltd. Class H (China)		296,000	$	397
LG Corp. (South Korea)		3,984		239
Pegatron Corp. (Taiwan)		183,000		398
S-1 Corp. (South Korea)		2,385		203
Shanghai Industrial Holdings Ltd. (China)		113,000		295
Sinopec Engineering Group Co., Ltd. Class H (China)		401,000		341
TAV Havalimanlari Holding AS (Turkey)		27,365		171
Weg SA (Brazil)		13,400		51

				3,063

Information Technology—20.0%
Advanced Semiconductor Engineering, Inc. (Taiwan)		85,000		98
Asustek Computer, Inc. (Taiwan)		50,000		413
Chicony Electronics Co., Ltd. (Taiwan)		72,490		159
Compal Electronics, Inc. (Taiwan)		561,000		314
Hon Hai Precision Industry Co., Ltd. (Taiwan)		403,900		988
Infosys Ltd. (India)		64,912		1,082
Lite-On Technology Corp. (Taiwan)		131,950		127
NCSoft Corp. (South Korea)		1,469		265
NetEase, Inc. ADR (China)		1,226		222
Powertech Technology, Inc. (Taiwan)		154,000		304
Radiant Opto-Electronics Corp. (Taiwan)		155,260		353
Simplo Technology Co. Ltd. (Taiwan)		31,000		98
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)		182,000		785
Tata Consultancy Services Ltd. (India)		12,442		457
Tech Mahindra Ltd. (India)		13,527		106
Transcend Information, Inc. (Taiwan)		46,000		120
Travelsky Technology Ltd. (China)		121,000		198
Vanguard International Semiconductor Corp. (Taiwan)		122,000		158
Wipro Ltd. (India)		29,264		247
WPG Holdings Ltd. (Taiwan)		367,000		348

				6,842

Materials—4.8%
Anhui Conch Cement Co., Ltd. (China)		146,500		392
Cementos Argos S.A. (Colombia)		26,497		81
Gold Fields Ltd. (South Africa)		70,691		193
Grupo Mexico S.A.B. de C.V. Series B (Mexico)		55,700		119
Jiangxi Copper Co., Ltd. Class H (China)		235,000		277
MMC Norilsk Nickel PJSC ADR (Russia)		5,463		69


	SHARES		VALUE
Materials—(continued)
Mondi Ltd. (South Africa)		9,384	$	186
PTT Global Chemical PCL (Thailand)		238,400		330

				1,647

Telecommunication Services—7.0%
America Movil S.A.B. de C.V. Class C Series L (Mexico)		401,700		282
China Communications Services Corp. Ltd. (China)		478,000		179
China Mobile Ltd. (China)		70,000		788
MTN Group Ltd. (South Africa)		33,462		287
Philippine Long Distance Telephone Co. (Philippines)		5,780		253
SK Telecom Co., Ltd. (South Korea)		1,398		256
Telekomunikasi Indonesia Persero Tbk PT (Indonesia)		1,554,000		348
Telesites Sab (Mexico)⁽²⁾		20,085		13

				2,406

Utilities—2.4%
China Power International Development Ltd. (China)		163,000		94
China Resources Power Holdings Co., Ltd. (China)		110,000		213
Huaneng Power International, Inc. Class H (China)		354,000		303
Interconexion Electrica SA ESP (Colombia)		33,237		77
Perusahaan Gas Negara Persero Tbk PT (Indonesia)		690,800		136

				823

TOTAL COMMON STOCKS (Identified Cost $37,089)				33,927

RIGHTS—0.0%
Financials—0.0%
Banco Bradesco SA (Brazil)⁽²⁾		1,221		1

TOTAL RIGHTS (Identified Cost $0)				1

TOTAL LONG TERM INVESTMENTS—100.7% (Identified Cost $37,820)				34,543


	SHARES	VALUE
TOTAL INVESTMENTS—100.7% (Identified Cost $37,820)			34,543	⁽¹⁾
Other assets and liabilities, net—(0.7)%			(254	)

NET ASSETS—100.0%		$	34,289

Abbreviations:


ADR		American Depositary Receipt
GDR		Global Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCKS—94.9%
Consumer Discretionary—9.8%
Ace Hardware Indonesia Tbk PT (Indonesia)		1,396,000	$	83
Goldlion Holdings Ltd. (Hong Kong)		242,000		98
Pico Far East Holdings Ltd. (Hong Kong)		659,780		179
Truworths International Ltd. (South Africa)		6,100		36

				396

Consumer Staples—22.7%
AVI Ltd. (South Africa)		22,310		112
Compania Cervecerias Unidas SA Sponsored ADR (Chile)		2,130		46
Embotelladora Andina ADR S.A. Class-B (Chile)		4,990		87
Grupo Herdez Sab de CV (Mexico)		34,825		90
Guinness Anchor Bhd (Malaysia)		30,200		93
Massmart Holdings Ltd. (South Africa)		4,655		30
Oldtown Bhd (Malaysia)		300,750		111
Pinar SUT Mamulleri Sanayii AS (Turkey)		14,800		83
Premier Marketing PCL (Thailand)		600,000		175
Wawel SA (Poland)		309		94

				921

Financials—14.6%
ARA Asset Management Ltd. (Singapore)		145,880		121
BFI Finance Indonesia Tbk PT (Indonesia)⁽³⁾		727,000		148
Bolsa Mexicana de Valores Sab de CV SA (Mexico)		32,800		44
Credit Analysis & Research Ltd. (India)		322		6
Equity Group Holdings Ltd. (Kenya)		205,600		80
Korea Ratings Corp. (South Korea)		2,930		126
Tisco Financial Group PCL (Thailand)		57,700		68

				593

Health Care—1.6%
OdontoPrev S.A. (Brazil)		26,900		64

Industrials—20.0%
Freight Management Holdings Bhd (Malaysia)		210,029		68
Prosegur Cia de Seguridad SA (Spain)		22,500		104
S-1 Corp. (South Korea)		2,465		210
Sinmag Equipment Corp. (Taiwan)		24,520		77
Taiwan Secom Co., Ltd. (Taiwan)		54,874		163
Tegma Gestao Logistica (Brazil)		91,600		109
Turk Traktor Ve Ziraat Makineleri AS (Turkey)		3,400		81

				812


	SHARES		VALUE
Information Technology—13.7%
Autohome, Inc. ADR (China)⁽²⁾		4,750	$	166
Bitauto Holdings Ltd. ADR (China)⁽²⁾		1,150		33
Lumax International Corp., Ltd. (Taiwan)		98,800		130
MercadoLibre, Inc. (United States)		790		90
TOTVS SA (Brazil)		10,200		80
Yandex NV Class A (Russia)⁽²⁾		3,575		56

				555

Materials—10.0%
Assore Ltd. (South Africa)		9,600		39
KPX Chemical Co. Ltd. (South Korea)		2,415		99
Synthos SA (Poland)		35,000		34
Transpaco Ltd. (South Africa)		100,500		125
Yung Chi Paint & Varnish Manufacturing Co. Ltd. (Taiwan)		51,000		109

				406

Telecommunication Services—2.5%
APT Satellite Holdings Ltd. (China)		128,000		103

TOTAL COMMON STOCKS (Identified Cost $4,741)				3,850

WARRANTS—3.7%
Financials—1.3%
Crisil Ltd. Strike price $0.01 Expiration Date 06/06/16 (India)		1,800		53

Information Technology—2.4%
EClerx Services Ltd. Strike price $0.01 Expiration Date 12/16/16 (India)		1,933		41
EClerx Services Ltd. Strike price $0.01 Expiration Date 12/31/18 (India)		2,700		58

				99

TOTAL WARRANTS (Identified Cost $134)				152

TOTAL LONG TERM INVESTMENTS—98.6% (Identified Cost $4,875)				4,002

TOTAL INVESTMENTS—98.6% (Identified Cost $4,875)				4,002	⁽¹⁾
Other assets and liabilities, net—1.4%				56

NET ASSETS—100.0%			$	4,058

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $121 were transferred from Level 1 to Level 2 based on our valuation procedures for non-U.S. securities. (See Note 2A in the Notes to Schedules of Investments for more information.)

Securities held by the Fund with an end of period value of $247 were transferred from Level 2 to Level 1 based on our valuation procedures for non-U.S. securities. (See Note 2A in the Notes to Schedules of Investments for more information.)


	SHARES		VALUE
COMMON STOCK—98.5%
Consumer Discretionary—25.5%
Advance Auto Parts, Inc.		23,729	$	3,571
Amazon.com, Inc.⁽²⁾		23,165		15,657
AutoNation, Inc.⁽²⁾		23,570		1,406
AutoZone, Inc.⁽²⁾		9,630		7,145
Cablevision Systems Corp. Class A		24,850		793
CarMax, Inc.⁽²⁾		71,300		3,848
Carnival Corp.		155,163		8,453
Chipotle Mexican Grill, Inc.⁽²⁾		3,400		1,632
Comcast Corp. Class A		308,328		17,399
Darden Restaurants, Inc.		13,470		857
Expedia, Inc.		7,180		893
Gap, Inc. (The)		61,805		1,527
Goodyear Tire & Rubber Co. (The)		732,790		23,940
H&R Block, Inc.		695,807		23,177
Home Depot, Inc. (The)		134,250		17,755
Horton (D.R.), Inc.		314,400		10,070
Interpublic Group of Cos., Inc. (The)		373,616		8,698
L Brands, Inc.		62,505		5,989
Leggett & Platt, Inc.		179,889		7,559
Lennar Corp. Class A		174,550		8,537
Lowe’s Cos., Inc.		100,573		7,648
Marriott International, Inc. Class A		67,599		4,532
McDonald’s Corp.		86,520		10,221
Mohawk Industries, Inc.⁽²⁾		90,334		17,108
Netflix, Inc.⁽²⁾		26,940		3,081
Newell Rubbermaid, Inc.		572,280		25,226
News Corp.		308,835		4,311
News Corp. Class A		1,093,578		14,610
NIKE, Inc. Class B		388,700		24,294
O’Reilly Automotive, Inc.⁽²⁾		30,900		7,831
Omnicom Group, Inc.		229,807		17,387
Priceline Group, Inc. (The)⁽²⁾		3,470		4,424
PulteGroup, Inc.		336,840		6,003
Ross Stores, Inc.		95,060		5,115
Royal Caribbean Cruises Ltd.		57,135		5,783
Starbucks Corp.		146,910		8,819
Starwood Hotels & Resorts Worldwide, Inc.		51,273		3,552
Time Warner Cable, Inc.		29,005		5,383
Time Warner, Inc.		56,039		3,624
TJX Cos., Inc. (The)		168,090		11,919
TripAdvisor, Inc.⁽²⁾		6,985		595


	SHARES		VALUE
Consumer Discretionary—(continued)
Twenty-First Century Fox, Inc.		28,945	$	788
Twenty-First Century Fox, Inc. Class A		83,710		2,274
Urban Outfitters, Inc.⁽²⁾		25,067		570
Viacom, Inc. Class B		23,311		960
Walt Disney Co. (The)		105,632		11,100
Wyndham Worldwide Corp.		38,101		2,768
Yum! Brands, Inc.		49,020		3,581

				382,413

Consumer Staples—10.1%
Altria Group, Inc.		177,467		10,330
Brown-Forman Corp. Class B		80,260		7,968
Campbell Soup Co.		16,405		862
ConAgra Foods, Inc.		42,107		1,775
Constellation Brands, Inc. Class A		122,727		17,481
CVS Health Corp.		148,654		14,534
General Mills, Inc.		55,436		3,197
Hershey Co. (The)		14,857		1,326
Hormel Foods Corp.		10,846		858
J.M. Smucker Co. (The)		9,854		1,216
Kellogg Co.		23,509		1,699
Keurig Green Mountain, Inc.		10,739		966
Kraft Heinz Co.(The)		53,591		3,899
Kroger Co. (The)		427,280		17,873
McCormick & Co., Inc.		10,158		869
Mead Johnson Nutrition Co.		17,214		1,359
Molson Coors Brewing Co. Class B		277,585		26,071
Mondelez International, Inc. Class A		147,708		6,623
Philip Morris International, Inc.		135,913		11,948
Reynolds American, Inc.		75,192		3,470
Tyson Foods, Inc. Class A		25,133		1,340
Walgreens Boots Alliance, Inc.		116,912		9,956
Whole Foods Market, Inc.		158,732		5,318

				150,938

Energy—1.6%
Marathon Petroleum Corp.		106,626		5,528
Phillips 66		99,998		8,180
Tesoro Corp.		26,138		2,754
Valero Energy Corp.		103,905		7,347

				23,809

Financials—14.4%
ACE Ltd.		48,937		5,718
Aflac, Inc.		53,725		3,218


	SHARES		VALUE
Financials—(continued)
Allstate Corp. (The)		63,520	$	3,944
American Tower Corp. REIT		57,657		5,590
AON plc		104,627		9,648
Apartment Investment & Management Co. Class A REIT		55,172		2,209
AvalonBay Communities, Inc.		45,715		8,418
Bank of America Corp.		231,987		3,904
CBRE Group, Inc. Class A⁽²⁾		564,734		19,529
Charles Schwab Corp. (The)		133,529		4,397
Chubb Corp. (The)		35,491		4,708
Cincinnati Financial Corp.		22,269		1,318
Citigroup, Inc.		67,987		3,518
CME Group, Inc.		63,036		5,711
Comerica, Inc.		3,899		163
Crown Castle International Corp. REIT		46,786		4,045
E*Trade Financial Corp.⁽²⁾		32,858		974
Equity Residential		122,360		9,983
Essex Property Trust, Inc.		23,015		5,510
General Growth Properties, Inc.		134,656		3,664
Goldman Sachs Group, Inc. (The)		48,639		8,766
Intercontinental Exchange, Inc.		20,895		5,355
Iron Mountain, Inc.		27,865		753
JPMorgan Chase & Co.		82,533		5,450
Kimco Realty Corp.		94,592		2,503
Lincoln National Corp.		31,242		1,570
Macerich Co. (The)		30,826		2,487
Marsh & McLennan Cos., Inc.		199,067		11,038
McGraw-Hill Cos., Inc. (The)		49,438		4,874
MetLife, Inc.		141,802		6,836
Moody’s Corp.		32,165		3,227
Morgan Stanley		177,705		5,653
NASDAQ OMX Group, Inc. (The)		22,418		1,304
Plum Creek Timber Co. REIT, Inc.		24,700		1,179
Principal Financial Group, Inc.		34,602		1,556
Progressive Corp. (The)		94,861		3,017
Prudential Financial, Inc.		55,373		4,508
Public Storage		19,960		4,944
Realty Income Corp. REIT		53,002		2,736
Simon Property Group, Inc.		72,162		14,031
Torchmark Corp.		14,309		818
Travelers Cos., Inc. (The)		45,600		5,146
U.S. Bancorp		37,034		1,580
Unum Group		29,585		985
Wells Fargo & Co.		106,661		5,798


	SHARES		VALUE
Financials—(continued)
Weyerhaeuser Co. REIT		72,722	$	2,180
XL Group plc		47,378		1,856

				216,319

Health Care—14.1%
Abbott Laboratories		82,486		3,704
AbbVie, Inc.		45,993		2,725
Aetna, Inc.		34,940		3,778
Agilent Technologies, Inc.		79,390		3,319
Alexion Pharmaceuticals, Inc.⁽²⁾		6,938		1,323
Allergan plc⁽²⁾		7,311		2,285
AmerisourceBergen Corp.		39,484		4,095
Amgen, Inc.		23,606		3,832
Anthem, Inc.		28,280		3,943
Bard (C.R.), Inc.		4,158		788
Baxalta, Inc.		16,633		649
Baxter International, Inc.		28,803		1,099
Becton, Dickinson & Co.		12,107		1,866
Biogen, Inc.⁽²⁾		7,362		2,255
Boston Scientific Corp.⁽²⁾		75,853		1,399
Bristol-Myers Squibb Co.		32,819		2,258
Cardinal Health, Inc.		61,148		5,459
Celgene Corp.⁽²⁾		25,330		3,034
Cerner Corp.⁽²⁾		327,644		19,714
Cigna Corp.		25,880		3,787
DaVita HealthCare Partners, Inc.⁽²⁾		38,936		2,714
DENTSPLY International, Inc.		330,663		20,121
Edwards Lifesciences Corp.⁽²⁾		11,530		911
Eli Lilly & Co.		18,911		1,593
Endo International plc		4,100		251
Express Scripts Holding Co.⁽²⁾		151,175		13,214
Gilead Sciences, Inc.		46,698		4,725
HCA Holdings, Inc.⁽²⁾		177,571		12,009
Henry Schein, Inc.⁽²⁾		15,549		2,460
Humana, Inc.		15,950		2,847
Intuitive Surgical, Inc.⁽²⁾		2,081		1,137
Johnson & Johnson		55,213		5,671
Laboratory Corporation of America Holdings⁽²⁾		22,164		2,740
Mallinckrodt plc		2,279		170
McKesson Corp.		44,400		8,757
Medtronic plc		78,122		6,009
Merck & Co., Inc.		57,270		3,025
Mylan NV		7,254		392
Patterson Cos., Inc.		17,478		790


	SHARES		VALUE
Health Care—(continued)
PerkinElmer, Inc.		28,356	$	1,519
Perrigo Co. plc		3,123		452
Pfizer, Inc.		127,596		4,119
Quest Diagnostics, Inc.		31,144		2,216
Regeneron Pharmaceuticals, Inc.⁽²⁾		2,471		1,341
St. Jude Medical, Inc.		14,779		913
Stryker Corp.		18,028		1,676
Tenet Healthcare Corp.⁽²⁾		53,337		1,616
Thermo Fisher Scientific, Inc.		98,338		13,949
UnitedHealth Group, Inc.		97,310		11,448
Universal Health Services, Inc. Class B		52,835		6,313
Varian Medical Systems, Inc.⁽²⁾		5,725		463
Vertex Pharmaceuticals, Inc.⁽²⁾		7,010		882
Waters Corp.⁽²⁾		20,552		2,766
Zimmer Biomet Holdings, Inc.		9,192		943
Zoetis, Inc.		8,231		394

				211,858

Industrials—13.3%
3M Co.		34,595		5,211
Allegion plc		146,440		9,653
American Airlines Group, Inc.		144,544		6,121
Avery Dennison Corp.		62,976		3,946
Boeing Co. (The)		27,032		3,909
Cintas Corp.		278,480		25,356
Danaher Corp.		31,545		2,930
Delta Air Lines, Inc.		174,601		8,850
Dover Corp.		27,104		1,662
Dun & Bradstreet Corp.		28,660		2,979
Equifax, Inc.		82,930		9,236
Flowserve Corp.		23,112		973
General Dynamics Corp.		13,140		1,805
General Electric Co.		544,939		16,975
Honeywell International, Inc.		32,762		3,393
Hunt (J.B.) Transport Services, Inc.		175,041		12,841
Illinois Tool Works, Inc.		57,025		5,285
Ingersoll-Rand plc		47,435		2,623
L-3 Communications Holdings, Inc.		3,578		428
Lockheed Martin Corp.		11,239		2,441
Masco Corp.		521,680		14,764
Nielsen Holdings plc		283,980		13,233
Northrop Grumman Corp.		8,095		1,528
Parker Hannifin Corp.		24,809		2,406
Pentair plc		31,258		1,548


	SHARES		VALUE
Industrials—(continued)
Precision Castparts Corp.		5,813	$	1,349
Raytheon Co.		12,280		1,529
Robert Half International, Inc.		219,330		10,339
Rockwell Collins, Inc.		5,380		497
Roper Technologies, Inc.		5,330		1,012
Ryder System, Inc.		105,990		6,023
Snap-On, Inc.		9,837		1,686
Southwest Airlines Co.		123,630		5,323
Stanley Black & Decker, Inc.		26,328		2,810
Textron, Inc.		11,634		489
United Continental Holdings, Inc.⁽²⁾		79,916		4,579
United Technologies Corp.		36,006		3,459
Xylem, Inc.		31,400		1,146

				200,337

Information Technology—11.1%
Activision Blizzard, Inc.		301,078		11,655
Adobe Systems, Inc.⁽²⁾		86,865		8,160
Akamai Technologies, Inc.⁽²⁾		8,110		427
Alliance Data Systems Corp.⁽²⁾		3,550		982
Alphabet, Inc. Class A⁽²⁾		9,520		7,407
Alphabet, Inc. Class C⁽²⁾		9,442		7,165
Apple, Inc.		144,448		15,205
Autodesk, Inc.⁽²⁾		29,652		1,807
Automatic Data Processing, Inc.		27,060		2,292
CA, Inc.		12,000		343
Citrix Systems, Inc.⁽²⁾		27,508		2,081
eBay, Inc.⁽²⁾		38,540		1,059
Electronic Arts, Inc.⁽²⁾		193,297		13,283
EMC Corp.		47,334		1,215
Equinix, Inc.		8,264		2,499
Facebook, Inc. Class A⁽²⁾		76,020		7,956
Fidelity National Information Services, Inc.		18,350		1,112
Fiserv, Inc.⁽²⁾		13,415		1,227
Hewlett Packard Co., Inc.⁽²⁾		51,380		608
Hewlett Packard Enterprise Co.		51,380		781
Intuit, Inc.		47,465		4,580
MasterCard, Inc. Class A		58,920		5,736
Microsoft Corp.		334,151		18,539
NetApp, Inc.		7,572		201
Oracle Corp.		136,333		4,980
Paychex, Inc.		17,712		937
PayPal Holdings, Inc.⁽²⁾		54,170		1,961
Red Hat, Inc.⁽²⁾		7,821		648


	SHARES		VALUE
Information Technology—(continued)
salesforce.com, Inc.⁽²⁾		108,093	$	8,474
SanDisk Corp.		4,613		351
Seagate Technology plc		7,616		279
Symantec Corp.		30,650		644
TE Connectivity Ltd.		313,204		20,236
Total System Services, Inc.		8,710		434
VeriSign, Inc.⁽²⁾		3,182		278
Visa, Inc. Class A		107,950		8,371
Western Digital Corp.		5,226		314
Western Union Co. (The)		31,170		558
Xerox Corp.		58,967		627
Yahoo!, Inc.⁽²⁾		28,947		963

				166,375

Materials—5.2%
Ecolab, Inc.		52,816		6,041
International Flavors & Fragrances, Inc.		15,198		1,818
LyondellBasell Industries N.V. Class A		267,063		23,208
Martin Marietta Materials, Inc.		74,680		10,200
PPG Industries, Inc.		52,631		5,201
Sealed Air Corp.		151,798		6,770
Sherwin-Williams Co. (The)		14,680		3,811
Vulcan Materials Co.		133,650		12,693
Westrock Co.		190,595		8,695

				78,437

Telecommunication Services—1.5%
Level 3 Communications, Inc.⁽²⁾		402,980		21,906

Utilities—1.7%
AGL Resources, Inc.		412,388		26,314

TOTAL COMMON STOCK (Identified Cost $1,437,514)				1,478,706

TOTAL LONG TERM INVESTMENTS—98.5% (Identified Cost $1,437,514)				1,478,706

TOTAL INVESTMENTS—98.5% (Identified Cost $1,437,514)				1,478,706	⁽¹⁾
Other assets and liabilities, net—1.5%				22,716

NET ASSETS—100.0%			$	1,501,422

Abbreviation:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCKS—95.8%
Consumer Discretionary—4.0%
Delphi Automotive plc (United Kingdom)		451	$	39
EnerCare, Inc. (Canada)		6,165		71
Johnson Controls, Inc. (United States)		1,601		63

				173

Consumer Staples—15.0%
Adecoagro SA (Brazil)⁽²⁾		4,672		57
AG Growth International, Inc. (Canada)		1,000		24
Andersons, Inc. (The) (United States)		600		19
Archer-Daniels-Midland Co. (United States)		1,529		56
Aryzta AG (Switzerland)		426		22
Bunge Ltd. (United States)		1,097		75
Golden Agri-Resources Ltd. (Singapore)		169,600		41
Greencore Group plc (Ireland)		6,571		34
Indofood Agri Resources Ltd. (Singapore)		36,200		13
JBS SA (Brazil)		7,400		23
KWS SAAT AG (Germany)		82		25
Marine Harvest ASA (Norway)		1,296		17
Minerva Sa/Brazil (Brazil)⁽²⁾		7,000		24
Origin Enterprises plc (Ireland)⁽²⁾		6,532		54
Purecircle Ltd. (United Kingdom)⁽²⁾		4,297		25
SLC Agricola SA (Brazil)		11,300		47
SunOpta, Inc. (Canada)⁽²⁾		5,295		36
United Natural Foods, Inc. (United States)⁽²⁾		523		21
Whitewave Foods Co. (United States)⁽²⁾		918		36

				649

Energy—5.0%
Chorus Gmbh (Germany)⁽²⁾		1,914		20
Cosan Ltd. (Brazil)		22,100		81
Energy Development Corp. (Philippines)		159,500		21
Greenko Group plc (India)		6,066		9
Innergex Renewable Energy, Inc. (Canada)		2,831		23
Newalta Corp. (Canada)		3,404		9
Pattern Energy Group, Inc. (United States)		1,729		36
TransAlta Renewables, Inc. (Canada)		2,241		17

				216

Financials—4.4%
Capital Stage AG (Germany)		2,262		19
Gladstone Land Corp. (United States)		2,246		20
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (United States)		2,069		39


	SHARES		VALUE
Financials—(continued)
PICO Holdings, Inc. (United States)⁽²⁾		3,524	$	36
Renewables Infrastructure Group Ltd. (The) (United Kingdom)		31,730		48
Saeta Yield SA (Spain)		3,154		30

				192

Health Care—1.3%
Agilent Technologies, Inc. (United States)		763		32
Genus plc (United Kingdom)		973		22

				54

Industrials—29.6%
Aegion Corp. (United States)⁽²⁾		1,335		26
AGCO Corp. (United States)		400		18
Ameresco, Inc. (United States)⁽²⁾		3,621		23
Amiad Water Systems Ltd. (Israel)⁽²⁾		3,414		8
Arcadis NV (Netherlands)		2,390		48
BayWa AG (Germany)		1,906		59
Canadian National Railway Co. (Canada)		353		20
China Everbright International Ltd. (Hong Kong)		9,000		12
Covanta Holding Corp. (United States)		3,765		58
CSX Corp. (United States)		2,203		57
Danaher Corp. (United States)		572		53
Deere & Co. (United States)		208		16
Dialight plc (United Kingdom)		734		5
DIRTT Environmental Solutions (Canada)⁽²⁾		1,357		7
Eaton Corp. plc (United States)		762		40
Empresas ICA Sab de CV (Mexico)⁽²⁾		15,600		3
Flowserve Corp. (United States)		176		7
Franklin Electric Co., Inc. (United States)		304		8
FuelCell Energy, Inc. (United States)⁽²⁾		758		4
Gamesa Corp Tecnologica SA (Spain)		1,376		24
GEA Group AG (Germany)		1,215		49
Georg Fisher AG Registered Shares (Switzerland)		37		25
HD Supply Holdings, Inc. (United States)⁽²⁾		2,160		65
Lumenpulse, Inc. (Canada)⁽²⁾		1,378		19
METAWATER Co. Ltd. (Japan)		300		7
Mueller Water Products, Inc. Class A (United States)		6,436		55
Noble Group Ltd. (Singapore)		40,000		11
Pentair plc (United States)		1,327		66
PNE Wind AG (Germany)		8,797		20
Prysmian SpA (Italy)		771		17


	SHARES		VALUE
Industrials—(continued)
Quanta Services, Inc. (United States)⁽²⁾		895	$	18
Regal-Beloit Corp. (United States)		663		39
Rexnord Corp. (United States)⁽²⁾		3,939		71
Rumo Logistica Operadora Multimodal SA (Brazil)⁽²⁾		6,230		10
SIG plc (United Kingdom)		8,258		18
SPX Corp. (United States)		3,725		35
SPX Flow, Inc. (United States)⁽²⁾		1,967		55
Tetra Tech, Inc. (United States)		2,286		59
Toro Co. (The) (United States)		331		24
Wolseley plc (Jersey)		478		26
Xylem, Inc. (United States)		1,434		52
Zumtobel Group AG (Austria)		1,700		43

				1,280

Information Technology—11.1%
Canadian Solar, Inc. (Canada)⁽²⁾		2,385		69
Daqo New Energy Corp. ADR (China)⁽²⁾		363		6
First Solar, Inc. (United States)⁽²⁾		905		60
GCL-Poly Energy Holdings Ltd. (China)		116,000		17
Itron, Inc. (United States)⁽²⁾		1,262		46
JinkoSolar Holding Co.Ltd. ADR (China)⁽²⁾		1,291		36
PSI AG Gesellschaft Fuer Produkte Und Systeme Der Informationstechnologie (Germany)⁽²⁾		880		12
Pure Technologies Ltd. (Canada)		8,236		28
SolarEdge Technologies, Inc. (United States)⁽²⁾		901		25
SunEdison, Inc. (United States)⁽²⁾		2,265		12
SunPower Corp. (United States)⁽²⁾		3,203		96
Trimble Navigation Ltd. (United States)⁽²⁾		1,291		28
Trina Solar Ltd. ADR (China)⁽²⁾		4,020		44

				479

Materials—12.0%
Agrium, Inc. (Canada)		568		51
Calgon Carbon Corp. (United States)		4,082		70
CF Industries Holdings, Inc. (United States)		680		28
Ecolab, Inc. (United States)		377		43
FMC Corp. (United States)		609		24
Israel Chemicals Ltd. (Israel)		3,678		15
Johnson Matthey plc (United Kingdom)		809		32
Monsanto Co. (United States)		439		43
Mosaic Co. (The) (United States)		1,366		38


	SHARES		VALUE
Materials—(continued)
PhosAgro OAO GDR Registered Shares (Russia)		3,305	$	42
Plant Health Care plc (United Kingdom)⁽²⁾⁽³⁾		11,001		13
Potash Corp. of Saskatchewan, Inc. (Canada)		2,020		35
Syngenta AG Registered Shares (Switzerland)		139		54
Yara International ASA (Norway)		667		29

				517

Utilities—13.4%
American Water Works Co., Inc. (United States)		528		32
Aqua America, Inc. (United States)		276		8
Beijing Enterprises Water Group Ltd. Class H (Bermuda)⁽²⁾		26,000		18
Beijing Jingneng Clean Energy Co., Ltd. (China)		52,000		18
California Water Service Group (United States)		1,749		41
Capstone Infrastructure Corp. (Canada)		26,054		68
China Everbright Water Ltd. (China)⁽²⁾		33,200		14
Companhia de Saneamento Basico do Estado de Sao Paulo ADR (Brazil)		2,275		11
Companhia de Saneamento de Minas Gerais (Brazil)		1,600		6
CT Environmental Group (Cayman Islands)		22,000		7
EDP Renovaveis SA (Spain)		5,552		44
Guangdong Investments Ltd. (China)		10,000		14
Huaneng Renewables Corp. Ltd. Class H (China)		130,000		39
Manila Water Co, Inc. (Philippines)		22,000		12
National Grid plc (United Kingdom)		1,522		21
NextEra Energy, Inc. (United States)		310		32
Northland Power, Inc. (Canada)		1,522		21
NRG Yield, Inc. (United States)		2,012		30
SevernTrent plc (United Kingdom)		656		21
Suez Environnement SA (France)		3,460		65
United Utilities Group plc (United Kingdom)		2,756		38
Veolia Environnement SA (France)		776		18

				578

TOTAL COMMON STOCKS (Identified Cost $4,738)				4,138

CLOSED END FUND—0.9%
Financials—0.4%
Greencoat UK Wind plc Fund (United Kingdom)		9,519		15

Industrials—0.5%
Chemtrade Logistics Income Fund (Canada)		1,733		23


TOTAL CLOSED END FUND (Identified Cost $44)			38

RIGHTS—0.0%
Industrials—0.0%
Rumo Logistica expire 2/1/16 (Brazil)⁽²⁾	2,238	$	0

			0

Information Technology—0.0%
GCL Poly Energy Expire 1/20/16 (Hong Kong)	23,200		0

			0

TOTAL RIGHTS (Identified Cost $0)			0

TOTAL LONG TERM INVESTMENTS—96.7% (Identified Cost $4,782)			4,176

TOTAL INVESTMENTS—96.7% (Identified Cost $4,782)			4,176	⁽¹⁾
Other assets and liabilities, net—3.4%			145

NET ASSETS—100.0%		$	4,321

Abbreviation:


ADR		American Depositary Receipt
GDR		Global Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCKS—96.9%
Consumer Discretionary—11.8%
Alimentation Couche -Tard, Inc. Class B (Canada)		805,748	$	35,469
Domino’s Pizza Group plc (United Kingdom)		1,818,780		28,207
Hermes International SA (France)		63,126		21,387
Naspers Ltd. Class N (South Africa)		210,366		28,838
Paddy Power plc (Ireland)		191,111		25,567
Persimmon plc (United Kingdom)		1,111,408		33,211
Priceline Group, Inc. (The) (United States)⁽²⁾		31,412		40,048

				212,727

Consumer Staples—36.9%
AmorePacific Corp. (South Korea)		10,761		3,776
British American Tobacco plc (United Kingdom)		2,056,420		114,321
Chocoladefabrike Lindt & Spruengli AG (Switzerland)		5,414		33,811
Diageo plc (United Kingdom)		1,039,065		28,438
Imperial Tobacco Group plc (United Kingdom)		812,411		42,954
ITC Ltd. (India)		4,507,954		22,291
L’Oreal SA (France)		144,838		24,445
Nestle S.A. Registered Shares (Switzerland)		1,115,679		83,041
Philip Morris International, Inc. (United States)		1,040,936		91,509
Reckitt Benckiser Group plc (United Kingdom)		840,595		77,835
SABMiller plc (United Kingdom)		1,015,156		60,902
Unicharm Corp. (Japan)		927,800		18,947
Unilever N.V. CVA (Netherlands)		1,457,386		63,519

				665,789

Energy—1.1%
Enbridge, Inc. (Canada)		584,197		19,421

Financials—15.2%
ABN AMRO Group NV (Netherlands)⁽²⁾		358,715		8,058
Banco Bilbao Vizcaya Argentaria S.A. (Spain)		25,822		189
Daito Trust Construction Co., Ltd. (Japan)		199,200		23,010
Housing Development Finance Corp. (India)		4,776,712		90,852
Housing Development Finance Corp. Bank Ltd. (India)		4,730,967		77,269
Housing Development Finance Corp. Bank Ltd. ADR (India)		15,174		935
Link (The) (Hong Kong)		3,312,024		19,746
Lloyds Banking Group plc (United Kingdom)		20,780,094		22,384
UBS Group AG (Switzerland)		1,647,603		32,110

				274,553


	SHARES		VALUE
Health Care—19.1%
Bayer AG Registered Shares (Germany)		308,492	$	38,823
Coloplast A/S Class B (Denmark)		165,540		13,427
CSL Ltd. (Australia)		594,720		45,341
Essilor International SA (France)		270,371		33,805
Grifols SA (Spain)		617,964		28,629
Novo Nordisk A/S Class B (Denmark)		989,137		57,601
Ramsay Health Care Ltd. (Australia)		659,204		32,414
Roche Holding AG (Switzerland)		312,161		86,143
Sonic Healthcare Ltd. (Australia)		602,341		7,799

				343,982

Industrials—2.4%
Bureau Veritas SA (France)		1,202,260		24,027
Cheung Kong Infrastructure Holdings Ltd. (Hong Kong)		2,056,089		18,996

				43,023

Information Technology—9.2%
Accenture plc Class A (United States)		299,756		31,325
Alphabet, Inc. Class C (United States)⁽²⁾		61,414		46,606
PayPal Holdings, Inc. (United States)⁽²⁾		1,206,222		43,665
SAP SE (Germany)		565,963		45,133

				166,729

Materials—1.2%
Air Liquide SA (France)		189,776		21,377

TOTAL COMMON STOCKS (Identified Cost $1,289,720)				1,747,601

TOTAL LONG TERM INVESTMENTS—96.9% (Identified Cost $1,289,720)				1,747,601

SHORT-TERM INVESTMENT—0.1%
Money Market Mutual Fund—0.1%
Fidelity Money Market Portfolio - Institutional Shares (seven-day effective yield 0.320%)		1,711,567		1,712

TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,712)				1,712

TOTAL INVESTMENTS—97.0% (Identified Cost $1,291,432)				1,749,313	⁽¹⁾
Other assets and liabilities, net—3.0%				53,925

NET ASSETS—100.0%			$	1,803,238

Abbreviations:


ADR		American Depositary Receipt

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCK—80.0%
Consumer Discretionary—22.4%
Advance Auto Parts, Inc.		528	$	79
Amazon.com, Inc.⁽²⁾		927		627
AutoNation, Inc.⁽²⁾		960		57
AutoZone, Inc.⁽²⁾		350		260
Cablevision Systems Corp. Class A		400		13
CarMax, Inc.⁽²⁾		2,382		129
Carnival Corp.		3,010		164
Chipotle Mexican Grill, Inc.⁽²⁾		70		34
Comcast Corp. Class A		8,172		461
Darden Restaurants, Inc.		320		20
Expedia, Inc.		290		36
Gap, Inc. (The)		2,160		53
Goodyear Tire & Rubber Co. (The)		22,380		731
H&R Block, Inc.		16,401		546
Home Depot, Inc. (The)		4,090		541
Horton (D.R.), Inc.		8,520		273
Interpublic Group of Cos., Inc. (The)		7,657		178
L Brands, Inc.		1,725		165
Leggett & Platt, Inc.		3,885		163
Lennar Corp. Class A		4,610		226
Lowe’s Cos., Inc.		3,045		232
Marriott International, Inc. Class A		1,329		89
McDonald’s Corp.		2,440		288
Mohawk Industries, Inc.⁽²⁾		1,762		334
Netflix, Inc.⁽²⁾		1,260		144
Newell Rubbermaid, Inc.		17,400		767
News Corp.		7,379		103
News Corp. Class A		26,232		350
NIKE, Inc. Class B		13,220		826
O’Reilly Automotive, Inc.⁽²⁾		1,090		276
Omnicom Group, Inc.		4,644		351
Priceline Group, Inc. (The)⁽²⁾		130		166
PulteGroup, Inc.		8,450		151
Ross Stores, Inc.		3,180		171
Royal Caribbean Cruises Ltd.		1,135		115
Starbucks Corp.		3,740		225
Starwood Hotels & Resorts Worldwide, Inc.		1,151		80
Time Warner Cable, Inc.		845		157
Time Warner, Inc.		1,328		86
TJX Cos., Inc.		4,580		325
TripAdvisor, Inc.⁽²⁾		320		27
Twenty-First Century Fox, Inc.		728		20


	SHARES		VALUE
Consumer Discretionary—(continued)
Twenty-First Century Fox, Inc. Class A		2,023	$	55
Urban Outfitters, Inc.⁽²⁾		815		19
Viacom, Inc. Class B		558		23
Walt Disney Co. (The)		2,568		270
Wyndham Worldwide Corp.		804		58
Yum! Brands, Inc.		1,100		80

				10,544

Consumer Staples—7.9%
Altria Group, Inc.		4,424		258
Brown-Forman Corp. Class B		3,087		306
Campbell Soup Co.		412		22
ConAgra Foods, Inc.		941		40
Constellation Brands, Inc. Class A		3,340		476
CVS Health Corp.		2,951		288
General Mills, Inc.		1,275		73
Hershey Co. (The)		291		26
Hormel Foods Corp.		321		25
J.M. Smucker Co. (The)		225		28
Kellogg Co.		582		42
Keurig Green Mountain, Inc.		246		22
Kraft Heinz Co. (The)		1,315		96
Kroger Co. (The)		10,290		430
McCormick & Co., Inc.		250		21
Mead Johnson Nutrition Co.		418		33
Molson Coors Brewing Co. Class B		6,417		603
Mondelez International, Inc. Class A		3,696		166
Philip Morris International, Inc.		3,513		309
Reynolds American, Inc.		1,858		86
Tyson Foods, Inc. Class A		624		33
Walgreens Boots Alliance, Inc.		2,266		193
Whole Foods Market, Inc.		3,861		129

				3,705

Energy—1.6%
Marathon Petroleum Corp.		3,234		168
Phillips 66		3,235		264
Tesoro Corp.		880		93
Valero Energy Corp.		3,042		215

				740

Financials—10.5%
ACE Ltd.		1,063		124
Aflac, Inc.		1,299		78
Allstate Corp. (The)		1,298		81


	SHARES		VALUE
Financials—(continued)
American Tower Corp. REIT		1,268	$	123
AON plc		2,514		232
Apartment Investment & Management Co. Class A REIT		1,192		48
AvalonBay Communities, Inc.		967		178
Bank of America Corp.		5,772		97
CBRE Group, Inc. Class A⁽²⁾		13,423		464
Charles Schwab Corp. (The)		3,403		112
Chubb Corp. (The)		725		96
Cincinnati Financial Corp.		504		30
Citigroup, Inc.		1,620		84
CME Group, Inc.		1,559		141
Comerica, Inc.		124		5
Crown Castle International Corp. REIT		1,002		87
E*Trade Financial Corp.⁽²⁾		769		23
Equity Residential REIT		2,613		213
Essex Property Trust, Inc.		474		113
Four Corners Property Trust REIT, Inc.⁽²⁾		106		2
General Growth Properties, Inc.		2,716		74
Goldman Sachs Group, Inc. (The)		1,158		209
Intercontinental Exchange, Inc.		494		127
Iron Mountain, Inc.		580		16
JPMorgan Chase & Co.		2,030		134
Kimco Realty Corp.		2,005		53
Lincoln National Corp.		729		37
Macerich Co. (The)		636		51
Marsh & McLennan Cos., Inc.		4,732		262
McGraw-Hill Cos., Inc. (The)		1,238		122
MetLife, Inc.		3,460		167
Moody’s Corp.		772		77
Morgan Stanley		4,474		142
NASDAQ OMX Group, Inc. (The)		560		33
Plum Creek Timber Co. REIT, Inc.		522		25
Principal Financial Group, Inc.		869		39
Progressive Corp. (The)		1,941		62
Prudential Financial, Inc.		1,386		113
Public Storage REIT		440		109
Realty Income Corp. REIT		1,068		55
Simon Property Group, Inc.		1,482		288
Torchmark Corp.		379		22
Travelers Cos., Inc. (The)		1,044		118
U.S. Bancorp		900		38
Unum Group		811		27
Wells Fargo & Co.		2,498		136


	SHARES		VALUE
Financials—(continued)
Weyerhaeuser Co. REIT		1,547	$	46
XL Group plc		917		36

				4,949

Health Care—11.0%
Abbott Laboratories		1,824		82
AbbVie, Inc.		1,248		74
Aetna, Inc.		1,130		122
Agilent Technologies, Inc.		2,067		86
Alexion Pharmaceuticals, Inc.⁽²⁾		156		30
Allergan plc		192		60
AmerisourceBergen Corp.		966		100
Amgen, Inc.		579		94
Anthem, Inc.		870		121
Bard (C.R.), Inc.		92		17
Baxalta, Inc.		462		18
Baxter International, Inc.		670		26
Becton, Dickinson & Co.		256		39
Biogen, Inc.⁽²⁾		169		52
Boston Scientific Corp.⁽²⁾		1,646		30
Bristol-Myers Squibb Co.		819		56
Cardinal Health, Inc.		1,538		137
Celgene Corp.⁽²⁾		610		73
Cerner Corp.⁽²⁾		7,474		450
Cigna Corp.		840		123
DaVita, Inc.⁽²⁾		930		65
DENTSPLY International, Inc.		7,231		440
Edwards Lifesciences Corp.⁽²⁾		262		21
Eli Lilly & Co.		468		39
Endo International plc		91		6
Express Scripts Holding Co.⁽²⁾		3,690		323
Gilead Sciences, Inc.		1,076		109
HCA Holdings, Inc.⁽²⁾		4,418		299
Henry Schein, Inc.⁽²⁾		403		64
Humana, Inc.		480		86
Intuitive Surgical, Inc.⁽²⁾		45		25
Johnson & Johnson		1,323		136
Laboratory Corp. of America Holdings⁽²⁾		541		67
Mallinckrodt plc		79		6
McKesson Corp.		1,093		216
Medtronic plc		1,717		132
Merck & Co., Inc.		1,408		74
Mylan NV		246		13
Patterson Cos., Inc.		354		16


	SHARES		VALUE
Health Care—(continued)
PerkinElmer, Inc.		760	$	41
Perrigo Co. plc		69		10
Pfizer, Inc.		2,970		96
Quest Diagnostics, Inc.		752		53
Regeneron Pharmaceuticals, Inc.⁽²⁾		58		31
St. Jude Medical, Inc.		345		21
Stryker Corp.		389		36
Tenet Healthcare Corp.⁽²⁾		1,392		42
Thermo Fisher Scientific, Inc.		2,486		353
UnitedHealth Group, Inc.		2,540		299
Universal Health Services, Inc. Class B		1,285		154
Varian Medical Systems, Inc.⁽²⁾		118		10
Vertex Pharmaceuticals, Inc.⁽²⁾		184		23
Waters Corp.⁽²⁾		514		69
Zimmer Biomet Holdings, Inc.		209		21
Zoetis, Inc.		255		12

				5,198

Industrials—11.2%
3M Co.		718		108
Allegion plc		4,280		282
American Airlines Group, Inc.		2,950		125
Avery Dennison Corp.		1,552		97
Boeing Co. (The)		637		92
Cintas Corp.		8,057		734
Danaher Corp.		704		65
Delta Air Lines, Inc.		3,538		179
Dover Corp.		694		43
Dun & Bradstreet Corp.		880		92
Equifax, Inc.		2,450		273
Flowserve Corp.		619		26
General Dynamics Corp.		294		40
General Electric Co.		11,717		365
Honeywell International, Inc.		802		83
Hunt (J.B.) Transport Services, Inc.		4,307		316
Illinois Tool Works, Inc.		1,383		128
Ingersoll-Rand plc		1,133		63
L-3 Communications Holdings, Inc.		88		11
Lockheed Martin Corp.		275		60
Masco Corp.		15,510		439
Nielsen Holdings plc		7,637		356
Northrop Grumman Corp.		203		38
Parker Hannifin Corp.		591		57
Pentair plc		808		40


	SHARES		VALUE
Industrials—(continued)
Precision Castparts Corp.		143	$	33
Raytheon Co.		325		41
Robert Half International, Inc.		9,752		460
Rockwell Collins, Inc.		124		11
Roper Technologies, Inc.		130		25
Ryder System, Inc.		2,554		145
Snap-On, Inc.		235		40
Southwest Airlines Co.		2,903		125
Stanley Black & Decker, Inc.		672		72
Textron, Inc.		264		11
United Continental Holdings, Inc.⁽²⁾		1,703		98
United Technologies Corp.		836		80
Xylem, Inc.		1,218		44

				5,297

Information Technology—9.0%
Activision Blizzard, Inc.		6,052		234
Adobe Systems, Inc.⁽²⁾		1,981		186
Akamai Technologies, Inc.⁽²⁾		130		7
Alliance Data Systems Corp.⁽²⁾		140		39
Alphabet, Inc. Class A⁽²⁾		320		249
Alphabet, Inc. Class C⁽²⁾		320		243
Apple, Inc.		3,438		362
Autodesk, Inc.⁽²⁾		870		53
Automatic Data Processing, Inc.		1,017		86
CA, Inc.		197		6
Citrix Systems, Inc.⁽²⁾		646		49
eBay, Inc.⁽²⁾		1,455		40
Electronic Arts, Inc.⁽²⁾		3,779		260
EMC Corp.		1,059		27
Equinix REIT, Inc.		168		51
Facebook, Inc. Class A⁽²⁾		2,280		239
Fidelity National Information Services, Inc.		610		37
Fiserv, Inc.⁽²⁾		520		48
Hewlett Packard Enterprise Co.		1,188		18
HP, Inc.		1,188		14
Intuit, Inc.		1,154		111
MasterCard, Inc. Class A		1,750		170
Microsoft Corp.		6,669		370
NetApp, Inc.		162		4
Oracle Corp.		2,713		99
Paychex, Inc.		700		37
PayPal Holdings, Inc.⁽²⁾		1,455		53
Red Hat, Inc.⁽²⁾		133		11


	SHARES		VALUE
Information Technology—(continued)
salesforce.com, Inc.⁽²⁾		2,533	$	199
SanDisk Corp.		142		11
Seagate Technology plc		140		5
Symantec Corp.		524		11
TE Connectivity Ltd.		7,975		515
Total System Services, Inc.		190		9
VeriSign, Inc.⁽²⁾		70		6
Visa, Inc. Class A		3,475		269
Western Digital Corp.		164		10
Western Union Co. (The)		1,130		20
Xerox Corp.		2,270		24
Yahoo!, Inc.⁽²⁾		1,160		39

				4,221

Materials—4.0%
Ecolab, Inc.		1,251		143
International Flavors & Fragrances, Inc.		385		46
LyondellBasell Industries N.V. Class A		5,250		456
Martin Marietta Materials, Inc.		1,960		268
PPG Industries, Inc.		1,274		126
Sealed Air Corp.		3,391		151
Sherwin-Williams Co. (The)		381		99
Vulcan Materials Co.		4,140		393
Westrock Co.		4,379		200

				1,882

Telecommunication Services—1.1%
Level 3 Communications, Inc.⁽²⁾		9,719		528

Utilities—1.3%
AGL Resources, Inc.		9,335		596

TOTAL COMMON STOCK (Identified Cost $36,429)				37,660

TOTAL LONG TERM INVESTMENTS—80.0% (Identified Cost $36,429)				37,660

SHORT-TERM INVESTMENT—15.6%
Money Market Mutual Fund—15.6%
Fidelity Money Market Portfolio - Institutional Shares (Seven-day effective yield 0.320%)		7,348,073		7,348

TOTAL SHORT-TERM INVESTMENT (Identified Cost $7,348)				7,348


	SHARES	VALUE
TOTAL INVESTMENTS—95.6% (Identified Cost $43,777)			45,008	⁽¹⁾
Other assets and liabilities, net—4.4%			2,076

NET ASSETS—100.0%		$	47,084

Abbreviation:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCKS—98.0%
Consumer Discretionary—2.4%
Eutelsat Communications SA (France)		47,730	$	1,431
SES SA (Luxembourg)		56,015		1,557

				2,988

Energy—16.4%
Columbia Pipeline Group, Inc. (United States)		56,745		1,135
Enbridge, Inc. (Canada)		128,500		4,265
Keyera Corp. (Canada)		41,145		1,197
Kinder Morgan, Inc. (United States)		197,150		2,942
Pembina Pipeline Corp. (Canada)		63,155		1,376
Plains GP Holdings LP Class A (United States)		48,490		458
Spectra Energy Corp. (United States)		90,870		2,176
Targa Resources Corp. (United States)		14,310		387
TransCanada Corp. (Canada)		88,720		2,891
Williams Cos., Inc. (The) (United States)		124,350		3,196

				20,023

Financials—5.9%
American Tower Corp. (United States)		34,750		3,369
Crown Castle International Corp. (United States)		44,080		3,811

				7,180

Industrials—15.4%
Abertis Infraestructuras SA (Spain)		133,890		2,097
Atlantia SpA (Italy)		119,851		3,191
Auckland International Airport Ltd. (New Zealand)		457,369		1,794
Aurizon Holdings Ltd. (Australia)		364,315		1,157
Ferrovial SA (Spain)		73,210		1,659
Flughafen Zuerich AG (Switzerland)		2,370		1,783
Sydney Airport (Australia)		422,980		1,947
Transurban Group (Australia)		515,600		3,908
Vinci SA (France)		19,165		1,232

				18,768

Telecommunication Services—19.3%
AT&T, Inc. (United States)		159,345		5,483
BCE, Inc. (Canada)		25,170		972
BT Group plc (United Kingdom)		286,125		1,990
Deutsche Telekom AG Registered Shares (Germany)		99,760		1,810
Nippon Telegraph & Telephone Corp. ADR (Japan)		41,745		1,659


	SHARES		VALUE
Telecommunication Services—(continued)
Singapore Telecommunications Ltd. (Singapore)		738,600	$	1,904
TELUS Corp. (Canada)		49,125		1,358
Verizon Communications, Inc. (United States)		115,379		5,333
Vodafone Group plc Sponsored ADR (United Kingdom)		95,231		3,072

				23,581

Utilities—38.6%
ALLETE, Inc. (United States)		25,925		1,318
American Electric Power Co., Inc. (United States)		24,875		1,449
American Water Works Co., Inc. (United States)		38,060		2,274
APA Group (Australia)		221,070		1,391
Atmos Energy Corp. (United States)		26,625		1,678
CMS Energy Corp. (United States)		46,235		1,668
Dominion Resources, Inc. (United States)		36,105		2,442
DTE Energy Co. (United States)		19,570		1,569
Edison International (United States)		23,790		1,409
Eversource Energy (United States)		29,870		1,525
Hera SpA (Italy)		476,700		1,269
Iberdrola SA (Spain)		253,545		1,805
Laclede Group, Inc. (The) (United States)		23,880		1,419
National Grid plc (United Kingdom)		334,710		4,626
NextEra Energy, Inc. (United States)		41,625		4,324
NiSource, Inc. (United States)		56,765		1,108
ONE Gas, Inc. (United States)		17,075		857
Pennon Group plc (United Kingdom)		115,895		1,471
Portland General Electric Co. (United States)		44,320		1,612
Public Service Enterprise Group, Inc. (United States)		41,820		1,618
Sempra Energy (United States)		32,030		3,011
SevernTrent plc (United Kingdom)		45,320		1,455
Suez Environnement SA (France)		63,780		1,196
Vectren Corp. (United States)		33,140		1,406
Veolia Environnement SA (France)		81,295		1,932
WEC Energy Group, Inc. (United States)		26,140		1,341

				47,173

TOTAL COMMON STOCKS (Identified Cost $127,287)				119,713

TOTAL LONG TERM INVESTMENTS—98.0% (Identified Cost $127,287)				119,713

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCK—94.7%
Consumer Discretionary—7.4%
Alimentation Couche -Tard, Inc. Class B (Canada)		52,369	$	2,305
Amazon.com, Inc. (United States)⁽²⁾		2,658		1,796
Naspers Ltd. Class N (South Africa)		11,631		1,594
Priceline Group, Inc. (The) (United States)⁽²⁾		2,817		3,592
TJX Cos., Inc. (The) (United States)		38,313		2,717

				12,004

Consumer Staples—29.1%
Altria Group, Inc. (United States)		124,507		7,248
British American Tobacco plc (United Kingdom)		147,545		8,202
Coca-Cola Co. (The) (United States)		118,451		5,089
ITC Ltd. (India)		117,383		581
Nestle S.A. Registered Shares (Switzerland)		67,219		5,003
Philip Morris International, Inc. (United States)		91,943		8,083
Reckitt Benckiser Group plc (United Kingdom)		53,264		4,932
Reynolds American, Inc. (United States)		88,568		4,087
Unilever N.V. CVA (Netherlands)		92,658		4,038

				47,263

Financials—20.1%
American Tower Corp. (United States)		32,092		3,111
Berkshire Hathaway, Inc. Class B (United States)⁽²⁾		33,779		4,460
CME Group, Inc. (United States)		32,738		2,966
Housing Development Finance Corp. (India)		298,168		5,671
Housing Development Finance Corp. Bank Ltd. (India)		307,715		5,026
Housing Development Finance Corp. Bank Ltd. ADR (India)		5,796		357
JPMorgan Chase & Co. (United States)		36,311		2,398
Progressive Corp. (The) (United States)		83,201		2,646
Wells Fargo & Co. (United States)		108,760		5,912

				32,547

Health Care—17.6%
Abbott Laboratories (United States)		51,661		2,320
Bard (C.R.), Inc. (United States)		8,122		1,539
Bayer AG Registered Shares (Germany)		12,423		1,563
Becton, Dickinson & Co. (United States)		7,731		1,191
Bristol-Myers Squibb Co. (United States)		43,534		2,995
Celgene Corp. (United States)⁽²⁾		39,480		4,728
Medtronic plc (United States)		29,057		2,235


	SHARES		VALUE
Health Care—(continued)
Novo Nordisk A/S Class B (Denmark)		53,568	$	3,119
Roche Holding AG (Switzerland)		20,965		5,786
UnitedHealth Group, Inc. (United States)		25,888		3,046

				28,522

Information Technology—19.1%
Alphabet, Inc. Class C (United States)⁽²⁾		8,494		6,446
Apple, Inc. (United States)		29,113		3,064
Cognizant Technology Solutions Corp. Class A (United States)⁽²⁾		45,253		2,716
MasterCard, Inc. Class A (United States)		86,730		8,444
PayPal Holdings, Inc. (United States)⁽²⁾		85,050		3,079
SAP SE (Germany)		19,323		1,541
Visa, Inc. Class A (United States)		73,960		5,736

				31,026

Materials—1.4%
Martin Marietta Materials, Inc. (United States)		16,947		2,314

TOTAL COMMON STOCK (Identified Cost $119,530)				153,676

TOTAL LONG TERM INVESTMENTS—94.7% (Identified Cost $119,530)				153,676

SHORT-TERM INVESTMENTS—3.2%
Money Market Mutual Fund—3.2%
Fidelity Money Market Portfolio - Institutional Shares (seven-day effective yield 0.320%)		5,156,563		5,157

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $5,157)				5,157

TOTAL INVESTMENTS—97.9% (Identified Cost $124,687)				158,833	⁽¹⁾
Other assets and liabilities, net—2.1%				3,343

NET ASSETS—100.0%			$	162,176

Abbreviation:

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCK—96.5%
Australia—4.1%
Dexus Property Group		158,839	$	862
GPT Group		127,300		441
GPT Group (The) - In Specie^(2)(3)(5)		13,566		—
Scentre Group		441,789		1,340
Westfield Corp.		180,750		1,243

				3,886

Canada—2.8%
Allied Properties Real Estate Investment Trust		38,135		870
Canadian Real Estate Investment Trust		17,475		531
First Capital Realty, Inc.		25,580		339
RioCan Real Estate Investment Trust		55,162		945

				2,685

Finland—0.9%
Citycon OYJ		343,532		896

France—2.1%
Fonciere Des Regions		1,654		148
Klepierre		27,420		1,222
Mercialys SA		32,400		656

				2,026

Germany—3.5%
ADO Properties SA⁽²⁾⁽⁴⁾		12,342		355
Deutsche Annington Immobilien SE		53,948		1,674
Deutsche Wohnen AG		18,800		523
LEG Immobilien AG		9,454		776

				3,328

Hong Kong—2.3%
Hysan Development Co. Ltd.		123,000		503
Link REIT (The)		277,504		1,654

				2,157

Italy—0.3%
Beni Stabili SpA		338,062		257

Japan—5.3%
GLP J-REIT		651		630
Hulic Co., Ltd.		87,700		770
Industrial & Infrastructure Fund Investment Corp.		110		525
Japan Real Estate Investment Corp.		130		631
Japan Rental Housing Investments, Inc.		772		545
Kenedix Office Investment Corp.		110		514


	SHARES		VALUE
Japan—(continued)
Kenedix Retail Reit Corp.		128	$	271
Nippon Building Fund, Inc.		128		612
Nippon Prologis REIT, Inc.		298		539

				5,037

Mexico—0.9%
PLA Administradora Industrial S de Rl de CV		205,722		334
Prologis Property Mexico SA de CV		367,800		558

				892

Netherlands—2.5%
Unibail-Rodamco SE		9,498		2,419

Norway—0.6%
Entra ASA⁽⁴⁾		53,000		426
Norwegian Property ASA⁽²⁾		112,875		116

				542

Singapore—1.8%
CapitaLand Mall Trust		254,450		345
CapitaLand Retail China Trust		370,331		388
Global Logistic Properties Ltd.		662,500		1,001

				1,734

Spain—0.5%
Axiare Patrimonio SOCIMI SA		35,289		506

Sweden—0.6%
Castellum AB		36,640		524

United Kingdom—8.1%
Big Yellow Group plc		49,428		587
British Land Co. plc		89,800		1,041
Derwent London plc		12,810		693
Great Portland Estates plc		28,076		343
Hammerson plc		137,020		1,212
Land Securities Group plc		70,231		1,219
Safestore Holdings plc		116,957		616
SEGRO plc		123,490		782
Unite Group plc (The)		126,200		1,220

				7,713

United States—60.2%
American Campus Communities, Inc.		24,638		1,019
American Homes 4 Rent Class A		56,500		941
AvalonBay Communities, Inc.		15,365		2,829
Boston Properties, Inc.		16,178		2,063


	SHARES		VALUE
United States—(continued)
Brixmor Property Group, Inc.		50,133	$	1,294
Camden Property Trust		13,006		998
Cousins Properties, Inc.		92,500		872
CubeSmart		23,750		727
DCT Industrial Trust, Inc.		60,698		2,268
Digital Realty Trust, Inc.		13,000		983
Douglas Emmett, Inc.		47,395		1,478
Duke Realty Corp.		51,100		1,074
Equity Lifestyle Properties, Inc.		10,446		696
Equity Residential		42,315		3,453
Essex Property Trust, Inc.		13,804		3,305
Extra Space Storage, Inc.		14,495		1,279
Federal Realty Investment Trust		14,050		2,053
General Growth Properties, Inc.		78,119		2,126
Highwoods Properties, Inc.		37,860		1,651
Host Hotels & Resorts, Inc.		107,958		1,656
Kilroy Realty Corp.		36,675		2,321
LaSalle Hotel Properties		37,915		954
Liberty Property Trust		42,067		1,306
Macerich Co. (The)		2,373		192
Paramount Group, Inc.		86,740		1,570
Pebblebrook Hotel Trust		44,009		1,233
Prologis, Inc.		54,248		2,328
Public Storage		10,234		2,535
Regency Centers Corp.		24,300		1,655
RLJ Lodging Trust		51,350		1,111
Simon Property Group, Inc.		26,031		5,062
SL Green Realty Corp.		6,486		733
Tanger Factory Outlet Centers		44,350		1,450
Ventas, Inc.		27,572		1,556
Welltower, Inc.		8,719		593

				57,364

TOTAL COMMON STOCK (Identified Cost $83,654)				91,966

TOTAL LONG TERM INVESTMENTS—96.5% (Identified Cost $83,654)				91,966

TOTAL INVESTMENTS—96.5% (Identified Cost $83,654)				91,966	⁽¹⁾
Other assets and liabilities, net—3.5%				3,375

NET ASSETS—100.0%			$	95,341

Abbreviation:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015, these securities amounted to a value of $781 or 0.8% 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, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCK—90.5%
Consumer Discretionary—13.6%
Barrat Developments plc (United Kingdom)		56,038	$	517
Domino’s Pizza Group plc (United Kingdom)		24,000		372
Hermes International SA (France)		1,780		603
Paddy Power plc (Ireland)		4,011		536
Persimmon plc (United Kingdom)		14,653		438
Priceline Group, Inc. (The) (United States)⁽²⁾		672		857
William Hill plc (United Kingdom)		51,002		298

				3,621

Consumer Staples—34.8%
Anheuser-Busch InBev N.V. (Belgium)		2,210		275
British American Tobacco plc (United Kingdom)		27,731		1,542
Chocoladefabrike Lindt & Spruengli AG (Switzerland)		49		306
Diageo plc (United Kingdom)		10,537		288
Heineken N.V. (Netherlands)		76		6
Imperial Tobacco Group plc (United Kingdom)		14,671		776
L’Oreal SA (France)		2,343		395
Nestle S.A. Registered Shares (Switzerland)		15,962		1,188
Pernod-Ricard SA (France)		2,815		322
Philip Morris International, Inc. (United States)		13,876		1,220
Reckitt Benckiser Group plc (United Kingdom)		13,387		1,240
SABMiller plc (United Kingdom)		13,415		805
Unilever N.V. CVA (Netherlands)		20,499		893

				9,256

Financials—7.4%
ABN AMRO Group NV (Netherlands)⁽²⁾⁽³⁾		10,666		240
Amundi SA (France)⁽²⁾⁽³⁾		5,003		235
Banco Bilbao Vizcaya Argentaria S.A. (Spain)		530		4
Lloyds Banking Group plc (United Kingdom)		305,332		329
Reinet Investments SCA (Luxembourg)		8,716		170
Svenska Handelsbanken AB Class A (Sweden)		21,356		286
UBS Group AG (Switzerland)		36,609		713

				1,977

Health Care—18.8%
Bayer AG Registered Shares (Germany)		4,866		612
Coloplast A/S Class B (Denmark)		3,096		251
Essilor International SA (France)		4,806		601
Fresenius Medical Care AG & Co. KGaA (Germany)		4,564		386
Grifols SA (Spain)		11,339		525


	SHARES		VALUE
Health Care—(continued)
Novartis AG Registered Shares (Switzerland)		2,373	$	206
Novo Nordisk A/S Class B (Denmark)		13,531		788
Novozymes A/S Class B (Denmark)		5,120		246
Roche Holding AG (Switzerland)		5,040		1,391

				5,006

Industrials—4.8%
Aena SA (Spain)⁽²⁾⁽³⁾		3,019		346
Bureau Veritas SA (France)		18,937		378
DKSH Holding AG (Switzerland)		5,415		343
Zardoya Otis S.A. (Spain)		18,252		214

				1,281

Information Technology—5.7%
Accenture plc Class A (United States)		5,714		597
SAP SE (Germany)		11,474		915

				1,512

Materials—4.5%
Air Liquide SA (France)		5,640		635
HeidelbergCement AG (Germany)		2,587		213
Randgold Resources Ltd. (Jersey)		3,153		192
Randgold Resources Ltd. ADR (Jersey)		2,580		160

				1,200

Retail REIT—0.9%
Unibail-Rodamco SE (Netherlands)		977		249

TOTAL COMMON STOCK (Identified Cost $20,897)				24,102

TOTAL LONG TERM INVESTMENTS—90.5% (Identified Cost $20,897)				24,102

SHORT-TERM INVESTMENTS—5.8%
Money Market Mutual Fund—5.8%
Fidelity Money Market Portfolio - Institutional Shares (seven-day effective yield 0.320%)		1,538,262		1,538

TOTAL SHORT-TERM INVESTMENTS (Identified Cost $1,538)				1,538


TOTAL INVESTMENTS—96.3% (Identified Cost $22,435)		25,640	⁽¹⁾
Other assets and liabilities, net—3.7%		992

NET ASSETS—100.0%	$	26,632

Abbreviations:


ADR		American Depositary Receipt
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015, these securities amounted to a value of $821 or 3.1% of net assets.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.


	SHARES		VALUE
CLOSED END FUND—77.8%
Convertible Fund—0.3%
Putnam High Income Securities Fund		19,032	$	139

Equity Funds—41.8%
Adams Diversified Equity Fund, Inc.		75,689		971
Adams Natural Resources Fund, Inc.		37,597		667
Allianzgi Nfj Dividend Interest & Premium Strategy Fund		57,707		715
Alpine Total Dynamic Dividend Fund		143,834		1,105
BlackRock Science & Technology Trust		119,277		2,065
Boulder Growth & Income Fund, Inc.		245,802		1,903
Cohen & Steers Closed-End Opportunity Fund, Inc.		20,000		219
Cohen & Steers Infrastructure Fund, Inc.		32,435		619
Cohen & Steers Total Return Realty Fund, Inc.		16,684		210
Cornerstone Strategic Value Fund, Inc.		14,760		231
Cushing MLP Total Return Fund (The)		30,672		327
Eaton Vance Tax-Advantaged Dividend Income Fund		9,652		187
First Trust Energy Infrastructure Fund		28,901		422
Gabelli Dividend & Income Trust (The)		56,938		1,051
Gabelli Healthcare & WellnessRx Trust (The)		68,857		706
Gabelli Multimedia Trust, Inc.		49,700		373
General American Investors Co., Inc.		27,604		882
Guggenheim Enhanced Equity Income Fund		68,412		525
Liberty All Star Equity Fund		175,199		937
Salient Midstream & MLP Fund		119,486		1,139
Source Capital, Inc.		33,041		2,189
Special Opportunities Fund, Inc.		8,750		115
Tortoise Energy Infrastructure Corp.		47,000		1,308
Tortoise Mlp Fund, Inc.		33,400		580
Tortoise Pipeline & Energy Fund, Inc.		64,595		937
Tri-Continental Corp.		26,847		537

				20,920

Fixed Income Funds—10.5%
First Trust High Income Long/Short Fund		32,500		458
First Trust Mortgage Income Fund		12,704		185
NexPoint Credit Strategies Fund		74,833		1,530
Nuveen Credit Strategies Income Fund		20,348		159
Nuveen Multi-Market Income Fund, Inc.		12,894		91
PIMCO Corporate & Income Strategy Fund		21,670		290
PIMCO Dynamic Credit Income Fund		118,300		2,133


	SHARES		VALUE
Fixed Income Funds—(continued)
PIMCO Income Opportunity Fund		5,044	$	107
PIMCO Income Strategy Fund		30,800		300

				5,253

International Equity Funds—21.9%
Aberdeen Japan Equity Fund, Inc.		71,048		548
Aberdeen Singapore Fund, Inc.		7,300		63
Alpine Global Dynamic Dividend Fund		110,759		980
Brookfield Global Listed Infrastructure Income Fund, Inc.		7,000		82
Clough Global Opportunities Fund		40,477		423
Delaware Enhanced Global Dividend and Income Fund		18,872		176
First Trust Dynamic Europe Equity Income Fund		48,705		836
Japan Smaller Capitalization Fund, Inc.		56,954		583
Korea Fund, Inc. (The)		7,079		225
Macquarie Global Infrastructure Total Return Fund, Inc.		6,230		119
Morgan Stanley China A Share Fund, Inc.		51,500		1,025
New Germany Fund, Inc. (The)		36,690		539
RMR Real Estate Income Fund		11,278		217
Taiwan Fund, Inc. (The)⁽²⁾		30,390		445
Tekla Healthcare Investors		15,700		466
Tekla Healthcare Opportunities Fund		144,403		2,511
Tekla World Healthcare Fund		94,990		1,504
Templeton Dragon Fund, Inc.		12,137		216

				10,958

International Income Funds—2.3%
Aberdeen Asia-Pacific Income Fund, Inc.		90,407		413
Diversified Real Asset Income Fund		19,626		304
Morgan Stanley Emerging Markets Domestic Debt Fund, Inc.		58,600		399

				1,116

Municipal Bond Funds—1.0%
Blackrock Municipal Target Term Trust		15,000		323
Dreyfus Municipal Bond Infrastructure Fund, Inc.		15,100		187

				510

TOTAL CLOSED END FUND (Identified Cost $42,946)				38,896


	SHARES		VALUE
PREFERRED STOCKS—20.6%
Financials—20.6%
Eagle Point Credit Co, Inc. 7.75%		22,649	$	574
MVC Capital, Inc. 7.25%		86,136		2,119
Oxford Lane Capital Corp. 7.50%		167,441		4,014
Oxford Lane Capital Corp. 8.125%		142,366		3,607

TOTAL PREFERRED STOCKS (Identified Cost $10,412)				10,314

TOTAL LONG TERM INVESTMENTS—98.4% (Identified Cost $53,358)				49,210

TOTAL INVESTMENTS—98.4% (Identified Cost $53,358)				49,210	⁽¹⁾
Other assets and liabilities, net—1.6%				804

NET ASSETS—100.0%			$	50,014

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015 (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, 2015.


	PAR VALUE		VALUE
MORTGAGE-BACKED SECURITIES—2.1%
Non-Agency—2.1%
Citi Held For Asset Issuance 2015-PM3 144A 4.450%, 5/16/22⁽³⁾	$	360	$	356
Citigroup Mortgage Loan Trust, Inc. 05-5, 2A3 5.000%, 8/25/35		114		114
Goldman Sachs Residential Mortgage Loan Trust 05-5F, B1 5.751%, 6/25/35⁽²⁾		271		264
Home Equity Loan Trust 07-HSA3, AI4 6.110%, 6/25/37⁽²⁾		415		422
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽³⁾		232		248
Residential Accredit Loans, Inc. 05-QS1, A5 5.500%, 1/25/35		121		122

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,505)				1,526

ASSET-BACKED SECURITIES—0.9%
Arbys Funding LLC 15-1A, A2 144A 4.969%, 10/30/45⁽³⁾		225		224
Greater Capital Association of Realtors 15-1A, C 9.790%, 10/15/25		250		247
LEAF Receivables Funding 10 LLC 15-1, E2 144A 6.000%, 6/15/23⁽³⁾		160		152

TOTAL ASSET-BACKED SECURITIES (Identified Cost $632)				623

CORPORATE BONDS AND NOTES—74.8%
Consumer Discretionary—21.7%
Aramark Services Inc. 144A 5.125%, 1/15/24⁽³⁾		150		153
Argos Merger Sub, Inc. 144A 7.125%, 3/15/23⁽³⁾		700		696
Boyd Gaming Corp.
9.000%, 7/1/20		275		293
6.875%, 5/15/23		265		274
Brookfield Residential Properties, Inc. 144A 6.125%, 7/1/22⁽³⁾		35		33
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽⁴⁾		450		344
Caesars Entertainment Resort Properties LLC 8.000%, 10/1/20		300		286
Caesars Growth Properties Holdings LLC 9.375%, 5/1/22		260		215
CalAtlantic Group, Inc. 6.250%, 12/15/21		120		129


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
CCO Holding Safari LLC 144A 5.750%, 2/15/26⁽³⁾	$	300	$	301
CCO Holdings LLC
(CCO Holdings Capital Corp.) 6.500%, 4/30/21		500		521
144A 5.125%, 5/1/23⁽³⁾		215		216
CCO Safari II LLC 144A 4.908%, 7/23/25⁽³⁾		110		110
Cequel Communications Holdings I LLC 144A 6.375%, 9/15/20⁽³⁾		400		392
Churchill Downs, Inc. 144A 5.375%, 12/15/21⁽³⁾		110		111
Clear Channel Communications, Inc. 9.000%, 12/15/19		115		86
Clear Channel Worldwide Holdings, Inc.
Series B 7.625%, 3/15/20		1,060		983
Series A 7.625%, 3/15/20		150		137
Columbus International, Inc. Series B, 144A 7.375%, 3/30/21⁽³⁾		245		243
CSC Holdings LLC 5.250%, 6/1/24		450		396
DISH DBS Corp. 5.000%, 3/15/23		475		413
Fiat Chrysler Automobiles NV 5.250%, 4/15/23		250		247
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. 5.625%, 10/15/21		550		573
Intelsat Jackson Holdings SA 5.500%, 8/1/23		425		336
Jarden Corp. 144A 5.000%, 11/15/23⁽³⁾		115		118
Landry’s Holdings II, Inc. 144A 10.250%, 1/1/18⁽³⁾		175		175
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		425		449
Lennar Corp.
4.500%, 11/15/19		215		220
4.875%, 12/15/23		70		70
M/I Homes, Inc. 144A 6.750%, 1/15/21⁽³⁾		140		138
MDC Holdings, Inc. 5.500%, 1/15/24		325		330
Meritor, Inc. 6.750%, 6/15/21		375		347
MGM Resorts International 6.750%, 10/1/20		650		671
Mohegan Tribal Gaming Authority 144A 9.750%, 9/1/21⁽³⁾		65		65
MPG Holdco I, Inc. 7.375%, 10/15/22		225		228
NCL Corp. Ltd. 144A 4.625%, 11/15/20⁽³⁾		115		113
Numericable Group SA 144A 6.000%, 5/15/22⁽³⁾		465		452
Omega US Sub LLC 144A 8.750%, 7/15/23⁽³⁾		650		603
Party City Holdings, Inc. 144A 6.125%, 8/15/23⁽³⁾		35		34
Penn National Gaming, Inc. 5.875%, 11/1/21		490		478
Pinnacle Entertainment, Inc. 6.375%, 8/1/21		300		317
RCN Telecom Services LLC (RCN Capital Corp.) 144A 8.500%, 8/15/20⁽³⁾		670		679


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Sally Holdings LLC / Sally Capital, Inc. 5.625%, 12/1/25	$	145	$	147
Scientific Games International, Inc.
6.625%, 5/15/21		150		71
144A 7.000%, 1/1/22⁽³⁾		245		235
Standard Pacific Corp. 5.875%, 11/15/24		150		158
Toll Brothers Finance Corp. 4.875%, 11/15/25		450		443
TRI Pointe Holdings, Inc. 5.875%, 6/15/24		400		391
Univision Communications, Inc. 144A 5.125%, 5/15/23⁽³⁾		475		460
UPCB Finance IV Ltd. 144A 5.375%, 1/15/25⁽³⁾		200		190
UPCB Finance Ltd. Series V 144A 7.250%, 11/15/21⁽³⁾		44		47
VTR Finance BV 144A 6.875%, 1/15/24⁽³⁾		450		415

				15,532

Consumer Staples—2.0%
Constellation Brands, Inc. 4.750%, 12/1/25		65		66
Dole Food Co., Inc. 144A 7.250%, 5/1/19⁽³⁾		250		248
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25⁽³⁾		105		102
Rite Aid Corp.
6.750%, 6/15/21		475		499
144A 6.125%, 4/1/23⁽³⁾		65		68
Safeway, Inc. 7.250%, 2/1/31		215		194
Tops Holding LLC (Tops Markets II Corp.) 144A 8.000%, 6/15/22⁽³⁾		275		272

				1,449

Energy—7.3%
Antero Resources Corp. 144A 5.625%, 6/1/23⁽³⁾		275		216
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		340		236
CONSOL Energy, Inc. 5.875%, 4/15/22		200		125
Crestwood Midstream Partners LP (Crestwood Midstream Finance Corp.) 144A 6.250%, 4/1/23⁽³⁾		295		207
Denbury Resources, Inc. 5.500%, 5/1/22		150		51
Enbridge Energy Partners LP 4.375%, 10/15/20		35		34
Energy Transfer Partners LP 5.875%, 1/15/24		400		328
EnQuest plc 144A 7.000%, 4/15/22⁽³⁾		250		88
EP Energy LLC (Everest Acquisition Finance, Inc.)
9.375%, 5/1/20		215		138
6.375%, 6/15/23		230		116


	PAR VALUE		VALUE
Energy—(continued)
Exterran Partners LP (EXLP Finance Corp.) 6.000%, 10/1/22	$	300	$	246
FTS International, Inc.
144A 8.012%, 6/15/20⁽²⁾⁽³⁾		230		157
6.250%, 5/1/22		190		54
Gulfport Energy, Corp. 7.750%, 11/1/20		250		225
Halcon Resources Corp. 144A 8.625%, 2/1/20⁽³⁾		160		111
Helmerich & Payne International Drilling Co. 4.650%, 3/15/25		150		150
Linn Energy LLC (Linn Energy Finance Corp.) 7.750%, 2/1/21		200		30
MPLX LP 144A 4.875%, 12/1/24⁽³⁾		325		292
Newfield Exploration Co. 5.375%, 1/1/26		300		248
NGL Energy Partners LP (NGL Energy Finance Corp.) 5.125%, 7/15/19		200		159
Pacific Exploration and Production Corp. 144A 5.375%, 1/26/19⁽³⁾		100		19
Parker Drilling Co. (The) 7.500%, 8/1/20		200		153
Regency Energy Partners LP 5.875%, 3/1/22		235		222
Sabine Oil & Gas Corp. 7.250%, 6/15/19⁽⁴⁾		329		22
Sabine Pass Liquefaction LLC 5.625%, 2/1/21		380		351
SM Energy Co. 6.125%, 11/15/22		200		148
Sunoco LP (Sunoco Finance Corp.) 144A 6.375%, 4/1/23⁽³⁾		695		657
Transocean, Inc. 5.800%, 12/15/16		360		351
Whiting Petroleum Corp. 6.250%, 4/1/23		125		91

				5,225

Financials—7.7%
AerCap Ireland Capital Ltd / AerCap Global Aviation Trust 4.625%, 10/30/20		150		154
Aircastle Ltd. 5.125%, 3/15/21		550		566
Ally Financial, Inc.
3.250%, 2/13/18		95		95
3.250%, 11/5/18		120		118
Corrections Corp. of America 5.000%, 10/15/22		255		255
CTR Partnership LP (Caretrust Capital Corp.) 5.875%, 6/1/21		300		304
CyrusOne LP / CyrusOne Finance Corp. 6.375%, 11/15/22		350		362
DuPont Fabros Technology LP 5.875%, 9/15/21		350		366
ESH Hospitality, Inc. 144A 5.250%, 5/1/25⁽³⁾		225		221
First Cash Financial Services, Inc. 6.750%, 4/1/21		250		246


	PAR VALUE		VALUE
Financials—(continued)
Genworth Holdings, Inc. 4.900%, 8/15/23	$	230	$	154
GLP Capital LP (GLP Financing II, Inc.)
4.875%, 11/1/20		215		211
5.375%, 11/1/23		5		5
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.) 5.875%, 2/1/22		300		293
ING Groep NV 6.000%, 12/31/45^(2)(5)(6)		200		201
iStar Financial, Inc. 5.000%, 7/1/19		500		487
Nationstar Mortgage LLC 6.500%, 7/1/21		250		222
Sabra Health Care LP 5.500%, 2/1/21		170		176
Springleaf Finance Corp. 5.250%, 12/15/19		260		248
Sprint Capital Corp. 6.900%, 5/1/19		325		266
Voya Financial, Inc. 5.650%, 5/15/53⁽²⁾		205		203
Walter Investment Management Corp. 7.875%, 12/15/21		215		171
York Risk Services Holding Corp. 144A 8.500%, 10/1/22⁽³⁾		275		227

				5,551

Health Care—13.2%
Acadia Healthcare Co., Inc.
5.125%, 7/1/22		145		136
5.625%, 2/15/23		100		95
Alere, Inc.
6.500%, 6/15/20		350		338
144A 6.375%, 7/1/23⁽³⁾		115		108
Capsugel SA PIK Interest Capitalization 144A, 7.000%, 5/15/19⁽³⁾⁽⁷⁾		275		269
Community Health Systems, Inc.
5.125%, 8/1/21		300		300
6.875%, 2/1/22		145		138
Concordia Healthcare Corp. 144A 7.000%, 4/15/23⁽³⁾		450		393
Crimson Merger Sub, Inc. 144A 6.625%, 5/15/22⁽³⁾		225		155
DaVita Healthcare Partners, Inc.
5.125%, 7/15/24		310		311
5.000%, 5/1/25		100		97
Emdeon, Inc. 144A 6.000%, 2/15/21⁽³⁾		340		317
Endo Finance LLC 144A 5.875%, 1/15/23⁽³⁾		250		246
Envision Healthcare Corp. 144A 5.125%, 7/1/22⁽³⁾		300		295
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23⁽³⁾		60		61
HCA, Inc.


	PAR VALUE		VALUE
Health Care—(continued)
6.500%, 2/15/20	$	425	$	463
5.375%, 2/1/25		600		593
HealthSouth Corp.
144A 5.750%, 11/1/24⁽³⁾		40		38
144A 5.750%, 9/15/25⁽³⁾		275		257
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽³⁾		130		134
Jaguar Holding Co. II (Pharmaceutical Product Development LLC) 144A 6.375%, 8/1/23⁽³⁾		230		225
JLL Delta Dutch Pledgeco BV PIK Interest Capitalization, 144A 8.750%, 5/1/20⁽³⁾⁽⁷⁾		245		237
Mallinckrodt International Finance S.A.
144A 4.875%, 4/15/20⁽³⁾		10		10
144A 5.750%, 8/1/22⁽³⁾		105		101
144A 5.625%, 10/15/23⁽³⁾		435		415
144A 5.500%, 4/15/25⁽³⁾		20		19
Mednax Inc 144A 5.250%, 12/1/23⁽³⁾		295		296
Pinnacle Merger Sub, Inc. (PRA Holdings, Inc.) 144A 9.500%, 10/1/23⁽³⁾		225		246
Quintiles Transnational Corp. 144A 4.875%, 5/15/23⁽³⁾		300		303
Select Medical Corp. 6.375%, 6/1/21		350		308
Sterigenics-Nordion Holdings LLC 144A 6.500%, 5/15/23⁽³⁾		325		311
Surgical Care Affiliates, Inc. 144A 6.000%, 4/1/23⁽³⁾		400		392
Team Health, Inc. 144A 7.250%, 12/15/23⁽³⁾		20		21
Tenet Healthcare Corp.
6.000%, 10/1/20		375		397
4.500%, 4/1/21		275		269
8.125%, 4/1/22		255		256
Valeant Pharmaceuticals International, Inc.
144A 5.375%, 3/15/20⁽³⁾		775		732
144A 7.250%, 7/15/22⁽³⁾		160		157

				9,439

Industrials—7.0%
ADS Waste Holdings, Inc. 8.250%, 10/1/20		300		304
ADT Corp. (The) 6.250%, 10/15/21		400		420
Ahern Rentals, Inc. 144A 7.375%, 5/15/23⁽³⁾		274		223
American Airlines Group, Inc. 144A 4.625%, 3/1/20⁽³⁾		160		153
Bombardier, Inc. 144A 6.125%, 1/15/23⁽³⁾		200		139
Builders FirstSource, Inc.


	PAR VALUE		VALUE
Industrials—(continued)
144A 7.625%, 6/1/21⁽³⁾	$	300	$	317
144A 10.750%, 8/15/23⁽³⁾		150		150
Building Materials Corp. of America 144A 5.375%, 11/15/24⁽³⁾		170		170
CEB, Inc. 144A 5.625%, 6/15/23⁽³⁾		150		149
Garda World Security Corp. 144A 7.250%, 11/15/21⁽³⁾		410		355
Harland Clarke Holdings Corp.
144A 6.875%, 3/1/20⁽³⁾		150		125
144A 9.250%, 3/1/21⁽³⁾		300		237
HD Supply, Inc. 144A 5.250%, 12/15/21⁽³⁾		400		409
JBS Investments GmbH 144A 7.250%, 4/3/24⁽³⁾		200		182
NCI Building Systems, Inc. 144A 8.250%, 1/15/23⁽³⁾		290		306
TransDigm, Inc.
6.000%, 7/15/22		300		295
144A 6.500%, 5/15/25⁽³⁾		230		224
United Rentals North America, Inc. 5.500%, 7/15/25		500		487
Virgin Australia Trust 13-1A 144A 5.000%, 10/23/23⁽³⁾		349		360

				5,005

Information Technology—1.3%
First Data Corp. 144A 5.750%, 1/15/24⁽³⁾		450		444
Interactive Data Corp. 144A 5.875%, 4/15/19⁽³⁾		300		306
Riverbed Technology, Inc. 144A 8.875%, 3/1/23⁽³⁾		215		200

				950

Materials—5.3%
American Builders & Contractors Supply Co., Inc. 144A 5.750%, 12/15/23⁽³⁾		35		35
ArcelorMittal 6.125%, 6/1/25		150		110
Ardagh Packaging Finance plc
144A 6.250%, 1/31/19⁽³⁾		145		140
144A 9.125%, 10/15/20⁽³⁾		275		283
144A 6.750%, 1/31/21⁽³⁾		295		285
Ball Corp 4.375%, 12/15/20		25		25
Berry Plastics Corp. 5.125%, 7/15/23		400		390
Beverage Packaging Holdings Luxembourg II SA 144A 6.000%, 6/15/17⁽³⁾		180		175
Cascades, Inc.
144A 5.500%, 7/15/22⁽³⁾		575		560


	PAR VALUE		VALUE
Materials—(continued)
144A 5.750%, 7/15/23⁽³⁾	$	225	$	217
Cemex SAB de CV 144A 7.250%, 1/15/21⁽³⁾		245		236
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		150		132
Hexion U.S. Finance Corp. 6.625%, 4/15/20		175		138
INEOS Group Holdings SA
144A 6.125%, 8/15/18⁽³⁾		235		234
144A 5.875%, 2/15/19⁽³⁾		305		297
Reynolds Group Issuer, Inc. 8.250%, 2/15/21		190		184
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21⁽³⁾		300		304
Vedanta Resources plc 144A 9.500%, 7/18/18⁽³⁾		100		74

				3,819

Telecommunication Services—7.3%
Altice Financing SA
144A 6.625%, 2/15/23⁽³⁾		480		475
Luxembourg, 144A 7.625%, 2/15/25⁽³⁾		480		415
144A 7.750%, 7/15/25⁽³⁾		200		185
CenturyLink, Inc. Series V 5.625%, 4/1/20		375		372
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		310		257
Frontier Communications Corp.
8.500%, 4/15/20		425		427
144A 8.875%, 9/15/20⁽³⁾		40		41
6.250%, 9/15/21		125		107
144A 10.500%, 9/15/22⁽³⁾		45		45
Level 3 Financing, Inc.
7.000%, 6/1/20		150		157
144A 5.375%, 1/15/24⁽³⁾		95		96
Neptune Finance Corp.
144A 10.125%, 1/15/23⁽³⁾		210		219
144A 6.625%, 10/15/25⁽³⁾		210		219
Sprint Capital Corp. 6.875%, 11/15/28		250		176
Sprint Corp. 7.875%, 9/15/23		325		245
T-Mobile USA, Inc.
6.625%, 11/15/20		150		156
6.125%, 1/15/22		240		247
6.836%, 4/28/23		250		259
6.500%, 1/15/24		275		281
6.500%, 1/15/26		220		223
Virgin Media Finance plc 6.000%, 10/15/24⁽³⁾		250		250
Windstream Corp. 7.750%, 10/1/21		300		238


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Zayo Group LLC / Zayo Capital Inc. 6.000%, 4/1/23	$	180	$	171

				5,261

Utilities—2.0%
AmeriGas Partners LP 7.000%, 5/20/22		325		316
Calpine Corp. 5.375%, 1/15/23		350		316
NRG Yield Operating LLC 5.375%, 8/15/24		190		158
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		325		245
TerraForm Power Operating LLC 144A 5.875%, 2/1/23⁽³⁾		250		208
Texas Competitive Electric Holdings Co. LLC 144A 11.500%, 10/1/20⁽³⁾⁽⁹⁾		500		168

				1,411

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $58,499)				53,642

LOAN AGREEMENTS⁽²⁾—8.8%
Consumer Discretionary—1.2%
Caesars Entertainment Operating Co., Inc. Tranche B-7, 11.750%, 1/28/18⁽⁴⁾		165		138
Cirque Du Soleil First Lien, 5.000%, 7/8/22		179		169
Graton Resort & Casino Tranche B, 4.750%, 9/1/22		113		112
Mohegan Tribal Gaming Authority Tranche B, 5.500%, 6/15/18		111		108
Transtar Holding Co. Second Lien, 10.000%, 10/9/19⁽⁴⁾		200		167
U.S. Farathane Corp. 6.750%, 12/23/21		147		146

				840

Consumer Staples—1.3%
Albertson’s LLC Tranche B-4, 5.500%, 8/25/21		210		209
Crossmark Holdings, Inc. Second Lien, 8.750%, 12/21/20⁽⁴⁾		190		107
Hostess Brands LLC Tranche B Second Lien, 8.500%, 8/3/23		430		427
Kronos Acquisition Intermediate, Inc. (KIK Custom Products, Inc.) Second Lien, 9.750%, 4/30/20		230		230

				973

Energy—0.4%
Arch Coal, Inc. 6.250%, 5/16/18⁽⁴⁾		149		67


	PAR VALUE		VALUE
Energy—(continued)
Chief Exploration & Development LLC Second Lien, 7.500%, 5/16/21	$	183	$	125
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		125		80
Sabine Oil & Gas LLC Second Lien, 12.000%, 12/31/18⁽⁴⁾		285		9

				281

Health Care—2.4%
21st Century Oncology, Inc. Tranche B 6.500%, 4/30/22		224		189
American Renal Holdings, Inc. Second Lien, 8.500%, 3/20/20		292		285
Ardent Legacy Acquisitions, Inc. 6.500%, 8/4/21		130		129
Envision Healthcare Corp. Tranche B-2, 4.500%, 10/28/22		75		75
Greatbatch, Inc. Tranche B, 5.250%, 10/27/22		82		82
InVentiv Health, Inc. Tranche B-4, 7.750%, 5/15/18		159		159
Med Impact Healthcare Systems, Inc. 5.750%, 10/27/22		130		129
MMM Holdings, Inc. 9.750%, 12/12/17⁽⁴⁾		82		54
MSO of Puerto Rico, Inc. 9.750%, 12/12/17⁽⁴⁾		60		39
NVA Holdings, Inc. Second Lien 8.000%, 8/14/22		175		172
Onex TSG Holdings II Corp. First Lien, 5.000%, 7/29/22		152		150
RCHP Tranche B-2, 6.000%, 4/23/19		249		238
Surgery Center Holdings, Inc. Second Lien, 8.500%, 11/3/21		52		49

				1,750

Industrials—1.2%
Brickman Group Ltd. LLC (The) Second Lien, 7.500%, 12/17/21		225		205
Filtration Group Corp. Second Lien, 8.250%, 11/22/21		81		79
Landmark U.S. Member LLC (Landmark U.S. Corp Acquisition, Inc.) Second Lien 8.250%, 1/25/21		208		207
Sedgwick Claims Management Services, Inc. Second Lien, 6.750%, 2/28/22		390		355

				846

Information Technology—2.3%
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22		160		149


	PAR VALUE			VALUE
Information Technology—(continued)
Deltek, Inc. Second Lien 9.500%, 6/26/23	$	116		$	115
First Data Corp. 4.168%, 7/8/22		692			683
Mitchell International, Inc. Second Lien, 8.500%, 10/11/21		444			426
NXP BV (NXP Funding LLC) 3.750%, 12/7/20		115			115
Presidio, Inc. 5.250%, 2/2/22		147			143

					1,631

TOTAL LOAN AGREEMENTS (Identified Cost $7,133)					6,321


	SHARES			VALUE
PREFERRED STOCKS—1.2%
Financials—1.2%
Ally Financial, Inc. Series A, 8.500%⁽²⁾		11,530			297
Goldman Sachs Group, Inc. (The) Series L, 5.700%⁽²⁾		215	⁽¹⁰⁾		214
JPMorgan Chase & Co. Series V, 5.000%⁽²⁾		285	⁽¹⁰⁾		271
SunTrust Bank, Inc. 5.625%⁽²⁾⁽⁶⁾		95	⁽¹⁰⁾		95

TOTAL PREFERRED STOCKS (Identified Cost $905)					877

EXCHANGE-TRADED FUNDS—6.8%
iShares iBoxx $ High Yield Corporate Bond Fund		26,000			2,095
SPDR Barclays High Yield Bond ETF		82,000			2,781

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $4,942)					4,876

AFFILIATED MUTUAL FUND—0.5%
Virtus Credit Opportunities Fund⁽¹¹⁾		35,806			346

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $358)					346

TOTAL LONG TERM INVESTMENTS—95.1% (Identified Cost $73,974)					68,211

SHORT-TERM INVESTMENT—1.9%
Money Market Mutual Fund—1.9%
Fidelity Money Market Portfolio - Institutional Shares (seven-day effective yield 0.320%)		1,336,073			1,336

TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,336)					1,336


	SHARES	VALUE
TOTAL INVESTMENTS—97.0% (Identified Cost $75,310)			69,547	⁽¹⁾
Other assets and liabilities, net—3.0%			2,167

NET ASSETS—100.0%		$	71,714

Abbreviations:


ADS		American Depositary Share
ETF		Exchange-Traded Fund
PIK		Payment-in-Kind Security
SPDR		S&P Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015.

⁽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, 2015, these securities amounted to a value of $26,511 or 37.0% of net assets.

⁽⁴⁾	Security in default.

⁽⁵⁾	No contractual maturity date.

⁽⁶⁾	Interest payments may be deferred.

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

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

⁽¹⁰⁾	Value shown as par value.

⁽¹¹⁾	This fund is a public fund and the 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, 2015 (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, 2015.

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.

None of the securities in this table are fair valued. 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 inputs could result in a significantly lower or higher value of Level 3 investments.


	SHARES		VALUE
COMMON STOCK—97.0%
Consumer Discretionary—21.2%
Bridgestone Corp. (Japan)		5,740	$	197
Ctrip.Com International Ltd. ADR (China)⁽²⁾		2,180		101
Fuji Heavy Industries Ltd. (Japan)		6,870		283
Li & Fung Ltd. (Hong Kong)		229,040		155
RELX plc (United Kingdom)		11,370		201
Sony Corp. Sponsored ADR (Japan)		7,500		184
Toyota Motor Corp. Sponsored ADR (Japan)		1,520		187
WPP plc (United Kingdom)		9,660		223

				1,531

Consumer Staples—2.7%
Marine Harvest ASA Sponsored ADR (Norway)		15,040		198

Energy—3.9%
Cameco Corp. (Canada)		12,240		151
Statoil ASA (Norway)		9,460		132

				283

Financials—21.4%
Aegon NV American Registered Shares (Netherlands)		29,810		169
Aviva plc (United Kingdom)		26,442		201
Credit Agricole SA (France)		14,507		172
Deutsche Bank AG (Germany)⁽³⁾		6,650		161
Intesa Sanpaolo SpA (Italy)		65,323		219
Mitsubishi Estate Co., Ltd. (Japan)		9,540		198
ORIX Corp. (Japan)		15,670		220
Societe Generale SA (France)		4,470		207

				1,547

Health Care—13.6%
Allergan plc (Ireland)⁽²⁾		1,260		394
Shire plc ADR (United Kingdom)		890		183
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		3,250		213
Valeant Pharmaceuticals International, Inc. (Canada)⁽²⁾		1,910		194

				984

Industrials—5.0%
Airbus Group SE (United States)		2,130		143
Nidec Corp. (Japan)		2,950		214

				357


	SHARES		VALUE
Information Technology—11.5%
Avago Technologies Ltd. (Singapore)		1,640	$	238
NXP Semiconductors NV (Netherlands)⁽²⁾		2,720		229
SAP SE Sponsored ADR (Germany)⁽³⁾		2,670		211
Tencent Holdings Ltd. (Cayman Islands)		7,700		151

				829

Materials—3.1%
Nitto Denko Corp. (Japan)		3,030		221

Telecommunication Services—12.0%
KDDI Corp. (Japan)		8,600		223
Nippon Telegraph & Telephone Corp. ADR (Japan)		6,720		267
Spark New Zealand Ltd. (New Zealand)		81,211		183
Vodafone Group plc Sponsored ADR (United Kingdom)		6,080		196

				869

Utilities—2.6%
Veolia Environnement SA (France)		7,850		187

TOTAL COMMON STOCK (Identified Cost $6,616)				7,006

TOTAL LONG TERM INVESTMENTS—97.0% (Identified Cost $6,616)				7,006

SECURITIES LENDING COLLATERAL—4.6%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) Institutional Shares (seven-day effective yield 0.290%)⁽⁴⁾		336,301		336

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $336)				336

TOTAL INVESTMENTS—101.6% (Identified Cost $6,952)				7,342	⁽¹⁾
Other assets and liabilities, net—(1.6)%				(119	)

NET ASSETS—100.0%			$	7,223

Abbreviation:


ADR		American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCK—99.0%
Australia—11.3%
Dexus Property Group		176,018	$	955
GPT Group		145,000		502
GPT Group (The) - In Specie^(2)(3)(4)		588,920		—
Scentre Group		527,171		1,599
Westfield Corp.		214,973		1,479

				4,535

Canada—7.3%
Allied Properties Real Estate Investment Trust		39,415		899
Canadian Real Estate Investment Trust		19,695		599
First Capital Realty, Inc.		28,805		382
RioCan Real Estate Investment Trust		62,650		1,073

				2,953

Finland—2.7%
Citycon OYJ		416,691		1,087

France—6.2%
Fonciere Des Regions		2,260		202
Klepierre		33,556		1,495
Mercialys SA		38,400		778

				2,475

Germany—9.6%
ADO Properties SA⁽²⁾⁽⁵⁾		16,022		461
Deutsche Annington Immobilien SE		63,445		1,969
Deutsche Wohnen AG		20,000		557
LEG Immobilien AG		10,861		891

				3,878

Hong Kong—6.2%
Hysan Development Co. Ltd.		148,000		605
Link REIT (The)		318,441		1,898

				2,503

Italy—0.5%
Beni Stabili SpA		248,164		188

Japan—14.2%
GLP J-REIT		755		731
Hulic Co., Ltd.		111,500		979
Industrial & Infrastructure Fund Investment Corp.		129		615
Japan Real Estate Investment Corp.		145		704
Japan Rental Housing Investments, Inc.		803		567
Kenedix Office Investment Corp.		120		561


	SHARES		VALUE
Japan—(continued)
Kenedix Retail Reit Corp.		86	$	182
Nippon Building Fund, Inc.		145		693
Nippon Prologis REIT, Inc.		362		655

				5,687

Mexico—2.6%
PLA Administradora Industrial S de Rl de CV		226,852		368
Prologis Property Mexico SA de CV		439,200		666

				1,034

Netherlands—6.9%
Unibail-Rodamco SE		10,910		2,779

Norway—1.5%
Entra ASA⁽⁵⁾		51,000		410
Norwegian Property ASA⁽²⁾		172,000		177

				587

Singapore—5.3%
CapitaLand Mall Trust		311,650		423
CapitaLand Retail China Trust		478,868		502
Global Logistic Properties Ltd.		802,000		1,211

				2,136

Spain—1.4%
Axiare Patrimonio SOCIMI SA		39,558		568

Sweden—1.5%
Castellum AB		43,366		620

United Kingdom—21.8%
Big Yellow Group plc		57,188		680
British Land Co. plc		101,305		1,174
Derwent London plc		14,846		804
Great Portland Estates plc		32,418		396
Hammerson plc		159,109		1,407
Land Securities Group plc		78,685		1,365
Safestore Holdings plc		132,376		697
SEGRO plc		135,557		858
Unite Group plc (The)		144,900		1,401

				8,782

TOTAL COMMON STOCK (Identified Cost $32,739)				39,812

TOTAL LONG TERM INVESTMENTS—99.0% (Identified Cost $32,739)				39,812


TOTAL INVESTMENTS—99.0% (Identified Cost $32,739)		39,812	⁽¹⁾
Other assets and liabilities, net—1.0%		392

NET ASSETS—100.0%	$	40,204

Abbreviation:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

⁽⁴⁾	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.

⁽⁵⁾	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, 2015, these securities amounted to a value of $871 or 2.2% of net assets.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCK—96.2%
Consumer Discretionary—11.2%
Goldlion Holdings Ltd. (Hong Kong)		2,990,600	$	1,214
Pico Far East Holdings Ltd. (Hong Kong)		4,817,668		1,305
REA Group Ltd. (Australia)		58,000		2,308

				4,827

Consumer Staples—8.7%
Guinness Anchor Bhd (Malaysia)		404,000		1,243
Oldtown Bhd (Malaysia)		1,797,550		665
Premier Marketing PCL (Thailand)		4,415,029		1,285
Wawel SA (Poland)		1,900		576

				3,769

Energy—3.4%
Pason Systems, Inc. (Canada)		47,500		666
Schoeller-Bleckmann Oilfield Equipment AG (Austria)		14,248		780

				1,446

Financials—22.0%
ARA Asset Management Ltd. (Singapore)		2,241,716		1,857
Ashmore Group plc (United Kingdom)		306,500		1,159
Austbrokers Holdings Ltd. (Australia)		102,318		675
Euler Hermes SA (France)		15,750		1,516
Euroz Ltd. (Australia)		2,264,878		1,364
Financiere Marc de Lacharriere (France)		5,811		493
Korea Ratings Corp. (South Korea)		32,675		1,404
LSL Property Services plc (United Kingdom)		239,001		1,004

				9,472

Health Care—6.1%
Haw Par Corp. Ltd. (Singapore)		142,719		831
Software Service, Inc. (Japan)		11,753		505
WIN-Partners Co. Ltd. (Japan)		90,710		1,299

				2,635

Industrials—15.9%
AIT Corp. (Japan)		156,600		1,518
Belimo Holding AG (Switzerland)		460		1,125
Rotork plc (United Kingdom)		477,393		1,286
Tegma Gestao Logistica (Brazil)		1,059,560		1,259
Thermador Groupe (France)		6,762		639
WABCO Holdings, Inc. (United States)⁽²⁾		9,750		997

				6,824


	SHARES		VALUE
Information Technology—22.9%
Alten SA (France)		11,000	$	639
Autohome, Inc. ADR (China)⁽²⁾		62,200		2,172
Bouvet ASA (Norway)		240,050		2,658
carsales.com Ltd. (Australia)		114,467		969
Lumax International Corp. Ltd. (Taiwan)		1,363,527		1,800
MercadoLibre, Inc. (United States)		3,600		412
Pro-Ship, Inc. (Japan)		45,359		850
Societe Pour L’informatique Industrielle (France)		31,770		359

				9,859

Materials—6.0%
KPX Chemical Co. Ltd. (South Korea)		27,394		1,126
Transpaco Ltd. (South Africa)		910,699		1,136
Victrex plc (United Kingdom)		11,800		314

				2,576

TOTAL COMMON STOCK (Identified Cost $47,358)				41,408

TOTAL LONG TERM INVESTMENTS—96.2% (Identified Cost $47,358)				41,408

TOTAL INVESTMENTS—96.2% (Identified Cost $47,358)				41,408	⁽¹⁾
Other assets and liabilities, net—3.8%				1,615

NET ASSETS—100.0%			$	43,023

Abbreviation:


ADR		American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $1,857 were transferred from Level 1 to Level 2 based on our valuation procedures for non-U.S. securities. (See Note 2A in the Notes to Schedules of Investments for more information.)

Securities held by the Fund with an end of period value of $1,305 were transferred from Level 2 to Level 1 based on our valuation procedures for non-U.S. securities. (See Note 2A in the Notes to Schedules of Investments for more information.)


	SHARES		VALUE
COMMON STOCK—98.9%
Consumer Discretionary—30.1%
Ainsworth Game Technology Ltd.		10,568	$	18
Autogrill S.p.A⁽²⁾		804		8
Autoneum Holding AG		104		21
Axel Springer SE		498		28
Bayerische Motoren Werke AG		259		27
Benesse Holdings, Inc.		1,410		41
Brembo S.p.A		162		8
Brunello Cucinelli S.p.A		454		8
Carnival plc		717		41
Chow Tai Fook Jewellery Group Ltd.		9,000		6
Christian Dior SA		81		14
Compagnie Financiere Richemont SA Registered Shares		295		21
Continental AG		112		27
Crown Resorts Ltd.		1,951		18
CTS Eventim AG & Co. KGaA		725		29
Daily Mail & General Trust plc		3,872		40
De’ Longhi		267		8
Dixons Carphone plc		5,516		41
Domino’s Pizza Enterprises Ltd.		416		17
Don Quijote Holdings Co., Ltd.		1,070		38
Dufry AG⁽²⁾		181		22
Fast Retailing Co., Ltd.		108		38
Fielmann AG		371		27
Forbo Holding AG Registered Shares		18		21
Galaxy Entertainment Group Ltd.		1,860		6
Genting Singapore plc		11,400		6
Geox SPA⁽²⁾		1,787		8
Global Brands Group Holding Ltd.⁽²⁾		32,000		6
Harvey Norman Holdings Ltd.		5,891		18
Hennes & Mauritz AB Class B		260		9
Hermes International SA		42		14
Hikari Tsushin, Inc.		580		39
Inditex SA		422		15
Jardine Cycle & Carriage Ltd.		265		6
JCDecaux SA		366		14
Kering		82		14
L’Occitane International SA		7,250		14
Li & Fung Ltd.		9,000		6
Luxottica Group S.p.A		122		8
LVMH Moet Hennessy Louis Vuitton SA		89		14
M6-Metropole Television SA		819		14


	SHARES		VALUE
Consumer Discretionary—(continued)
Man Wah Holdings Ltd.		5,200	$	6
Mediaset S.p.A.		1,855		8
Mekonomen AB		438		9
Melco Crown Entertainment Ltd. ADR		356		6
Melco International Development Ltd.		4,000		6
Melia Hotels International SA		1,120		15
Merlin Entertainment plc⁽³⁾		6,043		41
MGM China Holdings Ltd.		4,800		6
Moncler SPA		561		8
Nitori Co., Ltd.		475		40
Numericable-SFR		397		14
Ocado Group plc⁽²⁾		7,885		35
Osim International Ltd.		8,400		6
Plastic Omnium SA		448		14
Prada S.p.A		2,500		8
Premier Investments Ltd.		1,764		18
PT Multimedia Servicos de Telecomunicacoes e Multimedia SGPS SA		424		3
Publicis Groupe SA		213		14
Puma SE		130		28
Rakuten, Inc.⁽²⁾		3,500		40
Royal Caribbean Cruises Ltd.		48		5
SA International Holdings Ltd.		17,400		6
Salvatore Ferragamo S.p.A		335		8
Sands China Ltd.		1,700		6
Sankyo Co., Ltd.		1,010		38
Sega Sammy Holdings, Inc.		4,100		38
Seven West Media Ltd.		30,408		17
Shangri-La Asia Ltd.		6,500		6
Shimanura Co., Ltd.		350		41
SJM Holdings Ltd.		8,500		6
Societe Television Francaise 1		1,313		15
Sodexo		143		14
Sports Direct International plc⁽²⁾		4,738		40
Start Today Co., Ltd.		1,200		39
Steinhoff International Holdings NV		5,240		27
Swatch Group AG (The)		62		22
Techtronics Industries Co., Ltd.		1,500		6
Tod’s S.p.A		101		8
Universal Entertainment Corp.		2,170		39
Vivendi		673		15
Wynn Macau Ltd.		5,200		6


	SHARES		VALUE
Consumer Discretionary—(continued)
Yue Yuen Industrial Holdings Ltd.		1,800	$	6

				1,511

Consumer Staples—11.5%
AAK AB		126		9
Anheuser-Busch InBev N.V.		409		51
Associated British Foods plc		825		41
Axfood AB		539		9
Barry Callebaut AG		20		22
Beiersdorf AG		303		28
Carrefour SA		483		14
Casino Guichard Perrachon SA		303		14
Davide Campari-Milano S.p.A		896		8
First Resources Ltd.		4,700		6
Golden Agri-Resources Ltd.		25,900		6
Heineken Holding NV		523		40
Henkel AG & KGaA		290		28
Jeronimo Martins SPGS SA		254		3
L’Oreal SA		82		14
Marine Harvest ASA		362		5
MARR SpA		381		8
Metro AG		861		28
Orkla ASA		603		5
Pola Orbis Holdings, Inc.		585		39
Rallye SA		1,064		17
Remy Cointreau SA		199		14
Sonae SGPS SA		2,824		3
Sugi Holdings Co., Ltd.		710		39
Sundrug Co., Ltd.		630		40
Suntory Beverage & Food Ltd		880		39
Unicharm Corp.		2,000		41
Wilmar International Ltd.		3,100		6

				577

Diversified REIT—0.3%
Fonciere Des Regions		158		14

Energy—3.7%
Akastor ASA⁽²⁾		3,942		5
Aker Solutions ASA		1,325		5
Avance Gas Holding Ltd.⁽³⁾		377		5
Brightoil Petroleum Holdings Ltd.		19,000		6
BW LPG Ltd⁽³⁾		588		5
Delek Group Ltd.		35		7
Det Norske Oljeselskap ASA⁽²⁾		813		5


	SHARES		VALUE
Energy—(continued)
Galp Energia SGPS SA		302	$	4
Genel Energy plc⁽²⁾		16,083		40
Petrofac Ltd.		3,586		42
Saras S.p.A⁽²⁾		4,152		8
Seadrill Ltd.		1,295		5
Ship Finance International Ltd.		307		5
Tecnicas Reunidas SA		398		15
Tenaris S.A. ADR		329		8
Transocean Ltd.⁽⁴⁾		1,723		21

				186

Financials—13.8%
Abacus Property Group		7,651		18
ACOM Co. Ltd.⁽²⁾		7,900		37
Admiral Group plc		1,633		40
Ashmore Group plc⁽⁴⁾		10,879		41
Assicurazioni Generali S.p.A		422		8
Banca Mediolanum SPA		1,233		10
Banco Santander SA		2,967		15
Bank Hapoalim BM		1,239		6
Bank of East Asia Ltd.		1,600		6
Bankinter SA		2,052		15
Champion		11,800		6
Cheung Kong Property Holdings Ltd.		900		6
China LNG Group Ltd.		154,000		6
City Developments Ltd.		1,200		6
Emperor International Group Ltd.		72,000		6
First Pacific Co., Ltd.		9,300		6
Fortune		6,000		6
Goldin Financial Holdings Ltd.⁽²⁾		2,400		5
Groupe Bruxelles Lambert SA		611		52
Hang Lung Group Ltd.		1,800		6
Hang Lung Properties Ltd.		2,500		6
Hargreaves Lansdown plc		1,832		41
Henderson Land Development Co., Ltd.		950		6
Hongkong Land Holdings Ltd.		900		6
Hufvudstaden AB		665		9
Hysan Development Co. Ltd.		1,450		6
Industrivarden AB		490		9
Inmobiliaria Colonial SA⁽²⁾		21,420		15
Intu Properties plc		8,543		40
Kerry Properties Ltd.		2,150		6
Kingston Financial Group Ltd.⁽²⁾⁽⁴⁾		14,000		6
Lundbergforetagen AB Class B		171		10


	SHARES		VALUE
Financials—(continued)
Matsui Securities Co., Ltd.		4,300	$	39
New World Development Co., Ltd.		6,000		6
Oversea-Chinese Banking Corp.		1,000		6
Pargesa Holding SA		335		21
Platinum Asset Management Ltd.		3,076		18
Reinet Investments SCA		19,907		41
Schroders plc		921		40
Sino Land Co., Ltd.		4,000		6
Sun Hung Kai Properties Ltd.		475		6
Svenska Handelsbanken AB Class A		700		9
United Overseas Bank Ltd.		465		6
United Overseas Land Ltd.		1,470		6
Wendel		119		14
Wharf Holdings Ltd. (The)		1,050		6
Wheelock & Co., Ltd.		1,405		6

				691

Health Care—3.6%
BioMerieux		119		14
DiaSorin S.p.A		149		8
Eurofins Scientific SE		40		14
Galenica AG Registered Shares		14		22
Getinge AB		362		10
Ipsen SA		217		14
Meda AB		755		10
Roche Holding AG		77		21
Straumann Holding AG		69		21
Taisho Pharmaceutical Holdings Co., Ltd.		565		40
Taro Pharmaceutical Industries Ltd.		42		6

				180

Industrials—14.1%
Abertis Infraestructuras SA		959		15
Actividades de Construccion y Servicios SA		511		15
Adecco SA Registered Shares		308		21
Alfa Laval AB		519		10
Alstom SA⁽²⁾		473		15
ANDRITZ AG		500		25
Assa Abloy AB		439		9
Bollore SA		3,048		14
Bouygues SA		362		14
Cargotec Oyj		690		26
Cheung Kong Infrastructure Holdings Ltd.		650		6
CK Hutchison Holdings Ltd.		450		6


	SHARES		VALUE
Industrials—(continued)
Dassault Aviation SA		11	$	14
easyJet plc		1,564		40
Ferrovial SA		651		15
Fomento de Construcciones y Contratas SA⁽²⁾		1,889		14
Indutrade AB		166		9
Jardine Matheson Holdings Ltd.		133		7
Jardine Strategic Holdings Ltd.		234		6
Kone Oyj Class B		598		25
Kuehne & Nagel International AG		155		21
Nidec Corp.		550		40
Noble Group Ltd.		20,700		6
Nordex SE⁽²⁾		757		27
NWS Holdings Ltd.		4,000		6
Obrascon Huarte Lain SA		2,538		15
OC Oerlikon Corp. AG Registered Shares		2,386		21
Orient Overseas International Ltd.		1,250		6
Prosegur Cia de Seguridad SA		3,320		15
Regus plc		8,286		41
Rieter Holding AG		116		22
Ryanair Holdings plc-SP ADR		464		40
Salini Impregilo S.p.A		1,858		8
Securitas AB Class B		613		9
Seven Group Holdings Ltd.		4,489		18
SGL Carbon SE⁽²⁾		1,968		28
SGS SA Registered Shares		11		21
Skanska AB Class B		484		9
Sulzer AG		221		21
Vossloh AG⁽²⁾		419		27

				707

Information Technology—10.6%
Check Point Software Technologies Ltd.		79		7
COLOPL, Inc.		1,920		38
Dassault Systemes		176		14
Gree, Inc.		8,300		40
GungHo Online Entertainment, Inc.⁽²⁾⁽⁴⁾		13,700		37
Hexagon AB		248		9
Keyence Corp.		73		40
Konami Corp.		1,600		38
Lenovo Group Ltd.		6,000		6
Mixi, Inc.		1,000		37
Nexon Co., Ltd.		2,415		39
Obic Business Consultants Co., Ltd.		700		39
Obic Co., Ltd.		730		39


	SHARES		VALUE
Information Technology—(continued)
Otsuka Corp.		769	$	38
SAP SE		344		28
Silverlake Axis Ltd.		13,000		6
Tower Semiconductor Ltd.⁽²⁾		428		6
United Internet AG Registered Shares		500		28
VTech Holdings Ltd.		600		6
Yahoo Japan Corp.		9,400		38

				533

Materials—7.1%
APERAM SA⁽²⁾		1,173		42
ArcelorMittal		10,251		44
EMS-Chemie Holding AG		50		22
Evolution Mining Ltd		17,015		17
Fortescue Metals Group Ltd.		13,314		18
Frutarom Industries Ltd.		137		7
Glencore International plc		32,147		43
HeidelbergCement AG		343		28
Hexpol AB		882		10
Holcim Ltd. Registered Shares		429		22
Holmen AB B Shares		293		9
Imerys SA		211		15
Israel Corp. Ltd. (The)		37		7
OCI NV⁽²⁾		1,631		40
Pact Group Holdings Ltd		4,972		18
Vicat		239		14

				356

Retail REITs—0.7%
Scentre Group		5,734		17
Westfield Corp.		2,460		17

				34

Telecommunication Services—2.5%
HKT Trust & HKT Ltd.		4,700		6
Iliad SA		60		14
PCCW Ltd.		10,000		6
Smartone Telecommunications Holdings Ltd.		3,900		6
Softbank Corp.		774		39
Talktalk Telecom Group plc		12,511		40
TPG Telecom Ltd.		2,376		17

				128

Utilities—0.9%
CLP Holdings Ltd.		700		6


	SHARES		VALUE
Utilities—(continued)
Engie SA		800	$	14
Hong Kong & China Gas Co., Ltd.		3,050		6
Kenon Holdings Ltd.⁽²⁾		662		7
Rubis SCA		184		14

				47

TOTAL COMMON STOCK (Identified Cost $5,156)				4,964

TOTAL LONG TERM INVESTMENTS—98.9% (Identified Cost $5,156)				4,964

SECURITIES LENDING COLLATERAL—2.0%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) Institutional Shares (seven-day effective yield 0.290%)⁽⁵⁾		98,540		99

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $99)				99

TOTAL INVESTMENTS—100.9% (Identified Cost $5,255)				5,063	⁽¹⁾
Other assets and liabilities, net—(0.9)%				(44	)

NET ASSETS—100.0%			$	5,019

Abbreviations:


ADR		American Depositary Receipt
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015, these securities amounted to a value of $51 or 1.0% of net assets.

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

⁽⁵⁾	Represents security purchased with cash collateral received for securities on loan.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $95 were transferred from Level 1 to Level 2 based on our valuation procedures for non-US securities. (See Note 1A in the Notes to Schedules of Investments for more information.)

Securities held by the Fund with an end of period value of $6 were transferred from Level 2 to Level 1 based on our valuation procedures for non-US securities. (See Note 1A in the Notes to Schedules of Investments for more information.)


	SHARES		VALUE
EXCHANGE-TRADED FUND—97.0%
iShares S&P 100 Index Fund⁽²⁾⁽³⁾		59,348	$	5,411

TOTAL EXCHANGE-TRADED FUND (Identified Cost $5,016)				5,411


	CONTRACTS
PURCHASED OPTIONS—0.1%
Call Option—0.1%
S&P 500 Index expiration 01/20/16 strike price $25.00		105		7

TOTAL PURCHASED OPTIONS—0.1% (Premiums Paid $14)				7

TOTAL LONG TERM INVESTMENTS—97.1% (Identified Cost $5,030)				5,418	⁽¹⁾

TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—97.1% (Identified Cost $5,030)				5,418	⁽¹⁾

WRITTEN OPTIONS—0.0%
Call Option—0.0%
S&P 500^® Index expiration 01/22/16 strike price $2140.00		26		(2	)

TOTAL WRITTEN OPTIONS—% (Premiums Received $7) (2)

TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—97.1% (Identified Cost $5,023)				5,416	⁽¹⁾
Other assets and liabilities, net—2.9%				161

NET ASSETS—100.0%			$	5,577

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	All or a portion segregated as collateral for written options.

⁽³⁾	This fund is a public fund and the 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, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCK—46.8%
Consumer Discretionary—12.6%
Advance Auto Parts, Inc.		1,478	$	222
Amazon.com, Inc.⁽²⁾		2,090		1,413
AutoNation, Inc.⁽²⁾		2,520		150
AutoZone, Inc.⁽²⁾		920		683
Cablevision Systems Corp. Class A		1,050		34
CarMax, Inc.⁽²⁾		6,110		330
Carnival Corp.		8,790		479
Chipotle Mexican Grill, Inc.⁽²⁾		190		91
Comcast Corp. Class A		19,050		1,075
Darden Restaurants, Inc.		820		52
Expedia, Inc.		760		94
Gap, Inc. (The)		5,065		125
Goodyear Tire & Rubber Co. (The)		57,282		1,871
H&R Block, Inc.		46,250		1,541
Home Depot, Inc. (The)		10,105		1,336
Horton (D.R.), Inc.		21,480		688
Interpublic Group of Cos., Inc. (The)		21,732		506
L Brands, Inc.		4,500		431
Leggett & Platt, Inc.		10,975		461
Lennar Corp. Class A		11,620		568
Lowe’s Cos., Inc.		8,345		635
Marriott International, Inc. Class A		3,822		256
McDonald’s Corp.		6,160		728
Mohawk Industries, Inc.⁽²⁾		5,032		953
Netflix, Inc.⁽²⁾		1,940		222
Newell Rubbermaid, Inc.		41,310		1,821
News Corp. Class A		73,097		977
News Corp. Class B		20,372		284
NIKE, Inc. Class B		30,250		1,891
O’Reilly Automotive, Inc.⁽²⁾		2,510		636
Omnicom Group, Inc.		13,326		1,008
Priceline Group, Inc. (The)⁽²⁾		380		484
PulteGroup, Inc.		21,310		380
Ross Stores, Inc.		7,740		416
Royal Caribbean Cruises Ltd.		3,204		324
Starbucks Corp.		9,480		569
Starwood Hotels & Resorts Worldwide, Inc.		3,096		215
Time Warner Cable, Inc.		2,180		405
Time Warner, Inc.		3,736		242
TJX Cos., Inc. (The)		12,605		894
TripAdvisor, Inc.⁽²⁾		860		73
Twenty-First Century Fox, Inc. Class A		5,924		161


	SHARES		VALUE
Consumer Discretionary—(continued)
Twenty-First Century Fox, Inc. Class B		1,677	$	46
Urban Outfitters, Inc.⁽²⁾		2,150		49
Viacom, Inc. Class B		1,540		63
Walt Disney Co. (The)		7,136		750
Wyndham Worldwide Corp.		2,063		150
Yum! Brands, Inc.		2,810		205

				26,987

Consumer Staples—4.7%
Altria Group, Inc.		12,007		699
Brown-Forman Corp. Class B		7,110		706
Campbell Soup Co.		1,222		64
ConAgra Foods, Inc.		2,786		118
Constellation Brands, Inc. Class A		9,190		1,309
CVS Health Corp.		8,378		819
General Mills, Inc.		3,605		208
Hershey Co. (The)		972		87
Hormel Foods Corp.		952		75
J.M. Smucker Co. (The)		501		62
Kellogg Co.		1,294		94
Keurig Green Mountain, Inc.		546		49
Kraft Heinz Co. (The)		3,506		255
Kroger Co. (The)		28,407		1,188
McCormick & Co., Inc.		741		63
Mead Johnson Nutrition Co.		1,114		88
Molson Coors Brewing Co. Class B		18,179		1,707
Mondelez International, Inc. Class A		9,575		429
Philip Morris International, Inc.		9,433		829
Reynolds American, Inc.		4,816		222
Tyson Foods, Inc. Class A		1,386		74
Walgreens Boots Alliance, Inc.		6,553		558
Whole Foods Market, Inc.		10,998		369

				10,072

Energy—0.9%
Marathon Petroleum Corp.		8,860		459
Phillips 66		8,872		726
Tesoro Corp.		2,070		218
Valero Energy Corp.		8,340		590

				1,993

Financials—6.2%
ACE Ltd.		3,003		351
Aflac, Inc.		3,586		215
Allstate Corp. (The)		3,928		244


	SHARES		VALUE
Financials—(continued)
American Tower Corp.		3,559	$	345
AON plc		6,994		645
Apartment Investment & Management Co. Class A		3,508		140
AvalonBay Communities, Inc.		2,733		503
Bank of America Corp.		16,232		273
CBRE Group, Inc. Class A⁽²⁾		37,329		1,291
Charles Schwab Corp. (The)		9,889		326
Chubb Corp. (The)		2,131		283
Cincinnati Financial Corp.		1,423		84
Citigroup, Inc.		4,659		241
CME Group, Inc.		4,252		385
Comerica, Inc.		574		24
Crown Castle International Corp.		2,795		242
E*Trade Financial Corp.⁽²⁾		2,656		79
Equity Residential		7,388		603
Essex Property Trust, Inc.		1,294		310
Four Corners Property Trust, Inc.		273		7
General Growth Properties, Inc.		7,870		214
Goldman Sachs Group, Inc. (The)		3,198		576
Intercontinental Exchange, Inc.		1,385		355
Iron Mountain, Inc.		1,612		43
JPMorgan Chase & Co.		5,450		360
Kimco Realty Corp.		5,245		139
Lincoln National Corp.		1,916		96
Macerich Co. (The)		1,665		134
Marsh & McLennan Cos., Inc.		3,350		186
McGraw-Hill Cos., Inc. (The)		3,527		348
MetLife, Inc.		9,453		456
Moody’s Corp.		2,286		229
Morgan Stanley		12,200		388
NASDAQ OMX Group, Inc. (The)		1,290		75
Plum Creek Timber Co., Inc.		1,457		69
Principal Financial Group, Inc.		2,499		112
Progressive Corp. (The)		5,812		185
Prudential Financial, Inc.		3,948		321
Public Storage		1,235		306
Realty Income Corp.		3,353		173
Simon Property Group, Inc.		4,243		825
Torchmark Corp.		872		50
Travelers Cos., Inc. (The)		2,846		321
U.S. Bancorp		2,368		101
Unum Group		2,241		75
Wells Fargo & Co.		6,897		375
Weyerhaeuser Co.		4,356		131


	SHARES		VALUE
Financials—(continued)
XL Group plc		2,878	$	113

				13,347

Health Care—6.6%
Abbott Laboratories		5,129		230
AbbVie, Inc.		3,351		199
Aetna, Inc.		2,657		287
Agilent Technologies, Inc.		6,116		256
Alexion Pharmaceuticals, Inc.⁽²⁾		431		82
Allergan plc⁽²⁾		532		166
AmerisourceBergen Corp.		2,615		271
Amgen, Inc.		1,567		254
Anthem, Inc.		2,030		283
Bard (C.R.), Inc.		253		48
Baxalta, Inc.		1,417		55
Baxter International, Inc.		1,879		72
Becton, Dickinson & Co.		722		111
Biogen, Inc.⁽²⁾		520		159
Boston Scientific Corp.⁽²⁾		4,620		85
Bristol-Myers Squibb Co.		2,263		156
Cardinal Health, Inc.		4,309		385
Celgene Corp.⁽²⁾		1,604		192
Cerner Corp.⁽²⁾		20,786		1,251
Cigna Corp.		1,970		288
DaVita HealthCare Partners, Inc.⁽²⁾		2,634		184
DENTSPLY International, Inc.		20,215		1,230
Edwards Lifesciences Corp.⁽²⁾		730		58
Eli Lilly & Co.		1,228		103
Endo International plc		418		26
Express Scripts Holding Co.⁽²⁾		10,129		885
Gilead Sciences, Inc.		3,065		310
HCA Holdings, Inc.⁽²⁾		12,198		825
Henry Schein, Inc.⁽²⁾		1,182		187
Humana, Inc.		1,130		202
Intuitive Surgical, Inc.⁽²⁾		127		69
Johnson & Johnson		3,806		391
Laboratory Corporation of America Holdings⁽²⁾		1,453		180
Mallinckrodt plc		363		27
McKesson Corp.		3,075		607
Medtronic plc		4,758		366
Merck & Co., Inc.		3,702		196
Mylan NV		568		31
Patterson Cos., Inc.		1,088		49
PerkinElmer, Inc.		2,000		107
Perrigo Co. plc		158		23


	SHARES		VALUE
Health Care—(continued)
Pfizer, Inc.		8,631	$	279
Quest Diagnostics, Inc.		2,307		164
Regeneron Pharmaceuticals, Inc.⁽²⁾		178		97
St. Jude Medical, Inc.		975		60
Stryker Corp.		1,073		100
Tenet Healthcare Corp.⁽²⁾		4,003		121
Thermo Fisher Scientific, Inc.		6,905		979
UnitedHealth Group, Inc.		6,990		822
Universal Health Services, Inc. Class B		3,592		429
Varian Medical Systems, Inc.⁽²⁾		348		28
Vertex Pharmaceuticals, Inc.⁽²⁾		424		53
Waters Corp.⁽²⁾		1,381		186
Zimmer Biomet Holdings, Inc.		583		60
Zoetis, Inc.		588		28

				14,292

Industrials—6.7%
3M Co.		2,137		322
Allegion plc		11,770		776
American Airlines Group, Inc.		8,470		359
Avery Dennison Corp.		4,364		273
Boeing Co. (The)		1,724		249
Cintas Corp.		20,000		1,821
Danaher Corp.		1,810		168
Delta Air Lines, Inc.		9,691		491
Dover Corp.		1,998		123
Dun & Bradstreet Corp.		2,060		214
Equifax, Inc.		6,715		748
Flowserve Corp.		1,711		72
General Dynamics Corp.		845		116
General Electric Co.		33,292		1,037
Honeywell International, Inc.		2,215		229
Hunt (JB) Transport Services, Inc.		12,094		887
Illinois Tool Works, Inc.		3,874		359
Ingersoll-Rand plc		3,042		168
L-3 Communications Holdings, Inc.		203		24
Lockheed Martin Corp.		807		175
Masco Corp.		42,700		1,208
Nielsen Holdings plc		20,970		977
Northrop Grumman Corp.		535		101
Parker Hannifin Corp.		1,733		168
Pentair plc		2,324		115
Precision Castparts Corp.		331		77
Raytheon Co.		856		107
Robert Half International, Inc.		27,121		1,279


	SHARES		VALUE
Industrials—(continued)
Rockwell Collins, Inc.		286	$	26
Roper Technologies, Inc.		307		58
Ryder System, Inc.		6,979		397
Snap-On, Inc.		618		106
Southwest Airlines Co.		8,476		365
Stanley Black & Decker, Inc.		1,903		203
Textron, Inc.		607		26
United Continental Holdings, Inc.⁽²⁾		4,725		271
United Technologies Corp.		2,310		222
Xylem, Inc.		2,102		77

				14,394

Information Technology—5.2%
Activision Blizzard, Inc.		16,870		653
Adobe Systems, Inc.⁽²⁾		5,618		528
Akamai Technologies, Inc.⁽²⁾		620		33
Alliance Data Systems Corp.⁽²⁾		360		100
Alphabet, Inc. Class A⁽²⁾		640		498
Alphabet, Inc. Class C⁽²⁾		660		501
Apple, Inc.		9,620		1,013
Autodesk, Inc.⁽²⁾		2,323		141
Automatic Data Processing, Inc.		2,395		203
CA, Inc.		901		26
Citrix Systems, Inc.⁽²⁾		1,888		143
eBay, Inc.⁽²⁾		3,415		94
Electronic Arts, Inc.⁽²⁾		10,364		712
EMC Corp.		2,925		75
Equinix, Inc.		495		150
Facebook, Inc. Class A⁽²⁾		4,840		506
Fidelity National Information Services, Inc.		1,620		98
Fiserv, Inc.⁽²⁾		1,360		124
Hewlett Packard Co., Inc.⁽²⁾		2,734		32
Hewlett Packard Enterprise Co.		2,734		42
Intuit, Inc.		3,172		306
MasterCard, Inc. Class A		4,800		467
Microsoft Corp.		18,479		1,025
NetApp, Inc.		748		20
Oracle Corp.		7,442		272
Paychex, Inc.		1,850		98
PayPal Holdings, Inc.⁽²⁾		3,290		119
Red Hat, Inc.⁽²⁾		305		25
salesforce.com, Inc.⁽²⁾		7,252		569
SanDisk Corp.		328		25
Seagate Technology plc		648		24
Symantec Corp.		1,199		25


	SHARES		VALUE
Information Technology—(continued)
TE Connectivity Ltd.		22,180	$	1,433
Total System Services, Inc.		500		25
VeriSign, Inc.⁽²⁾		200		17
Visa, Inc. Class A		9,540		740
Western Digital Corp.		377		23
Western Union Co. (The)		2,980		53
Xerox Corp.		5,960		63
Yahoo!, Inc.⁽²⁾		3,055		102

				11,103

Materials—2.4%
Ecolab, Inc.		3,624		414
International Flavors & Fragrances, Inc.		1,108		133
LyondellBasell Industries N.V. Class A		14,506		1,261
Martin Marietta Materials, Inc.		4,700		642
PPG Industries, Inc.		3,666		362
Sealed Air Corp.		9,363		418
Sherwin-Williams Co. (The)		1,033		268
Vulcan Materials Co.		11,385		1,081
Westrock Co.		12,184		556

				5,135

Telecommunication Services—0.7%
Level 3 Communications, Inc.⁽²⁾		27,027		1,469

				1,469

Utilities—0.8%
AGL Resources, Inc.		26,324		1,680

				1,680

TOTAL COMMON STOCK (Identified Cost $97,578)				100,472

EXCHANGE-TRADED FUNDS⁽³⁾—41.7%
iShares 1-3 Year Treasury Bond Fund		522,409		44,070
iShares 20+ Year Treasury Bond Fund		220,228		26,564
iShares Dow Jones U.S. Real Estate Index Fund		111,954		8,409
Powershares DB U.S. Dollar Index Bullish Fund⁽²⁾		415,267		10,651

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $89,386)				89,694

TOTAL LONG TERM INVESTMENTS—88.5% (Identified Cost $186,964)				190,166


	SHARES		VALUE
SHORT-TERM INVESTMENT—6.6%
Money Market Mutual Fund—6.6%
Fidelity Money Market Portfolio - Institutional Shares (seven-day effective yield 0.320%)		14,223,773	$	14,224

TOTAL SHORT-TERM INVESTMENT (Identified Cost $14,224)				14,224

TOTAL INVESTMENTS—95.1% (Identified Cost $201,188)				204,390	⁽¹⁾
Other assets and liabilities, net—4.9%				10,616

NET ASSETS—100.0%			$	215,006

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

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

Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITY—1.0%
U.S. Treasury Note 2.250%, 11/15/24	$	3,075		$	3,073

TOTAL U.S. GOVERNMENT SECURITY (Identified Cost $3,075)					3,073

MUNICIPAL BONDS—0.2%
Illinois—0.1%
Chicago Wastewater Transmission Taxable Revenue 5.180%, 1/1/27		250			256

Michigan—0.0%
Tobacco Settlement Finance Authority Taxable Series A, 7.309%, 6/1/34		145			125

Virginia—0.1%
Tobacco Settlement Financing Corp. Series A-1, Taxable 6.706%, 6/1/46		325			251

TOTAL MUNICIPAL BONDS (Identified Cost $707)					632

FOREIGN GOVERNMENT SECURITIES—4.6%
Argentine Republic Series NY, 8.280%, 12/31/33⁽¹²⁾		1,570			1,814
Bolivarian Republic of Venezuela
RegS 5.750%, 2/26/16⁽⁴⁾		295			266
RegS 7.000%, 12/1/18⁽⁴⁾		216			98
RegS 7.750%, 10/13/19⁽⁴⁾		202			81
RegS 8.250%, 10/13/24⁽⁴⁾		1,110			427
RegS 7.650%, 4/21/25⁽⁴⁾		1,500			562
9.250%, 9/15/27		360			149
9.375%, 1/13/34		2,145			853
Mongolia 144A 5.125%, 12/5/22⁽³⁾		825			659
Republic of Angola 144A 9.500%, 11/12/25⁽³⁾		275			256
Republic of Azerbaijan 144A 4.750%, 3/18/24⁽³⁾		880			821
Republic of Chile 5.500%, 8/5/20		474,000	^CLP		688
Republic of Colombia 4.375%, 3/21/23		1,867,000	^COP		490
Republic of Costa Rica
144A 4.375%, 4/30/25⁽³⁾		795			672
144A 7.000%, 4/4/44⁽³⁾		200			168
Republic of Cote d’Ivoire 144A 6.375%, 3/3/28⁽³⁾		905			824
Republic of El Salvador 144A 6.375%, 1/18/27⁽³⁾		1,405			1,194
Republic of Iraq RegS 5.800%, 1/15/28⁽⁴⁾		610			413
Republic of Peru 4.125%, 8/25/27		650			637
Republic of South Africa


	PAR VALUE			VALUE
Series R203, 8.250%, 9/15/17	$	3,690	^ZAR	$	238
Series R208, 6.750%, 3/31/21		6,720	^ZAR		389
Republic of Sri Lanka 144A 6.850%, 11/3/25⁽³⁾		800			757
Russian Federation 144A 7.850%, 3/10/18⁽³⁾		60,000	^RUB		787
United Mexican States Series M, 6.500%, 6/9/22		17,764	^MXN		1,061

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $18,915)					14,304

MORTGAGE-BACKED SECURITIES—19.1%
Agency—4.3%
FHLMC
4.000%, 2/1/45		758			802
3.500%, 3/1/45		1,988			2,051
FNMA
3.000%, 4/1/43		1,626			1,629
3.000%, 5/1/43		826			827
3.000%, 6/1/43		2,302			2,306
3.000%, 7/1/43		1,675			1,678
4.000%, 10/1/44		1,477			1,565
3.500%, 9/1/45		2,395			2,472

					13,330

Non-Agency—14.8%
A-10 Securitization LLC 13-1, B 144A 4.120%, 11/15/25⁽³⁾		1,100			1,097
American Homes 4 Rent
14-SFR2, C 144A 4.705%, 10/17/36⁽³⁾		915			907
15-SFR2, C 144A 4.691%, 10/17/45⁽³⁾		805			783
15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		692			679
Ameriquest Mortgage Securities, Inc. 03-AR3, M4 4.285%, 6/25/33⁽²⁾		1,135			1,077
Aventura Mall Trust 13-AVM, C 144A 3.743%, 12/5/32⁽²⁾⁽³⁾		845			858
Banc of America Alternative Loan Trust 03-2, CB3 5.750%, 4/25/33		785			812
Banc of America Funding Trust
05-1, 1A1 5.500%, 2/25/35		475			479
06-2, 3A1 6.000%, 3/25/36		270			274
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust
04-22CB, 1A1 6.000%, 10/25/34		494			520
04-24CB, 1A1 6.000%, 11/25/34		111			112
Bank of America (Merrill Lynch - Countrywide) Asset-Backed Certificates


	PAR VALUE		VALUE
Non-Agency—(continued)
05-1 AF5A 5.159%, 7/25/35⁽²⁾	$	1,186	$	1,171
05-12, 2A4 4.820%, 2/25/36⁽²⁾		540		537
Bank of America (Merrill Lynch) Mortgage Investors Trust 98-C1, C 6.750%, 11/15/26⁽²⁾		1,260		1,353
Barclays (Lehman Brothers) - UBS Commercial Mortgage Trust 07-C7, A3 5.866%, 9/15/45⁽²⁾		442		464
Citigroup Mortgage Loan Trust, Inc.
05-5, 2A3 5.000%, 8/25/35		320		318
15-A, A1 3.500%, 6/25/58⁽²⁾		858		858
Colony American Finance Ltd. 15-1, 144A 2.896%, 10/15/47⁽³⁾		669		658
Commercial Mortgage Trust 07-GG11, AM 5.867%, 12/10/49⁽²⁾		1,200		1,246
Credit Suisse Commercial Mortgage Trust 07 - C5, A1AM 5.870%, 9/15/40⁽²⁾		939		936
CSAIL Commercial Mortgage Trust 15-C2, AS 3.849%, 6/15/57		489		486
CSMC Mortgage-Backed Trust 06-8 6.000%, 10/25/21		695		672
Deutsche Bank-UBS Mortgage Trust 11-LC3A, D 144A 5.465%, 8/10/44⁽²⁾⁽³⁾		860		893
Fannie Mae Connecticut Avenue Securities 14-C02, 2M2 2.821%, 5/25/24⁽²⁾		1,080		972
Finnish Real Estate Management Federation (FREMF) Mortgage Trust 144A 3.389%, 7/25/22⁽²⁾⁽³⁾		380		333
Freddie Mac Structured Agency Notes 15-DNA3, M2 3.071%, 4/25/28⁽²⁾		875		873
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.382%, 12/15/19⁽²⁾⁽³⁾		600		586
GMAC Mortgage Corp. Loan Trust
06-HLTV, A4 5.810%, 10/25/29		98		99
05-AR2, 2A 3.187%, 5/25/35⁽²⁾		674		635
Goldman Sachs Residential Mortgage Loan Trust 05-5F, B1 5.751%, 6/25/35⁽²⁾		1,324		1,288
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾		327		335
Hilton USA Trust 13-HLT, EFX 144A 4.453%, 11/5/30⁽²⁾⁽³⁾		720		720
Home Equity Loan Trust
03-HS3, AI4 5.550%, 9/25/33⁽²⁾		276		283
07-HI1, A3 5.720%, 3/25/37		45		45
07-HSA3, AI4 6.110%, 6/25/37⁽²⁾		1,481		1,505


	PAR VALUE		VALUE
Non-Agency—(continued)
Jefferies Resecuritization Trust 14-R1, 2A1 144A 4.000%, 12/27/37⁽³⁾	$	601	$	600
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities, Inc.
07-PW15, AM 5.363%, 2/11/44		645		657
07-PW18, AM 6.084%, 6/11/50⁽²⁾		1,525		1,621
JPMorgan Chase Commercial Mortgage Securities Trust
14-1, 1A1 144A 3.940%, 1/25/44⁽²⁾⁽³⁾		744		773
07-LDP10, AM 5.464%, 1/15/49⁽²⁾		1,341		1,366
MASTR Alternative Loan Trust
04-6, 7A1 6.000%, 7/25/34		1,284		1,306
05-2, 2A1 6.000%, 1/25/35		513		545
MASTR Reperforming Loan Trust 05-1, 1A5 144A 8.000%, 8/25/34⁽³⁾		619		661
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35⁽²⁾⁽³⁾		408		414
Morgan Stanley - Bank of America (Merrill Lynch) Trust
15-C22, AS 3.561%, 4/15/48		965		950
15-C26, 4.416%, 10/15/48		840		809
Morgan Stanley Capital I Trust 07-IQ14, AM 5.681%, 4/15/49⁽²⁾		925		941
Motel 6 Trust 15-MTL6, B 144A 3.298%, 2/5/30⁽³⁾		1,080		1,069
Nomura Asset Acceptance Corp. 04-R3, A1 144A 6.500%, 2/25/35⁽³⁾		267		271
Resecuritization Pass-Through Trust 05-BR, A5 6.000%, 10/25/34		508		514
Residential Asset Mortgage Trust 04-RZ1, M1 4.820%, 3/25/34⁽²⁾		1,081		1,105
Residential Asset Securitization Trust 05-A1, A3 5.500%, 4/25/35		775		785
Residential Mortgage Loan Trust 15-2A, A1 3.750%, 8/16/55⁽²⁾		634		643
Sequoia Mortgage Trust
14-2, A1 144A 4.000%, 7/25/44⁽²⁾⁽³⁾		354		362
15-1, A1 144A 3.500%, 1/25/45⁽²⁾⁽³⁾		920		917
Vericrest Opportunity Loan Trust
15-NP11, A1 144A 3.625%, 7/25/45⁽²⁾⁽³⁾		666		659
15-NPL2, A1 144A 3.375%, 2/25/55⁽²⁾⁽³⁾		695		685
15-NPL3, A1 144A 3.375%, 10/25/58⁽²⁾⁽³⁾		659		647
VFC LLC 15-3, B 144A 4.750%, 12/20/31⁽³⁾		1,000		999


	PAR VALUE		VALUE
Non-Agency—(continued)
Wells Fargo (Royal Bank of Scotland plc) Commercial Mortgage Trust 11-C5, C 144A 5.634%, 11/15/44⁽²⁾⁽³⁾	$	645	$	697
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust 15-LC20, B 3.719%, 4/15/50		875		830

				45,690

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $59,289)				59,020

ASSET-BACKED SECURITIES—4.9%
Applebee’s LLC 14-1, A2 144A 4.277%, 9/5/44⁽³⁾		1,260		1,276
CarFinance Capital Auto Trust
14-1A, D 144A 4.900%, 4/15/20⁽³⁾		1,316		1,318
15-1A, C 144A 3.580%, 6/15/21⁽³⁾		2,160		2,166
Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽³⁾		930		925
Conseco Financial Corp. 01-3, A4 6.910%, 5/1/33⁽²⁾		332		365
DB Master Finance LLC 15-A1, A2II 144A 3.980%, 2/20/45⁽³⁾		380		379
Domino’s Pizza Master Issuer LLC 12-1A, A2 144A 5.216%, 1/25/42⁽³⁾		382		393
Drive Auto Receivables Trust 15-AA, D 144A 4.120%, 6/15/22⁽³⁾		1,080		1,069
Exeter Automobile Receivables Trust
15-A1, C 144A 4.100%, 12/15/20⁽³⁾		900		892
15-3, 144A 6.550%, 10/17/22⁽³⁾		840		836
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		542		540
Foursight Capital Automobile Receivables Trust 15-1, B 144A 4.120%, 9/15/22⁽³⁾		1,110		1,110
Greater Capital Association of Realtors 15-1A, C 9.790%, 10/15/25		545		540
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		234		239
LEAF Receivables Funding 10 LLC 15-1, E2 144A 6.000%, 6/15/23⁽³⁾		555		528
Origen Manufactured Housing Contract Trust 04-B, M1 5.730%, 11/15/35⁽²⁾		433		448
SolarCity LMC Series III LLC 14-2, A 144A 4.020%, 7/20/44⁽³⁾		961		914
Trip Rail Master Funding LLC 11-1A, A1A 144A 4.370%, 7/15/41⁽³⁾		210		215


	PAR VALUE		VALUE
Wendy’s Funding LLC 15-1A, A2II 144A 4.080%, 6/15/45⁽³⁾	$	1,107	$	1,098

TOTAL ASSET-BACKED SECURITIES (Identified Cost $15,328)				15,251

CORPORATE BONDS AND NOTES—52.4%
Consumer Discretionary—7.7%
Aramark Services Inc. 144A 5.125%, 1/15/24⁽³⁾		430		439
Argos Merger Sub, Inc. 144A 7.125%, 3/15/23⁽³⁾		775		770
Boyd Gaming Corp.
9.000%, 7/1/20		435		463
6.875%, 5/15/23		415		428
Brookfield Residential Properties, Inc. 144A 6.125%, 7/1/22⁽³⁾		185		172
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽¹²⁾		535		409
Caesars Entertainment Resort Properties LLC 8.000%, 10/1/20		320		306
Caesars Growth Properties Holdings LLC 9.375%, 5/1/22		495		408
CCO Holding Safari LLC 144A 5.750%, 2/15/26⁽³⁾		625		628
CCO Holdings LLC 144A 5.125%, 5/1/23⁽³⁾		390		391
CCO Safari II LLC 144A 4.908%, 7/23/25⁽³⁾		260		260
Cequel Communications Holdings I LLC (Cequel Capital Corp.)
144A 5.125%, 12/15/21⁽³⁾		275		249
144A 5.125%, 12/15/21⁽³⁾		655		592
Churchill Downs, Inc. 144A 5.375%, 12/15/21⁽³⁾		250		252
Clear Channel Worldwide Holdings, Inc.
Series B 7.625%, 3/15/20		930		863
Series A 7.625%, 3/15/20		320		292
Columbus International, Inc. Series B, 144A 7.375%, 3/30/21⁽³⁾		200		199
Grupo Televisa SAB 4.625%, 1/30/26		825		815
International Game Technology plc
7.500%, 6/15/19		580		620
144A 6.250%, 2/15/22⁽³⁾		340		320
Jarden Corp. 144A 5.000%, 11/15/23⁽³⁾		135		139
Landry’s Holdings II, Inc. 144A 10.250%, 1/1/18⁽³⁾		425		425
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		475		502
M/I Homes, Inc. 144A 6.750%, 1/15/21⁽³⁾		525		518
MDC Holdings, Inc. 5.500%, 1/15/24		860		873
Meritor, Inc. 6.750%, 6/15/21		715		661
MGM Resorts International 6.000%, 3/15/23		490		488


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Mohegan Tribal Gaming Authority 144A 9.750%, 9/1/21⁽³⁾	$	305	$	306
MPG Holdco I, Inc. 7.375%, 10/15/22		830		842
Myriad International Holdings BV 144A 5.500%, 7/21/25⁽³⁾		995		957
NCL Corp. Ltd. 144A 4.625%, 11/15/20⁽³⁾		325		320
New York University 4.142%, 7/1/48		545		511
Numericable Group SA 144A 6.000%, 5/15/22⁽³⁾		305		297
Omega US Sub LLC 144A 8.750%, 7/15/23⁽³⁾		925		858
Party City Holdings, Inc. 144A 6.125%, 8/15/23⁽³⁾		125		122
Penn National Gaming, Inc. 5.875%, 11/1/21		490		478
Pinnacle Entertainment, Inc. 6.375%, 8/1/21		490		518
QVC, Inc. 5.125%, 7/2/22		240		239
RCN Telecom Services LLC (RCN Capital Corp.) 144A 8.500%, 8/15/20⁽³⁾		510		517
Scientific Games International, Inc.
6.625%, 5/15/21		540		257
144A 7.000%, 1/1/22⁽³⁾		590		566
Signet UK Finance plc 4.700%, 6/15/24		895		882
Station Casinos LLC 7.500%, 3/1/21		970		994
Toll Brothers Finance Corp.
4.000%, 12/31/18		375		383
6.750%, 11/1/19		940		1,039
TRI Pointe Holdings, Inc. 5.875%, 6/15/24		890		870
VTR Finance BV 144A 6.875%, 1/15/24⁽³⁾		600		554

				23,992

Consumer Staples—1.0%
Constellation Brands, Inc. 4.750%, 12/1/25		180		184
Dole Food Co., Inc. 144A 7.250%, 5/1/19⁽³⁾		545		541
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25⁽³⁾		340		331
Rite Aid Corp. 144A 6.125%, 4/1/23⁽³⁾		250		260
Safeway, Inc. 7.250%, 2/1/31		510		459
Tops Holding LLC (Tops Markets II Corp.) 144A 8.000%, 6/15/22⁽³⁾		925		916
Whole Foods Market, Inc. 144A 5.200%, 12/3/25⁽³⁾		543		543

				3,234

Energy—8.9%
Afren plc 144A 11.500%, 2/1/16^(3)(12)		464		9
Antero Resources Corp. 144A 5.625%, 6/1/23⁽³⁾		490		385
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		305		212


	PAR VALUE		VALUE
Energy—(continued)
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21	$	725	$	326
CONSOL Energy, Inc. 5.875%, 4/15/22		650		406
Denbury Resources, Inc. 5.500%, 5/1/22		440		148
Ecopetrol SA 5.375%, 6/26/26		910		776
Enbridge Energy Partners LP 4.375%, 10/15/20		170		166
Energy Transfer Partners LP 5.875%, 1/15/24		885		726
EnQuest plc 144A 7.000%, 4/15/22⁽³⁾		885		313
EP Energy LLC (Everest Acquisition Finance, Inc.) 9.375%, 5/1/20		840		540
Exterran Partners LP (EXLP Finance Corp.) 6.000%, 10/1/22		740		607
FTS International, Inc. 6.250%, 5/1/22		450		128
Gazprom OAO (Gaz Capital SA)
144A 3.850%, 2/6/20⁽³⁾⁽⁷⁾		1,115		1,039
144A 6.000%, 11/27/23⁽³⁾⁽⁷⁾		255		241
Gulfmark Offshore, Inc. 6.375%, 3/15/22		960		521
Gulfport Energy, Corp. 7.750%, 11/1/20		885		796
Helmerich & Payne International Drilling Co. 4.650%, 3/15/25		540		541
Kinder Morgan, Inc. 7.750%, 1/15/32		890		845
Laredo Petroleum, Inc.
7.375%, 5/1/22		830		768
6.250%, 3/15/23		145		127
Linn Energy LLC
6.500%, 5/15/19		512		92
6.500%, 9/15/21		155		22
Lukoil OAO International Finance BV
144A 7.250%, 11/5/19⁽³⁾		525		564
144A 4.563%, 4/24/23⁽³⁾		495		444
MPLX LP 144A 4.875%, 12/1/24⁽³⁾		1,390		1,248
Newfield Exploration Co.
5.750%, 1/30/22		160		142
5.625%, 7/1/24		785		669
5.375%, 1/1/26		550		455
NGL Energy Partners LP (NGL Energy Finance Corp.) 5.125%, 7/15/19		925		735
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22⁽³⁾⁽⁷⁾		1,105		982
Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22⁽³⁾		1,093		251
Pacific Exploration and Production Corp. 144A 5.375%, 1/26/19⁽³⁾		610		119


	PAR VALUE			VALUE
Energy—(continued)
Parker Drilling Co. (The) 7.500%, 8/1/20	$	1,075		$	822
Pertamina Persero PT
144A 4.300%, 5/20/23⁽³⁾		600			547
144A 6.000%, 5/3/42⁽³⁾		400			329
Petrobras Global Finance BV 5.375%, 1/27/21		830			618
Petroleos de Venezuela SA
RegS 8.500%, 11/2/17⁽⁴⁾		323			173
144A 6.000%, 5/16/24⁽³⁾		1,580			592
RegS 6.000%, 11/15/26⁽⁴⁾		790			292
Petroleos Mexicanos 5.500%, 6/27/44		650			489
PHI, Inc. 5.250%, 3/15/19		360			290
QEP Resources, Inc. 6.875%, 3/1/21		1,105			912
QGOG Constellation SA 144A 6.250%, 11/9/19⁽³⁾		1,000			453
Regency Energy Partners LP 5.000%, 10/1/22		1,010			895
Sabine Oil & Gas Corp. 7.250%, 6/15/19⁽¹²⁾		935			63
Sabine Pass Liquefaction LLC 5.625%, 2/1/21		915			846
SM Energy Co. 6.125%, 11/15/22		1,160			858
Sunoco LP (Sunoco Finance Corp.) 144A 6.375%, 4/1/23⁽³⁾		1,790			1,692
TransCanada Trust 5.625%, 5/20/75⁽²⁾		940			869
Transocean, Inc.
5.800%, 12/15/16		300			292
4.300%, 10/15/22		1,050			556
Whiting Petroleum Corp. 6.250%, 4/1/23		910			660

					27,591

Financials—15.0%
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾		1,565	^TRY		482
Allstate Corp. (The) 5.750%, 8/15/53⁽²⁾⁽⁶⁾		1,455			1,496
Avis Budget Car Rental LLC (Avis Budget Finance, Inc.) 144A 5.250%, 3/15/25⁽³⁾		785			747
Banco Bilbao Vizcaya Argentaria Bancomer S.A.
144A 6.500%, 3/10/21⁽³⁾		425			451
144A 6.750%, 9/30/22⁽³⁾		1,000			1,100
Banco de Credito del Peru
144A 4.250%, 4/1/23⁽³⁾		657			656
144A 6.125%, 4/24/27⁽²⁾⁽³⁾		1,095			1,144
Banco Internacional del Peru SAA
144A 5.750%, 10/7/20⁽³⁾		1,060			1,132
144A 6.625%, 3/19/29⁽²⁾⁽³⁾		395			399
Banco Nacional de Comercio 144A 4.375%, 10/14/25⁽³⁾		550			543


	PAR VALUE			VALUE
Financials—(continued)
Banco Santander Brasil SA 144A 8.000%, 3/18/16⁽³⁾	$	900	^BRL	$	223
Bancolombia S.A. 5.125%, 9/11/22		1,015			973
Bank of China Ltd. 144A 5.000%, 11/13/24⁽³⁾		875			901
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽³⁾		1,015			1,058
Block Financial LLC 4.125%, 10/1/20		490			496
Brixmor Operating Partnership LP 3.875%, 8/15/22		245			244
Citizens Financial Group, Inc. 144A 5.500% ^(2)(3)(5)		920			906
Compass Bank 3.875%, 4/10/25		900			826
Corporate Office Properties LP 3.600%, 5/15/23		950			876
Corrections Corp. of America 5.000%, 10/15/22		1,465			1,465
CTR Partnership LP (Caretrust Capital Corp.) 5.875%, 6/1/21		720			730
CyrusOne LP / CyrusOne Finance Corp. 6.375%, 11/15/22		945			978
Development Bank of Kazakhstan OJSC 144A 4.125%, 12/10/22⁽³⁾		1,090			959
Discover Financial Services, Inc. 3.950%, 11/6/24		1,250			1,235
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21⁽³⁾		915			888
ESH Hospitality, Inc. 144A 5.250%, 5/1/25⁽³⁾		925			907
Eurasian Development Bank 144A 4.767%, 9/20/22⁽³⁾		925			883
First Cash Financial Services, Inc. 6.750%, 4/1/21		530			522
First Niagara Financial Group, Inc. 7.250%, 12/15/21		1,160			1,358
FS Investment Corp.
4.250%, 1/15/20		785			788
4.750%, 5/15/22		285			277
Genworth Holdings, Inc. 4.900%, 8/15/23		1,170			784
GLP Capital LP (GLP Financing II, Inc.) 5.375%, 11/1/23		25			24
Healthcare Realty Trust, Inc. 3.875%, 5/1/25		395			382
Hutchison Whampoa International Ltd. Series 12, 144A 6.000% ^(2)(3)(5)(6)		1,130			1,182
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.)
4.875%, 3/15/19		65			64
6.000%, 8/1/20		370			373
5.875%, 2/1/22		755			738
ING Groep NV 6.000% ^(2)(5)(6)		865			869
iStar Financial, Inc. 5.000%, 7/1/19		940			917


	PAR VALUE			VALUE
Financials—(continued)
Jefferies Group LLC 6.875%, 4/15/21	$	410		$	459
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		795			701
Kilroy Realty LP 4.375%, 10/1/25		830			841
Leucadia National Corp. 5.500%, 10/18/23		575			562
Lincoln National Corp. 6.050%, 4/20/67⁽²⁾⁽⁶⁾		300			234
Macquarie Bank Ltd. 144A 6.625%, 4/7/21⁽³⁾		189			212
McGraw Hill Financial Inc.
4.000%, 6/15/25		340			341
4.400%, 2/15/26		485			496
Morgan Stanley 144A 10.090%, 5/3/17⁽³⁾		2,400	^BRL		576
MPT Operating Partnership LP 5.500%, 5/1/24		455			453
National Retail Properties, Inc. 4.000%, 11/15/25		260			255
Nordea Bank AB 144A 4.250%, 9/21/22⁽³⁾		860			881
PKO Finance AB 144A 4.630%, 9/26/22⁽³⁾⁽⁷⁾		1,315			1,371
Prudential Financial, Inc.
5.875%, 9/15/42⁽²⁾		2,155			2,240
5.625%, 6/15/43⁽²⁾⁽⁶⁾		450			460
Santander Bank NA 8.750%, 5/30/18		400			451
Select Income REIT 4.500%, 2/1/25		900			837
Springleaf Finance Corp. 5.250%, 12/15/19		440			419
SunTrust Bank, Inc. 5.400%, 4/1/20		250			268
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54⁽²⁾⁽³⁾		740			724
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾		1,285			1,262
Voya Financial, Inc. 5.650%, 5/15/53⁽²⁾		870			861
York Risk Services Holding Corp. 144A 8.500%, 10/1/22⁽³⁾		685			564

					46,444

Health Care—4.6%
Acadia Healthcare Co., Inc.
5.125%, 7/1/22		300			282
5.625%, 2/15/23		65			62
Alere, Inc. 144A 6.375%, 7/1/23⁽³⁾		345			323
Capsugel SA PIK Interest Capitalization 144A, 7.000%, 5/15/19^(3)(10)		200			195
Community Health Systems, Inc. 6.875%, 2/1/22		525			501
Concordia Healthcare Corp. 144A 7.000%, 4/15/23⁽³⁾		65			57
Crimson Merger Sub, Inc. 144A 6.625%, 5/15/22⁽³⁾		710			488
DaVita Healthcare Partners, Inc. 5.125%, 7/15/24		935			937


	PAR VALUE		VALUE
Health Care—(continued)
Emdeon, Inc. 144A 6.000%, 2/15/21⁽³⁾	$	625	$	583
Endo Finance LLC 144A 5.875%, 1/15/23⁽³⁾		660		650
HCA, Inc.
6.500%, 2/15/20		990		1,079
5.375%, 2/1/25		720		712
HealthSouth Corp.
144A 5.750%, 11/1/24⁽³⁾		95		91
144A 5.750%, 9/15/25⁽³⁾		835		781
IASIS Healthcare LLC 8.375%, 5/15/19		545		504
Jaguar Holding Co. II (Pharmaceutical Product Development LLC) 144A 6.375%, 8/1/23⁽³⁾		530		518
JLL Delta Dutch Pledgeco BV PIK Interest Capitalization, 144A 8.750%, 5/1/20^(3)(10)		545		527
Mallinckrodt International Finance S.A.
144A 5.750%, 8/1/22⁽³⁾		360		347
144A 5.625%, 10/15/23⁽³⁾		815		778
144A 5.500%, 4/15/25⁽³⁾		60		56
Mednax Inc 144A 5.250%, 12/1/23⁽³⁾		395		397
Mylan NV 144A 3.000%, 12/15/18⁽³⁾		200		200
Quintiles Transnational Corp. 144A 4.875%, 5/15/23⁽³⁾		435		439
Select Medical Corp. 6.375%, 6/1/21		455		400
Surgical Care Affiliates, Inc. 144A 6.000%, 4/1/23⁽³⁾		912		894
Team Health, Inc. 144A 7.250%, 12/15/23⁽³⁾		40		42
Tenet Healthcare Corp.
4.750%, 6/1/20		575		581
6.000%, 10/1/20		180		190
8.125%, 4/1/22		440		441
Valeant Pharmaceuticals International, Inc.
144A 7.500%, 7/15/21⁽³⁾		130		130
144A 5.625%, 12/1/21⁽³⁾		140		129
144A 5.500%, 3/1/23⁽³⁾		220		195
144A 5.875%, 5/15/23⁽³⁾		705		633
Zoetis, Inc. 3.450%, 11/13/20		90		90

				14,232

Industrials—4.8%
Ahern Rentals, Inc. 144A 7.375%, 5/15/23⁽³⁾		930		756
Air Canada 144A 6.750%, 10/1/19⁽³⁾		1,050		1,093
Air Canada 144A 6.750%, 10/1/19⁽³⁾		1,050		1,093
Pass-Through-Trust, 13-1, B 144A 5.375%, 5/15/21⁽³⁾		1,305		1,316


	PAR VALUE			VALUE
Industrials—(continued)
American Airlines Group, Inc. 144A 4.625%, 3/1/20⁽³⁾	$	210		$	200
American Airlines Pass-Through-Trust 14-1, B 4.375%, 10/1/22		386			385
Bombardier, Inc. 144A 6.125%, 1/15/23⁽³⁾		740			514
Builders FirstSource, Inc. 144A 10.750%, 8/15/23⁽³⁾		480			479
Carpenter Technology Corp. 5.200%, 7/15/21		600			603
CEB, Inc. 144A 5.625%, 6/15/23⁽³⁾		365			363
Continental Airlines Pass-Through-Trust
00-1, A1 8.048%, 11/1/20		547			612
01-1, A1 6.703%, 6/15/21		126			131
DP World Ltd. 144A 6.850%, 7/2/37⁽³⁾		400			393
General Electric Co. Series C 4.200%, 4.200%, 12/29/49⁽²⁾		1	⁽⁹⁾		653
Harland Clarke Holdings Corp. 144A 6.875%, 3/1/20⁽³⁾		600			501
Hawaiian Airlines Pass-Through Certificates 13-1, B 4.950%, 1/15/22		808			789
JBS Investments GmbH 144A 7.250%, 4/3/24⁽³⁾		665			607
Lender Processing Services, Inc. 5.750%, 4/15/23		655			675
Masco Corp.
5.950%, 3/15/22		640			691
4.450%, 4/1/25		320			314
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21		397			414
Pelabuhan Indonesia II PT 144A 4.250%, 5/5/25⁽³⁾		925			822
Penske Truck Leasing Co. LP 144A 3.375%, 2/1/22⁽³⁾		350			340
TransDigm, Inc.
6.000%, 7/15/22		630			619
144A 6.500%, 5/15/25⁽³⁾		270			262
United Airlines Pass-Through Trust 15-1, B 4.750%, 4/11/22		452			452
United Rentals North America, Inc. 5.500%, 7/15/25		930			905

					14,889

Information Technology—0.9%
First Data Corp. 144A 5.750%, 1/15/24⁽³⁾		405			400
Flextronics International Ltd. 144A 4.750%, 6/15/25⁽³⁾		930			906
Hewlett Packard Enterprise Co.


	PAR VALUE		VALUE
Information Technology—(continued)
144A 4.400%, 10/15/22⁽³⁾	$	425	$	423
144A 4.900%, 10/15/25⁽³⁾		425		417
Riverbed Technology, Inc. 144A 8.875%, 3/1/23⁽³⁾		540		502

				2,648

Materials—4.3%
Alpek SA de C.V. 144A 5.375%, 8/8/23⁽³⁾		1,460		1,493
American Builders & Contractors Supply Co., Inc. 144A 5.750%, 12/15/23⁽³⁾		80		81
ArcelorMittal 6.125%, 6/1/25		945		692
Berry Plastics Corp. 5.125%, 7/15/23		870		848
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75^(2)(3)(6)		525		507
Braskem America Finance Co. RegS 7.125%, 7/22/41⁽⁴⁾		1,300		968
Cascades, Inc. 144A 5.500%, 7/15/22⁽³⁾		1,100		1,071
Corp Nacional del Cobre de Chile 144A 4.500%, 9/16/25⁽³⁾		820		772
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		455		400
EuroChem Mineral & Chemical Co. OJSC 144A 5.125%, 12/12/17⁽³⁾⁽⁷⁾		550		553
Fibria Overseas Finance Ltd. 5.250%, 5/12/24		910		867
Fortescue Metals Group (FMG) Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22⁽³⁾		550		506
Gerdau Trade, Inc.144A 5.750%, 1/30/21⁽³⁾		150		119
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽³⁾		735		658
Hexion U.S. Finance Corp. 6.625%, 4/15/20		580		457
INEOS Group Holdings SA 144A 5.875%, 2/15/19⁽³⁾		920		896
Sappi Papier Holding GmbH 144A 6.625%, 4/15/21⁽³⁾		850		863
Severstal OAO (Steel Capital SA) 144A 6.700%, 10/25/17⁽³⁾⁽⁷⁾		425		445
Tronox Finance LLC 6.375%, 8/15/20		650		394
Union Andina de Cementos SAA 144A 5.875%, 10/30/21⁽³⁾		155		150
Vedanta Resources plc 144A 6.000%, 1/31/19⁽³⁾		995		635

				13,375

Telecommunication Services—2.8%
Altice Financing SA
144A 6.625%, 2/15/23⁽³⁾		720		713
144A 7.750%, 7/15/25⁽³⁾		400		370


	PAR VALUE			VALUE
Telecommunication Services—(continued)
America Movil SAB de C.V. Series 12 6.450%, 12/5/22	$	5,000	^MXN	$	275
CenturyLink, Inc. Series V 5.625%, 4/1/20		570			566
Comcel Trust via Comunicaciones Celulares SA 144A 6.875%, 2/6/24⁽³⁾⁽⁷⁾		475			368
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		1,100			913
Empresa Nacional de Telecomunicaciones S.A. 144A 4.875%, 10/30/24⁽³⁾		430			413
Frontier Communications Corp.
6.250%, 9/15/21		670			571
144A 10.500%, 9/15/22⁽³⁾		210			209
Level 3 Financing, Inc. 144A 5.375%, 1/15/24⁽³⁾		145			146
Neptune Finance Corp.
144A 10.125%, 1/15/23⁽³⁾		340			355
144A 6.625%, 10/15/25⁽³⁾		650			678
Sprint Communications, Inc. 6.000%, 11/15/22		935			673
T-Mobile USA, Inc.
6.500%, 1/15/24		380			388
6.500%, 1/15/26		400			405
Verizon Communications, Inc. 4.400%, 11/1/34		895			826
Windstream Corp. 7.750%, 10/15/20		780			660

					8,529

Utilities—2.4%
AmeriGas Partners LP 7.000%, 5/20/22		770			749
Calpine Corp. 5.375%, 1/15/23		886			800
Electricite de France SA 144A 5.250% ^(2)(3)(5)(6)		1,360			1,278
Enel SpA 144A 8.750%, 9/24/73^(2)(3)(6)		375			428
Lamar Funding Ltd. 144A 3.958%, 5/7/25⁽³⁾		910			808
Majapahit Holding BV 144A 7.750%, 1/20/20⁽³⁾		795			891
NRG Yield Operating LLC 5.375%, 8/15/24		345			288
Southern Power Co. 4.150%, 12/1/25		1,030			1,029
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		625			472
TerraForm Power Operating LLC 144A 5.875%, 2/1/23⁽³⁾		860			716
Texas Competitive Electric Holdings Co. LLC Series A 10.250%, 11/1/16⁽¹¹⁾		200			14

					7,473

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $181,612)					162,407


	PAR VALUE		VALUE
LOAN AGREEMENTS⁽²⁾—9.8%
Consumer Discretionary—2.0%
Advantage Sales & Marketing, Inc. Second Lien, 7.500%, 7/25/22	$	370	$	334
Affinity Gaming LLC 5.250%, 11/9/17		541		541
Aristocrat Leisure Ltd. 4.750%, 10/20/21		516		515
Caesars Entertainment Operating Co., Inc.
Tranche B-6, 9.750%, 3/1/17⁽¹²⁾		512		457
Tranche B-7, 11.750%, 1/28/18⁽¹²⁾		102		86
Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21		352		310
Cirque Du Soleil First Lien, 5.000%, 7/8/22		253		240
El Dorado Resorts, Inc. 4.250%, 7/25/22		204		203
Graton Resort & Casino Tranche B, 4.750%, 9/1/22		260		258
Landry’s, Inc. (Landry’s Restaurants, Inc.) Tranche B, 4.000%, 4/24/18		873		870
Laureate Education, Inc. 5.000%, 6/15/18		576		480
Marina District Finance Co., Inc. 6.500%, 8/15/18		264		265
PetSmart, Inc. Tranche B-1 4.250%, 3/11/22		153		149
Staples, Inc. First Lien, 0.000%, 4/23/21⁽⁸⁾		697		691
Transtar Holding Co. Second Lien, 10.000%, 10/9/19⁽¹³⁾		380		317
U.S. Farathane Corp. 6.750%, 12/23/21		359		356

				6,072

Consumer Staples—1.1%
Albertson’s LLC Tranche B-4, 5.500%, 8/25/21		667		662
Coty, Inc.
0.000%, 10/21/22⁽⁸⁾		237		236
3.750%, 10/27/22		118		118
Hostess Brands LLC Tranche B Second Lien, 8.500%, 8/3/23		890		884
Kronos Acquisition Intermediate, Inc. (KIK Custom Products, Inc.) Second Lien, 9.750%, 4/30/20		851		849
Rite Aid Corp. Tranche 2, Second Lien, 4.875%, 6/21/21		550		550

				3,299

Energy—0.7%
Arch Coal, Inc. 6.250%, 5/16/18		1,098		495
Chelsea Petroleum I LLC 6.750%, 10/28/22		783		763
Chief Exploration & Development LLC Second Lien, 7.500%, 5/16/21		649		444


	PAR VALUE		VALUE
Energy—(continued)
Jonah Energy LLC Second Lien, 7.500%, 5/12/21	$	520	$	330
Seadrill Operating LP 4.000%, 2/21/21		501		211

				2,243

Financials—0.1%
Capital Automotive LP Second Lien, 6.000%, 4/30/20		450		451

Health Care—2.3%
21st Century Oncology, Inc. Tranche B 6.500%, 4/30/22		227		192
AMAG Pharmaceuticals, Inc. 4.750%, 8/17/21		74		71
American Renal Holdings, Inc. Second Lien, 8.500%, 3/20/20		909		886
Amneal Pharmaceuticals LLC Tranche B, 5.250%, 11/1/19		330		324
Ardent Legacy Acquisitions, Inc. 6.500%, 8/4/21		458		456
Concentra, Inc. First Lien, Tranche B 4.750%, 6/1/22		60		59
Concordia Pharmaceuticals, Inc. 5.250%, 10/21/21		288		277
Envision Healthcare Corp. Tranche B-2, 4.500%, 10/28/22		590		588
Greatbatch, Inc. Tranche B, 5.250%, 10/27/22		311		309
Horizon Pharma, Inc. 4.500%, 5/7/21		194		183
InVentiv Health, Inc. Tranche B-4, 7.750%, 5/15/18		583		582
Med Impact Healthcare Systems, Inc. 5.750%, 10/27/22		599		593
MMM Holdings, Inc. 9.750%, 12/12/17⁽¹³⁾		253		167
MSO of Puerto Rico, Inc. 9.750%, 12/12/17⁽¹³⁾		184		121
NVA Holdings, Inc. Second Lien 8.000%, 8/14/22		509		501
RCHP Tranche B-2, 6.000%, 4/23/19		824		789
Surgery Center Holdings, Inc.
First Lien, 5.250%, 11/3/20		645		639
Second Lien, 8.500%, 11/3/21		145		138
U.S. Renal Care, Inc. 0.000%, 11/17/22⁽⁸⁾		339		337

				7,212

Industrials—1.0%
Brickman Group Ltd. LLC (The) Second Lien, 7.500%, 12/17/21		344		313
DynCorp International, Inc. 6.250%, 7/7/16		386		370


	PAR VALUE		VALUE
Industrials—(continued)
Filtration Group Corp. Second Lien, 8.250%, 11/22/21	$	194	$	189
Husky Injection Molding Systems Ltd. 4.250%, 6/30/21		531		512
Landmark U.S. Member LLC (Landmark U.S. Corp Acquisition, Inc.) Second Lien 8.250%, 1/25/21		602		601
Sedgwick Claims Management Services, Inc. Second Lien, 6.750%, 2/28/22		1,105		1,006

				2,991

Information Technology—2.0%
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22		287		267
Blue Coat Systems, Inc. 4.500%, 5/20/22		195		189
Deltek, Inc. First Lien 5.000%, 6/25/22		23		22
First Data Corp.
3.918%, 3/23/18		1,349		1,334
4.168%, 7/8/22		1,237		1,221
Infinity Acquisition Ltd. 4.000%, 8/6/21		354		341
Mitchell International, Inc. Second Lien, 8.500%, 10/11/21		1,263		1,211
NXP BV (NXP Funding LLC) 3.750%, 12/7/20		543		542
Presidio, Inc. 5.250%, 2/2/22		674		659
Riverbed Technologies, Inc. 6.000%, 4/25/22		406		405

				6,191

Materials—0.4%
Anchor Glass Container Tranche B, 4.875%, 7/1/22		500		499
CPI Acquisition, Inc. First Lien, 5.500%, 8/17/22		359		356
Fortescue Metals Group (FMG) Resources Property Ltd. 4.250%, 6/30/19		317		237
INEOS U.S. Finance LLC 4.250%, 3/31/22		57		55

				1,147

Telecommunication Services—0.1%
T-Mobile USA, Inc. Second Lien, 3.500%, 11/9/22		384		385

Utilities—0.1%
Atlantic Power LP 4.750%, 2/24/21		169		168


	PAR VALUE			VALUE
Utilities—(continued)
Texas Competitive Electric Holdings Co. LLC Tranche B-3 4.726%, 10/10/17⁽¹¹⁾	$	375		$	118

					286

TOTAL LOAN AGREEMENTS (Identified Cost $32,680)					30,277


	SHARES			VALUE
PREFERRED STOCKS—3.1%

Energy—0.3%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		905	⁽⁹⁾		882

Financials—2.4%
Ally Financial, Inc. Series A, 8.500%⁽²⁾		20,000			515
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%⁽²⁾		265	⁽⁹⁾		268
Citigroup, Inc. Series J, 7.125%⁽²⁾		46,600			1,305
Citigroup, Inc. Series N, 5.800%⁽²⁾		1,065	⁽⁹⁾		1,057
Goldman Sachs Group, Inc. (The) Series L, 5.700%⁽²⁾		635	⁽⁹⁾		631
JPMorgan Chase & Co. Series V, 5.000%⁽²⁾		285	⁽⁹⁾		271
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾		175	⁽⁹⁾		175
PNC Financial Services Group, Inc. (The) Series R, 4.850%⁽²⁾		965	⁽⁹⁾		905
SunTrust Bank, Inc. 5.625%⁽²⁾⁽⁶⁾		260	⁽⁹⁾		261
Wells Fargo & Co. Series K, 7.980%⁽²⁾		950	⁽⁹⁾		987
Zions Bancorp 6.950%⁽²⁾		38,525			1,108

					7,483

Industrials—0.4%
General Electric Co. Series B 4.100%⁽²⁾		829	⁽⁹⁾		827
Seaspan Corp. Series C, 9.500%		20,000			499

					1,326

TOTAL PREFERRED STOCKS (Identified Cost $9,457)					9,691

COMMON STOCKS—0.0%

Consumer Discretionary—0.0%
Mark IV Industries		446			17

TOTAL COMMON STOCKS (Identified Cost $4)					17


	SHARES		VALUE
AFFILIATED MUTUAL FUNDS—2.9%
Virtus Credit Opportunities Fund⁽¹⁴⁾		934,418	$	9,036

TOTAL AFFILIATED MUTUAL FUNDS (Identified Cost $9,341)				9,036

TOTAL LONG TERM INVESTMENTS—98.0% (Identified Cost $330,408)				303,708

TOTAL INVESTMENTS—98.0% (Identified Cost $330,408)				303,708	⁽¹⁾
Other assets and liabilities, net—2.0%				6,143

NET ASSETS—100.0%			$	309,851

Abbreviations:


FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”).
FNMA		Federal National Mortgage Association (“Fannie Mae”).
PIK		Payment-in-Kind Security
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015.

⁽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, 2015, these securities amounted to a value of $116,817 or 37.7% 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, 2015, 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⁾	100% of the income received was in cash.

⁽¹¹⁾	Security in default, portion of the interest payments are being received during the bankruptcy proceedings.

⁽¹²⁾	Security in default.

⁽¹³⁾	Illiquid security.

⁽¹⁴⁾	This fund is a public fund and the prospectus and annual report are publicly available.

Foreign Currencies:


BRL		Brazilian Real
CLP		Chilean Peso
COP		Colombian Peso
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, 2015 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $1,108 were transferred from Level 1 into Level 2 since starting to use and exchange price.

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


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITY—1.0%
U.S. Treasury Note
0.750%, 4/15/18	$	29,250		$	28,969
1.625%, 12/31/19		9,000			9,002
1.500%, 5/31/20		32,925			32,648

TOTAL U.S. GOVERNMENT SECURITY (Identified Cost $71,259)					70,619

MUNICIPAL BONDS—0.0%
Virginia—0.0%
Tobacco Settlement Financing Corp. Series A-1, Taxable 6.706%, 6/1/46		4,635			3,573

TOTAL MUNICIPAL BONDS (Identified Cost $4,298)					3,573

FOREIGN GOVERNMENT SECURITIES—2.0%
Argentine Republic Series NY, 8.280%, 12/31/33⁽¹⁰⁾		24,360			28,136
Bolivarian Republic of Venezuela
RegS 5.750%, 2/26/16⁽⁴⁾		4,165			3,749
RegS 7.000%, 12/1/18⁽⁴⁾		20,999			9,502
RegS 7.750%, 10/13/19⁽⁴⁾		19,501			7,849
Mongolia 144A 4.125%, 1/5/18⁽³⁾		12,680			11,651
Republic of Chile 5.500%, 8/5/20		11,647,000	^CLP		16,914
Republic of Colombia Treasury Note, Series B, 11.250%, 10/24/18		21,072,000	^COP		7,300
Republic of Panama 5.200%, 1/30/20		3,800			4,123
Republic of Romania 144A 6.750%, 2/7/22⁽³⁾		7,000			8,221
Republic of South Africa Series R203, 8.250%, 9/15/17		134,520	^ZAR		8,670
Republic of Sri Lanka 144A 6.000%, 1/14/19⁽³⁾		17,450			17,163
Russian Federation 144A 7.850%, 3/10/18⁽³⁾		1,005,000	^RUB		13,189
State of Qatar 144A 3.125%, 1/20/17⁽³⁾		12,000			12,200

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $178,231)					148,667

MORTGAGE-BACKED SECURITIES—25.5%
Agency—4.0%
FHLMC 14-DN2, M2 1.871%, 4/25/24⁽²⁾		13,365			13,135
FNMA
5.500%, 1/1/17		19			20
6.000%, 5/1/17		6			7


	PAR VALUE		VALUE
Agency—(continued)
4.500%, 4/1/18	$	101	$	105
5.000%, 10/1/19		286		298
5.500%, 2/1/20		63		64
5.500%, 3/1/20		118		123
5.500%, 3/1/20		14		14
5.500%, 3/1/20		39		40
5.500%, 3/1/20		66		69
5.500%, 4/1/20		179		189
5.000%, 6/1/20		312		331
4.000%, 8/1/25		11,244		11,935
3.000%, 6/1/27		966		996
2.500%, 5/1/28		16,054		16,294
3.000%, 10/1/30		28,887		29,780
3.000%, 10/1/30		18,150		18,712
6.000%, 12/1/32		41		47
5.500%, 2/1/33		65		73
5.500%, 5/1/34		317		357
6.000%, 8/1/34		234		266
5.500%, 11/1/34		151		168
5.500%, 11/1/34		142		158
6.000%, 11/1/34		218		246
5.500%, 12/1/34		128		144
5.500%, 1/1/35		271		306
5.500%, 7/1/37		6		7
6.000%, 7/1/37		44		50
6.000%, 4/1/38		189		213
5.000%, 12/1/39		6,781		7,570
4.500%, 4/1/40		8,510		9,207
5.000%, 8/1/40		12,922		14,267
4.000%, 10/1/40		180		191
4.000%, 3/1/41		5,620		5,961
4.500%, 5/1/41		6,019		6,512
3.500%, 4/1/42		11,152		11,527
3.500%, 12/1/42		33,493		34,603
3.000%, 3/1/43		57,103		57,021
3.000%, 5/1/43		17,233		17,263
4.000%, 10/1/44		28,995		30,717
GNMA
6.500%, 11/15/31		20		23
6.500%, 2/15/32		23		26

				289,035


	PAR VALUE		VALUE
Non-Agency—21.5%
A-10 Securitization LLC 13-1, A 144A 2.400%, 11/15/25⁽³⁾	$	965	$	965
ABN AMRO Mortgage Corp. 02-9, M 5.750%, 12/25/32		587		563
Access Point Financial, Inc. 15-A, A 144A 2.610%, 4/15/20⁽³⁾		8,543		8,533
American Homes 4 Rent
14-SFR1, A 144A 1.351%, 6/17/31⁽²⁾⁽³⁾		7,260		7,115
15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		7,850		7,704
Americold LLC Trust 10-ARTA, A1 144A 3.847%, 1/14/29⁽³⁾		8,148		8,415
Ameriquest Mortgage Securities, Inc. 03-10, AF6 5.210%, 11/25/33⁽²⁾		857		882
Asset Backed Funding Certificates 05-AQ1, A6 4.780%, 6/25/35⁽²⁾		3,160		3,243
B2R Mortgage Trust 15-1, A1 144A 2.524%, 5/15/48⁽³⁾		6,759		6,612
Banc of America (Merrill Lynch) Commercial Mortgage, Inc. 07-2, A4 5.619%, 4/10/49⁽²⁾		18,643		18,866
Banc of America (Merrill Lynch) Investors Mortgage Trust 04-A4, A1 2.562%, 8/25/34⁽²⁾		1,720		1,751
Banc of America Alternative Loan Trust
03-2, CB3 5.750%, 4/25/33		15,811		16,372
03-10, 2A1 6.000%, 12/25/33		3,137		3,239
Banc of America Funding Corp. 04-4, 3A1 4.750%, 10/25/19		1,914		1,944
Banc of America Funding Trust
04-B, 2A1 2.884%, 11/20/34⁽²⁾		781		773
05-1, 1A1 5.500%, 2/25/35		529		534
06-2, 3A1 6.000%, 3/25/36		2,751		2,792
Banc of America Mortgage Trust 04-11, 5A1 6.500%, 8/25/32		870		883
Banc of America Mortgage Trust
04-7, 6A3 4.500%, 8/25/19		783		781
04-11, 2A1 5.750%, 1/25/35		1,625		1,660
05-3, 1A15 5.500%, 4/25/35		1,828		1,854
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust 04-22CB, 1A1 6.000%, 10/25/34		25,976		27,341
Bank of America (Merrill Lynch - Countrywide) Asset-Backed Certificates
04-10, AF6 4.485%, 12/25/34⁽²⁾		836		856
05-1 AF5A 5.159%, 7/25/35⁽²⁾		13,296		13,131


	PAR VALUE		VALUE
Non-Agency—(continued)
05-12, 2A3 5.069%, 2/25/36⁽²⁾	$	4,191	$	4,274
Bank of America (Merrill Lynch - Countrywide) Commercial Mortgage Trust 06-4, A3 5.172%, 12/12/49		8,403		8,538
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust
04-6, 1A2 2.613%, 5/25/34⁽²⁾		1,628		1,619
04-4, A6 5.500%, 5/25/34		1,167		1,188
Bank of America (Merrill Lynch - Countrywide) Mortgage Trust 06-C1, AM 5.666%, 5/12/39⁽²⁾		8,370		8,402
Bank of America (Merrill Lynch - Deutsche Bank Trust) 12-OSI, A2FX 144A 3.352%, 4/13/29⁽³⁾		19,916		20,091
Bank of America (Merrill Lynch) Mortgage Investors, Inc. 98-C1, B 6.750%, 11/15/26⁽²⁾		10,000		10,492
Bank of America (Merrill Lynch) Commercial Mortgage Trust 06-3, A4 5.414%, 7/12/46⁽²⁾		9,831		9,964
Barclays (Lehman Brothers) - UBS Commercial Mortgage Trust
06-C3, AM 5.712%, 3/15/39⁽²⁾		7,615		7,642
07-C2, A3 5.430%, 2/15/40		6,356		6,523
07-C6, A4 5.858%, 7/15/40⁽²⁾		13,415		13,801
07-C7, A3 5.866%, 9/15/45⁽²⁾		10,858		11,394
Bayview Commercial Asset Trust 08-1, A3 144A 1.922%, 1/25/38⁽²⁾⁽³⁾		31,189		30,140
Bayview Financial Acquisition Trust 07-A, 1A2 6.205%, 5/28/37⁽²⁾		7,334		7,680
Bayview Financial Mortgage-Pass-Through Trust 06-A, 1A4 6.087%, 2/28/41⁽²⁾		16,408		17,292
BCRR Trust 09-1, 2A1 144A 5.858%, 7/17/40⁽²⁾⁽³⁾		2,852		2,874
Citi Held For Asset Issuance 2015-PM3 144A 4.450%, 5/16/22⁽³⁾		6,085		6,026
Citicorp Mortgage Securities, Inc. 07-1,A1 5.500%, 1/25/22		196		196
Citicorp Residential Mortgage Securities, Inc. 07-12, A6 5.469%, 6/25/37⁽²⁾		4,782		4,936
Citigroup - Deutsche Bank Commercial Mortgage Trust 07-CD4, A4 5.322%, 12/11/49		4,023		4,090
Citigroup Commercial Mortgage Trust
07-C6, A1A 5.710%, 12/10/49⁽²⁾		26,477		27,423
07-C6, A4 5.710%, 12/10/49⁽²⁾		388		401
08-C7, AM 6.137%, 12/10/49⁽²⁾		12,335		13,118
10-RR3, MLSR 144A 5.810%, 6/14/50⁽²⁾⁽³⁾		3,024		3,133
Citigroup Mortgage Loan Trust, Inc.


	PAR VALUE		VALUE
Non-Agency—(continued)
03-UP3, A2 7.000%, 9/25/33	$	790	$	830
04-UST1, A3 2.307%, 8/25/34⁽²⁾		1,533		1,535
04-NCM2, 2CB2 6.750%, 8/25/34		12,155		12,833
14-A, A 144A 4.000%, 1/25/35⁽²⁾⁽³⁾		14,762		15,256
05-5, 2A3 5.000%, 8/25/35		575		573
15-PS1, 144A 3.750%, 9/25/42⁽²⁾⁽³⁾		12,713		12,857
15-A, A1 3.500%, 6/25/58⁽²⁾		4,309		4,310
Colony American Finance Ltd. 15-1, 144A 2.896%, 10/15/47⁽³⁾		11,202		11,025
Colony Multi-Family Commercial Mortgage-Backed Securities 14-1, A 144A 2.543%, 4/20/50⁽³⁾		18,146		17,946
Commercial Mortgage Lease-Backed Certificates 01-CMB, 1 144A 7.471%, 6/20/31⁽²⁾⁽³⁾		4,080		4,753
Commercial Mortgage Trust
10-C1, D 144A 6.126%, 7/10/46⁽²⁾⁽³⁾		6,669		7,130
07-GG11, AM 5.867%, 12/10/49⁽²⁾		19,989		20,764
Credit Suisse Commercial Mortgage Trust
07-C1, A1A 5.361%, 2/15/40		37,876		38,907
07 - C5, A1AM 5.870%, 9/15/40⁽²⁾		21,039		20,982
14-LVR2, A2 144A 3.902%, 4/25/44⁽²⁾⁽³⁾		13,636		13,922
07-C2, A3 5.542%, 1/15/49⁽²⁾		12,995		13,286
Credit Suisse First Boston Mortgage Securities Corp.
03-27, 5A3 5.250%, 11/25/33		1,749		1,783
04-8, 7A1 6.000%, 12/25/34		5,954		6,280
13-HYB1, A16,144A 3.034%, 4/25/43⁽²⁾⁽³⁾		7,547		7,599
Deutsche Bank-UBS Mortgage Trust 11-LC3A, D 144A 5.465%, 8/10/44⁽²⁾⁽³⁾		6,306		6,550
Extended Stay America Trust 13-ESH7, A17 144A 2.295%, 12/5/31⁽³⁾		16,230		16,186
Fannie Mae Connecticut Avenue Securities 14-C02, 2M2 3.022%, 5/25/24⁽²⁾		1,420		1,278
FDIC Trust 13-N1, A 144A 4.500%, 10/25/18⁽³⁾		1,611		1,612
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.382%, 12/15/19⁽²⁾⁽³⁾		16,875		16,474
GMAC Mortgage Corp. Loan Trust
06-HLTV, A4 5.810%, 10/25/29		1,021		1,023
04-AR1, 12A 3.066%, 6/25/34⁽²⁾		7,754		7,887
05-AR1, 5A 3.274%, 3/18/35⁽²⁾		2,841		2,798
Goldman Sachs Mortgage Securities Trust
07-GG10, A1A 5.795%, 8/10/45⁽²⁾		2,973		3,091
07-GG10, A4 5.795%, 8/10/45⁽²⁾		18,810		19,327


	PAR VALUE		VALUE
Non-Agency—(continued)
Goldman Sachs Residential Mortgage Loan Trust
05-5F, B1 5.751%, 6/25/35⁽²⁾	$	2,841	$	2,764
07-1F, 2A2 5.500%, 1/25/37		445		422
GSAA Home Equity Trust
05-1, AF4 5.295%, 11/25/34⁽²⁾		563		591
05-12, AF3W 4.999%, 9/25/35⁽²⁾		4,589		4,707
Hilton USA Trust 13-HLT, EFX 144A 4.453%, 11/5/30⁽²⁾⁽³⁾		21,980		21,974
Home Equity Loan Trust 07-HSA3, AI4 6.110%, 6/25/37⁽²⁾		9,928		10,087
IMC Home Equity Loan Trust 97-5, A9 7.310%, 11/20/28		2,878		2,888
Jefferies Resecuritization Trust
14-R1, 1A1 144A 4.000%, 12/27/37⁽³⁾		8,737		8,741
14-R1, 2A1 144A 4.000%, 12/27/37⁽³⁾		6,606		6,600
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust 04-10, 14A1 144A 2.965%, 1/25/35⁽²⁾⁽³⁾		1,599		1,565
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities, Inc.
06-T22, AM 5.620%, 4/12/38⁽²⁾		10,700		10,751
06-PW12, AM 5.752%, 9/11/38⁽²⁾		9,250		9,321
06-PW14, AM 5.243%, 12/11/38		5,000		5,097
05-PW10, AM 5.449%, 12/11/40⁽²⁾		989		988
06-PWR13, AM 5.582%, 9/11/41⁽²⁾		3,272		3,343
07-PW15, AM 5.363%, 2/11/44		13,247		13,494
07- PW17, A4 5.694%, 6/11/50⁽²⁾		21,238		22,150
07-PW18, AM 6.084%, 6/11/50⁽²⁾		12,400		13,183
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust
04-CB1, 5A 5.000%, 6/25/19		1,100		1,122
03-AR6, A1 2.553%, 6/25/33⁽²⁾		1,003		1,003
03-AR4, 2A1 2.240%, 8/25/33⁽²⁾		309		305
04-CB1, 2A 5.000%, 6/25/34		3,350		3,453
JPMorgan Chase Commercial Mortgage Securities Trust
09-IWST, A1 144A 4.314%, 12/5/27⁽³⁾		5,473		5,731
10-CNTR, A2 144A 4.311%, 8/5/32⁽³⁾		7,503		8,009
10-CNTR, D 144A 6.184%, 8/5/32⁽²⁾⁽³⁾		765		850
15-SGP, B 144A 3.081%, 7/15/36⁽²⁾⁽³⁾		13,925		13,902
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		24,818		25,783
06-LDP7, A4 5.909%, 4/15/45⁽²⁾		8,502		8,529
06-LDP7, AM 5.909%, 4/15/45⁽²⁾		22,312		22,524


	PAR VALUE		VALUE
Non-Agency—(continued)
06-LDP9, A3 5.336%, 5/15/47	$	19,670	$	20,033
06-LDP9, AM 5.372%, 5/15/47		24,850		25,268
07-LDP10, AM 5.464%, 1/15/49⁽²⁾		32,275		32,876
07-LD12, A4 5.882%, 2/15/51⁽²⁾		17,789		18,448
JPMorgan Chase Mortgage Trust 15-5, A2 144A 2.911%, 5/25/45⁽²⁾⁽³⁾		12,963		13,048
JPMorgan Chase Mortgage Trust
14-2, 2A2 144A 3.500%, 6/25/29⁽²⁾⁽³⁾		13,058		13,338
06-A2, 4A1 144A 2.717%, 8/25/34⁽²⁾⁽³⁾		2,056		2,063
04-A4, 2A1 2.594%, 9/25/34⁽²⁾		3,627		3,679
05-A1, 4A1 144A 2.793%, 2/25/35⁽²⁾⁽³⁾		823		830
05-A2, 4A1 144A 2.145%, 4/25/35⁽²⁾⁽³⁾		1,175		1,148
05-A4, 3A1 144A 2.393%, 7/25/35⁽²⁾⁽³⁾		5,408		5,389
06-A6, 3A3L 144A 5.303%, 10/25/36⁽²⁾⁽³⁾		1,678		1,459
MASTR Adjustable Rate Mortgages Trust 04-12,3A1 2.752%, 11/25/34⁽²⁾		1,412		1,400
MASTR Alternative Loan Trust
04-7, 4A1 4.500%, 7/25/19		2,597		2,642
03-8, 2A1 5.750%, 11/25/33		6,246		6,544
04-4, 6A1 5.500%, 4/25/34		3,337		3,501
04-6, 7A1 6.000%, 7/25/34		6,197		6,303
04-7, 9A1 6.000%, 8/25/34		14,779		15,482
05-2, 2A1 6.000%, 1/25/35		3,694		3,925
05-2, 1A1 6.500%, 3/25/35		10,395		10,880
MASTR Asset Securitization Trust 05-1, 1A1 5.000%, 5/25/20		576		580
MASTR Reperforming Loan Trust 05-1, 1A2 144A 6.500%, 8/25/34⁽³⁾		1,795		1,799
Morgan Stanley Capital I Trust
06-T23, AM 5.847%, 8/12/41⁽²⁾		10,575		10,767
08-T29, AM 6.268%, 1/11/43⁽²⁾		1,610		1,725
06-IQ12, A4 5.332%, 12/15/43		12,966		13,195
07-IQ14, AM 5.681%, 4/15/49⁽²⁾		15,932		16,200
07-IQ14, A4 5.692%, 4/15/49⁽²⁾		17,390		17,835
07- LQ16, A4 5.809%, 12/12/49		19,325		20,186
Morgan Stanley Mortgage Loan Trust
04-2AR, 3A 2.277%, 2/25/34⁽²⁾		1,774		1,770
04-2AR, 4A 2.658%, 2/25/34⁽²⁾		1,325		1,337
Morgan Stanley Residential Mortgage Loan Trust 14-1A, A1 144A 2.988%, 6/25/44⁽²⁾⁽³⁾		7,744		7,844
Motel 6 Trust 15-MTL6, B 144A 3.298%, 2/5/30⁽³⁾		9,275		9,179
New Residential Mortgage Loan Trust
14-1A, A 144A 3.750%, 1/25/54⁽²⁾⁽³⁾		19,822		20,206


	PAR VALUE		VALUE
Non-Agency—(continued)
14-2A, 3A 144A 3.750%, 5/25/54⁽²⁾⁽³⁾	$	2,357	$	2,394
14-3A, AFX3 144A 3.750%, 11/25/54⁽²⁾⁽³⁾		6,425		6,529
Nomura Asset Acceptance Corp. 04-R3, A1 144A 6.500%, 2/25/35⁽³⁾		7,463		7,593
Novastar Home Equity Loan 04-4, M5 2.147%, 3/25/35⁽²⁾		3,556		3,444
Residential Accredit Loans, Inc.
03-QS17, CB5 5.500%, 9/25/33		1,276		1,312
05-QS1, A5 5.500%, 1/25/35		1,036		1,044
Residential Asset Mortgage Products, Inc.
04-SL2, A3 7.000%, 10/25/31		2,042		2,147
04-SL1, A8 6.500%, 11/25/31		2,339		2,401
05-SL2, A4 7.500%, 2/25/32		2,041		2,127
04-SL4, A3 6.500%, 7/25/32		1,322		1,358
03-RS8, AI7 5.015%, 9/25/33⁽²⁾		492		498
Residential Asset Securitization Trust
03-A11, A9 5.750%, 11/25/33		2,669		2,740
04-A1, A5 5.500%, 4/25/34		12,757		12,936
Residential Funding Mortgage Securities I, Inc. 06-S12, 1A1 5.500%, 12/25/21		1,150		1,167
Residential Funding Mortgage Securities II Home Loan Trust 06-H11, M1 6.010%, 2/25/36⁽²⁾		1,088		1,095
Residential Mortgage Loan Trust 15-2A, A1 3.750%, 8/16/55⁽²⁾		10,905		11,066
Sequoia Mortgage Trust
14-2, A1 144A 4.000%, 7/25/44⁽²⁾⁽³⁾		9,960		10,176
15-1, A1 144A 3.500%, 1/25/45⁽²⁾⁽³⁾		10,122		10,092
Structured Adjustable Rate Mortgage Loan Trust
03-30, 2A1 5.073%, 10/25/33⁽²⁾		3,545		3,618
04-4, 3A1 2.580%, 4/25/34⁽²⁾		790		782
04-4, 3A4 2.580%, 4/25/34⁽²⁾		2,694		2,675
04-4, 3A2 2.580%, 4/25/34⁽²⁾		3,491		3,491
04-5, 3A2 2.552%, 5/25/34⁽²⁾		1,586		1,582
04-14, 7A 2.516%, 10/25/34⁽²⁾		12,162		12,168
Structured Asset Securities Corp. Assistance Loan Trust 03-AL1, A 144A 3.357%, 4/25/31⁽³⁾		8,621		8,488
Structured Asset Securities Corp. Mortgage Pass - Through Certificates
02-AL1, A3 3.450%, 2/25/32		10,451		10,329
03-33H, 1A1 5.500%, 10/25/33		3,718		3,792
03-34A, 6A 2.785%, 11/25/33⁽²⁾		2,802		2,756
04-15, 3A3 5.500%, 9/25/34		2,605		2,640


	PAR VALUE		VALUE
Non-Agency—(continued)
Towd Point Mortgage Trust 15-3, A1B 144A 3.000%, 3/25/54⁽²⁾⁽³⁾	$	6,705	$	6,677
Vericrest Opportunity Loan Trust
15-NP11, A1 144A 3.625%, 7/25/45⁽²⁾⁽³⁾		7,631		7,544
14-NP10, A1 144A 3.375%, 10/25/54⁽²⁾⁽³⁾		2,596		2,568
14-NPL9, A1 144A 3.375%, 11/25/54⁽²⁾⁽³⁾		8,794		8,700
15-NPL4, A1 144A 3.500%, 2/25/55⁽²⁾⁽³⁾		5,146		5,076
15-NPL3, A1 144A 3.375%, 10/25/58⁽²⁾⁽³⁾		16,275		15,992
VFC LLC 14-2, A 144A 2.750%, 7/20/30⁽³⁾		1,099		1,098
Wells Fargo (Royal Bank of Scotland plc) Commercial Mortgage Trust 11-C5, C 144A 5.634%, 11/15/44⁽²⁾⁽³⁾		1,800		1,946
Wells Fargo (Wachovia Bank Commercial Mortgage Trust)
04-C15, B 4.892%, 10/15/41		7,203		7,204
06-C25, A4 5.767%, 5/15/43⁽²⁾		1,005		1,003
07-31, AM 5.591%, 4/15/47⁽²⁾		34,000		35,241
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust
06-C25, AM 5.767%, 5/15/43⁽²⁾		18,625		18,713
07-C30, A5 5.342%, 12/15/43		39,765		40,670
07-C30, AM 5.383%, 12/15/43		25,695		26,550
07-C31, A4 5.509%, 4/15/47		5,562		5,716
07-C32, A3 5.713%, 6/15/49⁽²⁾		22,577		23,125
07-C33, A5 5.952%, 2/15/51⁽²⁾		1,265		1,335
Wells Fargo Mortgage Backed Securities Trust
06-17, A1 5.500%, 11/25/21		145		146
03-G, A1 2.615%, 6/25/33⁽²⁾		1,348		1,359
03-J, 5A1 2.618%, 10/25/33⁽²⁾		470		475
04-4, A9 5.500%, 5/25/34		1,936		1,990
04-U, A1 2.742%, 10/25/34⁽²⁾		1,112		1,110
04-Z, 2A1 2.851%, 12/25/34⁽²⁾		6,483		6,477
04-CC, A1 2.823%, 1/25/35⁽²⁾		2,695		2,724
05-12, 1A1 5.500%, 11/25/35		4,102		4,179
05-14, 2A1 5.500%, 12/25/35		3,187		3,258
07-16, 1A1 6.000%, 12/28/37		3,442		3,569
07-AR10, 2A1 6.033%, 1/25/38⁽²⁾		4,145		4,066
WinWater Mortgage Loan Trust 14-1, A1 144A 3.964%, 6/20/44⁽²⁾⁽³⁾		14,068		14,425

				1,572,975

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,846,232)				1,862,010


	PAR VALUE		VALUE
ASSET-BACKED SECURITIES—18.8%
American Credit Acceptance Receivables Trust 14-3, C 144A 3.430%, 6/10/20⁽³⁾	$	19,200	$	19,210
AmeriCredit Automobile Receivables Trust
12-1, C 2.670%, 1/8/18		1,314		1,316
12-3, D 3.030%, 7/9/18		19,762		19,949
12-4, D 2.680%, 10/9/18		7,150		7,204
14-2, C 2.180%, 6/8/20		19,450		19,398
14-1, D 2.540%, 6/8/20		18,320		18,290
15-3, C 2.730%, 3/8/21		9,730		9,664
Applebee’s LLC 14-1, A2 144A 4.277%, 9/5/44⁽³⁾		20,471		20,732
Arbys Funding LLC 15-1A, A2 144A 4.970%, 10/30/45⁽³⁾		7,820		7,772
Ascentium Equipment Receivables 15-A1, B 144A 2.260%, 6/10/21⁽³⁾		5,400		5,378
Associates Manufactured Housing Pass-Through Certificates 96-1, B1 8.000%, 3/15/27⁽²⁾		1,388		1,480
Avant Loans Funding Trust 2015-A 144A 4.000%, 8/16/21⁽³⁾		3,207		3,176
Avis Budget Rental Car Funding LLC
(AESOP) 11-3A, A 144A 3.410%, 11/20/17⁽³⁾		12,848		12,990
(AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽³⁾		23,085		23,061
(AESOP) 13-2A, A 144A 2.970%, 2/20/20⁽³⁾		2,635		2,682
BankAmerica Manufactured Housing Contract Trust 98-1, B1 7.810%, 8/10/25⁽²⁾		2,276		2,352
Barclays (Lehman Brothers) Manufactured Housing Contract Trust 01-B, A3 4.350%, 4/15/40		3,031		3,109
BCC Funding VIII LLC
14-A, B 144A 3.123%, 8/20/20⁽³⁾		2,799		2,791
14-1A, C 144A 4.216%, 8/20/20⁽³⁾		5,519		5,508
Beacon Container Finance LLC 12-1A, A 144A 3.720%, 9/20/27⁽³⁾		19,665		19,594
BXG Receivables Note Trust
10-A, A 144A 5.100%, 3/2/26⁽³⁾		1,567		1,604
12-A, A 144A 2.660%, 12/2/27⁽³⁾		3,903		3,868
13-A, A 144A 3.010%, 12/4/28⁽³⁾		7,614		7,539
15-A, A 144A 2.880%, 5/2/30⁽³⁾		3,096		3,055
California Republic Auto Receivables Trust
13-1, B 144A 2.240%, 1/15/19⁽³⁾		11,600		11,652
14-2, B 2.340%, 4/15/20		7,090		6,992
14-2, C 3.290%, 3/15/21		2,700		2,668
15-3, B 2.700%, 9/15/21		3,705		3,563


	PAR VALUE		VALUE
Capital Auto Receivables Asset Trust
13-1, C 1.740%, 10/22/18	$	5,425	$	5,420
13-4, C 2.670%, 2/20/19		2,950		2,971
15-2, C 2.670%, 8/20/20		7,250		7,175
CarFinance Capital Auto Trust
13-1A, B 144A 2.750%, 11/15/18⁽³⁾		4,390		4,407
13-A1, C 144A 3.450%, 3/15/19⁽³⁾		2,210		2,227
13-2A, B 144A 3.150%, 8/15/19⁽³⁾		19,350		19,449
14-1A, B 144A 2.720%, 4/15/20⁽³⁾		5,550		5,538
14-2A, B 144A 2.640%, 11/16/20⁽³⁾		3,455		3,419
14-2A, C 144A 3.240%, 11/16/20⁽³⁾		2,765		2,721
15-A1, B 144A 2.910%, 6/15/21⁽³⁾		6,000		5,950
CarMax Auto Owner Trust
14-2, B 1.880%, 11/15/19		1,000		997
15-2, C 2.390%, 3/15/21		2,275		2,254
CarNow Auto Receivables Trust
14-1A, D 144A 4.160%, 11/15/18⁽³⁾		3,000		2,983
14-1A, E 144A 5.530%, 1/15/20⁽³⁾		3,650		3,650
15-2,C 144A 3.880%, 4/15/20⁽³⁾		5,000		4,976
CCG Receivables Trust
14-1, B 144A 2.150%, 11/15/21⁽³⁾		5,080		5,080
15-1, A3 144A 1.920%, 1/17/23⁽³⁾		4,000		3,980
Centre Point Funding LLC 12-2A, 1 144A 2.610%, 8/20/21⁽³⁾		10,316		10,182
Cheesecake Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽³⁾		33,283		33,098
Chrysler Capital Auto Receivables Trust 14-BA, D, 144A 3.440%, 8/16/21⁽³⁾		6,416		6,443
CNH Equipment Trust 12-B, B 1.780%, 6/15/20		4,000		4,008
Conseco Financial Corp.
94-1, A5 7.650%, 4/15/19		49		50
01-3, A4 6.910%, 5/1/33⁽²⁾		9,991		10,989
Container Leasing International Funding LLC 14-2A, A 144A 3.380%, 10/18/29⁽³⁾		10,845		10,513
DB Master Finance LLC
15-1A, A2I 144A 3.262%, 2/20/45⁽³⁾		4,963		4,910
15-A1, A2II 144A 3.980%, 2/20/45⁽³⁾		18,874		18,817
Diamond Resorts Owner Trust
14-1, A 144A 2.540%, 5/20/27⁽³⁾		6,371		6,320
15-2A, 144A 2.990%, 5/22/28⁽³⁾		3,917		3,916
Direct Capital Funding IV LLC
13-1, D 144A 4.599%, 10/20/19⁽³⁾		3,555		3,583
13-A1, C 144A 4.830%, 11/20/20⁽³⁾		5,000		5,045


	PAR VALUE		VALUE
Domino’s Pizza Master Issuer LLC 12-1A, A2 144A 5.216%, 1/25/42⁽³⁾	$	12,225	$	12,577
DRB 15-D A3 144A 2.500%, 1/25/36⁽³⁾		8,490		8,432
Drive Auto Receivables Trust
15-DA, B 144A 2.590%, 12/16/19⁽³⁾		3,920		3,903
14-AA, C 144A 3.060%, 5/17/21⁽³⁾		18,650		18,610
15-AA, D 144A 4.120%, 6/15/22⁽³⁾		7,920		7,838
Drug Royalty LP II 14-1, A2 144A 3.484%, 7/15/23⁽³⁾		20,129		20,275
DT Auto Owner Trust
13-1A, C 144A 2.730%, 2/15/19⁽³⁾		937		937
13-2A, C 144A 3.060%, 9/16/19⁽³⁾		10,743		10,764
14-1A, C 144A 2.640%, 10/15/19⁽³⁾		18,900		18,924
14-2A, C 144A 2.460%, 1/15/20⁽³⁾		14,370		14,351
14-3A, C 144A 3.040%, 9/15/20⁽³⁾		4,840		4,843
15-1A, C 144A 2.870%, 11/16/20⁽³⁾		7,000		6,971
15-3A, C 144A 3.250%, 7/15/21⁽³⁾		2,285		2,267
Exeter Automobile Receivables Trust
12-1A, C 144A 5.270%, 10/16/17⁽³⁾		2,334		2,341
12-2A, C 144A 3.060%, 7/16/18⁽³⁾		8,050		8,061
13-2A, B 144A 3.090%, 7/16/18⁽³⁾		15,550		15,568
14-1A, B 144A 2.420%, 1/15/19⁽³⁾		9,220		9,219
13-1A, C 144A 3.520%, 2/15/19⁽³⁾		20,725		20,744
14-1A, C 144A 3.570%, 7/15/19⁽³⁾		15,830		15,840
14-2A, C 144A 3.260%, 12/16/19⁽³⁾		14,615		14,392
15-A1, C 144A 4.100%, 12/15/20⁽³⁾		15,930		15,782
15-2A, C 144A 3.900%, 3/15/21⁽³⁾		17,705		17,429
14-3A, D 144A 5.690%, 4/15/21⁽³⁾		13,875		13,836
15-3, 144A 6.550%, 10/17/22⁽³⁾		3,375		3,358
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		20,749		20,696
First Investors Auto Owner Trust 15-1A, C 144A 2.710%, 6/15/21⁽³⁾		5,000		4,921
Flagship Credit Auto Trust
14-2, D 144A 5.210%, 2/15/21⁽³⁾		9,560		9,454
15-2, C 144A 4.080%, 12/15/21⁽³⁾		6,495		6,435
Foursight Capital Automobile Receivables Trust
14-1, B 144A 3.560%, 11/22/21⁽³⁾		4,704		4,736
15-1, B 144A 4.120%, 9/15/22⁽³⁾		5,589		5,590
Global Science Finance S.a.r.l.
13-1A, A 144A 2.980%, 4/17/28⁽³⁾		11,330		10,949
13-2A, A 144A 3.670%, 11/17/28⁽³⁾		5,481		5,330
Gold Key Resorts LLC 14-A, A 144A 3.220%, 3/17/31⁽³⁾		9,837		9,752


	PAR VALUE		VALUE
Greater Capital Association of Realtors 15-1A, C 9.790%, 10/15/25	$	8,195	$	8,116
Hertz Vehicle Financing LLC
11-1A, A2 144A 3.290%, 3/25/18⁽³⁾		14,960		15,179
15-2A, A 144A 2.020%, 9/25/19⁽³⁾		4,845		4,779
Hilton Grand Vacations Trust
13-A, A 144A 2.280%, 1/25/26⁽³⁾		9,364		9,246
14-AA, A 144A 1.770%, 11/25/26⁽³⁾		12,909		12,667
Hyundai Auto Receivables Trust
14-B, D 2.510%, 12/15/20		9,675		9,589
15-A, D 2.730%, 6/15/21		8,950		9,017
IndyMac Manufactured Housing Contract 98-1, A3 6.370%, 9/25/28		959		982
LEAF Receivables Funding 10 LLC
15-1, D 144A 3.740%, 5/17/21⁽³⁾		800		777
15-1, E1 144A 5.210%, 7/15/21⁽³⁾		4,500		4,388
15-1, E2 144A 6.000%, 6/15/23⁽³⁾		2,455		2,335
LEAF Receivables Funding 8 LLC 12-1, D 144A 4.680%, 9/15/20⁽³⁾		5,859		5,891
LEAF Receivables Funding 9 LLC
13-1, C 144A 3.460%, 9/15/21⁽³⁾		6,850		6,827
13-1, D 144A 5.110%, 9/15/21⁽³⁾		655		666
Marriott Vacation Club Owner Trust
12-1A, A 144A 2.510%, 5/20/30⁽³⁾		15,423		15,407
10-1A, A 144A 3.540%, 10/20/32⁽³⁾		493		501
10-1A, B 144A 4.520%, 10/20/32⁽³⁾		961		984
MVW Owner Trust 15-1A, B 144A 2.960%, 12/20/32⁽³⁾		2,048		2,037
National City Mortgage Capital Trust 08-1, 2A1 6.000%, 3/25/38		2,182		2,283
OneMain Financial Issuance Trust
14-1A, A 144A 2.430%, 6/18/24⁽³⁾		16,940		16,881
15-2A, A 144A 2.570%, 7/18/25⁽³⁾		19,675		19,444
15-A1, A 144A 3.190%, 3/18/26⁽³⁾		11,875		11,801
Orange Lake Timeshare Trust
12-AA, A 144A 3.450%, 3/10/27⁽³⁾		4,742		4,788
15-A, 144A 2.880%, 9/8/27⁽³⁾		8,530		8,363
14-AA, A 144A 2.290%, 7/9/29⁽³⁾		3,874		3,826
Prestige Auto Receivables Trust 14-1A, C 144A 2.390%, 5/15/20⁽³⁾		7,000		6,891
Santander Drive Auto Receivables Trust
12-2, D 3.870%, 2/15/18		18,045		18,240
12-6, C 1.940%, 3/15/18		5,207		5,214
12-5, C 2.700%, 8/15/18		3,638		3,656


	PAR VALUE		VALUE
12-6, D 2.520%, 9/17/18	$	17,455	$	17,535
13-1, D 2.270%, 1/15/19		23,445		23,448
13-3, C 1.810%, 4/15/19		7,215		7,207
13-5, D 2.730%, 10/15/19		20,100		20,164
14-3, C 2.130%, 8/17/20		16,400		16,411
14-4, D 3.100%, 11/16/20		6,650		6,649
Security National Automotive Acceptance Company Receivables Trust 14-1A, C 144A 2.210%, 1/15/20⁽³⁾		11,085		11,094
Sierra Timeshare Receivables Funding LLC
10-3A, B 144A 4.440%, 11/20/25⁽³⁾		1,796		1,798
11-1A, B 144A 4.230%, 4/20/26⁽³⁾		1,660		1,662
12-2A, B 144A 3.420%, 3/20/29⁽³⁾		2,433		2,451
12-3A, A 144A 1.870%, 8/20/29⁽³⁾		8,880		8,830
13-1A, A 144A 1.590%, 11/20/29⁽³⁾		3,350		3,295
14-1A, A 144A 2.070%, 3/20/30⁽³⁾		3,406		3,378
14-2A, A 144A 2.050%, 6/20/31⁽³⁾		5,102		5,104
Silverleaf Finance LLC
XV 12-D, A 144A 3.000%, 3/17/25⁽³⁾		5,043		5,074
XVII 13-12, A1 144A 2.680%, 3/16/26⁽³⁾		4,322		4,280
XVIII 14-A, A 144A 2.810%, 1/15/27⁽³⁾		3,187		3,145
Skopos Auto Receivables Trust 2015-2 3.550%, 2/15/20⁽³⁾		6,800		6,790
SLM Private Education Loan Trust
13-B, A2A 144A 1.850%, 6/17/30⁽³⁾		4,500		4,377
13-C, A2A 144A 2.940%, 10/15/31⁽³⁾		5,000		5,034
SoFi Professional Loan Program LLC
14-A, A2 144A 3.020%, 10/25/27⁽³⁾		1,937		1,938
14-B, A2 144A 2.550%, 8/27/29⁽³⁾		1,529		1,517
15-A, A2 144A 2.420%, 3/25/30⁽³⁾		6,036		5,935
SolarCity LMC Series III LLC 14-2, A 144A 4.020%, 7/20/44⁽³⁾		8,287		7,876
Structured Asset Securities Corp. 01-SB1, A2 3.375%, 8/25/31		1,911		1,885
SVO VOI Mortgage Corp.
10-AA, A 144A 3.650%, 7/20/27⁽³⁾		2,833		2,849
12-AA, A 144A 2.000%, 9/20/29⁽³⁾		9,127		8,996
TAL Advantage V LLC
13-1A A 144A 2.830%, 2/22/38⁽³⁾		11,997		11,929
14-3A, A 144A 3.270%, 11/21/39⁽³⁾		11,663		11,463
TCF Auto Receivables Owner Trust
14-1A, B 144A 2.330%, 5/15/20⁽³⁾		1,733		1,741
14-1A, C 144A 3.120%, 4/15/21⁽³⁾		2,035		2,060
Textainer Marine Containers Ltd.


	PAR VALUE		VALUE
13-1A, A 144A 3.900%, 9/20/38⁽³⁾	$	15,500	$	15,420
14-1A, A 144A 3.270%, 10/20/39⁽³⁾		4,019		3,911
Tidewater Auto Receivables Trust 14-AA, C 144A 2.560%, 8/15/19⁽³⁾		3,500		3,488
Trip Rail Master Funding LLC
11-1A, A1A 144A 4.370%, 7/15/41⁽³⁾		13,838		14,195
14-1A, A1 144A 2.863%, 4/15/44⁽³⁾		4,011		4,012
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽³⁾		36,434		37,132
Volvo Financial Equipment LLC
13-1A, B 144A 1.240%, 8/15/19⁽³⁾		15,835		15,790
14-1A, C 144A 1.940%, 11/15/21⁽³⁾		6,000		5,993
Welk Resorts LLC
13-A, A 144A 3.100%, 3/15/29⁽³⁾		4,203		4,184
15-AA, A 144A 2.790%, 6/16/31⁽³⁾		6,929		6,823
Wendy’s Funding LLC
15-1A, A2II144A 3.371%, 6/15/45⁽³⁾		5,400		5,269
15-1A, A2II 144A 4.080%, 6/15/45⁽³⁾		13,386		13,276
Westlake Automobile Receivables Trust
14-1A, C 144A 1.700%, 11/15/19⁽³⁾		6,165		6,141
15-1A, C 144A 2.290%, 11/16/20⁽³⁾		8,500		8,422
15-3A, D,144A 4.400%, 5/17/21⁽³⁾		10,000		9,924

TOTAL ASSET-BACKED SECURITIES (Identified Cost $1,378,649)				1,373,463

CORPORATE BONDS AND NOTES—36.5%
Consumer Discretionary—2.7%
Alibaba Group Holding Ltd 2.500%, 11/28/19		6,600		6,448
Boyd Gaming Corp.
9.000%, 7/1/20		5,350		5,698
6.875%, 5/15/23		1,340		1,384
Brookfield Residential Properties, Inc. 144A 6.500%, 12/15/20⁽³⁾		5,810		5,628
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽¹⁰⁾		3,625		2,773
CCO Holdings LLC 7.375%, 6/1/20		6,700		6,993
CCO Safari II LLC 144A 4.464%, 7/23/22⁽³⁾		2,605		2,596
Churchill Downs, Inc. 144A 5.375%, 12/15/21⁽³⁾		3,425		3,451
Clear Channel Worldwide Holdings, Inc. Series B 7.625%, 3/15/20		8,710		8,078
Columbus International, Inc. Series B, 144A 7.375%, 3/30/21⁽³⁾		5,990		5,953
Delphi Automotive plc 3.150%, 11/19/20		15,000		14,982
International Game Technology plc


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
7.500%, 6/15/19	$	1,115	$	1,193
144A 5.625%, 2/15/20⁽³⁾		3,245		3,213
144A 6.250%, 2/15/22⁽³⁾		8,185		7,694
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		8,530		9,020
M/I Homes, Inc. 144A 6.750%, 1/15/21⁽³⁾		4,675		4,617
Marriott International, Inc. Series N, 3.125%, 10/15/21		13,545		13,526
MGM Resorts International 6.750%, 10/1/20		6,500		6,711
NCL Corp. Ltd. 144A 4.625%, 11/15/20⁽³⁾		6,030		5,935
Numericable Group SA 144A 4.875%, 5/15/19⁽³⁾		8,295		8,243
QVC, Inc. 3.125%, 4/1/19		12,765		12,602
Scientific Games International, Inc. 144A 7.000%, 1/1/22⁽³⁾		10,625		10,200
Toll Brothers Finance Corp.
4.000%, 12/31/18		14,890		15,225
6.750%, 11/1/19		14,716		16,261
TRI Pointe Holdings, Inc. 4.375%, 6/15/19		13,872		13,629
Wyndham Worldwide Corp. 2.500%, 3/1/18		2,960		2,948

				195,001

Consumer Staples—0.1%
Kraft Heinz Foods Co.
144A 2.800%, 7/2/20⁽³⁾		2,680		2,674
144A 3.500%, 7/15/22⁽³⁾		2,855		2,875

				5,549

Energy—4.0%
Afren plc 144A 11.500%, 2/1/16⁽³⁾		4,674		94
Antero Resources Corp. 144A 5.625%, 6/1/23⁽³⁾		6,835		5,366
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		4,595		3,194
CNOOC Finance Propriety Ltd. 2.625%, 5/5/20		5,800		5,670
Denbury Resources, Inc. 5.500%, 5/1/22		7,225		2,435
Enbridge Energy Partners LP 4.375%, 10/15/20		3,930		3,839
Energy Transfer Partners LP 5.200%, 2/1/22		4,855		4,537
EP Energy LLC (Everest Acquisition Finance, Inc.) 9.375%, 5/1/20		15,345		9,859
FTS International, Inc. 6.250%, 5/1/22		2,245		640
Gazprom OAO (Gaz Capital SA) 144A 4.950%, 5/23/16⁽³⁾⁽⁵⁾		5,000		5,043
International Petroleum Investment Co. (IPIC) RegS 3.750%, 3/1/17⁽⁴⁾		10,000		10,190
Kinder Morgan, Inc. 144A 5.625%, 11/15/23⁽³⁾		20,300		18,569


	PAR VALUE			VALUE
Energy—(continued)
Kunlun Energy Co., Ltd. 144A 2.875%, 5/13/20⁽³⁾	$	5,000		$	4,925
Linn Energy LLC 6.500%, 5/15/19⁽¹⁰⁾		9,980			1,796
Lukoil OAO International Finance BV 144A 3.416%, 4/24/18⁽³⁾		6,000			5,842
Midcontinent Express Pipeline LLC 144A 6.700%, 9/15/19⁽³⁾		7,500			7,031
MPLX LP 144A 5.500%, 2/15/23⁽³⁾		11,935			10,503
Newfield Exploration Co.
5.750%, 1/30/22		1,640			1,451
5.625%, 7/1/24		7,925			6,756
NGL Energy Partners LP (NGL Energy Finance Corp.) 5.125%, 7/15/19		18,475			14,688
Pacific Exploration and Production Corp. 144A 5.375%, 1/26/19⁽³⁾		13,565			2,645
Petrobras Global Finance BV 3.250%, 3/17/17		11,100			10,268
Petroleos de Venezuela SA
RegS 8.500%, 11/2/17⁽⁴⁾		27,550			14,739
144A 6.000%, 5/16/24⁽³⁾		12,980			4,859
Petroleos Mexicanos 4.875%, 1/24/22		10,000			9,625
PHI, Inc. 5.250%, 3/15/19		6,275			5,051
Pride International, Inc. 8.500%, 6/15/19		4,065			4,024
QEP Resources, Inc. 6.875%, 3/1/21		22,275			18,377
QGOG Constellation SA 144A 6.250%, 11/9/19⁽³⁾		7,925			3,586
Regency Energy Partners LP 5.000%, 10/1/22		17,910			15,873
Rosneft Finance SA RegS 7.500%, 7/18/16⁽⁴⁾		13,235			13,533
Sabine Oil & Gas Corp. 7.250%, 6/15/19⁽¹⁰⁾		9,035			610
Sabine Pass Liquefaction LLC
5.625%, 2/1/21		8,000			7,400
6.250%, 3/15/22		8,415			7,826
Sinopec Capital Ltd. 144A 1.875%, 4/24/18⁽³⁾		11,750			11,600
Sunoco LP (Sunoco Finance Corp.) 144A 6.375%, 4/1/23⁽³⁾		16,520			15,611
Transocean, Inc.
5.800%, 12/15/16		9,280			9,036
7.125%, 12/15/21		13,020			8,447
Weatherford International Ltd. 9.625%, 3/1/19		4,110			4,007

					289,545

Financials—17.2%
ABN AMRO Bank N.V. 144A 4.250%, 2/2/17⁽³⁾		4,425			4,544
Air Lease Corp. 2.625%, 9/4/18		5,495			5,433
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾		12,140	^TRY		3,738
Allstate Corp. 6.125%, 5/15/37⁽²⁾		4,730			4,777


	PAR VALUE			VALUE
Financials—(continued)
Ally Financial, Inc.
3.250%, 2/13/18	$	4,285		$	4,274
3.250%, 11/5/18		7,565			7,423
American Campus Communities LP 3.350%, 10/1/20		2,040			2,038
American Tower Trust I 144A 1.551%, 3/15/18⁽³⁾		6,900			6,739
Ares Capital Corp.
4.875%, 11/30/18		1,545			1,609
3.875%, 1/15/20		4,286			4,356
Associated Banc Corp. 5.125%, 3/28/16		8,635			8,682
Aviation Capital Group Corp.
144A 3.875%, 9/27/16⁽³⁾		10,380			10,471
144A 2.875%, 9/17/18⁽³⁾		4,415			4,390
Banco Continental SA (Continental Senior Trustees II Cayman Ltd.) 144A 5.750%, 1/18/17⁽³⁾⁽⁵⁾		10,000			10,275
Banco de Credito del Peru 144A 2.750%, 1/9/18⁽³⁾		15,836			15,737
Banco Santander Brasil SA
144A 8.000%, 3/18/16⁽³⁾		28,335	^BRL		7,029
144A 4.625%, 2/13/17⁽³⁾		9,300			9,379
Banco Santander Chile 144A 2.327%, 6/7/18⁽²⁾⁽³⁾		5,300			5,300
Bangkok Bank PCL 144A 2.750%, 3/27/18⁽³⁾		16,550			16,637
Bank of America Corp.
(Countrywide Financial Corp.) 6.250%, 5/15/16		9,110			9,263
2.000%, 1/11/18		14,905			14,887
5.490%, 3/15/19		2,868			3,093
Bank of Baroda 144A 4.875%, 7/23/19⁽³⁾		11,775			12,409
Bank of Georgia JSC 144A 7.750%, 7/5/17⁽³⁾		10,110			10,535
Bank of India
144A 3.250%, 4/18/18⁽³⁾		22,470			22,771
144A 3.625%, 9/21/18⁽³⁾		10,200			10,367
Barclays Bank plc 144A 6.050%, 12/4/17⁽³⁾		13,130			14,007
BBVA Banco Continental SA 144A 3.250%, 4/8/18⁽³⁾		8,270			8,270
Blackstone Holdings Finance Co. LLC 144A 6.625%, 8/15/19⁽³⁾		7,105			8,074
Block Financial LLC 4.125%, 10/1/20		11,380			11,524
Brixmor Operating Partnership LP 3.875%, 8/15/22		5,570			5,545
Capital One NA 2.400%, 9/5/19		5,000			4,947
China Cinda Finance Ltd. 144A 4.000%, 5/14/19⁽³⁾		12,775			12,961
Citigroup, Inc.
0.747%, 6/9/16⁽²⁾		3,400			3,390


	PAR VALUE		VALUE
Financials—(continued)
5.500%, 2/15/17	$	11,730	$	12,123
2.500%, 9/26/18		10,000		10,087
Comerica Bank, Inc. 5.750%, 11/21/16		5,940		6,153
Corpbanca SA
3.125%, 1/15/18		8,000		7,808
144A 3.875%, 9/22/19⁽³⁾		4,000		3,963
Corrections Corp. of America 5.000%, 10/15/22		6,845		6,845
Daimler Finance North America LLC 144A 2.625%, 9/15/16⁽³⁾		11,000		11,095
Digital Delta Holdings LLC 144A 3.400%, 10/1/20⁽³⁾		11,735		11,753
Digital Realty Trust LP 3.950%, 7/1/22		8,175		8,119
Discover Bank 8.700%, 11/18/19		1,750		2,071
DNB Bank ASA 144A 3.200%, 4/3/17⁽³⁾		24,700		25,178
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21⁽³⁾		14,685		14,244
Fidelity National Financial, Inc. 6.600%, 5/15/17		6,475		6,832
Fifth Third Bancorp 4.500%, 6/1/18		6,745		7,104
First Tennessee Bank N.A.
5.650%, 4/1/16		15,664		15,782
2.950%, 12/1/19		4,500		4,467
Ford Motor Credit Co. LLC
4.207%, 4/15/16		10,000		10,080
5.000%, 5/15/18		10,000		10,481
FS Investment Corp. 4.250%, 1/15/20		7,725		7,756
General Motors Financial Co., Inc.
4.750%, 8/15/17		25,655		26,601
3.500%, 7/10/19		9,715		9,757
Genworth Holdings, Inc. 7.625%, 9/24/21		13,825		11,550
GLP Capital LP (GLP Financing II, Inc.) 4.875%, 11/1/20		18,265		17,900
Goldman Sachs Group, Inc. (The)
5.625%, 1/15/17		14,000		14,541
2.900%, 7/19/18		8,200		8,360
7.500%, 2/15/19		2,451		2,805
Government Properties Income Trust 3.750%, 8/15/19		2,905		2,919
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		26,900		26,564
HBOS plc 144A 6.750%, 5/21/18⁽³⁾		685		747
HCP, Inc. 3.750%, 2/1/19		4,940		5,098
HSBC USA, Inc. 2.625%, 9/24/18		19,485		19,768
Huntington Bancshares, Inc. 7.000%, 12/15/20		17,065		19,876


	PAR VALUE			VALUE
Financials—(continued)
Hutchison Whampoa International Ltd. Series 12, 144A 6.000% ^(2)(3)(6)(7)	$	13,210		$	13,818
Hyundai Capital Services, Inc.
144A 3.750%, 4/6/16⁽³⁾		500			503
144A 1.450%, 2/6/17⁽³⁾		8,000			7,963
144A 2.125%, 10/2/17⁽³⁾		2,940			2,923
ICAHN Enterprises LP (ICAHN Enterprises Finance Corp.)
3.500%, 3/15/17		965			970
4.875%, 3/15/19		1,520			1,506
ICICI Bank Ltd. RegS 4.700%, 2/21/18⁽⁴⁾		13,000			13,512
Industrial & Commercial Bank of China Ltd. 3.231%, 11/13/19		6,275			6,377
ING Bank NV 144A 1.375%, 3/7/16⁽³⁾		9,000			9,008
International Lease Finance Corp. 3.875%, 4/15/18		18,635			18,775
Intesa San Paolo SpA 3.125%, 1/15/16		12,190			12,196
iStar Financial, Inc.
4.000%, 11/1/17		12,900			12,681
4.875%, 7/1/18		12,250			12,051
5.000%, 7/1/19		2,440			2,379
Itau Unibanco Holding SA 144A 2.850%, 5/26/18⁽³⁾		17,300			16,452
Jefferies Group LLC
5.125%, 4/13/18		6,541			6,804
6.875%, 4/15/21		3,725			4,169
JPMorgan Chase & Co. 6.125%, 6/27/17		8,850			9,372
Kimco Realty Corp. 3.400%, 11/1/22		10,605			10,511
Lazard Group LLC 4.250%, 11/14/20		7,765			8,046
Lincoln National Corp.
8.750%, 7/1/19		15,040			18,069
6.050%, 4/20/67⁽²⁾⁽⁷⁾		2,885			2,250
Macquarie Group Ltd.
144A 3.000%, 12/3/18⁽³⁾		4,870			4,915
144A 6.000%, 1/14/20⁽³⁾		10,950			12,090
McGraw Hill Financial, Inc. 3.300%, 8/14/20		15,097			15,232
MDC-GMTN B.V. 144A 3.750%, 4/20/16⁽³⁾		4,000			4,013
Morgan Stanley
5.550%, 4/27/17		10,200			10,703
144A 10.090%, 5/3/17⁽³⁾		22,595	^BRL		5,426
MPT Operating Partnership LP (MPT Finance Corp.) 6.375%, 2/15/22		1,150			1,173
MUFG Union Bank NA
Series CD, 1.500%, 9/26/16		2,000			2,005


	PAR VALUE		VALUE
Financials—(continued)
2.625%, 9/26/18	$	2,700	$	2,727
New York Life Global Funding 144A 1.950%, 2/11/20⁽³⁾		2,855		2,800
ORIX Corp. 5.000%, 1/12/16		5,228		5,231
Phosagro OAO (Phosagro Bond Funding Ltd.) 144A 4.204%, 2/13/18⁽³⁾⁽⁵⁾		14,800		14,680
PNC Funding Corp. 5.625%, 2/1/17		3,130		3,254
Principal Life Global Funding II 144A 2.250%, 10/15/18⁽³⁾		17,580		17,667
Prudential Financial, Inc. 8.875%, 6/15/38⁽²⁾⁽⁷⁾		11,200		12,600
QBE Insurance Group Ltd. 144A 2.400%, 5/1/18⁽³⁾		7,750		7,757
Regions Bank 7.500%, 5/15/18		2,369		2,634
Royal Bank of Scotland Group plc (The) 6.400%, 10/21/19		3,130		3,473
Russian Agricultural Bank OJSC (RSHB Capital SA)
144A 5.298%, 12/27/17⁽³⁾		13,655		13,673
144A 5.100%, 7/25/18⁽³⁾⁽⁵⁾		8,750		8,663
Sabra Health Care LP 5.500%, 2/1/21		9,610		9,946
Santander Holdings USA, Inc. 2.650%, 4/17/20		7,540		7,397
SBA Telecommunications LLC (Tower Trust) 144A 2.933%, 12/15/17⁽³⁾		13,275		13,433
SBA Telecommunications LLC (Tower Trust) 144A 3.156%, 10/15/20⁽³⁾		6,050		5,952
Select Income REIT 4.150%, 2/1/22		18,910		18,149
Senior Housing Properties Trust 3.250%, 5/1/19		6,685		6,663
Shinhan Bank
144A 4.375%, 7/27/17⁽³⁾		11,700		12,109
144A 1.875%, 7/30/18⁽³⁾		1,000		998
Skandinaviska Enskilda Banken AB 144A 1.750%, 3/19/18⁽³⁾		6,775		6,739
Societe Generale S.A. 144A 3.500%, 1/15/16⁽³⁾		6,895		6,899
Springleaf Finance Corp. 5.250%, 12/15/19		8,585		8,177
State Street Corp. 4.956%, 3/15/18⁽⁷⁾		24,025		25,209
SunTrust Bank, Inc.
6.000%, 9/11/17		4,925		5,232
5.450%, 12/1/17		3,750		3,995
Svenska Handelsbanken AB 3.125%, 7/12/16		10,000		10,112
TIAA Asset Management Finance Co. LLC 144A 2.950%, 11/1/19⁽³⁾		2,850		2,857
Turkiye Garanti Bankasi AS 144A 4.750%, 10/17/19⁽³⁾		8,500		8,443
Turkiye Is Bankasi 144A 3.750%, 10/10/18⁽³⁾		12,630		12,383


	PAR VALUE		VALUE
Financials—(continued)
Turkiye Vakiflar Bankasi Tao 144A 3.750%, 4/15/18⁽³⁾	$	4,000	$	3,926
Unum Group 7.125%, 9/30/16		6,620		6,882
Ventas Realty LP (Ventas Capital Corp.)
4.000%, 4/30/19		7,100		7,383
2.700%, 4/1/20		2,948		2,907
Vnesheconombank (VEB Finance plc) 144A 4.224%, 11/21/18⁽³⁾⁽⁵⁾		16,710		16,097
Voya Financial, Inc. 2.900%, 2/15/18		12,620		12,759
VTB Bank OJSC (VTB Capital SA) 144A 6.000%, 4/12/17⁽³⁾⁽⁵⁾		6,785		6,904
Wells Fargo & Co.
(Wachovia Corp.) 5.125%, 9/15/16		5,000		5,140
(Wachovia Corp.) 5.625%, 10/15/16		2,500		2,581
Welltower, Inc. 4.125%, 4/1/19		4,100		4,277
West Europe Finance LLC 144A 3.250%, 10/5/20⁽³⁾		19,265		19,346
Willis Group Holdings plc 4.125%, 3/15/16		6,000		6,033
Willis North America, Inc. 6.200%, 3/28/17		4,960		5,217
XLIT Ltd. Series E, 2.300%, 12/15/18		9,730		9,733
Zions Bancorp 4.500%, 3/27/17		12,675		12,927

				1,261,157

Health Care—2.4%
AbbVie, Inc.
2.500%, 5/14/20		11,705		11,589
3.200%, 11/6/22		1,940		1,910
Actavis Capital S.a.r.l. (Actavis Funding) 3.000%, 3/12/20		2,825		2,823
Actavis Capital S.a.r.l. (Actavis Funding) 3.450%, 3/15/22		3,815		3,821
Alere, Inc. 6.500%, 6/15/20		6,175		5,959
Community Health Systems, Inc. 5.125%, 8/1/21		4,790		4,790
Endo Finance LLC 144A 6.000%, 7/15/23⁽³⁾		720		720
Forest Laboratories, Inc. 144A 4.375%, 2/1/19⁽³⁾		13,430		14,081
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23⁽³⁾		2,590		2,622
HCA, Inc.
3.750%, 3/15/19		9,580		9,652
6.500%, 2/15/20		19,575		21,327
inVentiv Health, Inc. 144A 9.000%, 1/15/18⁽³⁾		8,625		8,862
Mallinckrodt International Finance S.A. 144A 4.875%, 4/15/20⁽³⁾		930		900


	PAR VALUE		VALUE
Health Care—(continued)
Mylan NV 144A 3.000%, 12/15/18⁽³⁾	$	4,560	$	4,551
Owens & Minor, Inc. 3.875%, 9/15/21		2,485		2,478
Quintiles Transnational Corp. 144A 4.875%, 5/15/23⁽³⁾		4,175		4,217
Tenet Healthcare Corp.
4.750%, 6/1/20		4,650		4,696
144A 4.012%, 6/15/20⁽²⁾⁽³⁾		4,045		3,964
6.000%, 10/1/20		9,560		10,110
8.125%, 4/1/22		8,265		8,286
Valeant Pharmaceuticals International, Inc.
144A 5.375%, 3/15/20⁽³⁾		6,960		6,577
144A 5.625%, 12/1/21⁽³⁾		7,310		6,762
144A 5.875%, 5/15/23⁽³⁾		1,210		1,086
Zimmer Biomet Holdings, Inc.
2.700%, 4/1/20		12,805		12,649
3.150%, 4/1/22		12,805		12,589
Zoetis, Inc.
1.875%, 2/1/18		1,975		1,949
3.450%, 11/13/20		2,780		2,783

				171,753

Industrials—4.9%
ADT Corp. (The) 6.250%, 10/15/21		23,265		24,418
Air Canada Pass-Through-Trust, 13-1, B 144A 5.375%, 5/15/21⁽³⁾		15,612		15,748
America West Airlines Pass-Through-Trust
98-1, A 6.870%, 1/2/17		865		898
99-1, G 7.930%, 1/2/19		7,627		8,180
01-1, G 7.100%, 4/2/21		44,065		48,086
American Airlines Group, Inc. 144A 4.625%, 3/1/20⁽³⁾		1,655		1,581
American Airlines Pass-Through-Trust 14-1, B 4.375%, 10/1/22		4,276		4,260
BAE Systems Holdings, Inc. 144A 2.850%, 12/15/20⁽³⁾		4,655		4,645
Bombardier, Inc. 144A 4.750%, 4/15/19⁽³⁾		15,692		12,985
British Airways Pass-Through-Trust 13-1, B 144A 5.625%, 6/20/20⁽³⁾		11,585		12,063
Builders FirstSource, Inc. 144A 7.625%, 6/1/21⁽³⁾		8,670		9,168
Continental Airlines Pass-Through-Trust
99-1, A 6.545%, 2/2/19		9,395		9,994
09-2, A 7.250%, 11/10/19		3,403		3,835
99-2, C2 AMBC 6.236%, 3/15/20		10,964		11,677


	PAR VALUE		VALUE
Industrials—(continued)
12-1, B 6.250%, 4/11/20	$	3,640	$	3,822
00-1, A1 8.048%, 11/1/20		5,039		5,643
01-1, A1 6.703%, 6/15/21		7,402		7,698
07-1, B 6.903%, 4/19/22		6,114		6,320
Hawaiian Airlines Pass-Through Certificates 13-1, B 4.950%, 1/15/22		6,502		6,348
Lockheed Martin Corp.
1.850%, 11/23/18		2,610		2,606
2.500%, 11/23/20		4,345		4,330
Masco Corp. 5.950%, 3/15/22		20,970		22,648
Northwest Airlines Pass-Through-Trust 02-1, G2 6.264%, 11/20/21		11,782		12,275
Penske Truck Leasing Co. LP
RegS 2.500%, 6/15/19⁽⁴⁾		3,470		3,417
144A 3.375%, 2/1/22⁽³⁾		8,365		8,123
Toledo Edison Co. (The) 7.250%, 5/1/20		224		257
Transnet SOC Ltd. 144A 4.500%, 2/10/16⁽³⁾		9,000		9,019
U.S. Airways Pass-Through-Trust
12-2, C 5.450%, 6/3/18		8,180		8,231
01-1, G 7.076%, 3/20/21		15,014		16,177
UAL Pass-Through-Trust
09-2A 9.750%, 1/15/17		10,581		11,162
07-01, A 6.636%, 7/2/22		18,740		19,958
United Airlines Pass-Through Trust 15-1, B 4.750%, 4/11/22		5,041		5,035
United Rentals North America, Inc. 4.625%, 7/15/23		16,600		16,558
Virgin Australia Trust 13-1A 144A 5.000%, 10/23/23⁽³⁾		22,727		23,466

				360,631

Information Technology—0.6%
Dun & Bradstreet Corp. (The)
3.250%, 12/1/17		12,110		12,205
4.000%, 6/15/20		4,660		4,726
Fidelity National Information Services, Inc. 3.625%, 10/15/20		6,750		6,841
Hewlett Packard Enterprise Co.
144A 2.850%, 10/5/18⁽³⁾		9,690		9,686
144A 3.600%, 10/15/20⁽³⁾		1,845		1,849
Juniper Networks, Inc. 3.300%, 6/15/20		4,645		4,627
Oracle Corp. 2.500%, 5/15/22		6,545		6,428

				46,362


	PAR VALUE		VALUE
Materials—1.6%
Airgas, Inc. 3.050%, 8/1/20	$	890	$	896
Allegheny Technologies, Inc. 9.375%, 6/1/19		7,245		5,832
Ardagh Packaging Finance plc 144A 6.250%, 1/31/19⁽³⁾		2,705		2,610
Ball Corp 4.375%, 12/15/20		815		829
Cemex SAB de CV RegS 6.500%, 12/10/19⁽⁴⁾		9,800		9,482
CRH America, Inc. 8.125%, 7/15/18		4,770		5,427
EuroChem Mineral & Chemical Co. OJSC 144A 5.125%, 12/12/17⁽³⁾⁽⁵⁾		11,920		11,992
Freeport-McMoRan Copper & Gold, Inc. 2.375%, 3/15/18		4,500		3,510
Gerdau Trade, Inc.144A 5.750%, 1/30/21⁽³⁾		1,700		1,347
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽³⁾		8,330		7,455
Hexion U.S. Finance Corp. 6.625%, 4/15/20		12,240		9,639
Huntsman International LLC 4.875%, 11/15/20		3,910		3,587
INEOS Group Holdings SA 144A 5.875%, 2/15/19⁽³⁾		5,870		5,716
Packaging Corp. of America 3.900%, 6/15/22		7,215		7,338
Reynolds Group Issuer, Inc.
5.750%, 10/15/20		12,945		13,200
8.250%, 2/15/21		3,120		3,019
Severstal OAO (Steel Capital SA) 144A 6.700%, 10/25/17⁽³⁾⁽⁵⁾		5,975		6,260
Tronox Finance LLC 6.375%, 8/15/20		9,405		5,707
Union Andina de Cementos SAA 144A 5.875%, 10/30/21⁽³⁾		1,690		1,635
Vedanta Resources plc 144A 6.000%, 1/31/19⁽³⁾		17,325		11,052

				116,533

Telecommunication Services—1.6%
AT&T, Inc. 5.800%, 2/15/19		11,000		12,138
CenturyLink, Inc. Series V 5.625%, 4/1/20		12,735		12,639
Crown Castle Towers LLC
144A 5.495%, 1/15/17⁽³⁾		5,915		5,996
144A 3.222%, 5/15/22⁽³⁾		3,000		2,960
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		15,680		13,014
Frontier Communications Corp.
7.125%, 3/15/19		12,200		12,260
144A 8.875%, 9/15/20⁽³⁾		3,380		3,431
144A 10.500%, 9/15/22⁽³⁾		3,650		3,636
Sprint Corp. 7.250%, 9/15/21		4,080		3,050
T-Mobile USA, Inc.
6.464%, 4/28/19		7,630		7,876


	PAR VALUE		VALUE
Telecommunication Services—(continued)
6.542%, 4/28/20	$	7,905	$	8,261
Telefonica Emisiones SAU 3.192%, 4/27/18		2,805		2,860
Verizon Communications, Inc.
2.500%, 9/15/16		4,044		4,076
3.650%, 9/14/18		13,800		14,433
Windstream Corp. 7.750%, 10/15/20		12,125		10,261

				116,891

Utilities—1.4%
AmeriGas Partners LP
6.750%, 5/20/20		3,374		3,298
7.000%, 5/20/22		9,275		9,020
Calpine Corp. 5.375%, 1/15/23		7,275		6,565
Exelon Corp. 2.850%, 6/15/20		18,845		18,747
Israel Electric Corp. Ltd. 144A 5.625%, 6/21/18⁽³⁾		14,735		15,591
Korea Western Power Co., Ltd. 144A 3.125%, 5/10/17⁽³⁾		9,800		9,945
Majapahit Holding BV 144A 7.750%, 1/20/20⁽³⁾		8,800		9,867
PPL WEM Holdings plc 144A 3.900%, 5/1/16⁽³⁾		5,495		5,517
State Grid Overseas Investment Ltd.
144A 1.750%, 5/22/18⁽³⁾		5,000		4,957
144A 2.750%, 5/7/19⁽³⁾		9,370		9,468
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		12,340		9,317

				102,292

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $2,793,565)				2,665,714

LOAN AGREEMENTS⁽²⁾—13.8%
Consumer Discretionary—3.9%
Allison Transmission Tranche B-3, 3.500%, 8/23/19		2,092		2,082
Altice U.S. Finance I Corp. 4.000%, 12/14/22		12,902		12,660
Aristocrat Leisure Ltd. 4.750%, 10/20/21		8,772		8,751
Boyd Gaming Corp. Tranche B, 4.000%, 8/14/20		6,141		6,121
Caesars Entertainment Operating Co., Inc.
Tranche B-4, 11.500%, 10/31/16⁽¹⁰⁾		3,616		3,289
Tranche B-6, 9.750%, 3/1/17⁽¹⁰⁾		3,861		3,446
Tranche B-7, 11.751%, 1/28/18⁽¹⁰⁾		1,741		1,457
Caesars Entertainment Resort Properties LLC Tranche B, 7.000%, 10/11/20		7,840		7,159
Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21		4,285		3,781


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
CCO Safari LLC (Charter Communications Operating LLC)
Tranche E, 3.000%, 7/1/20	$	9,338	$	9,188
Tranche F, 3.000%, 1/3/21		14,343		14,088
Tranche H, 3.250%, 8/24/21		3,221		3,200
Tranche I, 3.500%, 1/24/23		2,879		2,880
Cirque Du Soleil First Lien, 5.000%, 7/8/22		5,722		5,412
CityCenter Holdings LLC Tranche B, 4.250%, 10/16/20		9,675		9,622
CSC Holdings, Inc.
Tranche B, 2.924%, 4/17/20		5,259		5,249
5.000%, 10/9/22		16,748		16,753
Delta 2 (Lux) S.a.r.l. Tranche B-3, 4.750%, 7/30/21		9,421		9,138
El Dorado Resorts, Inc. 4.250%, 7/25/22		2,764		2,748
Hanesbrands, Inc. Tranche B, 3.250%, 4/29/22		938		942
Hilton Worldwide Finance LLC 3.500%, 10/26/20		12,775		12,768
Intelsat Jackson Holdings S.A. Tranche B-2, 3.750%, 6/30/19		12,912		12,243
Jarden Corp.
Tranche B-1, 3.174%, 9/30/20		675		675
Tranche B-2 3.174%, 7/30/22		4,733		4,734
Las Vegas Sands LLC Tranche B, 3.250%, 12/19/20		12,560		12,455
Libbey Glass, Inc. 3.750%, 4/9/21		5,873		5,792
MGM Resort International Tranche B 3.500%, 12/20/19		7,044		6,962
PetSmart, Inc. Tranche B-1 4.250%, 3/11/22		17,596		17,176
PVH Corp. Tranche B 3.250%, 2/13/20		8,551		8,612
Scientific Games International, Inc.
6.000%, 10/18/20		2,785		2,557
Tranche B-2, 6.000%, 10/1/21		3,392		3,103
Seminole Tribe of Florida, Inc. 3.000%, 4/29/20		12,879		12,825
ServiceMaster Co. LLC (The) 4.250%, 7/1/21		8,398		8,322
Sinclair Television Group, Inc. Tranche B-1, 3.500%, 7/30/21		11,602		11,549
Six Flags Theme Parks, Inc. Tranche B, 3.500%, 6/30/22		5,776		5,776
SRAM LLC First Lien, 4.000%, 4/10/20		1,836		1,528
Staples, Inc. First Lien, 0.000%, 4/23/21⁽⁸⁾		10,659		10,561
Station Casinos LLC Tranche B, 4.250%, 3/2/20		11,358		11,156
TI Group Auto Systems LLC 4.500%, 6/30/22		1,030		1,010


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Tribune Media Co. Tranche B, 3.750%, 12/27/20	$	8,965	$	8,853

				286,623

Consumer Staples—1.6%
Albertson’s LLC Tranche B-4, 5.500%, 8/25/21		16,077		15,968
ARAMARK Corp.
Tranche E, 3.250%, 9/7/19		16,976		16,966
Tranche F, 3.250%, 2/24/21		14,595		14,479
Charger OpCo B.V. (Oak Tea, Inc.) Tranche B-1, 4.250%, 7/2/22		3,671		3,662
Coty, Inc.
0.000%, 10/21/22⁽⁸⁾		5,523		5,492
3.750%, 10/27/22		2,761		2,747
Hostess Brands LLC Tranche B, First Lien, 4.500%, 8/3/22		13,699		13,665
Kronos Acquisition Intermediate, Inc. (KIK Custom Products, Inc.)
First Lien, 4.500%, 10/30/19		22,178		21,873
Second Lien, 9.750%, 4/30/20		9,705		9,693
Prestige Brands, Inc. Tranche B-3, 3.500%, 9/3/21		1,406		1,401
Rite Aid Corp. Tranche 2, Second Lien, 4.875%, 6/21/21		10,688		10,681
Spectrum Brands, Inc. 3.500%, 6/23/22		2,229		2,226

				118,853

Energy—0.2%
Arch Coal, Inc. 6.250%, 5/16/18		16,253		7,327
EP Energy LLC (Everest Acquisition LLC)
Tranche B-3, 3.500%, 5/24/18		4,100		3,229
Tranche B-2, 4.500%, 4/30/19		768		605
Paragon Offshore Finance Co. 3.750%, 7/16/21		9,933		2,617
Seadrill Operating LP 4.000%, 2/21/21		8,883		3,746

				17,524

Financials—1.1%
Asurion LLC
Tranche B-1, 5.000%, 5/24/19		4,761		4,474
Tranche B-4, 5.000%, 8/4/22		6,320		5,796
Capital Automotive LP
Tranche B-1, 4.000%, 4/10/19		3,530		3,532
Second Lien, 6.000%, 4/30/20		6,047		6,067
Clipper Acquisitions Corp. Tranche B, 3.000%, 2/6/20		6,188		6,039
Delos Finance S.a.r.l 3.500%, 3/6/21		21,956		21,915


	PAR VALUE		VALUE
Financials—(continued)
iStar Financial, Inc. Tranche A-2, 7.000%, 3/19/17	$	2,891	$	2,891
Realogy Corp. Tranche B, 3.750%, 3/5/20		17,559		17,463
TransUnion LLC Tranche B-2, 3.500%, 4/9/21		12,148		11,829

				80,006

Health Care—1.5%
Alere, Inc. Tranche B, 4.250%, 6/20/22		4,831		4,798
American Renal Holdings, Inc. Tranche B, First Lien, 4.500%, 8/20/19		9,017		8,882
AmSurg Corp. 3.500%, 7/16/21		2,558		2,540
CHG Healthcare Services, Inc. First Lien, 4.250%, 11/19/19		7,902		7,783
Community Health Systems, Inc. (CHS) Tranche F, 3.657%, 12/31/18		8,940		8,838
Concentra, Inc. First Lien, Tranche B 5.500%, 6/1/22		454		452
Convatec, Inc. 4.250%, 6/15/20		326		322
DaVita HealthCare Partners, Inc. Tranche B, 3.500%, 6/24/21		3,868		3,860
Emdeon, Inc. Tranche B-2, 3.750%, 11/2/18		5,263		5,182
Endo Luxembourg Finance Co. I S.a.r.l. Tranche B, 3.750%, 9/26/22		5,571		5,508
Envision Healthcare Corp. (F/K/A Emergency Medical Services Corp.) 4.250%, 5/25/18		6,592		6,562
Tranche B-2, 4.500%, 10/28/22		1,087		1,082
Iasis Healthcare LLC Tranche B-2, 4.500%, 5/3/18		3,766		3,706
InVentiv Health, Inc. Tranche B-4, 7.750%, 5/15/18		8,750		8,728
Kinetic Concepts, Inc.
Tranche E-2, 4.000%, 11/4/16		6,585		6,479
Tranche E-1, 4.500%, 5/4/18		1,553		1,502
Mallinckrodt International Finance S.A. Tranche B-1, 3.500%, 3/19/21		1,634		1,600
Quintiles Transnational Corp. Tranche B, 3.250%, 5/12/22		2,465		2,464
RPI Finance Trust Tranche B-4, 3.500%, 11/9/20		5,907		5,894
Surgery Center Holdings, Inc. First Lien, 5.250%, 11/3/20		1,416		1,403
Team Health, Inc. 4.500%, 11/23/22		7,628		7,616
U.S. Renal Care, Inc. 0.000%, 11/17/22⁽⁸⁾		6,393		6,353


	PAR VALUE		VALUE
Health Care—(continued)
Valeant Pharmaceuticals International, Inc. Series D-2, Tranche B, 3.500%, 2/13/19	$	12,168	$	11,766

				113,320

Industrials—1.7%
MRC Global, Inc. (McJunkin Red Man Corp.) 4.750%, 11/8/19		595		557
American Airlines, Inc.
3.250%, 6/27/20		35,214		34,754
3.500%, 10/10/21		10,886		10,798
AWAS Finance Luxembourg SA 3.500%, 7/16/18		7,242		7,236
Brock Holdings III, Inc. First Lien, 6.000%, 3/16/17		8,121		7,593
DynCorp International, Inc. 6.250%, 7/7/16		9,906		9,491
Husky Injection Molding Systems Ltd. 4.250%, 6/30/21		5,225		5,036
Nortek, Inc. Incremental-1, 3.500%, 10/30/20		9,609		9,414
U.S. Airways, Inc. Tranche B-1, 3.500%, 5/23/19		21,868		21,683
United Airlines, Inc. (Continental Airlines, Inc.) Tranche B-1, 3.500%, 9/15/21		4,757		4,745
Waste Industries USA, Inc. 4.250%, 2/27/20		9,874		9,874

				121,181

Information Technology—2.2%
Activision Blizzard, Inc. 3.250%, 10/13/20		9,842		9,841
Applied Systems, Inc. Second Lien, 7.500%, 1/24/22		1,186		1,103
Avago Technologies Cayman Ltd. 3.750%, 5/6/21		17,235		17,210
Blue Coat Systems, Inc. 4.500%, 5/20/22		5,418		5,251
CCC Information Services 4.000%, 12/20/19		5,767		5,678
Deltek, Inc. First Lien 5.000%, 6/25/22		508		503
Equinix, Inc. 0.000%, 12/7/22		813		817
First Data Corp.
3.918%, 3/23/18		44,210		43,710
4.168%, 7/8/22		9,652		9,528
Infinity Acquisition Ltd. 4.000%, 8/6/21		6,064		5,843
Mitchell International, Inc.
4.500%, 10/13/20		5,019		4,773
Second Lien, 8.500%, 10/11/21		18,376		17,626
NXP BV (NXP Funding LLC) 3.750%, 12/7/20		12,647		12,619
Presidio, Inc. 5.250%, 2/2/22		8,505		8,319
Riverbed Technologies, Inc. 6.000%, 4/25/22		5,792		5,778
SS&C Technologies Holdings Europe S.a.r.l.
Tranche A-1, 3.357%, 7/8/20		883		880


	PAR VALUE		VALUE
Information Technology—(continued)
Tranche A-2, 3.357%, 7/8/20	$	1,369	$	1,366
Tranche B-1, 4.000%, 7/8/22		5,708		5,676
Tranche B-2, 4.083%, 7/8/22		840		835

				157,356

Materials—0.6%
AZ Chem US, Inc. First Lien, 6.000%, 6/11/21		2,530		2,525
Berry Plastics Groups, Inc. 4.000%, 10/3/22		8,513		8,454
CPI Acquisition, Inc. First Lien, 5.500%, 8/17/22		8,621		8,540
Fairmount Minerals Ltd. Tranche B-2, 4.500%, 9/5/19		3,811		1,902
Fortescue Metals Group (FMG) Resources Property Ltd. 4.250%, 6/30/19		13,203		9,857
INEOS U.S. Finance LLC 4.250%, 3/31/22		5,726		5,537
Owens-Illinois Tranche B, 3.500%, 9/1/22		1,995		1,992
Polyone Corp. 3.750%, 11/11/22		4,898		4,909

				43,716

Telecommunication Services—0.4%
Global Tel*Link Corp. First Lien, 5.000%, 5/23/20		9,013		6,630
Level 3 Financing, Inc.
Tranche B-III, 4.000%, 8/1/19		6,319		6,318
Tranche B-II, 3.500%, 5/31/22		5,842		5,762
T-Mobile USA, Inc. Second Lien, 3.500%, 11/9/22		8,802		8,813

				27,523

Utilities—0.6%
Atlantic Power LP 4.750%, 2/24/21		2,442		2,432
Calpine Construction Finance Co. LP Tranche B-1, 3.000%, 5/3/20		8,321		7,874
Granite Acquisition, Inc.
Tranche B, First Lien, 5.000%, 12/17/21		4,407		3,963
Tranche C, First Lien, 5.000%, 12/17/21		155		139
NRG Energy, Inc. 2.750%, 7/1/18		17,853		17,418
State of Santa Catarina (The) 4.000%, 12/27/22		13,262		11,047
Texas Competitive Electric Holdings Co. LLC Tranche B-3 4.726%, 10/10/17⁽¹¹⁾		5,925		1,858

				44,731

TOTAL LOAN AGREEMENTS (Identified Cost $1,060,315)				1,010,833


	PAR VALUE			VALUE
PREFERRED STOCKS—0.8%
Energy—0.1%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		8,645	⁽⁹⁾	$	8,422

Financials—0.7%
Banco Bilbao Vizcaya Argentaria S.A. International S.A. Unipersonal 5.919%⁽²⁾		2,295	⁽⁹⁾		2,318
Bank of New York Mellon Corp. (The) Series E, 4.950%⁽²⁾		12,070	⁽⁹⁾		11,828
JPMorgan Chase & Co. Series V, 5.000%⁽²⁾		4,395	⁽⁹⁾		4,175
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾⁽⁷⁾		3,985	⁽⁹⁾		3,980
Wells Fargo & Co. Series K, 7.980%⁽²⁾		16,155	⁽⁹⁾		16,781
XLIT Ltd. Series E, 6.50%⁽²⁾		12,790	⁽⁹⁾		9,289

					48,371

TOTAL PREFERRED STOCKS (Identified Cost $61,284)					56,793

AFFILIATED MUTUAL FUND—0.9%
Virtus Credit Opportunities Fund⁽¹²⁾		6,989,143			67,585

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $69,865)					67,585

TOTAL LONG TERM INVESTMENTS—99.3% (Identified Cost $7,463,698)					7,259,257

TOTAL INVESTMENTS—99.3% (Identified Cost $7,463,698)					7,259,257	⁽¹⁾
Other assets and liabilities, net—0.7%					54,001

NET ASSETS—100.0%				$	7,313,258

Abbreviations:


FDIC		Federal Deposit Insurance Corporation
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, 2015, 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, 2015.

⁽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, 2015, these securities amounted to a value of $2,696,760 or 36.9% 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.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.

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—98.9%
Real Estate Investment Trusts—98.9%
DIVERSIFIED—1.7%
American Homes 4 Rent Class A		1,329,800	$	22,154

HEALTH CARE—2.5%
Ventas, Inc.		532,961		30,075
Welltower, Inc.		31,341		2,132

				32,207

INDUSTRIAL/OFFICE—29.8%
Industrial—8.1%
DCT Industrial Trust, Inc.		1,470,903		54,968
Prologis, Inc.		1,203,002		51,633

				106,601

Mixed—4.3%
Duke Realty Corp.		1,030,952		21,671
Liberty Property Trust		1,102,466		34,231

				55,902

Office—17.4%
Boston Properties, Inc.		342,883		43,731
Cousins Properties, Inc.		2,440,850		23,017
Douglas Emmett, Inc.		1,117,829		34,854
Highwoods Properties, Inc.		702,942		30,648
Kilroy Realty Corp.		818,942		51,823
Paramount Group, Inc.		1,594,136		28,854
SL Green Realty Corp.		127,277		14,380

				227,307

Total Industrial / Office				389,810

LODGING/RESORTS—9.3%
Host Hotels & Resorts, Inc.		2,533,336		38,862
LaSalle Hotel Properties		1,059,147		26,648
Pebblebrook Hotel Trust		1,018,713		28,544
RLJ Lodging Trust		1,292,700		27,961

				122,015

RESIDENTIAL—21.8%
Apartments—20.4%
American Campus Communities, Inc.		584,617		24,168
AvalonBay Communities, Inc.		346,690		63,836
Camden Property Trust		332,686		25,537
Equity Residential		946,945		77,261


	SHARES		VALUE
Real Estate Investment Trusts—(continued)
Essex Property Trust, Inc.		318,040	$	76,142

				266,944

Manufactured Homes—1.4%
Equity Lifestyle Properties, Inc.		264,953		17,665

Total Residential				284,609

RETAIL—24.8%
Regional Malls—12.9%
General Growth Properties, Inc.		1,812,475		49,318
Macerich Co. (The)		37,675		3,040
Simon Property Group, Inc.		599,241		116,516

				168,874

Shopping Centers—11.9%
Brixmor Property Group, Inc.		1,152,396		29,755
Federal Realty Investment Trust		327,200		47,804
Regency Centers Corp.		539,600		36,757
Tanger Factory Outlet Centers		1,264,700		41,356

				155,672

Total Retail				324,546

SELF STORAGE—8.3%
CubeSmart		519,550		15,909
Extra Space Storage, Inc.		379,183		33,448
Public Storage		240,620		59,601

				108,958
DATA CENTERS—0.7%
Digital Realty Trust, Inc.		111,550		8,435

TOTAL COMMON STOCKS (Identified Cost $815,995)				1,292,734

TOTAL LONG TERM INVESTMENTS—98.9% (Identified cost $815,995)				1,292,734

TOTAL INVESTMENTS—98.9% (Identified Cost $815,995)				1,292,734	⁽¹⁾
Other assets and liabilities, net—1.1%				14,333

NET ASSETS—100.0%			$	1,307,067

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015 (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, 2015.


	SHARES		VALUE
COMMON STOCK—101.0%
Consumer Discretionary—21.0%
Advance Auto Parts, Inc.		3,200	$	482
Amazon.com, Inc.⁽²⁾		15,370		10,388
AutoNation, Inc.⁽²⁾		3,060		183
AutoZone, Inc.⁽²⁾		1,240		920
Bed Bath & Beyond, Inc.⁽²⁾		6,880		332
Best Buy Co., Inc.		13,170		401
BorgWarner, Inc.		9,110		394
Cablevision Systems Corp. Class A		9,300		297
CarMax, Inc.⁽²⁾		8,600		464
Carnival Corp.		17,620		960
CBS Corp. Class B		17,410		821
Chipotle Mexican Grill, Inc.⁽²⁾		1,190		571
Coach, Inc.		11,280		369
Comcast Corp. Class A		98,250		5,544
Darden Restaurants, Inc.		5,110		325
Delphi Automotive plc		11,130		954
Discovery Communications, Inc. Class A⁽²⁾		4,750		127
Discovery Communications, Inc. Class C⁽²⁾		9,950		251
Dollar General Corp.		12,270		882
Dollar Tree, Inc.⁽²⁾		9,380		724
Expedia, Inc.		4,160		517
Ford Motor Co.		157,270		2,216
Fossil Group, Inc.⁽²⁾		1,900		69
GameStop Corp. Class A		4,550		128
Gap, Inc. (The)		9,420		233
Garmin Ltd.		3,950		147
General Motors Co.		57,100		1,942
Genuine Parts Co.		5,990		515
Goodyear Tire & Rubber Co. (The)		9,980		326
H&R Block, Inc.		9,260		308
Hanesbrands, Inc.		15,500		456
Harley-Davidson, Inc.		7,830		355
Harman International Industries, Inc.		2,890		272
Hasbro, Inc.		4,490		302
Home Depot, Inc. (The)		50,750		6,712
Horton (D.R.), Inc.		12,120		388
Interpublic Group of Cos., Inc. (The)		16,740		390
Johnson Controls, Inc.		25,560		1,009
Kohl’s Corp.		8,260		393
L Brands, Inc.		10,360		993
Leggett & Platt, Inc.		5,350		225
Lennar Corp. Class A		6,670		326


	SHARES		VALUE
Consumer Discretionary—(continued)
Lowe’s Cos., Inc.		36,740	$	2,794
Macy’s, Inc.		12,420		434
Marriott International, Inc. Class A		8,050		540
Mattel, Inc.		14,070		382
McDonald’s Corp.		36,980		4,369
Michael Kors Holdings Ltd.		8,240		330
Mohawk Industries, Inc.⁽²⁾		2,550		483
Netflix, Inc.⁽²⁾		17,350		1,985
Newell Rubbermaid, Inc.		11,010		485
News Corp. Class A		13,660		183
News Corp. Class B		3,390		47
NIKE, Inc. Class B		54,320		3,395
Nordstrom, Inc.		5,790		288
O’Reilly Automotive, Inc.⁽²⁾		3,940		998
Omnicom Group, Inc.		9,300		704
Phillips-Van Heusen Corp.		3,220		237
Priceline Group, Inc. (The)⁽²⁾		2,020		2,575
PulteGroup, Inc.		12,710		227
Ralph Lauren Corp.		2,710		302
Ross Stores, Inc.		16,300		877
Royal Caribbean Cruises Ltd.		7,190		728
Scripps Networks Interactive, Inc. Class A		3,430		189
Signet Jewelers Ltd.		3,120		386
Staples, Inc.		28,060		266
Starbucks Corp.		59,920		3,597
Starwood Hotels & Resorts Worldwide, Inc.		7,420		514
Target Corp.		25,100		1,823
TEGNA, Inc.		8,770		224
Tiffany & Co.		4,540		346
Time Warner Cable, Inc.		11,280		2,093
Time Warner, Inc.		32,320		2,090
TJX Cos., Inc. (The)		27,590		1,956
Tractor Supply Co.		5,380		460
TripAdvisor, Inc.⁽²⁾		4,030		344
Twenty-First Century Fox, Inc. Class A		47,000		1,277
Twenty-First Century Fox, Inc. Class B		16,000		436
Under Armour, Inc. Class A⁽²⁾		7,570		610
Urban Outfitters, Inc.⁽²⁾		3,670		84
VF Corp.		14,390		896
Viacom, Inc. Class B		13,850		570
Walt Disney Co. (The)		62,230		6,539
Whirlpool Corp.		3,050		448
Wyndham Worldwide Corp.		5,030		365


	SHARES		VALUE
Consumer Discretionary—(continued)
Wynn Resorts Ltd.		3,860	$	267
Yum! Brands, Inc.		16,840		1,230

				92,984

Consumer Staples—21.4%
Altria Group, Inc.		92,660		5,394
Archer-Daniels-Midland Co.		33,040		1,212
Brown-Forman Corp. Class B		6,370		632
Campbell Soup Co.		11,790		620
Church & Dwight Co., Inc.		6,690		568
Clorox Co. (The)		7,790		988
Coca-Cola Co. (The)		203,120		8,726
Coca-Cola Enterprises, Inc.		13,250		652
Colgate-Palmolive Co.		49,380		3,290
ConAgra Foods, Inc.		25,800		1,088
Constellation Brands, Inc. Class A		13,340		1,900
Costco Wholesale Corp.		23,930		3,865
CVS Health Corp.		58,710		5,740
Dr. Pepper Snapple Group, Inc.		11,890		1,108
Estee Lauder Cos., Inc. (The) Class A		13,190		1,161
General Mills, Inc.		32,860		1,895
Hershey Co. (The)		9,060		809
Hormel Foods Corp.		9,830		777
J.M. Smucker Co. (The)		7,200		888
Kellogg Co.		15,100		1,091
Keurig Green Mountain, Inc.		5,980		538
Kimberly-Clark Corp.		19,880		2,531
Kraft Heinz Co.(The)		31,380		2,283
Kroger Co. (The)		58,170		2,433
McCormick & Co., Inc.		7,370		631
Mead Johnson Nutrition Co.		11,720		925
Molson Coors Brewing Co. Class B		10,360		973
Mondelez International, Inc. Class A		79,090		3,546
Monster Beverage Corp.⁽²⁾		9,040		1,347
PepsiCo, Inc.		43,530		4,349
Philip Morris International, Inc.		81,370		7,153
Procter & Gamble Co. (The)		142,890		11,347
Reynolds American, Inc.		46,970		2,168
SYSCO Corp.		31,170		1,278
Tyson Foods, Inc. Class A		20,190		1,077
Wal-Mart Stores, Inc.		81,440		4,992
Walgreens Boots Alliance, Inc.		48,120		4,098
Whole Foods Market, Inc.		19,490		653

				94,726


	SHARES		VALUE
Financials—14.0%
ACE Ltd.		6,880	$	804
Affiliated Managers Group, Inc.⁽²⁾		1,150		184
Aflac, Inc.		9,070		543
Allstate Corp. (The)		8,220		510
American Express Co.		17,840		1,241
American International Group, Inc.		26,340		1,632
American Tower Corp.		8,970		870
Ameriprise Financial, Inc.		3,700		394
AON plc		5,820		537
Apartment Investment & Management Co. Class A		3,340		134
Assurant, Inc.		1,400		113
AvalonBay Communities, Inc.		2,920		538
Bank of America Corp.		221,480		3,728
Bank of New York Mellon Corp. (The)		23,360		963
BB&T Corp.		16,590		627
Berkshire Hathaway, Inc. Class B⁽²⁾		39,880		5,266
BlackRock, Inc.		2,690		916
Boston Properties, Inc.		3,270		417
Capital One Financial Corp.		11,310		816
CBRE Group, Inc. Class A⁽²⁾		6,190		214
Charles Schwab Corp. (The)		25,470		839
Chubb Corp. (The)		4,830		641
Cincinnati Financial Corp.		3,120		185
Citigroup, Inc.		63,410		3,281
CME Group, Inc.		7,200		652
Comerica, Inc.		3,770		158
Crown Castle International Corp.		7,120		616
Discover Financial Services		9,110		488
E*Trade Financial Corp.⁽²⁾		6,260		186
Equity Residential		7,790		636
Essex Property Trust, Inc.		1,400		335
Fifth Third Bancorp		16,950		341
Franklin Resources, Inc.		8,090		298
General Growth Properties, Inc.		12,420		338
Goldman Sachs Group, Inc. (The)		8,450		1,523
Hartford Financial Services Group, Inc. (The)		8,750		380
HCP REIT, Inc.		9,940		380
Host Hotels & Resorts, Inc.		15,790		242
Huntington Bancshares, Inc.		16,930		187
Intercontinental Exchange, Inc.		2,520		646
Invesco Ltd.		9,070		304
Iron Mountain, Inc.		4,070		110
JPMorgan Chase & Co.		78,350		5,173


	SHARES		VALUE
Financials—(continued)
KeyCorp		17,830	$	235
Kimco Realty Corp.		8,820		233
Legg Mason, Inc.		2,300		90
Leucadia National Corp.		7,150		124
Lincoln National Corp.		5,260		264
Loews Corp.		5,960		229
M&T Bank Corp.		3,400		412
Macerich Co. (The)		2,870		232
Marsh & McLennan Cos., Inc.		11,110		616
McGraw-Hill Cos., Inc. (The)		5,740		566
MetLife, Inc.		23,610		1,138
Moody’s Corp.		3,670		368
Morgan Stanley		32,040		1,019
NASDAQ OMX Group, Inc. (The)		2,430		141
Navient Corp.		7,770		89
Northern Trust Corp.		4,620		333
People’s United Financial, Inc.		6,590		106
Plum Creek Timber Co., Inc.		3,670		175
PNC Financial Services Group, Inc. (The)		10,810		1,030
Principal Financial Group, Inc.		5,780		260
Progressive Corp. (The)		12,390		394
Prologis REIT, Inc.		11,140		478
Prudential Financial, Inc.		9,540		777
Public Storage		3,130		775
Realty Income Corp.		5,320		275
Regions Financial Corp.		27,830		267
Simon Property Group, Inc.		6,580		1,279
SL Green Realty Corp.		2,110		238
State Street Corp.		8,620		572
SunTrust Banks, Inc.		10,850		465
Synchrony Financial⁽²⁾		17,790		541
T. Rowe Price Group, Inc.		5,370		384
Torchmark Corp.		2,440		139
Travelers Cos., Inc. (The)		6,460		729
U.S. Bancorp		35,050		1,496
Unum Group		5,190		173
Ventas, Inc.		7,100		401
Vornado Realty Trust		3,760		376
Wells Fargo & Co.		98,770		5,369
Weyerhaeuser Co.		10,800		324
XL Group plc		6,300		247
Zions Bancorp		4,340		118

				61,863


	SHARES		VALUE
Health Care—19.5%
Abbott Laboratories		39,630	$	1,780
AbbVie, Inc.		51,210		3,034
Aetna, Inc.		11,240		1,215
Agilent Technologies, Inc.		10,430		436
Alexion Pharmaceuticals, Inc.⁽²⁾		7,070		1,349
Allergan plc⁽²⁾		13,030		4,072
AmerisourceBergen Corp.		6,320		656
Amgen, Inc.		23,610		3,833
Anthem, Inc.		8,380		1,169
Bard (C.R.), Inc.		2,480		470
Baxalta, Inc.		16,980		663
Baxter International, Inc.		17,450		666
Becton, Dickinson & Co.		6,770		1,043
Biogen, Inc.⁽²⁾		7,130		2,184
Boston Scientific Corp.⁽²⁾		42,640		786
Bristol-Myers Squibb Co.		52,480		3,610
Cardinal Health, Inc.		10,380		927
Celgene Corp.⁽²⁾		24,580		2,944
Cerner Corp.⁽²⁾		9,530		573
Cigna Corp.		8,340		1,220
DaVita HealthCare Partners, Inc.⁽²⁾		5,170		360
DENTSPLY International, Inc.		4,350		265
Edwards Lifesciences Corp.⁽²⁾		6,750		533
Eli Lilly & Co.		30,620		2,580
Endo International plc		6,490		397
Express Scripts Holding Co.⁽²⁾		22,280		1,948
Gilead Sciences, Inc.		45,170		4,571
HCA Holdings, Inc.⁽²⁾		9,830		665
Henry Schein, Inc.⁽²⁾		2,580		408
Humana, Inc.		5,010		894
Illumina, Inc.⁽²⁾		4,550		873
Intuitive Surgical, Inc.⁽²⁾		1,170		639
Johnson & Johnson		86,690		8,905
Laboratory Corporation of America Holdings⁽²⁾		3,190		394
Mallinckrodt plc		3,630		271
McKesson Corp.		7,420		1,463
Medtronic plc		44,280		3,406
Merck & Co., Inc.		87,470		4,620
Mylan NV		12,950		700
Patterson Cos., Inc.		2,650		120
PerkinElmer, Inc.		3,510		188
Perrigo Co. plc		4,570		661
Pfizer, Inc.		193,330		6,241
Quest Diagnostics, Inc.		4,680		333


	SHARES		VALUE
Health Care—(continued)
Regeneron Pharmaceuticals, Inc.⁽²⁾		2,430	$	1,319
St. Jude Medical, Inc.		9,150		565
Stryker Corp.		10,060		935
Tenet Healthcare Corp.⁽²⁾		3,130		95
Thermo Fisher Scientific, Inc.		12,490		1,772
UnitedHealth Group, Inc.		30,100		3,541
Universal Health Services, Inc. Class B		2,870		343
Varian Medical Systems, Inc.⁽²⁾		3,070		248
Vertex Pharmaceuticals, Inc.⁽²⁾		7,710		970
Waters Corp.⁽²⁾		2,540		342
Welltower, Inc.		7,530		512
Zimmer Biomet Holdings, Inc.		5,470		561
Zoetis, Inc.		14,290		685

				85,953

Information Technology—18.8%
Accenture plc Class A		13,490		1,410
Activision Blizzard, Inc.		10,390		402
Adobe Systems, Inc.⁽²⁾		11,080		1,041
Akamai Technologies, Inc.⁽²⁾		4,910		258
Alliance Data Systems Corp.⁽²⁾		1,360		376
Alphabet, Inc. Class A⁽²⁾		6,440		5,010
Alphabet, Inc. Class C⁽²⁾		6,570		4,986
Amphenol Corp. Class A		7,080		370
Analog Devices, Inc.		7,300		404
Apple, Inc.		124,540		13,109
Applied Materials, Inc.		23,820		445
Autodesk, Inc.⁽²⁾		5,500		335
Automatic Data Processing, Inc.		10,650		902
Avago Technologies Ltd.		5,840		848
Broadcom Corp. Class A		12,880		745
CA, Inc.		6,820		195
Cisco Systems, Inc.		112,590		3,057
Citrix Systems, Inc.⁽²⁾		3,890		294
Cognizant Technology Solutions Corp. Class A⁽²⁾		14,840		891
Corning, Inc.		27,880		510
CSRA, Inc.		2,760		83
eBay, Inc.⁽²⁾		25,270		694
Electronic Arts, Inc.⁽²⁾		7,620		524
EMC Corp.		44,130		1,133
Equinix, Inc.		1,310		396
F5 Networks, Inc.⁽²⁾		1,390		135
Facebook, Inc. Class A⁽²⁾		50,210		5,255
Fidelity National Information Services, Inc.		6,600		400


	SHARES		VALUE
Information Technology—(continued)
First Solar, Inc.⁽²⁾		1,800	$	119
Fiserv, Inc.⁽²⁾		5,510		504
FLIR Systems, Inc.		3,280		92
Harris Corp.		2,930		255
Hewlett Packard Co., Inc.⁽²⁾		31,830		377
Hewlett Packard Enterprise Co.		35,680		542
Intel Corp.		90,600		3,121
International Business Machines Corp.		19,740		2,717
Intuit, Inc.		6,480		625
Juniper Networks, Inc.		8,060		222
KLA-Tencor Corp.		3,610		250
Lam Research Corp.		3,090		245
Linear Technology Corp.		5,360		228
MasterCard, Inc. Class A		22,610		2,201
Microchip Technology, Inc.		5,170		241
Micron Technology, Inc.⁽²⁾		24,130		342
Microsoft Corp.		178,630		9,910
Motorola Solutions, Inc.		3,330		228
NetApp, Inc.		7,620		202
NVIDIA Corp.		12,480		411
Oracle Corp.		71,380		2,608
Paychex, Inc.		7,160		379
PayPal Holdings, Inc.⁽²⁾		24,210		876
Qorvo Inc⁽²⁾		3,510		179
QUALCOMM, Inc.		33,230		1,661
Red Hat, Inc.⁽²⁾		4,170		345
salesforce.com, Inc.⁽²⁾		14,320		1,123
SanDisk Corp.		5,140		391
Seagate Technology plc		6,790		249
Skyworks Solutions, Inc.		4,300		330
Symantec Corp.		16,860		354
TE Connectivity Ltd.		8,670		560
Teradata Corp.⁽²⁾		3,420		90
Texas Instruments, Inc.		22,670		1,243
Total System Services, Inc.		4,450		222
VeriSign, Inc.⁽²⁾		2,260		197
Visa, Inc. Class A		43,750		3,393
Western Digital Corp.		5,360		322
Western Union Co. (The)		12,600		226
Xerox Corp.		23,160		246
Xilinx, Inc.		5,970		280
Yahoo!, Inc.⁽²⁾		20,480		681

				82,995


	SHARES		VALUE
Telecommunication Services—2.2%
AT&T, Inc.		136,530	$	4,698
CenturyLink, Inc.		13,630		343
Frontier Communications Corp.		29,520		138
Level 3 Communications, Inc.⁽²⁾		6,690		363
Verizon Communications, Inc.		91,060		4,209

				9,751

Utilities—4.1%
AES Corp. (The)		23,140		221
AGL Resources, Inc.		4,040		258
Ameren Corp.		8,310		359
American Electric Power Co., Inc.		16,740		975
CenterPoint Energy, Inc.		14,760		271
CMS Energy Corp.		9,570		345
Consolidated Edison, Inc.		10,030		645
Dominion Resources, Inc.		20,240		1,369
DTE Energy Co.		6,160		494
Duke Energy Corp.		21,570		1,540
Edison International		11,160		661
Entergy Corp.		6,050		414
Eversource Energy		10,750		549
Exelon Corp.		31,170		866
FirstEnergy Corp.		14,490		460
NextEra Energy, Inc.		15,550		1,615
NiSource, Inc.		10,980		214
NRG Energy, Inc.		10,730		126
Pepco Holdings, Inc.		8,740		227
PG&E Corp.		16,670		887
Pinnacle West Capital Corp.		3,840		248
PPL Corp.		22,900		782
Public Service Enterprise Group, Inc.		17,180		665
SCANA Corp.		4,860		294
Sempra Energy		8,130		764
Southern Co.		30,770		1,440
TECO Energy, Inc.		8,080		215
WEC Energy Group, Inc.		10,730		551
XCEL Energy, Inc.		17,270		620

				18,075

TOTAL COMMON STOCK (Identified Cost $443,720)				446,347

TOTAL LONG TERM INVESTMENTS—101.0% (Identified Cost $443,720)				446,347


	SHARES		VALUE
SHORT-TERM INVESTMENT—34.5%
Money Market Mutual Fund—34.5%
Fidelity Money Market Portfolio - Institutional Shares (seven-day effective yield 0.320%)		114,588,428	$	114,588
Goldman Sachs Financial Square Funds - Money Market Fund - Institutional Shares (seven-day effective yield 0.300%)		30,556,914		30,557
JPMorgan U.S. Government Money Market Fund (seven-day effective yield 0.010%)		7,639,229		7,639

TOTAL SHORT-TERM INVESTMENT (Identified Cost $152,784)				152,784

TOTAL INVESTMENTS—135.5% (Identified Cost $596,504)				599,131	⁽¹⁾
Other assets and liabilities, net—(35.5)%				(156,822	)

NET ASSETS—100.0%			$	442,309

Abbreviation:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015 (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 September 30, 2015.


	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		$	1,164

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,132)					1,164

CORPORATE BONDS AND NOTES—4.4%
Consumer Discretionary—0.8%
American Axle & Manufacturing, Inc. 5.125%, 2/15/19		835			846
Argos Merger Sub, Inc. 144A 7.125%, 3/15/23⁽³⁾		905			900
Boyd Gaming Corp. 6.875%, 5/15/23		365			377
Landry’s, Inc. 144A 9.375%, 5/1/20⁽³⁾		950			1,005
NCL Corp. Ltd. 144A 4.625%, 11/15/20⁽³⁾		690			679
Numericable Group SA 144A 4.875%, 5/15/19⁽³⁾		755			750
Univision Communications, Inc. 144A 5.125%, 5/15/23⁽³⁾		445			430

					4,987

Consumer Staples—0.3%
Dole Food Co., Inc. 144A 7.250%, 5/1/19⁽³⁾		880			874
Spectrum Brands, Inc. 6.375%, 11/15/20		715			763

					1,637

Energy—0.3%
FTS International, Inc.
144A 8.012%, 6/15/20⁽²⁾⁽³⁾		1,120			763
6.250%, 5/1/22		825			235
Halcon Resources Corp. 144A 8.625%, 2/1/20⁽³⁾		435			302
PHI, Inc. 5.250%, 3/15/19		450			362

					1,662

Financials—0.7%
Ally Financial, Inc. 3.250%, 11/5/18		685			672
Banco Santander Brasil SA 144A 8.000%, 3/18/16		1,300	^BRL		323
iStar Financial, Inc.
4.875%, 7/1/18		1,415			1,392
5.000%, 7/1/19		865			843
Springleaf Finance Corp. 5.250%, 12/15/19		1,410			1,343

					4,573


	PAR VALUE		VALUE
Health Care—0.7%
Capsugel SA PIK Interest Capitalization 144A, 7.000%, 5/15/19⁽³⁾⁽⁴⁾	$	350	$	342
Community Health Systems, Inc. 5.125%, 8/15/18		1,055		1,065
Quintiles Transnational Corp. 144A 4.875%, 5/15/23⁽³⁾		385		389
Tenet Healthcare Corp.
5.000%, 3/1/19		415		385
144A 4.012%, 6/15/20⁽²⁾⁽³⁾		730		715
6.000%, 10/1/20		435		460
Valeant Pharmaceuticals International, Inc. 144A 5.375%, 3/15/20⁽³⁾		750		709

				4,065

Industrials—0.2%
Air Canada 144A 6.750%, 10/1/19⁽³⁾		965		1,004
American Airlines Group, Inc. 144A 4.625%, 3/1/20⁽³⁾		460		439

				1,443

Information Technology—0.0%
First Data Corp. 144A 5.750%, 1/15/24⁽³⁾		225		222

Materials—0.9%
Ardagh Packaging Finance plc 144A 6.250%, 1/31/19⁽³⁾		400		386
Beverage Packaging Holdings Luxembourg II SA 144A 6.000%, 6/15/17⁽³⁾		1,465		1,423
Hexion U.S. Finance Corp. 6.625%, 4/15/20		2,745		2,162
INEOS Group Holdings SA 144A 5.875%, 2/15/19⁽³⁾		1,130		1,100
Vedanta Resources plc 144A 6.000%, 1/31/19⁽³⁾		685		437

				5,508

Telecommunication Services—0.3%
Frontier Communications Corp.
144A 8.875%, 9/15/20⁽³⁾		215		218
6.250%, 9/15/21		1,085		925
Level 3 Financing, Inc. 7.000%, 6/1/20		555		582

				1,725

Utilities—0.2%
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		1,510		1,140

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $29,873)				26,962


	PAR VALUE		VALUE
LOAN AGREEMENTS⁽²⁾—92.8%
Consumer Discretionary—26.3%
Acosta Holdco, Inc. Tranche B-1 4.250%, 9/26/21	$	1,871	$	1,785
Advantage Sales & Marketing, Inc. Second Lien, 7.500%, 7/25/22		890		803
Affinity Gaming LLC 5.250%, 11/9/17		971		971
Allison Transmission Tranche B-3, 3.500%, 8/23/19		643		640
Altice U.S. Finance I Corp. 4.000%, 12/14/22		1,646		1,615
Aristocrat Leisure Ltd. 4.750%, 10/20/21		2,714		2,707
Boyd Gaming Corp. Tranche B, 4.000%, 8/14/20		4,098		4,085
Caesars Entertainment Operating Co., Inc.
Tranche B-4, 6.500%, 10/31/16⁽⁵⁾		943		858
Tranche B-6, 5.625%, 3/1/17⁽⁵⁾		2,558		2,283
Tranche B-7, 6.625%, 1/28/18⁽⁵⁾		2,220		1,858
Caesars Entertainment Resort Properties LLC Tranche B, 7.000%, 10/11/20		3,046		2,782
Caesars Growth Properties Holdings LLC Tranche B, First Lien, 6.250%, 5/8/21		1,938		1,711
CBAC Borrower LLC Tranche B, 8.250%, 7/2/20		1,808		1,709
CCO Safari LLC (Charter Communications Operating LLC)
Tranche F, 3.000%, 1/3/21		6,164		6,055
Tranche H, 3.250%, 8/24/21		1,104		1,097
Tranche I, 3.500%, 1/24/23		1,348		1,349
Chrysler Group LLC Tranche B, 3.250%, 12/31/18		2,566		2,548
Cirque Du Soleil First Lien, 5.000%, 7/8/22		1,609		1,522
CityCenter Holdings LLC Tranche B, 4.250%, 10/16/20		2,497		2,483
Cooper-Standard Automotive, Inc. 4.000%, 4/4/21		2,980		2,941
CSC Holdings, Inc.
Tranche B, 2.924%, 4/17/20		2,061		2,057
5.000%, 10/9/22		5,060		5,062
Delta 2 (Lux) S.a.r.l. Tranche B-3, 4.750%, 7/30/21		2,813		2,729
El Dorado Resorts, Inc. 4.250%, 7/25/22		1,040		1,034
Federal-Mogul Corp. Tranche C, 4.750%, 4/15/21		2,302		2,040
Golden Nugget, Inc.
5.500%, 11/21/19		987		981
Delayed Draw 5.500%, 11/21/19		423		420
Graton Resort & Casino Tranche B, 4.750%, 9/1/22		1,112		1,105
Hilton Worldwide Finance LLC 3.500%, 10/26/20		12,463		12,456


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
iHeartCommunications, Inc. (Clear Channel Communications, Inc.) Tranche D, 7.174%, 1/30/19	$	5,403	$	3,801
Infiltrator Systems Tranche B, 5.250%, 5/27/22		721		719
Intelsat Jackson Holdings S.A. Tranche B-2, 3.750%, 6/30/19		2,838		2,691
KAR Auction Services, Inc. Tranche B-2, 3.500%, 3/11/21		2,556		2,553
Laureate Education, Inc. 5.000%, 6/15/18		3,050		2,543
Leslie’s Poolmart Tranche B, 4.250%, 10/16/19		3,202		3,129
Libbey Glass, Inc. 3.750%, 4/9/21		2,483		2,449
Life Time Fitness, Inc. 4.250%, 6/10/22		2,120		2,072
Marina District Finance Co., Inc. 6.500%, 8/15/18		814		814
MCC LLC (Mediacom Broadband Group)
Tranche H, 3.250%, 1/29/21		1,639		1,615
Tranche G, 3.500%, 6/30/21		2,313		2,298
Tranche J, 3.750%, 6/30/21		923		916
Media General, Inc. 4.000%, 7/31/20		2,808		2,780
Metaldyne LLC 3.750%, 10/20/21		2,599		2,548
MGM Resort International Tranche B 3.500%, 12/20/19		5,711		5,644
Michaels Stores, Inc. Tranche B, 3.750%, 1/28/20		2,910		2,888
Mohegan Tribal Gaming Authority Tranche B, 5.500%, 6/15/18		1,327		1,302
Numericable
Tranche B-1, 4.500%, 5/21/20		1,299		1,254
Tranche B-2, 4.500%, 5/21/20		1,133		1,094
Party City Holdings, Inc. 4.250%, 8/19/22		2,127		2,070
Peninsula Gaming LLC Tranche B, 4.250%, 11/20/17		785		783
Penn National Gaming, Inc. Tranche B, 3.250%, 10/30/20		2,192		2,176
PetSmart, Inc. Tranche B-1 4.250%, 3/11/22		1,114		1,088
Scientific Games International, Inc. Tranche B-2, 6.000%, 10/1/21		2,779		2,542
ServiceMaster Co. LLC (The) 4.250%, 7/1/21		5,229		5,182
Sinclair Television Group, Inc. Tranche B-1, 3.500%, 7/30/21		3,746		3,729
Six Flags Theme Parks, Inc. Tranche B, 3.500%, 6/30/22		1,350		1,350
SRAM LLC First Lien, 4.500%, 4/10/20		2,454		2,043
Staples, Inc. First Lien, 0.000%, 4/23/21⁽⁶⁾		2,412		2,390
Station Casinos LLC Tranche B, 4.250%, 3/2/20		2,999		2,946


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
TI Group Auto Systems LLC 4.500%, 6/30/22	$	289	$	283
Transtar Holding Co.
First Lien, 5.750%, 10/9/18⁽⁸⁾		1,423		1,221
Second Lien, 10.000%, 10/9/19⁽⁸⁾		460		384
Tribune Media Co. Tranche B, 3.750%, 12/27/20		2,615		2,582
TWCC Holding Corp. Second Lien, 7.000%, 6/26/20		2,142		2,139
U.S. Farathane Corp. 6.750%, 12/23/21		1,194		1,184
Univision Communications, Inc.
First Lien, 4.000%, 3/1/20		4,384		4,298
4.000%, 3/1/20		6,266		6,142
Virgin Media Investment Holdings Ltd. Tranche F, 3.500%, 6/30/23		2,590		2,540
Ziggo B.V.
Tranche B-3, 3.500%, 1/15/22		1,227		1,194
Tranche B-1, 3.500%, 1/15/22		1,158		1,127
Tranche B-2, 3.500%, 1/15/22		746		726

				162,916

Consumer Staples—4.7%
Albertson’s Holdings LLC 1326075 0.000%, 12/21/22⁽⁶⁾		2,040		2,031
Albertson’s LLC Tranche B-4, 5.500%, 8/25/21		2,263		2,248
ARAMARK Corp.
Tranche E, 3.250%, 9/7/19		3,823		3,821
Tranche F, 3.250%, 2/24/21		981		973
Charger OpCo B.V. (Oak Tea, Inc.) Tranche B-1, 4.250%, 7/2/22		1,051		1,048
Coty, Inc.
0.000%, 10/21/22⁽⁶⁾		1,698		1,688
3.750%, 10/27/22		849		844
Crossmark Holdings, Inc.
First Lien, 4.500%, 12/20/19⁽⁸⁾		1,963		1,456
Second Lien, 8.750%, 12/21/20⁽⁸⁾		520		294
Dole Food Co., Inc. Tranche B, 5.139%, 11/1/18		2,173		2,163
Hostess Brands LLC
Tranche B, First Lien, 4.500%, 8/3/22		2,564		2,557
Tranche B Second Lien, 8.500%, 8/3/23		1,900		1,888
Kronos Acquisition Intermediate, Inc. (KIK Custom Products, Inc.) Second Lien, 9.750%, 4/30/20		2,887		2,883
Prestige Brands, Inc. Tranche B-3, 3.500%, 9/3/21		263		262
Reynolds Group Holdings, Inc. 4.500%, 12/1/18		3,988		3,956


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Spectrum Brands, Inc. 3.800%, 6/23/22	$	740	$	738

				28,850

Energy—2.1%
Arch Coal, Inc. 6.250%, 5/16/18		3,318		1,496
Azure Midstream 7.500%, 11/15/18		1,334		794
Chelsea Petroleum I LLC 6.750%, 10/28/22		1,634		1,593
Chief Exploration & Development LLC Second Lien, 7.500%, 5/16/21		2,739		1,872
Drillships Ocean Ventures, Inc. 5.500%, 7/25/21		756		361
Fieldwood Energy LLC
3.875%, 10/1/18		845		557
Second Lien, 8.375%, 9/30/20		2,613		417
Jonah Energy LLC Second Lien, 7.500%, 5/12/21		2,045		1,299
MEG Energy Corp. 3.750%, 3/31/20		1,916		1,700
Ocean Rig Tranche B-1, 6.000%, 3/31/21		1,736		705
Paragon Offshore Finance Co. 3.750%, 7/16/21		1,712		451
Sabine Oil & Gas LLC Second Lien, 12.000%, 12/31/18⁽⁵⁾		1,290		40
Seadrill Operating LP 4.000%, 2/21/21		4,092		1,725

				13,010

Financials—5.6%
Alix Partners LLP 4.500%, 7/28/22		3,186		3,168
Asurion LLC
Tranche B-1, 5.000%, 5/24/19		1,042		979
Tranche B-2, 4.250%, 7/8/20		731		669
Tranche B-4, 5.000%, 8/4/22		1,069		980
Capital Automotive LP
Tranche B-1, 4.000%, 4/10/19		1,494		1,495
Second Lien, 6.000%, 4/30/20		1,828		1,834
Delos Finance S.a.r.l 3.500%, 3/6/21		4,026		4,019
DtTZ U.S. Borrower, LLC (DTZ AUS Holdco PTY Ltd.) First Lien, 4.250%, 11/4/21		2,985		2,918
iStar Financial, Inc. Tranche A-2, 7.000%, 3/19/17		361		361
Realogy Corp.
Extended LOC, 2.336%, 10/10/16		204		201
Tranche B, 3.750%, 3/5/20		6,058		6,025
Starwood Property Trust, Inc. First Lien, 3.500%, 4/17/20		3,287		3,246
TransUnion LLC Tranche B-2, 3.500%, 4/9/21		5,200		5,064


	PAR VALUE		VALUE
Financials—(continued)
Walter Investment Management Corp. Tranche B, 4.750%, 12/18/20	$	3,553	$	3,076

				34,035

Health Care—16.1%
21st Century Oncology, Inc. Tranche B 6.500%, 4/30/22		1,900		1,606
Air Medical 4.500%, 4/28/22		183		172
Akorn, Inc. 6.000%, 4/16/21		2,704		2,650
Alere, Inc. Tranche B, 4.250%, 6/20/22		1,565		1,555
AMAG Pharmaceuticals, Inc. 4.750%, 8/17/21		516		496
American Renal Holdings, Inc.
Tranche B, First Lien, 4.500%, 8/20/19		1,772		1,746
Second Lien, 8.500%, 3/20/20		2,390		2,330
Amneal Pharmaceuticals LLC Tranche B, 5.250%, 11/1/19		3,377		3,321
AmSurg Corp. 3.500%, 7/16/21		1,189		1,180
Ardent Legacy Acquisitions, Inc. 6.500%, 8/4/21		1,555		1,547
Beacon Health Strategies 5.000%, 12/23/21		1,590		1,518
Capsugel Holdings US, Inc. 3.500%, 8/1/18		3,243		3,193
CHG Healthcare Services, Inc. First Lien, 4.250%, 11/19/19		3,591		3,538
Community Health Systems, Inc. (CHS)
Tranche F, 3.657%, 12/31/18		1,288		1,273
Incremental 2019, Tranche G, 3.750%, 12/31/19		1,329		1,299
Incremental 2021, Tranche H, 4.000%, 1/27/21		2,445		2,412
Concentra, Inc. First Lien, Tranche B 4.750%, 6/1/22		289		287
Concordia Pharmaceuticals, Inc. 5.250%, 10/21/21		1,235		1,189
Convatec, Inc. 4.250%, 6/15/20		100		98
DaVita HealthCare Partners, Inc. Tranche B, 3.500%, 6/24/21		3,108		3,101
DJO Finance 4.250%, 6/8/20		1,458		1,424
Emdeon, Inc.
Tranche B-2, 3.750%, 11/2/18		3,375		3,323
Tranche B-3, 3.750%, 11/2/18		494		486
Endo Luxembourg Finance Co. I S.a.r.l. Tranche B, 3.750%, 9/26/22		2,251		2,226
Envision Healthcare Corp. (F/K/A Emergency Medical Services Corp.) 4.250%, 5/25/18		3,636		3,619
		3,636		3,619


	PAR VALUE		VALUE
Health Care—(continued)
Tranche B-2, 4.500%, 10/28/22	$	266	$	265
Greatbatch, Inc. Tranche B, 5.250%, 10/27/22		840		834
Horizon Pharma, Inc. 4.500%, 5/7/21		1,217		1,150
Iasis Healthcare LLC Tranche B-2, 4.500%, 5/3/18		1,966		1,935
IMS Health, Inc. Tranche B, 3.500%, 3/17/21		4,267		4,183
InVentiv Health, Inc. Tranche B-4, 7.750%, 5/15/18		2,887		2,880
Kinetic Concepts, Inc.
Tranche E-2, 4.000%, 11/4/16		925		910
Tranche E-1, 4.500%, 5/4/18		570		551
Mallinckrodt International Finance S.A.
Tranche B, 3.250%, 3/19/21		2,740		2,667
Tranche B-1, 3.500%, 3/19/21		288		282
Med Impact Healthcare Systems, Inc. 5.750%, 10/27/22		1,273		1,260
MMM Holdings, Inc. 9.750%, 12/12/17⁽⁸⁾		377		249
MSO of Puerto Rico, Inc. 9.750%, 12/12/17⁽⁸⁾		274		181
Multiplan, Inc. Tranche B-1, 3.750%, 3/31/21		2,329		2,273
National Mentor Holdings, Inc. Tranche B, 4.250%, 1/31/21		1,065		1,034
National Surgical Hospitals First Lien, 4.500%, 6/1/22		1,083		1,050
NVA Holdings, Inc. Second Lien 8.000%, 8/14/22		986		970
Onex TSG Holdings II Corp. First Lien, 5.000%, 7/29/22		1,835		1,816
Ortho-Clinical Diagnostics, Inc. 4.750%, 6/30/21		2,594		2,214
Pharmaceutical Product Development 4.250%, 8/18/22		2,474		2,410
PRA Holdings, Inc. Tranche B-1, 4.500%, 9/23/20		2,322		2,301
Quintiles Transnational Corp. Tranche B, 3.250%, 5/12/22		1,124		1,124
RCHP Tranche B-2, 6.000%, 4/23/19		3,237		3,099
RPI Finance Trust Tranche B-4, 3.500%, 11/9/20		1,131		1,129
Sterigenics-Nordion 4.250%, 5/16/22		1,083		1,056
Surgery Center Holdings, Inc.
First Lien, 5.250%, 11/3/20		350		347
Second Lien, 8.500%, 11/3/21		806		765
Surgical Care Affiliates, Inc. 4.250%, 3/17/22		728		722
Team Health, Inc. 4.500%, 11/23/22		1,960		1,957
U.S. Renal Care, Inc. 0.000%, 11/17/22⁽⁶⁾		2,876		2,858
Valeant Pharmaceuticals International, Inc.
Series D-2, Tranche B, 3.500%, 2/13/19		2,158		2,087
Series C-2, Tranche B, 3.750%, 12/11/19		2		2


	PAR VALUE		VALUE
Health Care—(continued)
Series E1, Tranche B, 3.750%, 8/5/20	$	3,981	$	3,830
Series F-1, Tranche B, 4.000%, 4/1/22		2,520		2,431

				98,411

Industrials—12.2%
MRC Global, Inc. (McJunkin Red Man Corp.) 4.750%, 11/8/19		1,033		966
Air Canada 4.000%, 9/26/19		2,226		2,224
Allied Security Holdings LLC
First Lien, 4.250%, 2/12/21		1,374		1,295
Second Lien, 8.000%, 8/13/21		688		670
American Airlines, Inc. 3.250%, 6/27/20		9,047		8,929
Brickman Group Holdings, Inc. First Lien, 4.000%, 12/18/20		3,811		3,702
Brickman Group Ltd. LLC (The) Second Lien, 7.500%, 12/17/21		1,971		1,794
Brock Holdings III, Inc. First Lien, 6.000%, 3/16/17		1,865		1,743
Builders FirstSource 6.000%, 7/29/22		2,040		2,022
DynCorp International, Inc. 6.250%, 7/7/16		2,372		2,273
Filtration Group Corp.
First Lien, 4.250%, 11/23/20		1,422		1,386
Second Lien, 8.250%, 11/22/21		543		530
Harland Clarke Holdings Corp.
Tranche B-3, 7.000%, 5/22/18		1,448		1,406
Tranche B-4, 6.000%, 8/4/19		654		626
HD Supply 3.750%, 8/13/21		2,964		2,902
Headwaters, Inc. Tranche B, 4.500%, 3/24/22		148		148
Husky Injection Molding Systems Ltd. 4.250%, 6/30/21		3,283		3,164
Landmark U.S. Member LLC (Landmark U.S. Corp Acquisition, Inc.)
First Lien, 4.750%, 10/25/19		2,811		2,803
4.750%, 10/25/19		112		111
Second Lien 8.250%, 1/25/21		806		804
Navistar, Inc. 6.500%, 8/7/20		1,319		1,169
NN, Inc. 5.750%, 10/19/22		517		512
Nortek, Inc. Incremental-1, 3.500%, 10/30/20		4,257		4,170
Quikrete Co., Inc. First Lien, 4.000%, 9/28/20		2,829		2,802
Rexnord LLC Tranche B, 4.000%, 8/21/20		4,189		4,072
Science Applications Tranche B, 3.750%, 5/4/22		2,125		2,130
Sedgwick Claims Management Services, Inc.
First Lien, 3.750%, 3/1/21		3,498		3,364
Second Lien, 6.750%, 2/28/22		1,725		1,570


	PAR VALUE		VALUE
Industrials—(continued)
Spin Holdco, Inc. First Lien, 4.250%, 11/14/19	$	2,274	$	2,191
TransDigm, Inc.
Tranche C, 3.750%, 2/28/20		6,975		6,822
Tranche D, 3.750%, 6/4/21		2,635		2,574
United Airlines, Inc. (Continental Airlines, Inc.) Tranche B-1, 3.500%, 9/15/21		1,157		1,154
Waste Industries USA, Inc. 4.250%, 2/27/20		2,180		2,180

				74,208

Information Technology—9.9%
Allflex Holdings III, Inc. First Lien, 4.250%, 7/17/20		3,144		3,091
Applied Systems, Inc.
First Lien, 4.250%, 1/25/21		568		558
Second Lien, 7.500%, 1/24/22		1,471		1,368
Avago Technologies 0.000%, 11/11/22⁽⁶⁾		5,877		5,826
Avago Technologies Cayman Ltd. 3.750%, 5/6/21		3,038		3,034
Blue Coat Systems, Inc. 4.500%, 5/20/22		1,651		1,600
CCC Information Services 4.000%, 12/20/19		2,869		2,825
CDW LLC 3.250%, 4/29/20		7,456		7,291
Deltek, Inc.
First Lien 5.000%, 6/25/22		190		188
Second Lien 9.500%, 6/26/23		858		851
Ellucian, Inc. 4.750%, 9/30/22		2,574		2,548
Epicor Software Corp. Tranche B, 4.750%, 6/1/22		1,437		1,406
First Data Corp.
3.918%, 3/23/18		10,620		10,500
4.168%, 7/8/22		1,664		1,643
Infinity Acquisition Ltd. 4.000%, 8/6/21		2,566		2,472
Infor (U.S.), Inc.
Tranche B-5, 3.750%, 6/3/20		3,499		3,294
Tranche B-3, 3.750%, 6/3/20		1,452		1,368
Mitchell International, Inc.
4.500%, 10/13/20		3,320		3,158
Second Lien, 8.500%, 10/11/21		2,932		2,812
NXP BV (NXP Funding LLC) 3.750%, 12/7/20		1,511		1,508
Presidio, Inc. 5.250%, 2/2/22		1,415		1,384
SS&C Technologies Holdings Europe S.a.r.l.
Tranche A-1, 3.357%, 7/8/20		186		185
Tranche A-2, 3.357%, 7/8/20		288		287
Tranche B-1, 4.021%, 7/8/22		1,202		1,196
Tranche B-2, 4.028%, 7/8/22		177		176

				60,569


	PAR VALUE		VALUE
Materials—8.4%
American Builders & Contractors Supply Co., Inc. Tranche B, 3.500%, 4/16/20	$	4,665	$	4,634
Anchor Glass Container Tranche B, 4.875%, 7/1/22		3,819		3,814
Ardagh Packaging Finance plc 4.000%, 12/17/19		861		848
AZ Chem US, Inc. First Lien, 5.250%, 6/11/21		1,508		1,505
Berlin Packaging, Inc. S.A.R.L. First Lien, 5.050%, 10/1/21		1,325		1,315
Berry Plastics Groups, Inc.
Tranche D, 3.500%, 2/8/20		4,520		4,445
Tranche E, 3.750%, 1/6/21		1,843		1,820
4.000%, 10/3/22		717		712
CPG International 4.750%, 9/30/20		756		715
Fortescue Metals Group (FMG) Resources Property Ltd. 4.250%, 6/30/19		4,022		3,002
Huntsman International LLC 3.750%, 10/1/21		3,960		3,897
Ineos US Finance LLC 3.750%, 12/15/20		8,977		8,641
Owens-Illinois Tranche B, 3.500%, 9/1/22		559		558
Royal Holdings, Inc. First Lien, 4.500%, 6/20/22		2,128		2,087
Solenis International LP First Lien, 4.250%, 7/31/21		2,315		2,232
Summit Materials 4.250%, 7/18/22		3,536		3,496
Univar, Inc. 4.250%, 7/1/22		2,868		2,783
W.R. Grace & Co.
2.750%, 2/3/21		3,432		3,405
Delayed Draw, 2.750%, 2/3/21		1,235		1,225

				51,134

Telecommunication Services—4.5%
Cable & Wireless / Sable International Finance
Tranche B-1, 0.000%, 12/2/22⁽⁶⁾		1,296		1,272
Tranche B-2, 0.000%, 12/2/22⁽⁶⁾		1,060		1,040
Crown Castle Operating Co. Tranche B-2, 3.000%, 1/31/21		2,624		2,617
Global Tel*Link Corp. First Lien, 5.000%, 5/23/20		1,817		1,336
Level 3 Financing, Inc.
Tranche B-III, 4.000%, 8/1/19		2,575		2,575
Tranche B, 2020 4.000%, 1/15/20		3,388		3,383
Tranche B-II, 3.500%, 5/31/22		3,343		3,297
SBA Senior Finance II LLC Tranche B-1, 3.250%, 3/24/21		3,729		3,661
Securus Technologies Holdings, Inc.
First Lien, 4.750%, 4/30/20		1,493		1,086


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Tranche B-2, 5.250%, 4/30/20		765		557
T-Mobile USA, Inc. Second Lien, 3.500%, 11/9/22		1,619		1,621
West Corp. Tranche B-10, 3.250%, 6/30/18		1,113		1,097
XO Communications LLC 4.250%, 3/20/21		1,260		1,234

				27,316

Utilities—3.0%
Atlantic Power LP 4.750%, 2/24/21		998		995
Calpine Construction Finance Co. LP
Tranche B-1, 3.000%, 5/3/20		4,685		4,433
Tranche B-2, 3.250%, 1/31/22		3,808		3,621
3.500%, 5/27/22		938		897
Granite Acquisition, Inc.
Tranche B, First Lien, 5.000%, 12/17/21		1,469		1,321
Tranche C, First Lien, 5.000%, 12/17/21		64		58
NRG Energy, Inc. 2.750%, 7/1/18		4,529		4,419
Texas Competitive Electric Holdings Co. LLC Tranche B-3 4.726%, 10/10/17⁽⁷⁾		9,165		2,873

				18,617

TOTAL LOAN AGREEMENTS (Identified Cost $599,840)				566,525


	SHARES		VALUE
AFFILIATED MUTUAL FUNDS—1.1%
Virtus Credit Opportunities Fund⁽⁹⁾		670,288		6,482

TOTAL AFFILIATED MUTUAL FUNDS (Identified Cost $6,700)				6,482

TOTAL LONG TERM INVESTMENTS—98.5% (Identified Cost $637,545)				601,133

TOTAL INVESTMENTS—98.5% (Identified Cost $637,545)				601,133	⁽¹⁾
Other assets and liabilities, net—1.5%				9,009

NET ASSETS—100.0%			$	610,142

Abbreviations:

PIK	Payment-in-Kind Security

SBA	Small Business Administration

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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, 2015.

($ reported in thousands)

⁽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, 2015, these securities amounted to a value of $14,227 or 2.3% of net assets.

⁽⁴⁾	100% of the income received was in cash.

⁽⁵⁾	Security in default.

⁽⁶⁾	This loan will settle after December 31, 2015, 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⁾	Security in default, interest payments are being received during the bankruptcy proceedings.

⁽⁸⁾	Illiquid security.

⁽⁹⁾	This fund is a public fund and the prospectus and annual report are publicly available.

Foreign Currencies:

BRL	Brazilian Real

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.

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—99.9%
Consumer Discretionary—34.2%
Amazon.com, Inc.⁽²⁾		886	$	599
AMC Networks, Inc. Class A⁽²⁾		7,739		578
American Eagle Outfitters, Inc.		38,955		604
Apollo Group, Inc. Class A⁽²⁾		76,158		584
AutoNation, Inc.⁽²⁾		9,913		591
Buckle, Inc. (The)		19,883		612
Cabela’s, Inc.⁽²⁾		12,726		595
Carnival Corp.		10,910		594
CBS Corp. Class B		12,863		606
Choice Hotels International, Inc.		11,677		589
Columbia Sportswear Co.		12,916		630
Comcast Corp. Class A		10,435		589
Dick’s Sporting Goods, Inc.		16,491		583
Dillard’s, Inc. Class A		8,935		587
Discovery Communications, Inc. Class C⁽²⁾		23,429		591
DISH Network Corp. Class A⁽²⁾		10,219		584
DreamWorks Animation SKG, Inc. Class A⁽²⁾		22,751		586
DSW, Inc. Class A		25,014		597
Expedia, Inc.		4,685		582
Federal-Mogul Corp.⁽²⁾		86,086		590
Fossil Group, Inc.⁽²⁾⁽³⁾		16,096		588
Gap, Inc. (The)		23,796		588
Garmin Ltd.		16,575		616
Horton (D.R.), Inc.		18,755		601
Hyatt Hotels Corp. Class A⁽²⁾		12,368		582
International Speedway Corp. Class A		17,897		603
L Brands, Inc.		6,204		594
Lands’ End, Inc.⁽²⁾⁽³⁾		26,384		618
Las Vegas Sands Corp.		14,002		614
Lennar Corp. Class A		12,247		599
Liberty Broadband Corp.⁽²⁾		11,661		605
Liberty Global plc Class C		15,699		640
Liberty Global plc		14,404		619
Liberty Interactive Corp. Class A⁽²⁾		22,584		617
Liberty Media Corp.⁽²⁾		15,906		606
Liberty Tripadvisor Holdings, Class A⁽²⁾		19,427		589
Liberty Ventures Class A⁽²⁾		13,376		603
Lions Gate Entertainment Corp.		18,197		589
Madison Square Garden Co. (The)⁽²⁾		3,723		602
Marriott International, Inc. Class A		9,029		605
Marriott Vacations Worldwide Corp.		10,513		599
Mohawk Industries, Inc.⁽²⁾		3,110		589


	SHARES		VALUE
Consumer Discretionary—(continued)
MSG Networks, Inc.⁽²⁾		28,174	$	586
News Corp. Class A		44,052		589
NIKE, Inc. Class B		9,079		567
Nordstrom, Inc.		11,773		586
Papa John’s International, Inc.		10,412		582
Penn National Gaming, Inc.⁽²⁾		37,876		607
Penske Automotive Group, Inc.		14,090		597
Ralph Lauren Corp.		5,326		594
Restaurant Brands International, Inc.		16,091		601
Sears Holdings Corp.⁽²⁾⁽³⁾		29,953		616
Sears Hometown and Outlet Stores, Inc.⁽²⁾		75,136		601
Starbucks Corp.		9,883		593
Starz - Liberty Capital Class A⁽²⁾		17,481		586
Tesla Motors, Inc.⁽²⁾⁽³⁾		2,533		608
Twenty-First Century Fox, Inc. Class A		21,760		591
Under Armour, Inc. Class A⁽²⁾		7,277		587
Urban Outfitters, Inc.⁽²⁾		25,960		591
Viacom, Inc. Class B		15,020		618
Wendy’s Co. (The)		54,942		592
Wynn Resorts Ltd.		8,955		620

				37,049

Consumer Staples—4.9%
Boston Beer Co., Inc. (The) Class A⁽²⁾		2,885		583
Brown-Forman Corp. Class B		5,864		582
Estee Lauder Cos., Inc. (The) Class A		6,670		587
HRG Group, Inc.⁽²⁾		46,218		627
Kraft Heinz Co.(The)		8,249		600
Lancaster Colony Corp.		5,281		610
Monster Beverage Corp.⁽²⁾		3,984		593
PriceSmart, Inc.		7,013		582
Tootsie Roll Industries, Inc.		18,640		589

				5,353

Energy—7.4%
Archrock, Inc.		80,632		606
Cheniere Energy, Inc.⁽²⁾		16,421		612
Chesapeake Energy Corp.⁽³⁾		145,168		653
Clayton Williams Energy, Inc.⁽²⁾⁽³⁾		19,785		585
Continental Resources, Inc.⁽²⁾		29,437		676
CVR Energy, Inc.		14,978		589
Exterran Corp.⁽²⁾		40,525		650
Hess Corp.		12,412		602
Par Petroleum Corp.⁽²⁾		25,219		594


	SHARES		VALUE
Energy—(continued)
RPC, Inc.⁽³⁾		51,114	$	611
Transocean Ltd.⁽³⁾		48,536		601
W&T Offshore, Inc.⁽²⁾⁽³⁾		278,399		643
Western Refining, Inc.		15,685		559

				7,981

Financials—20.9%
Altisource Portfolio Solutions SA⁽³⁾		19,687		547
American Financial Group, Inc.		8,323		600
American Homes 4 Rent Class A		36,076		601
AmTrust Financial Services, Inc.		9,591		591
Berkley (W.R.) Corp.		11,138		610
Berkshire Hathaway, Inc. Class B⁽²⁾		4,490		593
BOK Financial Corp.		9,962		596
Boston Properties, Inc.		4,637		591
Brown & Brown, Inc.		18,614		597
Charles Schwab Corp. (The)		18,294		602
Cohen & Steers, Inc.		19,739		602
Colony Financial Inc		29,641		577
Credit Acceptance Corp.⁽²⁾		2,782		595
Equity Lifestyle Properties, Inc.		8,997		600
Equity Residential		7,351		600
Erie Indemnity Co. Class A		6,174		590
First Citizens BancShares, Inc. Class A		2,328		601
Franklin Resources, Inc.		16,696		615
Gaming and Leisure Properties, Inc.		21,296		592
Greenlight Capital Re Ltd. Class A		32,478		608
Hilltop Holdings, Inc.⁽²⁾		30,336		583
Host Hotels & Resorts, Inc.		38,784		595
Howard Hughes Corp. (The)⁽²⁾		5,431		615
Leucadia National Corp.		35,393		615
Loews Corp.		15,892		610
Marcus & Millichap Inc⁽²⁾		20,458		596
Mercury General Corp.		12,748		594
Morningstar, Inc.		7,351		591
Ocwen Financial Corp.⁽²⁾		83,551		582
Raymond James Financial, Inc.		9,958		577
Seritage Growth Properties		14,364		578
Simon Property Group, Inc.		3,073		598
Taubman Centers, Inc.		7,834		601
Third Point Reinsurance Ltd		44,192		593
Urban Edge Properties		25,871		607
Vornado Realty Trust		6,040		604
WisdomTree Investments, Inc.		36,452		572


	SHARES		VALUE
Financials—(continued)
WP Glimcher, Inc.		57,603	$	611

				22,630

Health Care—3.8%
Akorn, Inc.⁽²⁾		16,548		617
Bruker Corp.⁽²⁾		24,926		605
Cerner Corp.⁽²⁾		9,861		593
Halozyme Therapeutics, Inc.⁽²⁾		35,108		609
Hologic, Inc.⁽²⁾		15,126		585
MannKind Corp.⁽²⁾⁽³⁾		379,940		551
OPKO Health, Inc.⁽²⁾		57,774		581

				4,141

Industrials—11.1%
Air Lease Corp.		18,394		616
American Railcar Industries, Inc.⁽³⁾		12,334		571
Cintas Corp.		6,608		602
Colfax Corp.⁽²⁾		26,511		619
Covanta Holding Corp.		36,059		559
Danaher Corp.		6,365		591
FedEx Corp.		4,037		601
Heartland Express, Inc.		34,684		590
Hertz Global Holdings, Inc.⁽²⁾		41,884		596
Illinois Tool Works, Inc.		6,416		595
Manitowoc Co., Inc. (The)⁽³⁾		41,001		629
MasTec, Inc.⁽²⁾		35,092		610
MSC Industrial Direct Co., Inc. Class A		10,613		597
Navistar International Corp.⁽²⁾⁽³⁾		72,625		642
Rollins, Inc.		22,841		592
Solarcity Corp.⁽²⁾		10,684		545
Timken Co. (The)		21,505		615
W.W. Grainger, Inc.⁽³⁾		3,006		609
Werner Enterprises, Inc.		25,954		607
XPO Logistics, Inc.⁽²⁾⁽³⁾		23,119		630

				12,016

Information Technology—12.0%
Alphabet, Inc. Class C⁽²⁾		788		598
Amkor Technology, Inc.⁽²⁾		93,122		566
Anixter International, Inc.⁽²⁾		10,023		605
eBay, Inc.⁽²⁾		21,346		586
EchoStar Corp. Class A⁽²⁾		15,949		624
Facebook, Inc. Class A⁽²⁾		5,616		588
IAC/InterActiveCorp.		9,725		584
Intuit, Inc.		6,153		594


	SHARES		VALUE
Information Technology—(continued)
Marvell Technology Group Ltd.		68,952	$	608
National Instruments Corp.		20,564		590
Nuance Communications, Inc.⁽²⁾		29,201		581
Oracle Corp.		16,172		591
Paychex, Inc.		11,195		592
PayPal Holdings, Inc.⁽²⁾		16,342		591
Pegasystems, Inc.		21,208		583
Rackspace Hosting, Inc.⁽²⁾		23,503		595
RealPage, Inc.⁽²⁾		25,731		578
salesforce.com, Inc.⁽²⁾		7,624		598
SS&C Technologies Holdings, Inc.		8,872		606
Syntel, Inc.⁽²⁾		13,228		598
TeleTech Holdings, Inc.		21,097		589
Yahoo!, Inc.⁽²⁾		17,859		594

				13,039

Materials—5.6%
Freeport-McMoRan Copper & Gold, Inc.		94,454		639
Huntsman Corp.		54,820		623
LyondellBasell Industries N.V. Class A		6,771		588
NewMarket Corp.		1,557		593
Novagold Resources, Inc.⁽²⁾⁽³⁾		136,818		576
Platform Specialty Products Corp⁽²⁾		48,191		618
Scotts Miracle-Gro Co. (The) Class A		9,160		591
Silgan Holdings, Inc.		11,354		610
Timkensteel Corp.		79,539		667
Westlake Chemical Corp.		11,019		599

				6,104

TOTAL COMMON STOCKS (Identified Cost $106,699)				108,313

TOTAL LONG TERM INVESTMENTS—99.9% (Identified Cost $106,699)				108,313

SECURITIES LENDING COLLATERAL—7.8%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) Institutional Shares (seven-day effective yield 0.290%)⁽⁴⁾		8,507,510		8,508

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $8,508)				8,508


	VALUE
TOTAL INVESTMENTS—107.7% (Identified Cost $115,207)	$	116,821	⁽¹⁾
Other assets and liabilities, net—(7.7)%		(8,307	)

NET ASSETS—100.0%	$	108,514

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at December 31, 2015, 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.

The following table provides a summary of inputs used to value the Fund’s investments as of December 31, 2015 (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, 2015.

The significant accounting policies consistently followed by the Virtus Opportunities Trust, a trust consisting of 29 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 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. Quarterly fair valuations are reviewed 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 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 the 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.

Certain Funds may sell securities short. A short sale is a transaction in which a Fund sells a security it does not own in anticipation of a decline in market price. To sell a security short, a Fund must borrow the security. The Fund’s obligation to replace the security borrowed and sold short will be fully collateralized at all times by the proceeds from the short sale retained by the broker and by cash and securities deposited in a segregated account with the Fund’s custodian. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will realize a loss, and if the price declines during the period, the Fund will realize a gain. Any realized gain will be decreased, and any realized loss increased, by the amount of transaction costs. On ex-dividend date, dividends on short sales are recorded as an expense to the Fund.

In accordance with the terms of its prime brokerage agreement, the Dynamic Trend Fund may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security.

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.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

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.

At December 31, 2015, 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 Funds’ investment adviser and/or its affiliates and/or subadvisers 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 Funds’ investment adviser believes that the outcomes of such matters are not likely, either individually or in the aggregate, to be material to these financial statements.

As part of an SEC non-public, confidential investigation of a matter entitled In the Matter of F-Squared Investments Inc., the SEC staff informed the Funds’ investment adviser that it was inquiring into whether it had violated securities laws or regulations with respect to circumstances related to that matter. On November 16, 2015, without admitting or denying the SEC’s findings, the Funds’ investment adviser consented to the entry of an order providing that it cease and desist from committing or causing any violations and future violations of Sections 204, 206(2) and 206(4) of the Investment Advisers Act of 1940, as amended, and Rules 204-2, 206(4)-1, 206(4)-7 and 206(4)-8 thereunder, and Section 34(b) of the Investment Company Act of 1940, as amended; agreed to a censure; and paid $16.5 million, which included a civil money penalty of $2 million, disgorgement of $13.4 million and prejudgment interest of $1.1 million.

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 violation 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 knowingly 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. Virtus and its affiliates, including the Funds’ adviser, believe that the suit is without merit and intend to defend it vigorously. A motion to dismiss the Consolidated Complaint was filed on behalf of the defendants on October 21, 2015. 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”), alleges claims against Virtus, certain Virtus officers and affiliates (including the Funds’ investment adviser, Euclid Advisors LLC 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 knowingly 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 plaintiff 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 Court entered an order transferring the action to the Southern District of New York. Virtus and its affiliates, including the Funds’ adviser, believe the plaintiff’s claims asserted in the complaint are frivolous and intend to defend them 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.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

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 there are no subsequent events requiring recognition or disclosure in these Notes to Schedules of Investments.

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.


	Loan Agreements
Balance as of September 30, 2015	$	—
Accrued discount/(premium)		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		—
Purchases		—
Sales ^(b)		—
Transfers into Level 3 ^(a)		92
Transfers from Level 3 ^(a)		—

Balance as of December 31, 2015	$	92


	Total Value at December 31, 2015		Level 2 Significant Observable Inputs
Debt Securities:
Municipal Tax-Exempt Bonds	$	29,998	$	29,998

Total Investments	$	29,998	$	29,998


	Total Value at December 31, 2015		Level 1 Quoted Prices
Equity Securities:
Common Stocks	$	454,253	$	454,253

Total Investments	$	454,253	$	454,253

Virtus Opportunities Trust – ‘N-Q’ for 12/31/15

On: Friday, 2/26/16, at 4:47pm ET · Effective: 2/26/16 · For: 12/31/15 · Accession #: 1193125-16-482244 · File #: 811-07455

Previous ‘N-Q’: ‘N-Q’ on 8/28/15 for 6/30/15 · Next: ‘N-Q’ on 8/29/16 for 6/30/16 · 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

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Dates Referenced Herein and Documents Incorporated by Reference


	Total Value at December 31, 2015		Level 1 Quoted Prices
Equity Securities:
Affiliated Mutual Funds	$	37,425	$	37,425
Exchange-Traded Funds		28,417		28,417

Total Investments	$	65,842	$	65,842


Country Weightings †
United States	85	%
Chile	2
Canada	1
France	1
Mexico	1
Peru	1
Switzerland	1
Other	8

Total	100	%


Country Weightings †
Mexico	8	%
Brazil	7
Russia	6
China	5
Indonesia	5
Chile	4
India	4
Other	61

Total	100	%


Country Weightings †
China	29	%
Taiwan	16
South Korea	11
India	10
South Africa	8
Brazil	6
Mexico	4
Other	16

Total	100	%


Country Weightings †
United States	94	%
Netherlands	2
Switzerland	2
Ireland	1
United Kingdom	1

Total	100	%


				Asset
				Backed			Loan
Investment in Securities	Total			Securities			Agreements
Beginning Balance:	$	444		$	250		$	194
Accrued Discount/(Premium)		—	^(d)		—	^(d)		—	^(d)
Realized Gain (Loss)		—			—			—
Change in Unrealized Appreciation (Depreciation)		(30	)		(3	)		(27	)
Purchases		—			—			—
(Sales)^(b)		—			—			—
Transfers In of Level 3^(a)		349			0			349	^(c)
Transfers Out of Level 3^(a)		—			—			—
Ending Balance	$	763		$	247		$	516


Country Weightings †
Japan	30	%
United Kingdom	14
France	8
United States	7
Germany	5
Ireland	5
Netherlands	5
Other	26

Total	100	%


	Total Value at December 31, 2015		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Equity Securities:
Common Stocks	$	39,812	$	24,950	$	14,862	$	0	^*

Total Investments	$	39,812	$	24,950	$	14,862	$	0	^*


Country Weightings †
Australia	13	%
Japan	10
France	9
United Kingdom	9
Singapore	7
Norway	6
South Korea	6
Other	40

Total	100	%


	Total			Asset Backed Securities			Common Stocks		Corporate Bonds and Notes			Loan Agreements
Balance as of September 30, 2015:	$	929		$	544		$	16	$	—		$	369
Accrued Discount/(Premium)		1			1			—		—			—	^(c)
Realized Gain (Loss)		—			—			—		—			—
Change in Unrealized Appreciation (Depreciation)		(56	)		(5	)		1		—			(52	)
Purchases		—			—			—		—			—
(Sales)(b)		—			—			—		—			—
Transfers In of Level 3(a)		564			—			—		9	^(d)		555	^(d)
Transfers Out of Level 3(a)		—			—			—		—			—

Balance as of December 31, 2015	$	1,438		$	540		$	17	$	9		$	872


	Total Value at December 31, 2015		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Debt Securities:
Asset-Backed Securities	$	1,373,463	$	—	$	1,365,347	$	8,116
Corporate Bonds And Notes		2,665,714		—		2,665,620		94
Foreign Government Securities		148,667		—		148,667		—
Loan Agreements		1,010,833		—		998,126		12,707
Mortgage-Backed Securities		1,862,010		—		1,862,010		—
Municipal Bonds		3,573		—		3,573		—
U.S. Government Security		70,619		—		70,619		—
Equity Securities:
Affiliated Mutual Fund		67,585		67,585		—		—
Preferred Stocks		56,793		—		56,793		—

Total Investments	$	7,259,257	$	67,585	$	7,170,755	$	20,917


	Investment in Securities			Asset Backed Securities			Corporate Bonds And Notes			Loan Agreements
Balance as of September 30, 2015	$	24,541		$	12,296		$	—		$	12,245
Accrued Discount/(Premium)		(27	)		5			—			(32	)
Realized Gain (Loss)		—			—			—			—
Change in Unrealized Appreciation (Depreciation)		108			150			—			(42	)
Purchases		(455	)		—			—			(455	)
(Sales)^(b)		(1,827	)		(1,158	)		—			(669	)
Transfers In of Level 3^(a)		1,754			—			94	^(d)		1,660	^(c)
Transfers Out of Level 3 ^(a)		(3,177	)		(3,177	)^(c)		—			—

Balance as of December 31, 2015	$	20,917			8,116			94			12,707


Country Weightings †
United States	93	%
Luxembourg	3
Canada	2
Netherlands	1
Singapore	1

Total	100	%


Investments in Securities	Loan Agreements
Balance as of September 30, 2015	$	446
Accrued discount/(premium)		—
Realized Gain (loss)		—
Change in unrealized appreciation (depreciation)		(61	)
Purchases		—
Sales^(b)		—
Transfers into Level 3^(a)		5,480	^(c)
Transfers from Level 3^(a)		—

Balance as of December 31, 2015	$	5,865


Fund	Market value		Collateral
International Equity	$	329	$	336
International Wealth Masters Fund		93		99
Wealth Masters Fund		8,254		8,508


Fund	Federal Tax Cost		Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Alternatives Diversifier Fund	$	87,738	$	2,563	$	(24,459	)	$	(21,896	)
Bond Fund		74,302		1,055		(2,458	)		(1,403	)
CA Tax-Exempt Bond		28,250		1,868		(120	)		1,748
Dynamic Trend Fund		436,362		28,234		(10,343	)		17,891
Emerging Markets Debt Fund		28,411		277		(3,266	)		(2,989	)
Emerging Markets Equity Income Fund		39,252		258		(4,967	)		(4,709	)
Emerging Markets Small-Cap Fund		5,108		—		(1,106	)		(1,106	)
Equity Trend Fund		1,448,758		71,448		(41,500	)		29,948
Essential Resources Fund		4,861		34		(719	)		(685	)
Foreign Opportunities Fund		1,299,381		470,021		(20,089	)		449,932


Global Equity Trend Fund	44,020		2,015	(1,027	)	988
Global Infrastructure Fund	127,412		9,222	(16,921	)	(7,699	)
Global Opportunities Fund	124,868		35,117	(1,152	)	33,965
Global Real Estate Securities Fund	84,448		10,945	(3,427	)	7,518
Greater European Opportunities Fund	22,541		3,320	(221	)	3,099
Herzfeld Fund	53,390		408	(4,588	)	(4,180	)
High Yield Fund	75,590		92	(6,135	)	(6,043	)
International Equity Fund	7,036		635	(329	)	306
International Real Estate Securities Fund	36,273		7,074	(3,535	)	3,539
International Small-Cap Fund	47,463		2,761	(8,816	)	(6,055	)
International Wealth Masters Fund	5,263		408	(608	)	(200	)
Low Volatility Equity Fund	5,033		392	(7	)	385
Low Volatility Equity Fund (Options)	(7	)	4	—		4
Multi-Asset Trend Fund	201,858		5,627	(3,095	)	2,532
Multi-Sector Intermediate Bond Fund	330,743		3,518	(30,553	)	(27,035	)
Multi-Sector Short Term Bond Fund	7,467,592		69,263	(277,599	)	(208,336	)
Real Estate Securities Fund	838,301		475,732	(21,299	)	454,433
Sector Trend Fund	608,799		—	(9,668	)	(9,668	)
Senior Floating Rate Fund	637,894		276	(37,037	)	(36,761	)
Wealth Masters Fund	121,823		8,738	(13,740	)	(5,002	)



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, Senior Vice President, Chief Financial Officer, and Treasurer
		(principal financial officer)

This ‘N-Q’ Filing	Date	Other Filings

Filed on / Effective on:	2/26/16
For Period End:	12/31/15
	11/16/15
	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 12/31/15

On: Friday, 2/26/16, at 4:47pm ET · Effective: 2/26/16 · For: 12/31/15 · Accession #: 1193125-16-482244 · File #: 811-07455

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Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-QFiling Table of Contents

N-Q — Virtus Opportunities Trust

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Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-Q
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