SEC Info - Valic Co II - ‘N-CSRS’ for 2/29/16

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		Alternative Formats (Word, et al.) Aggressive Growth Lifestyle Fund Approval of Advisory Agreements Capital Appreciation Fund Conservative Growth Lifestyle Fund Core Bond Fund Expense Example Financial Highlights High Yield Bond Fund International Opportunities Fund Large Cap Value Fund Mid Cap Growth Fund Mid Cap Value Fund Moderate Growth Lifestyle Fund Money Market II Fund Notes to Financial Statements Portfolios of Investments President's Letter Small Cap Growth Fund Small Cap Value Fund Socially Responsible Fund Statements of Assets and Liabilities Statements of Changes in Net Assets Statements of Operations Strategic Bond Fund Supplements to Prospectus Table of Contents
1	1st Page - Filing Submission
"	Table of Contents
"	President's Letter
"	Expense Example
"	Portfolios of Investments
"	Aggressive Growth Lifestyle Fund
"	Capital Appreciation Fund
"	Conservative Growth Lifestyle Fund
"	Core Bond Fund
"	High Yield Bond Fund
"	International Opportunities Fund
"	Large Cap Value Fund
"	Mid Cap Growth Fund
"	Mid Cap Value Fund
"	Moderate Growth Lifestyle Fund
"	Money Market II Fund
"	Small Cap Growth Fund
"	Small Cap Value Fund
"	Socially Responsible Fund
"	Strategic Bond Fund
"	Statements of Assets and Liabilities
"	Statements of Operations
"	Statements of Changes in Net Assets
"	Notes to Financial Statements
"	Financial Highlights
"	Approval of Advisory Agreements
"	Supplements to Prospectus

We are pleased to provide you with the following Semi-Annual Report for VALIC Company II. The report contains the investment portfolio information and the financial statements of VALIC Company II for the six-month period ended February 29, 2016. We encourage you to carefully read this report and thank you for your investment.

Overall, the six-months of the reporting period was a difficult time for the global equity markets. Domestic equities, as measured by the total return for the S&P 500^® Index,* a widely regarded gauge of the U.S. equity market, returned -0.92% for the period. The markets experienced a transition from a landscape of higher growth stocks rallying early in the period to a marketplace led by larger, higher quality, and less volatile stocks outperforming as investors sought a flight to safety. This transition is related to the changing backdrop of the markets both domestically as well as internationally. Oil prices continued to fall during the period, reaching lows not seen for almost seven years. These low oil prices have been affected by a myriad of issues, most notable among them is the oil producers’ refusal to curtail production (which has created a supply glut), exacerbated by a weak global economy. At its December 2015 meeting, the U.S. Federal Reserve Open Market Committee (the “Fed”) followed through on its widely anticipated first increase in interest rates since 2006, raising the targeted federal funds rate by 0.25%. While this action created expectations of further rate increases, in subsequent meetings, the Fed chose to leave rates unchanged, citing the Chinese economic slowdown and global market conditions.

The MSCI EAFE Index (net),** designed to measure the equity market performance of developed foreign markets (Europe, Australasia, Far East), excluding the U.S. and Canada, was hit even harder, falling -9.48% for the period. Volatility quickly returned to international markets amid signs of a steeper than expected economic slowdown in China and the subsequent decision by the Chinese government to devalue the Renminbi (RMB). Overseas, the MSCI Emerging Markets Index (net),**** designed to measure the equity market performance of emerging markets (including China, Russia, Brazil and India), returned -8.85% for the period.

Domestic bonds, as represented by the Barclays U.S. Aggregate Bond Index,*** a broad measure of the bond market, climbed 2.20% for the period. With the current volatility and the flight to safety, the outflows from equities have moved to bonds.

We appreciate being part of your investment program and thank you for your ongoing confidence in us. We look forward to serving your investment needs in the years ahead.

Indices are not managed and an investor cannot invest directly into an index. Past performance of an index does not guarantee the future performance of any investment.

As a shareholder of a Fund in VALIC Company II (“VC II”), you incur ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at September 1, 2015 and held until February 29, 2016. Shares of VC II are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies (“Variable Contracts”), qualified retirement plans (the “Plans”) and Individual Retirement Plan Accounts (“IRA”) offered by The Variable Annuity Life Insurance Company (“VALIC”), the investment adviser to VC II and other life insurance companies affiliated with VALIC. The fees and expenses associated with the Variable Contracts, Plans and IRA’s are not included in these Examples, and had such fees and expenses been included, your costs would have been higher. Please see your Variable Contract prospectus or Plan/IRA documents for more details on the fees associated with the Variable Contract, Plans or IRA’s.

The “Actual” section of the table provides information about your actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Expenses Paid During the Six Months Ended February 29, 2016” to estimate the expenses you paid on your account during this period. The “Expenses Paid During the Six Months Ended February 29, 2016” column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts, Plans and IRA’s, in which the Funds are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended February 29, 2016” column would have been higher and the “Ending Account Value” column would have been lower.

The “Hypothetical” section of the table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The “Expenses Paid During the Six Months Ended February 29, 2016” column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts, Plans or IRA’s in which the Funds are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended February 29, 2016” column would have been higher and the “Ending Account Value” column would have been lower.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses that may be charged by the Variable Contracts, Plans or IRA’s. Please refer to your Variable Contract prospectus or Plan/IRA document for more information. Therefore, the “hypothetical” example is useful in comparing ongoing costs and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have been higher.



Security Description	Shares		Value (Note 2)

AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 45.5%
VALIC Co. I Blue Chip Growth Fund		1,230,726	$	17,648,617
VALIC Co. I Dividend Value Fund		1,165,755		12,415,294
VALIC Co. I Mid Cap Index Fund		1,014,686		22,475,301
VALIC Co. I Mid Cap Strategic Growth Fund		517,105		5,801,917
VALIC Co. I Nasdaq-100 Index Fund		1,386,741		12,758,014
VALIC Co. I Science & Technology Fund		414,808		7,989,204
VALIC Co. I Small Cap Index Fund		1,534,625		24,523,308
VALIC Co. I Small Cap Special Values Fund		949,622		10,198,944
VALIC Co. I Stock Index Fund		580,775		17,649,767
VALIC Co. I Value Fund		219,625		2,938,577
VALIC Co. II Capital Appreciation Fund		950,120		15,059,398
VALIC Co. II Large Cap Value Fund		528,510		8,551,289
VALIC Co. II Mid Cap Growth Fund		883,288		6,845,480
VALIC Co. II Mid Cap Value Fund		1,385,843		28,174,179
VALIC Co. II Small Cap Growth Fund		696,251		8,758,843
VALIC Co. II Small Cap Value Fund		1,356,132		17,548,345

Total Domestic Equity Investment Companies
(cost $225,046,282)				219,336,477

Domestic Fixed Income Investment Companies — 22.2%
VALIC Co. I Capital Conservation Fund		850,362		8,350,559
VALIC Co. I Government Securities Fund		883,945		9,564,280
VALIC Co. I Inflation Protected Fund		294,976		3,112,000
VALIC Co. II Core Bond Fund		3,026,837		33,355,743
VALIC Co. II High Yield Bond Fund		4,320,460		30,675,269
VALIC Co. II Strategic Bond Fund		2,007,966		21,665,957

Total Domestic Fixed Income Investment Companies
(cost $110,997,661)				106,723,808



Security Description	Shares			Value (Note 2)


International Equity Investment Companies — 23.8%
VALIC Co. I Foreign Value Fund		2,859,542		$	22,676,167
VALIC Co. I International Equities Index Fund		8,969,749			51,127,567
VALIC Co. I International Growth Fund		2,301,376			24,762,806
VALIC Co. II International Opportunities Fund		1,115,857			16,090,664

Total International Equity Investment Companies
(cost $137,670,070)					114,657,204

Real Estate Investment Companies — 8.5%
VALIC Co. I Global Real Estate Fund
(cost $45,897,619)		5,613,529			41,034,898

TOTAL INVESTMENTS
(cost $519,611,632)(2)		100.0	%		481,752,387
Liabilities in excess of other assets		(0.0	)		(15,724	)

NET ASSETS		100.0	%	$	481,736,663

#	The Aggressive Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional information on the underlying funds including such fund’s prospectuses and shareholder reports is available at our website, www.valic.com.

(1)	See Note 3.

(2)	See Note 5 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

Industry Allocation*


Computers	5.9	%
Web Portals/ISP	5.6
Medical — Drugs	5.6
Applications Software	4.2
Medical — Biomedical/Gene	3.9
Internet Content — Entertainment	3.8
Food — Misc./Diversified	3.6
E-Commerce/Products	3.2
Beverages — Non-alcoholic	3.1
Finance — Credit Card	3.0
Enterprise Software/Service	2.7
Medical — HMO	2.7
Retail — Building Products	2.7
Retail — Restaurants	2.5
Instruments — Controls	2.5
Transport — Rail	2.2
Investment Management/Advisor Services	2.2
Medical Instruments	2.1
Cable/Satellite TV	2.0
Retail — Major Department Stores	1.9
Cosmetics & Toiletries	1.8
Diagnostic Equipment	1.8
Networking Products	1.7
E-Commerce/Services	1.7
Athletic Footwear	1.7
Aerospace/Defense	1.7
Television	1.6
Finance — Other Services	1.5
Brewery	1.5
Retail — Perfume & Cosmetics	1.4
Electronic Components — Semiconductors	1.4
Apparel Manufacturers	1.3
Electronic Forms	1.3
Advertising Agencies	1.3
Registered Investment Companies	1.3
Medical — Wholesale Drug Distribution	1.3
Aerospace/Defense — Equipment	1.3
Computer Services	1.2
Finance — Consumer Loans	1.2
Chemicals — Diversified	1.1
Auto/Truck Parts & Equipment — Original	1.1
Oil — Field Services	1.1
Pharmacy Services	0.9
Time Deposits	0.9
Insurance — Property/Casualty	0.8
Medical Information Systems	0.7
Auto — Cars/Light Trucks	0.6
Internet Application Software	0.6

	101.2	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 99.0%
Advertising Agencies — 1.3%
Interpublic Group of Cos., Inc.		48,721	$	1,042,142

Aerospace/Defense — 1.7%
Raytheon Co.		10,447		1,293,861

Aerospace/Defense - Equipment — 1.3%
United Technologies Corp.		10,206		986,104

Apparel Manufacturers — 1.3%
Hanesbrands, Inc.		36,838		1,049,515

Applications Software — 4.2%
Citrix Systems, Inc.†		14,186		1,002,241
Intuit, Inc.		10,048		971,039
Salesforce.com, Inc.†		18,822		1,275,190

				3,248,470

Athletic Footwear — 1.7%
NIKE, Inc., Class B		21,350		1,314,946

Auto - Cars/Light Trucks — 0.6%
Tesla Motors, Inc.†#		2,572		493,644

Auto/Truck Parts & Equipment - Original — 1.1%
Delphi Automotive PLC		12,537		835,967

Beverages - Non-alcoholic — 3.1%
PepsiCo, Inc.		24,693		2,415,469

Brewery — 1.5%
Molson Coors Brewing Co., Class B		13,633		1,162,486

Cable/Satellite TV — 2.0%
Comcast Corp., Class A		27,398		1,581,686

Chemicals - Diversified — 1.1%
Dow Chemical Co.		18,100		879,841

Computer Services — 1.2%
Cognizant Technology Solutions Corp., Class A†		15,920		907,122

Computers — 5.9%
Apple, Inc.		47,851		4,626,713

Cosmetics & Toiletries — 1.8%
Estee Lauder Cos., Inc., Class A		15,274		1,394,974

Diagnostic Equipment — 1.8%
Danaher Corp.		15,421		1,376,633

E-Commerce/Products — 3.2%
Amazon.com, Inc.†		4,511		2,492,418

E-Commerce/Services — 1.7%
Priceline Group, Inc.†		1,047		1,324,675

Electronic Components - Semiconductors — 1.4%
Broadcom, Ltd.		7,946		1,064,526

Electronic Forms — 1.3%
Adobe Systems, Inc.†		12,274		1,045,131

Enterprise Software/Service — 2.7%
Oracle Corp.		43,787		1,610,486
Workday, Inc., Class A†#		8,822		533,290

				2,143,776

Finance - Consumer Loans — 1.2%
Synchrony Financial†		33,402		900,184

Finance - Credit Card — 3.0%
Visa, Inc., Class A		32,466		2,350,214

Finance - Other Services — 1.5%
Intercontinental Exchange, Inc.		4,893		1,166,785



Security Description	Shares		Value (Note 2)


Food - Misc./Diversified — 3.6%
ConAgra Foods, Inc.		34,127	$	1,435,381
Mondelez International, Inc., Class A		32,973		1,336,396

				2,771,777

Instruments - Controls — 2.5%
Honeywell International, Inc.		18,990		1,924,636

Insurance - Property/Casualty — 0.8%
Progressive Corp.		19,084		609,161

Internet Application Software — 0.6%
Splunk, Inc.†		11,313		493,247

Internet Content - Entertainment — 3.8%
Facebook, Inc., Class A†		27,944		2,987,772

Investment Management/Advisor Services — 2.2%
BlackRock, Inc.		3,102		967,700
Federated Investors, Inc., Class B		27,888		729,829

				1,697,529

Medical Information Systems — 0.7%
Cerner Corp.†		10,966		559,924

Medical Instruments — 2.1%
Boston Scientific Corp.†		49,897		847,251
Medtronic PLC		10,140		784,735

				1,631,986

Medical - Biomedical/Gene — 3.9%
Alexion Pharmaceuticals, Inc.†		3,325		468,160
Biogen, Inc.†		4,457		1,156,235
Illumina, Inc.†		4,802		721,452
Vertex Pharmaceuticals, Inc.†		8,544		730,427

				3,076,274

Medical - Drugs — 5.6%
AbbVie, Inc.		29,800		1,627,378
Bristol-Myers Squibb Co.		25,604		1,585,656
Eli Lilly & Co.		15,793		1,137,096

				4,350,130

Medical - HMO — 2.7%
Centene Corp.†		9,921		565,100
UnitedHealth Group, Inc.		12,982		1,546,156

				2,111,256

Medical - Wholesale Drug Distribution — 1.3%
Cardinal Health, Inc.		12,551		1,025,417

Networking Products — 1.7%
Cisco Systems, Inc.		51,383		1,345,207

Oil - Field Services — 1.1%
Schlumberger, Ltd.		11,631		834,175

Pharmacy Services — 0.9%
Express Scripts Holding Co.†		10,111		711,612

Retail - Building Products — 2.7%
Home Depot, Inc.		16,931		2,101,476

Retail - Major Department Stores — 1.9%
TJX Cos., Inc.		19,867		1,472,145

Retail - Perfume & Cosmetics — 1.4%
Ulta Salon Cosmetics & Fragrance, Inc.†		6,697		1,106,277

Retail - Restaurants — 2.5%
McDonald’s Corp.		16,736		1,961,292

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Television — 1.6%
AMC Networks, Inc., Class A†		4,167	$	273,105
CBS Corp., Class B		20,925		1,012,352

				1,285,457

Transport - Rail — 2.2%
Union Pacific Corp.		22,182		1,749,272

Web Portals/ISP — 5.6%
Alphabet, Inc., Class A†		2,842		2,038,339
Alphabet, Inc., Class C†		3,379		2,357,765

				4,396,104

Total Long-Term Investment Securities
(cost $66,448,354)				77,299,408

SHORT-TERM INVESTMENT SECURITIES — 2.2%
Registered Investment Companies — 1.3%
State Street Navigator Securities Lending Prime Portfolio 0.49%(1)(2)		1,035,548		1,035,548



Security Description	Principal Amount			Value (Note 2)


Time Deposits — 0.9%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 03/01/2016	$	650,000		$	650,000

Total Short-Term Investment Securities
(cost $1,685,548)					1,685,548

TOTAL INVESTMENTS
(cost $68,133,902)(3)		101.2	%		78,984,956
Liabilities in excess of other assets		(1.2	)		(932,382	)

NET ASSETS		100.0	%	$	78,052,574

†	Non-income producing security

#	The security or a portion thereof is out on loan; see Note 2.

(1)	At February 29, 2016, the Fund had loaned securities with a total value of $1,026,934. This was secured by collateral of $1,035,548, which was received in cash and subsequently invested in short-term investments currently valued at $1,035,548 as reported in the Portfolio of Investments.

(2)	The rate shown is the 7-day yield as of February 29, 2016.

(3)	See Note 5 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.



Security Description	Shares		Value (Note 2)

AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 10.4%
VALIC Co. I Blue Chip Growth Fund		150,838	$	2,163,017
VALIC Co. I Mid Cap Index Fund		318		7,048
VALIC Co. I Mid Cap Strategic Growth Fund		78,414		879,810
VALIC Co. I Nasdaq-100 Index Fund		80,042		736,385
VALIC Co. I Science & Technology Fund		60,820		1,171,387
VALIC Co. I Small Cap Index Fund		283,716		4,533,786
VALIC Co. I Small Cap Special Values Fund		292,523		3,141,696
VALIC Co. I Value Fund		34,258		458,371
VALIC Co. II Capital Appreciation Fund		201,032		3,186,350
VALIC Co. II Large Cap Value Fund		141,232		2,285,130
VALIC Co. II Mid Cap Growth Fund		109,458		848,297
VALIC Co. II Mid Cap Value Fund		325,229		6,611,909
VALIC Co. II Small Cap Growth Fund		50,873		639,985
VALIC Co. II Small Cap Value Fund		407,557		5,273,786

Total Domestic Equity Investment Companies
(cost $32,462,218)				31,936,957

Domestic Fixed Income Investment Companies — 65.7%
VALIC Co. I Capital Conservation Fund		1,481,437		14,547,712
VALIC Co. I Government Securities Fund		1,139,016		12,324,155
VALIC Co. I Inflation Protected Fund		792,328		8,359,057
VALIC Co. II Core Bond Fund		6,097,638		67,195,968
VALIC Co. II High Yield Bond Fund		5,349,001		37,977,909
VALIC Co. II Strategic Bond Fund		5,784,555		62,415,348

Total Domestic Fixed Income Investment Companies
(cost $210,873,784)				202,820,149



Security Description	Shares			Value (Note 2)


International Equity Investment Companies — 18.7%
VALIC Co. I Foreign Value Fund		1,342,890		$	10,649,121
VALIC Co. I International Equities Index Fund		4,584,408			26,131,128
VALIC Co. I International Growth Fund		1,297,422			13,960,258
VALIC Co. II International Opportunities Fund		470,567			6,785,580

Total International Equity Investment Companies
(cost $70,572,817)					57,526,087

International Fixed Income Investment Companies — 0.0%
VALIC Co. I International Government Bond Fund
(cost $4,682)		415			4,607

Real Estate Investment Companies — 5.2%
VALIC Co. I Global Real Estate Fund
(cost $18,663,565)		2,211,307			16,164,655

TOTAL INVESTMENTS
(cost $332,577,066)(2)		100.0	%		308,452,455
Other assets less liabilities		0.0			28,046

NET ASSETS		100.0	%	$	308,480,501

#	The Conservative Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional information on the underlying funds including such fund’s prospectuses and shareholder reports is available at our website, www.valic.com.

(1)	See Note 3

(2)	See Note 5 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

Industry Allocation*


Federal National Mtg. Assoc.	20.5	%
United States Treasury Notes	17.1
Federal Home Loan Mtg. Corp.	10.9
Time Deposits	10.4
United States Treasury Bonds	5.6
Diversified Banking Institutions	5.1
Diversified Financial Services	4.9
Banks — Commercial	2.9
Government National Mtg. Assoc.	2.2
Registered Investment Companies	1.7
Telephone — Integrated	1.4
Electric — Integrated	1.4
Oil Companies — Integrated	1.0
Brewery	0.9
Auto — Cars/Light Trucks	0.9
Paper & Related Products	0.7
Savings & Loans/Thrifts	0.7
Medical — Drugs	0.7
Oil Companies — Exploration & Production	0.6
Banks — Super Regional	0.6
Pipelines	0.6
Cable/Satellite TV	0.6
Insurance — Multi-line	0.6
Insurance — Life/Health	0.5
Real Estate Investment Trusts	0.5
Sovereign	0.5
Aerospace/Defense	0.5
Electric — Generation	0.5
Computers	0.5
Medical Labs & Testing Services	0.5
Finance — Other Services	0.5
Diversified Manufacturing Operations	0.4
Finance — Credit Card	0.4
Insurance — Mutual	0.4
Aerospace/Defense — Equipment	0.3
Machinery — Farming	0.3
Retail — Restaurants	0.3
Cellular Telecom	0.3
Networking Products	0.3
Computer Services	0.3
Medical — Hospitals	0.3
Medical — HMO	0.3
Municipal Bonds & Notes	0.3
Finance — Consumer Loans	0.3
Casino Hotels	0.2
Banks — Fiduciary	0.2
Finance — Auto Loans	0.2
Retail — Discount	0.2
Electric — Distribution	0.2
Auto — Heavy Duty Trucks	0.2
Airlines	0.2
Independent Power Producers	0.2
Multimedia	0.2
Medical — Generic Drugs	0.2
Coatings/Paint	0.2
Diversified Minerals	0.2
Gambling (Non-Hotel)	0.2
Beverages — Non-alcoholic	0.2
Data Processing/Management	0.2
Containers — Paper/Plastic	0.2
Printing — Commercial	0.2
Food — Dairy Products	0.2
Transport — Rail	0.2
Electronic Components — Semiconductors	0.1
Chemicals — Diversified	0.1
Tools — Hand Held	0.1
Cruise Lines	0.1
Oil Refining & Marketing	0.1
Publishing — Periodicals	0.1


Food — Misc./Diversified	0.1
Finance — Leasing Companies	0.1
Retail — Drug Store	0.1
Consumer Products — Misc.	0.1
Building — Residential/Commercial	0.1
Beverages — Wine/Spirits	0.1
Commercial Services — Finance	0.1
Building Products — Wood	0.1
Diagnostic Equipment	0.1
Steel Pipe & Tube	0.1
Food — Retail	0.1
Medical — Biomedical/Gene	0.1
Retail — Building Products	0.1
Banks — Money Center	0.1
Satellite Telecom	0.1
Steel — Producers	0.1
Publishing — Newspapers	0.1
Telecom Services	0.1
Disposable Medical Products	0.1
Investment Management/Advisor Services	0.1
SupraNational Banks	0.1
Chemicals — Specialty	0.1
Food — Meat Products	0.1
Machinery — General Industrial	0.1
Electronic Components — Misc.	0.1
Wire & Cable Products	0.1
Music	0.1
Real Estate Management/Services	0.1
Applications Software	0.1
Chemicals — Plastics	0.1
Medical Products	0.1
Schools	0.1
Building & Construction Products — Misc.	0.1
Pharmacy Services	0.1
Power Converter/Supply Equipment	0.1
Containers — Metal/Glass	0.1
Hotels/Motels	0.1
Auto/Truck Parts & Equipment — Original	0.1
Internet Content — Entertainment	0.1
Insurance — Property/Casualty	0.1
Finance — Investment Banker/Broker	0.1
Oil — Field Services	0.1
Finance — Mortgage Loan/Banker	0.1
Gold Mining	0.1
Retail — Appliances	0.1
Travel Services	0.1
Theaters	0.1
Building Products — Cement	0.1
Distribution/Wholesale	0.1
Rental Auto/Equipment	0.1
Enterprise Software/Service	0.1
Real Estate Operations & Development	0.1
Computer Software	0.1
Energy — Alternate Sources	0.1
Advertising Agencies	0.1
Specified Purpose Acquisitions	0.1
Building & Construction — Misc.	0.1

	110.3	%

*	Calculated as a percentage of net assets.



Security Description	Principal Amount		Value (Note 2)

ASSET BACKED SECURITIES — 4.5%
Diversified Financial Services — 4.5%
American Express Credit Account Master Trust Series 2014-3, Class A 1.49% due 04/15/2020	$	422,000	$	424,229
AmeriCredit Automobile Receivables Trust Series 2015-2, Class C 2.40% due 01/08/2021		1,145,000		1,146,045
AmeriCredit Automobile Receivables Trust Series 2013-3, Class D 3.00% due 07/08/2019		1,050,000		1,066,380
Applebee’s Funding LLC/IHOP Funding LLC Series 2014-1, Class A2 4.28% due 09/05/2044*		571,000		573,400
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.01% due 10/25/2034		1,021,969		947,221
Avis Budget Rental Car Funding AESOP LLC Series 2014-1A, Class A 2.46% due 07/20/2020*		950,000		940,681
B2R Mtg. Trust Series 2015-1, Class A1 2.52% due 05/15/2048*		982,002		972,809
BA Credit Card Trust Series 2015-A2, Class A 1.36% due 09/15/2020		1,217,000		1,219,885
Capital Auto Receivables Asset Trust Series 2015-2, Class A2 1.39% due 09/20/2018		1,166,000		1,166,904
CarMax Auto Owner Trust Series 2014-2, Class C 2.08% due 01/15/2020		652,000		655,437
Chase Issuance Trust FRS Series 2014-A5, Class A5 0.80% due 04/15/2021		1,446,000		1,442,449
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A2 2.79% due 03/10/2047(1)		1,478,000		1,512,530
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class A2 2.85% due 07/10/2047(1)		1,460,000		1,498,286
Commercial Mtg. Trust Series 2015-DC1, Class A2 2.87% due 02/10/2048(1)		1,778,000		1,828,084
Commercial Mtg. Trust VRS Series 2016-787S, Class A VRS 3.55% due 02/10/2036*(1)(2)		1,786,000		1,839,440
Commercial Mtg. Trust VRS Series 2016-787S, Class B 3.96% due 02/10/2036*(1)(2)		754,000		776,077
Core Industrial Trust Series 2015-1, Class A 3.04% due 02/10/2034*(1)		2,784,000		2,815,712
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(3)		38,181		38,333
CSMC Trust Series 2015-GLPA, Class A 3.88% due 11/15/2037*(1)		1,500,000		1,594,942
DB Master Finance LLC Series 2015-1A, Class A2II 3.98% due 02/20/2045*		658,350		649,331
Dell Equipment Finance Trust Series 2015-1, Class A3 1.30% due 03/23/2020*		1,179,000		1,174,387



Security Description	Principal Amount		Value (Note 2)


Diversified Financial Services (continued)
Discover Card Execution Note Trust Series 2015-A4, Class A1 2.19% due 04/17/2023	$	4,356,000	$	4,426,503
First Franklin Mtg. Loan Trust FRS Series 2006-FF15, Class A5 0.60% due 11/25/2036		1,445,716		1,242,087
Ford Credit Auto Owner Trust Series 2014-C, Class B 1.97% due 04/15/2020		1,001,000		1,012,117
Ford Credit Auto Owner Trust Series 2015-1, Class A 2.12% due 07/15/2026*		900,000		902,901
GS Mtg. Securities Trust Series 2015-GC28, Class A2 2.90% due 02/10/2048(1)		61,000		62,828
GS Mtg. Securities Trust Series 2013-GC14, Class A2 3.00% due 08/10/2046(1)		3,200,000		3,264,883
Hyundai Auto Lease Securitization Trust Series 2015-B, Class A3 1.40% due 11/15/2018*		170,000		170,060
Invitation Homes Trust FRS Series 2014-SFR1, Class A 1.43% due 06/17/2031*		1,495,000		1,454,110
LB-UBS Commercial Mtg. Trust Series 2007-C1, Class A4 5.42% due 02/15/2040(1)		941,526		959,540
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(1)		1,000,000		1,033,933
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C19, Class A2 3.10% due 12/15/2047(1)		1,112,000		1,161,766
Nissan Auto Lease Trust Series 2014-A, Class A4 1.04% due 10/15/2019		350,000		349,920
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)		1,928,538		1,922,694
Santander Drive Auto Receivables Trust Series 2014-5, Class C 2.46% due 06/15/2020		1,000,000		999,324
Sierra Timeshare Receivables Funding LLC Series 2014-2A, Class A 2.05% due 06/20/2031*		384,861		386,138
Sierra Timeshare Receivables Funding LLC Series 2015-2A, Class A 2.43% due 06/20/2032*		608,414		607,365
Synchrony Credit Card Master Note Trust Series 2014-1, Class A 1.61% due 11/15/2020		1,400,000		1,399,389
Synchrony Credit Card Master Note Trust Series 2015-3, Class A 1.74% due 09/15/2021		434,000		433,974
Wells Fargo Commercial Mtg. Trust Series BH3-C26, Class A2 2.66% due 02/15/2048(1)		2,400,000		2,452,306
Wells Fargo Commercial Mtg. Trust Series 2015-P2, Class A4 3.81% due 12/15/2048(1)		2,172,000		2,311,310
Wells Fargo Mtg. Backed Securities Trust FRS Series 2004-X, Class 1A3 2.75% due 11/25/2034(3)		359,484		358,026

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Wendys Funding LLC Series 2015-1A, Class A2I 3.37% due 06/15/2045*	$	946,628	$	922,678
Wendys Funding LLC Series 2015-1A, Class A23 4.50% due 06/15/2045*		547,628		533,444

Total Asset Backed Securities
(cost $52,731,763)				52,649,858

U.S. CORPORATE BONDS & NOTES — 26.4%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024		611,000		610,212

Aerospace/Defense — 0.4%
BAE Systems Holdings, Inc. Company Guar. Notes 3.80% due 10/07/2024*		1,143,000		1,168,153
BAE Systems Holdings, Inc. Company Guar. Notes 4.75% due 10/07/2044*		532,000		544,608
Boeing Co. Senior Notes 0.95% due 05/15/2018		1,547,000		1,535,071
Boeing Co. Senior Notes 2.20% due 10/30/2022		857,000		849,673
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		394,000		423,642

				4,521,147

Aerospace/Defense - Equipment — 0.3%
Harris Corp. Senior Notes 4.85% due 04/27/2035		1,054,000		1,052,446
Harris Corp. Senior Notes 5.05% due 04/27/2045		1,000,000		1,024,725
Moog, Inc. Company Guar. Notes 5.25% due 12/01/2022*		609,000		596,820
Orbital ATK, Inc. Company Guar. Notes 5.25% due 10/01/2021		419,000		426,856
Orbital ATK, Inc. Company Guar. Notes 5.50% due 10/01/2023*		710,000		733,075

				3,833,922

Airlines — 0.1%
Allegiant Travel Co. Company Guar. Notes 5.50% due 07/15/2019		693,000		694,732
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 01/02/2018(2)		45,115		45,566
United Airlines Pass-Through Trust Pass-Through Certs Series 2014-2, Class B 4.63% due 03/03/2024		920,000		924,600

				1,664,898



Security Description	Principal Amount		Value (Note 2)


Alternative Waste Technology — 0.0%
ADS Waste Holdings, Inc. Company Guar. Notes 8.25% due 10/01/2020	$	469,000	$	459,620

Applications Software — 0.1%
Microsoft Corp. Senior Notes 1.30% due 11/03/2018		936,000		940,020

Auto - Cars/Light Trucks — 0.8%
American Honda Finance Corp. Senior Notes 1.20% due 07/14/2017		1,451,000		1,447,943
Daimler Finance North America LLC Company Guar. Notes 1.38% due 08/01/2017*		1,461,000		1,451,743
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020*		1,839,000		1,823,762
Daimler Finance North America LLC Company Guar. Notes 2.63% due 09/15/2016*		587,000		590,975
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		698,000		695,017
Hyundai Capital America Senior Notes 2.40% due 10/30/2018*		2,238,000		2,244,316
Toyota Motor Credit Corp. Senior Notes 1.55% due 07/13/2018		738,000		738,137

				8,991,893

Auto - Heavy Duty Trucks — 0.2%
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		318,000		325,950
PACCAR Financial Corp. Senior Notes 1.65% due 02/25/2019		324,000		324,188
PACCAR Financial Corp. Senior Notes 2.20% due 09/15/2019		1,620,000		1,648,985

				2,299,123

Auto/Truck Parts & Equipment - Original — 0.1%
Affinia Group, Inc. Company Guar. Notes 7.75% due 05/01/2021		353,000		363,590
Omega US Sub LLC Senior Notes 8.75% due 07/15/2023*		523,000		473,315

				836,905

Banks - Commercial — 1.0%
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025		2,256,000		2,262,053
Fifth Third Bank Senior Notes 2.88% due 10/01/2021		1,423,000		1,435,539
First Horizon National Corp. Senior Notes 3.50% due 12/15/2020		2,712,000		2,692,422
First Tennessee Bank NA Senior Notes 2.95% due 12/01/2019		979,000		974,573

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Banks - Commercial (continued)
KeyBank NA Senior Notes 2.25% due 03/16/2020	$	626,000	$	621,594
Regions Financial Corp. Senior Notes 3.20% due 02/08/2021		1,098,000		1,092,558
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		1,907,000		2,456,407

				11,535,146

Banks - Fiduciary — 0.1%
Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022*		1,570,000		1,607,474

Banks - Super Regional — 0.3%
SunTrust Banks, Inc. Senior Notes 2.90% due 03/03/2021		749,000		747,375
Wells Fargo & Co. Sub. Notes 4.10% due 06/03/2026		1,033,000		1,066,853
Wells Fargo & Co. Sub. Notes 4.30% due 07/22/2027		1,775,000		1,841,939
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		389,000		394,329

				4,050,496

Batteries/Battery Systems — 0.0%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		605,000		576,263

Brewery — 0.9%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		753,000		760,080
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.65% due 02/01/2021		1,408,000		1,431,923
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		617,000		634,039
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		870,000		898,031
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		2,568,000		2,692,158
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046		1,542,000		1,652,398
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 1.38% due 07/15/2017		2,222,000		2,227,137

				10,295,766

Broadcast Services/Program — 0.0%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes Series A 6.50% due 11/15/2022		609,000		552,668



Security Description	Principal Amount		Value (Note 2)


Building & Construction Products - Misc. — 0.1%
Building Materials Corp. of America Senior Notes 6.00% due 10/15/2025*	$	610,000	$	619,912
GCP Applied Technologies, Inc. Company Guar. Notes 9.50% due 02/01/2023*		128,000		136,960
Standard Industries, Inc. Senior Notes 5.13% due 02/15/2021*		158,000		161,160

				918,032

Building & Construction - Misc. — 0.1%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		650,000		605,313

Building Products - Cement — 0.1%
Cemex Finance LLC Senior Sec. Notes 6.00% due 04/01/2024*#		750,000		676,950

Building Products - Wood — 0.1%
Masco Corp. Senior Notes 4.45% due 04/01/2025		1,336,000		1,326,808

Building - Residential/Commercial — 0.1%
Lennar Corp. Company Guar. Notes 4.75% due 04/01/2021		339,000		340,695
Meritage Homes Corp. Company Guar. Notes 7.00% due 04/01/2022		500,000		518,750

				859,445

Cable/Satellite TV — 0.4%
Altice US Finance I Corp Senior Sec. Notes 5.38% due 07/15/2023*		300,000		303,750
Cable One, Inc. Company Guar. Notes 5.75% due 06/15/2022*		877,000		879,192
CCO Holdings LLC Company Guar. Notes 5.88% due 04/01/2024*#		390,000		398,288
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		1,303,000		1,305,594
CCO Safari II LLC Senior Sec. Notes 6.38% due 10/23/2035*		599,000		625,644
CCOH Safari LLC Senior Notes 5.75% due 02/15/2026*		635,000		636,670
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		500,000		442,500

				4,591,638

Casino Hotels — 0.2%
Caesars Entertainment Resort Properties LLC Senior Sec. Notes 8.00% due 10/01/2020		882,000		862,155
Caesars Entertainment Resort Properties LLC Sec. Notes 11.00% due 10/01/2021#		980,000		845,250

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Casino Hotels (continued)
Downstream Development Authority of the Quapaw Tribe of Oklahoma Senior Sec. Notes 10.50% due 07/01/2019*	$	625,000	$	592,187
Golden Nugget Escrow, Inc. Senior Notes 8.50% due 12/01/2021*		463,000		442,165
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC Company Guar. Notes 5.88% due 05/15/2021*		175,000		174,125

				2,915,882

Cellular Telecom — 0.3%
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		3,195,000		2,404,237
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		445,000		457,238
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2026		832,000		843,124

				3,704,599

Chemicals - Diversified — 0.1%
Eco Services Operations LLC/Eco Finance Corp. Senior Notes 8.50% due 11/01/2022*		455,000		407,225
Solvay Finance America LLC Company Guar. Notes 4.45% due 12/03/2025*		1,350,000		1,353,993

				1,761,218

Chemicals - Plastics — 0.0%
A. Schulman, Inc. Company Guar. Notes 6.88% due 06/01/2023*		129,000		122,550

Chemicals - Specialty — 0.1%
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		550,000		708,141
Tronox Finance LLC Company Guar. Notes 7.50% due 03/15/2022*		497,000		306,898

				1,015,039

Coal — 0.0%
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.38% due 02/01/2020*		509,000		320,670

Coatings/Paint — 0.2%
RPM International, Inc. Senior Notes 5.25% due 06/01/2045		1,691,000		1,665,358
Valspar Corp. Senior Notes 3.95% due 01/15/2026		464,000		468,770

				2,134,128

Commercial Services - Finance — 0.1%
Automatic Data Processing, Inc. Senior Notes 2.25% due 09/15/2020		547,000		558,118



Security Description	Principal Amount		Value (Note 2)


Commercial Services - Finance (continued)
Harland Clarke Holdings Corp. Senior Sec. Notes 6.88% due 03/01/2020*	$	270,000	$	220,050
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		842,000		551,510

				1,329,678

Computer Services — 0.3%
Hewlett Packard Enterprise Co. Company Guar. Notes 4.90% due 10/15/2025*		982,000		931,961
Hewlett Packard Enterprise Co. Company Guar. Notes 6.20% due 10/15/2035*		1,147,000		993,902
Hewlett Packard Enterprise Co. Company Guar. Notes 6.35% due 10/15/2045*		1,043,000		889,453
International Business Machines Corp. Senior Notes 3.45% due 02/19/2026		681,000		693,089

				3,508,405

Computer Software — 0.1%
Rackspace Hosting, Inc. Company Guar. Notes 6.50% due 01/15/2024*		660,000		622,050

Computers — 0.5%
Apple, Inc. Senior Notes 2.85% due 05/06/2021		1,589,000		1,655,228
Apple, Inc. Senior Notes 2.85% due 02/23/2023		1,130,000		1,155,532
Apple, Inc. Senior Notes 4.50% due 02/23/2036		1,223,000		1,276,175
Hewlett-Packard Co. Senior Notes 6.00% due 09/15/2041		1,694,000		1,396,762

				5,483,697

Computers - Integrated Systems — 0.0%
Everi Payments, Inc. Senior Notes 10.00% due 01/15/2022		476,000		390,320

Consumer Products - Misc. — 0.0%
Kimberly-Clark Corp. Senior Notes 1.85% due 03/01/2020		367,000		367,962

Containers - Metal/Glass — 0.1%
Ball Corp. Company Guar. Notes 4.38% due 12/15/2020		330,000		344,850
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		483,000		515,603

				860,453

Containers - Paper/Plastic — 0.2%
Berry Plastics Corp. Sec. Notes 5.13% due 07/15/2023		1,050,000		1,050,000

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Containers - Paper/Plastic (continued)
Brambles USA, Inc. Company Guar. Notes 4.13% due 10/23/2025*	$	446,000	$	450,856
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. Company Guar. Notes 10.13% due 07/15/2020*		454,000		349,580

				1,850,436

Data Processing/Management — 0.2%
Fidelity National Information Services, Inc. Senior Notes 5.00% due 10/15/2025		453,000		470,681
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024*		499,000		506,799
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		125,000		130,000
First Data Corp. Sec. Notes 5.75% due 01/15/2024*		751,000		755,694

				1,863,174

Diagnostic Equipment — 0.1%
Danaher Corp. Senior Notes 3.35% due 09/15/2025		780,000		821,970
Danaher Corp. Senior Notes 4.38% due 09/15/2045		430,000		462,051

				1,284,021

Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.13% due 07/15/2024		500,000		508,750

Disposable Medical Products — 0.0%
Sterigenics-Nordion Holdings LLC Senior Notes 6.50% due 05/15/2023*		237,000		222,780

Distribution/Wholesale — 0.1%
H&E Equipment Services, Inc. Company Guar. Notes 7.00% due 09/01/2022#		359,000		341,948
LKQ Corp. Company Guar. Notes 4.75% due 05/15/2023		336,000		322,560

				664,508

Diversified Banking Institutions — 2.5%
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		1,286,000		1,292,375
Bank of America Corp. Senior Notes 2.63% due 10/19/2020		655,000		649,300
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		1,078,000		1,038,947
Bank of America Corp. Sub. Notes 4.25% due 10/22/2026		1,291,000		1,274,094



Security Description	Principal Amount		Value (Note 2)


Diversified Banking Institutions (continued)
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037	$	1,681,000	$	1,829,602
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		75,000		86,201
Citigroup, Inc. Sub. Notes 3.88% due 03/26/2025		783,000		750,173
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025		2,624,000		2,610,098
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		973,000		957,258
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033		622,000		653,451
Goldman Sachs Group, Inc. Senior Notes 3.63% due 01/22/2023		1,286,000		1,307,669
Goldman Sachs Group, Inc. Sub. Notes 4.25% due 10/21/2025		1,296,000		1,289,392
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045		395,000		401,811
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		458,000		436,653
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		1,236,000		1,444,952
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		2,250,000		2,571,593
JPMorgan Chase & Co. Senior Notes 2.20% due 10/22/2019		1,856,000		1,854,781
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		602,000		611,598
JPMorgan Chase & Co. Sub. Notes 4.13% due 12/15/2026		1,240,000		1,257,728
JPMorgan Chase & Co. Sub. Notes 4.95% due 06/01/2045		595,000		600,161
Morgan Stanley Senior Notes 2.80% due 06/16/2020		663,000		666,324
Morgan Stanley Sub. Notes 4.10% due 05/22/2023		2,854,000		2,877,277
Morgan Stanley Senior Notes 4.75% due 03/22/2017		1,268,000		1,309,547
Morgan Stanley Sub. Notes 5.00% due 11/24/2025		1,542,000		1,621,982

				29,392,967

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Diversified Financial Services — 0.2%
General Electric Capital Corp. Company Guar. Notes 5.88% due 01/14/2038	$	324,000	$	407,478
USAA Capital Corp. Senior Notes 2.13% due 06/03/2019*		1,623,000		1,635,232

				2,042,710

Diversified Manufacturing Operations — 0.4%
General Electric Co. Senior Notes 2.70% due 10/09/2022		932,000		963,771
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 5.75% due 06/15/2043		1,266,000		1,435,295
Textron, Inc. Senior Notes 4.63% due 09/21/2016		1,120,000		1,138,067
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024		777,000		662,929

				4,200,062

Diversified Operations — 0.0%
MUFG Americas Holdings Corp. Senior Notes 1.63% due 02/09/2018		565,000		560,893

Educational Software — 0.0%
Blackboard, Inc. Senior Notes 7.75% due 11/15/2019*		400,000		322,000

Electric - Distribution — 0.1%
Entergy Louisiana LLC 1st Mtg. Notes 4.95% due 01/15/2045		726,000		730,647

Electric - Integrated — 1.3%
AES Corp. Senior Notes 4.88% due 05/15/2023		530,000		477,000
AES Corp. Senior Notes 5.50% due 03/15/2024		1,144,000		1,052,480
Arizona Public Service Co. Senior Notes 2.20% due 01/15/2020		579,000		581,363
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		1,459,000		1,565,335
Entergy Arkansas, Inc. 1st Mtg. Bonds 3.50% due 04/01/2026		346,000		365,669
Entergy Arkansas, Inc. 1st Mtg. Notes 4.95% due 12/15/2044		814,000		826,231
Exelon Corp. Senior Notes 4.95% due 06/15/2035*		499,000		510,184
Exelon Corp. Senior Notes 5.10% due 06/15/2045*		520,000		531,097
Exelon Generation Co. LLC Senior Notes 2.95% due 01/15/2020		785,000		785,250



Security Description	Principal Amount		Value (Note 2)


Electric - Integrated (continued)
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031	$	866,000	$	1,076,008
Indiana Michigan Power Co. Senior Notes 4.55% due 03/15/2046		224,000		223,232
Louisville Gas & Electric Co. 1st Mtg. Notes 4.38% due 10/01/2045		127,000		136,954
Mirant Mid Atlantic LLC Pass Through Trust 1st. Mtg. Bonds 10.06% due 12/30/2028		705,389		687,754
South Carolina Electric & Gas Co. 1st. Mtg. Bonds 5.10% due 06/01/2065		606,000		651,010
Southern California Edison Co. 1st. Mtg. Notes 1.13% due 05/01/2017		1,496,000		1,495,446
Southern Co. Senior Notes 1.30% due 08/15/2017		1,198,000		1,189,677
Southern Power Co. Senior Notes 4.15% due 12/01/2025		1,029,000		1,033,788
Talen Energy Supply LLC Senior Notes 6.50% due 06/01/2025		1,574,000		1,086,060
Trans-Allegheny Interstate Line Co. Senior Notes 3.85% due 06/01/2025*		610,000		625,900

				14,900,438

Electronic Components - Misc. — 0.1%
Corning, Inc. Senior Notes 1.50% due 05/08/2018		667,000		660,819

Electronic Components - Semiconductors — 0.1%
Intel Corp. Senior Notes 1.35% due 12/15/2017		1,180,000		1,187,270
Micron Technology, Inc. Senior Notes 5.63% due 01/15/2026*		600,000		486,000

				1,673,270

Electronics - Military — 0.0%
L-3 Communications Corp. Company Guar. Notes 3.95% due 05/28/2024		100,000		94,008

Energy - Alternate Sources — 0.1%
TerraForm Power Operating LLC Company Guar. Notes 5.88% due 02/01/2023*		820,000		615,000

Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 3.90% due 05/15/2035		681,000		651,555

Finance - Auto Loans — 0.2%
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025		1,549,000		1,502,530

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Finance - Auto Loans (continued)
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023*	$	1,045,000	$	987,525

				2,490,055

Finance - Commercial — 0.0%
Jefferies Finance LLC/JFIN Co-Issuer Corp. Senior Notes 6.88% due 04/15/2022*		223,000		157,215
Jefferies Finance LLC/JFIN Co-Issuer Corp. Senior Notes 7.38% due 04/01/2020*		220,000		169,400

				326,615

Finance - Consumer Loans — 0.3%
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021		991,000		683,790
Navient Corp. Senior Notes 5.88% due 10/25/2024		350,000		283,500
OneMain Financial Holdings, Inc. Company Guar. Notes 6.75% due 12/15/2019*		514,000		486,373
SLM Corp. Senior Notes 5.63% due 08/01/2033		537,000		349,050
Synchrony Financial Senior Notes 4.25% due 08/15/2024		1,195,000		1,193,354

				2,996,067

Finance - Credit Card — 0.4%
Discover Financial Services Senior Notes 3.75% due 03/04/2025		1,237,000		1,167,409
Visa, Inc. Senior Notes 2.20% due 12/14/2020		1,861,000		1,894,433
Visa, Inc. Senior Notes 3.15% due 12/14/2025		588,000		610,666
Visa, Inc. Senior Notes 4.30% due 12/14/2045		587,000		630,380

				4,302,888

Finance - Investment Banker/Broker — 0.1%
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(4)		179,000		18
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(4)		230,000		23
TD Ameritrade Holding Corp. Senior Notes 2.95% due 04/01/2022		794,000		806,294

				806,335

Finance - Mortgage Loan/Banker — 0.1%
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025*		850,000		794,750



Security Description	Principal Amount		Value (Note 2)


Finance - Other Services — 0.4%
National Rural Utilities Cooperative Finance Corp. Senior Notes 0.95% due 04/24/2017	$	588,000	$	587,196
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 1.10% due 01/27/2017		2,319,000		2,320,036
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.00% due 01/27/2020		1,116,000		1,117,361
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.30% due 11/01/2020		531,000		535,732

				4,560,325

Firearms & Ammunition — 0.0%
FGI Operating Co. LLC/FGI Finance, Inc. Sec. Notes 7.88% due 05/01/2020		451,000		261,580

Food - Dairy Products — 0.1%
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023*		600,000		631,314

Food - Flour & Grain — 0.0%
Post Holdings, Inc. Company Guar. Notes 7.75% due 03/15/2024*#		370,000		405,150

Food - Meat Products — 0.1%
JBS USA LLC/JBS USA Finance, Inc. Senior Notes 5.88% due 07/15/2024*		1,138,000		1,007,130

Food - Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025*		1,441,000		1,576,659

Food - Retail — 0.1%
Kroger Co. Senior Notes 3.50% due 02/01/2026		598,000		617,177
SUPERVALU, Inc. Senior Notes 7.75% due 11/15/2022#		710,000		553,800

				1,170,977

Food - Wholesale/Distribution — 0.0%
C&S Group Enterprises LLC Senior Sec. Notes 5.38% due 07/15/2022*		261,000		240,773

Gambling (Non-Hotel) — 0.1%
Scientific Games International, Inc. Senior Sec. Notes 7.00% due 01/01/2022*		258,000		250,905
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022		500,000		392,500
Waterford Gaming LLC/Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(2)(4)		5,223		51

				643,456

Gas - Distribution — 0.0%
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043		546,000		535,118

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Hotels/Motels — 0.1%
Hyatt Hotels Corp. Senior Notes 4.85% due 03/15/2026	$	509,000	$	508,593
Interval Acquisition Corp. Company Guar. Notes 5.63% due 04/15/2023*		350,000		343,875

				852,468

Human Resources — 0.0%
Team Health, Inc. Company Guar. Notes 7.25% due 12/15/2023*		450,000		472,500

Independent Power Producers — 0.2%
Dynegy, Inc. Company Guar. Notes 7.38% due 11/01/2022		1,180,000		985,300
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		406,000		263,900
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022		1,176,000		993,720

				2,242,920

Industrial Gases — 0.0%
Airgas, Inc. Senior Notes 3.05% due 08/01/2020		372,000		378,511

Insurance Brokers — 0.0%
USI, Inc. Senior Notes 7.75% due 01/15/2021*		475,000		437,000

Insurance - Life/Health — 0.4%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		229,000		222,130
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		582,000		651,137
Pricoa Global Funding I Senior Sec. Notes 1.35% due 08/18/2017*#		1,429,000		1,421,638
Pricoa Global Funding I Senior Sec. Notes 1.60% due 05/29/2018*		2,643,000		2,627,700
Principal Financial Group, Inc. Company Guar. Notes 1.85% due 11/15/2017		380,000		380,580

				5,303,185

Insurance - Multi-line — 0.3%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		2,294,000		2,687,375
MetLife, Inc. Senior Notes 4.60% due 05/13/2046		592,000		585,601

				3,272,976

Insurance - Mutual — 0.4%
Massachusetts Mutual Life Insurance Co. Sub. Notes 4.50% due 04/15/2065*		740,000		683,052



Security Description	Principal Amount		Value (Note 2)


Insurance - Mutual (continued)
MassMutual Global Funding II Senior Sec. Notes 2.10% due 08/02/2018*	$	1,626,000	$	1,639,385
MassMutual Global Funding II Senior Sec. Notes 2.50% due 10/17/2022*		483,000		476,690
New York Life Global Funding Sec. Notes 1.65% due 05/15/2017*		1,464,000		1,470,594

				4,269,721

Internet Connectivity Services — 0.0%
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022*		600,000		580,500

Internet Content - Entertainment — 0.1%
Netflix, Inc. Senior Notes 5.88% due 02/15/2025		791,000		828,573

Investment Management/Advisor Services — 0.1%
Drawbridge Special Opportunities Fund LP/Drawbridge Special Opportunities Finance Senior Notes 5.00% due 08/01/2021*		343,000		326,707
National Financial Partners Corp. Senior Notes 9.00% due 07/15/2021*		823,000		724,240

				1,050,947

Machinery - Farming — 0.3%
John Deere Capital Corp. Senior Notes 1.13% due 06/12/2017		1,728,000		1,726,795
John Deere Capital Corp. Senior Notes 1.55% due 12/15/2017		2,075,000		2,085,587

				3,812,382

Marine Services — 0.0%
Great Lakes Dredge & Dock Corp. Company Guar. Notes 7.38% due 02/01/2019		499,000		465,318

Medical Labs & Testing Services — 0.5%
Laboratory Corp. of America Holdings Senior Notes 3.20% due 02/01/2022		312,000		310,219
Laboratory Corp. of America Holdings Senior Notes 3.60% due 02/01/2025		995,000		984,849
Laboratory Corp. of America Holdings Senior Notes 4.70% due 02/01/2045		514,000		484,664
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		2,037,000		2,045,187
Roche Holdings, Inc. Company Guar. Notes 2.25% due 09/30/2019*		1,595,000		1,627,878

				5,452,797

Medical Products — 0.1%
Becton Dickinson and Co. Senior Notes 3.13% due 11/08/2021		451,000		460,746

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Medical Products (continued)
Greatbatch, Ltd. Company Guar. Notes 9.13% due 11/01/2023*	$	485,000	$	471,663

				932,409

Medical - Biomedical/Gene — 0.1%
Celgene Corp. Senior Notes 5.00% due 08/15/2045		939,000		960,966
Gilead Sciences, Inc. Senior Notes 4.75% due 03/01/2046		189,000		199,291

				1,160,257

Medical - Drugs — 0.4%
Baxalta, Inc. Senior Notes 3.60% due 06/23/2022*		950,000		941,915
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 7.75% due 01/15/2022*		490,000		508,375
Forest Laboratories LLC Company Guar. Notes 4.88% due 02/15/2021*		1,139,000		1,242,241
Johnson & Johnson Senior Notes 3.55% due 03/01/2036		807,000		808,102
Johnson & Johnson Senior Notes 3.70% due 03/01/2046		807,000		808,445

				4,309,078

Medical - HMO — 0.3%
Centene Escrow Corp. Senior Notes 5.63% due 02/15/2021*		103,000		107,635
Centene Escrow Corp. Senior Notes 6.13% due 02/15/2024*		413,000		438,296
UnitedHealth Group, Inc. Senior Notes 1.40% due 12/15/2017		944,000		943,401
UnitedHealth Group, Inc. Senior Notes 2.13% due 03/15/2021		971,000		970,771
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		663,000		693,099

				3,153,202

Medical - Hospitals — 0.3%
HCA, Inc. Senior Sec. Notes 3.75% due 03/15/2019		195,000		198,637
HCA, Inc. Senior Sec. Notes 4.75% due 05/01/2023		260,000		264,225
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		95,000		96,781
HCA, Inc. Company Guar. Notes 7.50% due 11/15/2095		700,000		675,500
IASIS Healthcare LLC/IASIS Capital Corp. Company Guar. Notes 8.38% due 05/15/2019		1,601,000		1,520,950



Security Description	Principal Amount		Value (Note 2)


Medical - Hospitals (continued)
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020	$	600,000	$	606,000

				3,362,093

Multimedia — 0.2%
21st Century Fox America, Inc. Company Guar. Notes 4.95% due 10/15/2045		401,000		390,760
Viacom, Inc. Senior Notes 4.85% due 12/15/2034		521,000		411,149
Walt Disney Co. Senior Notes 1.50% due 09/17/2018		920,000		927,374
Walt Disney Co. Senior Notes 1.65% due 01/08/2019		500,000		506,881

				2,236,164

Music — 0.1%
WMG Acquisition Corp. Senior Sec. Notes 6.00% due 01/15/2021*		438,000		444,570
WMG Acquisition Corp. Company Guar. Notes 6.75% due 04/15/2022*		550,000		517,000

				961,570

Networking Products — 0.3%
Cisco Systems, Inc. Senior Notes 1.40% due 02/28/2018		1,262,000		1,265,276
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019		1,222,000		1,246,172
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		1,079,000		1,089,141

				3,600,589

Oil & Gas Drilling — 0.0%
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022		186,000		120,900

Oil Companies - Exploration & Production — 0.5%
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036		2,007,000		1,666,101
Carrizo Oil & Gas, Inc. Company Guar. Notes 6.25% due 04/15/2023		500,000		355,000
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		507,000		136,890
EV Energy Partners LP/EV Energy Finance Corp. Company Guar. Notes 8.00% due 04/15/2019		541,000		119,020
Halcon Resources Corp. Sec. Notes 12.00% due 02/15/2022*		78,000		37,050
Hess Corp. Senior Notes 5.60% due 02/15/2041		461,000		331,478

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies - Exploration & Production (continued)
Hess Corp. Senior Notes 7.88% due 10/01/2029	$	461,000	$	422,207
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		436,000		296,480
Legacy Reserves LP/Legacy Reserves Finance Corp. Company Guar. Notes 6.63% due 12/01/2021		364,000		36,400
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026		509,000		440,285
Noble Energy, Inc. Senior Notes 3.90% due 11/15/2024		1,042,000		876,769
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044		165,000		121,363
Northern Oil and Gas, Inc. Senior Notes 8.00% due 06/01/2020#		614,000		294,720
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022#		700,000		409,500
Penn Virginia Corp. Company Guar. Notes 7.25% due 04/15/2019		377,000		32,045
Rex Energy Corp. Company Guar. Notes 6.25% due 08/01/2022		520,000		52,000
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023#		419,000		148,745
SM Energy Co. Senior Notes 5.63% due 06/01/2025		281,000		113,103
Southwestern Energy Co. Senior Notes 3.30% due 01/23/2018		292,000		210,240
Southwestern Energy Co. Senior Notes 4.95% due 01/23/2025#		664,000		390,930

				6,490,326

Oil Companies - Integrated — 0.5%
Chevron Corp. Senior Notes 1.37% due 03/02/2018		1,193,000		1,185,487
Chevron Corp. Senior Notes 1.96% due 03/03/2020		686,000		674,516
ConocoPhillips Co. Company Guar. Notes 1.50% due 05/15/2018		469,000		449,200
Exxon Mobil Corp. Senior Notes 1.31% due 03/06/2018		1,300,000		1,297,843
Exxon Mobil Corp. Senior Notes 3.04% due 03/01/2026		752,000		752,000
Exxon Mobil Corp. Senior Notes 4.11% due 03/01/2046		835,000		835,000



Security Description	Principal Amount		Value (Note 2)


Oil Companies - Integrated (continued)
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037	$	822,000	$	556,221

				5,750,267

Oil Refining & Marketing — 0.1%
Calumet Specialty Products Partner LP/Calumet Finance Corp. Company Guar. Notes 6.50% due 04/15/2021		1,021,000		615,152
Murphy Oil USA, Inc. Company Guar. Notes 6.00% due 08/15/2023		620,000		633,950
PBF Holding Co LLC/PBF Finance Corp. Senior Sec. Notes 7.00% due 11/15/2023*		410,000		353,625

				1,602,727

Oil - Field Services — 0.1%
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc. Company Guar. Notes 6.63% due 05/01/2021		414,000		305,325
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc. Company Guar. Notes 6.88% due 02/15/2023		680,000		489,600

				794,925

Paper & Related Products — 0.7%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023		664,000		624,990
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		1,265,000		1,253,936
Georgia-Pacific LLC Senior Notes 3.60% due 03/01/2025*		2,262,000		2,280,180
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		2,930,000		3,013,740
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		737,000		815,802
PH Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020		430,000		423,550

				8,412,198

Pharmacy Services — 0.1%
Express Scripts Holding Co. Company Guar. Notes 4.50% due 02/25/2026		906,000		913,480

Pipelines — 0.6%
Columbia Pipeline Group, Inc. Company Guar. Notes 2.45% due 06/01/2018*		245,000		235,061
Energy Transfer Partners LP Senior Notes 4.90% due 03/15/2035		677,000		491,409
Energy Transfer Partners LP Senior Notes 5.15% due 03/15/2045		446,000		324,392
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		1,894,000		1,578,270

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024	$	314,000	$	235,500
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.75% due 02/15/2021		250,000		206,250
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.00% due 05/15/2023		500,000		385,000
Kinder Morgan Energy Partners LP Company Guar. Notes 4.70% due 11/01/2042		479,000		335,734
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		787,000		794,223
Kinder Morgan, Inc. Company Guar. Notes 5.00% due 02/15/2021*		647,000		599,655
Rose Rock Midstream LP/Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022		737,000		416,405
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.63% due 04/15/2023		225,000		207,563
Sabine Pass Liquefaction LLC Senior Sec. Notes 6.25% due 03/15/2022		117,000		111,443
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		1,079,000		1,014,260

				6,935,165

Power Converter/Supply Equipment — 0.1%
Hubbell, Inc. Senior Notes 3.35% due 03/01/2026		864,000		862,967

Printing - Commercial — 0.1%
Multi-Color Corp. Company Guar. Notes 6.13% due 12/01/2022*		475,000		478,562
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022		525,000		392,438

				871,000

Publishing - Newspapers — 0.1%
Lee Enterprises, Inc. Senior Sec. Notes 9.50% due 03/15/2022*#		690,000		653,775
McClatchy Co. Senior Sec. Notes 9.00% due 12/15/2022#		519,000		456,720

				1,110,495

Publishing - Periodicals — 0.1%
Expo Event Transco, Inc. Senior Notes 9.00% due 06/15/2021*		953,000		919,645
Time, Inc. Company Guar. Notes 5.75% due 04/15/2022*		805,000		678,212

				1,597,857



Security Description	Principal Amount		Value (Note 2)


Radio — 0.0%
Sirius XM Radio, Inc. Company Guar. Notes 5.38% due 04/15/2025*	$	500,000	$	498,750

Real Estate Investment Trusts — 0.5%
Communications Sales & Leasing, Inc./CSL Capital LLC Senior Sec. Notes 6.00% due 04/15/2023*		320,000		308,733
Communications Sales & Leasing, Inc./CSL Capital LLC Company Guar. Notes 8.25% due 10/15/2023		380,000		339,150
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.88% due 06/01/2021		497,000		483,332
DuPont Fabros Technology LP Company Guar. Notes 5.63% due 06/15/2023		348,000		351,480
Equinix, Inc. Senior Notes 5.88% due 01/15/2026		515,000		538,175
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		289,000		280,330
iStar Financial, Inc. Senior Notes 5.00% due 07/01/2019		500,000		465,625
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027		1,397,000		1,319,405
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024		1,144,000		1,169,421
Omega Healthcare Investors, Inc. Company Guar. Notes 5.25% due 01/15/2026		873,000		883,814

				6,139,465

Real Estate Management/Services — 0.1%
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024		1,000,000		957,500

Real Estate Operations & Development — 0.1%
Greystar Real Estate Partners LLC Senior Sec. Notes 8.25% due 12/01/2022*		604,000		623,630

Rental Auto/Equipment — 0.1%
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023		300,000		300,000
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		375,000		355,781

				655,781

Retail - Appliances — 0.1%
Conn’s, Inc. Company Guar. Notes 7.25% due 07/15/2022		940,000		733,200

Retail - Building Products — 0.1%
Home Depot, Inc. Senior Notes 2.00% due 04/01/2021		549,000		552,234

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Retail - Building Products (continued)
Home Depot, Inc. Senior Notes 3.00% due 04/01/2026	$	562,000	$	581,072

				1,133,306

Retail - Computer Equipment — 0.0%
GameStop Corp. Company Guar. Notes 5.50% due 10/01/2019*#		419,000		415,858

Retail - Discount — 0.2%
Costco Wholesale Corp. Senior Notes 2.25% due 02/15/2022		1,308,000		1,320,935
Dollar General Corp. Company Guar. Notes 4.13% due 07/15/2017		1,027,000		1,059,496

				2,380,431

Retail - Drug Store — 0.1%
CVS Pass-Through Trust Pass-Through Certs. 4.70% due 01/10/2036*		589,501		614,111
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		302,852		329,237
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		524,258		576,897

				1,520,245

Retail - Pawn Shops — 0.0%
Cash America International, Inc. Company Guar. Notes 5.75% due 05/15/2018		450,000		442,125

Retail - Regional Department Stores — 0.0%
Kohl’s Corp. Senior Notes 5.55% due 07/17/2045		351,000		309,421

Retail - Restaurants — 0.3%
Landry’s, Inc. Company Guar. Notes 9.38% due 05/01/2020*		511,000		535,273
McDonald’s Corp. Senior Notes 3.70% due 01/30/2026		757,000		788,136
McDonald’s Corp. Senior Notes 4.70% due 12/09/2035		543,000		561,942
McDonald’s Corp. Senior Notes 4.88% due 12/09/2045		761,000		803,217
PF Chang’s China Bistro, Inc. Company Guar. Notes 10.25% due 06/30/2020*		1,283,000		1,093,757

				3,782,325

Rubber - Tires — 0.0%
Goodyear Tire & Rubber Co. Company Guar. Notes 5.13% due 11/15/2023		312,000		320,580

Satellite Telecom — 0.0%
Hughes Satellite Systems Corp. Company Guar. Notes 7.63% due 06/15/2021		436,000		471,970



Security Description	Principal Amount		Value (Note 2)


Savings & Loans/Thrifts — 0.7%
Astoria Financial Corp. Senior Notes 5.00% due 06/19/2017	$	1,600,000	$	1,639,133
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		3,777,000		4,260,490
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		2,210,000		2,536,492

				8,436,115

Schools — 0.1%
President and Fellows of Harvard College Notes 3.62% due 10/01/2037		360,000		366,999
University of Pennsylvania Senior Notes 4.67% due 09/01/2112		516,000		552,399

				919,398

Specified Purpose Acquisitions — 0.1%
Opal Acquisition, Inc. Senior Notes 8.88% due 12/15/2021*		815,000		607,175

Steel Pipe & Tube — 0.1%
Valmont Industries, Inc. Company Guar. Notes 5.25% due 10/01/2054		1,394,000		1,225,528

Steel - Producers — 0.1%
AK Steel Corp. Senior Sec. Notes 8.75% due 12/01/2018#		400,000		364,000
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		377,000		367,575

				731,575

Steel - Specialty — 0.0%
Allegheny Technologies, Inc. Senior Notes 5.95% due 01/15/2021		598,000		449,995

Telephone - Integrated — 1.3%
AT&T, Inc. Senior Notes 3.00% due 06/30/2022		2,285,000		2,264,453
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		1,230,000		1,047,472
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		1,587,000		1,456,752
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		1,003,000		915,551
AT&T, Inc. Senior Notes 5.80% due 02/15/2019		572,000		631,120
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2025		208,000		183,040
CenturyLink, Inc. Senior Notes 5.80% due 03/15/2022		443,000		430,264

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Telephone - Integrated (continued)
CenturyLink, Inc. Senior Notes 6.88% due 01/15/2028	$	241,000	$	189,788
Frontier Communications Corp. Senior Notes 8.50% due 04/15/2020		403,000		410,052
Frontier Communications Corp. Senior Notes 9.25% due 07/01/2021		177,000		177,000
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*		409,000		413,090
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025*		1,047,000		1,048,309
Verizon Communications, Inc. Senior Notes 3.00% due 11/01/2021		1,181,000		1,199,550
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		489,000		459,354
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		2,947,000		2,602,673
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		1,513,000		1,478,171
Verizon Communications, Inc. Senior Notes 6.40% due 09/15/2033		65,000		75,740

				14,982,379

Theaters — 0.1%
National CineMedia LLC Senior Sec. Notes 6.00% due 04/15/2022		300,000		312,000
Regal Entertainment Group Senior Notes 5.75% due 03/15/2022		82,000		82,923
Regal Entertainment Group Senior Notes 5.75% due 06/15/2023		320,000		315,200

				710,123

Transport - Rail — 0.1%
Union Pacific Corp. Senior Notes 4.38% due 11/15/2065		807,000		764,029

Travel Services — 0.1%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		714,000		719,355

Trucking/Leasing — 0.0%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.38% due 02/01/2022*		420,000		408,710

Wire & Cable Products — 0.1%
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022		1,337,000		972,667

Total U.S. Corporate Bonds & Notes
(cost $320,025,818)				307,186,723



Security Description	Principal Amount		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES — 7.8%
Aerospace/Defense — 0.1%
Rolls-Royce PLC Company Guar. Notes 2.38% due 10/14/2020*	$	1,170,000	$	1,168,286

Agricultural Chemicals — 0.0%
Consolidated Energy Finance SA Company Guar. Notes 6.75% due 10/15/2019*		500,000		432,500

Airlines — 0.1%
Air Canada Senior Sec. Notes 6.75% due 10/01/2019*		600,000		618,000

Auto - Cars/Light Trucks — 0.1%
Volkswagen International Finance NV Company Guar. Notes 2.38% due 03/22/2017*		655,000		654,706

Banks - Commercial — 1.9%
Abbey National Treasury Services PLC Company Guar. Notes 1.38% due 03/13/2017		47,000		46,910
ANZ New Zealand Int’l, Ltd. Company Guar. Notes 1.13% due 03/24/2016*		2,290,000		2,290,403
Bank of Nova Scotia/The Sub. Notes 4.50% due 12/16/2025		1,211,000		1,185,540
BPCE SA Sub. Notes 4.50% due 03/15/2025*		1,450,000		1,367,859
Commonwealth Bank of Australia Sub. Notes 4.50% due 12/09/2025*#		254,000		250,315
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Senior Notes 1.70% due 03/19/2018		377,000		376,599
Credit Suisse AG Senior Notes 1.70% due 04/27/2018		443,000		438,326
Credit Suisse AG Senior Notes 3.00% due 10/29/2021		1,186,000		1,187,116
DBS Group Holdings, Ltd. Senior Notes 2.25% due 07/16/2019*		1,529,000		1,541,634
ING Bank NV Senior Notes 4.00% due 03/15/2016*		998,000		999,153
Intesa Sanpaolo SpA Sub. Notes 5.02% due 06/26/2024*		1,542,000		1,416,837
Kookmin Bank Senior Notes 1.63% due 07/14/2017*#		1,906,000		1,905,542
National Australia Bank, Ltd. Senior Notes 2.75% due 03/09/2017		1,396,000		1,415,783
National Bank of Canada Company Guar. Notes 1.45% due 11/07/2017		2,515,000		2,506,527
National Bank of Canada Bank Guar. Notes 2.10% due 12/14/2018		887,000		889,159

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Banks - Commercial (continued)
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026	$	1,427,000	$	1,428,705
Santander Issuances SAU Company Guar. Notes 5.18% due 11/19/2025		2,000,000		1,859,948
Sumitomo Mitsui Banking Corp. Company Guar. Notes 2.45% due 10/20/2020		976,000		973,703

				22,080,059

Banks - Money Center — 0.1%
Mizuho Bank, Ltd. Company Guar. Notes 2.15% due 10/20/2018*		533,000		532,576
Mizuho Bank, Ltd. Company Guar. Notes 2.45% due 04/16/2019*		591,000		594,897

				1,127,473

Beverages - Non-alcoholic — 0.2%
Coca-Cola Femsa SAB de CV Company Guar. Notes 2.38% due 11/26/2018		1,914,000		1,921,612

Beverages - Wine/Spirits — 0.1%
Diageo Capital PLC Company Guar. Notes 5.75% due 10/23/2017		1,303,000		1,392,534

Broadcast Services/Program — 0.0%
Grupo Televisa SAB Senior Notes 6.13% due 01/31/2046		188,000		183,458

Building - Residential/Commercial — 0.0%
Mattamy Group Corp. Senior Notes 6.50% due 11/15/2020*#		629,000		544,085

Cable/Satellite TV — 0.2%
Altice Financing SA Senior Sec. Notes 6.50% due 01/15/2022*		1,293,000		1,302,697
Altice Luxembourg SA Company Guar. Notes 7.75% due 05/15/2022*		593,000		573,728
Virgin Media Secured Finance PLC Senior Sec. Notes 5.25% due 01/15/2026*		500,000		498,750

				2,375,175

Chemicals - Diversified — 0.0%
NOVA Chemicals Corp. Senior Notes 5.00% due 05/01/2025*		425,000		416,500

Chemicals - Plastics — 0.1%
Mexichem SAB de CV Company Guar. Notes 5.88% due 09/17/2044*		982,000		815,060

Consumer Products - Misc. — 0.1%
Kimberly-Clark de Mexico SAB de CV Senior Notes 3.25% due 03/12/2025*		1,100,000		1,075,795



Security Description	Principal Amount		Value (Note 2)


Cruise Lines — 0.1%
NCL Corp., Ltd. Senior Notes 4.63% due 11/15/2020*	$	435,000	$	423,038
Royal Caribbean Cruises, Ltd. Senior Notes 5.25% due 11/15/2022		111,000		112,665
Royal Caribbean Cruises, Ltd. Senior Notes 7.50% due 10/15/2027		453,000		502,830
Viking Cruises, Ltd. Senior Notes 6.25% due 05/15/2025*		823,000		695,435

				1,733,968

Disposable Medical Products — 0.1%
ConvaTec Finance International SA 1st. Mtg. Bonds 8.25% due 01/15/2019*(5)		400,000		353,000
ConvaTec Healthcare E SA Company Guar. Notes 10.50% due 12/15/2018*		475,000		486,875

				839,875

Diversified Banking Institutions — 1.4%
Credit Agricole SA Sub. Notes 4.38% due 03/17/2025*		733,000		697,869
Deutsche Bank AG Senior Notes 1.88% due 02/13/2018		1,741,000		1,698,123
Deutsche Bank AG Senior Notes 3.13% due 01/13/2021		1,665,000		1,624,237
Deutsche Bank AG Sub. Notes 4.50% due 04/01/2025		1,564,000		1,325,454
HSBC Holdings PLC Sub. Notes 4.25% due 08/18/2025		783,000		758,561
Lloyds Banking Group PLC Sub. Notes 4.58% due 12/10/2025*		3,122,000		3,075,373
Lloyds Banking Group PLC Company Guar. Notes 5.30% due 12/01/2045*		314,000		303,890
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.95% due 03/01/2021		1,709,000		1,722,173
Mitsubishi UFJ Financial Group, Inc. Senior Notes 3.85% due 03/01/2026		2,817,000		2,848,207
Societe Generale SA Sub. Notes 5.63% due 11/24/2045*		485,000		428,996
UBS AG Senior Notes 1.80% due 03/26/2018		1,111,000		1,112,126
UBS Group Funding Jersey, Ltd. Company Guar. Notes 4.13% due 09/24/2025*		537,000		534,720

				16,129,729

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Financial Services — 0.2%
GE Capital International Funding Co. Company Guar. Notes 0.96% due 04/15/2016*	$	1,861,000	$	1,861,333
GE Capital International Funding Co. Company Guar. Notes 4.42% due 11/15/2035*		975,000		1,018,138

				2,879,471

Diversified Manufacturing Operations — 0.0%
Ingersoll-Rand Luxembourg Finance SA Company Guar. Notes 4.65% due 11/01/2044		452,000		444,277

Diversified Minerals — 0.2%
Anglo American Capital PLC Company Guar. Notes 4.13% due 04/15/2021*		596,000		457,430
Anglo American Capital PLC Company Guar. Notes 4.88% due 05/14/2025*		493,000		364,820
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 8.25% due 11/01/2019*		252,000		224,280
FMG Resources August 2006 Pty, Ltd. Senior Sec. Notes 9.75% due 03/01/2022*#		562,000		528,280
Teck Resources, Ltd. Company Guar. Notes 2.50% due 02/01/2018#		512,000		438,720

				2,013,530

Electric - Generation — 0.5%
Electricite de France SA Senior Notes 2.35% due 10/13/2020*		3,082,000		3,090,876
Electricite de France SA Senior Notes 3.63% due 10/13/2025*		567,000		573,802
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		1,299,000		1,301,456
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		552,000		546,480

				5,512,614

Electronic Components - Misc. — 0.0%
Flextronics International, Ltd. Company Guar. Notes 4.75% due 06/15/2025		330,000		318,450

Electronic Components - Semiconductors — 0.0%
Sensata Technologies UK Financing Co. PLC Company Guar. Notes 6.25% due 02/15/2026*		520,000		549,900

Finance - Leasing Companies — 0.1%
Aircastle, Ltd. Senior Notes 4.63% due 12/15/2018		68,000		68,938
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		256,000		255,680
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		323,000		341,993



Security Description	Principal Amount		Value (Note 2)


Finance - Leasing Companies (continued)
Fly Leasing, Ltd. Senior Notes 6.38% due 10/15/2021#	$	975,000	$	897,000

				1,563,611

Gambling (Non-Hotel) — 0.1%
International Game Technology PLC Senior Sec. Notes 6.25% due 02/15/2022*		550,000		519,406
International Game Technology PLC Senior Sec. Notes 6.50% due 02/15/2025*		929,000		826,810

				1,346,216

Gold Mining — 0.1%
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044		501,000		433,744
Kinross Gold Corp. Company Guar. Notes 5.95% due 03/15/2024		400,000		320,000

				753,744

Insurance - Multi-line — 0.2%
XLIT, Ltd. Company Guar. Notes 4.45% due 03/31/2025		593,000		581,099
XLIT, Ltd. Company Guar. Notes 5.50% due 03/31/2045		1,334,000		1,268,950

				1,850,049

Insurance - Property/Casualty — 0.1%
Allied World Assurance Co. Holdings, Ltd. Company Guar. Notes 4.35% due 10/29/2025		824,000		825,307

Machinery - General Industrial — 0.1%
ATS Automation Tooling Systems, Inc. Senior Notes 6.50% due 06/15/2023*		987,000		991,935

Medical - Drugs — 0.3%
Grifols Worldwide Operations, Ltd. Company Guar. Notes 5.25% due 04/01/2022		999,000		1,032,716
Takeda Pharmaceutical Co., Ltd. Senior Notes 1.63% due 03/17/2017*		1,458,000		1,460,953
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.38% due 03/15/2020*		1,095,000		990,975
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.63% due 12/01/2021*		170,000		145,455

				3,630,099

Medical - Generic Drugs — 0.2%
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		1,172,000		1,191,163
Perrigo Finance Unlimited Co. Company Guar. Notes 3.50% due 12/15/2021		992,000		982,979

				2,174,142

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Metal - Copper — 0.0%
First Quantum Minerals, Ltd. Company Guar. Notes 7.25% due 05/15/2022*	$	219,000	$	108,405

Oil Companies - Exploration & Production — 0.1%
Anadarko Finance Co. Company Guar. Notes 7.50% due 05/01/2031		681,000		610,304
Baytex Energy Corp. Company Guar. Notes 5.13% due 06/01/2021*		101,000		58,328
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024*#		480,000		261,600
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		222,000		104,895
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		475,000		229,187

				1,264,314

Oil Companies - Integrated — 0.5%
BP Capital Markets PLC Company Guar. Notes 1.38% due 11/06/2017		1,793,000		1,774,830
BP Capital Markets PLC Company Guar. Notes 3.25% due 05/06/2022		588,000		579,700
BP Capital Markets PLC Company Guar. Notes 3.54% due 11/04/2024		290,000		277,108
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		263,000		202,063
Shell International Finance BV Company Guar. Notes 1.25% due 11/10/2017		888,000		883,314
Shell International Finance BV Company Guar. Notes 2.13% due 05/11/2020		902,000		878,343
Shell International Finance BV Company Guar. Notes 2.25% due 11/10/2020		1,024,000		1,004,609

				5,599,967

Paper & Related Products — 0.0%
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*		500,000		466,250

Printing - Commercial — 0.1%
Cimpress NV Company Guar. Notes 7.00% due 04/01/2022*		740,000		717,800

Satellite Telecom — 0.1%
Intelsat Jackson Holdings SA Company Guar. Notes 7.25% due 04/01/2019		392,000		303,800
Intelsat Jackson Holdings SA Company Guar. Notes 7.50% due 04/01/2021		281,000		195,295
Intelsat Luxembourg SA Company Guar. Notes 7.75% due 06/01/2021		495,000		148,500

				647,595



Security Description	Principal Amount		Value (Note 2)


Security Services — 0.0%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*	$	358,000	$	250,600

Steel - Producers — 0.0%
ArcelorMittal Senior Notes 7.25% due 02/25/2022#		236,000		212,966
ArcelorMittal Senior Notes 7.75% due 03/01/2041		211,000		167,745

				380,711

SupraNational Banks — 0.1%
North American Development Bank Senior Notes 2.30% due 10/10/2018		1,002,000		1,025,852

Telephone - Integrated — 0.1%
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		1,327,000		1,280,555

Transport - Rail — 0.1%
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115		623,000		651,121

Total Foreign Corporate Bonds & Notes
(cost $94,419,432)				90,755,330

FOREIGN GOVERNMENT OBLIGATIONS — 0.6%
Electric - Distribution — 0.1%
Hydro-Quebec Government Guar. Notes 1.38% due 06/19/2017		1,036,000		1,040,442

Sovereign — 0.5%
Government of Canada Senior Notes 0.88% due 02/14/2017		1,006,000		1,007,177
United Mexican States Senior Notes 3.50% due 01/21/2021#		2,527,000		2,602,810
United Mexican States Senior Notes 3.60% due 01/30/2025		983,000		978,085
United Mexican States Senior Notes 4.75% due 03/08/2044		1,536,000		1,443,840

				6,031,912

Total Foreign Government Obligations
(cost $6,925,412)				7,072,354

U.S. GOVERNMENT AGENCIES — 33.6%
Federal Home Loan Mtg. Corp. — 10.9%
2.11% due 02/01/2037 FRS		445,366		462,824
2.50% due 01/01/2028		1,004,834		1,035,696
2.50% due 04/01/2028		2,223,621		2,289,278
2.60% due 11/01/2037 FRS		2,847,276		3,012,663
3.00% due 08/01/2027		467,193		489,500
3.00% due 10/01/2042		2,078,811		2,137,905
3.00% due 11/01/2042		1,528,519		1,566,918
3.00% due 02/01/2043		4,011,237		4,111,980
3.00% due 04/01/2043		3,961,115		4,068,701
3.00% due 05/01/2043		790,642		814,972
3.00% due 08/01/2043		8,146,340		8,352,158
3.00% due 07/01/2045		10,110,395		10,354,149
3.00% due 10/01/2045		6,163,821		6,312,426
3.00% due 12/01/2045		2,495,177		2,555,333

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
3.50% due 02/01/2042	$	556,584	$	582,974
3.50% due 03/01/2042		715,811		749,606
3.50% due 04/01/2042		2,405,018		2,519,977
3.50% due 08/01/2042		7,908,778		8,294,164
3.50% due 09/01/2043		2,368,033		2,495,351
3.50% due 03/01/2045		8,652,403		9,057,885
3.50% due 07/01/2045		3,704,739		3,879,958
3.50% due 08/01/2045		3,325,318		3,495,377
3.50% due 10/01/2045		5,911,475		6,187,594
3.50% due 11/01/2045		6,672,477		6,984,142
3.50% due 02/01/2046		4,068,946		4,259,002
4.00% due 03/01/2023		833,799		868,306
4.00% due 09/01/2040		2,843,508		3,039,754
4.00% due 10/01/2043		7,472,302		7,972,776
4.00% due 07/01/2044		3,805,118		4,058,444
4.50% due 11/01/2018		25,001		25,857
4.50% due 02/01/2019		32,652		33,833
4.50% due 01/01/2039		44,398		48,120
4.50% due 12/01/2039		1,136,219		1,236,936
5.00% due 10/01/2033		3,133		3,443
5.00% due 07/01/2040		1,042,888		1,153,263
5.00% due 11/01/2043		5,278,615		5,853,768
5.50% due 11/01/2018		15,211		15,682
5.50% due 11/01/2032		18,899		21,314
5.50% due 07/01/2034		33,661		37,816
5.50% due 02/01/2035		54,537		60,611
5.50% due 07/01/2035		1,847		2,083
5.50% due 01/01/2036		399,651		451,161
5.50% due 05/01/2037		63,145		70,785
6.00% due 07/01/2035		93,713		106,057
6.00% due 03/01/2040		306,763		349,504
6.50% due 12/01/2032		82,972		94,571
6.50% due 02/01/2036		21,769		26,437
6.50% due 09/01/2036		436		517
6.50% due 05/01/2037		88,710		102,304
7.00% due 11/01/2016		198		200
Federal Home Loan Mtg. Corp. REMIC FRS Series 3572, Class JS 6.37% due 09/15/2039(3)(6)(7)		2,011,049		306,066
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Series 2014-HQ1, Class M1 2.08% due 08/25/2024 FRS(3)		164,200		164,680
Series 2014-DN1, Class M2 2.63% due 02/25/2024 FRS(3)		1,580,000		1,576,048
Series 2014-HQ2, Class M2 2.63% due 09/25/2024 FRS(3)		2,790,000		2,730,273
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3)		581,394		589,858

				127,071,000

Federal National Mtg. Assoc. — 20.5%
2.06% due 09/01/2035 FRS		2,574,648		2,688,483
2.33% due 05/01/2037 FRS		732,354		767,010
2.39% due 07/01/2039 FRS		1,812,007		1,900,629
2.45% due 10/01/2035 FRS		2,456,868		2,598,588
2.50% due 02/01/2028		2,128,503		2,193,341
2.50% due 04/01/2028		565,679		582,891
2.50% due March 15 TBA		9,868,898		10,119,861
2.51% due 11/01/2036 FRS		1,156,775		1,221,263
2.58% due 10/01/2040 FRS		742,356		786,996
2.61% due 05/01/2040 FRS		2,687,781		2,835,908
2.65% due 08/01/2035 FRS		1,526,830		1,610,255
2.67% due 10/01/2040 FRS		1,392,584		1,463,146



Security Description	Principal Amount		Value (Note 2)


Federal National Mtg. Assoc. (continued)
3.00% due 10/01/2027	$	320,534	$	335,142
3.00% due 11/01/2027		2,050,572		2,143,810
3.00% due 01/01/2028		3,009,547		3,146,783
3.00% due 03/01/2042		3,730,300		3,831,729
3.00% due 12/01/2042		3,696,182		3,798,052
3.00% due 05/01/2043		4,467,392		4,589,039
3.00% due 02/01/2045		3,262,460		3,348,639
3.00% due 06/01/2045		1,931,957		1,988,618
3.00% due March 15 TBA		10,976,596		11,446,100
3.00% due March 30 TBA		8,564,000		8,781,667
3.50% due 08/01/2026		2,032,606		2,151,719
3.50% due 09/01/2026		1,858,413		1,971,047
3.50% due 08/01/2027		349,126		369,484
3.50% due 10/01/2028		3,990,658		4,228,524
3.50% due 12/01/2041		621,566		656,265
3.50% due 03/01/2042		840,264		882,524
3.50% due 08/01/2042		5,306,675		5,586,659
3.50% due 09/01/2042		797,546		837,661
3.50% due 02/01/2043		3,692,763		3,919,596
3.50% due 03/01/2043		1,590,755		1,670,747
3.50% due 08/01/2043		7,525,839		7,893,972
3.50% due 07/01/2045		2,621,791		2,751,455
3.50% due 09/01/2045		764,577		801,799
3.50% due 11/01/2045		3,961,096		4,155,245
3.50% due March 30 TBA		20,268,000		21,234,905
4.00% due 11/01/2025		155,393		166,277
4.00% due 06/01/2039		662,879		722,492
4.00% due 09/01/2040		187,834		200,980
4.00% due 10/01/2040		432,911		463,208
4.00% due 12/01/2040		3,056,639		3,270,562
4.00% due 10/01/2041		1,759,274		1,882,136
4.00% due 11/01/2041		2,091,677		2,238,204
4.00% due 10/01/2043		5,141,908		5,519,151
4.00% due 12/01/2043		599,942		651,959
4.00% due 10/01/2044		8,778,501		9,376,927
4.00% due 11/01/2044		2,488,882		2,665,823
4.00% due 02/01/2045		2,200,915		2,355,795
4.00% due March 30 TBA		17,679,000		18,864,734
4.50% due 06/01/2018		3,720		3,851
4.50% due 10/01/2024		721,583		771,471
4.50% due 03/01/2025		1,088,034		1,172,531
4.50% due 06/01/2039		304,385		333,912
4.50% due 01/01/2040		681,978		756,582
4.50% due 02/01/2040		1,364,157		1,508,314
4.50% due 05/01/2040		529,561		584,471
4.50% due 08/01/2040		653,291		715,557
4.50% due 11/01/2040		578,743		630,372
4.50% due 12/01/2040		553,706		603,101
4.50% due 05/01/2041		1,298,373		1,410,698
4.50% due 07/01/2041		762,389		830,523
4.50% due 03/01/2042		5,573,889		6,069,907
4.50% due 12/01/2044		1,516,722		1,647,095
4.50% due March 30 TBA		13,980,892		15,184,254
5.00% due 03/15/2016		248,000		248,443
5.00% due 09/01/2018		2,357		2,443
5.00% due 10/01/2018		2,217		2,309
5.00% due 03/01/2020		5,211		5,543
5.00% due 06/01/2022		132,436		142,519
5.00% due 10/01/2024		352,858		373,115
5.00% due 09/01/2033		1,044,979		1,163,549
5.00% due 04/01/2040		581,098		643,361
5.00% due 05/01/2040		1,069,408		1,191,580
5.00% due 06/01/2040		5,399,169		5,995,403
5.00% due 07/01/2040		2,170,129		2,408,545
5.00% due March 30 TBA		1,500,000		1,661,042

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
5.50% due 12/01/2029	$	266,446	$	298,828
5.50% due 12/01/2033		49,425		55,686
5.50% due 07/01/2037		61,836		69,524
5.50% due 08/01/2037		2,390,723		2,688,475
5.50% due 06/01/2038		319,181		361,680
5.50% due 09/01/2039		953,567		1,080,098
6.00% due 09/01/2016		1,144		1,146
6.00% due 12/01/2016		622		629
6.00% due 08/01/2034		46,202		53,088
6.00% due 11/01/2035		63,592		72,431
6.00% due 06/01/2036		110,953		126,715
6.00% due 12/01/2036		201,594		230,230
6.00% due 10/01/2037		14,337		16,320
6.00% due 07/01/2038		938,798		1,071,491
6.00% due 09/01/2038		520,887		594,677
6.00% due 11/01/2038		316,200		361,014
6.50% due 02/01/2017		1,229		1,246
Fannie Mae Connecticut Avenue Securities Series 2014-C01, Class M1 2.04% due 01/25/2024 FRS(3)		4,781,353		4,776,881
Series 2013-C01, Class M1 2.44% due 10/25/2023 FRS(3)		78,170		78,605
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3)		847,007		850,161

				238,517,216

Government National Mtg. Assoc. — 2.2%
3.00% due 02/20/2045		3,374,450		3,499,948
3.00% due 05/20/2045		2,482,031		2,574,340
3.00% due March 30 TBA		2,686,000		2,781,689
3.50% due 03/20/2045		2,651,605		2,804,557
3.50% due 04/20/2045		7,823,349		8,274,622
4.00% due 03/20/2044		1,511,165		1,615,670
4.50% due 05/15/2039		818,061		903,697
5.00% due 05/15/2034		345,579		387,521
5.00% due 01/15/2040		634,484		715,089
5.50% due 12/15/2039		823,190		924,730
6.00% due 10/15/2039		598,806		676,413
7.00% due 09/15/2028		4,116		4,221

				25,162,497

Tennessee Valley Authority — 0.0%
1.75% due 10/15/2018		565,000		576,084

Total U.S. Government Agencies
(cost $386,714,417)				391,326,797

U.S. GOVERNMENT TREASURIES — 22.7%
United States Treasury Bonds — 5.6%
2.50% due 02/15/2045		8,000,000		7,793,752
2.75% due 11/15/2042		176,000		182,050
2.88% due 05/15/2043		1,300,000		1,375,309
2.88% due 08/15/2045		3,484,000		3,667,454
3.00% due 05/15/2045		7,604,000		8,205,188
3.00% due 11/15/2045		4,500,000		4,861,584
3.13% due 11/15/2041		3,426,000		3,830,696
3.13% due 02/15/2042		8,027,000		8,969,233
3.13% due 02/15/2043		1,700,000		1,889,125
3.13% due 08/15/2044		310,000		343,555
3.63% due 08/15/2043		2,000,000		2,439,922
3.63% due 02/15/2044		523,000		637,079
3.75% due 08/15/2041		152,000		188,278
3.75% due 11/15/2043		5,000,000		6,238,475
3.88% due 08/15/2040		588,000		740,237
4.25% due 11/15/2040		3,000,000		3,989,181



Security Description	Principal Amount		Value (Note 2)

U.S. GOVERNMENT TREASURIES (continued)
United States Treasury Bonds (continued)
4.38% due 05/15/2041	$	1,901,000	$	2,579,790
4.50% due 02/15/2036		3,610,000		4,966,710
4.63% due 02/15/2040		284,000		397,267
5.25% due 11/15/2028		1,575,000		2,157,873
8.13% due 08/15/2019		158,000		196,130

				65,648,888

United States Treasury Notes — 17.1%
0.13% due 04/15/2018 TIPS(8)		2,248,256		2,270,972
0.25% due 04/15/2016		8,000,000		7,999,704
0.50% due 06/30/2016		4,000,000		4,000,780
0.50% due 03/31/2017		15,000,000		14,965,425
0.50% due 04/30/2017		20,000,000		19,946,880
0.63% due 11/30/2017		9,203,000		9,176,035
0.75% due 12/31/2017		351,000		350,685
0.75% due 01/31/2018		1,173,000		1,172,130
0.75% due 02/28/2018		2,267,000		2,265,053
0.88% due 12/31/2016		5,005,000		5,013,604
0.88% due 02/28/2017		7,000,000		7,011,214
1.00% due 08/31/2016		3,656,000		3,664,332
1.00% due 05/31/2018		13,800,000		13,851,750
1.13% due 02/28/2021		976,000		971,464
1.25% due 11/30/2018		19,634,000		19,832,637
1.25% due 01/31/2020		1,000,000		1,004,805
1.38% due 06/30/2018		4,000,000		4,051,092
1.38% due 07/31/2018		4,800,000		4,863,374
1.38% due 12/31/2018		2,002,000		2,028,981
1.38% due 03/31/2020		3,064,000		3,090,690
1.38% due 04/30/2020		1,554,000		1,567,113
1.38% due 09/30/2020		3,819,000		3,845,851
1.38% due 01/31/2021		500,000		503,261
1.50% due 06/30/2016		158,000		158,549
1.50% due 08/31/2018		7,000,000		7,115,115
1.50% due 01/31/2019		10,150,000		10,320,094
1.63% due 12/31/2019		584,000		595,338
1.63% due 02/15/2026		1,225,000		1,212,175
1.75% due 12/31/2020		1,354,000		1,386,687
2.00% due 11/15/2021		1,001,000		1,035,018
2.00% due 07/31/2022		492,000		507,567
2.00% due 02/15/2025		664,000		679,381
2.00% due 08/15/2025		5,880,000		6,010,230
2.13% due 12/31/2021		473,000		491,846
2.25% due 11/15/2024		15,000,000		15,672,660
2.25% due 11/15/2025		5,344,000		5,581,974
2.38% due 05/31/2018		5,631,000		5,826,767
3.00% due 02/28/2017		830,000		848,740
3.13% due 05/15/2019		262,000		279,849
3.13% due 05/15/2021		2,199,000		2,398,113
3.38% due 11/15/2019		1,099,000		1,190,784
3.50% due 05/15/2020		3,472,000		3,800,347
3.63% due 08/15/2019		78,000		84,862

				198,643,928

Total U.S. Government Treasuries
(cost $255,439,441)				264,292,816

MUNICIPAL BONDS & NOTES — 0.3%
Ohio State University Revenue Bonds Series A 4.80% due 06/01/2111		1,057,000		1,099,872
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		861,000		961,866

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares/ Principal Amount		Value (Note 2)

MUNICIPAL BONDS & NOTES (continued)
Port Authority of New York & New Jersey Revenue Bonds Series 174 4.46% due 10/01/2062	$	1,010,000	$	1,022,867

Total Municipal Bonds & Notes
(cost $2,917,377)				3,084,605

COMMON STOCKS — 0.0%
Power Converter/Supply Equipment — 0.0%
TPT Acquisition, Inc.†(2)(4)		2,970		0

Television — 0.0%
ION Media Networks, Inc.†(2)(4)		79		77,990

Total Common Stocks
(cost $44,551)				77,990

PREFERRED SECURITIES — 0.1%
Electric - Distribution — 0.0%
Entergy Louisiana LLC 4.70%	$	22,875		552,660

Sovereign Agency — 0.0%
Federal Home Loan Mtg. Corp. FRS† Series Z 8.38%#		6,900		21,666

Telecom Services — 0.1%
Qwest Corp. 6.13%#		44,275		1,070,570

Total Preferred Securities
(cost $1,785,164)				1,644,896

PREFERRED SECURITIES/CAPITAL SECURITIES — 2.2%
Banks - Fiduciary — 0.1%
Bank of New York Mellon Corp. FRS Series E 4.95% due 06/20/2020(9)		1,133,000		1,108,074

Banks - Super Regional — 0.3%
Fifth Third Bancorp FRS Series J 4.90% due 09/30/2019(9)		1,323,000		1,159,279
PNC Preferred Funding Trust I VRS 2.16% due 03/15/2017*(9)		868,000		693,315
Wells Fargo & Co. FRS Series U 5.88% due 06/15/2025(9)		995,000		1,053,506
Wells Fargo Capital X 5.95% due 12/01/2086		413,000		415,065

				3,321,165

Diversified Banking Institutions — 1.2%
BAC Capital Trust XIII FRS Series F 4.00% due 03/21/2016(9)		862,000		607,710
Bank of America Corp. FRS Series AA 6.10% due 03/17/2025(9)		1,802,000		1,747,940
BNP Paribas SA VRS 7.38% due 08/19/2025*(9)		927,000		866,745
Citigroup, Inc. FRS Series N 5.80% due 11/15/2019(9)		921,000		854,227
Credit Agricole SA VRS 6.63% due 09/23/2019*#(9)		1,181,000		1,040,548
Credit Agricole SA VRS 8.13% due 12/23/2025*#(9)		2,890,000		2,688,180



Security Description	Principal Amount		Value (Note 2)


Diversified Banking Institutions (continued)
Deutsche Bank AG VRS 7.50% due 04/30/2025#(9)	$	1,200,000	$	969,000
Goldman Sachs Group, Inc. FRS Series M 5.38% due 05/10/2020(9)		634,000		603,885
HSBC Holdings PLC VRS 6.38% due 03/30/2025#(9)		410,000		376,047
JPMorgan Chase & Co. FRS Series U 6.13% due 04/30/2024(9)		1,759,000		1,750,205
Royal Bank of Scotland Group PLC VRS 8.00% due 08/10/2025#(9)		425,000		387,813
Societe Generale SA VRS 7.88% due 12/18/2023*#(9)		1,997,000		1,777,330

				13,669,630

Electric - Integrated — 0.1%
Dominion Resources, Inc. FRS 5.75% due 10/01/2054		754,000		716,300

Finance - Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(4)		148,000		15

Finance - Other Services — 0.1%
National Rural Utilities Cooperative Finance Corp. FRS 4.75% due 04/30/2043		817,000		778,193

Financial Guarantee Insurance — 0.0%
Assured Guaranty Municipal Holdings, Inc. FRS 6.40% due 12/15/2066*		484,000		338,800

Food - Dairy Products — 0.1%
Land O’Lakes Capital Trust I 7.45% due 03/15/2028*		860,000		892,250

Insurance - Life/Health — 0.1%
Prudential Financial, Inc. FRS 5.38% due 05/15/2045		407,000		383,597
Prudential Financial, Inc. FRS 5.63% due 06/15/2043		921,000		909,948

				1,293,545

Insurance - Multi-line — 0.1%
MetLife Capital Trust IV 7.88% due 12/15/2067*		577,000		657,780
MetLife, Inc. 6.40% due 12/15/2066		1,052,000		1,028,814

				1,686,594

Pipelines — 0.0%
TransCanada Trust FRS 5.63% due 05/20/2075		490,000		402,927

Tools - Hand Held — 0.1%
Stanley Black & Decker, Inc. FRS 5.75% due 12/15/2053#		1,817,000		1,885,137

Total Preferred Securities/Capital Securities
(cost $27,469,426)				26,092,630

Total Long-Term Investment Securities
(cost $1,148,472,801)				1,144,183,999

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares/ Principal Amount			Value (Note 2)

SHORT-TERM INVESTMENT SECURITIES — 12.1%
Registered Investment Companies — 1.7%
State Street Navigator Securities Lending Prime Portfolio 0.49%(10)(11)		19,299,981		$	19,299,981

Time Deposits — 10.4%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 03/01/2016	$	121,784,000			121,784,000

Total Short-Term Investment Securities
(cost $141,083,981)					141,083,981

TOTAL INVESTMENTS
(cost $1,289,556,782)(12)		110.3	%		1,285,267,980
Liabilities in excess of other assets		(10.3	)		(120,187,054	)

NET ASSETS		100.0	%	$	1,165,080,926

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At February 29, 2016, the aggregate value of these securities was $149,531,490 representing 12.1% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

#	The security or a portion thereof is out on loan; see Note 2.

†	Non-income producing security

(1)	Commercial Mortgage Backed Security

(2)	Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(3)	Collateralized Mortgage Obligation

(4)	Illiquid security. At February 29, 2016, the aggregate value of these securities was $78,097 representing 0.0% of net assets.

(5)	PIK (“Payment-in-Kind”) security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed.

(6)	Interest Only

(7)	Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at February 29, 2016.

(8)	Principal amount of security is adjusted for inflation.

(9)	Perpetual maturity — maturity date reflects the next call date.

(10)	At February 29, 2016, the Fund had loaned securities with a total value of $18,973,610. This was secured by collateral of $19,299,981, which was received in cash and subsequently invested in short-term investments currently valued at $19,299,981 as reported in the Portfolio of Investments.

(11)	The rate shown is the 7-day yield as of February 29, 2016.

(12)	See Note 5 for cost of investments on a tax basis.

REMIC—Real Estate Mortgage Investment Conduit

TBA—Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal and maturity date will be determined upon settlement date.

TIPS—Treasury Inflation Protected Security

FRS—Floating Rate Security

VRS—Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at February 29, 2016 and unless noted otherwise, the dates are the original maturity dates.

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Fund.

Industry Allocation*


Registered Investment Companies	10.0	%
Repurchase Agreements	8.7
Cable/Satellite TV	7.4
Medical — Hospitals	7.1
Oil Companies — Exploration & Production	5.3
Cellular Telecom	4.3
Building — Residential/Commercial	4.1
Television	3.6
Data Processing/Management	3.5
Diversified Banking Institutions	3.4
Medical — Drugs	3.1
Building & Construction Products — Misc.	2.9
Telephone — Integrated	2.5
Containers — Metal/Glass	2.4
Finance — Leasing Companies	2.1
Entertainment Software	1.7
Banks — Commercial	1.6
Pipelines	1.4
Telecommunication Equipment	1.2
Semiconductor Equipment	1.2
Diagnostic Kits	1.2
Electronic Components — Semiconductors	1.2
Office Automation & Equipment	1.2
Building Products — Cement	1.0
Internet Connectivity Services	1.0
Enterprise Software/Service	1.0
Telecom Services	0.9
Machinery — Farming	0.9
Finance — Other Services	0.9
Retail — Apparel/Shoe	0.9
Food — Canned	0.9
Electric — Integrated	0.8
Independent Power Producers	0.8
Steel — Producers	0.8
Funeral Services & Related Items	0.8
Broadcast Services/Program	0.7
Disposable Medical Products	0.7
Insurance — Multi-line	0.7
Food — Catering	0.7
Applications Software	0.7
Auto — Cars/Light Trucks	0.7
Specified Purpose Acquisitions	0.6
Containers — Paper/Plastic	0.6
Multimedia	0.6
Retail — Arts & Crafts	0.6
Medical — Outpatient/Home Medical	0.5
Forestry	0.5
Food — Flour & Grain	0.5
Retail — Leisure Products	0.5
Chemicals — Diversified	0.5
Decision Support Software	0.5
Physicians Practice Management	0.5
Soap & Cleaning Preparation	0.5
Medical — HMO	0.5
Printing — Commercial	0.5
Radio	0.5
Auto/Truck Parts & Equipment — Original	0.4
Real Estate Investment Trusts	0.4
Medical — Wholesale Drug Distribution	0.4
Finance — Auto Loans	0.3
Theaters	0.3
Machinery — General Industrial	0.3
Retail — Restaurants	0.3
Retail — Discount	0.3
Internet Content — Entertainment	0.3
Insurance — Life/Health	0.3
Distribution/Wholesale	0.2
E — Commerce/Products	0.2
X — Ray Equipment	0.1


Electronic Components — Misc.	0.1
Food — Misc./Diversified	0.1
Computer Software	0.1
Insurance — Property/Casualty	0.1
Rental Auto/Equipment	0.1
Medical Labs & Testing Services	0.1
Shipbuilding	0.1
Beverages — Wine/Spirits	0.1
E-Commerce/Services	0.1
Casino Services	0.1
Advertising Sales	0.1

	108.8	%

Credit Quality†#


Baa	3.5	%
Ba	32.3
B	44.5
Caa	16.4
Not Rated@	3.3

	100.0	%

*	Calculated as a percentage of net assets

†	Source: Moody’s

#	Calculated as a percentage of total debt issues, excluding short-term securities.

@	Represents debt issues that either have no rating, or the rating is unavailable from the data source.


Security Description	Principal Amount(16)		Value (Note 2)

CONVERTIBLE BONDS & NOTES — 0.2%
Building - Residential/Commercial — 0.1%
M/I Homes, Inc. Company Guar. Notes 3.00% due 03/01/2018	$	330,000	$	304,631

Medical - Drugs — 0.0%
Savient Pharmaceuticals, Inc. Escrow Notes 4.75% due 02/01/2018†(1)(2)		1,620,000		0

Oil Companies - Exploration & Production — 0.1%
Cobalt International Energy, Inc. Senior Notes 2.63% due 12/01/2019		1,465,000		662,913

Total Convertible Bonds & Notes
(cost $2,749,173)				967,544

U.S. CORPORATE BONDS & NOTES — 73.0%
Advertising Sales — 0.1%
Lamar Media Corp. Company Guar. Notes 5.75% due 02/01/2026*		240,000		248,549

Applications Software — 0.7%
Emdeon, Inc. Company Guar. Notes 6.00% due 02/15/2021*		2,125,000		1,976,250
Emdeon, Inc. Company Guar. Notes 11.00% due 12/31/2019		1,285,000		1,317,125

				3,293,375

Auto - Cars/Light Trucks — 0.7%
General Motors Co. Senior Notes 4.88% due 10/02/2023		2,370,000		2,385,547
General Motors Co. Senior Notes 6.25% due 10/02/2043		845,000		826,757

				3,212,304

Auto/Truck Parts & Equipment - Original — 0.4%
ZF North America Capital, Inc. Company Guar. Notes 4.50% due 04/29/2022*		550,000		542,437
ZF North America Capital, Inc. Company Guar. Notes 4.75% due 04/29/2025*		1,565,000		1,494,575

				2,037,012

Banks - Commercial — 0.5%
CIT Group, Inc. Senior Notes 5.50% due 02/15/2019*		975,000		1,009,125
CIT Group, Inc. Senior Notes 6.63% due 04/01/2018*		1,491,000		1,567,414

				2,576,539

Beverages - Wine/Spirits — 0.1%
Constellation Brands, Inc. Company Guar. Notes 4.25% due 05/01/2023		430,000		445,588

Broadcast Services/Program — 0.7%
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030		3,535,000		3,481,975


Security Description	Principal Amount(16)		Value (Note 2)


Building & Construction Products - Misc. — 2.9%
Builders FirstSource, Inc. Senior Sec. Notes 7.63% due 06/01/2021	$	3,235,000	$	3,283,525
Building Materials Corp. of America Senior Notes 5.38% due 11/15/2024*		4,810,000		4,885,180
Nortek, Inc. Company Guar. Notes 8.50% due 04/15/2021		3,185,000		3,288,513
Ply Gem Industries Inc. Company Guar. Notes 6.50% due 02/01/2022#		2,440,000		2,089,250
Standard Industries, Inc. Senior Notes 5.13% due 02/15/2021*		550,000		561,000

				14,107,468

Building Products - Cement — 0.5%
Cemex Finance LLC Senior Sec. Notes 6.00% due 04/01/2024*#		2,755,000		2,486,663

Building Products - Wood — 0.0%
Masco Corp. Senior Notes 7.75% due 08/01/2029		145,000		160,588

Building - Residential/Commercial — 4.0%
CalAtlantic Group, Inc. Company Guar. Notes 5.38% due 10/01/2022		390,000		390,000
DR Horton, Inc. Company Guar. Notes 4.00% due 02/15/2020		375,000		381,563
DR Horton, Inc. Company Guar. Notes 4.38% due 09/15/2022		1,365,000		1,361,588
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023		340,000		357,850
KB Home Company Guar. Notes 4.75% due 05/15/2019		445,000		424,975
KB Home Company Guar. Notes 7.00% due 12/15/2021		2,230,000		2,118,500
KB Home Company Guar. Notes 7.50% due 09/15/2022		2,255,000		2,136,612
KB Home Company Guar. Notes 8.00% due 03/15/2020		1,461,000		1,468,305
Lennar Corp. Company Guar. Notes 4.75% due 04/01/2021		2,370,000		2,381,850
Lennar Corp. Company Guar. Notes 4.75% due 11/15/2022		2,721,000		2,686,987
Lennar Corp. Company Guar. Notes 4.88% due 12/15/2023		610,000		594,750
M/I Homes, Inc. Company Guar. Notes 6.75% due 01/15/2021		3,295,000		3,187,912
PulteGroup, Inc. Company Guar. Notes 4.25% due 03/01/2021		630,000		633,150

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)


Security Description	Principal Amount(16)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Building - Residential/Commercial (continued)
PulteGroup, Inc. Company Guar. Notes 6.38% due 05/15/2033	$	285,000	$	287,850
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025		790,000		766,300

				19,178,192

Cable/Satellite TV — 6.3%
CCO Holdings LLC Company Guar. Notes 5.88% due 04/01/2024*		1,490,000		1,521,663
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.13% due 02/15/2023		150,000		148,875
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.13% due 05/01/2023*		4,220,000		4,188,350
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.25% due 09/30/2022		665,000		672,481
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.75% due 09/01/2023		715,000		725,725
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 5.75% due 01/15/2024#		360,000		367,200
CCO Holdings LLC/CCO Holdings Capital Corp. Company Guar. Notes 6.63% due 01/31/2022		2,240,000		2,352,000
CCO Safari II LLC Senior Sec. Notes 4.91% due 07/23/2025*		845,000		866,886
CCOH Safari LLC Senior Notes 5.75% due 02/15/2026*		1,815,000		1,819,774
Cequel Communications Holdings I LLC/Cequel Capital Corp. Senior Notes 5.13% due 12/15/2021*		3,405,000		3,124,088
Cequel Communications Holdings I LLC/Cequel Capital Corp. Senior Notes 5.13% due 12/15/2021*		1,650,000		1,513,875
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		2,070,000		1,831,950
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		3,576,000		3,643,050
DISH DBS Corp. Company Guar. Notes 7.88% due 09/01/2019		2,710,000		2,935,580
Harron Communications LP/Harron Finance Corp. Senior Notes 9.13% due 04/01/2020*		2,196,000		2,303,055
Neptune Finco Corp. Senior Notes 10.13% due 01/15/2023*		1,145,000		1,232,306
Neptune Finco Corp. Senior Notes 10.88% due 10/15/2025*		1,055,000		1,139,400

				30,386,258

Cellular Telecom — 4.3%
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020*#		3,640,000		3,576,300


Security Description	Principal Amount(16)		Value (Note 2)


Cellular Telecom (continued)
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018*	$	1,955,000	$	2,029,486
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		1,010,000		719,625
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		3,815,000		2,870,787
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		3,615,000		2,675,100
Syniverse Holdings, Inc. Company Guar. Notes 9.13% due 01/15/2019		3,270,000		1,185,375
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 11/15/2020		2,565,000		2,667,600
T-Mobile USA, Inc. Company Guar. Notes 6.63% due 04/28/2021		2,275,000		2,377,375
T-Mobile USA, Inc. Company Guar. Notes 6.73% due 04/28/2022		2,450,000		2,562,945

				20,664,593

Computer Software — 0.1%
SS&C Technologies Holdings, Inc. Company Guar. Notes 5.88% due 07/15/2023*		515,000		543,325

Containers - Metal/Glass — 1.5%
Ball Corp. Company Guar. Notes 3.50% due 12/15/2020	EUR	465,000		521,026
Ball Corp. Company Guar. Notes 4.38% due 12/15/2023	EUR	620,000		691,329
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.88% due 08/15/2023*#		4,220,000		4,346,600
Owens-Brockway Glass Container, Inc. Company Guar. Notes 6.38% due 08/15/2025*#		1,675,000		1,721,062

				7,280,017

Containers - Paper/Plastic — 0.6%
Berry Plastics Corp. Sec. Notes 6.00% due 10/15/2022*#		2,760,000		2,870,400

Data Processing/Management — 3.5%
Audatex North America, Inc. Company Guar. Notes 6.00% due 06/15/2021*		4,021,000		4,061,210
Audatex North America, Inc. Company Guar. Notes 6.13% due 11/01/2023*		925,000		934,250
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*		3,580,000		3,723,200
First Data Corp. Sec. Notes 5.75% due 01/15/2024*		5,525,000		5,559,531
First Data Corp. Company Guar. Notes 7.00% due 12/01/2023*		2,435,000		2,435,000

				16,713,191

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)


Security Description	Principal Amount(16)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Decision Support Software — 0.5%
MSCI, Inc. Company Guar. Notes 5.25% due 11/15/2024*	$	1,685,000	$	1,781,888
MSCI, Inc. Company Guar. Notes 5.75% due 08/15/2025*		435,000		469,256

				2,251,144

Diagnostic Kits — 1.2%
Alere, Inc. Company Guar. Notes 6.38% due 07/01/2023*		2,860,000		3,138,850
Alere, Inc. Company Guar. Notes 6.50% due 06/15/2020		2,555,000		2,644,425

				5,783,275

Disposable Medical Products — 0.7%
Sterigenics-Nordion Holdings LLC Senior Notes 6.50% due 05/15/2023*		3,625,000		3,407,500

Distribution/Wholesale — 0.2%
American Builders & Contractors Supply Co., Inc. Senior Notes 5.63% due 04/15/2021*		335,000		342,538
American Builders & Contractors Supply Co., Inc. Senior Notes 5.75% due 12/15/2023*		790,000		813,700

				1,156,238

E-Commerce/Services — 0.0%
Match Group, Inc. Senior Notes 6.75% due 12/15/2022*		150,000		151,875

Electric-Integrated — 0.6%
GenOn Americas Generation LLC Senior Notes 8.50% due 10/01/2021		2,735,000		1,504,250
GenOn Americas Generation LLC Senior Notes 9.13% due 05/01/2031#		1,565,000		860,750
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Senior Sec. Notes 11.50% due 10/01/2020†*(3)(4)		1,680,000		491,400

				2,856,400

Electronic Components - Semiconductors — 1.2%
Freescale Semiconductor, Inc. Senior Sec. Notes 6.00% due 01/15/2022*		5,250,000		5,571,562

Enterprise Software/Service — 1.0%
Infor Software Parent LLC/Infor Software Parent, Inc. Company Guar. Notes 7.13% due 05/01/2021*(5)		1,365,000		958,912
Infor US, Inc. Senior Sec. Notes 5.75% due 08/15/2020*		165,000		166,238
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022*		4,000,000		3,470,000

				4,595,150

Entertainment Software — 1.7%
Activision Blizzard, Inc. Company Guar. Notes 5.63% due 09/15/2021*		5,920,000		6,223,400


Security Description	Principal Amount(16)		Value (Note 2)


Entertainment Software (continued)
Activision Blizzard, Inc. Company Guar. Notes 6.13% due 09/15/2023*	$	1,765,000	$	1,888,550

				8,111,950

Finance - Auto Loans — 0.3%
Ally Financial, Inc. Sub. Notes 8.00% due 12/31/2018		1,475,000		1,604,063

Finance - Leasing Companies — 0.7%
International Lease Finance Corp. Senior Notes 5.88% due 08/15/2022		2,950,000		3,138,062

Finance - Other Services — 0.9%
Nationstar Mtg. LLC/Nationstar Capital Corp. Company Guar. Notes 6.50% due 08/01/2018		2,400,000		2,346,000
Nationstar Mtg. LLC/Nationstar Capital Corp. Company Guar. Notes 6.50% due 07/01/2021		955,000		841,594
Nationstar Mtg. LLC/Nationstar Capital Corp. Company Guar. Notes 6.50% due 06/01/2022		1,425,000		1,211,250

				4,398,844

Food - Canned — 0.9%
TreeHouse Foods, Inc. Company Guar. Notes 4.88% due 03/15/2022#		2,705,000		2,805,896
TreeHouse Foods, Inc. Company Guar. Notes 6.00% due 02/15/2024*		1,230,000		1,294,575

				4,100,471

Food - Catering — 0.7%
Aramark Services, Inc. Company Guar. Notes 5.13% due 01/15/2024*#		360,000		377,100
Aramark Services, Inc. Company Guar. Notes 5.75% due 03/15/2020		2,905,000		2,999,412

				3,376,512

Food - Flour & Grain — 0.5%
Post Holdings, Inc. Company Guar. Notes 6.00% due 12/15/2022*		740,000		768,675
Post Holdings Inc. Company Guar. Notes 7.38% due 02/15/2022		1,580,000		1,674,800

				2,443,475

Food - Misc./Diversified — 0.1%
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. Company Guar. Notes 5.88% due 01/15/2024*		565,000		596,075

Funeral Services & Related Items — 0.8%
Service Corp. International Senior Notes 4.50% due 11/15/2020		1,255,000		1,286,375
Service Corp. International Senior Notes 5.38% due 01/15/2022		2,300,000		2,403,500

				3,689,875

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)


Security Description	Principal Amount(16)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Independent Power Producers — 0.8%
Dynegy, Inc. Company Guar. Notes 5.88% due 06/01/2023	$	2,110,000	$	1,614,150
Dynegy, Inc. Company Guar. Notes 7.38% due 11/01/2022		1,675,000		1,398,625
Dynegy, Inc. Company Guar. Notes 7.63% due 11/01/2024		1,140,000		943,350

				3,956,125

Insurance - Life/Health — 0.3%
CNO Financial Group, Inc. Senior Notes 4.50% due 05/30/2020		350,000		348,688
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		920,000		892,400

				1,241,088

Internet Connectivity Services — 1.0%
Zayo Group LLC/Zayo Capital, Inc. Company Guar. Notes 6.00% due 04/01/2023		3,765,000		3,708,525
Zayo Group LLC/Zayo Capital, Inc. Company Guar. Notes 6.38% due 05/15/2025		985,000		940,675
Zayo Group LLC/Zayo Capital, Inc. Company Guar. Notes 10.13% due 07/01/2020		130,000		139,425

				4,788,625

Internet Content - Entertainment — 0.3%
Netflix, Inc. Senior Notes 5.88% due 02/15/2025		1,225,000		1,283,188

Machinery - Farming — 0.9%
Case New Holland Industrial, Inc. Company Guar. Notes 7.88% due 12/01/2017		1,595,000		1,699,472
CNH Industrial Capital LLC Company Guar. Notes 4.38% due 11/06/2020#		2,835,000		2,721,600

				4,421,072

Medical Labs & Testing Services — 0.1%
inVentiv Health, Inc. Senior Sec. Notes 9.00% due 01/15/2018*		470,000		479,400

Medical - Drugs — 1.1%
PRA Holdings, Inc. Senior Notes 9.50% due 10/01/2023*		2,104,000		2,335,440
Quintiles Transnational Corp. Company Guar. Notes 4.88% due 05/15/2023*		2,750,000		2,825,625

				5,161,065

Medical - HMO — 0.5%
WellCare Health Plans, Inc. Senior Notes 5.75% due 11/15/2020		2,165,000		2,224,537

Medical - Hospitals — 7.1%
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/15/2018		996,000		999,735


Security Description	Principal Amount(16)		Value (Note 2)


Medical - Hospitals (continued)
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022	$	7,645,000	$	6,555,587
CHS/Community Health Systems, Inc. Company Guar. Notes 7.13% due 07/15/2020		2,010,000		1,809,000
HCA Holdings, Inc. Senior Notes 6.25% due 02/15/2021		5,000,000		5,287,500
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		690,000		702,938
HCA, Inc. Senior Sec. Notes 5.88% due 03/15/2022		2,150,000		2,305,875
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020		1,275,000		1,412,318
HCA, Inc. Company Guar. Notes 7.50% due 11/15/2095		1,820,000		1,756,300
LifePoint Health, Inc. Company Guar. Notes 5.88% due 12/01/2023		2,790,000		2,901,600
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		2,365,000		2,388,650
Tenet Healthcare Corp. Senior Notes 5.00% due 03/01/2019		4,245,000		4,053,975
Tenet Healthcare Corp. Senior Notes 6.75% due 06/15/2023		505,000		457,656
Tenet Healthcare Corp. Senior Notes 8.13% due 04/01/2022		3,670,000		3,608,050

				34,239,184

Medical - Outpatient/Home Medical — 0.5%
Amsurg Corp. Company Guar. Notes 5.63% due 07/15/2022		2,470,000		2,544,100

Medical - Wholesale Drug Distribution — 0.2%
Vizient, Inc. Senior Notes 10.38% due 03/01/2024*		1,000,000		1,057,500

Office Automation & Equipment — 1.2%
CDW LLC/CDW Finance Corp. Company Guar. Notes 5.00% due 09/01/2023		1,410,000		1,445,250
CDW LLC/CDW Finance Corp. Company Guar. Notes 6.00% due 08/15/2022		3,870,000		4,111,875

				5,557,125

Oil Companies - Exploration & Production — 4.3%
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021		1,315,000		1,137,475
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023*		995,000		850,725
Antero Resources Corp. Company Guar. Notes 6.00% due 12/01/2020		1,390,000		1,244,050
Bonanza Creek Energy, Inc. Company Guar. Notes 6.75% due 04/15/2021		2,920,000		868,700

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)


Security Description	Principal Amount(16)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies - Exploration & Production (continued)
Concho Resources, Inc. Company Guar. Notes 5.50% due 10/01/2022	$	2,780,000	$	2,576,713
Concho Resources, Inc. Company Guar. Notes 5.50% due 04/01/2023		580,000		539,400
Continental Resources, Inc. Company Guar. Notes 3.80% due 06/01/2024		610,000		413,438
Continental Resources, Inc. Company Guar. Notes 4.90% due 06/01/2044		940,000		576,297
Diamondback Energy, Inc. Company Guar. Notes 7.63% due 10/01/2021#		3,275,000		3,307,750
Energen Corp. Senior Notes 4.63% due 09/01/2021#		490,000		367,500
Laredo Petroleum, Inc. Company Guar. Notes 5.63% due 01/15/2022#		1,765,000		1,129,600
Laredo Petroleum, Inc. Company Guar. Notes 6.25% due 03/15/2023		1,380,000		859,050
Laredo Petroleum, Inc. Company Guar. Notes 7.38% due 05/01/2022#		575,000		369,438
Matador Resources Co. Company Guar. Notes 6.88% due 04/15/2023		400,000		348,000
QEP Resources, Inc. Senior Notes 5.25% due 05/01/2023		3,756,000		2,629,200
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022		206,000		140,080
QEP Resources, Inc. Senior Notes 6.80% due 03/01/2020		245,000		202,125
Rice Energy, Inc. Company Guar. Notes 7.25% due 05/01/2023		555,000		444,000
RSP Permian, Inc. Company Guar. Notes 6.63% due 10/01/2022*		1,340,000		1,199,300
RSP Permian, Inc. Company Guar. Notes 6.63% due 10/01/2022		120,000		107,400
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024		1,260,000		680,400
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022		1,090,000		624,025

				20,614,666

Physicians Practice Management — 0.5%
Envision Healthcare Corp. Company Guar. Notes 5.13% due 07/01/2022*		860,000		864,300
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023*		1,330,000		1,378,212

				2,242,512


Security Description	Principal Amount(16)		Value (Note 2)


Pipelines — 1.4%
Blue Racer Midstream LLC/Blue Racer Finance Corp. Company Guar. Notes 6.13% due 11/15/2022*	$	2,705,000	$	2,028,750
Energy Transfer Equity LP Senior Sec. Notes 5.50% due 06/01/2027		4,565,000		3,446,575
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		1,350,000		1,235,250

				6,710,575

Printing - Commercial — 0.5%
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022		2,950,000		2,205,125

Radio — 0.5%
Sirius XM Radio, Inc. Company Guar. Notes 4.25% due 05/15/2020*		555,000		563,325
Sirius XM Radio, Inc. Company Guar. Notes 4.63% due 05/15/2023*		1,560,000		1,521,000
Sirius XM Radio, Inc. Senior Sec. Notes 5.25% due 08/15/2022*		60,000		63,300

				2,147,625

Real Estate Investment Trusts — 0.4%
Equinix, Inc. Senior Notes 4.88% due 04/01/2020		75,000		77,813
Equinix, Inc. Senior Notes 5.38% due 04/01/2023		410,000		438,577
Equinix, Inc. Senior Notes 5.88% due 01/15/2026		1,420,000		1,483,900

				2,000,290

Rental Auto/Equipment — 0.1%
Hertz Corp. Company Guar. Notes 5.88% due 10/15/2020#		500,000		485,000

Retail - Apparel/Shoe — 0.9%
Chinos Intermediate Holdings, Inc. Senior Notes 7.75% due 05/01/2019*(5)		1,550,000		379,750
L Brands, Inc. Company Guar. Notes 6.88% due 11/01/2035*		2,955,000		3,139,687
L Brands, Inc. Senior Notes 6.95% due 03/01/2033		651,000		644,490

				4,163,927

Retail - Arts & Crafts — 0.6%
Michaels Stores, Inc. Company Guar. Notes 5.88% due 12/15/2020*#		2,600,000		2,678,000

Retail - Discount — 0.3%
Dollar Tree, Inc. Company Guar. Notes 5.25% due 03/01/2020*		235,000		246,750
Dollar Tree, Inc. Company Guar. Notes 5.75% due 03/01/2023*		1,130,000		1,202,038

				1,448,788

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)


Security Description	Principal Amount(16)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Retail - Leisure Products — 0.5%
Party City Holdings, Inc. Company Guar. Notes 6.13% due 08/15/2023*#	$	2,385,000	$	2,337,300

Retail - Restaurants — 0.3%
CEC Entertainment, Inc. Company Guar. Notes 8.00% due 02/15/2022		1,705,000		1,453,513

Rubber/Plastic Products — 0.0%
Venture Holdings Co. LLC Company Guar. Notes 11.00% due 06/01/2007†(1)(2)(6)(8)		50,000		0

Semiconductor Equipment — 0.8%
Entegris, Inc. Company Guar. Notes 6.00% due 04/01/2022*		3,810,000		3,857,625

Shipbuilding — 0.1%
Huntington Ingalls Industries, Inc. Company Guar. Notes 5.00% due 11/15/2025*		430,000		450,692

Soap & Cleaning Preparation — 0.5%
Sun Products Corp. Senior Notes 7.75% due 03/15/2021*#		2,545,000		2,239,600

Specified Purpose Acquisitions — 0.6%
Argos Merger Sub, Inc. Senior Notes 7.13% due 03/15/2023*#		3,035,000		3,103,287

Steel - Producers — 0.8%
AK Steel Corp. Company Guar. Notes 7.63% due 05/15/2020#		860,000		520,300
AK Steel Corp. Company Guar. Notes 7.63% due 10/01/2021#		1,590,000		850,650
AK Steel Corp. Company Guar. Notes 8.38% due 04/01/2022		1,360,000		707,200
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		915,000		892,125
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024		1,005,000		942,187

				3,912,462

Telecommunication Equipment — 1.2%
Alcatel-Lucent USA, Inc. Senior Notes 6.45% due 03/15/2029		5,385,000		5,479,237
Alcatel-Lucent USA, Inc. Senior Notes 6.50% due 01/15/2028		490,000		491,225

				5,970,462

Telephone - Integrated — 2.5%
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*		1,235,000		1,247,350
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025*		3,030,000		3,033,787
Level 3 Financing, Inc. Company Guar. Notes 5.13% due 05/01/2023		455,000		464,100


Security Description	Principal Amount(16)		Value (Note 2)


Telephone - Integrated (continued)
Level 3 Financing, Inc. Company Guar. Notes 5.38% due 08/15/2022	$	2,175,000	$	2,234,813
Level 3 Financing, Inc. Company Guar. Notes 5.38% due 01/15/2024*		950,000		973,750
Level 3 Financing, Inc. Company Guar. Notes 6.13% due 01/15/2021		340,000		355,300
Level 3 Financing, Inc. Company Guar. Notes 7.00% due 06/01/2020		2,009,000		2,106,939
Windstream Services LLC Company Guar. Notes 7.75% due 10/15/2020#		2,135,000		1,763,403

				12,179,442

Television — 2.9%
Gannett Co., Inc. Company Guar. Notes 5.50% due 09/15/2024*		705,000		722,625
Gannett Co., Inc. Company Guar. Notes 6.38% due 10/15/2023		1,360,000		1,458,600
Gray Television, Inc. Company Guar. Notes 7.50% due 10/01/2020		815,000		856,769
TEGNA, Inc. Company Guar. Notes 4.88% due 09/15/2021*		1,540,000		1,578,500
TEGNA, Inc. Company Guar. Notes 5.13% due 10/15/2019		3,685,000		3,906,100
Tribune Media Co. Company Guar. Notes 5.88% due 07/15/2022*		5,290,000		5,290,000

				13,812,594

Theaters — 0.3%
Carmike Cinemas, Inc. Sec. Notes 6.00% due 06/15/2023*		1,485,000		1,561,106

X-Ray Equipment — 0.1%
Hologic, Inc. Company Guar. Notes 5.25% due 07/15/2022*		660,000		691,284

Total U.S. Corporate Bonds & Notes
(cost $371,888,932)				350,137,392

FOREIGN CORPORATE BONDS & NOTES — 9.8%
Building Products-Cement — 0.5%
Cemex SAB de CV Senior Sec. Notes 5.70% due 01/11/2025*		1,830,000		1,601,250
Cemex SAB de CV Senior Sec. Notes 6.13% due 05/05/2025*		1,135,000		1,021,500

				2,622,750

Cable/Satellite TV — 0.9%
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH Senior Sec. Notes 5.50% due 01/15/2023*		2,735,000		2,864,912
UPCB Finance V, Ltd. Senior Sec. Notes 7.25% due 11/15/2021*		490,500		519,317

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)


Security Description	Principal Amount(16)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
UPCB Finance VI, Ltd. Senior Sec. Notes 6.88% due 01/15/2022*	$	1,057,500	$	1,113,019

				4,497,248

Chemicals - Diversified — 0.5%
INEOS Group Holdings SA Sec. Notes 6.13% due 08/15/2018*#		2,305,000		2,305,000

Containers - Metal/Glass — 0.9%
Ardagh Finance Holdings SA Senior Notes 8.63% due 06/15/2019*(7)		1,118,778		1,043,260
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. Company Guar. Notes 6.00% due 06/30/2021*#		3,375,000		3,088,125
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. Senior Notes 7.00% due 11/15/2020*		140,294		130,474

				4,261,859

Finance - Leasing Companies — 1.4%
AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust Company Guar. Notes 4.50% due 05/15/2021		5,720,000		5,762,900
AerCap Ireland Capital, Ltd./AerCap Global Aviation Trust Company Guar. Notes 4.63% due 10/30/2020		870,000		884,137

				6,647,037

Forestry — 0.5%
Tembec Industries, Inc. Senior Sec. Notes 9.00% due 12/15/2019*#		3,820,000		2,463,900

Medical - Drugs — 2.0%
Endo, Ltd./Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 6.00% due 07/15/2023*		585,000		590,850
Endo, Ltd./Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 6.00% due 02/01/2025*		4,170,000		4,149,150
Grifols Worldwide Operations, Ltd. Company Guar. Notes 5.25% due 04/01/2022		905,000		935,544
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.50% due 03/01/2023*		1,910,000		1,590,075
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.88% due 05/15/2023*		2,530,000		2,134,687

				9,400,306

Multimedia — 0.3%
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023		1,415,000		1,468,063

Oil Companies - Exploration & Production — 0.9%
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		2,340,000		1,105,650
MEG Energy Corp. Company Guar. Notes 7.00% due 03/31/2024*#		1,735,000		798,100


Security Description	Principal Amount(16)		Value (Note 2)


Oil Companies - Exploration & Production (continued)
Tullow Oil PLC Company Guar. Notes 6.00% due 11/01/2020*	$	1,220,000	$	786,900
Tullow Oil PLC Company Guar. Notes 6.25% due 04/15/2022*		2,465,000		1,503,650

				4,194,300

Semiconductor Equipment — 0.4%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		1,230,000		1,208,475
Sensata Technologies BV Company Guar. Notes 5.63% due 11/01/2024*		710,000		731,300

				1,939,775

Special Purpose Entity — 0.0%
Hellas Telecommunications Luxembourg II SCA FRS Sub. Notes 8.46% due 01/15/2015†*(1)(2)(8)(9)		925,000		0

Telecom Services — 0.9%
Wind Acquisition Finance SA Senior Sec. Notes 4.00% due 07/15/2020*	EUR	2,245,000		2,362,852
Wind Acquisition Finance SA Senior Sec. Notes 4.75% due 07/15/2020*		1,940,000		1,872,100
Wind Acquisition Finance SA Senior Sec. Notes 6.50% due 04/30/2020*		220,000		222,750

				4,457,702

Television — 0.6%
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022		2,720,000		2,781,200

Total Foreign Corporate Bonds & Notes
(cost $54,649,344)				47,039,140

LOANS(1)(10)(11)(17) — 1.4%
Building - Residential/Commercial — 0.0%
TOUSA, Inc. Escrow Loans 12.25% due 08/15/2011†(2)		2,037,810		0

Cable/Satellite TV — 0.2%
Virgin Media Investment Holdings, Ltd. FRS BTL-F 3.50% due 06/30/2023		1,230,000		1,191,870

E-Commerce/Products — 0.2%
Lands’ End, Inc. FRS BTL-B 4.25% due 04/04/2021		1,021,105		721,582

E-Commerce/Services — 0.1%
Match Group, Inc. FRS BTL-B 5.50% due 11/16/2022		285,000		284,169

Electric - Integrated — 0.2%
Texas Competitive Electric Holdings Co. LLC FRS BTL 4.91% due 10/10/2017†(3)(4)		3,873,748		1,108,860

Electronic Components-Misc. — 0.1%
NXP BV/NXP Funding LLC BTL 3.75% due 12/07/2020		650,000		648,070

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)


Security Description	Shares/ Principal Amount(16)		Value (Note 2)

LOANS(1)(10)(11)(17) (continued)
Insurance - Property/Casualty — 0.1%
Asurion LLC FRS 2nd Lien 8.50% due 03/03/2021	$	635,000	$	512,564

Machinery - General Industrial — 0.3%
Gardner Denver, Inc. FRS BTL 4.25% due 07/30/2020		1,837,700		1,514,265

Medical - Wholesale Drug Distribution — 0.2%
Vizient, Inc. FRS First Lien 6.25% due 02/13/2023		895,000		885,677

Total Loans
(cost $10,336,685)				6,867,057

COMMON STOCKS†(1)(2) — 0.0%
Multimedia — 0.0%
Haights Cross Communication, Inc. (cost $82,159)		10,439		0

MEMBERSHIP INTEREST CERTIFICATES†(1)(12) — 0.1%
Casino Services — 0.1%
Herbst Gaming, Inc. (cost $232,701)		23,439		304,708

PREFERRED SECURITIES — 0.7%
Diversified Banking Institutions — 0.7%
GMAC Capital Trust I FRS Series 2 8.13% (cost $3,453,179)		134,000		3,250,840

PREFERRED SECURITIES/CAPITAL SECURITIES — 4.8%
Banks - Commercial — 1.1%
Banco Bilbao Vizcaya Argentaria SA VRS 7.00% due 02/19/2019(13)	EUR	3,200,000		3,098,477
Banco Bilbao Vizcaya Argentaria SA VRS 9.00% due 05/09/2018(13)		1,000,000		1,018,000
Intesa Sanpaolo SpA VRS 7.70% due 09/17/2025*#(13)		1,435,000		1,248,450

				5,364,927

Diversified Banking Institutions — 2.7%
Barclays PLC VRS 6.63% due 09/15/2019#		1,034,000		868,560
Barclays PLC VRS 8.25% due 12/15/2018(13)		2,595,000		2,462,860
Credit Agricole SA VRS 7.88% due 01/23/2024*(13)		775,000		682,773
Credit Suisse Group AG VRS 6.25% due 12/18/2024(13)		3,675,000		3,279,938
Royal Bank of Scotland Group PLC FRS 6.99% due 10/05/2017*(13)		1,690,000		1,842,100
Royal Bank of Scotland Group PLC VRS 7.50% due 08/10/2020(13)		2,515,000		2,269,536
Royal Bank of Scotland Group PLC FRS 7.64% due 09/30/2017(13)		500,000		486,250
Societe Generale SA VRS 8.25% due 11/29/2018(13)		875,000		860,781

				12,752,798

Insurance - Multi-line — 0.7%
Hartford Financial Services Group, Inc. FRS 8.13% due 06/15/2068		3,170,000		3,391,583

Multimedia — 0.3%
NBCUniversal Enterprise, Inc. 5.25% due 03/19/2021*(13)		1,260,000		1,297,800

Total Preferred Securities/Capital Securities
(cost $24,731,089)				22,807,108


Security Description	Shares/ Principal Amount(16)			Value (Note 2)

WARRANTS†(1)(2)(12) — 0.1%
Television — 0.1%
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)		310		$	306,035
ION Media Networks, Inc. Expires 12/18/2016 (strike price $0.01)		306			302,086

Total Warrants
(cost $0)					608,121

Total Long-Term Investment Securities
(cost $468,123,262)					431,981,910

SHORT-TERM INVESTMENT SECURITIES — 10.0%
Registered Investment Companies — 10.0%
State Street Navigator Securities Lending Prime Portfolio 0.49%(14)(15) (cost $48,133,095)		48,133,095			48,133,095

REPURCHASE AGREEMENTS — 8.7%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 02/29/2016, to be repurchased 03/01/2016 in the amount of $41,957,012 and collateralized by $42,030,000 of United States Treasury Notes, bearing interest at 1.50%, due 11/30/2019 and having an approximate value of $42,797,510 (cost $41,957,000)	$	41,957,000			41,957,000

TOTAL INVESTMENTS
(cost $558,213,357)(18)		108.8	%		522,072,005
Liabilities in excess of other assets		(8.8	)		(42,266,809	)

NET ASSETS		100.0	%	$	479,805,196

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At February 29, 2016, the aggregate value of these securities was $186,371,475 representing 38.8% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

#	The security or a portion thereof is out on loan; see Note 2.

†	Non-income producing security

(1)	Illiquid security. At February 29, 2016, the aggregate value of these securities was $7,779,886 representing 1.6% of net assets.

(2)	Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(3)	Company has filed for Chapter 11 bankruptcy protection.

(4)	Security in default of interest.

(5)	PIK (“Payment-in-Kind”) security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed.

(6)	Company has filed for Chapter 7 bankruptcy.

(7)	PIK (“Payment-in-Kind”) security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest the form of additional securities at the coupon rate listed.

(8)	Security in default of principal and interest at maturity.

(9)	Company has filed for bankruptcy protection in the country of issuance.

(10)

Senior loans in the Fund are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.

(11)

The Fund invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)

(12)

Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of February 29, 2016, the Fund held the following restricted securities:


Description	Acquisition Date		Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Membership Interest Certificate
Herbst Gaming, Inc.		03/26/2008		23,439	$	232,701	$	304,708	$	13.00		0.06	%
Warrants
ION Media Networks, Inc. Expires 12/18/2016 (Strike price $0.01)		11/11/2010		310		–		306,035		987.21		0.06	%
ION Media Networks, Inc. Expires 12/18/2016 (Strike price $0.01)		03/01/2011		306		–		302,086		987.21		0.06	%

							$	912,829				0.18	%

(13)	Perpetual maturity — maturity date reflects the next call date.

(14)	At February 29, 2016, the Fund had loaned securities with a total value of $47,713,074. This was secured by collateral of $48,133,095, which was received in cash and subsequently invested in short-term investments currently valued at $48,133,095 as reported in the Portfolio of Investments.

(15)	The rate shown is the 7-day yield as of February 29, 2016.

(16)	Denominated in United States dollars unless otherwise indicated.

(17)	All loans in the fund were purchased through assignment agreements unless otherwise indicated.

(18)	See Note 5 for cost of investments on a tax basis.

BTL—Bank Term Loan

EUR—Euro Dollar

FRS—Floating Rate Security

VRS—Variable Rate Security

The rates shown on FRS are the current interest rates at February 29, 2016 and unless noted otherwise, the dates shown are the original maturity dates.

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Fund.

Industry Allocation*


Registered Investment Companies	6.0	%
Food — Misc./Diversified	3.0
Building — Residential/Commercial	2.8
Auto/Truck Parts & Equipment — Original	2.8
E-Commerce/Services	2.2
Computer Services	2.1
Real Estate Operations & Development	2.0
Containers — Paper/Plastic	2.0
Distribution/Wholesale	2.0
Building & Construction Products — Misc.	1.8
Fisheries	1.7
Banks — Commercial	1.7
Repurchase Agreements	1.6
Retail — Drug Store	1.6
Energy — Alternate Sources	1.6
Retail — Apparel/Shoe	1.6
Investment Management/Advisor Services	1.5
Chemicals — Diversified	1.4
Medical Products	1.4
Enterprise Software/Service	1.4
Commercial Services	1.4
Human Resources	1.3
Casino Hotels	1.3
Real Estate Investment Trusts	1.3
Funeral Services & Related Items	1.3
Electronic Measurement Instruments	1.3
Retail — Restaurants	1.3
Building & Construction — Misc.	1.2
Dental Supplies & Equipment	1.2
Machinery — General Industrial	1.2
E-Commerce/Products	1.1
Entertainment Software	1.1
Soap & Cleaning Preparation	1.1
Machine Tools & Related Products	1.1
Medical Labs & Testing Services	1.1
Hotels/Motels	1.1
Retail — Discount	1.0
Cosmetics & Toiletries	1.0
Casino Services	1.0
Cellular Telecom	1.0
Chemicals — Specialty	1.0
Food — Catering	1.0
Finance — Other Services	0.9
Leisure Products	0.9
Computers — Integrated Systems	0.9
Medical — Drugs	0.9
Applications Software	0.9
Beverages — Non-alcoholic	0.9
Insurance — Property/Casualty	0.9
Wireless Equipment	0.8
Transactional Software	0.8
Semiconductor Equipment	0.7
Transport — Services	0.7
Private Equity	0.7
Gold Mining	0.7
Internet Content — Information/News	0.7
Retail — Convenience Store	0.7
Apparel Manufacturers	0.6
Electronic Components — Semiconductors	0.6
Telecom Services	0.6
Medical Instruments	0.5
Airlines	0.5
Auto/Truck Parts & Equipment — Replacement	0.5
Electric — Integrated	0.5
Machinery — Material Handling	0.5
Internet Financial Services	0.5
Gambling (Non-Hotel)	0.5
Food — Wholesale/Distribution	0.5
Advertising Sales	0.5


Diversified Financial Services			0.5
Exchange-Traded Funds			0.5
Real Estate Management/Services			0.5
Electric — Generation			0.5
Retail — Misc./Diversified			0.5
Satellite Telecom			0.4
Food — Dairy Products			0.4
Photo Equipment & Supplies			0.4
Retail — Automobile			0.4
Insurance Brokers			0.4
Oil Refining & Marketing			0.4
Coatings/Paint			0.4
Aerospace/Defense			0.4
Wire & Cable Products			0.4
Petrochemicals			0.4
Electronic Components — Misc.			0.3
Gas — Distribution			0.3
Respiratory Products			0.3
Transport — Truck			0.3
Veterinary Products			0.3
Electric Products — Misc.			0.3
Telephone — Integrated			0.3
Oil — Field Services			0.3
Oil Companies — Exploration & Production			0.3
Semiconductor Components — Integrated Circuits			0.3
Food — Flour & Grain			0.3
Cable/Satellite TV			0.3
Finance — Investment Banker/Broker			0.3
Diversified Manufacturing Operations			0.3
Transport — Marine			0.2
Telecommunication Equipment			0.2
Computer Software			0.2
Food — Retail			0.2
Rubber/Plastic Products			0.2
Tobacco			0.2
Diversified Operations/Commercial Services			0.2
Drug Delivery Systems			0.2
Footwear & Related Apparel			0.2
Explosives			0.2
Finance — Auto Loans			0.2
Insurance — Life/Health			0.2
Building — Maintenance & Services			0.2
Advertising Services			0.2
Engineering/R&D Services			0.2
Finance — Credit Card			0.2
Electronic Connectors			0.2
Food — Confectionery			0.2
Insurance — Multi-line			0.2
Diversified Minerals			0.2
Metal Processors & Fabrication			0.2
Retail — Home Furnishings			0.1
Brewery			0.1
Food — Meat Products			0.1
Hazardous Waste Disposal			0.1
Metal — Iron			0.1
Computers			0.1
Rental Auto/Equipment			0.1
Television			0.1
Beverages — Wine/Spirits			0.1
Retail — Building Products			0.1
Theaters			0.1
Aerospace/Defense — Equipment			0.1
Building — Heavy Construction			0.1
Diversified Operations			0.1
MRI/Medical Diagnostic Imaging			0.1
Lighting Products & Systems			0.1
Electronic Parts Distribution			0.1
Consumer Products — Misc.			0.1
Chemicals — Plastics			0.1

Industry Allocation* (continued)


Office Supplies & Forms	0.1	%
Auto — Cars/Light Trucks	0.1
Finance — Consumer Loans	0.1
Broadcast Services/Program	0.1
Machinery — Pumps	0.1
Forestry	0.1
Bicycle Manufacturing	0.1
Industrial Gases	0.1
Pipelines	0.1
Medical — Biomedical/Gene	0.1
Retail — Sporting Goods	0.1
Computer Aided Design	0.1
Instruments — Scientific	0.1
Building Products — Cement	0.1

	104.2	%

Country Allocation*


Japan	19.0	%
United Kingdom	18.3
Germany	8.9
United States	8.8
Ireland	5.1
Switzerland	4.1
Australia	4.1
France	3.1
South Korea	2.8
Canada	2.4
Bermuda	2.2
Sweden	2.0
Netherlands	1.7
Italy	1.7
Taiwan	1.6
Luxembourg	1.5
Spain	1.5
Belgium	1.3
Denmark	1.3
Austria	1.2
Faroe Islands	1.0
Finland	1.0
Cayman Islands	1.0
Norway	1.0
Curacao	0.8
Brazil	0.8
Malaysia	0.7
Isle of Man	0.7
Thailand	0.7
Singapore	0.7
Mexico	0.6
Israel	0.5
Jersey	0.5
Philippines	0.3
New Zealand	0.3
Hong Kong	0.3
South Africa	0.3
Panama	0.1
Turkey	0.1
Indonesia	0.1
Colombia	0.1

	104.2	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 95.2%
Australia — 4.1%
Ansell, Ltd.(1)		98,827	$	1,203,064
Aristocrat Leisure, Ltd.(1)		852,274		6,085,654
AUB Group, Ltd.(1)		222,094		1,339,559
Computershare, Ltd.#(1)		146,066		949,000
DuluxGroup, Ltd.(1)		175,171		813,932
Iluka Resources, Ltd.(1)		173,690		829,579
Orica, Ltd.#(1)		113,578		1,155,813
Sonic Healthcare, Ltd.(1)		42,218		549,369
Star Entertainment Group, Ltd.(1)		2,013,547		7,504,594
Vocus Communications, Ltd.#(1)		590,613		3,448,154

				23,878,718

Austria — 1.2%
BUWOG AG(1)		154,101		3,177,229
Mayr-Melnhof Karton AG(1)		8,145		892,786
Wienerberger AG(1)		168,431		2,975,392

				7,045,407

Belgium — 1.3%
Mobistar SA†(1)		140,418		2,925,657
Ontex Group NV(1)		140,904		4,961,446

				7,887,103

Bermuda — 2.2%
Cafe de Coral Holdings, Ltd.(1)		416,000		1,122,449
China Resources Gas Group, Ltd.(1)		782,000		2,053,480
Credicorp, Ltd.		10,657		1,249,427
Dairy Farm International Holdings, Ltd.(1)		209,700		1,291,721
Esprit Holdings, Ltd.(1)		407,350		365,329
First Pacific Co., Ltd.(1)		1,316,250		907,838
Global Brands Group Holding, Ltd.†(1)		5,038,000		596,809
Hiscox, Ltd.(1)		222,557		2,998,471
Midland Holdings, Ltd.†(1)		2,892,000		1,026,823
Pacific Basin Shipping, Ltd.(1)		1,186,049		155,536
Peace Mark Holdings, Ltd.†(5)(6)		686,000		0
Shangri-La Asia, Ltd.(1)		596,000		562,829
VTech Holdings, Ltd.#(1)		66,649		747,204

				13,077,916

Brazil — 0.8%
Alupar Investimento SA		35,600		111,794
Brasil Insurance Participacoes e Administracao SA		4,710		25,066
BRF SA		38,700		495,369
CETIP SA — Mercados Organizados		43,100		406,791
Estacio Participacoes SA		85,922		273,030
Fibria Celulose SA		34,555		378,633
GAEC Educacao SA		64,946		190,849
Kroton Educacional SA		99,088		246,020
Linx SA		31,300		362,453
Localiza Rent a Car SA		44,378		254,075
M. Dias Branco SA		17,900		282,795
Odontoprev SA		143,914		363,768
Qualicorp SA		79,337		254,476
TOTVS SA		39,595		310,603
Ultrapar Participacoes SA		28,400		444,507

				4,400,229

Canada — 2.4%
Agnico Eagle Mines, Ltd.#		32,976		1,160,375
Alimentation Couche-Tard, Inc., Class B		37,629		1,702,622
Descartes Systems Group, Inc.†		220,597		3,777,703
Detour Gold Corp.†		185,521		2,921,990
Dollarama, Inc.		64,236		3,739,266
Stantec, Inc.		17,596		367,006



Security Description	Shares		Value (Note 2)


Canada (continued)
TORC Oil & Gas, Ltd.#		79,076	$	357,683

				14,026,645

Cayman Islands — 1.0%
51job, Inc. ADR†		38,058		1,058,013
Ajisen China Holdings, Ltd.(1)		829,000		303,222
ASM Pacific Technology, Ltd.(1)		77,100		615,949
Shenguan Holdings Group, Ltd.(1)		886,000		89,096
Stella International Holdings, Ltd.(1)		476,000		1,171,327
Sunny Optical Technology Group Co., Ltd.#(1)		887,000		2,057,269
Want Want China Holdings, Ltd.#(1)		956,000		633,516

				5,928,392

Colombia — 0.1%
Bancolombia SA ADR		10,221		307,448

Denmark — 1.3%
Carlsberg A/S, Class B(1)		9,396		809,937
Chr. Hansen Holding A/S(1)		7,702		475,153
DSV A/S(1)		58,877		2,399,373
Jyske Bank A/S†(1)		38,762		1,686,890
Sydbank A/S(1)		48,570		1,320,101
TDC A/S(1)		170,184		720,677
William Demant Holding A/S†(1)		3,854		333,972

				7,746,103

Faroe Islands — 1.0%
Bakkafrost P/F(1)		171,836		6,152,350

Finland — 1.0%
Huhtamaki Oyj(1)		178,571		5,899,506
Tikkurila Oyj(1)		9,318		149,725

				6,049,231

France — 3.1%
Cap Gemini SA(1)		10,063		830,807
Christian Dior SE(1)		13,197		2,322,111
Dassault Systemes(1)		3,999		301,458
Edenred(1)		19,404		340,405
Elior Participations SCA*(1)		58,247		1,182,204
Eutelsat Communications SA(1)		34,124		1,033,172
Havas SA(1)		140,377		1,025,156
Legrand SA(1)		15,192		756,210
Neopost SA(1)		10,716		226,388
SEB SA(1)		2,506		232,621
Societe BIC SA(1)		3,161		438,533
Sodexo SA(1)		23,744		2,398,488
Technip SA(1)		14,258		704,616
Teleperformance(1)		55,482		4,292,806
Virbac SA#(1)		9,982		1,828,583

				17,913,558

Germany — 8.8%
Amadeus Fire AG(1)		11,728		825,992
Aurelius AG(1)		87,131		4,154,348
Beiersdorf AG(1)		17,043		1,478,888
Brenntag AG(1)		32,301		1,561,811
CTS Eventim AG & Co. KGaA(1)		157,553		5,552,862
Deutsche Wohnen AG (BR)(1)		49,038		1,297,672
Drillisch AG#(1)		75,438		3,050,557
ElringKlinger AG(1)		17,269		401,659
FUCHS PETROLUB SE(1) (preference shares)		38,583		1,579,354
GEA Group AG(1)		46,980		2,067,018
Gerry Weber International AG#(1)		18,563		224,852
Henkel AG & Co. KGaA(1) (preference shares)		16,887		1,702,781
Infineon Technologies AG(1)		91,377		1,121,354

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Germany (continued)
Krones AG(1)		33,062	$	3,550,928
KUKA AG#(1)		50,629		4,721,014
LEG Immobilien AG(1)		15,291		1,249,306
MTU Aero Engines AG(1)		9,950		908,332
Nordex SE†(1)		312,107		9,107,839
Pfeiffer Vacuum Technology AG(1)		4,462		399,278
Stroeer SE#(1)		48,125		2,777,837
Symrise AG(1)		56,504		3,624,942
TAG Immobilien AG#(1)		15,161		178,771

				51,537,395

Hong Kong — 0.3%
Techtronic Industries Co., Ltd.(1)		417,500		1,597,977

Indonesia — 0.1%
PT Semen Indonesia Persero Tbk(1)		273,500		209,574
XL Axiata Tbk PT†(1)		613,500		179,038

				388,612

Ireland — 5.1%
Dalata Hotel Group PLC†(1)		632,603		3,044,293
DCC PLC(1)		30,039		2,348,855
Fleetmatics Group PLC†		31,400		1,133,854
Glanbia PLC(1)		119,507		2,382,557
Greencore Group PLC(1)		938,179		4,945,475
Hibernia REIT PLC(1)		2,798,316		3,790,337
ICON PLC†		31,100		2,213,076
Irish Continental Group PLC(1)		283,643		1,442,725
Kerry Group PLC, Class A (1)		16,385		1,432,078
Kingspan Group (1)		157,625		3,965,937
Paddy Power PLC(1)		19,384		2,911,469
XL Group PLC		13,559		466,159

				30,076,815

Isle of Man — 0.7%
Paysafe Group PLC†(1)		533,262		2,939,724
Playtech PLC(1)		111,898		1,314,009

				4,253,733

Israel — 0.5%
Bezeq The Israeli Telecommunication Corp., Ltd.(1)		387,673		868,706
Mellanox Technologies, Ltd.†		39,700		2,017,157

				2,885,863

Italy — 1.7%
A2A SpA(1)		2,562,827		2,937,034
Brembo SpA(1)		63,577		2,619,428
Cerved Information Solutions SpA(1)		231,748		1,822,884
Davide Campari — Milano SpA(1)		79,286		622,524
Ei Towers SpA(1)		15,332		845,376
Infrastrutture Wireless Italiane SpA†*(1)		87,979		428,151
Unione di Banche Italiane SpA(1)		127,835		485,145

				9,760,542

Japan — 19.0%
ABC-Mart, Inc.(1)		76,100		4,362,671
AEON Financial Service Co., Ltd.(1)		45,700		1,015,911
Ain Holdings, Inc.(1)		54,600		2,475,457
Air Water, Inc.(1)		24,000		338,093
Asante, Inc.(1)		7,500		101,760
Bank of Yokohama, Ltd.(1)		64,000		289,213
Brother Industries, Ltd.(1)		81,100		882,660
Calsonic Kansei Corp.(1)		373,000		2,726,029
Chiba Bank, Ltd.(1)		159,000		742,787
Coca-Cola East Japan Co., Ltd.(1)		12,700		218,855
Coca-Cola West Co., Ltd.(1)		23,300		519,654



Security Description	Shares		Value (Note 2)


Japan (continued)
Cosmos Pharmaceutical Corp.#(1)		6,800	$	1,043,202
Daifuku Co., Ltd.(1)		192,200		3,026,740
Daikin Industries, Ltd.(1)		4,100		273,681
Daiseki Co., Ltd.#(1)		50,200		768,576
Daiwa Securities Group, Inc.(1)		149,000		876,348
FamilyMart Co., Ltd.#(1)		8,100		388,226
Fuji Seal International, Inc.#(1)		57,200		1,814,352
Fujikura, Ltd.(1)		461,000		2,119,400
Glory, Ltd.(1)		3,300		110,789
Gurunavi, Inc.(1)		311,800		7,048,717
Haseko Corp.(1)		139,600		1,201,951
Heian Ceremony Service Co., Ltd.(1)		15		85
Hirose Electric Co., Ltd.#(1)		5,200		584,939
Hisamitsu Pharmaceutical Co., Inc.(1)		4,500		195,789
Hogy Medical Co., Ltd.#(1)		3,200		155,011
Ichigo, Inc.#(1)		991,900		3,314,696
Iriso Electronics Co., Ltd.(1)		9,550		381,702
Japan Exchange Group, Inc.(1)		11,300		174,500
Japan Pure Chemical Co., Ltd.(1)		2,600		45,816
Jeol, Ltd.(1)		63,000		301,249
JGC Corp.#(1)		29,060		455,393
Kakaku.com, Inc.#(1)		18,100		317,195
Kansai Paint Co., Ltd.#(1)		65,000		887,558
Keyence Corp.(1)		600		308,942
Kintetsu World Express, Inc.(1)		17,300		229,784
Kobayashi Pharmaceutical Co., Ltd.(1)		24,000		2,046,175
Koito Manufacturing Co., Ltd.(1)		44,700		1,960,903
Konica Minolta, Inc.(1)		69,000		576,672
KYORIN Holdings, Inc.(1)		24,000		454,402
Lawson, Inc.#(1)		19,000		1,459,868
Matsumotokiyoshi Holdings Co., Ltd.#(1)		67,200		2,983,942
Meitec Corp.(1)		8,800		302,467
Milbon Co., Ltd.(1)		15,100		566,713
Miraca Holdings, Inc.(1)		37,400		1,605,054
Mitsubishi Pencil Co., Ltd.(1)		1,700		63,488
Mitsui Chemicals, Inc.(1)		449,000		1,460,688
MonotaRO Co., Ltd.#(1)		12,300		287,723
Nakanishi, Inc.(1)		29,100		1,008,103
NEC Corp.(1)		106,000		267,496
Next Co. Ltd.(1)		327,100		2,883,504
NGK Spark Plug Co., Ltd.(1)		33,700		626,379
Nihon Kohden Corp.#(1)		32,600		795,695
Nippon Television Holdings, Inc.(1)		38,200		651,013
Nitori Holdings Co., Ltd.#(1)		10,900		834,830
Nomura Research Institute, Ltd.(1)		51,000		1,736,434
OBIC Business Consultants Co., Ltd.(1)		21,300		947,080
OBIC Co., Ltd.(1)		108,700		5,380,785
Omron Corp.(1)		6,500		170,996
Park24 Co., Ltd.(1)		4,600		120,133
Proto Corp.(1)		35,600		440,985
Rakuten, Inc.(1)		7,500		70,944
S Foods, Inc.#(1)		10,600		207,703
Santen Pharmaceutical Co., Ltd.(1)		117,900		1,802,576
Seria Co., Ltd.#(1)		22,900		1,246,522
Shimamura Co., Ltd.(1)		3,300		363,545
Shimano, Inc.(1)		2,300		358,519
Shimizu Corp.#(1)		961,000		7,279,883
Shizuoka Bank, Ltd.(1)		64,000		466,502
SK Kaken Co., Ltd.		4,000		341,626
Sony Financial Holdings, Inc.(1)		54,800		760,679
Stanley Electric Co., Ltd.#(1)		57,700		1,275,468
Start Today Co., Ltd.(1)		211,200		6,732,294
Sugi Holdings Co., Ltd.(1)		87,400		4,101,335
Sundrug Co., Ltd.(1)		17,500		1,152,282

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Japan (continued)
TechnoPro Holdings, Inc.(1)		115,700	$	3,110,092
Temp Holdings Co., Ltd.(1)		514,900		6,534,108
Terumo Corp.(1)		22,900		780,101
Toshiba Plant Systems & Services Corp.(1)		18,000		199,865
Tsumura & Co.(1)		9,000		227,523
Unicharm Corp.(1)		73,200		1,587,244
USS Co., Ltd.(1)		72,700		1,141,135
Welcia Holdings Co., Ltd.(1)		2,800		137,931
Yamato Holdings Co., Ltd.(1)		92,600		1,871,254
Zojirushi Corp.#(1)		9,900		147,109

				111,225,499

Jersey — 0.5%
Wizz Air Holdings PLC†*(1)		96,134		2,439,696
Wolseley PLC(1)		4,819		246,385

				2,686,081

Luxembourg — 1.5%
B&M European Value Retail SA(1)		292,226		1,156,968
Globant SA†#		17,017		524,975
Grand City Properties SA(1)		269,548		5,594,918
Samsonite International SA(1)		181,800		531,519
SES SA FDR(1)		33,207		870,166

				8,678,546

Malaysia — 0.7%
Astro Malaysia Holdings Bhd(1)		690,100		449,764
Inari Amertron Bhd(1)		3,305,250		2,538,922
Public Bank Bhd(1)		302,700		1,330,266

				4,318,952

Mexico — 0.6%
Alsea SAB de CV		117,354		441,971
Bolsa Mexicana de Valores SAB de CV		212,608		293,406
Concentradora Fibra Hotelera Mexicana SA de CV		568,752		443,896
Elementia SAB de CV†*		304,000		341,895
Fibra Uno Administracion SA de CV		133,678		279,006
Genomma Lab Internacional SAB de CV, Class B†#		557,346		362,137
Grupo Financiero Inbursa SAB de CV, Class O		152,164		270,756
Grupo Lala SAB de CV		131,960		308,537
Prologis Property Mexico SA de CV		224,102		326,944
Promotora y Operadora de Infraestructura SAB de CV		49,293		570,418

				3,638,966

Netherlands — 1.7%
Aalberts Industries NV(1)		15,456		477,867
ASM International NV(1)		28,078		1,185,481
Corbion NV(1) VRS		133,348		2,954,995
Euronext NV*(1)		114,687		4,376,814
IMCD Group NV(1)		13,934		507,837
Koninklijke Vopak NV(1)		7,290		331,351

				9,834,345

New Zealand — 0.3%
Fisher & Paykel Healthcare Corp., Ltd.(1)		324,459		1,875,972

Norway — 1.0%
Aker Solutions ASA(1)		142,898		422,694
Leroey Seafood Group ASA(1)		41,574		1,746,617
Marine Harvest ASA#(1)		85,272		1,219,688
Salmar ASA(1)		83,937		1,727,835
Storebrand ASA†(1)		109,969		432,051
XXL ASA*(1)		27,842		314,647

				5,863,532



Security Description	Shares		Value (Note 2)


Panama — 0.1%
Copa Holdings SA, Class A#		14,153	$	864,182

Philippines — 0.3%
Jollibee Foods Corp.(1)		113,080		520,513
Security Bank Corp.(1)		487,360		1,466,021

				1,986,534

Singapore — 0.7%
Ascendas India Trust(1)		2,141,700		1,340,096
City Developments, Ltd.(1)		110,500		558,623
Super Group, Ltd.#(1)		2,261,300		1,401,409
Venture Corp., Ltd.(1)		138,063		799,727

				4,099,855

South Africa — 0.3%
Clicks Group, Ltd.(1)		150,739		878,542
Woolworths Holdings, Ltd.#(1)		140,373		713,692

				1,592,234

South Korea — 2.8%
CJ O Shopping Co., Ltd.(1)		4,193		636,638
Coway Co., Ltd.(1)		3,377		266,290
LG Household & Health Care, Ltd.(1)		2,049		1,435,697
Mando Corp.(1)		22,040		2,667,469
Osstem Implant Co., Ltd.†(1)		95,654		5,939,706
S&T Motiv Co., Ltd.(1)		47,306		2,946,114
Samsung Fire & Marine Insurance Co., Ltd.(1)		5,881		1,442,538
Seoul Semiconductor Co., Ltd.(1)		51,446		586,935
TK Corp.(1)		55,553		402,906

				16,324,293

Spain — 1.5%
Amadeus IT Holding SA, Class A(1)		110,415		4,434,504
Cellnex Telecom SAU*(1)		57,259		917,466
Viscofan SA(1)		55,186		3,289,412

				8,641,382

Sweden — 2.0%
AAK AB(1)		53,137		3,618,298
NetEnt AB(1)		115,230		6,718,589
Saab AB, Series B(1)		12,730		406,087
Swedish Match AB(1)		37,129		1,195,536

				11,938,510

Switzerland — 4.1%
Burckhardt Compression Holding AG(1)		1,501		469,330
Coca-Cola HBC AG(1)		20,441		389,497
DKSH Holding AG(1)		3,252		205,909
Geberit AG(1)		4,305		1,546,293
Julius Baer Group, Ltd.(1)		9,675		385,204
Lonza Group AG†(1)		3,682		557,163
Sika AG (BR)†(1)		512		1,942,627
Sonova Holding AG(1)		10,099		1,209,581
Tecan Group AG(1)		16,596		2,562,013
Temenos Group AG(1)		107,654		5,285,609
U-Blox AG(1)		21,695		4,251,079
Ypsomed Holding AG(1)		36,194		5,136,380

				23,940,685

Taiwan — 1.6%
Advantech Co., Ltd.(1)		100,235		688,104
Chroma ATE, Inc.(1)		863,000		1,820,630
Cub Elecparts, Inc.(1)		279,136		3,117,353
E.Sun Financial Holding Co., Ltd.(1)		3,012,747		1,552,388
Siliconware Precision Industries Co., Ltd.(1)		945,000		1,448,791
Voltronic Power Technology Corp.(1)		13,000		198,416

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Taiwan (continued)
Yuanta Financial Holding Co., Ltd.(1)		2,564,807	$	820,636

				9,646,318

Thailand — 0.7%
AEON Thana Sinsap Thailand PCL		161,200		409,447
AEON Thana Sinsap Thailand PCL NVDR(1)		23,800		60,450
Glow Energy PCL†		692,600		1,569,673
Minor International PCL		661,670		668,541
Precious Shipping PCL†		889,250		120,796
PTT Global Chemical PCL		888,000		1,339,602

				4,168,509

Turkey — 0.1%
Ford Otomotiv Sanayi AS(1)		18,540		218,046
Tofas Turk Otomobil Fabrikasi AS(1)		38,034		257,670

				475,716

United Kingdom — 18.3%
Abcam PLC(1)		35,131		325,614
Aberdeen Asset Management PLC(1)		118,020		390,780
Admiral Group PLC(1)		22,655		543,117
Ashtead Group PLC(1)		33,299		423,145
AVEVA Group PLC(1)		12,945		272,951
Babcock International Group PLC(1)		80,677		1,022,391
Bellway PLC(1)		346,315		12,352,183
Booker Group PLC(1)		1,232,138		2,840,795
Britvic PLC(1)		53,183		511,483
Bunzl PLC(1)		369,127		9,864,825
Burberry Group PLC(1)		32,347		592,457
Cairn Energy PLC†(1)		109,788		249,532
Cineworld Group PLC(1)		82,270		599,066
Clinigen Group PLC(1)		134,792		1,181,222
Cobham PLC(1)		166,612		594,482
Compass Group PLC(1)		185,356		3,244,089
Croda International PLC(1)		89,680		3,690,761
Dignity PLC(1)		213,065		7,413,590
Domino’s Pizza Group PLC(1)		271,051		3,930,622
Electrocomponents PLC(1)		92,435		302,395
Elementis PLC(1)		232,414		753,866
Essentra PLC(1)		45,719		529,501
Exova Group PLC(1)		212,178		373,262
Fevertree Drinks PLC(1)		445,615		3,439,726
Foxtons Group PLC(1)		154,975		339,828
GKN PLC(1)		153,031		583,568
Great Portland Estates PLC(1)		76,387		737,686
Halma PLC(1)		424,773		5,234,646
Hargreaves Lansdown PLC(1)		40,112		684,074
IG Group Holdings PLC(1)		120,447		1,268,571
IMI PLC(1)		38,010		445,526
Inchcape PLC(1)		111,081		1,133,961
Intertek Group PLC(1)		51,490		2,080,166
Jardine Lloyd Thompson Group PLC(1)		90,235		998,139
John Wood Group PLC(1)		49,730		430,006
Just Eat PLC†(1)		160,183		851,998
Liberty Global PLC, Class A†		10,758		396,325
Liberty Global PLC, Class C†		26,542		954,450
Lookers PLC(1)		612,231		1,310,681
LSL Property Services PLC(1)		105,808		381,309
Meggitt PLC(1)		150,706		870,363
Micro Focus International PLC(1)		119,728		2,445,355
Mitie Group PLC(1)		145,841		566,739
Next PLC(1)		41,962		3,944,761
Poundland Group PLC(1)		84,526		210,766
Premier Farnell PLC(1)		143,029		233,746
PZ Cussons PLC(1)		25,845		93,083



Security Description	Shares		Value (Note 2)


United Kingdom (continued)
Rathbone Brothers PLC(1)		55,863	$	1,739,451
Redrow PLC(1)		485,599		2,913,341
Rightmove PLC(1)		51,848		2,822,963
Rotork PLC(1)		122,046		268,477
RPC Group PLC(1)		309,888		3,168,906
Schroders PLC(1)		73,850		2,657,464
Segro PLC(1)		333,646		1,924,583
SIG PLC(1)		91,626		177,479
Smith & Nephew PLC(1)		54,005		874,962
Smiths Group PLC(1)		21,416		295,518
Spectris PLC(1)		59,311		1,477,053
Spirax-Sarco Engineering PLC(1)		17,784		772,990
Stagecoach Group PLC(1)		446,084		1,670,973
Tate & Lyle PLC(1)		31,193		254,213
Travis Perkins PLC(1)		24,692		611,507
Victrex PLC(1)		30,529		654,227
Whitbread PLC(1)		38,501		2,085,639
Zoopla Property Group PLC*(1)		364,317		1,165,964

				107,173,312

United States — 0.7%
Cognizant Technology Solutions Corp., Class A†		25,535		1,454,984
EPAM Systems, Inc.†		20,927		1,430,988
Gran Tierra Energy, Inc.†		398,197		941,782
PriceSmart, Inc.		3,899		301,237

				4,128,991

Total Common Stocks
(cost $506,823,008)				558,016,451

EXCHANGE-TRADED FUNDS — 0.5%
United States — 0.5%
iShares MSCI EAFE Small-Cap ETF
(cost $2,746,708)		59,300		2,729,579

EQUITY CERTIFICATES — 0.9%
Deutsche Bank AG — MOIL, Ltd.†		265,521		737,483
Merrill Lynch — Bajaj Electricals, Ltd.†		234,323		540,904
Merrill Lynch — CESC, Ltd.†		160,320		1,024,361
Merrill Lynch — Shriram Transport Finance Co., Ltd.†		95,639		1,125,933
Merrill Lynch Int’l & Co. — Dabur India, Ltd.†		320,195		1,109,744
Merrill Lynch Int’l & Co. — Federal Bank Ltd.†		1,226,389		828,944

Total Equity Certificates
(cost $6,408,659)				5,367,369

WARRANTS — 0.0%
Minor International PCL Expires 11/3/2017 (strike price THB 36.36)†		54,140		7,750
Precious Shipping PCL Expires 06/15/2018 (strike price THB 17.50)†		27,795		1,053

Total Warrants
(cost $0)				8,803

RIGHTS — 0.0%
Brasil Insurance Participacoes e Administracao SA Expires 02/25/2016 (strike price BRL 21.39) (cost $0.00)		2,255		6

Total Long-Term Investment Securities
(cost $515,978,375)				566,122,208

SHORT-TERM INVESTMENT SECURITIES — 6.0%
Registered Investment Companies — 6.0%
State Street Navigator Securities Lending Prime Portfolio 0.49%(2)(4) (cost $35,035,304)		35,035,304		35,035,304

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount			Value (Note 2)

REPURCHASE AGREEMENTS — 1.6%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 02/29/2016, to be repurchased 03/01/2016 in the amount of $9,484,003 collateralized by $9,285,000 of United States Treasury Notes, bearing interest at 2.13% due 01/31/2021 and having an approximate value of $9,675,016 (cost $9,484,000)	$	9,484,000		$	9,484,000

TOTAL INVESTMENTS
(cost $560,497,679)(3)		104.2	%		610,641,512
Liabilities in excess of other assets		(4.2	)		(24,715,500	)

NET ASSETS		100.0	%	$	585,926,012

#	The security or a portion thereof is out on loan; See Note 2.

†	Non-income producing security

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At February 29, 2016, the aggregate value of these securities was $11,166,837 representing 1.9% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)

Security was valued using fair value procedures at February 29, 2016. The aggregate value of these securities was $516,186,869 representing 88.1% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities.

(2)

At February 29, 2016, the Fund had loaned securities with a total value of $34,852,467. This was secured by collateral of $35,035,304, which was received in cash and subsequently invested in short-term investments currently valued at $35,035,304 as reported in the Portfolio of Investments. Additional collateral of $1,186,685 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, is not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2016
Federal Home Loan Mtg. Corp.	2.75% to 3.50%	01/15/2028 to 12/01/2041	$	36,898
Federal National Mtg. Assoc.	2.00% to 4.32%	10/25/2029 to 10/01/2041		186,573
United States Treasury Bills	0.00%	03/31/2016 to 01/05/2017		7,358
United States Treasury Notes/Bonds	0.13% to 4.75%	04/15/2016 to 02/15/2044		955,856

(3)	See Note 5 for cost of investments on a tax basis.

(4)	The rate shown is a 7-day yield as of February 29, 2016.

(5)	Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; See Note 2.

(6)	Illiquid security. At February 29, 2016, the aggregate value of these securities was $0 representing 0.0% of net assets.

ADR—American Depositary Receipt

BR—Bearer Shares

BRL—Brazilian Real

FDR—Federal Depositary Receipt

NVDR—Non-voting Depository Receipt

THB—Thai Baht

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and the end of the reporting period Level 3 investments in securities were not considered a material portion of the Fund.

Industry Allocation*


Diversified Banking Institutions	7.7	%
Oil Companies — Exploration & Production	7.7
Medical — Drugs	7.4
Banks — Super Regional	5.3
Insurance — Multi-line	4.1
Aerospace/Defense	3.6
Telephone — Integrated	3.4
Food — Misc./Diversified	3.2
Beverages — Non-alcoholic	3.1
Networking Products	2.9
Electronic Components — Semiconductors	2.6
Registered Investment Companies	2.4
Advertising Agencies	2.3
Insurance — Life/Health	2.3
Enterprise Software/Service	2.2
Finance — Investment Banker/Broker	2.0
Multimedia	2.0
Oil — Field Services	1.8
Time Deposits	1.5
Building Products — Cement	1.5
Commercial Paper	1.4
Cosmetics & Toiletries	1.4
Oil Refining & Marketing	1.4
Brewery	1.4
Medical — HMO	1.3
Semiconductor Equipment	1.3
Web Portals/ISP	1.3
Instruments — Controls	1.3
Real Estate Investment Trusts	1.1
Agricultural Chemicals	1.1
Exchange-Traded Funds	1.0
Aerospace/Defense — Equipment	1.0
Applications Software	1.0
Cruise Lines	1.0
Retail — Drug Store	0.9
Finance — Consumer Loans	0.9
Pharmacy Services	0.9
Transport — Rail	0.8
Insurance — Reinsurance	0.8
Retail — Discount	0.8
Television	0.7
Airlines	0.7
Computers	0.7
Medical Instruments	0.7
Chemicals — Diversified	0.6
Electric — Distribution	0.6
Containers — Paper/Plastic	0.5
Insurance Brokers	0.5
Cellular Telecom	0.5
Semiconductor Components — Integrated Circuits	0.5
Finance — Credit Card	0.4
Medical Labs & Testing Services	0.4
Electric Products — Misc.	0.4
Finance — Mortgage Loan/Banker	0.4
Non-Hazardous Waste Disposal	0.4
Retail — Office Supplies	0.4
Gold Mining	0.3
Diversified Manufacturing Operations	0.3
Electronic Measurement Instruments	0.3
Pipelines	0.3
Oil Companies — Integrated	0.3
Food — Wholesale/Distribution	0.3
Banks — Commercial	0.3
Vitamins & Nutrition Products	0.3
Investment Management/Advisor Services	0.3
Medical — Wholesale Drug Distribution	0.2
Banks — Fiduciary	0.2
Diagnostic Equipment	0.2
Computer Services	0.2
Medical Products	0.1
Cable/Satellite TV	0.1

	103.2	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 96.9%
Advertising Agencies — 2.3%
Interpublic Group of Cos., Inc.		63,583	$	1,360,041
Omnicom Group, Inc.		37,951		2,952,967

				4,313,008

Aerospace/Defense — 3.6%
Northrop Grumman Corp.		14,760		2,837,167
Raytheon Co.		31,039		3,844,180

				6,681,347

Aerospace/Defense - Equipment — 1.0%
United Technologies Corp.		19,388		1,873,269

Agricultural Chemicals — 1.1%
CF Industries Holdings, Inc.		37,457		1,365,682
Mosaic Co.		23,710		631,872

				1,997,554

Airlines — 0.7%
Delta Air Lines, Inc.		27,760		1,339,142

Applications Software — 1.0%
Citrix Systems, Inc.†		13,302		939,786
Microsoft Corp.		18,063		919,046

				1,858,832

Banks - Commercial — 0.3%
CIT Group, Inc.		18,807		560,637

Banks - Fiduciary — 0.2%
State Street Corp.		7,129		390,527

Banks - Super Regional — 5.3%
Capital One Financial Corp.		28,503		1,873,502
Fifth Third Bancorp		59,458		907,329
PNC Financial Services Group, Inc.		32,834		2,669,732
US Bancorp		82,488		3,177,438
Wells Fargo & Co.		25,543		1,198,478

				9,826,479

Beverages - Non-alcoholic — 3.1%
Coca-Cola Co.		45,320		1,954,652
Coca-Cola Enterprises, Inc.		13,001		630,678
PepsiCo, Inc.		32,476		3,176,802

				5,762,132

Brewery — 1.4%
Molson Coors Brewing Co., Class B		29,285		2,497,132

Building Products - Cement — 1.5%
Vulcan Materials Co.		27,532		2,712,728

Cable/Satellite TV — 0.1%
Comcast Corp., Class A		3,886		224,339

Cellular Telecom — 0.5%
Vodafone Group PLC ADR		29,803		906,011

Chemicals - Diversified — 0.6%
Dow Chemical Co.		23,160		1,125,808

Computer Services — 0.2%
Accenture PLC, Class A		2,888		289,551

Computers — 0.7%
Apple, Inc.		13,154		1,271,860

Containers - Paper/Plastic — 0.5%
Packaging Corp. of America		20,477		993,134

Cosmetics & Toiletries — 1.4%
Procter & Gamble Co.		24,664		1,980,273
Unilever PLC ADR#		14,000		599,480

				2,579,753



Security Description	Shares		Value (Note 2)


Cruise Lines — 1.0%
Carnival Corp.		37,476	$	1,797,349

Diagnostic Equipment — 0.2%
Thermo Fisher Scientific, Inc.		2,250		290,678

Diversified Banking Institutions — 7.7%
Citigroup, Inc.		80,400		3,123,540
Goldman Sachs Group, Inc.		15,293		2,286,762
JPMorgan Chase & Co.		117,412		6,610,296
Morgan Stanley		89,530		2,211,391

				14,231,989

Diversified Manufacturing Operations — 0.3%
General Electric Co.		21,632		630,356

Electric Products - Misc. — 0.4%
Emerson Electric Co.		13,713		669,606

Electric - Distribution — 0.6%
PPL Corp.		30,915		1,081,716

Electronic Components - Semiconductors — 2.6%
Microchip Technology, Inc.#		55,470		2,467,860
Micron Technology, Inc.†		49,592		527,163
Texas Instruments, Inc.		33,886		1,796,636

				4,791,659

Electronic Measurement Instruments — 0.3%
Agilent Technologies, Inc.		16,754		625,762

Enterprise Software/Service — 2.2%
Oracle Corp.		109,097		4,012,588

Finance - Consumer Loans — 0.9%
Synchrony Financial†		61,095		1,646,510

Finance - Credit Card — 0.4%
American Express Co.		7,556		419,963
Discover Financial Services		8,041		373,263

				793,226

Finance - Investment Banker/Broker — 2.0%
Charles Schwab Corp.		60,563		1,517,103
E*TRADE Financial Corp.†		62,297		1,461,488
Raymond James Financial, Inc.		17,836		781,930

				3,760,521

Finance - Mortgage Loan/Banker — 0.4%
FNF Group		20,077		662,139

Food - Misc./Diversified — 3.2%
ConAgra Foods, Inc.		62,209		2,616,511
General Mills, Inc.		7,178		422,425
Kellogg Co.		25,116		1,859,086
Mondelez International, Inc., Class A		23,257		942,606

				5,840,628

Food - Wholesale/Distribution — 0.3%
Sysco Corp.		13,678		603,610

Gold Mining — 0.3%
Newmont Mining Corp.		24,799		640,558

Instruments - Controls — 1.3%
Honeywell International, Inc.		22,666		2,297,199

Insurance Brokers — 0.5%
Marsh & McLennan Cos., Inc.		16,893		963,746

Insurance - Life/Health — 2.3%
Prudential Financial, Inc.		63,214		4,177,813

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Insurance - Multi-line — 4.1%
Allstate Corp.		5,616	$	356,391
Chubb, Ltd.		21,715		2,508,734
Hartford Financial Services Group, Inc.		38,598		1,625,748
MetLife, Inc.		16,184		640,239
Voya Financial, Inc.		69,283		2,034,149
XL Group PLC		10,245		352,223

				7,517,484

Insurance - Reinsurance — 0.8%
Berkshire Hathaway, Inc., Class B†		11,000		1,475,870

Investment Management/Advisor Services — 0.3%
Invesco, Ltd.		19,559		523,008

Medical Instruments — 0.7%
Boston Scientific Corp.†		74,092		1,258,082

Medical Labs & Testing Services — 0.4%
Laboratory Corp. of America Holdings†		6,362		698,802

Medical Products — 0.1%
Stryker Corp.		2,311		230,823

Medical - Drugs — 7.4%
Bristol-Myers Squibb Co.		16,251		1,006,424
Eli Lilly & Co.		16,164		1,163,808
Johnson & Johnson		16,786		1,766,055
Merck & Co., Inc.		73,299		3,680,343
Novartis AG ADR#		11,493		817,267
Pfizer, Inc.		175,855		5,217,618

				13,651,515

Medical - HMO — 1.3%
UnitedHealth Group, Inc.		20,600		2,453,460

Medical - Wholesale Drug Distribution — 0.2%
McKesson Corp.		2,766		430,445

Multimedia — 2.0%
Time Warner, Inc.		35,921		2,377,970
Viacom, Inc., Class B		18,255		672,697
Walt Disney Co.		5,978		571,019

				3,621,686

Networking Products — 2.9%
Cisco Systems, Inc.		204,646		5,357,632

Non-Hazardous Waste Disposal — 0.4%
Republic Services, Inc.		14,375		656,937

Oil Companies - Exploration & Production — 7.7%
Anadarko Petroleum Corp.		12,008		455,704
California Resources Corp.		10,182		5,723
Cimarex Energy Co.		7,480		628,544
EOG Resources, Inc.		63,662		4,121,478
Occidental Petroleum Corp.		108,324		7,454,858
Pioneer Natural Resources Co.		11,708		1,411,165

				14,077,472

Oil Companies - Integrated — 0.3%
Exxon Mobil Corp.		4,718		378,148
Royal Dutch Shell PLC ADR		5,185		235,814

				613,962

Oil Refining & Marketing — 1.4%
Phillips 66		32,427		2,574,380

Oil - Field Services — 1.8%
Schlumberger, Ltd.		45,205		3,242,103



Security Description	Shares/ Principal Amount		Value (Note 2)


Pharmacy Services — 0.9%
Express Scripts Holding Co.†		23,127	$	1,627,678

Pipelines — 0.3%
Enterprise Products Partners LP		26,341		615,589

Real Estate Investment Trusts — 1.1%
AvalonBay Communities, Inc.		2,495		428,242
Communications Sales & Leasing, Inc.†		50,766		956,939
Weyerhaeuser Co.		25,820		670,803

				2,055,984

Retail - Discount — 0.8%
Target Corp.		6,509		510,631
Wal-Mart Stores, Inc.		13,215		876,683

				1,387,314

Retail - Drug Store — 0.9%
CVS Health Corp.		17,101		1,661,704

Retail - Office Supplies — 0.4%
Staples, Inc.		69,171		653,666

Semiconductor Components - Integrated Circuits — 0.5%
Analog Devices, Inc.		8,449		447,712
QUALCOMM, Inc.		8,407		426,992

				874,704

Semiconductor Equipment — 1.3%
Applied Materials, Inc.		123,143		2,323,708

Telephone - Integrated — 3.4%
AT&T, Inc.		123,643		4,568,609
Verizon Communications, Inc.		33,248		1,686,671

				6,255,280

Television — 0.7%
CBS Corp., Class B		28,417		1,374,814

Transport - Rail — 0.8%
CSX Corp.		33,119		799,493
Union Pacific Corp.		9,135		720,386

				1,519,879

Vitamins & Nutrition Products — 0.3%
Mead Johnson Nutrition Co.		7,412		546,709

Web Portals/ISP — 1.3%
Alphabet, Inc., Class A†		3,208		2,300,842

Total Common Stocks
(cost $180,237,222)				178,302,428

EXCHANGE-TRADED FUNDS — 1.0%
iShares Russell 1000 Value ETF# (cost $1,901,678)		20,598		1,910,464

Total Long-Term Investment Securities
(cost $182,138,900)				180,212,892

SHORT-TERM INVESTMENT SECURITIES — 5.3%
Commercial Paper — 1.4%
BNP Paribas SA 0.35% due 03/01/2016	$	2,600,000		2,600,000

Registered Investment Companies — 2.4%
State Street Navigator Securities Lending Prime Portfolio 0.49%(1)(2)		4,362,519		4,362,519

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)

†	Non-income producing security

#	The security or a portion thereof is out on loan; See Note 2.

(1)	At February 29, 2016, the Fund had loaned securities with a total value of $4,225,361. This was secured by collateral of $4,362,519, which was received in cash and subsequently invested in short-term investments currently valued at $4,362,519 as reported in the Portfolio of Investments.

(2)	The rate shown is the 7-day yield as of February 29, 2016.

(3)	See Note 5 for cost of investments on a tax basis.

ADR—American Depositary Receipt

ETF—Exchange Traded Funds

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

Industry Allocation*


Commercial Services — Finance	7.5	%
Commercial Services	6.7
Medical Instruments	4.9
Beverages — Non-alcoholic	4.0
Applications Software	3.7
Retail — Auto Parts	3.0
Beverages — Wine/Spirits	2.7
Aerospace/Defense — Equipment	2.7
Coatings/Paint	2.5
Entertainment Software	2.3
Medical — Biomedical/Gene	2.3
Finance — Other Services	2.3
Telephone — Integrated	2.1
Auction Houses/Art Dealers	2.0
Resorts/Theme Parks	1.9
Finance — Credit Card	1.9
Electronic Security Devices	1.8
Consulting Services	1.8
Auto/Truck Parts & Equipment — Original	1.8
Veterinary Diagnostics	1.7
Airlines	1.7
Repurchase Agreements	1.6
Building — Heavy Construction	1.6
Data Processing/Management	1.6
Building Products — Cement	1.5
Diversified Manufacturing Operations	1.5
Real Estate Management/Services	1.5
Registered Investment Companies	1.5
Building Products — Wood	1.4
Lighting Products & Systems	1.4
Retail — Restaurants	1.4
Retail — Arts & Crafts	1.4
Diagnostic Kits	1.3
Dental Supplies & Equipment	1.3
Enterprise Software/Service	1.3
Retail — Perfume & Cosmetics	1.3
Retail — Gardening Products	1.3
Retail — Discount	1.2
Computer Services	1.2
Electronic Measurement Instruments	1.2
Theaters	1.1
Electronic Components — Semiconductors	1.1
Apparel Manufacturers	1.1
Retail — Automobile	1.0
Transport — Truck	1.0
Containers — Metal/Glass	0.9
Finance — Investment Banker/Broker	0.9
Machinery — General Industrial	0.9
Networking Products	0.9
Food — Meat Products	0.8
Internet Content — Information/News	0.7
Semiconductor Components — Integrated Circuits	0.7
Oil Companies — Exploration & Production	0.6
Medical Products	0.6
E-Commerce/Services	0.5
Food — Retail	0.5

	101.1	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 98.0%
Aerospace/Defense - Equipment — 2.7%
Harris Corp.		21,689	$	1,692,176
Orbital ATK, Inc.		21,770		1,823,455

				3,515,631

Airlines — 1.7%
Delta Air Lines, Inc.		21,480		1,036,195
Spirit Airlines, Inc.†		23,890		1,140,748

				2,176,943

Apparel Manufacturers — 1.1%
Columbia Sportswear Co.		10,789		642,161
Under Armour, Inc., Class A†		8,550		715,550

				1,357,711

Applications Software — 3.7%
Paycom Software, Inc.†#		71,003		2,263,576
ServiceNow, Inc.†		31,570		1,736,034
Tableau Software, Inc., Class A†		18,145		828,319

				4,827,929

Auction Houses/Art Dealers — 2.0%
KAR Auction Services, Inc.		71,909		2,546,298

Auto/Truck Parts & Equipment - Original — 1.8%
Delphi Automotive PLC		33,850		2,257,118

Beverages - Non-alcoholic — 4.0%
Dr Pepper Snapple Group, Inc.		32,280		2,954,588
Monster Beverage Corp.†		17,600		2,208,800

				5,163,388

Beverages - Wine/Spirits — 2.7%
Constellation Brands, Inc., Class A		24,930		3,525,850

Building Products - Cement — 1.5%
Vulcan Materials Co.		20,250		1,995,232

Building Products - Wood — 1.4%
Masco Corp.		66,150		1,865,430

Building - Heavy Construction — 1.6%
SBA Communications Corp., Class A†		22,310		2,116,996

Coatings/Paint — 2.5%
Sherwin-Williams Co.		11,700		3,164,850

Commercial Services — 6.7%
Aramark		71,090		2,233,648
CoStar Group, Inc.†		15,361		2,719,819
ServiceMaster Global Holdings, Inc.†		97,734		3,707,050

				8,660,517

Commercial Services - Finance — 7.5%
Euronet Worldwide, Inc.†		15,510		1,016,525
McGraw Hill Financial, Inc.		38,660		3,469,349
SEI Investments Co.		48,030		1,833,305
Vantiv, Inc., Class A†		37,960		1,975,438
WEX, Inc.†		21,410		1,398,073

				9,692,690

Computer Services — 1.2%
EPAM Systems, Inc.†		23,008		1,573,287

Consulting Services — 1.8%
Verisk Analytics, Inc.†		31,230		2,274,793

Containers - Metal/Glass — 0.9%
Ball Corp.		18,450		1,221,944

Data Processing/Management — 1.6%
Broadridge Financial Solutions, Inc.		36,329		2,039,147



Security Description	Shares		Value (Note 2)

Dental Supplies & Equipment — 1.3%
Align Technology, Inc.†		25,650	$	1,693,669

Diagnostic Kits — 1.3%
Alere, Inc.†		32,660		1,740,778

Diversified Manufacturing Operations — 1.5%
Carlisle Cos., Inc.		22,090		1,991,634

E-Commerce/Services — 0.5%
Ctrip.com International, Ltd. ADR†		15,680		641,626

Electronic Components - Semiconductors — 1.1%
Broadcom, Ltd.		10,200		1,366,494

Electronic Measurement Instruments — 1.2%
FLIR Systems, Inc.		50,400		1,560,384

Electronic Security Devices — 1.8%
Allegion PLC		37,060		2,334,780

Enterprise Software/Service — 1.3%
Tyler Technologies, Inc.†		13,720		1,650,790

Entertainment Software — 2.3%
Electronic Arts, Inc.†		46,340		2,976,882

Finance - Credit Card — 1.9%
Alliance Data Systems Corp.†		11,700		2,458,521

Finance - Investment Banker/Broker — 0.9%
Raymond James Financial, Inc.		26,550		1,163,952

Finance - Other Services — 2.3%
Intercontinental Exchange, Inc.		12,220		2,913,981

Food - Meat Products — 0.8%
Hormel Foods Corp.		22,990		977,305

Food - Retail — 0.5%
Kroger Co.		15,990		638,161

Internet Content - Information/News — 0.7%
LinkedIn Corp., Class A†		8,160		956,270

Lighting Products & Systems — 1.4%
Acuity Brands, Inc.		8,635		1,808,428

Machinery - General Industrial — 0.9%
Wabtec Corp.		16,070		1,134,542

Medical Instruments — 4.9%
Boston Scientific Corp.†		77,490		1,315,780
Edwards Lifesciences Corp.†		29,260		2,545,620
Intuitive Surgical, Inc.†		4,340		2,443,681

				6,305,081

Medical Products — 0.6%
Teleflex, Inc.		5,228		746,663

Medical - Biomedical/Gene — 2.3%
BioMarin Pharmaceutical, Inc.†		18,780		1,537,519
Incyte Corp.†		19,440		1,428,840

				2,966,359

Networking Products — 0.9%
Palo Alto Networks, Inc.†		7,820		1,132,258

Oil Companies - Exploration & Production — 0.6%
Diamondback Energy, Inc.†		10,930		778,763

Real Estate Management/Services — 1.5%
CBRE Group, Inc., Class A†		77,140		1,960,127

Resort/Theme Parks — 1.9%
Vail Resorts, Inc.		19,390		2,470,480

Retail - Arts & Crafts — 1.4%
Michaels Cos., Inc.†		75,520		1,759,616

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

Retail - Auto Parts — 3.0%
O’Reilly Automotive, Inc.†		14,830	$	3,860,546

Retail - Automobile — 1.0%
Lithia Motors, Inc., Class A		14,520		1,346,294

Retail - Discount — 1.2%
Dollar General Corp.		21,190		1,573,358

Retail - Gardening Products — 1.3%
Tractor Supply Co.		19,350		1,636,429

Retail - Perfume & Cosmetics — 1.3%
Ulta Salon Cosmetics & Fragrance, Inc.†		9,970		1,646,944

Retail - Restaurants — 1.4%
Dave & Buster’s Entertainment, Inc.†		48,055		1,773,710

Semiconductor Components - Integrated Circuits — 0.7%
NXP Semiconductors NV†		12,330		878,389

Telephone - Integrated — 2.1%
Zayo Group Holdings, Inc.†		112,250		2,658,080

Theaters — 1.1%
Cinemark Holdings, Inc.		44,420		1,470,302

Transport - Truck — 1.0%
Old Dominion Freight Line, Inc.†		20,080		1,296,365

Veterinary Diagnostics — 1.7%
VCA, Inc.†		43,120		2,200,414

Total Long-Term Investment Securities
(cost $127,424,588)				126,444,129



Security Description	Shares/ Principal Amount			Value (Note 2)

SHORT-TERM INVESTMENT SECURITIES — 1.5%
Registered Investment Companies — 1.5%
State Street Navigator Securities Lending Prime Portfolio 0.49%(1)(2) (cost $1,901,933)		1,901,933		$	1,901,933

REPURCHASE AGREEMENTS — 1.6%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 02/29/2016, to be repurchased 03/01/2016 in the amount of $2,124,001 collateralized by $1,975,000 of United States Treasury Notes, bearing interest at 3.13% due 05/15/2021 and having an approximate value of $2,170,414 (cost $2,124,000)	$	2,124,000			2,124,000

TOTAL INVESTMENTS
(cost $131,450,521)(3)		101.1	%		130,470,062
Liabilities in excess of other assets		(1.1	)		(1,414,624	)

NET ASSETS		100.0	%	$	129,055,438

†	Non-income producing security

#	The security or a portion thereof is out on loan; see Note 2.

(1)	At February 29, 2016, the Fund had loaned securities with a total value of $1,865,649. This was secured by collateral of $1,901,933, which was received in cash and subsequently invested in short-term investments currently valued at $1,901,933 as reported in the Portfolio of Investments.

(2)	The rate shown is the 7-day yield as of February 29, 2016.

(3)	See Note 5 for cost of investments on a tax basis.

ADR—American Depositary Receipt

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

Industry Allocation*


Real Estate Investment Trusts	10.8	%
Electric — Integrated	6.3
Registered Investment Companies	5.9
Oil Companies — Exploration & Production	4.9
Electronic Components — Semiconductors	3.7
Banks — Commercial	3.5
Banks — Super Regional	2.6
Insurance — Reinsurance	2.3
Aerospace/Defense — Equipment	2.3
Commercial Services — Finance	2.2
Electronic Parts Distribution	2.1
Containers — Paper/Plastic	2.1
Insurance — Life/Health	2.1
Insurance — Multi-line	2.0
Power Converter/Supply Equipment	1.9
Building — Residential/Commercial	1.8
Insurance Brokers	1.7
Insurance — Property/Casualty	1.7
Finance — Investment Banker/Broker	1.6
Chemicals — Specialty	1.6
Human Resources	1.4
Auto/Truck Parts & Equipment — Original	1.3
Advertising Agencies	1.2
Home Decoration Products	1.2
Gas — Distribution	1.2
Entertainment Software	1.1
Medical — Drugs	1.1
Medical Instruments	1.1
Multimedia	1.1
Repurchase Agreements	1.0
Medical Labs & Testing Services	1.0
Diversified Manufacturing Operations	1.0
Food — Misc./Diversified	0.9
Medical Products	0.9
Cruise Lines	0.9
Shipbuilding	0.9
Computer Services	0.9
Electronic Components — Misc.	0.8
Building & Construction Products — Misc.	0.8
Chemicals — Diversified	0.8
Retail — Apparel/Shoe	0.8
Finance — Credit Card	0.8
E-Commerce/Services	0.8
Building Products — Wood	0.8
Medical — Wholesale Drug Distribution	0.8
Applications Software	0.8
Decision Support Software	0.7
Savings & Loans/Thrifts	0.7
Oil Refining & Marketing	0.7
Consulting Services	0.7
Data Processing/Management	0.6
Transport — Rail	0.6
Tools — Hand Held	0.6
Physicians Practice Management	0.5
Coatings/Paint	0.5
Apparel Manufacturers	0.5
Distribution/Wholesale	0.5
Beverages — Wine/Spirits	0.5
Computers — Memory Devices	0.5
Athletic Equipment	0.5
Building Products — Doors & Windows	0.5
Recreational Vehicles	0.4
Rubber — Tires	0.4
Containers — Metal/Glass	0.4
Instruments — Controls	0.4
Office Supplies & Forms	0.4
Finance — Consumer Loans	0.4
Agricultural Chemicals	0.4
Beverages — Non-alcoholic	0.3


Electronic Connectors			0.3
Telecommunication Equipment			0.3
Dialysis Centers			0.3
Aerospace/Defense			0.3
Cellular Telecom			0.3
Finance — Auto Loans			0.3
Retail — Consumer Electronics			0.3
Engineering/R&D Services			0.2
Banks — Fiduciary			0.2
Steel — Producers			0.2
Retirement/Aged Care			0.2
Retail — Restaurants			0.2
Motorcycle/Motor Scooter			0.2
Television			0.2
E-Commerce/Products			0.2
Metal Processors & Fabrication			0.2
Chemicals — Plastics			0.2
Airlines			0.2
Consumer Products — Misc.			0.1
Oil — Field Services			0.1

			104.7%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 97.8%
Advertising Agencies — 1.2%
Interpublic Group of Cos., Inc.		242,673	$	5,190,775
Omnicom Group, Inc.		66,454		5,170,786

				10,361,561

Aerospace/Defense — 0.3%
Raytheon Co.		17,967		2,225,213

Aerospace/Defense - Equipment — 2.3%
Curtiss-Wright Corp.		54,049		3,815,319
Harris Corp.		126,321		9,855,564
Moog, Inc., Class A†		107,789		4,654,329
Orbital ATK, Inc.		11,305		946,907

				19,272,119

Agricultural Chemicals — 0.4%
CF Industries Holdings, Inc.		40,352		1,471,234
Mosaic Co.		70,493		1,878,638

				3,349,872

Airlines — 0.2%
Delta Air Lines, Inc.		29,060		1,401,854

Apparel Manufacturers — 0.5%
Global Brands Group Holding, Ltd.†(2)		36,485,515		4,322,131

Applications Software — 0.8%
Verint Systems, Inc.†		178,242		6,332,938

Athletic Equipment — 0.5%
Performance Sports Group Ltd†		544,700		4,139,720

Auto/Truck Parts & Equipment - Original — 1.3%
Lear Corp.		49,535		5,020,372
Tenneco, Inc.†		87,508		3,983,364
WABCO Holdings, Inc.†		19,972		1,883,360

				10,887,096

Banks - Commercial — 3.5%
BankUnited, Inc.		191,788		6,160,230
BB&T Corp.		165,656		5,327,497
CIT Group, Inc.		59,521		1,774,321
East West Bancorp, Inc.		92,575		2,774,473
IBERIABANK Corp.		52,363		2,496,668
South State Corp.		51,722		3,230,039
Zions Bancorporation		347,931		7,417,889

				29,181,117

Banks - Fiduciary — 0.2%
State Street Corp.		36,314		1,989,281

Banks - Super Regional — 2.6%
Comerica, Inc.		205,166		6,930,507
Fifth Third Bancorp		378,807		5,780,595
Huntington Bancshares, Inc.		561,762		4,915,418
SunTrust Banks, Inc.		140,041		4,646,560

				22,273,080

Beverages - Non-alcoholic — 0.3%
Coca-Cola Enterprises, Inc.		56,614		2,746,345

Beverages - Wine/Spirits — 0.5%
Constellation Brands, Inc., Class A		29,433		4,162,709

Broadcast Services/Program — 0.0%
Starz, Class A†		12,336		310,744

Building & Construction Products-Misc. — 0.8%
Louisiana-Pacific Corp.†		442,783		7,035,822



Security Description	Shares		Value (Note 2)


Building Products - Doors & Windows — 0.5%
Sanwa Holdings Corp(2)		622,315	$	3,960,526

Building Products - Wood — 0.8%
Masco Corp.		230,948		6,512,734

Building - Residential/Commercial — 1.8%
D.R. Horton, Inc.		124,916		3,337,755
Lennar Corp., Class A#		160,624		6,736,571
PulteGroup, Inc.		199,398		3,427,652
Toll Brothers, Inc.†		52,472		1,440,356

				14,942,334

Cellular Telecom — 0.3%
Millicom International Cellular SA SDR (2)		44,467		2,128,509

Chemicals - Diversified — 0.8%
Celanese Corp., Series A		79,598		4,802,944
PPG Industries, Inc.		21,138		2,040,451

				6,843,395

Chemicals - Plastics — 0.2%
PolyOne Corp.		56,778		1,527,896

Chemicals - Specialty — 1.6%
Cabot Corp.		130,459		5,809,339
Methanex Corp.#		251,909		7,977,958

				13,787,297

Coatings/Paint — 0.5%
Valspar Corp.		57,245		4,478,849

Commercial Services - Finance — 2.2%
Equifax, Inc.		69,969		7,338,349
Global Payments, Inc.		18,489		1,126,905
Moody’s Corp.		27,548		2,446,262
SEI Investments Co.		92,037		3,513,052
Total System Services, Inc.		85,787		3,738,597

				18,163,165

Computer Services — 0.9%
Amdocs, Ltd.		126,665		7,189,505

Computers - Memory Devices — 0.5%
Seagate Technology PLC#		44,980		1,410,573
Western Digital Corp.		63,047		2,744,436

				4,155,009

Consulting Services — 0.7%
Booz Allen Hamilton Holding Corp.		200,542		5,534,959

Consumer Products - Misc. — 0.1%
Samsonite International SA(2)		398,490		1,165,044

Containers - Metal/Glass — 0.4%
Crown Holdings, Inc.†		74,879		3,508,081

Containers - Paper/Plastic — 2.1%
Bemis Co., Inc.		102,088		5,009,458
Berry Plastics Group, Inc.†		53,246		1,657,548
Graphic Packaging Holding Co.		595,722		7,345,252
KapStone Paper and Packaging Corp.		115,624		1,183,990
Packaging Corp. of America		56,188		2,725,118

				17,921,366

Cruise Lines — 0.9%
Norwegian Cruise Line Holdings, Ltd.†		156,430		7,685,406

Data Processing/Management — 0.6%
Fidelity National Information Services, Inc.		88,981		5,183,143

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Decision Support Software — 0.7%
MSCI, Inc.		84,652	$	5,969,659

Dialysis Centers — 0.3%
DaVita HealthCare Partners, Inc.†		35,005		2,309,280

Distribution/Wholesale — 0.5%
Rexel SA(2)		50,452		613,756
WESCO International, Inc.†#		83,208		3,665,312

				4,279,068

Diversified Manufacturing Operations — 1.0%
Ingersoll-Rand PLC		72,536		4,030,100
Parker-Hannifin Corp.		17,619		1,783,043
Textron, Inc.		70,658		2,412,971

				8,226,114

E-Commerce/Products — 0.2%
eBay, Inc.†		68,820		1,637,916

E-Commerce/Services — 0.8%
Expedia, Inc.		40,534		4,219,995
IAC/InterActiveCorp		52,324		2,324,232

				6,544,227

Electric - Integrated — 6.3%
Alliant Energy Corp.		142,080		9,654,336
Ameren Corp.		68,229		3,203,351
American Electric Power Co., Inc.		92,724		5,725,707
Edison International		97,899		6,672,796
FirstEnergy Corp.		82,407		2,758,162
Great Plains Energy, Inc.		264,950		7,773,633
PG&E Corp.		93,748		5,318,324
Portland General Electric Co.		171,753		6,535,202
Westar Energy, Inc.		131,982		5,735,938

				53,377,449

Electronic Components - Misc. — 0.8%
Flextronics International, Ltd.†		266,626		2,895,558
Jabil Circuit, Inc.		203,756		4,248,313

				7,143,871

Electronic Components - Semiconductors — 3.7%
Broadcom, Ltd.		27,724		3,714,184
Microsemi Corp.†		343,929		11,910,261
ON Semiconductor Corp.†		105,257		883,106
Qorvo, Inc.†		114,332		5,154,087
Silicon Motion Technology Corp. ADR#		151,038		5,088,470
Synaptics, Inc.†		54,765		4,447,466

				31,197,574

Electronic Connectors — 0.3%
TE Connectivity, Ltd.		46,952		2,672,508

Electronic Parts Distribution — 2.1%
Arrow Electronics, Inc.†		246,443		14,086,682
Avnet, Inc.		96,962		3,989,986

				18,076,668

Engineering/R&D Services — 0.2%
Fluor Corp.		45,247		2,083,172

Entertainment Software — 1.1%
Activision Blizzard, Inc.		224,806		7,119,606
NetEase, Inc. ADR		19,024		2,560,821

				9,680,427

Finance - Auto Loans — 0.3%
Ally Financial, Inc.†		119,088		2,093,567



Security Description	Shares		Value (Note 2)


Finance - Consumer Loans — 0.4%
Navient Corp.		192,479	$	2,084,547
SLM Corp.†		227,002		1,325,692

				3,410,239

Finance - Credit Card — 0.8%
Alliance Data Systems Corp.†		12,001		2,521,770
Discover Financial Services		88,715		4,118,151

				6,639,921

Finance - Investment Banker/Broker — 1.6%
Charles Schwab Corp.		79,942		2,002,547
Raymond James Financial, Inc.		142,345		6,240,405
TD Ameritrade Holding Corp.		194,211		5,550,550

				13,793,502

Finance - Other Services — 0.0%
Solar Cayman, Ltd.†*(5)(6)		120,200		25,963

Food - Misc./Diversified — 0.9%
Ingredion, Inc.		78,151		7,910,444

Gas - Distribution — 1.2%
UGI Corp.		268,673		9,930,154

Home Decoration Products — 1.2%
Newell Rubbermaid, Inc.#		263,274		10,007,045

Human Resources — 1.4%
ManpowerGroup, Inc.		68,560		5,309,286
Robert Half International, Inc.		166,456		6,556,702

				11,865,988

Instruments - Controls — 0.4%
Sensata Technologies Holding NV†		102,220		3,486,724

Insurance Brokers — 1.7%
Aon PLC		78,639		7,493,510
Marsh & McLennan Cos., Inc.		91,736		5,233,539
Willis Towers Watson PLC		15,661		1,774,705

				14,501,754

Insurance - Life/Health — 2.1%
CNO Financial Group, Inc.		202,312		3,526,298
Torchmark Corp.		48,340		2,475,975
Unum Group		417,640		11,915,269

				17,917,542

Insurance - Multi-line — 2.0%
Allstate Corp.		69,906		4,436,235
Loews Corp.		77,926		2,832,610
XL Group PLC		277,948		9,555,852

				16,824,697

Insurance - Property/Casualty — 1.7%
Alleghany Corp.†		10,856		5,036,967
Hanover Insurance Group, Inc.		73,947		6,133,904
WR Berkley Corp.		57,276		2,949,714

				14,120,585

Insurance - Reinsurance — 2.3%
Argo Group International Holdings, Ltd.		103,524		5,769,392
Reinsurance Group of America, Inc.		151,979		13,693,308

				19,462,700

Medical Instruments — 1.1%
Boston Scientific Corp.†		220,431		3,742,918
Bruker Corp.		97,177		2,524,659

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Medical Instruments (continued)
St. Jude Medical, Inc.		56,010	$	3,007,177

				9,274,754

Medical Labs & Testing Services — 1.0%
ICON PLC†		74,107		5,273,454
Laboratory Corp. of America Holdings†		27,998		3,075,301

				8,348,755

Medical Products — 0.9%
Becton Dickinson and Co.		23,565		3,474,659
Zimmer Biomet Holdings, Inc.		44,939		4,350,545

				7,825,204

Medical - Drugs — 1.1%
Almirall SA(2)		182,940		3,086,838
Ono Pharmaceutical Co., Ltd.(2)		35,560		6,560,126

				9,646,964

Medical - Wholesale Drug Distribution — 0.8%
Cardinal Health, Inc.		79,201		6,470,722

Metal Processors & Fabrication — 0.2%
Timken Co.		54,659		1,630,478

Motorcycle/Motor Scooter — 0.2%
Harley-Davidson, Inc.#		40,248		1,737,506

Multimedia — 1.1%
Markit Ltd†		154,647		4,302,279
Quebecor, Inc., Class B#		184,185		4,689,707

				8,991,986

Office Supplies & Forms — 0.4%
Avery Dennison Corp.		53,434		3,479,622

Oil Companies - Exploration & Production — 4.9%
Anadarko Petroleum Corp.		20,882		792,472
Cimarex Energy Co.		39,561		3,324,311
Cobalt International Energy, Inc.†		449,565		1,195,843
Diamondback Energy, Inc.†		191,068		13,613,595
Energen Corp.		197,799		5,237,717
EQT Corp.		44,239		2,465,882
Kosmos Energy, Ltd.†		100,887		492,328
Newfield Exploration Co.†		204,238		5,561,401
Parsley Energy, Inc., Class A†		171,507		3,152,299
QEP Resources, Inc.		368,146		3,593,105
RSP Permian, Inc.†		80,629		1,927,839

				41,356,792

Oil Refining & Marketing — 0.7%
HollyFrontier Corp.		32,923		1,113,456
Marathon Petroleum Corp.		95,860		3,283,205
Western Refining, Inc.		55,522		1,480,772

				5,877,433

Oil - Field Services — 0.1%
Bristow Group, Inc.#		53,631		815,728
Trican Well Service, Ltd.†#		292,775		287,798

				1,103,526

Physicians Practice Management — 0.5%
Envision Healthcare Holdings, Inc.†		208,352		4,581,661

Power Converter/Supply Equipment — 1.9%
Generac Holdings, Inc.†#		149,697		5,200,474
Hubbell, Inc.		106,504		10,582,237

				15,782,711



Security Description	Shares		Value (Note 2)


Real Estate Investment Trusts — 10.8%
American Assets Trust, Inc.		201,259	$	7,464,696
American Homes 4 Rent, Class A		133,270		1,865,780
Blackstone Mortgage Trust, Inc., Class A		104,459		2,584,316
Boston Properties, Inc.		48,067		5,486,367
Douglas Emmett, Inc.		109,698		2,944,294
Equity LifeStyle Properties, Inc.		131,005		9,191,311
Equity Residential		91,921		6,847,195
Essex Property Trust, Inc.		13,326		2,788,865
Extra Space Storage, Inc.		75,088		6,168,479
Forest City Realty Trust, Inc.		273,377		5,098,481
General Growth Properties, Inc.		61,505		1,692,618
Kilroy Realty Corp.		26,362		1,430,666
Kimco Realty Corp.		185,810		4,970,418
LaSalle Hotel Properties		171,316		4,171,545
Macerich Co.		41,638		3,292,733
PS Business Parks, Inc.		66,649		6,119,045
Regency Centers Corp.		91,560		6,462,305
SL Green Realty Corp.		62,663		5,525,623
Sovran Self Storage, Inc.		25,587		2,723,480
STORE Capital Corp.		175,703		4,243,227

				91,071,444

Recreational Vehicles — 0.4%
Brunswick Corp.		86,367		3,674,052

Retail - Apparel/Shoe — 0.8%
DSW, Inc., Class A		255,938		6,705,576

Retail - Consumer Electronics — 0.3%
Best Buy Co., Inc.		64,396		2,085,787

Retail - Restaurants — 0.2%
Bloomin’ Brands, Inc.		108,900		1,882,881

Retirement/Aged Care — 0.2%
Brookdale Senior Living, Inc.†		131,336		1,887,298

Rubber - Tires — 0.4%
Goodyear Tire & Rubber Co.		117,135		3,528,106

Savings & Loans/Thrifts — 0.7%
EverBank Financial Corp.		194,635		2,534,148
Provident Financial Services, Inc.		181,413		3,372,467

				5,906,615

Shipbuilding — 0.9%
Huntington Ingalls Industries, Inc.		56,441		7,397,158

Steel - Producers — 0.2%
Steel Dynamics, Inc.		105,190		1,913,406

Telecommunication Equipment — 0.3%
ARRIS International PLC†		100,083		2,390,983

Television — 0.2%
CBS Corp., Class B		35,026		1,694,558

Tools - Hand Held — 0.6%
Stanley Black & Decker, Inc.		51,188		4,812,184

Transport - Rail — 0.6%
Genesee & Wyoming, Inc., Class A†		89,199		5,059,366

Total Long-Term Investment Securities
(cost $827,077,425)				825,985,106

SHORT-TERM INVESTMENT SECURITIES — 5.9%
Registered Investment Companies — 5.9%
SSgA Money Market Fund, Class N 0.16%(4)		11,131,322		11,131,322
State Street Navigator Securities Lending Prime Portfolio 0.49%(1)(4)		38,304,307		38,304,307

Total Short-Term Investment Securities
(cost $49,435,629)				49,435,629

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount			Value (Note 2)

REPURCHASE AGREEMENTS — 1.0%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 02/29/2016, to be repurchased 03/01/2016 in the amount of $8,881,002 collateralized by $8,780,000 of United States Treasury Notes, bearing interest at 2.13% due 01/31/2021 and having an approximate value of $9,148,804 (cost $8,881,000)	$	8,881,000		$	8,881,000

TOTAL INVESTMENTS
(cost $885,394,054)(3)		104.7	%		884,301,735
Liabilities in excess of other assets		(4.7	)		(39,830,459	)

NET ASSETS		100.0	%	$	844,471,276

†	Non-income producing security

#	The security or a portion thereof is out on loan; See Note 2.

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At February 29, 2016, the aggregate value of these securities was $25,963 representing 0.0% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)	At February 29, 2016, the Fund had loaned securities with a total value of $38,467,788. This was secured by collateral of $38,304,307, which was received in cash and subsequently invested in short-term investments currently valued at $38,304,307 as

reported in the Portfolio of Investments. Additional collateral of $1,188,019 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, is not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2016
United States Treasury Bills	0.00%	06/23/2016 to 10/13/2016	$	167,698
United States Treasury Notes/Bonds	zero coupon to 5.50%	05/15/2016 to 02/15/2045		1,020,321

(2)

Security was valued using fair value procedures at February 29, 2016. The aggregate value of these securities was $21,836,930 representing 2.6% of net assets. Securities are classified as Level 2 based on the securities valuation inputs. See Note 2 regarding fair value pricing for foreign equity securities.

(3)	See Note 5 for cost of investments on a tax basis.

(4)	The rate shown is a 7-day yield as of February 29, 2016.

(5)	Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(6)	Illiquid security. At February 29, 2016, the aggregate value of these securities was $25,963 representing 0.0% of net assets.

ADR—American Depositary Receipt

SDR—Swedish Depositary Receipt

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

At the beginning and end of reporting period, Level 3 investments were not considered a material portion of the Fund.



Security Description	Shares		Value (Note 2)

AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 32.9%
VALIC Co. I Blue Chip Growth Fund		1,516,405	$	21,745,241
VALIC Co. I Dividend Value Fund		1,116,016		11,885,570
VALIC Co. I Mid Cap Index Fund		1,261,238		27,936,412
VALIC Co. I Mid Cap Strategic Growth Fund		643,833		7,223,809
VALIC Co. I Nasdaq-100 Index Fund		1,204,733		11,083,546
VALIC Co. I Science & Technology Fund		455,745		8,777,642
VALIC Co. I Small Cap Index Fund		2,211,575		35,340,975
VALIC Co. I Small Cap Special Values Fund		1,060,573		11,390,554
VALIC Co. I Stock Index Fund		439,845		13,366,894
VALIC Co. I Value Fund		176,120		2,356,484
VALIC Co. II Capital Appreciation Fund		1,109,547		17,586,328
VALIC Co. II Large Cap Value Fund		580,904		9,399,030
VALIC Co. II Mid Cap Growth Fund		1,065,480		8,257,473
VALIC Co. II Mid Cap Value Fund		1,928,492		39,206,245
VALIC Co. II Small Cap Growth Fund		552,968		6,956,331
VALIC Co. II Small Cap Value Fund		1,550,108		20,058,398

Total Domestic Equity Investment Companies
(cost $258,803,049)				252,570,932

Domestic Fixed Income Investment Companies — 39.4%
VALIC Co. I Capital Conservation Fund		2,751,847		27,023,139
VALIC Co. I Government Securities Fund		1,411,457		15,271,967
VALIC Co. I Inflation Protected Fund		462,701		4,881,500
VALIC Co. II Core Bond Fund		9,664,565		106,503,506
VALIC Co. II High Yield Bond Fund		9,030,843		64,118,986
VALIC Co. II Strategic Bond Fund		7,856,791		84,774,779

Total Domestic Fixed Income Investment Companies
(cost $312,473,111)				302,573,877



Security Description	Shares			Value (Note 2)


International Equity Investment Companies — 19.7%
VALIC Co. I Foreign Value Fund		3,384,595		$	26,839,840
VALIC Co. I International Equities Index Fund		12,585,674			71,738,341
VALIC Co. I International Growth Fund		3,332,693			35,859,781
VALIC Co. II International Opportunities Fund		1,188,082			17,132,137

Total International Equity Investment Companies
(cost $182,023,504)					151,570,099

International Fixed Income Investment Companies — 0.0%
VALIC Co. I International Government Bond Fund
(cost $6,081)		539			5,984

Real Estate Investment Companies — 8.0%
VALIC Co. I Global Real Estate Fund
(cost $69,533,860)		8,411,161			61,485,584

TOTAL INVESTMENTS
(cost $822,839,605)(2)		100.0	%		768,206,476
Liabilities in excess of other assets		0.0			(53,778	)

NET ASSETS		100.0	%	$	768,152,698

#	The Moderate Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional information on the underlying funds including such fund’s prospectuses and shareholder reports is available at our website, www.valic.com

(1)	See Note 3

(2)	See Note 5 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Fund’s net assets as of Feburary 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.



Security Description	Principal Amount		Value (Note 2)

SHORT-TERM INVESTMENT SECURITIES — 103.2%
Certificates of Deposit — 4.0%
Royal Bank of Canada NY FRS 0.77% due 06/03/2016	$	3,800,000	$	3,800,000
Svenska Handelsbanken NY 0.45% due 03/24/2016		3,250,000		3,250,021

Total Certificates of Deposit (amortized cost $7,050,021)				7,050,021

Commercial Paper — 4.2%
BNP Paribas SA NY 0.37% due 03/02/2016		3,500,000		3,499,964
Credit Agricole Corporate and Investment Bank NY 0.50% due 03/01/2016		3,800,000		3,800,000

Total Commercial Paper (amortized cost $7,299,964)				7,299,964

Corporate Notes — 1.5%
JPMorgan Chase Bank NA FRS 0.61% due 06/07/2016 (amortized cost $2,700,000)		2,700,000		2,700,000

U.S. Government Agencies — 70.4%
Federal Farm Credit Bank
0.32% due 08/03/2016		2,000,000		1,997,244
0.41% due 05/06/2016 FRS		350,000		349,941
0.41% due 05/20/2016 FRS		3,500,000		3,500,160
0.42% due 11/06/2016 FRS		3,300,000		3,299,772
0.42% due 12/19/2016 FRS		250,000		249,992
0.44% due 09/19/2016 FRS		3,100,000		3,098,618
0.44% due 10/19/2016 FRS		3,250,000		3,249,910
0.45% due 05/20/2016 FRS		3,000,000		3,000,205
0.46% due 01/03/2017 FRS		650,000		649,783
0.47% due 02/13/2017 FRS		1,550,000		1,549,345
0.51% due 02/16/2017 FRS		3,150,000		3,150,309
0.53% due 07/27/2016 FRS		4,300,000		4,300,176
0.53% due 09/19/2016 FRS		2,900,000		2,900,168
0.53% due 10/20/2016 FRS		3,000,000		2,999,809
Federal Home Loan Bank
0.17% due 03/02/2016		3,000,000		2,999,986
0.30% due 03/02/2016		750,000		749,994
0.17% due 03/10/2016		3,500,000		3,499,851
0.19% due 03/24/2016		2,000,000		1,999,764
0.27% due 03/24/2016		3,300,000		3,299,431
0.28% due 03/07/2016		1,000,000		999,953
0.29% due 03/14/2016		1,900,000		1,899,801
0.30% due 03/04/2016		2,000,000		1,999,950
0.31% due 03/15/2016		1,250,000		1,249,849
0.31% due 03/16/2016		2,900,000		2,899,632
0.31% due 03/17/2016		3,100,000		3,099,573
0.32% due 03/09/2016		3,000,000		2,999,790
0.35% due 06/09/2016		1,350,000		1,348,688
0.37% due 04/20/2016		3,000,000		2,998,458
0.37% due 05/24/2016		4,250,000		4,246,380
0.38% due 07/22/2016 FRS		3,000,000		3,000,028
0.39% due 08/19/2016 FRS		3,000,000		3,000,069
0.40% due 09/02/2016 FRS		3,000,000		3,000,015
0.41% due 06/22/2016 FRS		3,500,000		3,500,000
0.42% due 06/24/2016 FRS		3,000,000		3,000,186
0.43% due 03/28/2016		1,500,000		1,499,516
0.43% due 06/02/2016 FRS		2,750,000		2,749,855
0.44% due 03/29/2016		1,500,000		1,499,487
0.46% due 08/26/2016 FRS		3,000,000		3,000,000
0.46% due 09/26/2016 FRS		3,000,000		2,999,915
0.47% due 09/19/2016 FRS		1,500,000		1,499,953
0.48% due 10/26/2016 FRS		3,250,000		3,249,910
0.50% due 06/30/2016		3,000,000		3,000,000
0.55% due 08/30/2016		2,000,000		1,994,439



Security Description	Principal Amount			Value (Note 2)


U.S. Government Agencies (continued)
Federal Home Loan Mtg. Corp.
0.40% due 05/27/2016	$	1,000,000		$	1,000,013
0.43% due 01/13/2017 FRS		650,000			649,636
0.46% due 08/04/2016		2,350,000			2,345,316
Federal National Mtg. Assoc.
0.29% due 03/09/2016		1,600,000			1,599,897
0.40% due 07/19/2016		2,750,000			2,745,722
0.45% due 07/25/2016 FRS		600,000			600,002
0.45% due 08/12/2016 FRS		2,250,000			2,250,092
0.45% due 08/15/2016 FRS		1,500,000			1,500,000
0.45% due 08/16/2016 FRS		1,320,000			1,320,000
0.50% due 03/30/2016		800,000			800,055
0.63% due 08/26/2016		400,000			400,563

Total U.S. Government Agencies (amortized cost $122,791,201)					122,791,201

U.S. Government Treasuries — 23.1%
United States Treasury Bills
0.07% due 04/14/2016		3,000,000			2,999,743
0.08% due 04/14/2016		3,000,000			2,999,725
0.23% due 03/03/2016		3,000,000			2,999,963
0.25% due 03/03/2016		2,000,000			1,999,973
0.26% due 03/03/2016		9,000,000			8,999,872
0.26% due 03/17/2016		4,350,000			4,349,497
0.27% due 03/10/2016		1,000,000			999,932
0.28% due 05/12/2016		1,000,000			999,450
0.31% due 05/19/2016		4,350,000			4,347,089
0.32% due 06/02/2016		6,400,000			6,394,904
United States Treasury Notes
3.00% due 09/30/2016		3,050,000			3,093,570

Total U.S. Government Treasuries (amortized cost $40,183,718)					40,183,718

Total Short-Term Investment Securities (amortized cost $180,024,904)					180,024,904

REPURCHASE AGREEMENTS — 1.4%
State Street Bank and Trust Co. Joint Repurchase Agreement(1) (cost $2,493,000)		2,493,000			2,493,000

TOTAL INVESTMENTS — (amortized cost $182,517,904)(2)		104.6	%		182,517,904
Liabilities in excess of other assets		(4.6	)		(8,057,206	)

NET ASSETS		100.0	%	$	174,460,698

(1)	See Note 2 for details of Joint Repurchase Agreements.

(2)	See Note 5 for cost of investments on a tax basis.

FRS—Floating Rate Security

The rates shown on FRS are the current interest rates at February 29, 2016 and unless noted otherwise, the dates shown are the original maturity dates.

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

Industry Allocation*


Registered Investment Companies	18.7	%
Enterprise Software/Service	6.3
Medical — Biomedical/Gene	5.8
Electronic Components — Semiconductors	3.9
Building & Construction Products — Misc.	3.7
Medical — Drugs	3.4
Retail — Automobile	3.1
Distribution/Wholesale	3.0
Applications Software	2.9
Banks — Commercial	2.6
Retail — Apparel/Shoe	2.4
Medical Products	2.2
Time Deposits	2.2
Computer Software	1.9
Resorts/Theme Parks	1.7
Transport — Truck	1.6
Medical — HMO	1.5
Building Products — Air & Heating	1.5
Casino Hotels	1.4
Lighting Products & Systems	1.4
Medical — Hospitals	1.4
Educational Software	1.4
Diversified Manufacturing Operations	1.4
Real Estate Investment Trusts	1.4
Investment Management/Advisor Services	1.4
Aerospace/Defense — Equipment	1.3
MRI/Medical Diagnostic Imaging	1.3
Therapeutics	1.3
Web Hosting/Design	1.3
Semiconductor Components — Integrated Circuits	1.3
Commercial Services	1.2
Telecom Equipment — Fiber Optics	1.2
Advanced Materials	1.1
Machinery — Pumps	1.1
E-Commerce/Products	1.1
Networking Products	1.1
Building Products — Cement	1.1
Food — Retail	1.1
Medical Imaging Systems	1.0
Machinery — General Industrial	1.0
Retail — Discount	1.0
Drug Delivery Systems	1.0
Real Estate Management/Services	1.0
Miscellaneous Manufacturing	1.0
Semiconductor Equipment	1.0
Internet Application Software	0.9
Internet Telephone	0.9
Building Products — Doors & Windows	0.9
Finance — Investment Banker/Broker	0.9
E-Commerce/Services	0.9
Retail — Convenience Store	0.8
E-Services/Consulting	0.8
Computer Services	0.7
Auto Repair Centers	0.7
Patient Monitoring Equipment	0.7
Food — Misc./Diversified	0.7
Insurance — Property/Casualty	0.6
Apparel Manufacturers	0.6
Investment Companies	0.6
Building — Residential/Commercial	0.6
Diagnostic Equipment	0.5
Footwear & Related Apparel	0.5
E-Marketing/Info	0.5
Retail — Pet Food & Supplies	0.5
Savings & Loans/Thrifts	0.5
Retail — Vitamins & Nutrition Supplements	0.5
Computer Data Security	0.5
Oil Field Machinery & Equipment	0.4
Computers — Memory Devices	0.4


Oil Companies — Exploration & Production	0.4
Steel Pipe & Tube	0.4
Oil Refining & Marketing	0.4
Healthcare Safety Devices	0.4
Hotels/Motels	0.3
Research & Development	0.2
Energy — Alternate Sources	0.2

	118.6	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 97.7%
Advanced Materials — 1.1%
Hexcel Corp.		24,512	$	1,013,081

Aerospace/Defense - Equipment — 1.3%
HEICO Corp.		20,468		1,177,115

Apparel Manufacturers — 0.6%
G-III Apparel Group, Ltd.†		9,640		508,510

Applications Software — 2.9%
Demandware, Inc.†		22,212		770,534
HubSpot, Inc.†		14,781		615,776
Imperva, Inc.†		19,047		835,592
Tableau Software, Inc., Class A†		7,218		329,502

				2,551,404

Auto Repair Centers — 0.7%
Monro Muffler Brake, Inc.		8,930		610,544

Banks - Commercial — 2.6%
PrivateBancorp, Inc.		28,549		980,944
Signature Bank†		6,377		826,140
Texas Capital Bancshares, Inc.†		16,572		535,773

				2,342,857

Building & Construction Products - Misc. — 3.7%
Caesarstone Sdot-Yam, Ltd.†#		26,174		970,532
Fortune Brands Home & Security, Inc.		19,116		960,005
Trex Co., Inc.†		30,481		1,312,817

				3,243,354

Building Products - Air & Heating — 1.5%
Lennox International, Inc.		10,160		1,312,774

Building Products - Cement — 1.1%
Eagle Materials, Inc.		15,513		937,296

Building Products - Doors & Windows — 0.9%
Masonite International Corp.†		13,981		804,047

Building - Residential/Commercial — 0.6%
TRI Pointe Group, Inc.†		48,014		495,024

Casino Hotels — 1.4%
Boyd Gaming Corp.†		72,964		1,263,737

Commercial Services — 1.2%
CoStar Group, Inc.†		6,085		1,077,410

Computer Data Security — 0.5%
Fortinet, Inc.†		14,278		405,495

Computer Services — 0.7%
Fleetmatics Group PLC†		16,925		611,162

Computer Software — 1.9%
Cornerstone OnDemand, Inc.†		28,346		816,365
Envestnet, Inc.†		43,191		885,847

				1,702,212

Computers - Memory Devices — 0.4%
Nimble Storage, Inc.†#		51,413		372,230

Diagnostic Equipment — 0.5%
GenMark Diagnostics, Inc.†#		96,079		475,591

Distribution/Wholesale — 3.0%
Pool Corp.		19,995		1,604,999
Watsco, Inc.		8,491		1,083,027

				2,688,026

Diversified Manufacturing Operations — 1.4%
Carlisle Cos., Inc.		13,605		1,226,627



Security Description	Shares		Value (Note 2)


Drug Delivery Systems — 1.0%
Nektar Therapeutics†		41,208	$	460,293
Revance Therapeutics, Inc.†#		23,949		423,538

				883,831

E-Commerce/Products — 1.1%
Wayfair, Inc., Class A†#		24,686		962,013

E-Commerce/Services — 0.9%
GrubHub, Inc.†#		32,984		776,443

E-Marketing/Info — 0.5%
Marketo, Inc.†		26,386		445,132

E-Services/Consulting — 0.8%
Shopify, Inc.†#		33,000		738,540

Educational Software — 1.4%
2U, Inc.†#		44,918		1,003,918
Instructure, Inc.†#		16,474		235,578

				1,239,496

Electronic Components - Semiconductors — 3.9%
Cavium, Inc.†		21,373		1,271,480
Inphi Corp.†		38,311		969,268
Monolithic Power Systems, Inc.		20,646		1,219,353

				3,460,101

Energy - Alternate Sources — 0.2%
SolarCity Corp.†#		9,500		175,085

Enterprise Software/Service — 6.3%
Atlassian Corp PLC, Class A†		22,690		539,341
Benefitfocus, Inc.†#		19,393		608,746
Evolent Health, Inc.†		60,094		603,945
Guidewire Software, Inc.†		23,414		1,152,671
Proofpoint, Inc.†#		20,083		940,688
Tyler Technologies, Inc.†		2,890		347,725
Veeva Systems, Inc., Class A†#		55,186		1,340,468

				5,533,584

Finance - Investment Banker/Broker — 0.9%
Evercore Partners, Inc., Class A		17,102		798,150

Food - Misc./Diversified — 0.7%
Diamond Foods, Inc.†		15,634		591,751

Food - Retail — 1.1%
Sprouts Farmers Market, Inc.†		32,740		932,435

Footwear & Related Apparel — 0.5%
Wolverine World Wide, Inc.		24,899		471,338

Healthcare Safety Devices — 0.4%
Unilife Corp.†#		378,667		318,648

Hotels/Motels — 0.3%
La Quinta Holdings, Inc.†		23,742		257,838

Insurance - Property/Casualty — 0.6%
AmTrust Financial Services, Inc.		23,276		569,098

Internet Application Software — 0.9%
Zendesk, Inc.†#		45,622		834,883

Internet Telephone — 0.9%
RingCentral, Inc.†		44,909		830,817

Investment Companies — 0.6%
PennantPark Investment Corp.#		86,249		498,519

Investment Management/Advisor Services — 1.4%
Financial Engines, Inc.#		35,933		876,765
WisdomTree Investments, Inc.#		27,570		326,705

				1,203,470

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Lighting Products & Systems — 1.4%
Acuity Brands, Inc.		5,981	$	1,252,601

Machinery - General Industrial — 1.0%
Middleby Corp.†		9,928		919,333

Machinery - Pumps — 1.1%
Graco, Inc.		12,317		964,667

Medical Imaging Systems — 1.0%
Novadaq Technologies, Inc.†#		96,476		927,134

Medical Products — 2.2%
K2M Group Holdings, Inc.†		44,083		521,943
Nevro Corp.†		14,758		850,061
Syneron Medical, Ltd.†		83,097		578,355

				1,950,359

Medical - Biomedical/Gene — 5.8%
Acceleron Pharma, Inc.†		17,684		448,113
Bellicum Pharmaceuticals, Inc.†#		40,460		364,949
Coherus Biosciences, Inc.†#		38,470		545,889
Exact Sciences Corp.†#		39,443		198,398
Halozyme Therapeutics, Inc.†		75,348		612,579
Insmed, Inc.†		40,460		494,826
Intrexon Corp.†#		11,686		361,682
Kite Pharma, Inc.†		14,713		657,965
REGENXBIO, Inc.†#		15,356		186,268
Sage Therapeutics, Inc.†		13,477		396,224
Spark Therapeutics, Inc.†#		9,518		303,244
Ultragenyx Pharmaceutical, Inc.†		5,863		357,585
Versartis, Inc.†#		26,255		172,495

				5,100,217

Medical - Drugs — 3.4%
ACADIA Pharmaceuticals, Inc.†		24,790		427,875
Anacor Pharmaceuticals, Inc.†		4,001		255,184
FibroGen, Inc.†		20,024		347,016
Horizon Pharma PLC†#		34,768		596,619
Ignyta, Inc.†		43,978		281,019
Sagent Pharmaceuticals, Inc.†		29,954		424,748
TherapeuticsMD, Inc.†#		111,852		683,416

				3,015,877

Medical - HMO — 1.5%
WellCare Health Plans, Inc.†		15,077		1,354,970

Medical - Hospitals — 1.4%
Acadia Healthcare Co., Inc.†		22,445		1,243,677

Miscellaneous Manufacturing — 1.0%
John Bean Technologies Corp.		15,998		841,495

MRI/Medical Diagnostic Imaging — 1.3%
Surgical Care Affiliates, Inc.†		28,754		1,165,400

Networking Products — 1.1%
Infoblox, Inc.†		30,500		472,140
Ruckus Wireless, Inc.†		49,182		476,082

				948,222

Oil Companies - Exploration & Production — 0.4%
Diamondback Energy, Inc.†		4,930		351,263

Oil Field Machinery & Equipment — 0.4%
Forum Energy Technologies, Inc.†		33,759		397,006

Oil Refining & Marketing — 0.4%
Delek US Holdings, Inc.		20,742		328,138

Patient Monitoring Equipment — 0.7%
Insulet Corp.†		19,892		609,491



Security Description	Shares		Value (Note 2)


Real Estate Investment Trusts — 1.4%
CubeSmart		21,275	$	636,123
Highwoods Properties, Inc.		13,499		587,881

				1,224,004

Real Estate Management/Services — 1.0%
RE/MAX Holdings, Inc., Class A		27,557		883,477

Research & Development — 0.2%
Arrowhead Research Corp.†#		51,695		201,611

Resort/Theme Parks — 1.7%
Vail Resorts, Inc.		11,635		1,482,415

Retail - Apparel/Shoe — 2.4%
Burlington Stores, Inc.†		22,551		1,264,209
Kate Spade & Co.†		25,392		503,269
Tailored Brands, Inc.		25,290		390,478

				2,157,956

Retail - Automobile — 3.1%
Lithia Motors, Inc., Class A		15,855		1,470,075
Penske Automotive Group, Inc.		18,280		689,522
Rush Enterprises, Inc., Class A†		32,806		568,856

				2,728,453

Retail - Convenience Store — 0.8%
Casey’s General Stores, Inc.		7,000		738,990

Retail - Discount — 1.0%
Ollie’s Bargain Outlet Holdings, Inc.†#		45,305		915,161

Retail - Pet Food & Supplies — 0.5%
Freshpet, Inc.†#		66,133		439,784

Retail - Vitamins & Nutrition Supplements — 0.5%
Vitamin Shoppe, Inc.†#		14,958		412,691

Savings & Loans/Thrifts — 0.5%
BofI Holding, Inc.†#		23,352		432,713

Semiconductor Components - Integrated Circuits — 1.3%
M/A-COM Technology Solutions Holdings, Inc.†#		29,268		1,109,257

Semiconductor Equipment — 1.0%
MKS Instruments, Inc.		25,573		841,352

Steel Pipe & Tube — 0.4%
Advanced Drainage Systems, Inc.#		17,761		344,563

Telecom Equipment - Fiber Optics — 1.2%
Ciena Corp.†		49,664		1,018,112

Therapeutics — 1.3%
Axovant Sciences, Ltd.†#		23,080		291,039
Neurocrine Biosciences, Inc.†		10,702		393,619
Portola Pharmaceuticals, Inc.†		16,765		472,270

				1,156,928

Transport - Truck — 1.6%
Old Dominion Freight Line, Inc.†		15,989		1,032,250
XPO Logistics, Inc.†#		17,250		427,110

				1,459,360

Web Hosting/Design — 1.3%
GoDaddy, Inc., Class A†		36,047		1,130,073

Total Long-Term Investment Securities
(cost $94,307,594)				86,386,418

SHORT-TERM INVESTMENT SECURITIES — 20.9%
Registered Investment Companies — 18.7%
State Street Navigator Securities Lending Prime Portfolio 0.49%(1)(2)		16,550,852		16,550,852

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount			Value (Note 2)

SHORT-TERM INVESTMENT SECURITIES (continued)
Time Deposits — 2.2%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 03/01/2016	$	1,922,000		$	1,922,000

Total Short-Term Investment Securities
(cost $18,472,852)					18,472,852

TOTAL INVESTMENTS
(cost $112,780,446)(3)		118.6	%		104,859,270
Liabilities in excess of other assets		(18.6	)		(16,458,154	)

NET ASSETS		100.0	%	$	88,401,116

†	Non-income producing security

#	The security or a portion thereof is out on loan; See Note 2.

(1)	At February 29, 2016, the Fund had loaned securities with a total value of $15,841,232. This was secured by collateral of $16,550,852, which was received in cash and subsequently invested in short-term investments currently valued at $16,550,852 as reported in the Portfolio of Investments.

(2)	The rate shown is the 7-day yield as of February 29, 2016.

(3)	See Note 5 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

Industry Allocation*


Banks — Commercial	11.8	%
Real Estate Investment Trusts	11.5
Registered Investment Companies	8.2
Repurchase Agreements	5.9
Electric — Integrated	3.0
Oil Companies — Exploration & Production	2.9
Human Resources	2.6
Savings & Loans/Thrifts	2.5
Retail — Apparel/Shoe	2.5
Insurance — Reinsurance	1.7
Commercial Services — Finance	1.7
Machinery — General Industrial	1.6
Gas — Distribution	1.5
Distribution/Wholesale	1.5
Food — Misc./Diversified	1.4
Electronic Components — Misc.	1.4
Insurance — Life/Health	1.4
Auction Houses/Art Dealers	1.2
Computer Services	1.1
Building & Construction Products — Misc.	1.1
Investment Management/Advisor Services	1.1
Finance — Consumer Loans	1.0
Finance — Investment Banker/Broker	1.0
Insurance — Property/Casualty	1.0
Engineering/R&D Services	1.0
Transport — Truck	1.0
Electronic Components — Semiconductors	0.8
Food — Canned	0.8
Medical — Biomedical/Gene	0.8
Finance — Mortgage Loan/Banker	0.7
Transport — Marine	0.7
Rubber — Tires	0.7
Real Estate Operations & Development	0.7
Entertainment Software	0.7
Retail — Home Furnishings	0.7
Web Hosting/Design	0.7
Chemicals — Diversified	0.7
Networking Products	0.7
Retail — Leisure Products	0.7
Medical Instruments	0.6
Medical — Outpatient/Home Medical	0.6
Electronic Parts Distribution	0.6
Computers	0.6
Medical Products	0.6
Environmental Consulting & Engineering	0.6
Energy — Alternate Sources	0.6
Disposable Medical Products	0.6
Oil — Field Services	0.6
Aerospace/Defense — Equipment	0.6
Resorts/Theme Parks	0.6
Tobacco	0.6
Diversified Manufacturing Operations	0.6
Semiconductor Equipment	0.5
Consulting Services	0.5
Oil Field Machinery & Equipment	0.5
Telecom Services	0.5
Computer Software	0.5
Containers — Metal/Glass	0.5
Physical Therapy/Rehabilitation Centers	0.5
Retail — Restaurants	0.5
Paper & Related Products	0.4
MRI/Medical Diagnostic Imaging	0.4
Office Supplies & Forms	0.4
Hotels/Motels	0.4
Consumer Products — Misc.	0.4
Steel — Producers	0.4
Food — Flour & Grain	0.4
Retail — Hair Salons	0.4
Water	0.4


Food — Dairy Products			0.4
Insurance — Multi-line			0.4
Medical — HMO			0.4
Satellite Telecom			0.4
Power Converter/Supply Equipment			0.3
Containers — Paper/Plastic			0.3
Transport — Air Freight			0.3
Telephone — Integrated			0.3
Printing — Commercial			0.3
Diagnostic Kits			0.3
Auto/Truck Parts & Equipment — Replacement			0.3
Gambling (Non-Hotel)			0.3
Retail — Jewelry			0.3
Semiconductor Components — Integrated Circuits			0.3
Food — Wholesale/Distribution			0.3
Data Processing/Management			0.3
Airlines			0.2
Banks — Mortgage			0.2
Wireless Equipment			0.2
Engines — Internal Combustion			0.2
Retail — Regional Department Stores			0.2
Travel Services			0.2
Retail — Pawn Shops			0.2
Transport — Services			0.2
Machinery — Farming			0.2
Lasers — System/Components			0.2
Independent Power Producers			0.2
Home Furnishings			0.2
Machinery — Construction & Mining			0.2
Auto/Truck Parts & Equipment — Original			0.2
Schools			0.2
Building & Construction — Misc.			0.2
Electric — Generation			0.2
Medical — Drugs			0.1
Publishing — Periodicals			0.1
Telecommunication Equipment			0.1
Electric — Distribution			0.1
Athletic Equipment			0.1
Steel Pipe & Tube			0.1
Radio			0.1
Web Portals/ISP			0.1
Chemicals — Fibers			0.1
Auto — Truck Trailers			0.1
Therapeutics			0.1
Security Services			0.1
Computer Aided Design			0.1
Housewares			0.1
Publishing — Books			0.1
Industrial Automated/Robotic			0.1
Internet Application Software			0.1
Wire & Cable Products			0.1
Transport — Equipment & Leasing			0.1
Metal — Iron			0.1
Commercial Services			0.1
Oil & Gas Drilling			0.1
Diagnostic Equipment			0.1
Respiratory Products			0.1
Enterprise Software/Service			0.1
Aerospace/Defense			0.1

			108.6%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 94.5%
Aerospace/Defense — 0.1%
National Presto Industries, Inc.#		2,800	$	227,920

Aerospace/Defense - Equipment — 0.6%
AAR Corp.		89,000		1,894,810
Moog, Inc., Class A†		15,400		664,972

				2,559,782

Agricultural Chemicals — 0.0%
Intrepid Potash, Inc.†		22,900		22,671

Airlines — 0.2%
Alaska Air Group, Inc.		14,900		1,101,110

Athletic Equipment — 0.1%
Nautilus, Inc.†		29,600		499,944

Auction Houses/Art Dealers — 1.2%
KAR Auction Services, Inc.		156,150		5,529,272

Audio/Video Products — 0.0%
VOXX International Corp.†		15,800		63,042

Auto - Truck Trailers — 0.1%
Wabash National Corp.†		33,000		387,090

Auto/Truck Parts & Equipment - Original — 0.2%
Accuride Corp.†		14,600		18,688
Dana Holding Corp.		57,100		710,324

				729,012

Auto/Truck Parts & Equipment - Replacement — 0.3%
Douglas Dynamics, Inc.		63,500		1,242,060

Banks - Commercial — 11.8%
1st Source Corp.		19,320		588,294
American National Bankshares, Inc.		1,100		27,929
BancFirst Corp.		11,440		646,360
BancorpSouth, Inc.		66,800		1,330,656
Bank of Hawaii Corp.#		29,280		1,859,280
Banner Corp.		11,000		436,810
BBCN Bancorp, Inc.		63,220		904,678
Capital Bank Financial Corp., Class A#		41,500		1,222,175
Cascade Bancorp†		14,901		79,869
Cathay General Bancorp		36,860		983,793
Central Pacific Financial Corp.		86,600		1,725,938
Century Bancorp, Inc., Class A		1,518		59,885
Citizens & Northern Corp.		3,400		67,660
City Holding Co.#		25,900		1,141,413
CoBiz Financial, Inc.		17,500		189,875
Columbia Banking System, Inc.		9,773		281,756
Community Bank System, Inc.		24,280		899,088
Community Trust Bancorp, Inc.		21,918		739,075
Customers Bancorp, Inc.†		30,000		679,500
East West Bancorp, Inc.		2,173		65,125
Financial Institutions, Inc.		12,400		328,848
First BanCorp†		228,500		612,380
First Bancorp		5,400		99,846
First Busey Corp.		23,626		447,713
First Citizens BancShares, Inc., Class A		1,540		360,560
First Commonwealth Financial Corp.		217,300		1,866,607
First Community Bancshares, Inc.		8,300		150,230
First Financial Bancorp		19,298		323,627
First Financial Bankshares, Inc.#		13,560		358,120
First Interstate BancSystem, Inc.		15,800		423,440
FNB Corp.		108,156		1,328,156
Fulton Financial Corp.		52,800		665,808
Glacier Bancorp, Inc.		116,800		2,782,176
Great Southern Bancorp, Inc.		6,600		247,962
Great Western Bancorp, Inc.		26,500		652,165
Guaranty Bancorp		4,700		69,983



Security Description	Shares		Value (Note 2)


Banks - Commercial (continued)
Hancock Holding Co.		179,521	$	4,141,549
Heartland Financial USA, Inc.		9,640		283,416
Heritage Financial Corp.		4,339		75,672
Kearny Financial Corp.		3,527		42,218
Lakeland Bancorp, Inc.		10,973		109,730
Lakeland Financial Corp.		4,980		212,696
MainSource Financial Group, Inc.		29,900		618,930
National Penn Bancshares, Inc.		8,400		93,492
OFG Bancorp#		100,700		586,074
Pacific Continental Corp.		14,000		216,160
PacWest Bancorp		27,800		894,604
Preferred Bank		3,200		91,360
Republic Bancorp, Inc., Class A		3,500		89,635
S&T Bancorp, Inc.		3,880		97,854
Sierra Bancorp		3,020		56,685
Simmons First National Corp., Class A		2,420		99,680
Southside Bancshares, Inc.		3,182		74,522
Southwest Bancorp, Inc.		21,780		329,967
State Bank Financial Corp.		10,300		192,816
Stock Yards Bancorp, Inc.		2,300		85,905
Suffolk Bancorp		3,120		75,598
TCF Financial Corp.		60,840		689,926
Tompkins Financial Corp.		7,048		398,001
TriState Capital Holdings, Inc.†		4,600		55,246
Trustmark Corp.		25,700		562,316
UMB Financial Corp.		33,460		1,643,221
Umpqua Holdings Corp.		105,514		1,586,930
Union Bankshares Corp.		71,919		1,636,876
Valley National Bancorp		13,516		121,644
Washington Trust Bancorp, Inc.		6,780		251,538
Webster Financial Corp.		120,863		4,062,205
WesBanco, Inc.		2,691		76,075
West Bancorporation, Inc.		7,080		124,325
Westamerica Bancorporation#		61,524		2,767,965
Western Alliance Bancorp†		2,832		84,167
Wilshire Bancorp, Inc.		110,900		1,091,256
Zions Bancorporation		192,950		4,113,694

				52,380,728

Banks - Mortgage — 0.2%
Walker & Dunlop, Inc.†		47,100		1,088,952

Building & Construction Products - Misc. — 1.1%
Armstrong World Industries, Inc.†		86,336		3,499,198
Gibraltar Industries, Inc.†		60,280		1,489,820

				4,989,018

Building & Construction - Misc. — 0.2%
Comfort Systems USA, Inc.		25,100		704,055

Building Products - Light Fixtures — 0.0%
LSI Industries, Inc.		18,700		201,960

Building - Residential/Commercial — 0.0%
KB Home#		5,300		64,660

Chemicals - Diversified — 0.7%
Huntsman Corp.		212,059		2,302,961
Olin Corp.		39,800		603,368

				2,906,329

Chemicals - Fibers — 0.1%
Rayonier Advanced Materials, Inc.		53,100		396,657

Chemicals - Specialty — 0.0%
Minerals Technologies, Inc.		3,160		160,591

Coffee — 0.0%
Farmer Bros. Co.†		1,700		44,812

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Commercial Services — 0.1%
RPX Corp.†		26,500	$	262,615

Commercial Services - Finance — 1.7%
EVERTEC, Inc.		300,977		3,581,626
WEX, Inc.†		58,141		3,796,608

				7,378,234

Computer Aided Design — 0.1%
Aspen Technology, Inc.†		10,600		349,482

Computer Services — 1.1%
Convergys Corp.		66,500		1,714,370
Insight Enterprises, Inc.†		66,400		1,733,040
Sykes Enterprises, Inc.†		22,200		676,434
Unisys Corp.†		83,700		901,449

				5,025,293

Computer Software — 0.5%
Avid Technology, Inc.†		287,000		2,195,550

Computers — 0.6%
Wincor Nixdorf AG ADR†		272,000		2,720,000

Consulting Services — 0.5%
FTI Consulting, Inc.†		70,200		2,310,282

Consumer Products - Misc. — 0.4%
Central Garden & Pet Co., Class A†		103,460		1,399,814
CSS Industries, Inc.		17,700		479,139

				1,878,953

Containers - Metal/Glass — 0.5%
Silgan Holdings, Inc.		42,800		2,192,644

Containers - Paper/Plastic — 0.3%
Graphic Packaging Holding Co.		112,710		1,389,714

Data Processing/Management — 0.3%
Fair Isaac Corp.		11,420		1,136,518

Diagnostic Equipment — 0.1%
Affymetrix, Inc.†		18,100		254,124

Diagnostic Kits — 0.3%
Meridian Bioscience, Inc.		23,900		481,585
Quidel Corp.†#		53,300		835,211

				1,316,796

Direct Marketing — 0.0%
Harte-Hanks, Inc.		13,000		40,170

Disposable Medical Products — 0.6%
STERIS PLC		40,250		2,588,880

Distribution/Wholesale — 1.5%
Beacon Roofing Supply, Inc.†		43,500		1,570,350
Essendant, Inc.		159,380		4,696,929
Titan Machinery, Inc.†#		24,900		237,048

				6,504,327

Diversified Manufacturing Operations — 0.6%
Actuant Corp., Class A		87,143		2,040,018
Federal Signal Corp.		35,700		423,402

				2,463,420

Drug Delivery Systems — 0.0%
Revance Therapeutics, Inc.†#		4,600		81,351

Electric - Distribution — 0.1%
EnerNOC, Inc.†#		67,200		412,608
Spark Energy, Inc., Class A#		3,900		94,458

				507,066



Security Description	Shares		Value (Note 2)


Electric - Generation — 0.2%
Atlantic Power Corp.#		392,900	$	675,788

Electric - Integrated — 3.0%
Avista Corp.		61,580		2,327,724
El Paso Electric Co.		53,100		2,169,135
NorthWestern Corp.		38,518		2,286,814
PNM Resources, Inc.		25,400		810,768
Portland General Electric Co.		68,300		2,598,815
Unitil Corp.		9,200		361,836
Westar Energy, Inc.		64,049		2,783,569

				13,338,661

Electronic Components - Misc. — 1.4%
Benchmark Electronics, Inc.†		88,221		1,909,985
Jabil Circuit, Inc.		106,500		2,220,525
Sanmina Corp.†		10,900		224,540
Stoneridge, Inc.†		27,600		332,304
Vishay Intertechnology, Inc.		115,700		1,369,888

				6,057,242

Electronic Components - Semiconductors — 0.8%
Alpha & Omega Semiconductor, Ltd.†		13,100		154,973
Amkor Technology, Inc.†		133,500		675,510
IXYS Corp.		37,000		417,360
Rovi Corp.†		106,100		2,416,958

				3,664,801

Electronic Parts Distribution — 0.6%
Tech Data Corp.†		39,800		2,802,318

Energy - Alternate Sources — 0.6%
First Solar, Inc.†		3,400		244,358
REX American Resources Corp.†#		48,200		2,434,100

				2,678,458

Engineering/R&D Services — 1.0%
Argan, Inc.		33,300		1,074,591
EMCOR Group, Inc.		54,598		2,504,410
VSE Corp.#		11,600		727,436

				4,306,437

Engines - Internal Combustion — 0.2%
Briggs & Stratton Corp.		48,000		1,020,960

Enterprise Software/Service — 0.1%
Benefitfocus, Inc.†#		7,400		232,286

Entertainment Software — 0.7%
Take-Two Interactive Software, Inc.†		86,700		3,120,333

Environmental Consulting & Engineering — 0.6%
Tetra Tech, Inc.		98,300		2,706,199

Finance - Consumer Loans — 1.0%
Encore Capital Group, Inc.†		96,152		2,235,534
Nelnet, Inc., Class A		16,200		609,120
Ocwen Financial Corp.†		444,111		1,683,181

				4,527,835

Finance - Investment Banker/Broker — 1.0%
Cowen Group, Inc., Class A†#		129,200		437,988
INTL. FCStone, Inc.†		4,000		102,120
Investment Technology Group, Inc.		29,200		534,944
KCG Holdings, Inc., Class A†		69,000		729,330
Oppenheimer Holdings, Inc., Class A		10,000		141,600
Stifel Financial Corp.†		86,290		2,498,958

				4,444,940

Finance - Leasing Companies — 0.0%
Marlin Business Services Corp.		5,800		80,098

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Finance - Mortgage Loan/Banker — 0.7%
Arlington Asset Investment Corp., Class A#		17,900	$	216,769
CoreLogic, Inc.†		88,539		3,062,564

				3,279,333

Financial Guarantee Insurance — 0.0%
MGIC Investment Corp.†		18,400		125,856

Food - Canned — 0.8%
Seneca Foods Corp., Class A†		1,600		53,216
TreeHouse Foods, Inc.†		42,050		3,549,861

				3,603,077

Food - Dairy Products — 0.4%
Dean Foods Co.#		83,055		1,602,131

Food - Flour & Grain — 0.4%
Post Holdings, Inc.†		25,400		1,764,284

Food - Misc./Diversified — 1.4%
Darling Ingredients, Inc.†		7,400		66,674
J&J Snack Foods Corp.		19,000		2,105,010
Pinnacle Foods, Inc.		18,400		794,696
Snyder’s-Lance, Inc.		100,010		3,271,327

				6,237,707

Food - Retail — 0.0%
Smart & Final Stores, Inc.†		10,400		169,000

Food - Wholesale/Distribution — 0.3%
Fresh Del Monte Produce, Inc.		18,500		742,035
SpartanNash Co.		15,100		414,495

				1,156,530

Gambling (Non-Hotel) — 0.3%
Isle of Capri Casinos, Inc.†		108,880		1,235,788

Gas - Distribution — 1.5%
AGL Resources, Inc.		15,159		980,029
Chesapeake Utilities Corp.		5,500		342,650
Laclede Group, Inc.		31,800		2,083,536
Northwest Natural Gas Co.		25,500		1,272,195
Piedmont Natural Gas Co., Inc.		8,160		484,786
Southwest Gas Corp.		26,840		1,637,240

				6,800,436

Home Furnishings — 0.2%
Leggett & Platt, Inc.		16,998		759,131

Hotels/Motels — 0.4%
Interval Leisure Group, Inc.		145,835		1,888,563

Housewares — 0.1%
NACCO Industries, Inc., Class A		6,100		301,401

Human Resources — 2.6%
AMN Healthcare Services, Inc.†		155,100		4,409,493
Barrett Business Services, Inc.		37,500		1,310,250
Cross Country Healthcare, Inc.†		88,200		1,094,562
Korn/Ferry International		64,750		1,840,195
Monster Worldwide, Inc.†		68,100		202,938
Resources Connection, Inc.		202,845		2,813,460

				11,670,898

Identification Systems — 0.0%
Checkpoint Systems, Inc.		16,800		126,168

Independent Power Producers — 0.2%
Ormat Technologies, Inc.		20,700		789,912

Industrial Automated/Robotic — 0.1%
Hurco Cos., Inc.		11,500		298,425

Instruments - Controls — 0.0%
Watts Water Technologies, Inc., Class A		3,660		188,746



Security Description	Shares		Value (Note 2)


Insurance - Life/Health — 1.4%
American Equity Investment Life Holding Co.		13,798	$	187,653
CNO Financial Group, Inc.		165,420		2,883,271
Primerica, Inc.		37,900		1,599,001
StanCorp Financial Group, Inc.		11,358		1,305,034

				5,974,959

Insurance - Multi-line — 0.4%
Horace Mann Educators Corp.		41,880		1,290,323
Kemper Corp.		6,900		185,472
United Fire Group, Inc.		3,100		124,992

				1,600,787

Insurance - Property/Casualty — 1.0%
Arch Capital Group, Ltd.†		6,126		416,200
Global Indemnity PLC†		2,100		58,926
Hallmark Financial Services, Inc.†		13,100		130,738
Navigators Group, Inc.†		6,400		518,272
ProAssurance Corp.		31,380		1,547,348
Selective Insurance Group, Inc.		51,182		1,718,692

				4,390,176

Insurance - Reinsurance — 1.7%
Argo Group International Holdings, Ltd.		22,028		1,227,620
Endurance Specialty Holdings, Ltd.		53,350		3,322,105
Essent Group, Ltd.†		153,500		2,954,875
Maiden Holdings, Ltd.		16,300		195,111

				7,699,711

Internet Application Software — 0.1%
Bazaarvoice, Inc.†#		92,600		290,764

Internet Incubators — 0.0%
ModusLink Global Solutions, Inc.†		12,600		23,814

Investment Management/Advisor Services — 1.1%
Artisan Partners Asset Management, Inc., Class A		73,500		2,085,930
Janus Capital Group, Inc.		11,960		154,643
Virtus Investment Partners, Inc.		28,500		2,616,585

				4,857,158

Lasers - System/Components — 0.2%
Coherent, Inc.†		9,740		824,004

Machinery - Construction & Mining — 0.2%
Hyster-Yale Materials Handling, Inc.		12,360		730,723

Machinery - Farming — 0.2%
AGCO Corp.		16,960		839,350

Machinery - General Industrial — 1.6%
DXP Enterprises, Inc.†		29,400		399,546
IDEX Corp.		34,300		2,577,988
Kadant, Inc.		23,500		896,995
Zebra Technologies Corp., Class A†		51,522		3,183,029

				7,057,558

Medical Instruments — 0.6%
Integra LifeSciences Holdings Corp.†		35,900		2,202,824
SurModics, Inc.†		34,600		645,636

				2,848,460

Medical Products — 0.6%
Haemonetics Corp.†		55,100		1,767,608
Halyard Health, Inc.†		7,100		181,192
Orthofix International NV†		12,700		487,807
Rockwell Medical, Inc.†#		28,700		275,520

				2,712,127

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Medical - Biomedical/Gene — 0.8%
Applied Genetic Technologies Corp.†#		1,300	$	17,251
Ardelyx, Inc.†		6,100		58,926
Avalanche Biotechnologies, Inc.†#		1,400		7,168
Bio-Rad Laboratories, Inc., Class A†		13,300		1,790,712
Epizyme, Inc.†		2,300		20,217
Idera Pharmaceuticals, Inc.†#		315,200		561,056
Insmed, Inc.†		8,000		97,840
Karyopharm Therapeutics, Inc.†		1,100		6,490
MacroGenics, Inc.†		2,700		43,146
Medicines Co.†#		18,600		598,176
Sage Therapeutics, Inc.†		900		26,460
Ultragenyx Pharmaceutical, Inc.†		2,200		134,178
Verastem, Inc.†#		6,600		7,392

				3,369,012

Medical - Drugs — 0.1%
ACADIA Pharmaceuticals, Inc.†		6,400		110,464
Dicerna Pharmaceuticals, Inc.†		3,100		15,376
Immune Design Corp.†#		2,600		26,026
MyoKardia, Inc.†#		17,223		122,283
NantKwest, Inc.†#		13,900		95,632
Radius Health, Inc.†#		7,900		231,470

				601,251

Medical - Generic Drugs — 0.0%
Amphastar Pharmaceuticals, Inc.†		15,200		160,056

Medical - HMO — 0.4%
Centene Corp.†		22,400		1,275,904
Triple-S Management Corp., Class B†		12,300		322,506

				1,598,410

Medical - Outpatient/Home Medical — 0.6%
Addus HomeCare Corp.†		19,400		440,380
Amsurg Corp.†		35,380		2,407,609

				2,847,989

Metal - Iron — 0.1%
Cliffs Natural Resources, Inc.†#		121,800		263,088

MRI/Medical Diagnostic Imaging — 0.4%
Alliance HealthCare Services, Inc.†		22,800		163,020
Surgical Care Affiliates, Inc.†		43,700		1,771,161

				1,934,181

Networking Products — 0.7%
Black Box Corp.		37,180		492,635
NETGEAR, Inc.†		28,600		1,129,986
Polycom, Inc.†		122,300		1,273,143

				2,895,764

Office Supplies & Forms — 0.4%
ACCO Brands Corp.†		259,800		1,899,138

Oil & Gas Drilling — 0.1%
Atwood Oceanics, Inc.#		21,800		149,984
North Atlantic Drilling, Ltd.†#		15,099		26,272
Parker Drilling Co.†		55,200		86,112

				262,368

Oil Companies - Exploration & Production — 2.9%
Approach Resources, Inc.†#		53,200		40,107
Bill Barrett Corp.†#		391,300		1,119,118
Diamondback Energy, Inc.†		39,431		2,809,459
Encana Corp.		646,440		2,773,228
Gastar Exploration, Inc.†#		66,600		45,954
Halcon Resources Corp.†#		73,640		42,770
Jones Energy, Inc., Class A†#		41,300		61,950



Security Description	Shares		Value (Note 2)


Oil Companies - Exploration & Production (continued)
Oasis Petroleum, Inc.†		332,500	$	1,792,175
Rex Energy Corp.†#		163,300		96,412
RSP Permian, Inc.†		139,146		3,326,981
Stone Energy Corp.†#		275,720		427,366
Unit Corp.†#		47,500		254,600

				12,790,120

Oil Field Machinery & Equipment — 0.5%
Forum Energy Technologies, Inc.†		195,190		2,295,434

Oil Refining & Marketing — 0.0%
Adams Resources & Energy, Inc.		800		26,176
Alon USA Energy, Inc.#		16,400		161,704

				187,880

Oil-Field Services — 0.6%
Archrock, Inc.		7,100		28,329
Gulfmark Offshore, Inc., Class A†#		82,000		294,380
Helix Energy Solutions Group, Inc.†		132,040		514,956
Key Energy Services, Inc.†#		455,200		104,241
MRC Global, Inc.†		22,800		272,460
Pioneer Energy Services Corp.†		233,640		320,087
SEACOR Holdings, Inc.†#		21,600		1,045,224

				2,579,677

Paper & Related Products — 0.4%
Domtar Corp.		22,540		793,183
Schweitzer-Mauduit International, Inc.		39,000		1,178,580

				1,971,763

Physical Therapy/Rehabilitation Centers — 0.5%
HealthSouth Corp.		61,279		2,158,859

Poultry — 0.0%
Sanderson Farms, Inc.#		900		82,134

Power Converter/Supply Equipment — 0.3%
Advanced Energy Industries, Inc.†		47,000		1,402,010

Printing - Commercial — 0.3%
Ennis, Inc.		14,900		294,126
Quad/Graphics, Inc.		81,400		1,030,524

				1,324,650

Publishing - Books — 0.1%
Houghton Mifflin Harcourt Co.†		15,900		299,079

Publishing - Periodicals — 0.1%
Time, Inc.		39,100		551,310

Racetracks — 0.0%
Speedway Motorsports, Inc.		7,300		133,006

Radio — 0.1%
Entercom Communications Corp., Class A†		32,240		368,503
Saga Communications, Inc., Class A		1,566		58,772

				427,275

Real Estate Investment Trusts — 11.5%
AG Mtg. Investment Trust, Inc.		16,700		205,911
American Assets Trust, Inc.		4,100		152,069
Apartment Investment & Management Co., Class A		35,079		1,284,242
ARMOUR Residential REIT, Inc.#		73,700		1,418,725
Ashford Hospitality Trust, Inc.		116,980		646,899
Capstead Mtg. Corp.		193,800		1,881,798
CBL & Associates Properties, Inc.		74,940		864,058
Cedar Realty Trust, Inc.		49,000		334,670
CoreSite Realty Corp.		36,100		2,327,006
CubeSmart		75,060		2,244,294
CyrusOne, Inc.		1,400		55,496

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
CYS Investments, Inc.		361,800	$	2,836,512
DCT Industrial Trust, Inc.		85,160		3,081,941
DiamondRock Hospitality Co.		56,834		505,823
DuPont Fabros Technology, Inc.		12,400		442,060
Education Realty Trust, Inc.		4,066		161,217
EPR Properties		13,400		833,882
Equity Commonwealth†		77,000		2,050,510
FelCor Lodging Trust, Inc.		126,700		937,580
First Industrial Realty Trust, Inc.		22,418		482,435
First Potomac Realty Trust		87,100		736,866
Franklin Street Properties Corp.		28,900		274,839
Getty Realty Corp.		26,046		473,777
Gladstone Commercial Corp.		13,000		193,440
Government Properties Income Trust#		82,900		1,230,236
Gramercy Property Trust		86,400		652,320
Hatteras Financial Corp.		38,800		533,500
Highwoods Properties, Inc.		10,400		452,920
Hospitality Properties Trust		28,440		690,523
Hudson Pacific Properties, Inc.		102,934		2,624,817
Kite Realty Group Trust		21,700		584,164
Ladder Capital Corp., Class A		128,960		1,333,446
LaSalle Hotel Properties		14,178		345,234
LTC Properties, Inc.		17,620		783,033
Mack-Cali Realty Corp.		162,443		3,232,616
Mid-America Apartment Communities, Inc.		2,577		231,775
Monogram Residential Trust, Inc.		41,600		377,728
Parkway Properties, Inc.		242,500		3,247,075
Pebblebrook Hotel Trust		22,900		621,964
Pennsylvania Real Estate Investment Trust		53,480		1,024,677
PennyMac Mortgage Investment Trust		179,600		2,363,536
Potlatch Corp.		54,400		1,438,336
PS Business Parks, Inc.		15,000		1,377,150
RAIT Financial Trust		168,600		441,732
Saul Centers, Inc.		2,100		102,858
Silver Bay Realty Trust Corp.		11,500		158,125
Sunstone Hotel Investors, Inc.		80,372		1,036,799
Taubman Centers, Inc.		2,400		169,968
Urstadt Biddle Properties, Inc., Class A		13,900		274,803
Washington Real Estate Investment Trust		43,600		1,127,932
WP GLIMCHER, Inc.		1,053		9,098

				50,892,415

Real Estate Operations & Development — 0.7%
Alexander & Baldwin, Inc.		36,600		1,226,832
Forestar Group, Inc.†#		105,200		1,025,700
St. Joe Co.†#		58,200		885,222

				3,137,754

Resort/Theme Parks — 0.6%
SeaWorld Entertainment, Inc.		141,500		2,559,735

Respiratory Products — 0.1%
Inogen, Inc.†		7,200		246,096

Retail - Apparel/Shoe — 2.5%
Abercrombie & Fitch Co., Class A#		26,400		766,920
Ascena Retail Group, Inc.†		407,830		3,446,164
Children’s Place, Inc.		42,600		2,902,764
DSW, Inc., Class A		118,050		3,092,910
Guess?, Inc.		39,000		832,650

				11,041,408

Retail - Hair Salons — 0.4%
Regis Corp.†		122,600		1,756,858

Retail - Home Furnishings — 0.7%
Pier 1 Imports, Inc.		597,700		2,952,638



Security Description	Shares		Value (Note 2)


Retail - Jewelry — 0.3%
Movado Group, Inc.		41,000	$	1,197,610

Retail - Leisure Products — 0.7%
Party City Holdco, Inc.†		292,250		2,890,353

Retail - Pawn Shops — 0.2%
Cash America International, Inc.		27,900		939,951

Retail - Regional Department Stores — 0.2%
Dillard’s, Inc., Class A#		11,940		999,259

Retail - Restaurants — 0.5%
Bob Evans Farms, Inc.		21,300		913,983
Bravo Brio Restaurant Group, Inc.†		7,200		56,232
Jack in the Box, Inc.		3,300		226,875
Ruby Tuesday, Inc.†		11,400		60,306
Ruth’s Hospitality Group, Inc.		48,772		856,924

				2,114,320

Retirement/Aged Care — 0.0%
Five Star Quality Care, Inc.†		16,100		38,157

Rubber - Tires — 0.7%
Cooper Tire & Rubber Co.		80,000		3,144,000

Rubber/Plastic Products — 0.0%
Myers Industries, Inc.		9,758		117,389

Satellite Telecom — 0.4%
DigitalGlobe, Inc.†		98,800		1,485,952
Intelsat SA†#		37,500		64,500

				1,550,452

Savings & Loans/Thrifts — 2.5%
BankFinancial Corp.		4,300		51,772
Beneficial Bancorp, Inc.†		104,858		1,341,134
Brookline Bancorp, Inc.		13,400		140,834
Charter Financial Corp.		46,700		640,257
Flushing Financial Corp.		26,100		538,965
Fox Chase Bancorp, Inc.		4,800		92,016
Investors Bancorp, Inc.		162,500		1,839,500
Meridian Bancorp, Inc.		58,700		809,473
Northfield Bancorp, Inc.		105,500		1,657,405
OceanFirst Financial Corp.		10,020		170,240
Oritani Financial Corp.		16,100		272,412
Sterling Bancorp		201,250		2,900,012
Territorial Bancorp, Inc.		2,800		72,044
United Financial Bancorp, Inc.		17,300		200,334
Waterstone Financial, Inc.		6,400		90,368
WSFS Financial Corp.		13,574		411,292

				11,228,058

Schools — 0.2%
K12, Inc.†		72,400		708,796

Security Services — 0.1%
Ascent Capital Group, Inc., Class A†		26,600		369,740

Seismic Data Collection — 0.0%
Geospace Technologies Corp.†#		19,100		213,347

Semiconductor Components - Integrated Circuits — 0.3%
Cypress Semiconductor Corp.#		148,922		1,188,398

Semiconductor Equipment — 0.5%
Cohu, Inc.		74,000		844,340
FormFactor, Inc.†		81,700		620,920
Ultra Clean Holdings, Inc.†		13,300		69,559
Xcerra Corp.†		144,000		822,240

				2,357,059

Steel Pipe & Tube — 0.1%
Mueller Water Products, Inc., Class A		52,640		453,230

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Steel - Producers — 0.4%
Schnitzer Steel Industries, Inc., Class A		35,600	$	521,184
Worthington Industries, Inc.		41,740		1,298,531

				1,819,715

Telecom Services — 0.5%
EarthLink Holdings Corp.		110,900		625,476
FairPoint Communications, Inc.†#		5,900		88,677
Spok Holdings, Inc.		6,200		109,864
West Corp.		63,500		1,414,780

				2,238,797

Telecommunication Equipment — 0.1%
Comtech Telecommunications Corp.		26,800		550,740

Telephone - Integrated — 0.3%
Cincinnati Bell, Inc.†		349,200		1,208,232
Windstream Holdings, Inc.#		16,100		121,072

				1,329,304

Television — 0.0%
Central European Media Enterprises, Ltd., Class A†#		26,900		66,174

Therapeutics — 0.1%
Cara Therapeutics, Inc.†		7,400		36,408
Seres Therapeutics, Inc.†#		14,200		328,162
Zafgen, Inc.†#		2,600		16,276

				380,846

Tobacco — 0.6%
Universal Corp.#		46,800		2,549,664

Transport - Air Freight — 0.3%
Atlas Air Worldwide Holdings, Inc.†		37,400		1,354,254

Transport - Equipment & Leasing — 0.1%
AMERCO		800		274,248

Transport - Marine — 0.7%
Frontline, Ltd.#		7,620		67,437
Kirby Corp.†		55,247		3,127,533

				3,194,970

Transport - Services — 0.2%
Matson, Inc.		23,400		938,106

Transport-Truck — 1.0%
ArcBest Corp.		38,420		751,879
Landstar System, Inc.		47,260		2,797,792
P.A.M. Transportation Services, Inc.†		8,982		256,616
USA Truck, Inc.†		28,700		452,886

				4,259,173

Travel Services — 0.2%
Liberty TripAdvisor Holdings, Inc., Class A†		47,500		968,525

Water — 0.4%
American States Water Co.		28,800		1,221,408
California Water Service Group		19,860		490,939

				1,712,347

Web Hosting/Design — 0.7%
Endurance International Group Holdings, Inc.†		260,351		2,926,345



Security Description	Shares/ Principal Amount			Value (Note 2)


Web Portals/ISP — 0.1%
Blucora, Inc.†		66,200		$	407,130

Wire & Cable Products — 0.1%
General Cable Corp.		33,400			286,906

Wireless Equipment — 0.2%
InterDigital, Inc.		20,900			1,039,357

Total Long-Term Investment Securities
(cost $435,986,000)(3)					417,826,495

SHORT-TERM INVESTMENT SECURITIES — 8.2%
Registered Investment Companies — 8.2%
State Street Navigator Securities Lending Prime Portfolio 0.49%(1)(2)
(cost $36,159,075)		36,159,075			36,159,075

REPURCHASE AGREEMENTS — 5.9%
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 02/29/2016, to be repurchased 03/01/2016 in the amount of $11,094,003 collateralized by $10,300,000 of United States Treasury Notes, bearing interest at 3.13% due 05/15/2021 and having an approximate value of $11,319,123	$	11,094,000			11,094,000
Agreement with State Street Bank and Trust Co., bearing interest at 0.01%, dated 02/29/2016, to be repurchased 03/01/2016 in the amount of $15,126,004 collateralized by $14,810,000 of United States Treasury Notes, bearing interest at 2.13% due 01/31/2021 and having an approximate value of $15,432,094		15,126,000			15,126,000

Total Repurchase Agreements
(cost $26,220,000)					26,220,000

TOTAL INVESTMENTS
(cost $498,365,075)(3)		108.6	%		480,205,570
Liabilities in excess of other assets		(8.6	)		(37,945,659	)

NET ASSETS		100.0	%	$	442,259,911

#	The security or a portion thereof is out on loan; See Note 2.

†	Non-income producing security

(1)

At February 29, 2016, the Fund had loaned securities with a total value of $34,083,670. This was secured by collateral of $36,159,075, which was received in cash and subsequently invested in short-term investments currently valued at $36,159,075 as reported in the Portfolio of Investments. Additional collateral of $56,801 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, is not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2016
United States Treasury Bills	0.00%	06/23/2016 to 10/13/2016	$ 6,968
United States Treasury Notes/Bonds	zero coupon to 5.50%	05/15/2016 to 02/15/2045	49,833

(2)	The rate shown is a 7-day yield as of February 29, 2016.

(3)	See Note 5 for cost of investments on a tax basis.

ADR — American Depositary Receipt

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

Industry Allocation*


Medical — Drugs	6.1	%
Web Portals/ISP	4.3
Applications Software	3.5
Real Estate Investment Trusts	3.5
Medical — Biomedical/Gene	3.2
U.S. Government Treasuries	3.0
Retail — Restaurants	2.9
Banks — Super Regional	2.9
Finance — Credit Card	2.6
Cosmetics & Toiletries	2.5
Multimedia	2.4
Electronic Components-Semiconductors	2.3
Beverages — Non-alcoholic	2.1
Diagnostic Equipment	2.0
Food-Misc./Diversified	2.0
Diversified Manufacturing Operations	1.9
Medical — HMO	1.9
Retail — Building Products	1.8
Insurance — Reinsurance	1.8
Insurance — Multi-line	1.8
Cable/Satellite TV	1.8
E-Commerce/Products	1.7
Internet Content — Entertainment	1.6
Retail — Drug Store	1.5
Commercial Services — Finance	1.5
Electric — Integrated	1.4
Retail — Discount	1.3
Registered Investment Companies	1.2
Pipelines	1.1
Networking Products	1.1
Enterprise Software/Service	1.1
Oil Companies — Exploration & Production	1.0
Transport — Services	1.0
Semiconductor Components — Integrated Circuits	1.0
Banks — Fiduciary	0.9
Computers — Memory Devices	0.9
Gas — Distribution	0.9
Oil Refining & Marketing	0.8
Computer Services	0.8
Investment Management/Advisor Services	0.8
Transport — Rail	0.8
Oil — Field Services	0.8
Medical — Wholesale Drug Distribution	0.8
Insurance — Life/Health	0.7
Chemicals — Diversified	0.7
Food — Retail	0.7
Consumer Products — Misc.	0.6
Auto — Cars/Light Trucks	0.6
Telephone-Integrated	0.6
Auto/Truck Parts & Equipment — Original	0.6
Banks — Commercial	0.6
Diversified Banking Institutions	0.6
Finance — Other Services	0.5
Athletic Footwear	0.5
Medical Products	0.5
Repurchase Agreements	0.5
Data Processing/Management	0.5
Non-Hazardous Waste Disposal	0.5
Industrial Gases	0.5
Electric Products — Misc.	0.5
Machinery — Construction & Mining	0.5
E-Commerce/Services	0.5
Chemicals — Specialty	0.4
Retail — Major Department Stores	0.4
Pharmacy Services	0.4
Food — Wholesale/Distribution	0.4
Machinery — Farming	0.3
Semiconductor Equipment	0.3
Advertising Agencies	0.3


Insurance — Property/Casualty	0.3
Electronic Components — Misc.	0.3
Auto — Heavy Duty Trucks	0.3
Electronic Forms	0.3
Steel — Producers	0.2
Oil Companies — Integrated	0.2
Office Automation & Equipment	0.2
Finance — Investment Banker/Broker	0.2
Airlines	0.2
Television	0.2
Retail — Apparel/Shoe	0.2
Industrial Automated/Robotic	0.2
Medical Instruments	0.2
Electronic Connectors	0.2
Tools — Hand Held	0.2
Coatings/Paint	0.2
Medical — Generic Drugs	0.2
Agricultural Operations	0.2
Retail — Regional Department Stores	0.2
Commercial Services	0.2
Computers	0.2
Medical — Hospitals	0.2
Paper & Related Products	0.2
Distribution/Wholesale	0.2
Hotels/Motels	0.2
Agricultural Chemicals	0.2
Machinery — General Industrial	0.1
Engines — Internal Combustion	0.1
Oil Field Machinery & Equipment	0.1
Apparel Manufacturers	0.1
Internet Security	0.1
Home Decoration Products	0.1
Insurance Brokers	0.1
Entertainment Software	0.1
Appliances	0.1
Motorcycle/Motor Scooter	0.1
Telecom Services	0.1
Savings & Loans/Thrifts	0.1
Medical Information Systems	0.1
Wireless Equipment	0.1
Toys	0.1
Oil & Gas Drilling	0.1
Coffee	0.1
Electronic Measurement Instruments	0.1
Cruise Lines	0.1

	101.0	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 96.3%
Advertising Agencies — 0.3%
Interpublic Group of Cos., Inc.		12,204	$	261,044
Omnicom Group, Inc.		26,872		2,090,910

				2,351,954

Agricultural Chemicals — 0.2%
CF Industries Holdings, Inc.		11,405		415,826
Mosaic Co.		24,573		654,871

				1,070,697

Agricultural Operations — 0.2%
Archer-Daniels-Midland Co.		35,463		1,239,786

Airlines — 0.2%
Delta Air Lines, Inc.		28,016		1,351,492
Southwest Airlines Co.		4,938		207,149

				1,558,641

Apparel Manufacturers — 0.1%
VF Corp.		14,829		965,516

Appliances — 0.1%
Whirlpool Corp.		4,351		675,797

Applications Software — 3.5%
Citrix Systems, Inc.†		3,558		251,373
Intuit, Inc.		19,219		1,857,324
Microsoft Corp.		397,894		20,244,847
Red Hat, Inc.†		1,310		85,608
Salesforce.com, Inc.†		30,739		2,082,567

				24,521,719

Athletic Footwear — 0.5%
NIKE, Inc., Class B		60,708		3,739,006

Audio/Video Products — 0.0%
Harman International Industries, Inc.		2,132		163,482

Auto - Cars/Light Trucks — 0.6%
Ford Motor Co.		341,193		4,268,324

Auto - Heavy Duty Trucks — 0.3%
PACCAR, Inc.		36,270		1,867,905

Auto/Truck Parts & Equipment-Original — 0.6%
BorgWarner, Inc.		18,620		608,502
Delphi Automotive PLC		29,597		1,973,528
Johnson Controls, Inc.		43,570		1,588,562

				4,170,592

Banks - Commercial — 0.6%
BB&T Corp.		65,206		2,097,025
M&T Bank Corp.		13,947		1,430,265
Regions Financial Corp.		74,610		561,067

				4,088,357

Banks - Fiduciary — 0.9%
Bank of New York Mellon Corp.		116,409		4,119,714
Northern Trust Corp.		18,835		1,118,422
State Street Corp.		17,379		952,022

				6,190,158

Banks - Super Regional — 2.9%
Capital One Financial Corp.		36,905		2,425,766
Comerica, Inc.		30,552		1,032,047
Fifth Third Bancorp		155,600		2,374,456
Huntington Bancshares, Inc.		42,795		374,456
KeyCorp#		51,718		545,625
PNC Financial Services Group, Inc.		56,667		4,607,594
SunTrust Banks, Inc.		46,114		1,530,062
US Bancorp		189,458		7,297,922

				20,187,928



Security Description	Shares		Value (Note 2)


Beverages-Non-alcoholic — 2.1%
Coca-Cola Enterprises, Inc.		17,913	$	868,960
Dr Pepper Snapple Group, Inc.		15,893		1,454,686
Monster Beverage Corp.†		5,396		677,198
PepsiCo, Inc.		118,909		11,631,678

				14,632,522

Building Products - Cement — 0.0%
Vulcan Materials Co.		1,917		188,882

Building Products - Wood — 0.0%
Masco Corp.		12,078		340,600

Cable/Satellite TV — 1.8%
Comcast Corp., Class A		148,713		8,585,201
Time Warner Cable, Inc.		19,487		3,719,289

				12,304,490

Chemicals - Diversified — 0.7%
Eastman Chemical Co.		19,559		1,254,710
LyondellBasell Industries NV, Class A		17,200		1,379,612
PPG Industries, Inc.		23,186		2,238,144

				4,872,466

Chemicals - Specialty — 0.4%
Ecolab, Inc.		22,148		2,271,278
International Flavors & Fragrances, Inc.		8,059		832,414

				3,103,692

Coatings/Paint — 0.2%
Sherwin-Williams Co.		4,657		1,259,718

Coffee — 0.1%
Keurig Green Mountain, Inc.		4,570		420,166

Commercial Services — 0.2%
Nielsen Holdings PLC		22,844		1,149,967

Commercial Services - Finance — 1.5%
Automatic Data Processing, Inc.		44,099		3,734,744
H&R Block, Inc.		2,355		77,432
McGraw Hill Financial, Inc.		16,048		1,440,148
Moody’s Corp.		9,373		832,323
PayPal Holdings, Inc.†		63,362		2,416,627
Western Union Co.		88,478		1,615,608

				10,116,882

Computer Aided Design — 0.0%
Autodesk, Inc.†		4,946		255,906

Computer Services — 0.8%
Accenture PLC, Class A		28,857		2,893,203
Cognizant Technology Solutions Corp., Class A†		24,122		1,374,471
Hewlett Packard Enterprise Co.		106,712		1,416,068
Teradata Corp.†		3,325		82,959

				5,766,701

Computer Software — 0.0%
Akamai Technologies, Inc.†		3,402		183,606

Computers — 0.2%
HP, Inc.		106,712		1,140,751

Computers - Memory Devices — 0.9%
EMC Corp.		153,484		4,010,537
NetApp, Inc.		7,026		174,526
SanDisk Corp.		9,401		679,316
Seagate Technology PLC#		19,573		613,809
Western Digital Corp.		13,380		582,432

				6,060,620

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Consumer Products-Misc. — 0.6%
Kimberly-Clark Corp.		33,770	$	4,400,231

Cosmetics & Toiletries — 2.5%
Colgate-Palmolive Co.		90,365		5,931,559
Procter & Gamble Co.		140,267		11,262,037

				17,193,596

Cruise Lines — 0.1%
Royal Caribbean Cruises, Ltd.		5,489		408,217

Data Processing/Management — 0.5%
Fidelity National Information Services, Inc.		27,919		1,626,281
Fiserv, Inc.†		16,641		1,591,379
Paychex, Inc.		4,220		216,866

				3,434,526

Diagnostic Equipment — 2.0%
Abbott Laboratories		138,952		5,383,001
Danaher Corp.		61,390		5,480,285
Thermo Fisher Scientific, Inc.		24,913		3,218,510

				14,081,796

Dialysis Centers — 0.0%
DaVita HealthCare Partners, Inc.†		3,620		238,811

Distribution/Wholesale — 0.2%
Fastenal Co.#		15,084		683,154
WW Grainger, Inc.#		1,982		429,896

				1,113,050

Diversified Banking Institutions — 0.6%
Goldman Sachs Group, Inc.		25,999		3,887,630

Diversified Manufacturing Operations — 1.9%
3M Co.		47,331		7,424,814
Eaton Corp. PLC		41,717		2,365,771
Illinois Tool Works, Inc.		26,621		2,509,029
Parker-Hannifin Corp.		7,312		739,974
Pentair PLC		7,249		345,850

				13,385,438

E-Commerce/Products — 1.7%
Amazon.com, Inc.†		18,318		10,121,061
eBay, Inc.†		63,362		1,508,016

				11,629,077

E-Commerce/Services — 0.5%
Expedia, Inc.		2,780		289,426
Priceline Group, Inc.†		2,304		2,915,044

				3,204,470

Electric Products - Misc. — 0.5%
AMETEK, Inc.		3,247		150,693
Emerson Electric Co.		64,491		3,149,096

				3,299,789

Electric - Integrated — 1.4%
AES Corp.		49,232		482,474
CMS Energy Corp.		58,662		2,320,669
Eversource Energy		74,663		4,054,201
Pepco Holdings, Inc.		8,769		229,572
TECO Energy, Inc.		20,371		559,591
WEC Energy Group, Inc.		38,347		2,160,853

				9,807,360

Electronic Components - Misc. — 0.3%
Corning, Inc.		75,556		1,382,675
Garmin, Ltd.#		15,409		624,218

				2,006,893



Security Description	Shares		Value (Note 2)


Electronic Components - Semiconductors — 2.3%
Broadcom, Ltd.#		15,021	$	2,012,363
Intel Corp.		270,103		7,992,348
Microchip Technology, Inc.#		7,483		332,919
Micron Technology, Inc.†		39,222		416,930
NVIDIA Corp.		14,931		468,236
Texas Instruments, Inc.		86,464		4,584,321

				15,807,117

Electronic Connectors — 0.2%
TE Connectivity, Ltd.		23,655		1,346,443

Electronic Forms — 0.3%
Adobe Systems, Inc.†		21,188		1,804,158

Electronic Measurement Instruments — 0.1%
Agilent Technologies, Inc.		10,958		409,281

Engines - Internal Combustion — 0.1%
Cummins, Inc.		10,180		993,263

Enterprise Software/Service — 1.1%
CA, Inc.		27,903		817,279
Oracle Corp.		178,768		6,575,087

				7,392,366

Entertainment Software — 0.1%
Electronic Arts, Inc.†		10,628		682,743

Finance - Credit Card — 2.6%
Alliance Data Systems Corp.†		3,988		837,999
American Express Co.		57,742		3,209,300
Discover Financial Services		32,069		1,488,643
MasterCard, Inc., Class A		57,145		4,967,043
Visa, Inc., Class A		104,863		7,591,033

				18,094,018

Finance - Investment Banker/Broker — 0.2%
Charles Schwab Corp.		62,836		1,574,042

Finance - Other Services — 0.5%
CME Group, Inc.		24,376		2,228,942
Intercontinental Exchange, Inc.		6,614		1,577,174

				3,806,116

Food - Misc./Diversified — 2.0%
Campbell Soup Co.		1,778		109,791
ConAgra Foods, Inc.		12,812		538,873
General Mills, Inc.		81,087		4,771,970
Kellogg Co.		9,848		728,949
Kraft Heinz Co.		38,883		2,994,769
Mondelez International, Inc., Class A		120,559		4,886,256

				14,030,608

Food - Retail — 0.7%
Kroger Co.		105,180		4,197,734
Whole Foods Market, Inc.		13,342		417,738

				4,615,472

Food - Wholesale/Distribution — 0.4%
Sysco Corp.		59,026		2,604,817

Gas - Distribution — 0.9%
AGL Resources, Inc.		27,053		1,748,976
CenterPoint Energy, Inc.		22,382		416,977
NiSource, Inc.		36,845		791,431
Sempra Energy		30,985		2,990,362

				5,947,746

Home Decoration Products — 0.1%
Newell Rubbermaid, Inc.#		22,192		843,518

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Hotels/Motels — 0.2%
Marriott International, Inc., Class A#		6,919	$	471,530
Starwood Hotels & Resorts Worldwide, Inc.		8,905		615,424

				1,086,954

Industrial Automated/Robotic — 0.2%
Rockwell Automation, Inc.#		13,285		1,382,836

Industrial Gases — 0.5%
Air Products & Chemicals, Inc.		19,598		2,596,147
Airgas, Inc.		5,209		737,178

				3,333,325

Insurance Brokers — 0.1%
Aon PLC		1,065		101,484
Marsh & McLennan Cos., Inc.		10,268		585,789

				687,273

Insurance - Life/Health — 0.7%
Aflac, Inc.		35,412		2,107,722
Principal Financial Group, Inc.		11,542		436,403
Prudential Financial, Inc.		36,920		2,440,043

				4,984,168

Insurance - Multi-line — 1.8%
Allstate Corp.		37,523		2,381,210
Chubb, Ltd.		27,968		3,231,143
Cincinnati Financial Corp.		6,024		380,355
Hartford Financial Services Group, Inc.		20,221		851,708
Loews Corp.		55,265		2,008,883
MetLife, Inc.		84,849		3,356,626
XL Group PLC		4,633		159,283

				12,369,208

Insurance - Property/Casualty — 0.3%
Travelers Cos., Inc.		20,300		2,182,656

Insurance - Reinsurance — 1.8%
Berkshire Hathaway, Inc., Class B†		93,802		12,585,414

Internet Content - Entertainment — 1.6%
Facebook, Inc., Class A†		92,128		9,850,326
Netflix, Inc.†		15,407		1,439,168

				11,289,494

Internet Security — 0.1%
Symantec Corp.		45,635		881,212

Investment Management/Advisor Services — 0.8%
Ameriprise Financial, Inc.		12,211		1,025,114
BlackRock, Inc.		9,792		3,054,712
Franklin Resources, Inc.		20,511		735,319
Invesco, Ltd.		13,676		365,696
T. Rowe Price Group, Inc.		7,505		518,671

				5,699,512

Machinery - Construction & Mining — 0.5%
Caterpillar, Inc.		47,630		3,224,551

Machinery - Farming — 0.3%
Deere & Co.#		30,086		2,412,295

Machinery - General Industrial — 0.1%
Roper Technologies, Inc.		6,157		1,033,945

Medical Information Systems — 0.1%
Cerner Corp.†		9,543		487,266

Medical Instruments — 0.2%
Boston Scientific Corp.†		9,723		165,096
Edwards Lifesciences Corp.†		4,216		366,792



Security Description	Shares		Value (Note 2)


Medical Instruments (continued)
Intuitive Surgical, Inc.†		889	$	500,560
St. Jude Medical, Inc.		6,253		335,724

				1,368,172

Medical Products — 0.5%
Baxter International, Inc.		31,938		1,261,871
Becton Dickinson and Co.		7,289		1,074,763
Stryker Corp.		12,524		1,250,897

				3,587,531

Medical - Biomedical/Gene — 3.2%
Alexion Pharmaceuticals, Inc.†		8,732		1,229,466
Amgen, Inc.		44,423		6,320,505
Biogen, Inc.†		10,724		2,782,020
Celgene Corp.†		37,522		3,783,343
Gilead Sciences, Inc.		68,865		6,008,471
Regeneron Pharmaceuticals, Inc.†		3,452		1,325,637
Vertex Pharmaceuticals, Inc.†		9,364		800,528

				22,249,970

Medical - Drugs — 6.1%
AbbVie, Inc.		171,651		9,373,861
Allergan PLC†		21,366		6,198,490
Baxalta, Inc.		31,938		1,230,252
Bristol-Myers Squibb Co.		88,683		5,492,138
Endo International PLC†		6,372		266,414
Johnson & Johnson		176,549		18,574,720
Zoetis, Inc.		33,254		1,365,409

				42,501,284

Medical - Generic Drugs — 0.2%
Mylan NV†#		12,336		555,984
Perrigo Co. PLC		5,566		702,707

				1,258,691

Medical - HMO — 1.9%
Aetna, Inc.		14,848		1,612,938
Anthem, Inc.		10,810		1,412,759
Cigna Corp.		11,462		1,600,210
Humana, Inc.		7,755		1,372,403
UnitedHealth Group, Inc.		58,632		6,983,071

				12,981,381

Medical - Hospitals — 0.2%
HCA Holdings, Inc.†		16,244		1,124,247

Medical - Wholesale Drug Distribution — 0.8%
AmerisourceBergen Corp.		20,567		1,781,514
Cardinal Health, Inc.		20,920		1,709,164
McKesson Corp.		12,746		1,983,532

				5,474,210

Motorcycle/Motor Scooter — 0.1%
Harley-Davidson, Inc.		13,181		569,024

Multimedia — 2.4%
Time Warner, Inc.		49,528		3,278,754
Twenty-First Century Fox, Inc., Class A		90,223		2,437,825
Viacom, Inc., Class B		32,225		1,187,491
Walt Disney Co.		100,359		9,586,292

				16,490,362

Networking Products — 1.1%
Cisco Systems, Inc.		305,307		7,992,937

Non-Hazardous Waste Disposal — 0.5%
Republic Services, Inc.		42,928		1,961,810
Waste Management, Inc.		25,579		1,428,587

				3,390,397

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Office Automation & Equipment — 0.2%
Pitney Bowes, Inc.		13,968	$	253,100
Xerox Corp.		140,125		1,346,601

				1,599,701

Oil & Gas Drilling — 0.1%
Ensco PLC, Class A#		48,960		424,483

Oil Companies - Exploration & Production — 1.0%
Anadarko Petroleum Corp.		28,974		1,099,563
Apache Corp.		38,248		1,464,133
Cabot Oil & Gas Corp.		11,446		230,408
Chesapeake Energy Corp.#		35,208		91,893
Devon Energy Corp.		34,331		675,634
EOG Resources, Inc.		30,897		2,000,272
EQT Corp.		7,872		438,785
Noble Energy, Inc.		7,726		227,917
Pioneer Natural Resources Co.		6,458		778,383

				7,006,988

Oil Companies - Integrated — 0.2%
Marathon Oil Corp.		108,246		888,700
Murphy Oil Corp.#		41,807		718,244

				1,606,944

Oil Field Machinery & Equipment — 0.1%
National Oilwell Varco, Inc.		33,660		985,228

Oil Refining & Marketing — 0.8%
Marathon Petroleum Corp.		19,530		668,903
Phillips 66		42,027		3,336,524
Valero Energy Corp.		30,306		1,820,784

				5,826,211

Oil - Field Services — 0.8%
Baker Hughes, Inc.		18,793		805,656
Schlumberger, Ltd.		66,857		4,794,984

				5,600,640

Paper & Related Products — 0.2%
International Paper Co.		31,337		1,118,731

Pharmacy Services — 0.4%
Express Scripts Holding Co.†		39,140		2,754,673

Pipelines — 1.1%
Columbia Pipeline Group, Inc.		36,845		668,736
Kinder Morgan, Inc.		121,187		2,192,273
ONEOK, Inc.		25,861		620,664
Spectra Energy Corp.		125,039		3,651,139
Williams Cos., Inc.		54,892		877,723

				8,010,535

Publishing - Newspapers — 0.0%
News Corp., Class A		11,319		122,472

Real Estate Investment Trusts — 3.5%
American Tower Corp.		34,884		3,216,305
AvalonBay Communities, Inc.		3,894		668,366
Boston Properties, Inc.		4,161		474,937
Crown Castle International Corp.		46,061		3,984,276
Equity Residential		31,050		2,312,915
General Growth Properties, Inc.		19,039		523,953
HCP, Inc.		44,743		1,323,498
Host Hotels & Resorts, Inc.		48,343		740,131
Macerich Co.		4,196		331,820
Prologis, Inc.		21,297		819,083
Public Storage		5,377		1,341,508
Simon Property Group, Inc.		26,848		5,093,871



Security Description	Shares		Value (Note 2)


Real Estate Investment Trusts (continued)
Ventas, Inc.		10,682	$	594,667
Vornado Realty Trust		12,768		1,102,644
Welltower, Inc.		17,455		1,113,280
Weyerhaeuser Co.		20,390		529,732

				24,170,986

Real Estate Management/Services — 0.0%
CBRE Group, Inc., Class A†		2,702		68,658

Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		2,286		117,889

Retail - Apparel/Shoe — 0.2%
Gap, Inc.#		15,872		438,861
L Brands, Inc.		11,680		990,347

				1,429,208

Retail - Automobile — 0.0%
CarMax, Inc.†#		3,681		170,283

Retail - Building Products — 1.8%
Home Depot, Inc.		78,570		9,752,109
Lowe’s Cos., Inc.		44,259		2,988,810

				12,740,919

Retail - Consumer Electronics — 0.0%
Best Buy Co., Inc.		7,266		235,346

Retail - Discount — 1.3%
Costco Wholesale Corp.		37,184		5,578,716
Target Corp.		45,281		3,552,294

				9,131,010

Retail - Drug Store — 1.5%
CVS Health Corp.		67,391		6,548,383
Walgreens Boots Alliance, Inc.		46,192		3,646,397

				10,194,780

Retail - Jewelry — 0.0%
Tiffany & Co.		1,850		120,213

Retail - Major Department Stores — 0.4%
TJX Cos., Inc.		39,846		2,952,589

Retail - Office Supplies — 0.0%
Staples, Inc.		30,753		290,616

Retail - Regional Department Stores — 0.2%
Kohl’s Corp.		3,340		155,878
Macy’s, Inc.		23,549		1,017,552

				1,173,430

Retail - Restaurants — 2.9%
Chipotle Mexican Grill, Inc.†		725		369,141
Darden Restaurants, Inc.		6,709		428,571
McDonald’s Corp.		108,826		12,753,319
Starbucks Corp.		78,825		4,588,403
Yum! Brands, Inc.		29,101		2,108,950

				20,248,384

Rubber - Tires — 0.0%
Goodyear Tire & Rubber Co.		4,867		146,594

Savings & Loans/Thrifts — 0.1%
People’s United Financial, Inc.#		33,927		495,673

Semiconductor Components - Integrated Circuits — 1.0%
Analog Devices, Inc.		37,420		1,982,886
QUALCOMM, Inc.		93,801		4,764,153

				6,747,039

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Semiconductor Equipment — 0.3%
Applied Materials, Inc.		64,853	$	1,223,776
KLA-Tencor Corp.		17,343		1,174,815

				2,398,591

Steel - Producers — 0.2%
Nucor Corp.		41,655		1,638,708

Telecom Services — 0.1%
Level 3 Communications, Inc.†		10,841		526,331

Telecommunication Equipment — 0.0%
Juniper Networks, Inc.		13,654		337,254

Telephone - Integrated — 0.6%
AT&T, Inc.		59,878		2,212,492
CenturyLink, Inc.		46,675		1,427,788
Frontier Communications Corp.#		110,966		600,326

				4,240,606

Television — 0.2%
CBS Corp., Class B		30,146		1,458,463

Tools - Hand Held — 0.2%
Stanley Black & Decker, Inc.		13,862		1,303,167

Toys — 0.1%
Mattel, Inc.#		13,206		429,459

Transport - Rail — 0.8%
CSX Corp.		28,533		688,787
Norfolk Southern Corp.		10,465		765,724
Union Pacific Corp.		53,201		4,195,431

				5,649,942

Transport - Services — 1.0%
FedEx Corp.		10,442		1,429,301
United Parcel Service, Inc., Class B		56,811		5,485,102

				6,914,403

Vitamins & Nutrition Products — 0.0%
Mead Johnson Nutrition Co.		4,160		306,842

Web Portals/ISP — 4.3%
Alphabet, Inc., Class A†		14,296		10,253,377
Alphabet, Inc., Class C†		26,767		18,677,210
Yahoo!, Inc.†		40,009		1,271,886

				30,202,473



Security Description	Shares/ Principal Amount			Value (Note 2)


Wireless Equipment — 0.1%
Motorola Solutions, Inc.		6,303		$	463,207

Total Long-Term Investment Securities
(cost $563,966,817)					670,887,407

SHORT-TERM INVESTMENT SECURITIES — 4.2%
Registered Investment Companies — 1.2%
State Street Navigator Securities Lending Prime Portfolio 0.49%(1)(2)		8,068,923			8,068,923

U.S. Government Treasuries — 3.0%
United States Treasury Bills
0.20% due 03/10/2016	$	13,000,000			12,999,441
0.25% due 03/03/2016		5,000,000			4,999,960
0.26% due 03/17/2016(3)		3,200,000			3,199,690

					21,199,091

Total Short-Term Investment Securities
(cost $29,267,843)					29,268,014

REPURCHASE AGREEMENTS — 0.5%
State Street Bank and Trust Co. Joint Repurchase Agreement(4) (cost $3,442,000)		3,442,000			3,442,000

TOTAL INVESTMENTS
(cost $596,676,660)(5)		101.0	%		703,597,421
Liabilities in excess of other assets		(1.0	)		(6,979,044	)

NET ASSETS		100.0	%	$	696,618,377

†	Non-income producing security

#	The security or a portion thereof is out on loan; see Note 2.

(1)

At February 29, 2016, the Fund had loaned securities with a total value of $10,871,836. This was secured by collateral of $8,068,923, which was received in cash and subsequently invested in short-term investments currently valued at $8,068,923 as reported in the Portfolio of Investments. Additional collateral of $3,111,200 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly are not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2016
United States Treasury Bills	0.00%	04/07/2016 to 01/05/2017	$192,374
United States Treasury Notes/Bonds	zero coupon to 8.88%	04/15/2016 to 02/15/2045	2,918,826

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

Industry Allocation*


United States Treasury Notes	8.5	%
Time Deposits	8.2
Sovereign	7.8
Diversified Banking Institutions	6.9
Federal National Mtg. Assoc.	6.6
Banks — Commercial	4.6
Registered Investment Companies	4.1
Electric — Integrated	2.7
Telephone — Integrated	2.6
Federal Home Loan Mtg. Corp.	2.2
Oil Companies — Exploration & Production	1.9
Cable/Satellite TV	1.7
Oil Companies — Integrated	1.5
Medical — Drugs	1.4
Pipelines	1.3
Cellular Telecom	1.3
Real Estate Investment Trusts	1.3
Auto — Cars/Light Trucks	1.2
Medical — Hospitals	1.2
Diversified Financial Services	1.2
Paper & Related Products	1.1
Casino Hotels	0.9
United States Treasury Bonds	0.8
Brewery	0.8
Aerospace/Defense — Equipment	0.7
Finance — Consumer Loans	0.7
Retail — Restaurants	0.7
Finance — Auto Loans	0.7
Airlines	0.7
Electronic Components — Semiconductors	0.7
Finance — Leasing Companies	0.6
Savings & Loans/Thrifts	0.6
Food — Retail	0.6
Chemicals — Diversified	0.6
Cruise Lines	0.6
Banks — Super Regional	0.6
Insurance — Multi-line	0.5
Aerospace/Defense	0.5
Printing — Commercial	0.5
Diversified Manufacturing Operations	0.5
Insurance — Life/Health	0.5
Oil Refining & Marketing	0.5
Publishing — Periodicals	0.5
Independent Power Producers	0.5
Investment Management/Advisor Services	0.5
Banks — Money Center	0.5
Computers	0.5
Auto/Truck Parts & Equipment — Original	0.4
Finance — Other Services	0.4
Electric — Generation	0.4
Containers — Metal/Glass	0.4
Steel — Producers	0.4
Gambling (Non-Hotel)	0.4
Diversified Minerals	0.4
Real Estate Operations & Development	0.4
Satellite Telecom	0.4
Medical — HMO	0.4
Data Processing/Management	0.4
Insurance — Mutual	0.4
Food — Dairy Products	0.3
Networking Products	0.3
Wire & Cable Products	0.3
Music	0.3
Commercial Services — Finance	0.3
Computer Services	0.3
Finance — Credit Card	0.3
Machinery — Farming	0.3
Publishing — Newspapers	0.3
Distribution/Wholesale	0.3


Medical Labs & Testing Services			0.3
Containers — Paper/Plastic			0.3
Auto — Heavy Duty Trucks			0.3
Alternative Waste Technology			0.3
Building Products — Cement			0.3
Broadcast Services/Program			0.2
Airport Development/Maintenance			0.2
Government National Mtg. Assoc.			0.2
Building & Construction — Misc.			0.2
Food — Meat Products			0.2
Municipal Bonds & Notes			0.2
Finance — Mortgage Loan/Banker			0.2
Rental Auto/Equipment			0.2
Electric — Distribution			0.2
Medical Products			0.2
Disposable Medical Products			0.2
Theaters			0.2
Food — Misc./Diversified			0.2
Specified Purpose Acquisitions			0.2
Energy — Alternate Sources			0.2
Batteries/Battery Systems			0.2
Medical — Biomedical/Gene			0.2
Industrial Gases			0.2
Travel Services			0.2
Banks — Fiduciary			0.2
Retail — Computer Equipment			0.2
Retail — Discount			0.2
Publishing — Books			0.2
Building — Residential/Commercial			0.2
SupraNational Banks			0.2
Internet Connectivity Services			0.2
Chemicals — Specialty			0.2
Finance — Commercial			0.2
Internet Content — Entertainment			0.2
Hotels/Motels			0.2
Dialysis Centers			0.2
Real Estate Management/Services			0.2
Medical — Generic Drugs			0.2
Financial Guarantee Insurance			0.2
Computer Software			0.2
Human Resources			0.2
Coatings/Paint			0.2
Marine Services			0.2
Insurance Brokers			0.2
Multimedia			0.2
Agricultural Chemicals			0.2
Retail — Drug Store			0.2
Food — Wholesale/Distribution			0.2
Retail — Pawn Shops			0.2
Food — Flour & Grain			0.2
E-Commerce/Services			0.2
Gold Mining			0.1
Retail — Appliances			0.1
Gas — Distribution			0.1
Petrochemicals			0.1
Beverages — Non-alcoholic			0.1
Machinery — General Industrial			0.1
Telecom Services			0.1
Security Services			0.1
Retail — Major Department Stores			0.1
Tools — Hand Held			0.1
Computers — Integrated Systems			0.1
Radio			0.1
Building & Construction Products — Misc.			0.1
Consumer Products — Misc.			0.1
Rubber — Tires			0.1
Beverages — Wine/Spirits			0.1
Educational Software			0.1
Cosmetics & Toiletries			0.1

PORTFOLIO PROFILE — February 29, 2016 (unaudited) — (continued)

Industry Allocation* (continued)


Oil — Field Services	0.1	%
Coal	0.1
Steel Pipe & Tube	0.1
Schools	0.1
Building Products — Wood	0.1
Transport — Rail	0.1
Diagnostic Equipment	0.1
Oil & Gas Drilling	0.1
Firearms & Ammunition	0.1
Chemicals — Plastics	0.1
Retail — Building Products	0.1
Electronic Components — Misc.	0.1
Insurance — Reinsurance	0.1
Electric — Transmission	0.1
Appliances	0.1
Applications Software	0.1
E-Commerce/Products	0.1
Finance — Investment Banker/Broker	0.1
Machinery — Construction & Mining	0.1
Metal — Iron	0.1
Pharmacy Services	0.1
Insurance — Property/Casualty	0.1
Metal — Diversified	0.1
Gas — Transportation	0.1
Engineering/R&D Services	0.1
Power Converter/Supply Equipment	0.1
Transport — Marine	0.1
Tennessee Valley Authority	0.1
Building Societies	0.1
Metal — Copper	0.1
Enterprise Software/Service	0.1

	108.5	%

Credit Quality†#


Aaa	21.2	%
Aa	3.9
A	13.4
Baa	17.4
Ba	15.7
B	16.6
Caa	7.8
Ca	0.1
Not Rated@	3.9

	100.0	%

*	Calculated as a percentage of net assets

†	Source: Moody’s

#	Calculated as a percentage of total debt issues

@	Represents debt issues that either have no rating, or the rating is unavailable from the data source.



Security Description	Principal Amount(3)		Value (Note 2)

ASSET BACKED SECURITIES — 0.8%
Diversified Financial Services — 0.8%
American Express Credit Account Master Trust Series 2014-3, Class A 1.49% due 04/15/2020	$	100,000	$	100,528
AmeriCredit Automobile Receivables Trust Series 2013-3, Class D 3.00% due 07/08/2019		115,000		116,794
Applebee’s Funding LLC/IHOP Funding LLC Series 2014-1, Class A2 4.28% due 09/05/2044*		87,000		87,366
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.01% due 10/25/2034		149,265		138,348
B2R Mtg. Trust Series 2015-1, Class A1 2.52% due 05/15/2048*		106,084		105,090
BA Credit Card Trust Series 2015-A2, Class A 1.36% due 09/15/2020		134,000		134,318
CarMax Auto Owner Trust Series 2014-2, Class C 2.08% due 01/15/2020		54,000		54,285
Chase Issuance Trust FRS Series 2014-A5, Class A5 0.80% due 04/15/2021		241,000		240,408
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A2 2.79% due 03/10/2047(1)		226,000		231,280
Citigroup Commercial Mtg. Trust Series 2014-GC23, Class A2 2.85% due 07/10/2047(1)		172,000		176,510
Commercial Mtg. Trust VRS Series 2016-787S, Class A VRS 3.55% due 02/10/2036*(1)(5)		100,000		102,992
Commercial Mtg. Trust Series 2015-DC1, Class A2 2.87% due 02/10/2048(1)		80,000		82,253
Core Industrial Trust Series 2015-1, Class A 3.04% due 02/10/2034*(1)		207,000		209,358
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-6, Class 1A11 5.25% due 02/25/2026(2)		60,604		60,846
CSMC Trust Series 2015-GLPA, Class A 3.88% due 11/15/2037*(1)		950,000		1,010,130
DB Master Finance LLC Series 2015-1A, Class A2II 3.98% due 02/20/2045*		67,320		66,398
Dell Equipment Finance Trust Series 2015-1, Class A3 1.30% due 03/23/2020*		134,000		133,476
Discover Card Execution Note Trust Series 2015-A4, Class A1 2.19% due 04/17/2023		675,000		685,925
First Franklin Mtg. Loan Trust FRS Series 2006-FF15, Class A5 0.60% due 11/25/2036		165,360		142,069
Ford Credit Auto Owner Trust Series 2014-C, Class B 1.97% due 04/15/2020		119,000		120,322
Ford Credit Auto Owner Trust* Series 2015-2, Class A 2.44% due 01/15/2027		120,000		121,469



Security Description	Principal Amount(3)		Value (Note 2)


Diversified Financial Services (continued)
GS Mtg. Securities Trust Series 2015-GC28, Class A2 2.90% due 02/10/2048(1)	$	75,000	$	77,247
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C19, Class A2 3.10% due 12/15/2047(1)		229,000		239,249
Nissan Auto Lease Trust Series 2014-A, Class A4 1.04% due 10/15/2019		295,000		294,932
Santander Drive Auto Receivables Trust Series 2014-5, Class C 2.46% due 06/15/2020		242,000		241,836
Sierra Timeshare Receivables Funding LLC Series 2014-2A, Class A 2.05% due 06/20/2031*		43,792		43,937
Sierra Timeshare Receivables Funding LLC Series 2015-2A, Class A 2.43% due 06/20/2032*		68,284		68,167
Synchrony Credit Card Master Note Trust Series 2015-3, Class A 1.74% due 09/15/2021		125,000		124,992
Wells Fargo Commercial Mtg. Trust Series BH3-C26, Class A2 2.66% due 02/15/2048(1)		200,000		204,359
Wells Fargo Commercial Mtg. Trust Series 2015-P2, Class A4 3.81% due 12/15/2048(1)		300,000		319,242
Wendys Funding LLC Series 2015-1A, Class A2I 3.37% due 06/15/2045*		109,725		106,949
Wendys Funding LLC Series 2015-1A, Class A23 4.50% due 06/15/2045*		59,850		58,300

Total Asset Backed Securities
(cost $5,858,332)				5,899,375

U.S. CORPORATE BONDS & NOTES — 44.5%
Advertising Agencies — 0.0%
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024		358,000		357,539

Aerospace/Defense — 0.3%
BAE Systems Holdings, Inc. Company Guar. Notes 3.80% due 10/07/2024*		651,000		665,326
BAE Systems Holdings, Inc. Company Guar. Notes 4.75% due 10/07/2044*		294,000		300,968
Boeing Co. Senior Notes 0.95% due 05/15/2018		588,000		583,466
Boeing Co. Senior Notes 2.20% due 10/30/2022		465,000		461,024
Lockheed Martin Corp. Senior Notes 4.70% due 05/15/2046		212,000		227,949

				2,238,733

Aerospace/Defense - Equipment — 0.7%
Harris Corp. Senior Notes 4.85% due 04/27/2035		587,000		586,134

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Aerospace/Defense - Equipment (continued)
Harris Corp. Senior Notes 5.05% due 04/27/2045	$	556,000	$	569,747
Moog, Inc. Company Guar. Notes 5.25% due 12/01/2022*		1,488,000		1,458,240
Orbital ATK, Inc. Company Guar. Notes 5.25% due 10/01/2021		1,439,000		1,465,981
Orbital ATK, Inc. Company Guar. Notes 5.50% due 10/01/2023*		981,000		1,012,883
United Technologies Corp. Senior Notes 1.88% due 02/22/2026	EUR	205,000		221,883

				5,314,868

Airlines — 0.5%
Allegiant Travel Co. Company Guar. Notes 5.50% due 07/15/2019		1,288,000		1,291,220
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 01/02/2018(5)		57,228		57,800
United Airlines Pass-Through Trust Pass-Through Certs Series 2014-2, Class B 4.63% due 03/03/2024		1,200,000		1,206,000
United Airlines Pass-Through Trust Pass-Through Certs Series 2013-1, Class B 5.38% due 02/15/2023		1,192,562		1,210,450

				3,765,470

Alternative Waste Technology — 0.3%
ADS Waste Holdings, Inc. Company Guar. Notes 8.25% due 10/01/2020		1,899,000		1,861,020

Applications Software — 0.1%
Microsoft Corp. Senior Notes 1.30% due 11/03/2018		503,000		505,160

Auto - Cars/Light Trucks — 0.6%
American Honda Finance Corp. Senior Notes 1.20% due 07/14/2017		898,000		896,108
American Honda Finance Corp. Senior Notes 2.63% due 10/14/2022	GBP	290,000		412,349
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020*		994,000		985,764
Daimler Finance North America LLC Company Guar. Notes 2.63% due 09/15/2016*		344,000		346,329
Ford Motor Credit Co. LLC Senior Notes 1.50% due 01/17/2017		479,000		476,953
Hyundai Capital America Senior Notes 2.40% due 10/30/2018*		1,208,000		1,211,409



Security Description	Principal Amount(3)		Value (Note 2)


Auto - Cars/Light Trucks (continued)
Toyota Motor Credit Corp. Senior Notes 1.55% due 07/13/2018	$	402,000	$	402,075

				4,730,987

Auto - Heavy Duty Trucks — 0.3%
JB Poindexter & Co., Inc. Senior Notes 9.00% due 04/01/2022*		1,675,000		1,716,875
PACCAR Financial Corp. Senior Notes 1.65% due 02/25/2019		166,000		166,096

				1,882,971

Auto/Truck Parts & Equipment - Original — 0.3%
Affinia Group, Inc. Company Guar. Notes 7.75% due 05/01/2021		1,100,000		1,133,000
Omega US Sub LLC Senior Notes 8.75% due 07/15/2023*		1,509,000		1,365,645

				2,498,645

Banks - Commercial — 0.9%
Bank of Nova Scotia/The Sub. Notes 4.50% due 12/16/2025		617,000		604,028
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025		1,188,000		1,191,188
First Horizon National Corp. Senior Notes 3.50% due 12/15/2020		1,469,000		1,458,395
First Tennessee Bank NA Senior Notes 2.95% due 12/01/2019		674,000		670,952
KeyBank NA Senior Notes 2.25% due 03/16/2020		393,000		390,234
Regions Financial Corp. Senior Notes 3.20% due 02/08/2021		572,000		569,165
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		937,000		1,206,950
Woori Bank Sub. Notes 4.75% due 04/30/2024		550,000		566,923

				6,657,835

Banks - Fiduciary — 0.1%
Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022*		842,000		862,098

Banks - Super Regional — 0.4%
SunTrust Banks, Inc. Senior Notes 2.90% due 03/03/2021		390,000		389,154
Wells Fargo & Co Senior Notes 1.50% due 09/12/2022	EUR	700,000		785,807
Wells Fargo & Co. Sub. Notes 4.10% due 06/03/2026		372,000		384,191

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Banks - Super Regional (continued)
Wells Fargo & Co. Sub. Notes 4.30% due 07/22/2027	$	948,000	$	983,751
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045		195,000		197,671

				2,740,574

Batteries/Battery Systems — 0.2%
EnerSys Company Guar. Notes 5.00% due 04/30/2023*#		1,628,000		1,550,670

Brewery — 0.7%
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 1.90% due 02/01/2019		394,000		397,705
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.65% due 02/01/2021		738,000		750,539
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023		323,000		331,920
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026		456,000		470,692
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036		1,345,000		1,410,028
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 1.38% due 07/15/2017		1,644,000		1,647,801

				5,008,685

Broadcast Services/Program — 0.2%
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes Series A 6.50% due 11/15/2022		1,867,000		1,694,303

Building & Construction Products - Misc. — 0.1%
Building Materials Corp. of America Senior Notes 6.00% due 10/15/2025*		526,000		534,548
GCP Applied Technologies, Inc. Company Guar. Notes 9.50% due 02/01/2023		333,000		356,310

				890,858

Building & Construction - Misc. — 0.2%
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023		1,971,000		1,835,494

Building Products - Cement — 0.2%
Cemex Finance LLC Senior Sec. Notes 6.00% due 04/01/2024*#		1,324,000		1,195,042

Building Products - Wood — 0.1%
Masco Corp. Senior Notes 4.45% due 04/01/2025		789,000		783,572

Cable/Satellite TV — 1.0%
Altice US Finance I Corp Senior Sec. Notes 5.38% due 07/15/2023*		700,000		708,750



Security Description	Principal Amount(3)		Value (Note 2)


Cable/Satellite TV (continued)
Cable One, Inc. Company Guar. Notes 5.75% due 06/15/2022*	$	1,817,000	$	1,821,542
CCO Holdings LLC Company Guar. Notes 5.88% due 04/01/2024*#		1,250,000		1,276,563
CCO Safari II LLC Senior Sec. Notes 3.58% due 07/23/2020*		707,000		708,408
CCO Safari II LLC Senior Sec. Notes 6.38% due 10/23/2035*		328,000		342,590
CCOH Safari LLC Senior Notes 5.75% due 02/15/2026*		1,280,000		1,283,366
Comcast Corp. Company Guar. Notes 5.50% due 11/23/2029	GBP	315,000		537,501
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		1,000,000		885,000

				7,563,720

Casino Hotels — 0.9%
Caesars Entertainment Resort Properties LLC Senior Sec. Notes 8.00% due 10/01/2020		1,716,000		1,677,390
Caesars Entertainment Resort Properties LLC Sec. Notes 11.00% due 10/01/2021#		1,905,000		1,643,062
Downstream Development Authority of the Quapaw Tribe of Oklahoma Senior Sec. Notes 10.50% due 07/01/2019*		1,520,000		1,440,200
Golden Nugget Escrow, Inc. Senior Notes 8.50% due 12/01/2021*		1,229,000		1,173,695
Seminole Hard Rock Entertainment, Inc./Seminole Hard Rock International LLC Company Guar. Notes 5.88% due 05/15/2021*		600,000		597,000

				6,531,347

Cellular Telecom — 1.1%
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		8,104,000		6,098,260
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		707,000		726,442
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2026		1,305,000		1,322,448

				8,147,150

Chemicals - Diversified — 0.3%
Eco Services Operations LLC/Eco Finance Corp. Senior Notes 8.50% due 11/01/2022*		1,485,000		1,329,075
Solvay Finance America LLC Company Guar. Notes 4.45% due 12/03/2025*		770,000		772,278

				2,101,353

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Chemicals - Plastics — 0.0%
A. Schulman, Inc. Company Guar. Notes 6.88% due 06/01/2023*	$	94,000	$	89,300

Chemicals - Specialty — 0.2%
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		319,000		410,722
Tronox Finance LLC Company Guar. Notes 7.50% due 03/15/2022*		1,584,000		978,120

				1,388,842

Coal — 0.1%
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.38% due 02/01/2020*		1,349,000		849,870

Coatings/Paint — 0.2%
RPM International, Inc. Senior Notes 5.25% due 06/01/2045		991,000		975,972
Valspar Corp. Senior Notes 3.95% due 01/15/2026		255,000		257,622

				1,233,594

Commercial Services - Finance — 0.3%
Automatic Data Processing, Inc. Senior Notes 2.25% due 09/15/2020		295,000		300,996
Harland Clarke Holdings Corp. Senior Sec. Notes 6.88% due 03/01/2020*		946,000		770,990
Harland Clarke Holdings Corp. Senior Notes 9.25% due 03/01/2021*		2,099,000		1,374,845

				2,446,831

Computer Services — 0.3%
Hewlett Packard Enterprise Co. Company Guar. Notes 4.90% due 10/15/2025*		566,000		537,159
Hewlett Packard Enterprise Co. Company Guar. Notes 6.20% due 10/15/2035*		661,000		572,772
Hewlett Packard Enterprise Co. Company Guar. Notes 6.35% due 10/15/2045*		601,000		512,522
International Business Machines Corp. Senior Notes 1.75% due 03/07/2028	EUR	290,000		311,874
International Business Machines Corp. Senior Notes 3.45% due 02/19/2026		350,000		356,213

				2,290,540

Computer Software — 0.2%
Rackspace Hosting, Inc. Company Guar. Notes 6.50% due 01/15/2024*		1,345,000		1,267,663



Security Description	Principal Amount(3)		Value (Note 2)


Computers — 0.5%
Apple, Inc. Senior Notes 2.85% due 05/06/2021	$	874,000	$	910,428
Apple, Inc. Senior Notes 2.85% due 02/23/2023		581,000		594,128
Apple, Inc. Senior Notes 3.05% due 07/31/2029	GBP	275,000		379,896
Apple, Inc. Senior Notes 4.50% due 02/23/2036		631,000		658,435
Hewlett-Packard Co. Senior Notes 6.00% due 09/15/2041		1,025,000		845,148

				3,388,035

Computers - Integrated Systems — 0.1%
Everi Payments, Inc. Senior Notes 10.00% due 01/15/2022		1,148,000		941,360

Consumer Products - Misc. — 0.0%
Kimberly-Clark Corp. Senior Notes 1.85% due 03/01/2020		224,000		224,587

Containers - Metal/Glass — 0.4%
Ball Corp. Company Guar. Notes 4.38% due 12/15/2020		837,000		874,665
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026		1,198,000		1,278,865
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025#*		1,065,000		1,038,375

				3,191,905

Containers - Paper/Plastic — 0.3%
Berry Plastics Corp. Sec. Notes 5.13% due 07/15/2023		1,070,000		1,070,000
Brambles USA, Inc. Company Guar. Notes 4.13% due 10/23/2025*		243,000		245,646
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. Company Guar. Notes 10.13% due 07/15/2020*		1,046,000		805,420

				2,121,066

Cosmetics & Toiletries — 0.1%
Colgate-Palmolive Co. FRS Senior Notes 0.05% due 05/14/2019	EUR	500,000		542,925
Procter & Gamble Co. Senior Notes 1.13% due 11/02/2023	EUR	280,000		314,598

				857,523

Data Processing/Management — 0.4%
Fidelity National Information Services, Inc. Senior Notes 5.00% due 10/15/2025		249,000		258,719

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Data Processing/Management (continued)
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023*	$	350,000	$	364,000
First Data Corp. Sec. Notes 5.75% due 01/15/2024*		2,086,000		2,099,037

				2,721,756

Diagnostic Equipment — 0.1%
Danaher Corp. Senior Notes 3.35% due 09/15/2025		428,000		451,029
Danaher Corp. Senior Notes 4.38% due 09/15/2045		237,000		254,666

				705,695

Dialysis Centers — 0.2%
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.13% due 07/15/2024		1,325,000		1,348,188

Disposable Medical Products — 0.1%
Sterigenics-Nordion Holdings LLC Senior Notes 6.50% due 05/15/2023*		758,000		712,520

Distribution/Wholesale — 0.3%
H&E Equipment Services, Inc. Company Guar. Notes 7.00% due 09/01/2022#		1,320,000		1,257,300
LKQ Corp. Company Guar. Notes 4.75% due 05/15/2023		987,000		947,520

				2,204,820

Diversified Banking Institutions — 3.0%
Bank of America Corp. Senior Notes 2.50% due 07/27/2020	EUR	800,000		930,027
Bank of America Corp. Senior Notes 2.60% due 01/15/2019		755,000		758,742
Bank of America Corp. Senior Notes 2.63% due 10/19/2020		362,000		358,850
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025		603,000		581,155
Bank of America Corp. Sub. Notes 4.25% due 10/22/2026		788,000		777,681
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		748,000		814,124
Bank of America Corp. Senior Notes 7.00% due 07/31/2028	GBP	200,000		368,230
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025		49,000		56,318
Citigroup, Inc. Senior Notes 1.75% due 05/01/2018		1,330,000		1,317,526
Citigroup, Inc. Sub. Notes 3.88% due 03/26/2025		244,000		233,770



Security Description	Principal Amount(3)		Value (Note 2)


Diversified Banking Institutions (continued)
Citigroup, Inc. Sub. Notes 4.40% due 06/10/2025	$	599,000	$	595,826
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		525,000		516,506
Citigroup, Inc. Senior Notes 5.15% due 05/21/2026	GBP	60,000		95,105
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033		344,000		361,394
Goldman Sachs Group, Inc. Senior Notes 2.13% due 09/30/2024	EUR	525,000		582,164
Goldman Sachs Group, Inc. Senior Notes 2.63% due 08/19/2020	EUR	500,000		580,441
Goldman Sachs Group, Inc. Senior Notes 3.63% due 01/22/2023		713,000		725,014
Goldman Sachs Group, Inc. Sub. Notes 4.25% due 10/21/2025		745,000		741,201
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045		217,000		220,742
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045		258,000		245,975
Goldman Sachs Group, Inc. Sub. Notes 6.13% due 05/14/2017	GBP	300,000		435,905
Goldman Sachs Group, Inc. Senior Notes 6.13% due 02/15/2033		736,000		860,424
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		1,176,000		1,344,086
JPMorgan Chase & Co. Senior Notes 2.20% due 10/22/2019		1,020,000		1,019,330
JPMorgan Chase & Co. Senior Notes 2.63% due 04/23/2021	EUR	700,000		827,742
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022		471,000		478,509
JPMorgan Chase & Co. Sub. Notes 4.13% due 12/15/2026		791,000		802,309
JPMorgan Chase & Co. Sub. Notes 4.95% due 06/01/2045		340,000		342,949
Morgan Stanley Senior Notes 2.38% due 03/31/2021	EUR	725,000		837,384
Morgan Stanley Senior Notes 2.80% due 06/16/2020		368,000		369,845
Morgan Stanley Sub. Notes 4.10% due 05/22/2023		975,000		982,952

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Morgan Stanley Senior Notes 4.75% due 03/22/2017	$	1,722,000	$	1,778,423
Morgan Stanley Sub. Notes 5.00% due 11/24/2025		629,000		661,626
Morgan Stanley Senior Notes 6.50% due 12/28/2018	EUR	550,000		699,831

				22,302,106

Diversified Financial Services — 0.1%
USAA Capital Corp. Senior Notes 2.13% due 06/03/2019*		721,000		726,434

Diversified Manufacturing Operations — 0.5%
3M Co. FRS Senior Notes 0.05% due 05/15/2020	EUR	500,000		539,423
General Electric Co. Senior Notes 1.88% due 05/28/2027	EUR	500,000		582,408
General Electric Co. Senior Notes 2.70% due 10/09/2022		644,000		665,953
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 5.75% due 06/15/2043		802,000		909,247
Textron, Inc. Senior Notes 4.63% due 09/21/2016		630,000		640,162
Trinity Industries, Inc. Company Guar. Notes 4.55% due 10/01/2024		503,000		429,155

				3,766,348

Diversified Operations — 0.0%
MUFG Americas Holdings Corp. Senior Notes 1.63% due 02/09/2018		332,000		329,587

Educational Software — 0.1%
Blackboard, Inc. Senior Notes 7.75% due 11/15/2019*		1,085,000		873,425

Electric - Distribution — 0.1%
Entergy Louisiana LLC 1st Mtg. Notes 4.95% due 01/15/2045		491,000		494,143

Electric - Generation — 0.0%
NRG REMA LLC Sub. Notes 9.24% due 07/02/2017		156,705		153,571

Electric - Integrated — 1.8%
AES Corp. Senior Notes 4.88% due 05/15/2023		1,425,000		1,282,500
AES Corp. Senior Notes 5.50% due 03/15/2024		1,805,000		1,660,600
Arizona Public Service Co. Senior Notes 2.20% due 01/15/2020		352,000		353,436



Security Description	Principal Amount(3)		Value (Note 2)


Electric - Integrated (continued)
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033	$	901,000	$	966,667
Entergy Arkansas, Inc. 1st Mtg. Bonds 3.50% due 04/01/2026#		171,000		180,721
Entergy Arkansas, Inc. 1st Mtg. Notes 4.95% due 12/15/2044		544,000		552,174
Exelon Corp. Senior Notes 4.95% due 06/15/2035*		278,000		284,231
Exelon Corp. Senior Notes 5.10% due 06/15/2045*		285,000		291,082
Exelon Generation Co. LLC Senior Notes 2.95% due 01/15/2020		477,000		477,152
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		543,000		674,680
Indiana Michigan Power Co. Senior Notes 4.55% due 03/15/2046		117,000		116,599
Louisville Gas & Electric Co. 1st Mtg. Notes 4.38% due 10/01/2045		73,000		78,721
Mirant Mid Atlantic LLC Pass Through Trust Pass-Through Certs. 9.13% due 06/30/2017		99,661		95,176
Mirant Mid Atlantic LLC Pass Through Trust 1st. Mtg. Bonds 10.06% due 12/30/2028		1,861,877		1,815,330
South Carolina Electric & Gas Co. 1st. Mtg. Bonds 5.10% due 06/01/2065		356,000		382,441
Southern California Edison Co. 1st. Mtg. Notes 1.13% due 05/01/2017		895,000		894,669
Southern Co. Senior Notes 1.30% due 08/15/2017		769,000		763,658
Southern Power Co. Senior Notes 4.15% due 12/01/2025		532,000		534,475
Talen Energy Supply LLC Senior Notes 6.50% due 06/01/2025		2,227,000		1,536,630
Trans-Allegheny Interstate Line Co. Senior Notes 3.85% due 06/01/2025*		388,000		398,113

				13,339,055

Electronic Components - Misc. — 0.1%
Corning, Inc. Senior Notes 1.50% due 05/08/2018		392,000		388,367

Electronic Components - Semiconductors — 0.4%
Intel Corp. Senior Notes 1.35% due 12/15/2017		1,403,000		1,411,644
Micron Technology, Inc. Senior Notes 5.63% due 01/15/2026*		1,500,000		1,215,000

				2,626,644

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Electronics - Military — 0.0%
L-3 Communications Corp. Company Guar. Notes 3.95% due 05/28/2024	$	59,000	$	55,465

Energy - Alternate Sources — 0.2%
TerraForm Power Operating LLC Company Guar. Notes 5.88% due 02/01/2023*		2,084,000		1,563,000

Enterprise Software/Service — 0.1%
Oracle Corp. Senior Notes 3.90% due 05/15/2035		383,000		366,440

Entertainment Software — 0.0%
Finance - Auto Loans — 0.7%
Ally Financial, Inc. Senior Notes 5.13% due 09/30/2024#		1,724,000		1,736,930
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025		1,383,000		1,341,510
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023*		2,080,000		1,965,600

				5,044,040

Finance - Commercial — 0.2%
Jefferies Finance LLC/JFIN Co-Issuer Corp. Senior Notes 6.88% due 04/15/2022*		1,403,000		989,115
Jefferies Finance LLC/JFIN Co-Issuer Corp. Senior Notes 7.38% due 04/01/2020*		513,000		395,010

				1,384,125

Finance - Consumer Loans — 0.7%
Enova International, Inc. Company Guar. Notes 9.75% due 06/01/2021		2,643,000		1,823,670
Navient Corp. Senior Notes 5.88% due 10/25/2024		950,000		769,500
OneMain Financial Holdings, Inc. Company Guar. Notes 6.75% due 12/15/2019*		1,898,000		1,795,982
SLM Corp. Senior Notes 5.63% due 08/01/2033		102,000		66,300
Synchrony Financial Senior Notes 4.25% due 08/15/2024		698,000		697,039

				5,152,491

Finance - Credit Card — 0.3%
Discover Financial Services Senior Notes 3.75% due 03/04/2025		719,000		678,550
Visa, Inc. Senior Notes 2.20% due 12/14/2020		950,000		967,067
Visa, Inc. Senior Notes 3.15% due 12/14/2025		297,000		308,449
Visa, Inc. Senior Notes 4.30% due 12/14/2045		291,000		312,505

				2,266,571



Security Description	Principal Amount(3)		Value (Note 2)


Finance - Investment Banker/Broker — 0.1%
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†	$	97,000	$	7,585
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(14)		111,000		11
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(14)		143,000		14
TD Ameritrade Holding Corp. Senior Notes 2.95% due 04/01/2022		460,000		467,123

				474,733

Finance - Mortgage Loan/Banker — 0.2%
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025*		1,925,000		1,799,875

Finance - Other Services — 0.3%
National Rural Utilities Cooperative Finance Corp. Senior Notes 0.95% due 04/24/2017		327,000		326,553
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 1.10% due 01/27/2017#		1,285,000		1,285,574
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.00% due 01/27/2020		656,000		656,800
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.30% due 11/01/2020		285,000		287,540

				2,556,467

Firearms & Ammunition — 0.1%
FGI Operating Co. LLC/FGI Finance, Inc. Sec. Notes 7.88% due 05/01/2020		1,170,000		678,600

Food - Dairy Products — 0.1%
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023*		900,000		946,971

Food - Flour & Grain — 0.2%
Post Holdings, Inc. Company Guar. Notes 7.75% due 03/15/2024*#		1,019,000		1,115,805

Food - Meat Products — 0.2%
JBS USA LLC/JBS USA Finance, Inc. Senior Notes 5.88% due 07/15/2024*		1,839,000		1,627,515

Food - Misc./Diversified — 0.1%
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025*		721,000		788,876

Food - Retail — 0.2%
Kroger Co. Senior Notes 3.50% due 02/01/2026		298,000		307,556
SUPERVALU, Inc. Senior Notes 7.75% due 11/15/2022#		1,949,000		1,520,220

				1,827,776

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Food - Wholesale/Distribution — 0.2%
C&S Group Enterprises LLC Senior Sec. Notes 5.38% due 07/15/2022*	$	1,269,000	$	1,170,653

Gambling (Non-Hotel) — 0.2%
Scientific Games International, Inc. Senior Sec. Notes 7.00% due 01/01/2022*		912,000		886,920
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022		892,000		700,220
Waterford Gaming LLC/Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(5)(14)		272,905		2,674

				1,589,814

Gas - Distribution — 0.0%
Dominion Gas Holdings LLC Senior Notes 4.80% due 11/01/2043		312,000		305,782

Hotels/Motels — 0.2%
Hyatt Hotels Corp. Senior Notes 4.85% due 03/15/2026		265,000		264,788
Interval Acquisition Corp. Company Guar. Notes 5.63% due 04/15/2023*		1,110,000		1,090,575

				1,355,363

Human Resources — 0.2%
Team Health, Inc. Company Guar. Notes 7.25% due 12/15/2023*		1,192,000		1,251,600

Independent Power Producers — 0.5%
Dynegy, Inc. Company Guar. Notes 7.38% due 11/01/2022		1,260,000		1,052,100
GenOn Energy, Inc. Senior Notes 9.50% due 10/15/2018		1,253,000		814,450
NRG Energy, Inc. Company Guar. Notes 6.25% due 07/15/2022		2,293,000		1,937,585

				3,804,135

Industrial Gases — 0.2%
Airgas, Inc. Senior Notes 3.05% due 08/01/2020		202,000		205,536
Praxair, Inc. Senior Notes 1.20% due 02/12/2024	EUR	580,000		641,366
Praxair, Inc. Senior Notes 1.50% due 03/11/2020	EUR	575,000		654,158

				1,501,060

Insurance Brokers — 0.2%
USI, Inc. Senior Notes 7.75% due 01/15/2021*		1,315,000		1,209,800



Security Description	Principal Amount(3)		Value (Note 2)


Insurance - Life/Health — 0.2%
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025		$ 734,000	$	711,980
Pacific LifeCorp Senior Notes 6.00% due 02/10/2020*		305,000		341,231
Pricoa Global Funding I Senior Sec. Notes 1.35% due 08/18/2017*#		784,000		779,961

				1,833,172

Insurance - Multi-line — 0.2%
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		1,266,000		1,483,094
MetLife, Inc. Senior Notes 4.60% due 05/13/2046		322,000		318,519

				1,801,613

Insurance - Mutual — 0.4%
Massachusetts Mutual Life Insurance Co. Sub. Notes 4.50% due 04/15/2065*		411,000		379,370
MassMutual Global Funding II Senior Sec. Notes 2.10% due 08/02/2018*		1,146,000		1,155,434
MassMutual Global Funding II Senior Sec. Notes 2.50% due 10/17/2022*		387,000		381,944
New York Life Global Funding Sec. Notes 1.65% due 05/15/2017*		801,000		804,608

				2,721,356

Internet Connectivity Services — 0.2%
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022*		1,447,000		1,399,973

Internet Content - Entertainment — 0.2%
Netflix, Inc. Senior Notes 5.88% due 02/15/2025		1,306,000		1,368,035

Investment Management/Advisor Services — 0.4%
Drawbridge Special Opportunities Fund LP/Drawbridge Special Opportunities Finance Senior Notes 5.00% due 08/01/2021*		1,645,000		1,566,863
National Financial Partners Corp. Senior Notes 9.00% due 07/15/2021*		1,821,000		1,602,480

				3,169,343

Machinery - Farming — 0.3%
John Deere Capital Corp. Senior Notes 1.13% due 06/12/2017		1,055,000		1,054,264
John Deere Capital Corp. Senior Notes 1.55% due 12/15/2017		1,193,000		1,199,087

				2,253,351

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Marine Services — 0.2%
Great Lakes Dredge & Dock Corp. Company Guar. Notes 7.38% due 02/01/2019	$	1,298,000	$	1,210,385

Medical Labs & Testing Services — 0.3%
Laboratory Corp. of America Holdings Senior Notes 3.20% due 02/01/2022		187,000		185,933
Laboratory Corp. of America Holdings Senior Notes 3.60% due 02/01/2025		605,000		598,828
Laboratory Corp. of America Holdings Senior Notes 4.70% due 02/01/2045		310,000		292,307
Roche Holdings, Inc. Company Guar. Notes 1.35% due 09/29/2017*		1,121,000		1,125,505

				2,202,573

Medical Products — 0.2%
Becton Dickinson and Co. Senior Notes 3.13% due 11/08/2021		422,000		431,119
Greatbatch, Ltd. Company Guar. Notes 9.13% due 11/01/2023*		1,329,000		1,292,453

				1,723,572

Medical - Biomedical/Gene — 0.2%
Amgen, Inc. Senior Notes 2.00% due 02/25/2026	EUR	190,000		208,808
Amgen, Inc. Senior Notes 2.13% due 09/13/2019	EUR	575,000		660,130
Celgene Corp. Senior Notes 5.00% due 08/15/2045		509,000		520,907
Gilead Sciences, Inc. Senior Notes 4.75% due 03/01/2046		116,000		122,316

				1,512,161

Medical - Drugs — 0.6%
Baxalta, Inc. Senior Notes 3.60% due 06/23/2022*		518,000		513,591
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 7.75% due 01/15/2022*		1,265,000		1,312,437
Forest Laboratories LLC Company Guar. Notes 4.88% due 02/15/2021*		702,000		765,631
Johnson & Johnson Senior Notes 3.55% due 03/01/2036		420,000		420,574
Johnson & Johnson Senior Notes 3.70% due 03/01/2046		420,000		420,752
Merck & Co., Inc. Senior Notes 1.88% due 10/15/2026	EUR	1,000,000		1,169,101

				4,602,086



Security Description	Principal Amount(3)		Value (Note 2)


Medical - HMO — 0.4%
Centene Escrow Corp. Senior Notes 5.63% due 02/15/2021*	$	261,000	$	272,745
Centene Escrow Corp. Senior Notes 6.13% due 02/15/2024*		1,052,000		1,116,435
UnitedHealth Group, Inc. Senior Notes 1.40% due 12/15/2017		598,000		597,621
UnitedHealth Group, Inc. Senior Notes 2.13% due 03/15/2021		499,000		498,882
UnitedHealth Group, Inc. Senior Notes 3.35% due 07/15/2022		362,000		378,434

				2,864,117

Medical - Hospitals — 1.2%
HCA, Inc. Senior Sec. Notes 4.75% due 05/01/2023		850,000		863,812
HCA, Inc. Company Guar. Notes 7.50% due 11/15/2095		2,632,000		2,539,880
IASIS Healthcare LLC/IASIS Capital Corp. Company Guar. Notes 8.38% due 05/15/2019		2,697,000		2,562,150
Tenet Healthcare Corp. Senior Sec. Notes 4.75% due 06/01/2020		1,899,000		1,917,990
Tenet Healthcare Corp. Senior Notes 6.88% due 11/15/2031		958,000		718,500

				8,602,332

Multimedia — 0.2%
21st Century Fox America, Inc. Company Guar. Notes 4.95% due 10/15/2045		220,000		214,382
Viacom, Inc. Senior Notes 4.85% due 12/15/2034		288,000		227,276
Walt Disney Co. Senior Notes 1.50% due 09/17/2018		503,000		507,032
Walt Disney Co. Senior Notes 1.65% due 01/08/2019#		252,000		255,468

				1,204,158

Music — 0.3%
WMG Acquisition Corp. Senior Sec. Notes 6.00% due 01/15/2021*		1,206,000		1,224,090
WMG Acquisition Corp. Company Guar. Notes 6.75% due 04/15/2022*		1,340,000		1,259,600

				2,483,690

Networking Products — 0.3%
Cisco Systems, Inc. Senior Notes 1.40% due 02/28/2018		649,000		650,685

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Networking Products (continued)
Cisco Systems, Inc. Senior Notes 2.13% due 03/01/2019	$	1,293,000	$	1,318,577
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		554,000		559,206

				2,528,468

Oil & Gas Drilling — 0.1%
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022		609,000		395,850

Oil Companies - Exploration & Production — 1.3%
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036		1,152,000		956,327
Carrizo Oil & Gas, Inc. Company Guar. Notes 6.25% due 04/15/2023		1,600,000		1,136,000
Chaparral Energy, Inc. Company Guar. Notes 8.25% due 09/01/2021(19)		635,000		44,450
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 7.75% due 09/01/2022		1,543,000		416,610
EV Energy Partners LP/EV Energy Finance Corp. Company Guar. Notes 8.00% due 04/15/2019		1,350,000		297,000
Halcon Resources Corp. Sec. Notes 12.00% due 02/15/2022*		390,000		185,250
Hess Corp. Senior Notes 5.60% due 02/15/2041		320,000		230,093
Hess Corp. Senior Notes 7.88% due 10/01/2029		230,000		210,646
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		1,589,000		1,080,520
Legacy Reserves LP/Legacy Reserves Finance Corp. Company Guar. Notes 6.63% due 12/01/2021		1,147,000		114,700
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026		1,588,000		1,373,620
Noble Energy, Inc. Senior Notes 3.90% due 11/15/2024		642,000		540,197
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044		131,000		96,355
Northern Oil and Gas, Inc. Senior Notes 8.00% due 06/01/2020#		1,517,000		728,160
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022#		1,880,000		1,099,800
Penn Virginia Corp. Company Guar. Notes 7.25% due 04/15/2019		1,010,000		85,850



Security Description	Principal Amount(3)		Value (Note 2)


Oil Companies - Exploration & Production (continued)
Rex Energy Corp. Company Guar. Notes 6.25% due 08/01/2022	$	1,126,000	$	112,600
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023#		1,372,000		487,060
SM Energy Co. Senior Notes 5.63% due 06/01/2025#		899,000		361,848
Southwestern Energy Co. Senior Notes 3.30% due 01/23/2018		187,000		134,640
Southwestern Energy Co. Senior Notes 4.95% due 01/23/2025#		455,000		267,881

				9,959,607

Oil Companies - Integrated — 0.4%
Chevron Corp. Senior Notes 1.37% due 03/02/2018		748,000		743,289
Chevron Corp. Senior Notes 1.96% due 03/03/2020		412,000		405,103
ConocoPhillips Co. Company Guar. Notes 1.50% due 05/15/2018		276,000		264,348
Exxon Mobil Corp. Senior Notes 1.31% due 03/06/2018		757,000		755,744
Exxon Mobil Corp. Senior Notes 3.04% due 03/01/2026		391,000		391,000
Exxon Mobil Corp. Senior Notes 4.11% due 03/01/2046		435,000		435,000
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037		517,000		349,837

				3,344,321

Oil Refining & Marketing — 0.4%
Calumet Specialty Products Partner LP/Calumet Finance Corp. Company Guar. Notes 6.50% due 04/15/2021		1,719,000		1,035,697
Murphy Oil USA, Inc. Company Guar. Notes 6.00% due 08/15/2023		1,190,000		1,216,775
PBF Holding Co LLC/PBF Finance Corp. Senior Sec. Notes 7.00% due 11/15/2023*		1,090,000		940,125

				3,192,597

Oil - Field Services — 0.1%
Bristow Group, Inc. Company Guar. Notes 6.25% due 10/15/2022		698,000		394,370
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc. Company Guar. Notes 6.63% due 05/01/2021		236,000		174,050
Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc. Company Guar. Notes 6.88% due 02/15/2023		392,000		282,240

				850,660

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Paper & Related Products — 0.8%
Clearwater Paper Corp. Company Guar. Notes 4.50% due 02/01/2023	$	680,000	$	640,050
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		805,000		797,959
Georgia-Pacific LLC Senior Notes 3.60% due 03/01/2025*		1,443,000		1,454,597
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		1,569,000		1,613,842
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		447,000		494,795
PH Glatfelter Co. Company Guar. Notes 5.38% due 10/15/2020		917,000		903,245

				5,904,488

Pharmacy Services — 0.1%
Express Scripts Holding Co. Company Guar. Notes 4.50% due 02/25/2026		465,000		468,839

Pipelines — 1.3%
Columbia Pipeline Group, Inc. Company Guar. Notes 2.45% due 06/01/2018*		144,000		138,159
Energy Transfer Equity LP Senior Sec. Notes 7.50% due 10/15/2020		1,105,000		1,011,075
Energy Transfer Partners LP Senior Notes 4.90% due 03/15/2035		430,000		312,121
Energy Transfer Partners LP Senior Notes 5.15% due 03/15/2045		254,000		184,744
Energy Transfer Partners LP Senior Notes 6.63% due 10/15/2036		1,048,000		873,298
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024		937,000		702,750
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.75% due 02/15/2021		1,000,000		825,000
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.00% due 05/15/2023		933,000		718,410
Kinder Morgan Energy Partners LP Company Guar. Notes 4.70% due 11/01/2042		270,000		189,244
Kinder Morgan Energy Partners LP Company Guar. Notes 6.50% due 04/01/2020		408,000		411,745
Kinder Morgan, Inc. Company Guar. Notes 5.00% due 02/15/2021*		503,000		466,192
Rose Rock Midstream LP/Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022		1,779,000		1,005,135
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.63% due 04/15/2023		825,000		761,062



Security Description	Principal Amount(3)		Value (Note 2)


Pipelines (continued)
Sabine Pass Liquefaction LLC Senior Sec. Notes 6.25% due 03/15/2022	$	737,000	$	701,993
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.88% due 10/01/2020		783,000		736,020
Tesoro Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 6.13% due 10/15/2021		1,077,000		990,840

				10,027,788

Power Converter/Supply Equipment — 0.1%
Hubbell, Inc. Senior Notes 3.35% due 03/01/2026		444,000		443,469

Printing - Commercial — 0.3%
Multi-Color Corp. Company Guar. Notes 6.13% due 12/01/2022*		1,269,000		1,278,518
Quad/Graphics, Inc. Company Guar. Notes 7.00% due 05/01/2022		1,725,000		1,289,437

				2,567,955

Publishing - Newspapers — 0.3%
Lee Enterprises, Inc. Senior Sec. Notes 9.50% due 03/15/2022*#		1,121,000		1,062,148
McClatchy Co. Senior Sec. Notes 9.00% due 12/15/2022#		1,335,000		1,174,800

				2,236,948

Publishing - Periodicals — 0.5%
Expo Event Transco, Inc. Senior Notes 9.00% due 06/15/2021*		2,955,000		2,851,575
Time, Inc. Company Guar. Notes 5.75% due 04/15/2022*		1,229,000		1,035,432

				3,887,007

Radio — 0.1%
Sirius XM Radio, Inc. Company Guar. Notes 5.38% due 04/15/2025*		908,000		905,730

Real Estate Investment Trusts — 1.3%
Communications Sales & Leasing, Inc./CSL Capital LLC Senior Sec. Notes 6.00% due 04/15/2023*		854,000		823,931
Communications Sales & Leasing, Inc./CSL Capital LLC Company Guar. Notes 8.25% due 10/15/2023		670,000		597,975
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.88% due 06/01/2021		1,825,000		1,774,813
DuPont Fabros Technology LP Company Guar. Notes 5.63% due 06/15/2023		904,000		913,040
Equinix, Inc. Senior Notes 5.88% due 01/15/2026		955,000		997,975
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		931,000		903,070

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
iStar Financial, Inc. Senior Notes 5.00% due 07/01/2019	$	1,526,000	$	1,421,088
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027		788,000		744,231
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024		676,000		691,021
Omega Healthcare Investors, Inc. Company Guar. Notes 5.25% due 01/15/2026		481,000		486,958

				9,354,102

Real Estate Management/Services — 0.2%
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024		1,406,000		1,346,245

Real Estate Operations & Development — 0.4%
Greystar Real Estate Partners LLC Senior Sec. Notes 8.25% due 12/01/2022*		1,903,000		1,964,847
Prologis LP Company Guar. Notes 1.38% due 05/13/2021	EUR	675,000		726,795

				2,691,642

Rental Auto/Equipment — 0.2%
United Rentals North America, Inc. Senior Sec. Notes 4.63% due 07/15/2023		825,000		825,000
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025		1,000,000		948,750

				1,773,750

Retail - Appliances — 0.1%
Conn’s, Inc. Company Guar. Notes 7.25% due 07/15/2022		1,335,000		1,041,300

Retail - Building Products — 0.1%
Home Depot, Inc. Senior Notes 2.00% due 04/01/2021		286,000		287,685
Home Depot, Inc. Senior Notes 3.00% due 04/01/2026		293,000		302,943

				590,628

Retail - Computer Equipment — 0.2%
GameStop Corp. Company Guar. Notes 5.50% due 10/01/2019#*		1,477,000		1,465,923

Retail - Discount — 0.2%
Costco Wholesale Corp. Senior Notes 2.25% due 02/15/2022		775,000		782,664
Dollar General Corp. Company Guar. Notes 4.13% due 07/15/2017		641,000		661,283

				1,443,947



Security Description	Principal Amount(3)		Value (Note 2)


Retail - Drug Store — 0.2%
CVS Pass-Through Trust Pass-Through Certs. 4.70% due 01/10/2036*	$	365,019	$	380,257
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033*		233,628		253,983
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034*		498,224		548,250

				1,182,490

Retail - Pawn Shops — 0.2%
Cash America International, Inc. Company Guar. Notes 5.75% due 05/15/2018		1,175,000		1,154,438

Retail - Regional Department Stores — 0.0%
Kohl’s Corp. Senior Notes 5.55% due 07/17/2045		211,000		186,005

Retail - Restaurants — 0.7%
Landry’s, Inc. Company Guar. Notes 9.38% due 05/01/2020*		1,300,000		1,361,750
McDonald’s Corp. Senior Notes 3.70% due 01/30/2026		382,000		397,712
McDonald’s Corp. Senior Notes 4.70% due 12/09/2035		274,000		283,558
McDonald’s Corp. Senior Notes 4.88% due 12/09/2045		385,000		406,358
PF Chang’s China Bistro, Inc. Company Guar. Notes 10.25% due 06/30/2020*		3,131,000		2,669,178

				5,118,556

Rubber - Tires — 0.1%
Goodyear Tire & Rubber Co. Company Guar. Notes 5.13% due 11/15/2023		857,000		880,568

Rubber/Plastic Products — 0.0%
Venture Holdings Co. LLC Company Guar. Notes 11.00% due 06/01/2007†(5)(6)(10)(14)		25,000		0

Satellite Telecom — 0.2%
Hughes Satellite Systems Corp. Company Guar. Notes 7.63% due 06/15/2021		1,204,000		1,303,330

Savings & Loans/Thrifts — 0.6%
Astoria Financial Corp. Senior Notes 5.00% due 06/19/2017		799,000		818,542
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020		2,087,000		2,354,155
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		1,358,000		1,558,622

				4,731,319

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Schools — 0.1%
President and Fellows of Harvard College Notes 3.62% due 10/01/2037	$	233,000	$	237,530
University of Pennsylvania Senior Notes 4.67% due 09/01/2112		521,000		557,752

				795,282

Specified Purpose Acquisitions — 0.2%
Opal Acquisition, Inc. Senior Notes 8.88% due 12/15/2021*		2,152,000		1,603,240

Steel Pipe & Tube — 0.1%
Valmont Industries, Inc. Company Guar. Notes 5.25% due 10/01/2054		905,000		795,626

Steel - Producers — 0.3%
AK Steel Corp. Senior Sec. Notes 8.75% due 12/01/2018#		1,000,000		910,000
Steel Dynamics, Inc. Company Guar. Notes 5.13% due 10/01/2021		1,214,000		1,183,650

				2,093,650

Steel - Specialty — 0.0%
Allegheny Technologies, Inc. Senior Notes 5.95% due 01/15/2021		402,000		302,505

Telephone - Integrated — 1.9%
AT&T, Inc. Senior Notes 1.45% due 06/01/2022	EUR	550,000		608,767
AT&T, Inc. Senior Notes 3.00% due 06/30/2022		1,274,000		1,262,544
AT&T, Inc. Senior Notes 4.35% due 06/15/2045		701,000		596,974
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		881,000		808,695
AT&T, Inc. Senior Notes 4.75% due 05/15/2046		548,000		500,222
AT&T, Inc. Senior Notes 5.80% due 02/15/2019		310,000		342,041
CenturyLink, Inc. Senior Notes 5.63% due 04/01/2025		816,000		718,080
CenturyLink, Inc. Senior Notes 5.80% due 03/15/2022		49,000		47,591
CenturyLink, Inc. Senior Notes 6.88% due 01/15/2028		536,000		422,100
Frontier Communications Corp. Senior Notes 8.13% due 10/01/2018		510,000		527,850
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022*		1,474,000		1,488,740



Security Description	Principal Amount(3)		Value (Note 2)


Telephone - Integrated (continued)
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025*	$	3,298,000	$	3,302,122
Verizon Communications, Inc. Senior Notes 3.00% due 11/01/2021		764,000		776,000
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		313,000		294,024
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055		1,326,000		1,171,070
Verizon Communications, Inc. Senior Notes 4.75% due 02/17/2034	GBP	550,000		799,716
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046		710,000		693,656
Verizon Communications, Inc. Senior Notes 6.40% due 09/15/2033		51,000		59,427

				14,419,619

Theaters — 0.2%
National CineMedia LLC Senior Sec. Notes 6.00% due 04/15/2022		771,000		801,840
Regal Entertainment Group Senior Notes 5.75% due 03/15/2022		217,000		219,441
Regal Entertainment Group Senior Notes 5.75% due 02/01/2025		635,000		615,950

				1,637,231

Transport - Rail — 0.1%
Union Pacific Corp. Senior Notes 4.38% due 11/15/2065		420,000		397,636

Travel Services — 0.2%
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023*		1,484,000		1,495,130

Trucking/Leasing — 0.0%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.38% due 02/01/2022*		267,000		259,823

Wire & Cable Products — 0.3%
General Cable Corp. Company Guar. Notes 5.75% due 10/01/2022		3,442,000		2,504,055

Total U.S. Corporate Bonds & Notes
(cost $361,661,916)				331,772,510

FOREIGN CORPORATE BONDS & NOTES — 20.3%
Aerospace/Defense — 0.1%
BAE Systems PLC Senior Notes 4.13% due 06/08/2022	GBP	250,000		376,145
Rolls-Royce PLC Company Guar. Notes 2.38% due 10/14/2020*		676,000		675,009

				1,051,154

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Agricultural Chemicals — 0.2%
Consolidated Energy Finance SA Company Guar. Notes 6.75% due 10/15/2019*	$	1,375,000	$	1,189,375

Airlines — 0.2%
Air Canada Senior Sec. Notes 6.75% due 10/01/2019*		957,000		985,710
Latam Airlines Group SA* Senior Notes 7.25% due 06/09/2020		300,000		270,000

				1,255,710

Airport Development/Maintenance — 0.2%
Heathrow Funding, Ltd. Senior Sec. Notes 1.88% due 05/23/2024	EUR	1,100,000		1,263,963
Heathrow Funding, Ltd. Senior Sec. Notes 6.75% due 12/03/2028	GBP	325,000		594,403

				1,858,366

Appliances — 0.1%
Arcelik AS Senior Notes 5.00% due 04/03/2023		550,000		509,942

Auto - Cars/Light Trucks — 0.6%
BMW Finance NV Company Guar. Notes 3.38% due 12/14/2018	GBP	505,000		734,786
Daimler AG Senior Notes 2.75% due 12/04/2020	GBP	400,000		574,704
FCE Bank PLC Senior Notes 1.53% due 11/09/2020	EUR	500,000		545,362
Renault SA Senior Notes 3.63% due 09/19/2018	EUR	790,000		920,894
Volkswagen Financial Services NV Company Guar. Notes 2.38% due 11/13/2018	GBP	400,000		556,007
Volkswagen Financial Services NV Company Guar. Notes 2.63% due 07/22/2019	GBP	400,000		556,840
Volkswagen International Finance NV Company Guar. Notes 2.38% due 03/22/2017*		413,000		412,815

				4,301,408

Auto/Truck Parts & Equipment - Original — 0.1%
Tenedora Nemak SA de CV Senior Notes 5.50% due 02/28/2023*		400,000		398,000
Tupy Overseas SA Company Guar. Notes 6.63% due 07/17/2024		450,000		376,312

				774,312

Banks - Commercial — 3.6%
Abbey National Treasury Services PLC Company Guar. Notes 1.13% due 01/14/2022	EUR	1,550,000		1,641,056
Abbey National Treasury Services PLC Company Guar. Notes 1.38% due 03/13/2017		71,000		70,864



Security Description	Principal Amount(3)		Value (Note 2)


Banks - Commercial (continued)
Abbey National Treasury Services PLC Company Guar. Notes 3.88% due 10/15/2029	GBP	150,000	$	213,405
ANZ New Zealand Int’l, Ltd. Company Guar. Notes 1.13% due 03/24/2016*		1,318,000		1,318,232
Banco ABC Brasil SA Senior Notes 8.50% due 03/28/2016*(14)	BRL	3,200,000		787,339
Banco de Credito del Peru/Panama Senior Notes 5.38% due 09/16/2020		450,000		478,125
Bank of China, Ltd. Sub. Notes 5.00% due 11/13/2024		275,000		284,638
BPCE SA Senior Notes 1.38% due 05/22/2019	EUR	700,000		787,147
BPCE SA Senior Notes 2.88% due 01/16/2024	EUR	700,000		863,622
BPCE SA Sub. Notes 4.50% due 03/15/2025*		740,000		698,080
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Senior Notes 5.25% due 05/23/2041	GBP	190,000		315,853
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands Senior Notes 4.55% due 08/30/2029	GBP	250,000		401,316
Credit Suisse AG Senior Notes 1.70% due 04/27/2018		262,000		259,236
Credit Suisse AG Senior Notes 3.00% due 10/29/2021		768,000		768,723
Credit Suisse AG FRS Sub. Notes 5.75% due 09/18/2025	EUR	500,000		568,990
Danske Bank A/S FRS Sub. Notes 3.88% due 10/04/2023	EUR	525,000		602,744
DBS Group Holdings, Ltd. Senior Notes 2.25% due 07/16/2019*		998,000		1,006,246
ICICI Bank, Ltd. Senior Notes 5.75% due 11/16/2020		350,000		388,878
ING Bank NV Senior Notes 4.00% due 03/15/2016*		585,000		585,676
ING Bank NV Senior Notes 5.38% due 04/15/2021	GBP	300,000		480,307
Intesa Sanpaolo SpA Senior Notes 2.00% due 06/18/2021	EUR	450,000		505,559
Intesa Sanpaolo SpA Senior Notes 3.50% due 01/17/2022	EUR	1,325,000		1,603,126
Intesa Sanpaolo SpA Sub. Notes 5.02% due 06/26/2024*		863,000		792,951

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Banks - Commercial (continued)
Malayan Banking Bhd FRS Sub. Notes 3.25% due 09/20/2022	$	250,000	$	250,418
National Australia Bank, Ltd. Senior Notes 2.75% due 03/09/2017		540,000		547,652
National Australia Bank, Ltd. Senior Notes 2.75% due 08/08/2022	EUR	800,000		963,353
National Bank of Canada Company Guar. Notes 1.45% due 11/07/2017		1,085,000		1,081,345
National Bank of Canada Bank Guar. Notes 2.10% due 12/14/2018		474,000		475,154
Nordea Bank AB Senior Notes 2.13% due 11/13/2019	GBP	150,000		211,329
Oversea-Chinese Banking Corp., Ltd. VRS Sub. Notes 4.00% due 10/15/2024*		280,000		288,403
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026		742,000		742,887
Santander Issuances SAU Company Guar. Notes 5.18% due 11/19/2025		1,200,000		1,115,969
Sberbank of Russia Via SB Capital SA Senior Notes 6.13% due 02/07/2022		350,000		360,095
Siam Commercial Bank PCL Senior Notes 3.50% due 04/07/2019*		200,000		205,307
Skandinaviska Enskilda Banken AB Senior Notes 1.88% due 11/14/2019	EUR	700,000		802,079
Skandinaviska Enskilda Banken AB FRS Sub. Notes 2.50% due 05/28/2026	EUR	600,000		657,347
Standard Chartered Bank Sub. Notes 5.88% due 09/26/2017	EUR	450,000		516,870
Sumitomo Mitsui Banking Corp. Company Guar. Notes 2.45% due 10/20/2020		567,000		565,666
Svenska Handelsbanken AB FRS Sub. Notes 2.66% due 01/15/2024	EUR	1,050,000		1,177,481
Svenska Handelsbanken AB Senior Notes 3.00% due 11/20/2020	GBP	375,000		544,718
Westpac Banking Corp. Senior Notes 4.13% due 05/25/2018	EUR	575,000		680,285
Zenith Bank PLC Senior Notes 6.25% due 04/22/2019*		450,000		397,161

				27,005,632

Banks - Money Center — 0.5%
ABN AMRO Bank NV Senior Notes 2.50% due 11/29/2023	EUR	475,000		572,519



Security Description	Principal Amount(3)		Value (Note 2)


Banks - Money Center (continued)
ABN AMRO Bank NV Senior Notes 4.13% due 03/28/2022	EUR	600,000	$	780,542
Bank of Scotland PLC Sub. Notes 6.38% due 08/16/2019	GBP	275,000		417,743
Lloyds Bank PLC FRS Sub. Notes 11.88% due 12/16/2021	EUR	950,000		1,116,394
Mizuho Bank, Ltd. Company Guar. Notes 2.15% due 10/20/2018*		314,000		313,750
Mizuho Bank, Ltd. Company Guar. Notes 2.45% due 04/16/2019*		385,000		387,539

				3,588,487

Beverages - Non-alcoholic — 0.1%
Coca-Cola Femsa SAB de CV Company Guar. Notes 2.38% due 11/26/2018		1,006,000		1,010,001

Beverages - Wine/Spirits — 0.1%
Diageo Capital PLC Company Guar. Notes 5.75% due 10/23/2017		823,000		879,552

Brewery — 0.1%
Anadolu Efes Biracilik Ve Malt Sanayii AS Senior Notes 3.38% due 11/01/2022		500,000		420,125

Broadcast Services/Program — 0.0%
Grupo Televisa SAB Senior Notes 6.13% due 01/31/2046		226,000		220,540

Building Products - Cement — 0.1%
CRH Finance BV Company Guar. Notes 5.00% due 01/25/2019	EUR	500,000		615,757

Building - Residential/Commercial — 0.2%
Mattamy Group Corp. Senior Notes 6.50% due 11/15/2020*#		1,650,000		1,427,250

Cable/Satellite TV — 0.7%
Altice Financing SA Senior Sec. Notes 6.50% due 01/15/2022*		2,635,000		2,654,762
Altice Luxembourg SA Company Guar. Notes 7.75% due 05/15/2022*		1,582,000		1,530,585
Virgin Media Secured Finance PLC Senior Sec. Notes 5.25% due 01/15/2026*		850,000		847,875

				5,033,222

Cellular Telecom — 0.2%
America Movil SAB de CV Senior Notes 5.00% due 10/27/2026	GBP	315,000		486,549
Empresa Nacional de Telecomunicaciones SA Senior Notes 4.88% due 10/30/2024		350,000		322,988
Millicom International Cellular SA Senior Notes 6.63% due 10/15/2021		310,000		291,400

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Cellular Telecom (continued)
Turkcell Iletisim Hizmetleri AS Notes 5.75% due 10/15/2025*	$	340,000	$	325,125

				1,426,062

Chemicals - Diversified — 0.3%
NOVA Chemicals Corp. Senior Notes 5.00% due 05/01/2025*		1,500,000		1,470,000
Solvay SA Senior Notes 4.63% due 06/27/2018	EUR	600,000		717,267

				2,187,267

Chemicals - Plastics — 0.1%
Mexichem SAB de CV Company Guar. Notes 5.88% due 09/17/2044*		640,000		531,200

Consumer Products - Misc. — 0.1%
Kimberly-Clark de Mexico SAB de CV Senior Notes 3.25% due 03/12/2025*		671,000		656,235

Cruise Lines — 0.6%
NCL Corp., Ltd. Senior Notes 4.63% due 11/15/2020*		1,145,000		1,113,512
Royal Caribbean Cruises, Ltd. Senior Notes 5.25% due 11/15/2022		267,000		271,005
Royal Caribbean Cruises, Ltd. Senior Notes 7.50% due 10/15/2027		1,101,000		1,222,110
Viking Cruises, Ltd. Senior Notes 6.25% due 05/15/2025*		1,858,000		1,570,010

				4,176,637

Diamonds/Precious Stones — 0.0%
Petra Diamonds US Treasury PLC Sec. Notes 8.25% due 05/31/2020*		200,000		156,000

Disposable Medical Products — 0.1%
ConvaTec Finance International SA 1st. Mtg. Bonds 8.25% due 01/15/2019*(7)		1,100,000		970,750

Diversified Banking Institutions — 2.4%
BNP Paribas SA Senior Notes 2.88% due 09/26/2023	EUR	700,000		859,228
BNP Paribas SA FRS Sub. Notes 2.88% due 03/20/2026	EUR	400,000		439,694
Credit Agricole SA Senior Notes 3.13% due 02/05/2026	EUR	400,000		503,314
Credit Agricole SA Sub. Notes 3.90% due 04/19/2021	EUR	600,000		724,516
Credit Agricole SA Sub. Notes 4.38% due 03/17/2025*		439,000		417,960
Credit Agricole SA Senior Notes 5.50% due 12/17/2021	GBP	400,000		650,040



Security Description	Principal Amount(3)		Value (Note 2)


Diversified Banking Institutions (continued)
Deutsche Bank AG Senior Notes 1.88% due 02/13/2018	$	952,000	$	928,554
Deutsche Bank AG Senior Notes 3.13% due 01/13/2021		930,000		907,232
Deutsche Bank AG Sub. Notes 4.50% due 04/01/2025		918,000		777,984
HSBC Holdings PLC Sub. Notes 4.25% due 08/18/2025		448,000		434,017
HSBC Holdings PLC Senior Notes 6.50% due 05/20/2024	GBP	250,000		416,700
Lloyds Banking Group PLC Sub. Notes 4.58% due 12/10/2025*		1,686,000		1,660,820
Lloyds Banking Group PLC Company Guar. Notes 5.30% due 12/01/2045*		201,000		194,528
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.95% due 03/01/2021		883,000		889,806
Mitsubishi UFJ Financial Group, Inc. Senior Notes 3.85% due 03/01/2026		1,449,000		1,465,052
Royal Bank of Scotland Group PLC Senior Notes 1.63% due 06/25/2019	EUR	1,250,000		1,344,817
Royal Bank of Scotland PLC FRS Sub. Notes 10.50% due 03/16/2022	EUR	1,175,000		1,386,873
Societe Generale SA Senior Notes 5.00% due 12/20/2018	GBP	575,000		868,664
Societe Generale SA Sub. Notes 5.63% due 11/24/2045*		276,000		244,130
Societe Generale SA Sub. Notes 6.13% due 08/20/2018	EUR	550,000		674,149
UBS AG Senior Notes 1.13% due 06/30/2020	EUR	1,000,000		1,120,125
UBS AG Senior Notes 1.80% due 03/26/2018		597,000		597,605
UBS Group Funding Jersey, Ltd. Company Guar. Notes 4.13% due 09/24/2025*		309,000		307,688

				17,813,496

Diversified Financial Services — 0.3%
GE Capital International Funding Co. Company Guar. Notes 0.96% due 04/15/2016*		1,911,000		1,911,342

Diversified Manufacturing Operations — 0.0%
Ingersoll-Rand Luxembourg Finance SA Company Guar. Notes 4.65% due 11/01/2044		293,000		287,994

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Minerals — 0.4%
Anglo American Capital PLC Company Guar. Notes 4.13% due 04/15/2021*	$	367,000	$	281,673
Anglo American Capital PLC Company Guar. Notes 4.88% due 05/14/2025*		290,000		214,600
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 8.25% due 11/01/2019*		609,000		542,010
FMG Resources August 2006 Pty, Ltd. Senior Sec. Notes 9.75% due 03/01/2022#		1,739,000		1,634,660
Teck Resources, Ltd. Company Guar. Notes 2.50% due 02/01/2018#		293,000		251,064

				2,924,007

E-Commerce/Products — 0.1%
Alibaba Group Holding, Ltd. Company Guar. Notes 3.60% due 11/28/2024		500,000		490,523

Electric - Distribution — 0.0%
State Grid Overseas Investment 2014, Ltd.* Company Guar. Notes 4.13% due 05/07/2024		300,000		327,682

Electric - Generation — 0.4%
Electricite de France SA Senior Notes 2.35% due 10/13/2020*		1,688,000		1,692,861
Electricite de France SA Senior Notes 3.63% due 10/13/2025*		309,000		312,707
Electricite de France SA Senior Notes 4.95% due 10/13/2045*		711,000		712,345
Electricite de France SA Senior Notes 6.00% due 01/22/2114*		334,000		330,660

				3,048,573

Electric - Integrated — 0.7%
Colbun SA Senior Notes 4.50% due 07/10/2024		300,000		298,007
EDP Finance BV Senior Notes 6.63% due 08/09/2017	GBP	500,000		730,902
Empresas Publicas de Medellin ESP Senior Notes 8.38% due 02/01/2021	COP	294,000,000		82,136
Enel Finance International NV Company Guar. Notes 5.00% due 09/14/2022	EUR	700,000		947,983
Enel Finance International NV Company Guar. Notes 5.63% due 08/14/2024	GBP	175,000		283,077
GDF Suez Senior Notes 2.38% due 05/19/2026	EUR	1,300,000		1,565,784
Hrvatska Elektroprivreda Senior Notes 5.88% due 10/23/2022*		200,000		203,829
Iberdrola International BV Company Guar. Notes 2.50% due 10/24/2022	EUR	500,000		593,257



Security Description	Principal Amount(3)		Value (Note 2)


Electric - Integrated (continued)
SSE PLC Senior Notes 5.00% due 10/01/2018	GBP	150,000	$	226,403

				4,931,378

Electric - Transmission — 0.1%
National Grid Electricity Transmission PLC Senior Notes 6.50% due 07/27/2028	GBP	272,000		516,651

Electronic Components - Misc. — 0.0%
Flextronics International, Ltd. Company Guar. Notes 4.75% due 06/15/2025		192,000		185,280

Electronic Components - Semiconductors — 0.2%
Sensata Technologies UK Financing Co. PLC Company Guar. Notes 6.25% due 02/15/2026*		1,380,000		1,459,350

Engineering/R&D Services — 0.1%
ABB Finance BV Company Guar. Notes 2.63% due 03/26/2019	EUR	400,000		466,492

Finance - Leasing Companies — 0.6%
Aircastle, Ltd. Senior Notes 4.63% due 12/15/2018		328,000		332,526
Aircastle, Ltd. Senior Notes 5.50% due 02/15/2022		962,000		960,798
Aircastle, Ltd. Senior Notes 6.25% due 12/01/2019		1,146,000		1,213,385
Fly Leasing, Ltd. Senior Notes 6.38% due 10/15/2021#		2,575,000		2,369,000

				4,875,709

Food - Meat Products — 0.0%
BRF SA Senior Notes 7.75% due 05/22/2018*(14)	BRL	1,000,000		205,451

Food - Misc./Diversified — 0.1%
General Mills, Inc. Senior Notes 2.10% due 11/16/2020	EUR	550,000		636,203
Nestle Finance International, Ltd. Company Guar. Notes 2.25% due 11/30/2023	GBP	135,000		193,791

				829,994

Food - Retail — 0.4%
Carrefour SA Senior Notes 4.00% due 04/09/2020	EUR	700,000		870,088
Casino Guichard Perrachon SA Senior Notes 3.16% due 08/06/2019	EUR	900,000		990,112
Cencosud SA Company Guar. Notes 5.15% due 02/12/2025		300,000		278,284
Tesco PLC Senior Notes 3.38% due 11/02/2018	EUR	500,000		563,473

				2,701,957

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Gambling (Non-Hotel) — 0.2%
International Game Technology PLC Senior Sec. Notes 6.25% due 02/15/2022*	$	970,000	$	916,044
International Game Technology PLC Senior Sec. Notes 6.50% due 02/15/2025*		578,000		514,420

				1,430,464

Gas - Distribution — 0.1%
Gas Natural Capital Markets SA Company Guar. Notes 5.13% due 11/02/2021	EUR	550,000		726,539

Gas - Transportation — 0.1%
National Grid Gas PLC Senior Notes 6.00% due 05/13/2038	GBP	90,000		169,781
Transportadora de Gas del Peru SA Senior Notes 4.25% due 04/30/2028		320,000		296,800

				466,581

Gold Mining — 0.1%
Gold Fields Orogen Holding BVI, Ltd. Company Guar. Notes 4.88% due 10/07/2020		700,000		616,000
Goldcorp, Inc. Senior Notes 5.45% due 06/09/2044		330,000		285,699
Kinross Gold Corp. Company Guar. Notes 5.95% due 03/15/2024		249,000		199,200

				1,100,899

Insurance - Multi-line — 0.2%
Willow No 2 Ireland PLC for Zurich Insurance Co., Ltd. Senior Sec. Notes 3.38% due 06/27/2022	EUR	500,000		612,983
XLIT, Ltd. Company Guar. Notes 4.45% due 03/31/2025		331,000		324,357
XLIT, Ltd. Company Guar. Notes 5.50% due 03/31/2045		742,000		705,818

				1,643,158

Insurance - Property/Casualty — 0.1%
Allied World Assurance Co. Holdings, Ltd. Company Guar. Notes 4.35% due 10/29/2025		468,000		468,742

Investment Management/Advisor Services — 0.1%
China Cinda Finance 2015 I, Ltd. Company Guar. Notes 4.25% due 04/23/2025*		600,000		579,499

Machinery - Construction & Mining — 0.1%
Ferreycorp SAA Company Guar. Notes 4.88% due 04/26/2020		500,000		473,125

Machinery - General Industrial — 0.1%
ATS Automation Tooling Systems, Inc. Senior Notes 6.50% due 06/15/2023*		1,004,000		1,009,020



Security Description	Principal Amount(3)		Value (Note 2)


Medical - Drugs — 0.8%
Grifols Worldwide Operations, Ltd. Company Guar. Notes 5.25% due 04/01/2022	$	2,029,000	$	2,097,479
Roche Finance Europe BV Company Guar. Notes 5.38% due 08/29/2023	GBP	225,000		387,029
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.38% due 03/15/2020*		3,000,000		2,715,000
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.63% due 12/01/2021*		568,000		485,992

				5,685,500

Medical - Generic Drugs — 0.2%
Actavis Funding SCS Company Guar. Notes 3.00% due 03/12/2020		654,000		664,694
Perrigo Finance Unlimited Co. Company Guar. Notes 3.50% due 12/15/2021		667,000		660,934

				1,325,628

Metal - Copper — 0.1%
First Quantum Minerals, Ltd. Company Guar. Notes 7.25% due 05/15/2022*		769,000		380,655

Metal - Diversified — 0.1%
Glencore Finance Europe SA Company Guar. Notes 6.50% due 02/27/2019	GBP	350,000		468,027

Metal - Iron — 0.1%
Metalloinvest Finance, Ltd. Company Guar. Notes 5.63% due 04/17/2020		350,000		336,000
Samarco Mineracao SA Senior Notes 4.13% due 11/01/2022*		300,000		136,410

				472,410

Oil & Gas Drilling — 0.0%
Pacific Drilling SA Senior Sec. Notes 5.38% due 06/01/2020*		1,472,000		294,400

Oil Companies - Exploration & Production — 0.6%
Anadarko Finance Co. Company Guar. Notes 7.50% due 05/01/2031		644,000		577,145
Baytex Energy Corp. Company Guar. Notes 5.13% due 06/01/2021*		1,618,000		934,395
KazMunayGas National Co. JSC Senior Notes 6.38% due 04/09/2021		750,000		745,725
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023*		775,000		366,188
MEG Energy Corp. Company Guar. Notes 6.50% due 03/15/2021*		1,495,000		721,337
Novatek OAO via Novatek Finance, Ltd. Senior Notes 6.60% due 02/03/2021		350,000		358,750

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Oil Companies - Exploration & Production (continued)
Pertamina Persero PT Senior Notes 4.88% due 05/03/2022*	$	600,000	$	589,748

				4,293,288

Oil Companies - Integrated — 1.1%
BP Capital Markets PLC Company Guar. Notes 1.38% due 11/06/2017		1,340,000		1,326,420
BP Capital Markets PLC Company Guar. Notes 2.97% due 02/27/2026	EUR	800,000		952,752
BP Capital Markets PLC Company Guar. Notes 3.25% due 05/06/2022		410,000		404,213
BP Capital Markets PLC Company Guar. Notes 3.54% due 11/04/2024		258,000		246,531
BP Capital Markets PLC Company Guar. Notes 4.33% due 12/10/2018	GBP	150,000		220,701
Ecopetrol SA Senior Notes 4.13% due 01/16/2025		640,000		490,880
Gazprom OAO Via Gaz Capital SA Senior Notes 6.00% due 01/23/2021*		250,000		251,390
Lukoil International Finance BV Company Guar. Notes 4.56% due 04/24/2023		350,000		318,724
Petroleos de Venezuela SA Company Guar. Notes 5.38% due 04/12/2027		300,000		93,780
Petroleos de Venezuela SA Company Guar. Notes 6.00% due 11/15/2026		2,700,000		846,450
Petroleos Mexicanos Company Guar. Notes 5.50% due 06/27/2044		127,000		97,574
Petroleos Mexicanos Company Guar. Notes 6.38% due 02/04/2021*		320,000		332,720
Petronas Capital, Ltd. Company Guar. Notes 3.50% due 03/18/2025		500,000		497,693
Sasol Financing International PLC Company Guar. Notes 4.50% due 11/14/2022		600,000		559,500
Shell International Finance BV Company Guar. Notes 1.25% due 11/10/2017		483,000		480,451
Shell International Finance BV Company Guar. Notes 2.13% due 05/11/2020		529,000		515,126
Shell International Finance BV Company Guar. Notes 2.25% due 11/10/2020		559,000		548,414
Total Capital International SA Company Guar. Notes 2.25% due 12/17/2020	GBP	200,000		282,310

				8,465,629



Security Description	Principal Amount(3)		Value (Note 2)


Oil Refining & Marketing — 0.1%
Reliance Industries, Ltd.* Senior Notes 4.13% due 01/28/2025	$	500,000	$	497,686
Thai Oil PCL Senior Notes 3.63% due 01/23/2023*		200,000		200,740

				698,426

Paper & Related Products — 0.3%
Cascades, Inc. Senior Notes 5.75% due 07/15/2023*		1,472,000		1,372,640
Fibria Overseas Finance, Ltd. Company Guar. Notes 5.25% due 05/12/2024		250,000		237,025
Inversiones CMPC SA Notes 4.38% due 05/15/2023		250,000		245,495
Klabin Finance SA Company Guar. Notes 5.25% due 07/16/2024*		200,000		177,500

				2,032,660

Petrochemicals — 0.1%
Alpek SAB de CV Company Guar. Notes 5.38% due 08/08/2023*		700,000		705,250
Braskem Finance, Ltd. Company Guar. Notes 5.75% due 04/15/2021		350,000		316,316

				1,021,566

Printing - Commercial — 0.2%
Cimpress NV Company Guar. Notes 7.00% due 04/01/2022*		1,570,000		1,522,900

Real Estate Operations & Development — 0.0%
Country Garden Holdings Co., Ltd. Company Guar. Notes 7.50% due 01/10/2023*		200,000		202,929

Retail - Major Department Stores — 0.1%
LS Finance 2022, Ltd. Company Guar. Notes 4.25% due 10/16/2022		500,000		503,304
Marks & Spencer PLC Senior Notes 6.13% due 12/06/2021	GBP	275,000		442,681

				945,985

Satellite Telecom — 0.2%
Intelsat Jackson Holdings SA Company Guar. Notes 7.25% due 04/01/2019		954,000		739,350
Intelsat Jackson Holdings SA Company Guar. Notes 7.50% due 04/01/2021		619,000		430,205
Intelsat Luxembourg SA Company Guar. Notes 7.75% due 06/01/2021		1,390,000		417,000

				1,586,555

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Security Services — 0.1%
Garda World Security Corp. Company Guar. Notes 7.25% due 11/15/2021*	$	1,423,000	$	996,100

Special Purpose Entity — 0.0%
Hellas Telecommunications Luxembourg II SCA FRS Sub. Notes 6.26% due 01/15/2015*†(5)(9)(10)(14)		560,000		0

Steel - Producers — 0.1%
ArcelorMittal Senior Notes 7.25% due 02/25/2022#		1,162,000		1,048,589

Steel - Specialty — 0.0%
GTL Trade Finance, Inc. Company Guar. Notes 7.25% due 04/16/2044*		200,000		121,000

Sugar — 0.0%
Cosan Luxembourg SA Company Guar. Notes 9.50% due 03/14/2018*(14)	BRL	1,600,000		321,948

SupraNational Banks — 0.2%
European Investment Bank Senior Notes 2.63% due 03/15/2035	EUR	490,000		684,885
North American Development Bank Senior Notes 2.30% due 10/10/2018		711,000		727,925

				1,412,810

Telecom Services — 0.0%
Bharti Airtel International Netherlands BV Company Guar. Notes 5.35% due 05/20/2024		300,000		317,541

Telephone - Integrated — 0.6%
British Telecom PLC Senior Notes 6.63% due 06/23/2017	GBP	250,000		369,984
British Telecommunications PLC Senior Notes 1.13% due 06/10/2019	EUR	400,000		446,928
British Telecommunications PLC Senior Notes 8.63% due 03/26/2020	GBP	250,000		436,388
Empresa de Telecomunicaciones de Bogota Senior Notes 7.00% due 01/17/2023*	COP	640,000,000		149,784
Koninklijke KPN NV Senior Notes 5.75% due 09/17/2029	GBP	375,000		601,841
Oi SA Senior Notes 9.75% due 09/15/2016*(14)	BRL	530,000		83,152
Orange SA Senior Notes 3.88% due 01/14/2021	EUR	500,000		631,818
Orange SA Senior Notes 7.25% due 11/10/2020	GBP	155,000		264,624
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		728,000		702,520
Telecom Italia SpA Senior Notes 7.38% due 12/15/2017	GBP	250,000		372,901



Security Description	Principal Amount(3)		Value (Note 2)


Telephone - Integrated (continued)
Telefonica Emisiones SAU Company Guar. Notes 4.69% due 11/11/2019	EUR	150,000	$	186,305

				4,246,245

Transport - Marine — 0.1%
PT Pelabuhan Indonesia II* Senior Notes 4.25% due 05/05/2025		475,000		437,594

Transport - Rail — 0.0%
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115		355,000		371,024

Transport - Services — 0.0%
Transnet SOC, Ltd. Senior Notes 4.00% due 07/26/2022*		250,000		217,717

Warehousing & Harbor Transportation Services — 0.0%
DP World, Ltd. Senior Notes 6.85% due 07/02/2037		300,000		290,625

Total Foreign Corporate Bonds & Notes
(cost $165,463,141)				151,296,641

FOREIGN GOVERNMENT OBLIGATIONS — 7.9%
Electric - Distribution — 0.1%
Hydro-Quebec Government Guar. Notes 1.38% due 06/19/2017		553,000		555,371

Sovereign — 7.8%
Dominican Republic Senior Bonds 5.88% due 04/18/2024		495,000		490,050
Dominican Republic Senior Notes 5.88% due 04/18/2024*		390,000		386,100
Dominican Republic Senior Notes 6.60% due 01/28/2024*		309,000		318,270
Dominican Republic Notes 6.88% due 01/29/2026*		400,000		413,000
Dominican Republic Senior Bonds 7.45% due 04/30/2044		600,000		595,500
Dominican Republic Senior Notes 7.50% due 05/06/2021		320,000		344,800
Dominican Republic Senior Notes 8.63% due 04/20/2027		600,000		663,000
Federal Republic of Germany Bonds 0.50% due 02/15/2025	EUR	350,000		398,271
Federal Republic of Germany Bonds 1.75% due 02/15/2024	EUR	1,270,000		1,592,659
Federal Republic of Germany Bonds 2.50% due 08/15/2046	EUR	335,000		527,954
Federal Republic of Germany Bonds 6.25% due 01/04/2030	EUR	1,450,000		2,841,645

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Federative Republic of Brazil Senior Notes 5.63% due 01/07/2041	$	417,000	$	323,175
Federative Republic of Brazil Senior Notes 7.13% due 01/20/2037		3,000		2,790
Government of Finland Senior Bonds 2.63% due 07/04/2042*	EUR	200,000		294,992
Government of Jamaica Senior Notes 8.00% due 06/24/2019		275,000		296,220
Government of Jamaica Senior Notes 8.00% due 03/15/2039		250,000		263,125
Islamic Republic of Pakistan Senior Notes 8.25% due 09/30/2025*		900,000		908,646
Kingdom of Belgium Bonds 5.00% due 03/28/2035*	EUR	400,000		720,354
Lebanese Republic Senior Notes 4.00% due 12/31/2017		226,600		224,617
Lebanese Republic Senior Notes 6.60% due 11/27/2026		1,250,000		1,218,750
Oriental Republic of Uruguay Senior Notes 5.10% due 06/18/2050		1,230,000		1,103,925
Republic of Angola Senior Notes 9.50% due 11/12/2025*		820,000		701,100
Republic of Armenia Senior Notes 6.00% due 09/30/2020		750,000		725,625
Republic of Armenia Notes 7.15% due 03/26/2025		1,200,000		1,155,000
Republic of Colombia Senior Notes 4.50% due 01/28/2026		400,000		386,000
Republic of Costa Rica Senior Notes 7.16% due 03/12/2045*		460,000		388,700
Republic of Croatia Senior Notes 5.50% due 04/04/2023*		500,000		521,156
Republic of Croatia Senior Notes 6.25% due 04/27/2017		1,210,000		1,259,288
Republic of Croatia Senior Notes 6.75% due 11/05/2019		1,000,000		1,087,820
Republic of El Salvador Senior Notes 7.63% due 02/01/2041		1,120,000		912,800
Republic of Hungary Senior Notes 4.00% due 03/25/2019		500,000		519,440
Republic of Hungary Senior Notes 5.75% due 11/22/2023		1,280,000		1,446,874
Republic of Hungary Senior Notes 7.63% due 03/29/2041		590,000		812,430



Security Description	Principal Amount(3)		Value (Note 2)


Sovereign (continued)
Republic of Indonesia Senior Notes 3.75% due 04/25/2022	$	400,000	$	396,882
Republic of Indonesia Senior Notes 5.95% due 01/08/2046*		840,000		871,518
Republic of Indonesia Senior Notes 8.50% due 10/12/2035		560,000		711,628
Republic of Ivory Coast Senior Notes 5.38% due 07/23/2024		600,000		528,000
Republic of Ivory Coast Senior Notes 6.38% due 03/03/2028		500,000		448,650
Republic of Lithuania Senior Notes 5.13% due 09/14/2017		430,000		455,263
Republic of Mozambique Government Guar. Notes 6.31% due 09/11/2020		1,365,000		1,019,819
Republic of Panama Senior Notes 3.75% due 03/16/2025		1,200,000		1,215,000
Republic of Panama Senior Notes 5.20% due 01/30/2020		1,250,000		1,370,312
Republic of Panama Senior Notes 6.70% due 01/26/2036		930,000		1,162,500
Republic of Paraguay Senior Notes 6.10% due 08/11/2044		570,000		554,325
Republic of Peru Senior Notes 4.13% due 08/25/2027		377,000		385,860
Republic of Peru Senior Notes 6.55% due 03/14/2037		1,000,000		1,202,500
Republic of Poland Senior Notes 4.00% due 01/22/2024		1,190,000		1,279,250
Republic of Poland Senior Notes 5.00% due 03/23/2022		1,700,000		1,912,653
Republic of Serbia Senior Notes 7.25% due 09/28/2021		1,400,000		1,573,320
Republic of South Africa Senior Notes 5.38% due 07/24/2044		400,000		370,000
Republic of South Africa Senior Notes 5.50% due 03/09/2020		700,000		731,150
Republic of South Africa Senior Notes 5.88% due 09/16/2025		700,000		733,635
Republic of Sri Lanka Senior Notes 6.85% due 11/03/2025*		1,500,000		1,390,681
Republic of the Philippines Senior Notes 4.00% due 01/15/2021		1,325,000		1,449,750
Republic of the Philippines Senior Notes 4.20% due 01/21/2024		1,100,000		1,231,846

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Republic of the Philippines Senior Notes 7.75% due 01/14/2031	$	260,000	$	385,743
Republic of the Philippines Senior Notes 9.50% due 02/02/2030		740,000		1,221,527
Republic of Turkey Senior Notes 3.25% due 03/23/2023		1,730,000		1,596,340
Republic of Turkey Senior Notes 4.88% due 04/16/2043		580,000		510,400
Republic of Venezuela Senior Notes 7.00% due 12/01/2018		650,000		258,375
Republic of Venezuela Senior Bonds 7.65% due 04/21/2025		55,000		19,800
Republic of Venezuela Senior Notes 9.00% due 05/07/2023		550,000		204,875
Republic of Venezuela Senior Notes 9.38% due 01/13/2034		420,000		153,090
Republic of Venezuela Senior Bonds 11.75% due 10/21/2026		820,000		330,050
Republic of Venezuela Senior Bonds 11.95% due 08/05/2031		655,000		266,913
Republic of Venezuela Senior Bonds 12.75% due 08/23/2022#		1,100,000		478,500
Republic of Zambia Notes 5.38% due 09/20/2022		390,000		273,527
Republic of Zambia Senior Notes 8.50% due 04/14/2024		1,200,000		893,172
Russian Federation Senior Notes 5.88% due 09/16/2043		400,000		396,940
United Kingdom Gilt Treasury Bonds 4.50% due 09/07/2034	GBP	865,000		1,659,733
United Mexican States Senior Notes 3.60% due 01/30/2025		1,767,000		1,758,165
United Mexican States Senior Notes 4.13% due 01/21/2026		600,000		617,100
United Mexican States Senior Notes 4.75% due 03/08/2044		1,654,000		1,554,760
United Mexican States Senior Notes 6.05% due 01/11/2040		900,000		1,001,250

				58,418,878

Total Foreign Government Obligations
(cost $62,516,793)				58,974,249

U.S. GOVERNMENT AGENCIES — 9.1%
Federal Home Loan Mtg. Corp. — 2.2%
2.11% due 02/01/2037 FRS		48,833		50,747
2.50% due 01/01/2028		312,020		321,603
2.50% due 04/01/2028		716,159		737,305
2.60% due 11/01/2037 FRS		305,229		322,959



Security Description	Principal Amount(3)		Value (Note 2)

U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
3.00% due 04/01/2043	$	614,677	$	632,334
3.00% due 08/01/2043		823,287		843,765
3.00% due 07/01/2045		1,936,539		1,983,228
3.00% due 10/01/2045		235,208		240,878
3.00% due 12/01/2045		298,466		305,662
3.50% due 02/01/2042		556,584		582,974
3.50% due 03/01/2042		413,130		432,635
3.50% due 04/01/2042		766,149		802,770
3.50% due 08/01/2042		730,348		769,120
3.50% due 09/01/2043		82,889		87,345
3.50% due 03/01/2045		938,362		982,336
3.50% due 07/01/2045		303,939		318,314
3.50% due 08/01/2045		367,871		386,684
3.50% due 10/01/2045		197,049		206,253
3.50% due 11/01/2045		272,407		285,130
3.50% due 02/01/2046		2,563,028		2,682,744
4.00% due 09/01/2040		1,700,559		1,817,915
4.00% due 10/01/2043		43,955		46,899
4.00% due 07/01/2044		376,685		401,763
4.50% due 02/01/2020		17,963		18,602
4.50% due 08/01/2020		11,707		12,110
4.50% due 03/01/2023		61,090		63,200
4.50% due 01/01/2039		22,199		24,060
4.50% due 12/01/2039		33,418		36,380
5.00% due 05/01/2034		114,924		128,584
5.00% due 11/01/2043		85,976		95,344
5.50% due 06/01/2022		40,443		43,983
5.50% due 07/01/2035		31,237		35,240
6.00% due 03/01/2040		98,300		111,996
6.50% due 02/01/2036		16,117		19,573
Federal Home Loan Mtg. Corp. REMIC FRS Series 3572, Class JS 6.37% due 09/15/2039(2)(11)(12)		334,246		50,870
Series 3964, Class MD 2.00% due 01/15/2041(2)		73,523		74,594
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2014-HQ1, Class M1 2.08% due 08/25/2024(2)		75,494		75,715
Series 2014-DN1, Class M2 2.63% due 02/25/2024(2)		167,000		166,582
Series 2014-HQ2, Class M2 2.63% due 09/25/2024(2)		300,000		293,578

				16,491,774

Federal National Mtg. Assoc. — 6.6%
2.06% due 09/01/2035 FRS		270,145		282,089
2.33% due 05/01/2037 FRS		80,453		84,261
2.39% due 07/01/2039 FRS		210,460		220,753
2.45% due 10/01/2035 FRS		257,046		271,873
2.50% due March 15 TBA		2,342,751		2,402,327
2.51% due 11/01/2036 FRS		135,883		143,459
2.58% due 10/01/2040 FRS		81,280		86,167
2.61% due 05/01/2040 FRS		288,140		304,019
2.65% due 08/01/2035 FRS		173,412		182,888
2.67% due 10/01/2040 FRS		153,265		161,031
3.00% due 10/01/2027		376,645		393,816
3.00% due 12/01/2027		339,600		354,951
3.00% due March 15 TBA		2,798,895		2,918,613
3.00% due 03/01/2042		610,161		626,751
3.00% due 12/01/2042		223,617		229,789
3.00% due 05/01/2043		484,708		497,907
3.00% due 02/01/2045		339,176		348,135
3.00% due 06/01/2045		386,391		397,724
3.00% due March 30 TBA		5,758,000		5,904,348

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)		Value (Note 2)

U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
3.50% due 09/01/2026	$	371,683	$	394,209
3.50% due 08/01/2027		150,036		158,785
3.50% due 10/01/2028		362,972		386,857
3.50% due 06/01/2042		312,624		328,348
3.50% due 07/01/2042		133,717		138,115
3.50% due 08/01/2042		1,061,794		1,107,376
3.50% due 09/01/2042		797,546		837,661
3.50% due 07/01/2045		264,984		278,089
3.50% due March 30 TBA		9,129,000		9,564,508
4.00% due 11/01/2025		201,810		215,945
4.00% due 06/01/2039		441,919		481,661
4.00% due 09/01/2040		414,316		443,250
4.00% due 12/01/2040		54,340		58,143
4.00% due 11/01/2041		490,336		524,687
4.00% due 01/01/2042		377,805		404,836
4.00% due 10/01/2043		22,104		23,725
4.00% due 12/01/2043		404,273		439,326
4.00% due 10/01/2044		739,462		789,819
4.00% due 11/01/2044		233,333		249,921
4.00% due 02/01/2045		276,028		295,453
4.00% due March 30 TBA		6,626,000		7,070,407
4.50% due 06/01/2019		17,455		18,117
4.50% due 11/01/2040		108,752		118,454
4.50% due 05/01/2041		134,774		146,433
4.50% due 07/01/2041		87,808		95,656
4.50% due 03/01/2042		467,176		508,749
4.50% due 12/01/2044		25,404		27,588
4.50% due March 30 TBA		4,677,278		5,079,860
5.00% due 03/15/2016		163,000		163,291
5.00% due 01/01/2023		72,559		78,168
5.00% due 04/01/2023		48,830		52,270
5.00% due 03/01/2037		12,772		14,135
5.00% due 05/01/2040		461,987		514,688
5.00% due 06/01/2040		118,325		131,392
5.00% due 07/01/2040		174,537		193,755
5.00% due March 30 TBA		200,000		221,472
5.50% due 08/01/2037		409,346		460,328
5.50% due 06/01/2038		59,536		67,464
6.00% due 02/01/2032		3,617		4,120
6.00% due 10/01/2034		142		162
6.00% due 10/01/2037		18,865		21,474
6.00% due 09/01/2038		111,986		127,922
6.00% due 11/01/2038		34,370		39,241
6.00% due 06/01/2040		28,483		32,500
6.50% due 11/01/2037		61,379		70,401
Fannie Mae Connecticut Avenue Securities FRS Series 2014-C01, Class M1 2.04% due 01/25/2024(2)		512,767		512,287
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(2)		168,559		169,186

				48,871,135

Government National Mtg. Assoc. — 0.2%
3.00% due 02/20/2045		364,633		378,194
3.00% due 05/20/2045		262,725		272,496
3.00% due March 30 TBA		281,000		291,011
3.50% due 03/20/2045		286,781		303,323
3.50% due 04/20/2045		419,816		444,033
4.00% due 03/20/2044		137,379		146,879

				1,835,936

Tennessee Valley Authority — 0.1%
1.75% due 10/15/2018		395,000		402,749

Total U.S. Government Agencies
(cost $67,219,076)				67,601,594



Security Description	Principal Amount(3)		Value (Note 2)

U.S. GOVERNMENT TREASURIES — 9.3%
United States Treasury Bonds — 0.8%
2.88% due 08/15/2045	$	24,000	$	25,264
3.00% due 11/15/2044		121,000		130,666
3.00% due 05/15/2045		1,091,000		1,177,257
3.00% due 11/15/2045		248,000		267,927
3.13% due 11/15/2041		595,000		665,284
3.13% due 08/15/2044		253,000		280,385
3.38% due 05/15/2044		50,000		58,147
4.50% due 02/15/2036		2,400,000		3,301,968
5.25% due 11/15/2028		67,000		91,795

				5,998,693

United States Treasury Notes — 8.5%
0.13% due 04/15/2018 TIPS(13)		1,547,275		1,562,909
0.50% due 04/30/2017		8,000,000		7,978,752
0.50% due 07/31/2017		17,500,000		17,435,057
0.63% due 11/30/2017		13,259,000		13,220,151
0.75% due 01/15/2017		897,600		898,126
0.75% due 01/31/2018		634,000		633,529
1.13% due 02/28/2021		567,000		564,365
1.25% due 11/30/2018		2,936,000		2,965,703
1.38% due 07/31/2018		57,000		57,752
1.38% due 04/30/2020		947,000		954,991
1.38% due 01/31/2021		310,000		312,022
1.50% due 01/31/2022		191,000		191,865
1.63% due 08/15/2022		191,000		193,037
1.63% due 02/15/2026		250,000		247,383
1.75% due 12/31/2020		753,000		771,178
2.00% due 07/31/2022		282,000		290,923
2.00% due 02/15/2025		591,000		604,690
2.00% due 08/15/2025		4,250,000		4,344,129
2.13% due 12/31/2021		348,000		361,866
2.25% due 11/15/2025		8,619,000		9,002,813
2.38% due 08/15/2024		685,000		723,130
2.75% due 02/15/2024		175,000		189,937
3.63% due 08/15/2019		52,000		56,574

				63,560,882

Total U.S. Government Treasuries
(cost $68,663,953)				69,559,575

LOANS(15)(16)(20) — 0.6%
Aerospace/Defense — 0.1%
Vencore Inc FRS 1st Lien 10.00% due 11/23/2019		908,561		886,603

E-Commerce/Services — 0.2%
Rentpath, Inc. FRS 2nd Lien 10.00% due 12/17/2022		1,202,597		950,051

Electronic Components - Semiconductors — 0.1%
SunEdison Semiconductor, Ltd. FRS BTL-1st Lien 6.50% due 05/27/2019		930,739		907,470

Oil Companies - Exploration & Production — 0.0%
American Energy-Marcellus LLC FRS 2nd Lien 8.50% due 08/04/2021		298,693		10,206

Publishing - Books — 0.2%
Cengage Learning Acquisitions, Inc. FRS 1st Lien 8.25% due 03/31/2020		1,496,222		1,434,503

Total Loans
(cost $4,778,726)				4,188,833

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Principal Amount(3)/ Shares		Value (Note 2)

MUNICIPAL BONDS & NOTES — 0.2%
Ohio State University Revenue Bonds Series A 4.80% due 06/01/2111	$	488,000	$	507,793
Port Authority of New York & New Jersey Revenue Bonds Series 168 4.93% due 10/01/2051		438,000		489,312
Port Authority of New York & New Jersey Revenue Bonds Series 174 4.46% due 10/01/2062		815,000		825,383

Total Municipal Bonds & Notes
(cost $1,736,095)				1,822,488

COMMON STOCKS — 0.0%
Power Converter/Supply Equipment — 0.0%
TPT Acquisition, Inc.†(5)(14)		14,640		0

Television — 0.0%
ION Media Networks, Inc.†(5)(14)		316		311,962

Total Common Stocks
(cost $219,603)				311,962

PREFERRED SECURITIES — 0.1%
Electric - Distribution — 0.0%
Entergy Louisiana LLC 4.70%#		14,575		352,132

Sovereign Agency — 0.0%
Federal Home Loan Mtg. Corp. FRS Series Z 8.38%†#		5,100		16,014

Telecom Services — 0.1%
Qwest Corp. 6.13%#		28,275		683,689

Total Preferred Securities
(cost $1,149,917)				1,051,835

PREFERRED SECURITIES/CAPITAL SECURITIES — 3.4%
Banks - Commercial — 0.1%
HSBC Bank Capital Funding LP FRS 5.84% due 11/05/2031(17)	GBP	350,000		494,901

Banks - Fiduciary — 0.1%
Bank of New York Mellon Corp. FRS Series E 4.95% due 06/20/2020(17)		628,000		614,184

Banks - Super Regional — 0.2%
Fifth Third Bancorp FRS Series J 4.90% due 09/30/2019(17)		798,000		699,247
PNC Preferred Funding Trust I VRS 2.16% due 03/15/2017*(17)		493,000		393,784
Wells Fargo Capital X 5.95% due 12/01/2086		276,000		277,380

				1,370,411

Building Societies — 0.1%
Nationwide Building Society FRS 6.88% due 06/20/2019(17)	GBP	315,000		398,698

Diversified Banking Institutions — 1.5%
Bank of America Corp. FRS Series AA 6.10% due 03/17/2025(17)		1,033,000		1,002,010



Security Description	Principal Amount(3)		Value (Note 2)


Diversified Banking Institutions (continued)
BNP Paribas SA VRS 7.38% due 08/19/2025*(17)	$	548,000	$	512,380
Citigroup, Inc. FRS Series N 5.80% due 11/15/2019(17)		506,000		469,315
Citigroup, Inc. FRS 5.95% due 05/15/2025(17)		1,913,000		1,798,220
Credit Agricole SA VRS 6.63% due 09/23/2019*#(17)		767,000		675,784
Credit Agricole SA VRS 8.13% due 12/23/2025#*(17)		1,540,000		1,432,456
Deutsche Bank AG FRS 7.50% due 04/30/2025(17)		800,000		646,000
Goldman Sachs Group, Inc. FRS Series M 5.38% due 05/10/2020(17)		355,000		338,137
HSBC Holdings PLC VRS 6.38% due 03/30/2025#(17)		181,000		166,011
JPMorgan Chase & Co. FRS Series U 6.13% due 04/30/2024(17)		1,967,000		1,957,165
Lloyds Banking Group PLC VRS 7.00% due 06/27/2019(17)	GBP	340,000		440,417
Royal Bank of Scotland Group PLC VRS 8.00% due 08/10/2025#(17)		245,000		223,562
Societe Generale SA VRS 7.88% due 12/18/2023*#(17)		1,111,000		988,790
UBS Group AG VRS 5.75% due 02/19/2022(17)	EUR	385,000		413,064

				11,063,311

Electric - Integrated — 0.2%
Dominion Resources, Inc. FRS 5.75% due 10/01/2054		462,000		438,900
Enel SpA FRS Junior Sub. Notes 6.50% due 01/10/2074	EUR	325,000		370,524
Engie SA FRS 3.88% due 07/10/2018(17)	EUR	200,000		222,014
Gas Natural Fenosa Finance BV FRS 4.13% due 11/18/2022(17)	EUR	500,000		484,093

				1,515,531

Finance - Investment Banker/Broker — 0.0%
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(14)		101,000		10

Finance - Other Services — 0.1%
National Rural Utilities Cooperative Finance Corp. FRS 4.75% due 04/30/2043		683,000		650,558

Financial Guarantee Insurance — 0.2%
Assured Guaranty Municipal Holdings, Inc. FRS 6.40% due 12/15/2066*		1,835,000		1,284,500

Food - Dairy Products — 0.2%
Land O’Lakes Capital Trust I 7.45% due 03/15/2028*		1,800,000		1,867,500

Insurance - Life/Health — 0.3%
Prudential Financial, Inc. FRS 5.38% due 05/15/2045		227,000		213,947
Prudential Financial, Inc. FRS 5.63% due 06/15/2043		1,923,000		1,899,924

				2,113,871

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)



Security Description	Shares/ Principal Amount(3)			Value (Note 2)

PREFERRED SECURITIES/CAPITAL SECURITIES (continued)
Insurance - Multi-line — 0.1%
MetLife Capital Trust IV 7.88% due 12/15/2067*	$	337,000		$	384,180
MetLife, Inc. 6.40% due 12/15/2066		755,000			738,360

					1,122,540

Insurance - Reinsurance — 0.1%
Muenchener Rueckversicherungs-Gesellschaft AG VRS 7.63% due 06/21/2028	GBP	375,000			570,739

Oil Companies - Integrated — 0.0%
TOTAL SA FRS 2.25% due 02/26/2021(17)	EUR	300,000			302,277

Pipelines — 0.0%
TransCanada Trust FRS 5.63% due 05/20/2075		287,000			236,000

Telephone - Integrated — 0.1%
Telefonica Europe BV VRS 5.00% due 03/31/2020(17)	EUR	400,000			412,616

Tools - Hand Held — 0.1%
Stanley Black & Decker, Inc. FRS 5.75% due 12/15/2053#		909,000			943,088

Total Preferred Securities/Capital Securities
(cost $26,406,521)					24,960,735

Total Long-Term Investment Securities
(cost $765,674,073)					717,439,797

SHORT-TERM INVESTMENT SECURITIES — 12.3%
Registered Investment Companies — 4.1%
State Street Navigator Securities Lending Prime Portfolio 0.49%(4)(18)		30,337,184			30,337,184

Time Deposits — 8.2%
Euro Time Deposit with State Street Bank and Trust Co. 0.01% due 03/01/2016	$	61,247,000			61,247,000

Total Short-Term Investment Securities
(cost $91,584,184)					91,584,184

TOTAL INVESTMENTS
(cost $857,258,257)(8)		108.5	%		809,023,981
Liabilities in excess of other assets		(8.5	)		(63,119,796	)

NET ASSETS		100.0	%	$	745,904,185

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At February 29, 2016, the aggregate value of these securities was $179,364,421 representing 24.0% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

#	The security or a portion thereof is out on loan; See Note 2.

†	Non-income producing security

(1)	Commercial Mortgage Backed Security

(2)	Collateralized Mortgage Obligation

(3)	Denominated in United States Dollars unless otherwise indicated.

(4)	The rate shown is the 7-day yield as of February 29, 2016.

(5)	Fair valued security. Securities are classified as Level 3 based on the securities valuation inputs; see Note 2.

(6)	Company has filed for Chapter 7 bankruptcy.

(7)	PIK (“Payment-in-Kind”) security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed.

(8)	See Note 5 for cost of investments on a tax basis.

(9)	Company has filed for bankruptcy protection in the country of issuance.

(10)	Security in default of principal and interest.

(11)	Interest Only

(12)	Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at February 29, 2016.

(13)	Principal amount of security is adjusted for inflation.

(14)	Illiquid security. At February 29, 2016, the aggregate value of these securities was $1,712,551 representing 0.2% of net assets.

(15)

(16)

(17)	Perpetual maturity — maturity date reflects the next call date.

(18)	At February 29, 2016, the Fund had loaned securities with a total value of $29,857,882. This was secured by collateral of $30,337,184, which was received in cash and subsequently invested in short-term investments currently valued at $30,337,184 as reported in the Portfolio of Investments.

(19)	Subsequent to February 29, 2016, security is in default of interest.

(20)	All loans in the Fund were purchased through assignment agreements unless otherwise indicated.

BTL—Bank Term Loan

REMIC—Real Estate Mortgage Investment Conduit

TIPS—Treasury Inflation Protected Security

FRS—Floating Rate Security

VRS—Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at February 29, 2016 and unless noted otherwise, the dates are the original maturity dates.

Currency Legend

BRL—Brazilian Real

COP—Columbian Peso

EUR—Euro Dollar

GBP—British Pound

PORTFOLIO OF INVESTMENTS — February 29, 2016 (unaudited) — (continued)

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2016 (see Note 2):

The Fund’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Fund.

STATEMENTS OF ASSETS AND LIABILITIES — February 29, 2016 (unaudited)

STATEMENTS OF ASSETS AND LIABILITIES — February 29, 2016 (unaudited) — (continued)

STATEMENTS OF OPERATIONS — For the Six Months Ended February 29, 2016 (unaudited)

STATEMENTS OF OPERATIONS — For the Six Months Ended February 29, 2016 (unaudited) — (continued)

VALIC Company II (the “Series” or “VC II”) was organized as a Delaware business trust on May 6, 1998, by The Variable Annuity Life Insurance Company (“VALIC” or the “Adviser”). VALIC, the investment adviser to VC II, is an indirect wholly-owned subsidiary of American International Group, Inc. (“AIG”). VC II is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Series consists of 15 separate mutual funds (collectively the “Funds” or each a “Fund”), each of which issues its own class of shares of beneficial interest:

Indemnifications. Under VC II’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, VC II enters into contracts that contain the obligation to indemnify others. The Funds’ maximum exposure under these arrangements is unknown. Currently, however, VC II expects the risk of loss to be remote.

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be significant. The following is a summary of significant accounting policies consistently followed by the Series in the preparation of its financial statements:

In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Funds would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Trustees (the “Board”) , etc.)

Level 3 — Significant unobservable inputs (includes inputs that reflect the Funds’ own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The summary of the Funds’ assets and liabilities classified in the fair value hierarchy as of February 29, 2016, is reported on a schedule following the Portfolio of Investments.

Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.

As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Funds use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Fund’s shares, and a Fund may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Fund determines that closing prices do not reflect the fair value of the securities, the Fund will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Funds may also fair value securities in other situations, for example, when a particular foreign market is closed but a Fund is open. For foreign equity securities and foreign equity futures contracts, the Funds use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.

Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.

Senior floating rate loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.

Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.

Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded in the over-the-counter (“OTC”) market are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward contracts”) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.

For the Money Market II Fund, securities are valued at amortized cost, which approximates market value and are generally categorized as Level 2. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of any discount or premium. In accordance with Rule 2a-7 under the 1940 Act, the Board has adopted procedures intended to stabilize the Money Market II Fund’s net asset value per share at $1.00. These procedures include the determination, at such intervals as the Board deems appropriate and reasonable in light of current market conditions, of the extent, if any, to which the Money Market II Fund market-based net asset value per share deviates from the Fund’s amortized cost per share. The calculation of such deviation is referred to as “shadow pricing.” For purposes of these market-based valuations, securities for which market quotations are not readily available are fair valued, as determined pursuant to procedures adopted in good faith by the Board.

Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market, and are generally categorized as Level 1 or Level 2.

The Board is responsible for the share valuation process and has adopted policies and procedures (the “PRC Procedures”) for valuing the securities and other assets held by the Funds, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Series’ fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.

Forward Foreign Currency Contracts: During the period, the High Yield Bond Fund and Strategic Bond Fund used forward contracts to attempt to protect the value of securities and related receivables and payables against changes in future foreign exchange rates.

A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Fund as unrealized appreciation or depreciation. On the settlement date, a Fund records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Risks to the Funds of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Fund’s loss will generally consist of the net amount of contractual payments that the Fund has not yet received though the Fund’s maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized

appreciation or depreciation reported on the Statements of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.

Forward foreign currency contracts outstanding at the end of period, if any, are reported on a schedule following the Fund’s Portfolio of Investments.

Futures: During the period, the Small Cap Value Fund and Socially Responsible Fund used equity futures contracts to equitize cash, providing exposure to equity markets.

A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Fund will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by the Fund as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statements of Assets and Liabilities as variation margin for changes in the value of the contracts and as due to/from broker for the changes in the value of the initial margin requirement. When a contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The primary risk to the Funds of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security(ies). Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While the Funds will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, a Fund may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Fund has insufficient cash to meet margin requirements, the Fund may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to the Funds since the futures contracts are generally exchange-traded.

Futures contracts outstanding at the end of the period, if any, are reported on a schedule following the Fund’s Portfolio of Investments.

Swap Contracts: Certain Funds may enter into credit default, interest rate, equity and/or total return swap contracts. Swap contracts are privately negotiated in the OTC market and may be entered into as a bilateral contract or a centrally cleared contract (“centrally cleared swaps”). In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and a Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Portfolio of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as due from broker. Unlike a bilateral swap contract, for centrally cleared swaps, the Funds have no credit exposure to the counterparty as the CCP stands between the Funds and the counterparty. Swaps are marked-to-market daily based upon quotations from market makers or are calculated using standard models and current market data. Changes in value are recorded as an unrealized gain (loss). The daily change in valuation of swap contracts, if any, is recorded as unrealized appreciation (depreciation) on swap contracts. When the swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Upfront payments and receipts on swap contracts are amortized on a daily basis. Net periodic payments made or received by the Funds are included as part of realized gain (loss).

Credit Default Swap Agreements: During the period, the High Yield Bond Fund used credit default swaps to manage credit risk (i.e., hedging).

Credit default swaps are generally contracts in which one party makes periodic fixed-rate payments or a one time premium payment (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified payment in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swaps, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its Fund because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap. If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. As a buyer of protection on credit default swaps, a Fund will make periodic payments, similar to an insurance premium and the seller of protection agrees to compensate the Fund for future potential losses as a result of a credit event on the reference bond or other asset. A Fund effectively transfers the credit event risk of the reference bond or asset from it to the seller of protection. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Credit default swaps on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers (i.e., to reduce credit risk where a Fund owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular issuer’s default.

Credit default swaps on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular referenced obligation’s default.

Credit default swaps on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use credit default swaps on credit indices to hedge a Fund of credit default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in credit quality.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are disclosed in the footnotes to the Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-based securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swaps outstanding as of February 29, 2016, for which a Fund is the seller of protection, if any, are disclosed on a schedule following the Fund’s Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Fund for the same referenced entity or entities.

Credit default swap contracts outstanding at the end of the period, if any, are reported on a schedule following each Fund’s Portfolio of Investments.

Risks of Entering into Swap Agreements: Risks to the Funds of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, the Funds may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the underlying security or index, or the underlying referenced asset’s perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that the sub-adviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, the Fund may suffer a loss.

Master Agreements: Certain Funds that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Fund and applicable counterparty. Collateral requirements are generally determined based on a Fund’s net position with each counterparty. Master Agreements may also include certain provisions that require a Fund to post additional collateral upon the occurrence of certain events, such as when a Fund’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Fund may also occur upon a decline in a Fund’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Fund’s counterparties to elect early termination could cause a Fund to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Fund’s financial statements. See additional information on specific types of derivative instruments and other financial instruments as disclosed in the Notes to Financial Statements. The Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The following tables represent the value of derivatives held as of February 29, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities and the effect of derivatives on the Statements of Operations for the six months ended February 29, 2016. The derivative contracts held during the period are not accounted for as hedging instruments under GAAP. For a detailed presentation of derivatives held as of February 29, 2016, please refer to each Fund’s Portfolio of Investments.

The following table represents the average monthly balances of derivatives held during the six months ended February 29, 2016.

The following tables set forth the Funds’ derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of February 29, 2016. The repurchase agreements held by the Funds and securities on loan as of February 29, 2016, are also subject to Master Agreements but are not included in the following tables. See the Portfolio of Investments of each Fund and the Notes to the Financial Statements for more information about the Funds’ holdings in repurchase agreements and securities on loan.

Stripped Mortgage-Backed Securities (“SMBS”) are multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBS have greater market volatility than other types of U.S. government securities in which a Fund invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the “principal only” class) from the mortgage pool, while the other class will receive all or most of the interest (the “interest only” class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Fund‘s yield.

During the six months ended February 29, 2016, the Core Bond Fund and the Strategic Bond Fund entered into dollar rolls using “to be announced” (“TBA”) mortgage-backed securities (“TBA Rolls”). TBA Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Funds’ policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. The Core Bond and the Strategic Bond Fund had TBA Rolls outstanding at period end, which are included in receivable for investments sold and payable for investments purchased in the Statements of Assets and Liabilities. TBA Roll transactions involve the risk that the market value of the securities held by a Fund may decline below the price of the securities that the Fund has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a TBA Roll transaction files bankruptcy or becomes insolvent, a Fund‘s use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund‘s obligation to repurchase the securities. The return earned by a Fund with the proceeds of the TBA Roll transaction may not exceed the transaction costs.

Certain Funds may purchase or sell when-issued securities, including TBA securities that have been authorized, but not yet issued in the market. In addition, a Fund may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Funds may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when-issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. For the six months ended February 29, 2016, the Core Bond Fund and the Strategic Bond Fund purchased and/or sold when-issued securities.

Certain Funds may purchase inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and certain other issuers use a structure that reflects inflation in the principal value of the bond. Other issuers pay out any inflation related accruals as part of a semiannual coupon. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rates minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value. Coupon payments received from inflation-indexed bonds are recorded in the Statements of Operations as interest income. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will be recorded in the Statements of Operations as an increase or decrease to interest income, even though principal is not paid until maturity.

The Funds, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission (“SEC”), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations.

In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Series’ custodian takes possession of the collateral pledged for investments in such repurchase agreements (“repo” or collectively “repos”). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Fund may be delayed or limited.

As of February 29, 2016, the following Funds held an undivided interest in the joint repurchase agreement with State Street Bank and Trust Co.:

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

State Street Bank and Trust Co., dated February 29, 2016, bearing interest at a rate of 0.01% per annum, with a principal amount of $194,145,000, a repurchase price of $194,145,054 and maturity date of March 1, 2016. The repurchase agreement is collateralized by the following:

To realize additional income, each Fund, except for the Aggressive Growth Lifestyle Fund, Conservative Growth Lifestyle Fund, Moderate Growth Lifestyle Fund, and the Money Market II Fund, may lend portfolio securities with a value of up to 30% of its total assets. Securities lending arrangements are generally governed by master securities lending authorization agreements which typically provide the securities lending agent with the right to make loans of a Fund’s available securities to an approved list of borrowers. These master securities lending agreements are considered to be Master Agreements as discussed in the Notes to the Financial Statements. Loans made pursuant to these agreements will be continuously secured by collateral in an amount at least equal to the market value of the securities loaned. Such collateral will be cash, U.S. government securities, or other collateral as deemed appropriate. A Fund may use the cash collateral received to invest in short-term investments. The description of the short-term investments made with cash collateral from securities lending is included in the applicable Fund’s Portfolio of Investments. Loans by a Fund will only be made to broker-dealers deemed by the securities lending agent to be creditworthy and will not be made unless, in the judgment of VALIC, the consideration to be earned from such loans would justify the risk. It is the Series’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day. Therefore, the value of the collateral may be temporarily more or less than the value of the securities on loan. Each Fund receives income from the investment of cash collateral, in addition to lending fees and rebates paid by the borrower, less expenses associated with the loan. In the event of a borrower default, including if the borrower fails to maintain the requisite amount of collateral, the securities lending agent will terminate all outstanding loans to that particular borrower and the lending Fund is permitted to use the collateral to replace the securities while holding the borrower liable for any excess of replacement cost over collateral. The securities lending agent is also required to indemnify a Fund against certain losses resulting from a borrower default. Although risk is mitigated by the collateral and indemnification, the risks in lending fund securities, as with other extensions of secured credit, include possible delays in receiving additional collateral or in the recovery of the securities or possible loss of rights in the collateral should the borrower fail financially as well as risk of loss in the value of collateral or the value of the investments made with the collateral. Income and fees are recorded in the Statements of Operations as securities lending income. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

I. Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders

Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Funds amortize all premiums and accrete all discounts on fixed income securities.

Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as a Fund is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations. For the Lifestyle Funds, distributions from income from the Underlying Funds, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from the Underlying Funds, if any, are recorded to realized gains on the ex-dividend date.

Funds which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and certain other countries’ tax regulations require that taxes be paid on capital gains realized by a Fund.

Distributions received from Real Estate Investment Trusts (“REIT”) investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year’s allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.

Expenses common to all Funds are allocated among the Funds based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Fund as incurred on a specific identification basis. For the Lifestyle Funds, the expenses included in the accompanying financial statements reflect the expenses of the Lifestyle Funds and do not include any expenses associated with the underlying Funds.

Dividends from net investment income, if any, are normally paid annually, except for the Money Market II Fund, which declares daily and pays monthly. Distributions from net realized capital gains, if any, are normally declared and paid annually. The Funds record dividends and distributions to their shareholders on the ex-dividend date.

The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.

Each Fund is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Fund also intends to distribute sufficient net investment income and net capital gains, if any, so that it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.

The Funds recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Fund’s tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2012 — 2014 or expected to be taken in each Fund’s 2015 tax return. The Funds are not aware of any tax provisions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Funds file U.S. federal and certain state income tax returns. With few exceptions, the Funds are no longer subject to U.S. federal and state tax examinations by tax authorities for tax returns ending before 2012.

The books and records of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency contracts are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.

The Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at the end of the period. Similarly, the Funds do not isolate the effect of changes in foreign exchange rates from the changes in the market prices of portfolio securities sold during the period.

Realized foreign exchange gains and losses on other assets and liabilities and change in unrealized foreign exchange gains and losses on other assets and liabilities located in the Statements of Operations include realized foreign exchange gains and losses from currency gains or losses between the trade and the settlement dates of securities transactions, the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent amounts actually received or paid and changes in the unrealized foreign exchange gains and losses relating to the other assets and liabilities arising as a result of changes in the exchange rates and realized gains and losses on forward foreign currency contracts.

VALIC, serves as investment adviser to VC II. Certain officers and trustees of VC II are officers and directors of VALIC or affiliates of VALIC. VALIC receives from VC II a monthly fee based on each Fund’s average daily net asset value at the following annual rates:

J.P. Morgan Investment Management Inc. (“JPMIM”)—subadviser for the Small Cap Growth Fund and a portion of the Small Cap Value Fund.

Janus Capital Management LLC (“Janus”)—subadviser for a portion of the Large Cap Value Fund.

Massachusetts Financial Services Company (“MFS”)—subadviser for a portion of the International Opportunities Fund.

Metropolitan West Capital Management, LLC (“MetWest Capital”)—subadviser for a portion of the Small Cap Value Fund.

PineBridge Investments LLC (“PineBridge”)—subadviser for the Strategic Bond Fund, Core Bond Fund, Aggressive, Moderate and Conservative Growth Lifestyle Funds.

Robeco Investment Management, Inc. d/b/a Boston Partners (“Robeco”)—subadviser for a portion of the Mid Cap Value Fund.

SunAmerica Asset Management, LLC (“SunAmerica”)—subadviser for the Money Market II Fund and the Socially Responsible Fund

The Boston Company Asset Management, LLC (“The Boston Co.”)—subadviser for the Capital Appreciation Fund and a portion of the Large Cap Value Fund.

UBS Global Asset Management (Americas) Inc. (“UBS Global”) (1)—subadviser for a portion of the International Opportunities Fund.

Wellington Management Company LLP (“Wellington”)—subadviser for the High Yield Bond Fund and a portion of the Mid Cap Value Fund.

Wells Capital Management Incorporated (“Wells Capital”)—subadviser for the Mid Cap Growth Fund.

VALIC has contractually agreed to waive fees and/or reimburse expenses, if necessary, to keep annual operating expenses at or below the following percentages of each Fund’s average daily net assets through December 31, 2016. For the purposes of waived fee and/or reimbursed expense calculations, annual fund operating expenses shall not include extraordinary expenses, as determined under generally accepted accounting principles, litigation, or acquired fund fees and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of a Fund’s business. The contractual expense waivers and fee reimbursements will continue until December 31, 2016, subject to termination by the Board, including a majority of the Trustees who are not deemed to be interested persons of the Fund or VALIC as defined by Section 2(a)(19) of the 1940 Act (“the Disinterested Trustees”).

For the six months ended February 29, 2016, pursuant to the contractual expense limitations in the above table, VALIC waived fees and/or reimbursed expenses as follows:

VALIC may also voluntarily waive fees and/or reimburse expenses to avoid a negative yield on the Money Market II Fund. The voluntary waivers and/or reimbursements may be terminated at any time at the option of VALIC. The exact amount of the voluntary waivers and/or reimbursements may change on a day-to-day basis. There is no guarantee that the Money Market II Fund will be able to avoid a negative yield. For the six months ended February 29, 2016, VALIC voluntarily waived fees and/or reimbursed expenses of $262,059 for the Money Market II Fund.

VC II, on behalf of each Fund, other than the Lifestyle Funds, has entered into an Administrative Services Agreement with SunAmerica (“Administrator”), an affiliate of the Adviser. SunAmerica receives from each Fund in the Series and VCI, other than the Lifestyle Funds, an annual fee of 0.06% based upon each Fund’s average daily net assets, plus the following Accounting Basis Point Fee†: 0.0075% on the first $75 billion; 0.0060% on the next $25 billion; and 0.0050% in excess of $100 billion. Pursuant to the Administrative Services Agreement, SunAmerica provides administrative services to the Funds, regulatory reporting, internal legal and compliance services, fund accounting and related portfolio accounting services, all necessary office space, equipment, personnel, compensation and facilities for handling the affairs of the Funds and other services. Without limiting the generality of the foregoing, the Administrator (or its appointed service provider): assists with the preparation of prospectuses, statements of additional information, registration statements, and proxy materials; develops and prepares communications to shareholders, including the annual and semi-annual reports to shareholders; coordinates and supervises the preparation and filing of Fund tax returns; assists with the design, development, and operation of the Funds; prepares the Funds’ financial statements; determines the net asset value of the Funds’ shares; supervises the Funds’ transfer agent with respect to the payment of dividends and other distributions to shareholders; and calculates performance data of the Funds. For the period ended February 29, 2016, the Administrator earned fees as reflected in the Statements of Operations based upon the aforementioned rate.

VC II, on behalf of each Fund, entered into a Transfer Agency and Services Agreement with VALIC Retirement Services Company (“VRSCO”), an affiliate of VALIC. VRSCO receives from the Series and VC I an annual fee of $132,510, which is allocated to each Fund in the Series and VC I based on shareholder accounts. Under this agreement, VRSCO provides services which include the issuance and redemption of shares, acting as dividend disbursing agent, and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. In addition to the above, VRSCO provides “Blue Sky” registration and reporting in applicable states for each Fund that is sold outside of a variable annuity or variable life contract in order to effect and maintain, as the case may be, including but not limited to, the qualification of shares for sale under the applicable securities laws of such jurisdictions to qualified plans. For the six months ended February 29, 2016, VRSCO earned fees as reflected in the Statement of Operations based upon the aforementioned rate.

VC II, on behalf of each Fund, other than the Lifestyle Funds, has entered into a Shareholder Services Agreement with VALIC. Under the agreement, VALIC provides record keeping, account maintenance, and other administrative and shareholder services for contract owners and participants. VALIC receives from each Fund, other than the Lifestyle Funds, an annual fee of 0.25% based on average daily net assets of the Fund. For the period ended February 29, 2016, VALIC earned fees as reflected in the Statements of Operations based upon the aforementioned rate.

On January 23, 2001, the Board ratified a Deferred Compensation Plan for its independent trustees who are not officers, directors, or employees of VALIC, or an affiliate of VALIC. The effective date of the plan was January 1, 2001. The first deferred payment was made in March of 2001. Under the deferred compensation plan, Trustees may elect to

defer all or a portion of their compensation. Amounts deferred may be invested in up to three different affiliated mutual funds that are specified in the plan as selected by the trustees. Obligations under the deferred compensation plan represents unsecured claims against the general assets of the Funds. For the period ended February 29, 2016, VC II has deferred $9,725 of trustee compensation.

At February 29, 2016, the following affiliates owned over five percent of the outstanding shares of the following Funds:

As disclosed in the Portfolio of Investments, certain Funds own shares of various VC I or VC II Funds and securities issued by AIG or an affiliate thereof. During the six months ended February 29, 2016, transactions in these securities were as follows:

The cost of purchases and proceeds from sales and maturities of long-term investments during the six months ended February 29, 2016 were as follows:

The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statements of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, post October losses, investments in passive foreign investment companies, treatment of deferred compensation, late year ordinary losses, straddles, investments in partnerships, treatment of defaulted securities and derivative transactions.

The information in the following table is presented on the basis of cost for federal income tax purposes at February 29, 2016.

The tax character of distributions paid may differ from the Statement of Changes in Net Assets due to short-term gains treated as ordinary income distributions for tax purposes. The tax basis of distributable earnings at August 31, 2015 and the tax character of distributions paid during the year ended August 31, 2015 were as follows:

As of August 31, 2015, for Federal income tax purposes, the Funds indicated below have capital loss carryforwards, which expire in the year indicated, which are available to offset future capital gains, if any:

Under the current tax law, capital losses realized after October 31 and late year ordinary losses may be deferred and treated as occurring on the first day of the following year. For the fiscal year ended August 31, 2015, the Funds elected to defer late year ordinary losses and post October capital losses as follows:

Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of the Funds set forth below have been reduced. For the six months ended February 29, 2016, the amount of expense reductions received by each Fund used to offset non-affiliated expenses were as follows:

The High Yield Bond Fund’s investment in high yield securities, whether rated or unrated, may be considered speculative and subject to greater market fluctuations and risk of loss of income and principal than lower-yielding, higher-rated, fixed-income securities. The risk of loss due to default by the issuer may be significantly greater for the holders of high yield securities, because such securities are generally unsecured and are often subordinated to other creditors of the issuer.

The Funds may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer

defaulted, a fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. As a result of the Core Bond Fund, Money Market II Fund and Strategic Bond Fund’s concentration in such investments, these funds may be subject to risks associated with U.S. Government agencies or instrumentalities.

The International Opportunities Fund invests internationally, including in “emerging market” countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.

Each Fund, except the Money Market II Fund, the Lifestyle Funds and the Small Cap Value Fund, may invest in international bonds, which include U.S. dollar-denominated bonds issued by foreign corporations for which the primary trading market is in the United States (“Yankee Bonds”), or for which the primary trading market is abroad (“Euro Bonds”). International bonds may involve special risks and considerations not typically associated with investing in U.S. companies, including differences in accounting, auditing and financial reporting standards; generally higher commission rates on foreign portfolio transactions; the possibility of nationalization, expropriation or confiscatory taxation; adverse changes in investment or exchange control regulations (which may include suspension of the ability to transfer currency from a country); and political instability which could affect U.S. investments in foreign countries. As a result of the Strategic Bond Fund’s concentration in such investments, it may be subject to risks associated with the international bonds.

VCII, along with certain other funds managed by the Adviser, has access to an $85 million committed unsecured line of credit and a $40 million uncommitted unsecured line of credit. The committed and uncommitted lines of credit are renewable on an annual basis with State Street Bank and Trust Company, the Funds’ custodian. Prior to October 9, 2015, interest on the committed line of credit was payable at the higher of the Federal Funds Rate plus 125 basis points or the Overnight London Interbank Offered Rate plus 125 basis points. There was also a commitment fee of 15 basis points per annum on the daily unused portion of the committed line of credit and a one-time closing fee of 5 basis points on the uncommitted line of credit. Borrowings under the line of credit will commence when the respective Portfolio’s cash shortfall exceeds $100,000.

Effective October 9, 2015, the interest payable under the committed line of credit is the higher of the Federal Funds Rate (but not less than zero) plus 125 basis points or the One-Month London Interbank Offered Rate (but not less than zero) plus 125 basis points. In addition, the commitment fee on the daily unused portion of the committed line of credit increases to 20 basis points per annum.

Pursuant to the exemptive relief granted by the SEC, the Funds are permitted to participate in an interfund lending program among investment companies advised by VALIC or an affiliate. The interfund lending program allows the participating Funds to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Funds receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction.

For the six months ended February 29, 2016, none of the Funds participated in this program.

The Funds are permitted to transfer securities by purchasing from and/or selling to other affiliated funds under certain conditions approved by the Board. The affiliated funds involved in such transactions must have a common investment adviser or investment advisers which are affiliated persons of each other, common Trustees, and/or common officers in compliance with Rule 17a-7 of the 1940 Act. Pursuant to the Act, such a transaction must be either a purchase or a sale, for no consideration other than cash payment against prompt delivery of the security at the current market price. No brokerage commission or fee (except for customary transfer fees), or other remuneration is paid in connection with such transactions.

For the year ended February 29, 2016, the following Funds engaged in security transactions with affiliated Funds:

For the year ended February 29, 2016, the following Funds incurred brokerage commissions with affiliated brokers which are affiliates of a sub-adviser:

At an in-person meeting held on January 25-26, 2016 (the “Meeting”), the Board approved a proposal to convert the Money Market II Fund (the “Fund”) into a “government money market fund” as defined by Rule 2a-7 under the Investment Company Act of 1940, as amended. In connection with this approval, the Board also approved a change in the Fund’s name to the “Government Money Market II Fund.” The conversion and change in the Fund’s name will become effective on or about September 28, 2016. In order to qualify as a government money market fund, the Fund must invest at least 99.5% of its total assets in government securities, cash, or repurchase agreements collateralized by government securities or cash. As a government money market fund, the Fund will seek to maintain a stable $1.00 net asset value per share and will not be subject to liquidity fees and/or redemption gates.

Per share data is for a share of beneficial interest outstanding throughout the period. Total return includes reinvestment of distributions on the reinvestment date.

At an in-person meeting held on February 25, 2016 (the “Meeting”), the Board of VALIC Company II, including the Trustees who are not “interested persons,” as defined under Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “Independent Trustees”), approved an Investment Sub-Advisory Agreement (the “Sub-Advisory Agreement”) between The Variable Annuity Life Insurance Company (“VALIC”) and Delaware Investments Fund Advisers (“Delaware Investments”) with respect to the International Opportunities Fund (the “Fund”). In connection with the approval of the Sub-Advisory Agreement with Delaware Investments, the Board approved the termination of the existing Investment Sub-Advisory Agreement between VALIC and UBS Asset Management (Americas) Inc. (“UBS”) with respect to the Fund.

In connection with the approval of the Sub-Advisory Agreement, the Board, including the Independent Trustees, received materials relating to certain factors the Board considered in determining whether to approve the Sub-Advisory Agreement. Those factors included: (1) the nature, extent and quality of the services to be provided to the Fund by Delaware Investments; (2) the sub-advisory fees proposed to be charged in connection with Delaware Investments’ management of the Fund, compared to sub-advisory fee rates of a group of funds with similar investment objectives, as selected by an independent third-party provider of investment company data (“Subadvisory Expense Group”); (3) the investment performance of the Fund compared to the Fund’s benchmark (“Benchmark”), as well as information regarding the performance of the portion of the Fund managed by UBS over various time periods; (4) the costs of services and the benefits potentially to be derived by Delaware Investments; (5) whether the Fund will benefit from possible economies of scale from engaging Delaware Investments; (6) information regarding Delaware Investments’ brokerage and trading practices and compliance and regulatory history; and (7) the terms of the proposed Sub-Advisory Agreement.

In considering whether to approve the Sub-Advisory Agreement, the Board also took into account a presentation made at the Meeting by members of management as well as a presentation made by representatives from Delaware Investments who responded to questions posed by the Board and management. The Independent Trustees were separately represented by counsel that is independent of VALIC and Delaware Investments in connection with their consideration of approval of the Sub-Advisory Agreement. The matters discussed below were also considered separately by the Independent Trustees in executive sessions with their independent legal counsel, at which no representatives of management were present.

Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of services to be provided to the Fund by Delaware Investments. The Board reviewed information provided by Delaware Investments relating to its operations and personnel. The Board also took into account their knowledge of the portfolio management team at Delaware Investments who would be responsible for managing a portion of the Fund through the team’s management of a portion of the Fund at UBS. The Board noted that the portfolio manager responsible for managing UBS’s portion of the Fund would also be the portfolio manager responsible for managing Delaware Investments’ portion of the Fund. The Board also noted that Delaware Investments’ management of the Fund will be subject to the oversight of the VALIC and the Board, and must be made in accordance with the investment objectives, policies and restrictions set forth in the Fund’s prospectus and statement of additional information.

The Board considered information provided to them regarding the services to be provided by Delaware Investments. The Board noted that Delaware Investments will (i) determine the securities to be purchased or sold on behalf of the portion of the Fund’s assets assigned to Delaware Investments; (ii) provide VALIC with records concerning its activities, which VALIC or the Fund is required to maintain; and (iii) render regular reports to VALIC and to officers and Trustees of the Fund concerning its discharge of the foregoing responsibilities. The Board reviewed Delaware Investments’ history and investment experience as well as information regarding the qualifications, background and responsibilities of Delaware Investments’ investment and compliance personnel who would provide services to the Fund. The Board also took into account the financial condition of Delaware Investments. The Board also reviewed Delaware Investments’ brokerage practices. The Board also considered Delaware Investments’ risk management processes and regulatory history, including information regarding whether it was currently involved in any regulatory actions or investigations as well as material litigation that may affect its ability to service the Fund.

The Board concluded that the scope and quality of the advisory services to be provided by Delaware Investments were expected to be satisfactory and that there was a reasonable basis to conclude that Delaware Investments would provide a high quality of investment services to the Fund.

Fees and Expenses; Investment Performance. The Board received and reviewed information regarding the fees proposed to be charged by Delaware Investments for sub-advisory services compared against the sub-advisory fees of the funds in the Fund’s Subadvisory Expense Group. The Board noted that VALIC negotiated the sub-advisory fee with Delaware Investments at arm’s length. The Board also considered that the sub-advisory fees will be paid by VALIC out of the advisory fees it receives from the Fund, and that the sub-advisory fees are not paid by the Fund, The Board also noted that the sub-advisory fee schedule payable to Delaware Investments is identical to the sub-advisory fee schedule payable to UBS. Therefore, the Board considered that the appointment of Delaware Investments will not result in any change to the management fee paid by the Fund to VALIC or in the amount of the management fee retained by VALIC. The Board noted that Delaware Investments indicated that it does not manage mutual funds or other accounts that have a similar investment strategy as the Fund, and therefore, comparable expense information of such funds or accounts was not applicable to the Board’s consideration of the Sub-Advisory Agreement. The Board also considered that the sub-advisory fee rate payable to Delaware Investments contains breakpoints.

The Board considered that the proposed sub-advisory fees payable to Delaware Investments are below the median of the Fund’s Subadvisory Expense Group. The Board also took account of management’s discussion of the Fund’s proposed sub-advisory fees and concluded in light of all factors considered that such fees were reasonable.

The Board received and reviewed information prepared by management regarding the investment performance of the portion of the Fund managed by UBS over various time periods. The Board noted that the portion of the Fund managed by UBS outperformed the Benchmark for the one-year period ended December 31, 2015, and underperformed the Benchmark for the three-year period ended December 31, 2015. The Board also noted that it considers the performance of the Fund relative to its Performance Group and Benchmark at its regular meetings. The Board also noted that management was satisfied with UBS’s management of the Fund.

Cost of Services and Indirect Benefits/Profitability. The Board considered the cost of services and profits expected to be realized in connection with the Sub-Advisory Agreement. The Board was apprised that VALIC reviewed a number of factors in determining appropriate sub-advisory fee levels for the Fund. Such factors included a review of (1) style class peers primarily within the variable annuity and qualified plan universe; (2) key competitor analysis; (3) clone fund analysis; (4) product suitability; and (5) special considerations such as competitor sub-account characteristics, uniqueness of the product and prestige of the manager.

APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS (unaudited) — (continued)

The Board considered that the sub-advisory fees were negotiated with Delaware Investments at arm’s length. In considering the anticipated profitability to Delaware Investments in connection with its relationship to the Fund, the Trustees noted that the fees under the Sub-Advisory Agreement will be paid by VALIC out of the advisory fees that VALIC will receive from the Fund. The Board noted that the sub-advisory fee currently paid to UBS is identical to the fee proposed to be paid to Delaware Investments, and as a result, the appointment of Delaware Investments is not expected to have any impact on VALIC’s profitability. In addition, the Board acknowledges that, pursuant to an agreement between Delaware Investments and UBS, Delaware Investments agreed to pay UBS a referral fee of 20% of the fees it earned under the Sub-Advisory Agreement for a period of two years. The Board noted that this agreement was between UBS and Delaware Investments and that this fee was payable by Delaware Investments and not VALIC or the Fund.

In light of all the factors considered, the Trustees determined that the anticipated profitability to VALIC was reasonable. The Board also concluded that the anticipated profitability of Delaware Investments from its relationship with the Fund was not material to their deliberations with respect to consideration of approval of the Sub-Advisory Agreement.

Economies of Scale. For similar reasons as stated above with respect to Delaware Investments’ anticipated profitability and its costs of providing services, the Board concluded that the potential for economies of scale in Delaware Investments’ management of the Fund are not a material factor to the approval of the Sub-Advisory Agreement, although the Board noted that the Fund has breakpoints at the sub-advisory fee level.

Terms of the Sub-Advisory Agreement. The Board reviewed the terms of the Sub-Advisory Agreement including the duties and responsibilities to be undertaken. The Board also reviewed the terms of payment for services rendered by Delaware Investments and noted that VALIC would compensate Delaware Investments out of the advisory fees it receives from the Fund. The Board noted that the Sub-Advisory Agreement provides that Delaware Investments will pay all of its own expenses in connection with the performance of its duties as well as the cost of maintaining the staff and personnel as necessary for it to perform its obligations. The Board also considered the termination and liability provisions of the Sub-Advisory Agreement and other terms contained therein. The Board concluded that the terms of the Sub-Advisory Agreement were reasonable.

Conclusions. In reaching its decision to approve the Sub-Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that Delaware Investments possesses the capability and resources to perform the duties required of it under the Sub-Advisory Agreement.

In the section entitled “Fund Summary: Socially Responsible Fund – Investment Adviser,” the portfolio manager disclosure with respect to SunAmerica Asset Management, LLC (“SAAMCo”) is deleted in its entirety and replaced with the following:

In the section entitled “Management – Investment Subadvisers,” the third paragraph under the heading “SunAmerica Asset Management, LLC” is hereby deleted in its entirety and replaced with the following:

The Socially Responsible Fund is managed by a team consisting of Timothy Campion, Kara Murphy and Jane Bayar, with Mr. Campion serving as team leader. Mr. Campion is a Vice President and Portfolio Manager at SAAMCo. He is responsible for the management and trading of a wide variety of domestic equity index funds. Mr. Campion joined SAAMCo in 2012. Prior to joining SAAMCo, he was Vice President and Portfolio Manager at PineBridge since 1999. Ms. Murphy is the Chief Investment Officer of SAAMCo. Previously, Ms. Murphy was the Director of Research and a senior research analyst covering the financial sector. Before joining SAAMCo, Ms. Murphy held research positions at Chilton Investment Company and Morgan Stanley Investment Management. Her investment experience dates from 2000. Ms. Bayar joined SAAMCo in 2004. She is a Portfolio Manager on index and social funds. Previously at SAAMCo, Ms. Bayar was an equity analyst and assistant portfolio manager on fixed income funds. Ms. Bayar received her B.A. from Baruch College and her M.B.A. from Rutgers School of Business.

Capitalized terms used herein but not defined shall have the meanings assigned to them in the Prospectus.

At a meeting held on April 25-26, 2016, the Board of Trustees (the “Board”) of VALIC Company II (“VC II”) approved an amendment to the investment sub-advisory agreement (“Sub-Advisory Agreement”) between The Variable Life Insurance Company and Metropolitan West Capital Management, LLC (“MetWest”), with respect to the VC II Small Cap Value Fund (the “Fund”) in connection with the merger of the Fund’s current sub-adviser, MetWest, into Wells Capital Management Incorporated (“Wells Capital Management”) (the “Merger”). The Merger is expected to take place on or about July 1, 2016 (the “Effective Date”). With the completion of the Merger, MetWest personnel will become exclusively personnel of Wells Capital Management. The Merger is not expected to result in any change to the portfolio manager of the Fund, its investment strategies, the nature and level of services provided to the Fund, or its fees and expenses. The Merger will not constitute an “assignment” for purposes of the Investment Company Act of 1940, as amended, and the Sub-Advisory Agreement will continue in force with WellsCap.

In the section entitled “Fund Summary: Small Cap Value Fund – Performance Information,” the second and third paragraphs are deleted in their entirety and replaced with the following:

SunAmerica Asset Management, LLC (“SAAMCo”) was a co-subadviser of the Fund from February 28, 2010 to December 14, 2012. Effective February 8, 2010, Wells Capital Management Incorporated (f/k/a Metropolitan West Capital Management, LLC) (“WellsCap”) assumed co-subadvisory duties. As of January 1, 2002, J.P. Morgan Investment Management Inc. (“JPMIM”) (and its predecessors) assumed management of the Fund.

JPMIM manages approximately 58% of the Fund’s assets and WellsCap manages approximately 42% of the Fund’s assets. The percentage of the Fund’s assets each subadviser manages may change from time-to-time at the discretion of Fund’s investment adviser, The Variable Annuity Life Insurance Company (“VALIC”).

In the section entitled “Fund Summary: Small Cap Value Fund – Investment Adviser,” all reference to Metropolitan West Capital Management, LLC and MetWest are hereby deleted and replaced with a reference to Wells Capital Management Incorporated or WellsCap, respectively.

In the section entitled “Additional Information about the Funds’ Strategies and Risks – Small Cap Value Fund,” all reference to MetWest Capital is replaced with a reference to WellsCap.

In addition, the prospectus is amended to include the following portfolio management description under Wells Capital Management in the section “Management – Investment Sub-Advisers”:

Samir Sikka is responsible for managing Wells Capital Management’s portion of the Small Cap Value Fund. Mr. Sikka joined Wells Capital Management or one of its predecessor firms in July 2006 as a Senior Analyst. In 2007, he was promoted to co-lead portfolio manager for Wells Capital Management’s Pelican Small Cap Value strategy (formerly Small Cap Intrinsic Value strategy). Mr. Sikka became sole lead portfolio manager on the Pelican Small Cap Value strategy in the first quarter of 2009. From April 1999 to February 2006, Mr. Sikka was a Senior Analyst with Trust Company of the West.

In addition, all reference to MetWest under this section is deleted and, with respect to references to the Fund, is replaced with a corresponding reference to WellsCap.

BOARD OF TRUSTEES

Thomas J. Brown

Judith L. Craven

William F. Devin

Timothy J. Ebner

Gustavo E. Gonzales, Jr.

Peter A. Harbeck

Kenneth J. Lavery

John E. Maupin, Jr.

CUSTODIAN

State Street Bank and Trust Company

One Lincoln Street

Boston, Massachusetts 02111

INVESTMENT ADVISER

The Variable Annuity

Life Insurance Company (VALIC)

2929 Allen Parkway

Houston, Texas 77019

INVESTMENT SUBADVISERS

J.P. Morgan Investment Management Inc.

270 Park Avenue

New York, New York 10017

Janus Capital Management LLC

151 Detroit Street

Denver, Colorado 80206

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, MA 02199

Metropolitan West Capital Management, LLC

610 Newport Center Drive, Suite 100

Newport Beach, CA 92660

PineBridge Investments LLC

399 Park Avenue

New York, New York 10022

Robeco Investment Management, Inc. d/b/a Boston Partners

909 Third Avenue, 32nd Floor

New York, New York 10022

SunAmerica Asset Management, LLC

Haborside Financial Center

3200 Plaza 5

Jersey City, New Jersey 07311

The Boston Company Asset Management, LLC

BNY Mellon Center

201 Washington St.

Boston, Massachusetts 02108

UBS Global Asset Management (Americas), Inc.

1285 Avenue of the Americas

New York, NY 10019

Wellington Management Company LLP

280 Congress Street

Boston, Massachusetts 02210

Wells Capital Management, Inc.

525 Market St.

10th Floor

San Francisco, CA 94105

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

PricewaterhouseCoopers LLP

1201 Louisiana Street, Suite 2900

Houston, Texas 77002

TRANSFER AND SHAREHOLDER SERVICE AGENT

VALIC Retirement

Services Company (VRSCO)

2929 Allen Parkway

Houston, Texas 77019

OFFICERS

John T. Genoy

President and Principal Executive Officer

John Packs,

Vice President and Senior Investment Officer

Gregory R. Kingston,

Treasurer and Principal Financial Officer

Kathleen Fuentes,

Vice President, Chief Legal Officer and Secretary

Gregory N. Bressler,

Vice President

Katherine Stoner,

Vice President and Chief Compliance Officer

Thomas M. Ward,

Vice President

Shawn Parry,

Vice President and Assistant Treasurer

Donna McManus,

Vice President and Assistant Treasurer

Daniel Subea

Assistant Treasurer

Louis O. Ducote II,

Assistant Secretary

Shana L. Walker,

Assistant Secretary

Matthew J. Hackethal,

Anti-Money Laundering Compliance Officer

DISCLOSURE OF QUARTERLY FUND PORTFOLIO HOLDINGS

VC II is required to file its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for its first and third fiscal quarters on Form N-Q. VC II’s Forms N-Q are available on the U.S. Securities and Exchange Commission’s website at www.sec.gov. You can also review and obtain copies of Forms N-Q at the U.S. Securities and Exchange Commission’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330).

VOTING PROXIES ON VALIC COMPANY II PORTFOLIO SECURITIES

A description of the policies and procedures that VC II uses to determine how to vote proxies related to securities held in the Fund’s portfolios, which is available in VC II’s Statement of Additional Information, may be obtained without charge upon request, by calling 800-448-2542. This information is also available from the EDGAR database on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov.

PROXY VOTING RECORD ON VALIC COMPANY II PORTFOLIO SECURITIES

Information regarding how VC II voted proxies relating to securities held in the VC II Funds portfolios during the most recent twelve month period ended June 30, is available, once filed with the U.S. Securities and Exchange Commission without charge, upon request, by calling 800-448-2542 or on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov.

This report is for the information of the shareholders and variable contract owners investing in VC II. It is authorized for distribution to other persons only when preceded or accompanied by an effective prospectus which contains information on how to purchase shares and other pertinent information.

If you would like further information about this material or products issued by VALIC or American General Life Insurance Company, please contact your financial professional.

The accompanying report has not been audited by independent accountants and accordingly no opinion has been expressed thereon.

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item 10.

(2) Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.

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.


	Actual
Fund	Beginning Account Value at September 1, 2015		Ending Account Value Using Actual Return at February 29, 2016		Expenses Paid During the Six Months Ended February 29, 2016*		Beginning Account Value at September 1, 2015		Ending Account Value Using a Hypothetical 5% Annual Return at February 29, 2016		Expenses Paid During the Six Months Ended February 29, 2016*		Annualized Expense Ratio
Aggressive Growth Lifestyle#	$	1,000.00	$	948.45	$	0.48	$	1,000.00	$	1,024.37	$	0.50		0.10	%
Capital Appreciation#	$	1,000.00	$	969.42	$	4.16	$	1,000.00	$	1,020.64	$	4.27		0.85	%
Conservative Growth Lifestyle#	$	1,000.00	$	969.87	$	0.49	$	1,000.00	$	1,024.37	$	0.50		0.10	%
Core Bond#	$	1,000.00	$	1,008.23	$	3.84	$	1,000.00	$	1,021.03	$	3.87		0.77	%
High Yield Bond#	$	1,000.00	$	960.81	$	4.68	$	1,000.00	$	1,020.09	$	4.82		0.96	%
International Opportunities#	$	1,000.00	$	956.23	$	4.86	$	1,000.00	$	1,019.89	$	5.02		1.00	%
Large Cap Value#	$	1,000.00	$	947.31	$	3.92	$	1,000.00	$	1,020.84	$	4.07		0.81	%
Mid Cap Growth#	$	1,000.00	$	879.68	$	3.97	$	1,000.00	$	1,020.64	$	4.27		0.85	%
Mid Cap Value#	$	1,000.00	$	931.71	$	5.04	$	1,000.00	$	1,019.64	$	5.27		1.05	%
Moderate Growth Lifestyle#	$	1,000.00	$	960.26	$	0.49	$	1,000.00	$	1,024.37	$	0.50		0.10	%
Money Market II#	$	1,000.00	$	1,000.05	$	1.19	$	1,000.00	$	1,023.67	$	1.21		0.24	%
Small Cap Growth#	$	1,000.00	$	821.69	$	5.25	$	1,000.00	$	1,019.10	$	5.82		1.16	%
Small Cap Value#	$	1,000.00	$	923.63	$	4.54	$	1,000.00	$	1,020.14	$	4.77		0.95	%
Socially Responsible#	$	1,000.00	$	989.22	$	2.77	$	1,000.00	$	1,022.08	$	2.82		0.56	%
Strategic Bond	$	1,000.00	$	980.91	$	4.33	$	1,000.00	$	1,020.49	$	4.42		0.88	%


	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affiliated Registered Investment Companies	$	481,752,387	$	—	$	—	$	481,752,387


	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Affiliated Registered Investment Companies	$	308,452,455	$	—	$	—	$	308,452,455



PRESIDENT’S LETTER			1

EXPENSE EXAMPLE			2

PORTFOLIOS OF INVESTMENTS:

Aggressive Growth Lifestyle Fund			4
Capital Appreciation Fund			6
Conservative Growth Lifestyle Fund			9
Core Bond Fund			11
High Yield Bond Fund			33
International Opportunities Fund			44
Large Cap Value Fund			51
Mid Cap Growth Fund			55
Mid Cap Value Fund			58
Moderate Growth Lifestyle Fund			63
Money Market II Fund			65
Small Cap Growth Fund			68
Small Cap Value Fund			72
Socially Responsible Fund			80
Strategic Bond Fund			87

STATEMENTS OF ASSETS AND LIABILITIES			115

STATEMENTS OF OPERATIONS			118

STATEMENTS OF CHANGES IN NET ASSETS			121

NOTES TO FINANCIAL STATEMENTS			125

FINANCIAL HIGHLIGHTS			144

APPROVAL OF ADVISORY AGREEMENTS			152

SUPPLEMENTS TO PROSPECTUS			154


Domestic Equity Investment Companies	45.5	%
International Equity Investment Companies	23.8
Domestic Fixed Income Investment Companies	22.2
Real Estate Investment Companies	8.5

	100.0	%


Domestic Fixed Income Investment Companies	65.7	%
International Equity Investment Companies	18.7
Domestic Equity Investment Companies	10.4
Real Estate Investment Companies	5.2

	100.0	%


	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Asset Backed Securities:
Diversified Financial Servicies	$	—	$	50,034,341	$	2,615,517	$	52,649,858
U.S. Corporate Bonds & Notes:
Airlines		—		1,619,332		45,566		1,664,898
Gambling (Non-Hotel)		—		643,405		51		643,456
Other Industries		—		304,878,369		—		304,878,369
Foreign Corporate Bonds & Notes		—		90,755,330		—		90,755,330
Foreign Government Obligations		—		7,072,354		—		7,072,354
U.S. Government Agencies		—		391,326,797		—		391,326,797
U.S. Government Treasuries		—		264,292,816		—		264,292,816
Municipal Bonds & Notes		—		3,084,605		—		3,084,605
Common Stocks		—		—		77,990		77,990
Preferred Securities		1,644,896		—		—		1,644,896
Preferred Securities/Capital Securities		—		26,092,630		—		26,092,630
Short-Term Investment Securities:
Registered Investment Companies		19,299,981		—		—		19,299,981
Time Deposits		—		121,784,000		—		121,784,000

Total Investments at Value	$	20,944,877	$	1,261,583,979	$	2,739,124	$	1,285,267,980


Centrally Cleared Credit Default Swaps on Credit Indicies — Sell Protection(1)
Reference Obligation	Fixed Deal Receive Rate			Termination Date		Counterparty		Implied Credit Spread at February 29, 2016(2)			Notional Amount(3)		Value at February 29, 2016(4)			Upfront Premiums Paid/ (Received)		Unrealized Appreciation/ (Depreciation)
Markit CDX North America High Yield Index		5.00	%		12/20/2019		Goldman Sachs Corp.		0.3973	%	$	3,506,550	$	122,641		$	156,155	$	(33,514	)
Markit CDX North America High Yield Index		5.00	%		06/20/2020		Goldman Sachs Corp.		0.4481	%		6,989,400		135,541			387,201		(251,660	)
Markit CDX North America High Yield Index		5.00	%		12/20/2020		Goldman Sachs Corp.		0.5216	%		12,335,000		(106,416	)		292,012		(398,428	)

													$	151,766		$	835,368	$	(683,602	)


Domestic Fixed Income Investment Companies	39.4	%
Domestic Equity Investment Companies	32.9
International Equity Investment Companies	19.7
Real Estate Investment Companies	8.0

	100.0%


U.S. Government Agencies	70.4	%
U.S. Government Treasuries	23.1
Foreign Bank	6.0
Commercial Banks-Canadian	2.2
Money Center Banks	1.5
Repurchase Agreements	1.4

	104.6	%


Futures Contracts
Number of Contracts		Type	Description	Expiration Month		Value at Trade Date		Value as of February 29, 2016		Unrealized Appreciation (Depreciation)
	116	Long	Russell 2000 E-Mini Index		March 2016	$	12,016,622	$	11,967,720	($	48,902	)


Futures Contracts
Number of Contracts		Type	Description	Expiration Month		Value at Trade Date		Value as of February 29, 2016		Unrealized Appreciation (Depreciation)
	269	Long	S&P 500 E-Mini Index		March 2016	$	27,402,492	$	25,951,775	$	(1,450,717	)


Forward Foreign Currency Contracts
Counterparty	Contract to Deliver			In Exchange For			Delivery Date		Unrealized Appreciation		Unrealized Depreciation
JPMorgan Chase Bank N.A		EUR	30,750,000		USD	33,557,475		03/04/2016	$	104,405	$	–
		EUR	22,350,000		USD	24,964,955		03/18/2016		640,524		–
		GBP	15,960,000		USD	22,977,931		03/04/2016		763,953		–
		USD	1,022,911		GBP	710,000		03/04/2016		–		(34,695	)
		USD	954,584		EUR	850,000		03/09/2016		–		(29,750	)

Net Unrealized Appreciation/(Depreciation)									$	1,508,882	$	(64,445	)


	AGGRESSIVE GROWTH LIFESTYLE FUND			CAPITAL APPRECIATION FUND		CONSERVATIVE GROWTH LIFESTYLE FUND			CORE BOND FUND			HIGH YIELD BOND FUND
ASSETS:
Investments at value (unaffiliated)*†	$	–		$	78,984,956	$	–		$	1,285,267,980		$	480,115,005
Investments at value (affiliated)*		481,752,387			–		308,452,455			–			–
Repurchase agreements (cost approximates value)		–			–		–			–			41,957,000

Total investments		481,752,387			78,984,956		308,452,455			1,285,267,980			522,072,005

Cash		51,241			641		75,587			101,008			173,469
Foreign cash*		–			–		–			–			109,764
Due from broker		–			–		–			–			1,123,513
Receivable for:
Trust shares sold		79,887			35,600		85,644			241,920			2,725
Dividends and interest		–			90,586		–			7,660,543			7,997,190
Investments sold		370,301			401,938		–			10,437,046			936,062
Payments on swap contracts		–			–		–			–			223,866
Securities lending income		–			1,037		–			10,273			28,055
Prepaid expenses and other assets		9,144			6,702		6,113			21,953			14,256
Due from investment adviser for expense reimbursements/fee waivers		22,157			12,119		15,963			15,150			12,021
Variation margin on futures contracts		–			–		–			–			–
Unrealized appreciation on forward foreign currency contracts		–			–		–			–			72,165
Swap premiums paid		–			–		–			–			835,368
Unrealized appreciation on swap contracts		–			–		–			–			–

TOTAL ASSETS		482,285,117			79,533,579		308,635,762			1,303,755,873			533,600,459

LIABILITIES:
Payable for:
Trust shares reacquired		450,188			2,174		18,754			176,907			47,532
Investments purchased		–			357,318		66,889			118,393,810			4,513,097
Payments on swap contracts		–			–		–			–			–
Investment advisory and management fees		37,584			33,339		24,265			393,753			230,646
Shareholder services		–			15,154		–			228,763			93,626
Administrative service fees		–			4,092		–			61,766			25,279
Transfer agent fees and expenses		374			748		374			748			748
Trustees’ fees and expenses		9,035			4,208		6,044			18,581			11,963
Other accrued expenses		51,273			28,424		38,935			100,638			55,675
Variation margin on futures contracts		–			–		–			–			–
Accrued foreign tax on capital gains		–			–		–			–			–
Collateral upon return of securities loaned		–			1,035,548		–			19,299,981			48,133,095
Unrealized depreciation on forward foreign currency contracts		–			–		–			–			–
Swap premiums received		–			–		–			–			–
Unrealized depreciation on swap contracts		–			–		–			–			683,602

TOTAL LIABILITIES		548,454			1,481,005		155,261			138,674,947			53,795,263

NET ASSETS	$	481,736,663		$	78,052,574	$	308,480,501		$	1,165,080,926		$	479,805,196

NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share	$	475,942		$	49,233	$	266,155		$	1,056,805		$	675,265
Additional paid in capital		447,410,252			57,328,291		305,188,813			1,133,920,301			524,891,236
Accumulated undistributed net investment income (loss)		16,396,327			523,699		11,360,144			35,758,931			35,022,548
Accumulated undistributed net realized gain (loss) on investments, swap contracts, futures contracts, options contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		55,313,387			9,300,297		15,790,000			(1,366,309	)		(44,030,788	)
Unrealized appreciation (depreciation) on investments		(37,859,245	)		10,851,054		(24,124,611	)		(4,288,802	)		(36,141,352	)
Unrealized appreciation (depreciation) on swap contracts, futures contracts and options contracts		–			–		–			–			(683,602	)
Unrealized foreign exchange gain (loss) on other assets and liabilities		–			–		–			–			71,889
Accrued capital gains tax on unrealized appreciation (depreciation)		–			–		–			–			–

NET ASSETS	$	481,736,663		$	78,052,574	$	308,480,501		$	1,165,080,926		$	479,805,196

SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)		1,000,000,000			1,000,000,000		1,000,000,000			1,000,000,000			1,000,000,000
Outstanding		47,594,214			4,923,282		26,615,467			105,680,451			67,526,495
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	10.12		$	15.85	$	11.59		$	11.02		$	7.11

* Cost
Investments (unaffiliated)	$	–		$	68,133,902	$	–		$	1,289,556,782		$	516,256,357

Investments (affiliated)	$	519,611,632		$	–	$	332,577,066		$	–		$	–

Foreign cash	$	–		$	–	$	–		$	–		$	109,648

† Including securities on loan	$	–		$	1,026,934	$	–		$	18,973,610		$	47,713,074


	INTERNATIONAL OPPORTUNITIES FUND			LARGE CAP VALUE FUND			MID CAP GROWTH FUND			MID CAP VALUE FUND			MODERATE GROWTH LIFESTYLE FUND
ASSETS:
Investments at value (unaffiliated)*†	$	601,157,512		$	189,913,411		$	128,346,062		$	875,420,735		$	–
Investments at value (affiliated)*		–			–			–			–			768,206,476
Repurchase agreements (cost approximates value)		9,484,000			–			2,124,000			8,881,000			–

Total investments		610,641,512			189,913,411			130,470,062			884,301,735			768,206,476

Cash		6,152,391			536			884			279			44,773
Foreign cash*		2,947,608			–			–			29			–
Due from broker		–			–			–			–			–
Receivable for:
Trust shares sold		65,458			922			8,815			256,871			602,891
Dividends and interest		975,706			404,177			71,237			937,478			–
Investments sold		1,128,230			1,522,103			587,283			3,883,189			–
Payments on swap contracts		–			–			–			–			–
Securities lending income		35,169			1,493			1,994			13,608			–
Prepaid expenses and other assets		26,984			36,783			22,644			34,598			14,131
Due from investment adviser for expense reimbursements/fee waivers		111,283			12,416			34,722			23,062			29,127
Variation margin on futures contracts		–			–			–			–			–
Unrealized appreciation on forward foreign currency contracts		–			–			–			–			–
Swap premiums paid		–			–			–			–			–
Unrealized appreciation on swap contracts		–			–			–			–			–

TOTAL ASSETS		622,084,341			191,891,841			131,197,641			889,450,849			768,897,398

LIABILITIES:
Payable for:
Trust shares reacquired		32,502			93,614			27,337			55,340			45,257
Investments purchased		401,848			3,247,402			64,960			5,830,088			557,634
Payments on swap contracts		–			–			–			–			–
Investment advisory and management fees		378,533			71,066			76,781			454,479			60,006
Shareholder services		115,815			35,533			25,299			162,610			–
Administrative service fees		31,270			9,594			6,831			43,905			–
Transfer agent fees and expenses		563			560			655			841			374
Trustees’ fees and expenses		25,252			9,982			7,316			31,271			14,288
Other accrued expenses		86,555			39,829			31,091			96,732			67,141
Variation margin on futures contracts		–			–			–			–			–
Accrued foreign tax on capital gains		50,687			–			–			–			–
Collateral upon return of securities loaned		35,035,304			4,362,519			1,901,933			38,304,307			–
Unrealized depreciation on forward foreign currency contracts		–			–			–			–			–
Swap premiums received		–			–			–			–			–
Unrealized depreciation on swap contracts		–			–			–			–			–

TOTAL LIABILITIES		36,158,329			7,870,099			2,142,203			44,979,573			744,700

NET ASSETS	$	585,926,012		$	184,021,742		$	129,055,438		$	844,471,276		$	768,152,698

NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share	$	406,408		$	113,737		$	166,490		$	415,299		$	567,618
Additional paid in capital		658,515,309			207,920,874			130,924,995			686,709,521			729,814,423
Accumulated undistributed net investment income (loss)		3,775,903			3,967,023			(689,126	)		5,697,853			25,827,144
Accumulated undistributed net realized gain (loss) on investments, swap contracts, futures contracts, options contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		(126,716,331	)		(26,053,884	)		(366,462	)		152,740,245			66,576,642
Unrealized appreciation (depreciation) on investments		50,143,833			(1,926,008	)		(980,459	)		(1,092,319	)		(54,633,129	)
Unrealized appreciation (depreciation) on swap contracts, futures contracts and options contracts		–			–			–			–			–
Unrealized foreign exchange gain (loss) on other assets and liabilities		(148,423	)		–			–			677			–
Accrued capital gains tax on unrealized appreciation (depreciation)		(50,687	)		–			–			–			–

NET ASSETS	$	585,926,012		$	184,021,742		$	129,055,438		$	844,471,276		$	768,152,698

SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)		1,000,000,000			1,000,000,000			1,000,000,000			1,000,000,000			1,000,000,000
Outstanding		40,640,773			11,373,719			16,649,046			41,529,923			56,761,754
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	14.42		$	16.18		$	7.75		$	20.33		$	13.53

* Cost
Investments (unaffiliated)	$	551,013,679		$	191,839,419		$	129,326,521		$	876,513,054		$	–

Investments (affiliated)	$	–		$	–		$	–		$	–		$	822,839,605

Foreign cash	$	3,047,409		$	–		$	–		$	29		$	–

† Including securities on loan	$	34,852,467		$	4,225,361		$	1,865,649		$	38,467,788		$	–


	MONEY MARKET II FUND			SMALL CAP GROWTH FUND			SMALL CAP VALUE FUND			SOCIALLY RESPONSIBLE FUND			STRATEGIC BOND FUND
ASSETS:
Investments at value (unaffiliated)*†	$	180,024,904		$	104,859,270		$	453,985,570		$	700,155,421		$	809,023,981
Investments at value (affiliated)*		–			–			–			–			–
Repurchase agreements (cost approximates value)		2,493,000			–			26,220,000			3,442,000			–

Total investments		182,517,904			104,859,270			480,205,570			703,597,421			809,023,981

Cash		562			804			1,423			472			604,526
Foreign cash*		–			–			–			–			427,227
Due from broker		–			–			615,000			–			–
Receivable for:
Trust shares sold		40,097			18,124			97,839			93,229			12,955
Dividends and interest		75,124			30,496			349,714			1,571,255			10,275,821
Investments sold		–			97,763			1,576,896			–			8,277,256
Payments on swap contracts		–			–			–			–			–
Securities lending income		–			45,311			35,360			4,541			17,921
Prepaid expenses and other assets		14,251			9,358			31,109			30,760			22,758
Due from investment adviser for expense reimbursements/fee waivers		41,837			14,250			39,904			32,672			–
Variation margin on futures contracts		–			–			–			–			–
Unrealized appreciation on forward foreign currency contracts		–			–			–			–			1,508,882
Swap premiums paid		–			–			–			–			–
Unrealized appreciation on swap contracts		–			–			–			–			–

TOTAL ASSETS		182,689,775			105,075,376			482,952,815			705,330,350			830,171,327

LIABILITIES:
Payable for:
Trust shares reacquired		389,058			9,390			27,068			55,230			376,466
Investments purchased		7,715,135			–			4,044,512			–			52,891,789
Payments on swap contracts		–			–			–			–			–
Investment advisory and management fees		34,590			57,603			224,623			136,149			297,081
Shareholder services		34,590			16,943			84,870			136,149			145,236
Administrative service fees		9,339			4,574			22,915			36,760			39,214
Transfer agent fees and expenses		281			748			655			372			1,026
Trustees’ fees and expenses		11,716			4,640			17,467			28,281			21,832
Other accrued expenses		34,368			29,510			68,929			72,569			92,869
Variation margin on futures contracts		–			–			42,790			177,540			–
Accrued foreign tax on capital gains		–			–			–			–			–
Collateral upon return of securities loaned		–			16,550,852			36,159,075			8,068,923			30,337,184
Unrealized depreciation on forward foreign currency contracts		–			–			–			–			64,445
Swap premiums received		–			–			–			–			–
Unrealized depreciation on swap contracts		–			–			–			–			–

TOTAL LIABILITIES		8,229,077			16,674,260			40,692,904			8,711,973			84,267,142

NET ASSETS	$	174,460,698		$	88,401,116		$	442,259,911		$	696,618,377		$	745,904,185

NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share	$	1,744,353		$	70,269		$	341,748		$	379,529		$	691,113
Additional paid in capital		172,720,118			86,673,597			397,515,251			527,593,795			765,450,155
Accumulated undistributed net investment income (loss)		(5,309	)		(164,426	)		9,547,125			15,512,986			45,572,229
Accumulated undistributed net realized gain (loss) on investments, swap contracts, futures contracts, options contracts, securities sold short, foreign exchange transactions and capital gain distributions from underlying funds		1,536			9,742,852			53,064,194			47,662,023			(18,964,651	)
Unrealized appreciation (depreciation) on investments		–			(7,921,176	)		(18,159,505	)		106,920,761			(48,234,276	)
Unrealized appreciation (depreciation) on swap contracts, futures contracts and options contracts		–			–			(48,902	)		(1,450,717	)		–
Unrealized foreign exchange gain (loss) on other assets and liabilities		–			–			–			–			1,389,615
Accrued capital gains tax on unrealized appreciation (depreciation)		–			–			–			–			–

NET ASSETS	$	174,460,698		$	88,401,116		$	442,259,911		$	696,618,377		$	745,904,185

SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)		1,000,000,000			1,000,000,000			1,000,000,000			1,000,000,000			1,000,000,000
Outstanding		174,435,250			7,026,905			34,174,835			37,952,861			69,111,318
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	1.00		$	12.58		$	12.94		$	18.35		$	10.79

* Cost
Investments (unaffiliated)	$	180,024,904		$	112,780,446		$	472,145,075		$	593,234,660		$	857,258,257

Investments (affiliated)	$	–		$	–		$	–		$	–		$	–

Foreign cash	$	–		$	–		$	–		$	–		$	457,558

† Including securities on loan	$	–		$	15,841,232		$	34,083,670		$	10,871,836		$	29,857,882


	AGGRESSIVE GROWTH LIFESTYLE FUND			CAPITAL APPRECIATION FUND			CONSERVATIVE GROWTH LIFESTYLE FUND			CORE BOND FUND			HIGH YIELD BOND FUND
INVESTMENT INCOME:
Dividends (unaffiliated)	$	—		$	547,598		$	—		$	47,337		$	136,094
Dividends (affiliated)		5,913,994			—			2,569,116			—			—
Securities lending income		—			7,430			—			80,362			107,744
Interest (unaffiliated)		—			43			—			16,415,534			14,407,522

Total investment income*		5,913,994			555,071			2,569,116			16,543,233			14,651,360

EXPENSES:
Investment advisory and management fees		250,129			224,976			158,661			2,410,923			1,477,926
Administrative service fee		—			27,611			—			377,473			162,071
Shareholder services fee		—			102,262			—			1,398,049			600,263
Transfer agent fees and expenses		754			1,509			754			1,509			1,509
Custodian and accounting fees		5,968			9,408			6,033			38,949			20,067
Reports to shareholders		34,977			5,540			21,534			70,150			30,137
Audit and tax fees		15,493			17,392			15,569			23,253			21,080
Legal fees		11,335			4,864			8,399			18,830			10,214
Trustees’ fees and expenses		21,741			3,469			13,499			44,134			19,197
Interest expense		—			—			—			—			—
Other expenses		11,917			8,188			8,732			17,230			10,778

Total expenses before fee waivers, expense reimbursements, fees paid indirectly		352,314			405,219			233,181			4,400,500			2,353,242

Fees waived and expenses reimbursed by investment adviser (Note 3)		(102,185	)		(57,531	)		(74,519	)		(94,507	)		(48,231	)
Fees paid indirectly (Note 7)		—			(3,463	)		—			—			—

Net expenses		250,129			344,225			158,662			4,305,993			2,305,011

Net investment income (loss)		5,663,865			210,846			2,410,454			12,237,240			12,346,349

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		—			2,191,343			—			(2,450,351	)		(12,186,608	)
Net realized gain (loss) on investments (affiliated)		3,506,422			—			1,123,770			—			—
Net realized gain (loss) from capital gain distributions from underlying funds (affiliated)		17,380,498			—			3,301,104			—			—
Net realized gain (loss) on futures and swap contracts		—			—			—			—			357,144
Net realized foreign exchange gain (loss) on other assets and liabilities		—			—			—			—			263,330

Net realized gain (loss) on investments and foreign currencies		20,886,920			2,191,343			4,424,874			(2,450,351	)		(11,566,134	)

Change in unrealized appreciation (depreciation) on investments (unaffiliated)		—			(4,806,476	)		—			(316,677	)		(20,380,416	)
Change in unrealized appreciation (depreciation) on investments (affiliated)		(52,533,179	)		—			(16,350,783	)		—			—
Change in unrealized appreciation (depreciation) on futures and swap contracts		—			—			—			—			(605,680	)
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		—			—			—			—			(67,610	)
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—			—			—			—			—

Net unrealized gain (loss) on investments and foreign currencies		(52,533,179	)		(4,806,476	)		(16,350,783	)		(316,677	)		(21,053,706	)

Net realized and unrealized gain (loss) on investments and foreign currencies		(31,646,259	)		(2,615,133	)		(11,925,909	)		(2,767,028	)		(32,619,840	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(25,982,394	)		(2,404,287	)		(9,515,455	)		9,470,212			(20,273,491	)

* Net of foreign withholding taxes on interest and dividends of	$	—		$	—		$	—		$	2,379		$	(568	)

** Net of foreign withholding taxes on capital gains of	$	—		$	—		$	—		$	—		$	—


	INTERNATIONAL OPPORTUNITIES FUND			LARGE CAP VALUE FUND			MID CAP GROWTH FUND			MID CAP VALUE FUND			MODERATE GROWTH LIFESTYLE FUND
INVESTMENT INCOME:
Dividends (unaffiliated)	$	3,573,607		$	2,289,258		$	339,266		$	7,632,423		$	—
Dividends (affiliated)		—			—			—			—			8,056,451
Securities lending income		160,556			5,857			26,632			56,784			—
Interest (unaffiliated)		2,314			2,516			38			163			—

Total investment income*		3,736,477			2,297,631			365,936			7,689,370			8,056,451

EXPENSES:
Investment advisory and management fees		2,478,580			473,417			549,892			3,099,499			393,901
Administrative service fee		204,935			63,911			49,429			301,215			—
Shareholder services fee		759,017			236,709			183,070			1,115,612			—
Transfer agent fees and expenses		1,131			1,132			1,320			1,698			754
Custodian and accounting fees		83,917			5,930			5,841			36,335			6,033
Reports to shareholders		41,088			13,210			10,619			66,026			53,709
Audit and tax fees		26,453			17,194			17,501			17,522			15,707
Legal fees		12,576			6,603			5,918			17,142			15,385
Trustees’ fees and expenses		25,412			8,186			6,693			38,551			33,510
Interest expense		—			38			27			4			—
Other expenses		20,188			10,920			11,406			27,217			14,276

Total expenses before fee waivers, expense reimbursements, fees paid indirectly		3,653,297			837,250			841,716			4,720,821			533,275

Fees waived and expenses reimbursed by investment adviser (Note 3)		(617,231	)		(70,315	)		(219,277	)		(35,249	)		(139,375	)
Fees paid indirectly (Note 7)		(9,021	)		(13,223	)		(8,649	)		(2,165	)		—

Net expenses		3,027,045			753,712			613,790			4,683,407			393,900

Net investment income (loss)		709,432			1,543,919			(247,854	)		3,005,963			7,662,551

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		(910,107	)		2,628,782			(8,334,983	)		27,234,916			—
Net realized gain (loss) on investments (affiliated)		—			—			—			—			4,251,213
Net realized gain (loss) from capital gain distributions from underlying funds (affiliated)		—			—			—			—			21,248,225
Net realized gain (loss) on futures and swap contracts		—			—			—			—			—
Net realized foreign exchange gain (loss) on other assets and liabilities		(192,039	)		—			—			(8,453	)		—

Net realized gain (loss) on investments and foreign currencies		(1,102,146	)		2,628,782			(8,334,983	)		27,226,463			25,499,438

Change in unrealized appreciation (depreciation) on investments (unaffiliated)		(27,037,140	)		(14,205,657	)		(10,129,849	)		(91,020,913	)		—
Change in unrealized appreciation (depreciation) on investments (affiliated)		—			—			—			—			(65,135,434	)
Change in unrealized appreciation (depreciation) on futures and swap contracts		—			—			—			—			—
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		(82,851	)		—			—			2,702			—
Change in accrued capital gains tax on unrealized appreciation (depreciation)		(4,320	)		—			—			—			—

Net unrealized gain (loss) on investments and foreign currencies		(27,124,311	)		(14,205,657	)		(10,129,849	)		(91,018,211	)		(65,135,434	)

Net realized and unrealized gain (loss) on investments and foreign currencies		(28,226,457	)		(11,576,875	)		(18,464,832	)		(63,791,748	)		(39,635,996	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		(27,517,025	)		(10,032,956	)		(18,712,686	)		(60,785,785	)		(31,973,445	)

* Net of foreign withholding taxes on interest and dividends of	$	195,168		$	6,852		$	—		$	34,866		$	—

** Net of foreign withholding taxes on capital gains of	$	35,122		$	—		$	—		$	—		$	—


	MONEY MARKET II FUND		SMALL CAP GROWTH FUND			SMALL CAP VALUE FUND			SOCIALLY RESPONSIBLE FUND			STRATEGIC BOND FUND
INVESTMENT INCOME:
Dividends (unaffiliated)	$	—	$	230,555		$	5,560,576		$	7,553,688		$	30,211
Dividends (affiliated)		—		—			—			—			—
Securities lending income		—		332,023			426,319			24,215			130,080
Interest (unaffiliated)		209,521		89			349			10,925			17,329,411

Total investment income*		209,521		562,667			5,987,244			7,588,828			17,489,702

EXPENSES:
Investment advisory and management fees		210,512		430,803			1,556,185			903,485			1,938,049
Administrative service fee		56,838		34,323			159,022			243,941			257,142
Shareholder services fee		210,512		127,122			588,970			903,485			952,377
Transfer agent fees and expenses		566		1,509			1,320			754			2,074
Custodian and accounting fees		6,520		8,270			28,296			13,060			66,383
Reports to shareholders		9,913		7,603			33,816			50,458			52,308
Audit and tax fees		20,197		17,283			17,826			17,781			23,253
Legal fees		6,049		5,502			10,988			14,450			15,086
Trustees’ fees and expenses		6,303		4,729			20,522			31,011			32,069
Interest expense		—		—			—			—			—
Other expenses		8,048		11,141			25,590			18,728			18,283

Total expenses before fee waivers, expense reimbursements, fees paid indirectly		535,458		648,285			2,442,535			2,197,153			3,357,024

Fees waived and expenses reimbursed by investment adviser (Note 3)		(334,390)		(58,439	)		(204,449	)		(173,346	)		—
Fees paid indirectly (Note 7)		—		(9,011	)		(15,447	)		—			—

Net expenses		201,068		580,835			2,222,639			2,023,807			3,357,024

Net investment income (loss)		8,453		(18,168	)		3,764,605			5,565,021			14,132,678

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES:
Net realized gain (loss) on investments (unaffiliated)**		2,415		369,554			530,211			1,949,320			(16,522,213	)
Net realized gain (loss) on investments (affiliated)		—		—			—			—			—
Net realized gain (loss) from capital gain distributions from underlying funds (affiliated)		—		—			—			—			—
Net realized gain (loss) on futures and swap contracts		—		—			(878,260	)		(1,082,525	)		—
Net realized foreign exchange gain (loss) on other assets and liabilities		—		—			(425	)		—			1,845,737

Net realized gain (loss) on investments and foreign currencies		2,415		369,554			(348,474	)		866,795			(14,676,476	)

Change in unrealized appreciation (depreciation) on investments (unaffiliated)		—		(19,572,566	)		(39,835,518	)		(14,409,769	)		(16,381,458	)
Change in unrealized appreciation (depreciation) on investments (affiliated)		—		—			—			—			—
Change in unrealized appreciation (depreciation) on futures and swap contracts		—		—			410,188			597,165			—
Change in unrealized foreign exchange gain (loss) on other assets and liabilities		—		—			(23	)		—			2,099,808
Change in accrued capital gains tax on unrealized appreciation (depreciation)		—		—			—			—			—

Net unrealized gain (loss) on investments and foreign currencies		—		(19,572,566	)		(39,425,353	)		(13,812,604	)		(14,281,650	)

Net realized and unrealized gain (loss) on investments and foreign currencies		2,415		(19,203,012	)		(39,773,827	)		(12,945,809	)		(28,958,126	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		10,868		(19,221,180	)		(36,009,222	)		(7,380,788	)		(14,825,448	)

* Net of foreign withholding taxes on interest and dividends of		$ —	$	—		$	7,660		$	(959	)	$	(5,423	)

** Net of foreign withholding taxes on capital gains of	$	—	$	—		$	—		$	—		$	—


	AGGRESSIVE GROWTH LIFESTYLE FUND						CAPITAL APPRECIATION FUND						CONSERVATIVE GROWTH LIFESTYLE FUND						CORE BOND FUND
	For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	5,663,865		$	8,991,839		$	210,846		$	315,489		$	2,410,454		$	8,102,860		$	12,237,240		$	21,279,765
Net realized gain (loss) on investments and foreign currencies		20,886,920			39,851,778			2,191,343			7,776,997			4,424,874			13,637,210			(2,450,351	)		4,636,578
Net unrealized gain (loss) on investments and foreign currencies		(52,533,179	)		(65,046,407	)		(4,806,476	)		(5,274,921	)		(16,350,783	)		(30,536,532	)		(316,677	)		(20,905,735	)

Net increase (decrease) in net assets resulting from operations		(25,982,394	)		(16,202,790	)		(2,404,287	)		2,817,565			(9,515,455	)		(8,796,462	)		9,470,212			5,010,608

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		–			(8,425,229	)		–			(272,960	)		–			(7,273,159	)		–			(21,848,211	)
Net realized gain on securities		–			(37,983,763	)		–			–			–			(14,630,677	)		–			–

Total distributions to shareholders		–			(46,408,992	)		–			(272,960	)		–			(21,903,836	)		–			(21,848,211	)

Net increase (decrease) in net assets resulting from capital share transactions (Note 6)		(1,170,995	)		59,388,848			(1,503,870	)		(7,797,869	)		(7,801,048	)		33,733,531			89,807,823			135,941,613

TOTAL INCREASE (DECREASE) IN NET ASSETS		(27,153,389	)		(3,222,934	)		(3,908,157	)		(5,253,264	)		(17,316,503	)		3,033,233			99,278,035			119,104,010
NET ASSETS:
Beginning of period		508,890,052			512,112,986			81,960,731			87,213,995			325,797,004			322,763,771			1,065,802,891			946,698,881

End of period†	$	481,736,663		$	508,890,052		$	78,052,574		$	81,960,731		$	308,480,501		$	325,797,004		$	1,165,080,926		$	1,065,802,891

† Includes accumulated undistributed net investment income (loss) of	$	16,396,327		$	10,732,462		$	523,699		$	312,853		$	11,360,144		$	8,949,690		$	35,758,931		$	23,521,691


	HIGH YIELD BOND FUND						INTERNATIONAL OPPORTUNITIES FUND						LARGE CAP VALUE FUND						MID CAP GROWTH FUND
	For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	12,346,349		$	21,725,130		$	709,432		$	6,070,838		$	1,543,919		$	2,361,026		$	(247,854	)	$	(387,426	)
Net realized gain (loss) on investments and foreign currencies		(11,566,134	)		(4,935,620	)		(1,102,146	)		(654,305	)		2,628,782			31,300,480			(8,334,983	)		8,030,479
Net unrealized gain (loss) on investments and foreign currencies		(21,053,706	)		(26,110,295	)		(27,124,311	)		(12,771,756	)		(14,205,657	)		(36,780,637	)		(10,129,849	)		(5,236,025	)

Net increase (decrease) in net assets resulting from operations		(20,273,491	)		(9,320,785	)		(27,517,025	)		(7,355,223	)		(10,032,956	)		(3,119,131	)		(18,712,686	)		2,407,028

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		–			(21,285,525	)		–			(7,671,663	)		–			(2,722,460	)		–			–
Net realized gain on securities		–			–			–			–			–			–			–			(23,091,400	)

Total distributions to shareholders		–			(21,285,525	)		–			(7,671,663	)		–			(2,722,460	)		–			(23,091,400	)

Net increase (decrease) in net assets resulting from capital share transactions (Note 6)		31,224,184			79,002,086			17,141,745			24,697,553			452,736			(22,009,185	)		(6,522,868	)		11,702,600

TOTAL INCREASE (DECREASE) IN NET ASSETS		10,950,693			48,395,776			(10,375,280	)		9,670,667			(9,580,220	)		(27,850,776	)		(25,235,554	)		(8,981,772	)
NET ASSETS:
Beginning of period		468,854,503			420,458,727			596,301,292			586,630,625			193,601,962			221,452,738			154,290,992			163,272,764

End of period†	$	479,805,196		$	468,854,503		$	585,926,012		$	596,301,292		$	184,021,742		$	193,601,962		$	129,055,438		$	154,290,992

† Includes accumulated undistributed net investment income (loss) of	$	35,022,548		$	22,676,199		$	3,775,903		$	3,066,471		$	3,967,023		$	2,423,104		$	(689,126	)	$	(441,272	)


	MID CAP VALUE FUND						MODERATE GROWTH LIFESTYLE FUND						MONEY MARKET II FUND						SMALL CAP GROWTH FUND
	For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	3,005,963		$	2,656,597		$	7,662,551		$	15,735,576		$	8,453		$	16,299		$	(18,168	)	$	(282,616	)
Net realized gain (loss) on investments and foreign currencies		27,226,463			127,951,234			25,499,438			46,804,044			2,415			277,264			369,554			11,007,459
Net unrealized gain (loss) on investments and foreign currencies		(91,018,211	)		(166,476,630	)		(65,135,434	)		(84,010,113	)		–			–			(19,572,566	)		(4,864,720	)

Net increase (decrease) in net assets resulting from operations		(60,785,785	)		(35,868,799	)		(31,973,445	)		(21,470,493	)		10,868			293,563			(19,221,180	)		5,860,123

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		–			(1,930,590	)		–			(14,788,242	)		(8,453	)		(16,299	)		–			–
Net realized gain on securities		–			(92,970,632	)		–			(46,494,498	)		–			–			–			(12,307,025	)

Total distributions to shareholders		–			(94,901,222	)		–			(61,282,740	)		(8,453	)		(16,299	)		–			(12,307,025	)

Net increase (decrease) in net assets resulting from capital share transactions (Note 6)		(21,323,247	)		87,759,775			1,682,064			82,676,287			14,552,913			(10,947,206	)		(2,406,826	)		2,568,967

TOTAL INCREASE (DECREASE) IN NET ASSETS		(82,109,032	)		(43,010,246	)		(30,291,381	)		(76,946	)		14,555,328			(10,669,942	)		(21,628,006	)		(3,877,935	)
NET ASSETS:
Beginning of period		926,580,308			969,590,554			798,444,079			798,521,025			159,905,370			170,575,312			110,029,122			113,907,057

End of period†	$	844,471,276		$	926,580,308		$	768,152,698		$	798,444,079		$	174,460,698		$	159,905,370		$	88,401,116		$	110,029,122

† Includes accumulated undistributed net investment income (loss) of	$	5,697,853		$	2,691,890		$	25,827,144		$	18,164,593		$	(5,309	)	$	(5,309	)	$	(164,426	)	$	(146,258	)


	SMALL CAP VALUE FUND						SOCIALLY RESPONSIBLE FUND						STRATEGIC BOND FUND
	For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015			For the Six Months Ended February 29, 2016 (unaudited)			For the Year Ended August 31, 2015
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss)	$	3,764,605		$	5,596,071		$	5,565,021		$	9,876,470		$	14,132,678		$	29,043,614
Net realized gain (loss) on investments and foreign currencies		(348,474	)		57,359,355			866,795			73,027,864			(14,676,476	)		(1,544,065	)
Net unrealized gain (loss) on investments and foreign currencies		(39,425,353	)		(79,140,679	)		(13,812,604	)		(77,297,779	)		(14,281,650	)		(45,501,216	)

Net increase (decrease) in net assets resulting from operations		(36,009,222	)		(16,185,253	)		(7,380,788	)		5,606,555			(14,825,448	)		(18,001,667	)

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income		–			(3,145,608	)		–			(8,278,684	)		–			(28,288,148	)
Net realized gain on securities		–			(69,462,612	)		–			–			–			(7,182,384	)

Total distributions to shareholders		–			(72,608,220	)		–			(8,278,684	)		–			(35,470,532	)

Net increase (decrease) in net assets resulting from capital share transactions (Note 6)		(8,887,781	)		17,780,355			(22,460,849	)		49,897,512			(24,905,284	)		84,015,260

TOTAL INCREASE (DECREASE) IN NET ASSETS		(44,897,003	)		(71,013,118	)		(29,841,637	)		47,225,383			(39,730,732	)		30,543,061
NET ASSETS:
Beginning of period		487,156,914			558,170,032			726,460,014			679,234,631			785,634,917			755,091,856

End of period†	$	442,259,911		$	487,156,914		$	696,618,377		$	726,460,014		$	745,904,185		$	785,634,917

† Includes accumulated undistributed net investment income (loss) of	$	9,547,125		$	5,782,520		$	15,512,986		$	9,947,965		$	45,572,229		$	31,439,551

Valic Co II – ‘N-CSRS’ for 2/29/16

On: Friday, 5/6/16, at 2:17pm ET · Effective: 5/6/16 · For: 2/29/16 · Accession #: 1193125-16-581718 · File #: 811-08789

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Document Table of Contents


Aggressive Growth Lifestyle Fund*		Mid Cap Value Fund
Capital Appreciation Fund		Moderate Growth Lifestyle Fund*
Conservative Growth Lifestyle Fund*		Money Market II Fund
Core Bond Fund		Small Cap Growth Fund
High Yield Bond Fund		Small Cap Value Fund
International Opportunities Fund		Socially Responsible Fund
Large Cap Value Fund		Strategic Bond Fund
Mid Cap Growth Fund


	Asset Derivatives
	Equity Contracts		Credit Contracts		Foreign Exchange Contracts		Total
Fund	Futures Contracts(1)(6)		Swap Contracts(2)		Foreign Forward Exchange Contracts(3)		Total
High Yield Bond	$	—	$	—	$	72,165	$	72,165
Small Cap Value		—		—		—		—
Socially Responsible		—		—		—		—
Strategic Bond		—		—		1,508,882		1,508,882

	Liability Derivatives
	Equity Contracts		Credit Contracts		Foreign Exchange Contracts		Total
Fund	Futures Contracts(1)(6)		Swap Contracts(4)		Foreign Forward Exchange Contracts(5)		Total
High Yield Bond	$	—	$	683,602	$	—	$	683,602
Small Cap Value		42,790		—		—		42,790
Socially Responsible		177,540		—		—		177,540
Strategic Bond		—		—		64,445		64,445


Fund	Cumulative Appreciation (Depreciation)
Small Cap Value	$	(48,902	)
Socially Responsible		(1,450,717	)


	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations
	Equity Contracts			Credit Contracts			Foreign Exchange Contracts
Fund	Futures Contracts(1)			Swap Contracts(1)			Foreign Forward Exchange Contracts(2)			Total
High Yield Bond	$	—		$	357,144		$	325,166		$	682,310
Small Cap Value		(878,260	)		—			—			(878,260	)
Socially Responsible		(1,082,525	)		—			—			(1,082,525	)
Strategic Bond		—			—			2,357,799			2,357,799

	Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations
	Equity Contracts			Credit Contracts			Foreign Exchange Contracts
Fund	Futures Contracts(3)			Swap Contracts(3)			Foreign Forward Exchange Contracts(4)			Total
High Yield Bond	$	—		$	(605,680	)	$	(66,922	)	$	(672,602	)
Small Cap Value		410,188			—			—			410,188
Socially Responsible		597,165			—			—			597,165
Strategic Bond		—			—			1,455,566			1,455,566


	Average Amount Outstanding During the Year
Fund	Futures Contracts(1)		Credit Swap Contracts(2)		Foreign Forward Exchange Contracts(2)		Total
High Yield Bond	$	—	$	17,833,450	$	6,984,896	$	24,818,346
Small Cap Value		7,896,662		—		—		7,896,662
Socially Responsible		31,209,223		—		—		31,209,223
Strategic Bond		—		—		123,895,158		123,895,158


	High Yield Bond Fund
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)		Collateral Pledged/ (Received)(2)		Net Amount(3)
Citibank N.A.	$	72,165	$	—	$	—	$	72,165	$	—	$	—	$	—	$	—	$	72,165	$	—	$	72,165


Fund	Percentage Ownership			Principal Amount
Money Market II		1.28	%	$	2,493,000
Socially Responsible		1.77			3,442,000


Type of Collateral	Interest Rate			Maturity Date		Principal Amount		Value
U.S. Treasury Notes		3.38	%		11/15/2019	$	181,265,000	$	198,029,294


Aggressive Growth Lifestyle Fund		0.10%
Capital Appreciation Fund		0.55% on first $1 billion
		0.525% on assets over $1 billion
Conservative Growth Lifestyle Fund		0.10%
Core Bond Fund		0.50% on the first $200 million
		0.45% on the next $300 million
		0.40% on assets over $500 million
High Yield Bond Fund		0.65% on the first $150 million
		0.60% on the next $350 million
		0.55% on assets over $500 million
International Opportunities Fund		0.90% on the first $100 million
		0.80% on the next $650 million
		0.75% on assets over $750 million


Large Cap Value Fund		0.50% on the first $500 million
		0.475% on assets over $500 million
Mid Cap Growth Fund		0.80% on the first $50 million
		0.75% on the next $50 million
		0.70% on the next $150 million
		0.65% on the next $250 million
		0.60% on assets over $500 million
Mid Cap Value Fund		0.75% on the first $100 million
		0.725% on the next $150 million
		0.70% on the next $250 million
		0.675% on the next $250 million
		0.65% on assets over $750 million
Moderate Growth Lifestyle Fund		0.10%
Money Market II Fund		0.25%
Small Cap Growth Fund		0.85% on the first $100 million
		0.80% on assets over $100 million
Small Cap Value Fund		0.75% on the first $50 million
		0.65% on assets over $50 million
Socially Responsible Fund		0.25% on the first $1 billion
		0.24% on assets over $1 billion
Strategic Bond Fund		0.60% on the first $200 million
		0.50% on the next $300 million
		0.45% on assets over $500 million