NPORT-P
    false
    
      
      
        
          0000217087
          XXXXXXXX
        
      
      
      
      
        S000010065
        C000027864
      
      
    
  
  
    
      Guggenheim Variable Funds Trust
      811-02753
      0000217087
      549300QDJHZ1HF5UC735
      702 King Farm Blvd., Suite 200
      Rockville
      
      20850
      301-296-5100
      Series D (World Equity Income Series)
      S000010065
      5493001MQV26KYOSDP36
      2022-12-31
      2022-03-31
      N
    
    
      132208319.27
      320680.12
      131887639.15
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      526939.12000000
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Sirius XM Holdings Inc
        54930055RWDMVXAGZK98
        Sirius XM Holdings, Inc.
        82968B103
        
          
        
        89900.00000000
        NS
        USD
        595138.00000000
        0.451246230378
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Illinois Tool Works Inc
        76NA4I14SZCFAYMNSV04
        Illinois Tool Works, Inc.
        452308109
        
          
        
        2900.00000000
        NS
        USD
        607260.00000000
        0.460437387395
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cummins Inc
        ZUNI8PYC725B6H8JU438
        Cummins, Inc.
        231021106
        
          
        
        3800.00000000
        NS
        USD
        779418.00000000
        0.590971227495
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Group Inc/The
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group, Inc.
        38141G104
        
          
        
        2100.00000000
        NS
        USD
        693210.00000000
        0.525606496914
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hewlett Packard Enterprise Co
        549300BX44RGX6ANDV88
        Hewlett Packard Enterprise Co.
        42824C109
        
          
        
        51800.00000000
        NS
        USD
        865578.00000000
        0.656299563460
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Western Union Co/The
        28ID94QU1140NC23S047
        Western Union Co.
        959802109
        
          
        
        20000.00000000
        NS
        USD
        374800.00000000
        0.284181294331
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cardinal Health Inc
        CCU46N3GJMF4OK4N7U60
        Cardinal Health, Inc.
        14149Y108
        
          
        
        16200.00000000
        NS
        USD
        918540.00000000
        0.696456473040
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        N/A
        Japanese Yen Futures Contracts
        N/A
        
          
        
        -70.00000000
        NC
        USD
        178803.64000000
        0.135572705033
        N/A
        DFE
        
        US
        N
        
        1
        
          
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            Short
            
              
                N/A
                Japanese Yen
                
                  
                  
                
              
            
            2022-06-13
            -7380053.64000000
            USD
            178803.64000000
          
        
        
          N
          N
          N
        
      
      
        Steel Dynamics Inc
        549300HGGKEL4FYTTQ83
        Steel Dynamics, Inc.
        858119100
        
          
        
        13800.00000000
        NS
        USD
        1151334.00000000
        0.872965811974
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Dexus
        N/A
        Dexus
        N/A
        
          
        
        75800.00000000
        NS
        
        618851.99000000
        0.469226679610
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Eni SpA
        BUCRF72VH5RBN7X3VL35
        Eni SpA
        N/A
        
          
        
        60200.00000000
        NS
        
        878157.80000000
        0.665837834128
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        McKesson Corp
        549300WZWOM80UCFSF54
        McKesson Corp.
        58155Q103
        
          
        
        3700.00000000
        NS
        USD
        1132681.00000000
        0.858822712499
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mediobanca Banca di Credito Fi
        PSNL19R2RXX5U3QWHI44
        Mediobanca Banca di Credito Finanziario SpA
        N/A
        
          
        
        32500.00000000
        NS
        
        328521.35000000
        0.249091842205
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Tesla Inc
        54930043XZGB27CTOV49
        Tesla, Inc.
        88160R101
        
          
        
        1034.00000000
        NS
        USD
        1114238.40000000
        0.844839142759
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Banco Santander SA
        5493006QMFDDMYWIAM13
        Banco Santander S.A.
        N/A
        
          
        
        224900.00000000
        NS
        
        764859.84000000
        0.579932922394
        Long
        EC
        CORP
        ES
        N
        
        2
        
          N
          N
          N
        
      
      
        Lear Corp
        549300UPNBTXA1SYTQ33
        Lear Corp.
        521865204
        
          
        
        4000.00000000
        NS
        USD
        570360.00000000
        0.432459026240
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Packaging Corp of America
        549300XZP8MFZFY8TJ84
        Packaging Corporation of America
        695156109
        
          
        
        6500.00000000
        NS
        USD
        1014715.00000000
        0.769378394017
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Australia & New Zealand Bankin
        JHE42UYNWWTJB8YTTU19
        Australia & New Zealand Banking Group Ltd.
        N/A
        
          
        
        50200.00000000
        NS
        
        1028850.60000000
        0.780096305181
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Home Depot Inc/The
        QEKMOTMBBKA8I816DO57
        Home Depot, Inc.
        437076102
        
          
        
        5000.00000000
        NS
        USD
        1496650.00000000
        1.134791713344
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BorgWarner Inc
        549300DSFX2IE88NSX47
        BorgWarner, Inc.
        099724106
        
          
        
        12100.00000000
        NS
        USD
        470690.00000000
        0.356887122275
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Swedbank AB
        M312WZV08Y7LYUC71685
        Swedbank AB
        N/A
        
          
        
        45800.00000000
        NS
        
        684039.25000000
        0.518653040124
        Long
        EC
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        Phoenix Group Holdings PLC
        2138001P49OLAEU33T68
        Phoenix Group Holdings plc
        N/A
        
          
        
        76200.00000000
        NS
        
        610305.41000000
        0.462746481727
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Hong Kong & China Gas Co Ltd
        254900P7BETXGC7YU827
        Hong Kong & China Gas Company Ltd.
        N/A
        
          
        
        621100.00000000
        NS
        
        750279.52000000
        0.568877815112
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas S.A.
        N/A
        
          
        
        16600.00000000
        NS
        
        948868.98000000
        0.719452547725
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        TE Connectivity Ltd
        894500ZRIX9K13RHXR17
        TE Connectivity Ltd.
        N/A
        
          
        
        6600.00000000
        NS
        USD
        864468.00000000
        0.655457937962
        Long
        EC
        CORP
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Texas Instruments Inc
        WDJNR2L6D8RWOEB8T652
        Texas Instruments, Inc.
        882508104
        
          
        
        7100.00000000
        NS
        USD
        1302708.00000000
        0.987740783287
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mitsubishi Corp
        KVIPTY4PULAPGC1VVD26
        Mitsubishi Corp.
        N/A
        
          
        
        29800.00000000
        NS
        
        1118453.18000000
        0.848034878179
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        GPT Group
        N/A
        GPT Group
        N/A
        
          
        
        152200.00000000
        NS
        USD
        587197.99000000
        0.445225946710
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Intuit Inc
        VI90HBPH7XSFMB9E4M29
        Intuit, Inc.
        461202103
        
          
        
        500.00000000
        NS
        USD
        240420.00000000
        0.182291533573
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amazon.com Inc
        ZXTILKJKG63JELOEG630
        Amazon.com, Inc.
        023135106
        
          
        
        779.00000000
        NS
        USD
        2539501.05000000
        1.925503456098
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Whirlpool Corp
        WHENKOULSSK7WUM60H03
        Whirlpool Corp.
        963320106
        
          
        
        3586.00000000
        NS
        USD
        619589.08000000
        0.469785556852
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        JPMorgan Chase & Co
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co.
        46625H100
        
          
        
        6000.00000000
        NS
        USD
        817920.00000000
        0.620164258964
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Mizuho Financial Group Inc
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group, Inc.
        N/A
        
          
        
        20300.00000000
        NS
        
        258970.19000000
        0.196356680329
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Endesa SA
        549300LHK07F2CHV4X31
        Endesa S.A.
        N/A
        
          
        
        27600.00000000
        NS
        
        601950.07000000
        0.456411286060
        Long
        EC
        CORP
        ES
        N
        
        2
        
          N
          N
          N
        
      
      
        Gjensidige Forsikring ASA
        5967007LIEEXZX6FAO47
        Gjensidige Forsikring ASA
        N/A
        
          
        
        12300.00000000
        NS
        
        305085.09000000
        0.231321973739
        Long
        EC
        CORP
        NO
        N
        
        2
        
          N
          N
          N
        
      
      
        NVIDIA Corp
        549300S4KLFTLO7GSQ80
        NVIDIA Corp.
        67066G104
        
          
        
        2600.00000000
        NS
        USD
        709436.00000000
        0.537909393611
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        HP Inc
        WHKXQACZ14C5XRO8LW03
        HP, Inc.
        40434L105
        
          
        
        28200.00000000
        NS
        USD
        1023660.00000000
        0.776160682378
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Exelon Corp
        3SOUA6IRML7435B56G12
        Exelon Corp.
        30161N101
        
          
        
        16500.00000000
        NS
        USD
        785895.00000000
        0.595882226010
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CNP Assurances
        969500QKVPV2H8UXM738
        CNP Assurances
        N/A
        
          
        
        25900.00000000
        NS
        
        623704.16000000
        0.472905697622
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Canadian Apartment Properties
        549300B1MYVTQEB2DI90
        Canadian Apartment Properties REIT
        134921105
        
          
        
        15100.00000000
        NS
        
        648190.52000000
        0.491471774138
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        ITOCHU Corp
        J48DJYXDTLHM30UMYI18
        ITOCHU Corp.
        N/A
        
          
        
        12200.00000000
        NS
        
        412734.35000000
        0.312943921553
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Snam SpA
        8156002278562044AF79
        Snam SpA
        N/A
        
          
        
        79900.00000000
        NS
        
        460877.38000000
        0.349446986063
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Northrop Grumman Corp
        RIMU48P07456QXSO0R61
        Northrop Grumman Corp.
        666807102
        
          
        
        2319.00000000
        NS
        USD
        1037103.18000000
        0.786353586040
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CLP Holdings Ltd
        25490002BUTSMP94GO68
        CLP Holdings Ltd.
        N/A
        
          
        
        55100.00000000
        NS
        
        536146.08000000
        0.406517307804
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        TC Energy Corp
        549300UGKOFV2IWJJG27
        TC Energy Corp.
        87807B107
        
          
        
        19000.00000000
        NS
        
        1071914.93000000
        0.812748591837
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        International Paper Co
        824LMFJDH41EY779Q875
        International Paper Co.
        460146103
        
          
        
        20400.00000000
        NS
        USD
        941460.00000000
        0.713834902245
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Hasbro Inc
        549300NUB6D2R1ITYR45
        Hasbro, Inc.
        418056107
        
          
        
        8700.00000000
        NS
        USD
        712704.00000000
        0.540387260393
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amgen Inc
        62QBXGPJ34PQ72Z12S66
        Amgen, Inc.
        031162100
        
          
        
        5100.00000000
        NS
        USD
        1233282.00000000
        0.935100520373
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Accenture PLC
        N/A
        Accenture plc
        N/A
        
          
        
        3994.00000000
        NS
        USD
        1346896.62000000
        1.021245530423
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Financial Grou
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group, Inc.
        N/A
        
          
        
        17600.00000000
        NS
        
        556033.20000000
        0.421596143189
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        AmerisourceBergen Corp
        AI8GXW8LG5WK7E9UD086
        AmerisourceBergen Corp.
        03073E105
        
          
        
        7100.00000000
        NS
        USD
        1098441.00000000
        0.832861219655
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tyson Foods Inc
        WD6L6041MNRW1JE49D58
        Tyson Foods, Inc.
        902494103
        
          
        
        2700.00000000
        NS
        USD
        242001.00000000
        0.183490281242
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Bristol-Myers Squibb Co
        HLYYNH7UQUORYSJQCN42
        Bristol-Myers Squibb Co.
        110122108
        
          
        
        20394.00000000
        NS
        USD
        1489373.82000000
        1.129274759635
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Consolidated Edison Inc
        54930033SBW53OO8T749
        Consolidated Edison, Inc.
        209115104
        
          
        
        2900.00000000
        NS
        USD
        274572.00000000
        0.208186302954
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kellogg Co
        LONOZNOJYIBXOHXWDB86
        Kellogg Co.
        487836108
        
          
        
        13890.00000000
        NS
        USD
        895766.10000000
        0.679188819947
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Lawson Inc
        529900IWO8XQO92PR233
        Lawson, Inc.
        N/A
        
          
        
        7800.00000000
        NS
        
        298625.12000000
        0.226423887730
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        KBC Group NV
        213800X3Q9LSAKRUWY91
        KBC Group N.V.
        N/A
        
          
        
        4200.00000000
        NS
        
        301431.71000000
        0.228551903683
        Long
        EC
        CORP
        BE
        N
        
        2
        
          N
          N
          N
        
      
      
        Alphabet Inc
        5493006MHB84DD0ZWV18
        Alphabet, Inc.
        02079K107
        
          
        
        1106.00000000
        NS
        USD
        3089046.94000000
        2.342180783512
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        PACCAR Inc
        KDTEY8BWE486IKZ3CC07
        PACCAR, Inc.
        693718108
        
          
        
        11400.00000000
        NS
        USD
        1003998.00000000
        0.761252537743
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Amcor PLC
        549300GSODGFCDQ3DI89
        Amcor plc
        N/A
        
          
        
        66700.00000000
        NS
        USD
        755711.00000000
        0.572996078230
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SPDR S&P 500 ETF Trust
        549300NZAMSJ8FXPQQ63
        SPDR S&P 500 ETF Trust
        78462F103
        
          
        
        795.00000000
        NS
        USD
        359053.80000000
        0.272242192152
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Genuine Parts Co.
        549300D46DQVEU651W04
        Genuine Parts Co.
        372460105
        
          
        
        7400.00000000
        NS
        USD
        932548.00000000
        0.707077635182
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        ENEOS Holdings Inc
        3538001KQ5SAOZSQTT44
        ENEOS Holdings, Inc.
        N/A
        
          
        
        198700.00000000
        NS
        
        742988.49000000
        0.563349601818
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        AXA SA
        F5WCUMTUM4RKZ1MAIE39
        AXA S.A.
        N/A
        
          
        
        37800.00000000
        NS
        
        1106881.71000000
        0.839261144663
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Merck & Co Inc
        4YV9Y5M8S0BRK1RP0397
        Merck & Company, Inc.
        58933Y105
        
          
        
        16000.00000000
        NS
        USD
        1312800.00000000
        0.995392751330
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Meta Platforms Inc
        BQ4BKCS1HXDV9HN80Z93
        Meta Platforms, Inc.
        30303M102
        
          
        
        844.00000000
        NS
        USD
        187671.84000000
        0.142296762008
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Phillips 66
        5493005JBO5YSIGK1814
        Phillips 66
        718546104
        
          
        
        4100.00000000
        NS
        USD
        354199.00000000
        0.268561180018
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BP PLC
        213800LH1BZH3DI6G760
        BP plc
        N/A
        
          
        
        223700.00000000
        NS
        
        1096513.49000000
        0.831399740769
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Oracle Corp
        1Z4GXXU7ZHVWFCD8TV52
        Oracle Corp.
        68389X105
        
          
        
        13200.00000000
        NS
        USD
        1092036.00000000
        0.828004813065
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Aurizon Holdings Ltd
        5299005PC1O6NOWL3H48
        Aurizon Holdings Ltd.
        N/A
        
          
        
        274900.00000000
        NS
        
        755751.15000000
        0.573026520810
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        UGI Corp
        DX6GCWD4Q1JO9CRE5I40
        UGI Corp.
        902681105
        
          
        
        15900.00000000
        NS
        USD
        575898.00000000
        0.436658055077
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Travelers Cos Inc/The
        549300Y650407RU8B149
        Travelers Companies, Inc.
        89417E109
        
          
        
        3900.00000000
        NS
        USD
        712647.00000000
        0.540344041786
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Public Storage
        549300LMZF40TKJ6DM64
        Public Storage
        74460D109
        
          
        
        800.00000000
        NS
        USD
        312224.00000000
        0.236734846428
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        NN Group NV
        724500OHYNDT9OY6Q215
        NN Group N.V.
        N/A
        
          
        
        5000.00000000
        NS
        
        253465.31000000
        0.192182763777
        Long
        EC
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        Eastman Chemical Co
        FDPVHDGJ1IQZFK9KH630
        Eastman Chemical Co.
        277432100
        
          
        
        5700.00000000
        NS
        USD
        638742.00000000
        0.484307706254
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Vornado Realty Trust
        N/A
        Vornado Realty Trust
        929042109
        
          
        
        14800.00000000
        NS
        USD
        670736.00000000
        0.508566234351
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Telenor ASA
        549300IM1QSBY4SLPM26
        Telenor ASA
        N/A
        
          
        
        17200.00000000
        NS
        
        246876.15000000
        0.187186723176
        Long
        EC
        CORP
        NO
        N
        
        2
        
          N
          N
          N
        
      
      
        Zurich Insurance Group AG
        529900QVNRBND50TXP03
        Zurich Insurance Group AG
        N/A
        
          
        
        700.00000000
        NS
        
        345789.83000000
        0.262185169306
        Long
        EC
        CORP
        CH
        N
        
        2
        
          N
          N
          N
        
      
      
        Lockheed Martin Corp
        DPRBOZP0K5RM2YE8UU08
        Lockheed Martin Corp.
        539830109
        
          
        
        2522.00000000
        NS
        USD
        1113210.80000000
        0.844059994685
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        iShares MSCI EAFE ETF
        549300O0XO3KDQV68404
        iShares MSCI EAFE ETF
        464287465
        
          
        
        4746.00000000
        NS
        USD
        349305.60000000
        0.264850900547
        Long
        EC
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Lowe's Cos Inc
        WAFCR4OKGSC504WU3E95
        Lowe's Companies, Inc.
        548661107
        
          
        
        2600.00000000
        NS
        USD
        525694.00000000
        0.398592319483
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Arrow Electronics Inc
        549300YNNLBXT8N8R512
        Arrow Electronics, Inc.
        042735100
        
          
        
        5400.00000000
        NS
        USD
        640602.00000000
        0.485717997629
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Japan Tobacco Inc
        353800Z0ENYBQO0XRJ31
        Japan Tobacco, Inc.
        N/A
        
          
        
        51100.00000000
        NS
        
        872786.37000000
        0.661765102192
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        EXOR NV
        5493002ENHZ6NYET7405
        EXOR N.V.
        N/A
        
          
        
        8100.00000000
        NS
        
        615933.21000000
        0.467013598825
        Long
        EC
        CORP
        IT
        
        N
        
        2
        
          N
          N
          N
        
      
      
        EDP - Energias de Portugal SA
        529900CLC3WDMGI9VH80
        EDP - Energias de Portugal S.A.
        N/A
        
          
        
        134600.00000000
        NS
        
        662673.02000000
        0.502452712225
        Long
        EC
        CORP
        PT
        N
        
        2
        
          N
          N
          N
        
      
      
        Liberty Global PLC
        549300BSGXG3QLIQYT84
        Liberty Global plc
        N/A
        
          
        
        28700.00000000
        NS
        USD
        743617.00000000
        0.563826151406
        Long
        EC
        CORP
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        AbbVie Inc
        FR5LCKFTG8054YNNRU85
        AbbVie, Inc.
        00287Y109
        
          
        
        10108.00000000
        NS
        USD
        1638607.88000000
        1.242427183139
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Valero Energy Corp
        549300XTO5VR8SKV1V74
        Valero Energy Corp.
        91913Y100
        
          
        
        4400.00000000
        NS
        USD
        446776.00000000
        0.338755021228
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Gilead Sciences Inc
        549300WTZWR07K8MNV44
        Gilead Sciences, Inc.
        375558103
        
          
        
        16900.00000000
        NS
        USD
        1004705.00000000
        0.761788600110
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cigna Corp
        549300VIWYMSIGT1U456
        Cigna Corp.
        125523100
        
          
        
        5000.00000000
        NS
        USD
        1198050.00000000
        0.908386872129
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Truist Financial Corp
        549300DRQQI75D2JP341
        Truist Financial Corp.
        89832Q109
        
          
        
        8800.00000000
        NS
        USD
        498960.00000000
        0.378322034737
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Goldman Sachs Financial Square
        549300DAH6N80PM31E83
        Goldman Sachs Financial Square Treasury Instruments Fund - Institutional Shares
        N/A
        
          
        
        527108.78000000
        NS
        USD
        527108.78000000
        0.399665035629
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        NetApp Inc
        QTX3D84DZDD5JYOCYH15
        NetApp, Inc.
        64110D104
        
          
        
        10600.00000000
        NS
        USD
        879800.00000000
        0.667082984933
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Thomson Reuters Corp
        549300561UZND4C7B569
        Thomson Reuters Corp.
        884903709
        
          
        
        8300.00000000
        NS
        
        901384.21000000
        0.683448589882
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        KLA Corp
        549300H0BF5JCG96TJ81
        KLA Corp.
        482480100
        
          
        
        1600.00000000
        NS
        USD
        585696.00000000
        0.444087106096
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Best Buy Co Inc
        HL5XPTVRV0O8TUN5LL90
        Best Buy Company, Inc.
        086516101
        
          
        
        8100.00000000
        NS
        USD
        736290.00000000
        0.558270664897
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Kyocera Corp
        N/A
        Kyocera Corp.
        N/A
        
          
        
        9200.00000000
        NS
        
        514898.79000000
        0.390407162732
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Liberty Media Corp-Liberty Sir
        N/A
        Liberty Media Corporation-Liberty SiriusXM
        531229607
        
          
        
        10000.00000000
        NS
        USD
        457300.00000000
        0.346734540816
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Altria Group Inc
        XSGZFLO9YTNO9VCQV219
        Altria Group, Inc.
        02209S103
        
          
        
        14000.00000000
        NS
        USD
        731500.00000000
        0.554638785495
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Prudential Financial Inc
        5PRBRS5FEH7NREC8OR45
        Prudential Financial, Inc.
        744320102
        
          
        
        9900.00000000
        NS
        USD
        1169883.00000000
        0.887030056447
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        SSE PLC
        549300KI75VYLLMSK856
        SSE plc
        N/A
        
          
        
        40000.00000000
        NS
        
        913697.70000000
        0.692784938671
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Credit Agricole SA
        969500TJ5KRTCJQWXH05
        Credit Agricole S.A.
        N/A
        
          
        
        40000.00000000
        NS
        
        478077.11000000
        0.362488185459
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        IBM
        VGRQXHF3J8VDLUA7XE92
        International Business Machines Corp.
        459200101
        
          
        
        8524.00000000
        NS
        USD
        1108290.48000000
        0.840329303900
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CDW Corp/DE
        9845001B052ABF0B6755
        CDW Corp.
        12514G108
        
          
        
        1700.00000000
        NS
        USD
        304113.00000000
        0.230584914522
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        McDonald's Corp
        UE2136O97NLB5BYP9H04
        McDonald's Corp.
        580135101
        
          
        
        5100.00000000
        NS
        USD
        1261128.00000000
        0.956213947059
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Intel Corp
        KNX4USFCNGPY45LOCE31
        Intel Corp.
        458140100
        
          
        
        28067.00000000
        NS
        USD
        1391000.52000000
        1.054686041061
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        3M Co
        LUZQVYP4VS22CLWDAR65
        3M Co.
        88579Y101
        
          
        
        6690.00000000
        NS
        USD
        996007.20000000
        0.755193744022
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        American Tower Corp
        5493006ORUSIL88JOE18
        American Tower Corp.
        03027X100
        
          
        
        2900.00000000
        NS
        USD
        728538.00000000
        0.552392934391
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Imperial Brands PLC
        549300DFVPOB67JL3A42
        Imperial Brands plc
        N/A
        
          
        
        42500.00000000
        NS
        
        894971.09000000
        0.678586026535
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Power Assets Holdings Ltd
        254900JOWYUW1ZX4DF47
        Power Assets Holdings Ltd.
        N/A
        
          
        
        71500.00000000
        NS
        
        465993.99000000
        0.353326508081
        Long
        EC
        CORP
        HK
        N
        
        1
        
          N
          N
          N
        
      
      
        Corning Inc
        549300X2937PB0CJ7I56
        Corning, Inc.
        219350105
        
          
        
        17300.00000000
        NS
        USD
        638543.00000000
        0.484156820241
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Southern Co/The
        549300FC3G3YU2FBZD92
        Southern Co.
        842587107
        
          
        
        17500.00000000
        NS
        USD
        1268925.00000000
        0.962125797518
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        National Australia Bank Ltd
        F8SB4JFBSYQFRQEH3Z21
        National Australia Bank Ltd.
        N/A
        
          
        
        30200.00000000
        NS
        
        727204.02000000
        0.551381482515
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        LyondellBasell Industries NV
        BN6WCCZ8OVP3ITUUVN49
        LyondellBasell Industries N.V.
        N/A
        
          
        
        11400.00000000
        NS
        USD
        1172148.00000000
        0.888747427396
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        CVS Health Corp
        549300EJG376EN5NQE29
        CVS Health Corp.
        126650100
        
          
        
        9100.00000000
        NS
        USD
        921011.00000000
        0.698330037549
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fortescue Metals Group Ltd
        529900VEJFORCO6I4826
        Fortescue Metals Group Ltd.
        N/A
        
          
        
        81700.00000000
        NS
        
        1256126.52000000
        0.952421719044
        Long
        EC
        CORP
        AU
        N
        
        2
        
          N
          N
          N
        
      
      
        Wendel SE
        969500M98ZMIZYJD5O34
        Wendel S.A.
        N/A
        
          
        
        2200.00000000
        NS
        
        224097.74000000
        0.169915650506
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Suncor Energy Inc
        549300W70ZOQDVLCHY06
        Suncor Energy, Inc.
        867224107
        
          
        
        39400.00000000
        NS
        
        1283059.02000000
        0.972842510692
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        NTT
        353800VHQU5VIXVUA841
        Nippon Telegraph & Telephone Corp.
        N/A
        
          
        
        34800.00000000
        NS
        
        1011217.19000000
        0.766726280428
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Motorola Solutions Inc
        6S552MUG6KGJVEBSEC55
        Motorola Solutions, Inc.
        620076307
        
          
        
        4300.00000000
        NS
        USD
        1041460.00000000
        0.789657019196
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Essex Property Trust Inc
        549300TR2H2VEFX0NC60
        Essex Property Trust, Inc.
        297178105
        
          
        
        1100.00000000
        NS
        USD
        380028.00000000
        0.288145274605
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Assicurazioni Generali SpA
        549300X5UKJVE386ZB61
        Assicurazioni Generali SpA
        N/A
        
          
        
        40500.00000000
        NS
        
        926583.67000000
        0.702555353914
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Celanese Corp
        549300FHJQTDPPN41627
        Celanese Corp.
        150870103
        
          
        
        6000.00000000
        NS
        USD
        857220.00000000
        0.649962350925
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Broadridge Financial Solutions
        549300KZDJZQ2YIHRC28
        Broadridge Financial Solutions, Inc.
        11133T103
        
          
        
        6500.00000000
        NS
        USD
        1012115.00000000
        0.767407018976
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Waste Connections Inc
        549300HDLRTPBQU69P29
        Waste Connections, Inc.
        94106B101
        
          
        
        8300.00000000
        NS
        USD
        1159510.00000000
        0.879165028256
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        AvalonBay Communities Inc
        K9G90K85RBWD2LAGQX17
        AvalonBay Communities, Inc.
        053484101
        
          
        
        1200.00000000
        NS
        USD
        298044.00000000
        0.225983270244
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Verizon Communications Inc
        2S72QS2UO2OESLG6Y829
        Verizon Communications, Inc.
        92343V104
        
          
        
        27331.00000000
        NS
        USD
        1392241.14000000
        1.055626705408
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Unilever PLC
        549300MKFYEKVRWML317
        Unilever plc
        N/A
        
          
        
        23800.00000000
        NS
        
        1080426.92000000
        0.819202562850
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Microsoft Corp
        INR2EJN1ERAN0W5ZP974
        Microsoft Corp.
        594918104
        
          
        
        12565.00000000
        NS
        USD
        3873915.15000000
        2.937284475608
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Solvay SA
        549300MMVL80RTBP3O28
        Solvay S.A.
        N/A
        
          
        
        2700.00000000
        NS
        
        266175.38000000
        0.201819807917
        Long
        EC
        CORP
        BE
        N
        
        2
        
          N
          N
          N
        
      
      
        National Grid PLC
        8R95QZMKZLJX5Q2XR704
        National Grid plc
        N/A
        
          
        
        64100.00000000
        NS
        
        984931.90000000
        0.746796217104
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        CK Infrastructure Holdings Ltd
        5299005U11RQ1C27MR12
        CK Infrastructure Holdings Ltd.
        N/A
        
          
        
        113600.00000000
        NS
        
        759438.35000000
        0.575822233906
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        Johnson & Johnson
        549300G0CFPGEF6X2043
        Johnson & Johnson
        478160104
        
          
        
        11100.00000000
        NS
        USD
        1967253.00000000
        1.491612870378
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Allstate Corp/The
        OBT0W1ED8G0NWVOLOJ77
        Allstate Corp.
        020002101
        
          
        
        8500.00000000
        NS
        USD
        1177335.00000000
        0.892680320603
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Comcast Corp
        51M0QTTNCGUN7KFCFZ59
        Comcast Corp.
        20030N101
        
          
        
        22300.00000000
        NS
        USD
        1044086.00000000
        0.791648107987
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Cisco Systems Inc
        549300LKFJ962MZ46593
        Cisco Systems, Inc.
        17275R102
        
          
        
        15400.00000000
        NS
        USD
        858704.00000000
        0.651087551141
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        BAE Systems PLC
        8SVCSVKSGDWMW2QHOH83
        BAE Systems plc
        N/A
        
          
        
        32500.00000000
        NS
        
        305136.34000000
        0.231360832574
        Long
        EC
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        Viatris Inc
        254900ZZTSW7NL773X71
        Viatris, Inc.
        92556V106
        
          
        
        24600.00000000
        NS
        USD
        267648.00000000
        0.202936379576
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Philip Morris International In
        HL3H1H2BGXWVG3BSWR90
        Philip Morris International, Inc.
        718172109
        
          
        
        14700.00000000
        NS
        USD
        1380918.00000000
        1.047041260955
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Archer-Daniels-Midland Co
        549300LO13MQ9HYSTR83
        Archer-Daniels-Midland Co.
        039483102
        
          
        
        5825.00000000
        NS
        USD
        525764.50000000
        0.398645774075
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        N/A
        British Pound Futures Contracts
        N/A
        
          
        
        -88.00000000
        NC
        USD
        20604.15000000
        0.015622502709
        N/A
        DFE
        
        US
        N
        
        1
        
          
            
              BOFA SECURITIES, INC.
              549300HN4UKV1E2R3U73
            
            Short
            
              
                N/A
                British Pound
                
                  
                  
                
              
            
            2022-06-13
            -7243754.15000000
            USD
            20604.15000000
          
        
        
          N
          N
          N
        
      
      
        Medipal Holdings Corp
        353800PJDODZEA4NP730
        Medipal Holdings Corp.
        N/A
        
          
        
        30700.00000000
        NS
        
        505213.01000000
        0.383063199293
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Apple Inc
        HWUPKR0MPOU8FGXBT394
        Apple, Inc.
        037833100
        
          
        
        22277.00000000
        NS
        USD
        3889786.97000000
        2.949318825531
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Nutrien Ltd
        5493002QQ7GD21OWF963
        Nutrien Ltd.
        67077M108
        
          
        
        7100.00000000
        NS
        
        734081.18000000
        0.556595890813
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        Societe Generale S.A.
        N/A
        
          
        
        12500.00000000
        NS
        
        335186.49000000
        0.254145492451
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Broadcom Inc
        549300WV6GIDOZJTV909
        Broadcom, Inc.
        11135F101
        
          
        
        700.00000000
        NS
        USD
        440776.00000000
        0.334205694211
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Automatic Data Processing Inc
        HGBOLILQXWER4SAL2I23
        Automatic Data Processing, Inc.
        053015103
        
          
        
        2500.00000000
        NS
        USD
        568850.00000000
        0.431314112274
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Tourmaline Oil Corp
        549300LCHLN94A7Y1572
        Tourmaline Oil Corp.
        89156V106
        
          
        
        20214.00000000
        NS
        
        931602.72000000
        0.706360903875
        Long
        EC
        CORP
        CA
        N
        
        1
        
          N
          N
          N
        
      
      
        HKT Trust & HKT Ltd
        N/A
        HKT Trust & HKT Ltd.
        N/A
        
          
        
        378600.00000000
        NS
        
        519147.48000000
        0.393628609432
        Long
        EC
        CORP
        HK
        N
        
        2
        
          N
          N
          N
        
      
      
        Omnicom Group Inc
        HKUPACFHSSASQK8HLS17
        Omnicom Group, Inc.
        681919106
        
          
        
        7700.00000000
        NS
        USD
        653576.00000000
        0.495555159082
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        KDDI Corp
        5299003FU7V4I45FU310
        KDDI Corp.
        N/A
        
          
        
        9900.00000000
        NS
        
        324633.09000000
        0.246143681160
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Repsol SA
        BSYCX13Y0NOTV14V9N85
        Repsol S.A.
        N/A
        
          
        
        24600.00000000
        NS
        
        322331.22000000
        0.244398354597
        Long
        EC
        CORP
        ES
        N
        
        2
        
          N
          N
          N
        
      
      
        Amundi SA
        96950010FL2T1TJKR531
        Amundi S.A.
        N/A
        
          
        
        8800.00000000
        NS
        
        601921.14000000
        0.456389350722
        Long
        EC
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        Newell Brands Inc
        549300LWGYFM1TVO1Z12
        Newell Brands, Inc.
        651229106
        
          
        
        27200.00000000
        NS
        USD
        582352.00000000
        0.441551614505
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Swiss Re AG
        529900PS9YW3YY29F326
        Swiss Re AG
        N/A
        
          
        
        9400.00000000
        NS
        
        894978.16000000
        0.678591387159
        Long
        EC
        CORP
        CH
        
        N
        
        2
        
          N
          N
          N
        
      
      
        Dollar General Corp
        OPX52SQVOZI8IVSWYU66
        Dollar General Corp.
        256677105
        
          
        
        3400.00000000
        NS
        USD
        756942.00000000
        0.573929448489
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Poste Italiane SpA
        815600354DEDBD0BA991
        Poste Italiane SpA
        N/A
        
          
        
        53200.00000000
        NS
        
        603490.40000000
        0.457579196875
        Long
        EC
        CORP
        IT
        N
        
        2
        
          N
          N
          N
        
      
      
        Chubu Electric Power Co Inc
        529900A76GOP0PGNHT63
        Chubu Electric Power Company, Inc.
        N/A
        
          
        
        22100.00000000
        NS
        
        228763.34000000
        0.173453207195
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Walgreens Boots Alliance Inc
        549300RPTUOIXG4LIH86
        Walgreens Boots Alliance, Inc.
        931427108
        
          
        
        10200.00000000
        NS
        USD
        456654.00000000
        0.346244729940
        Long
        EC
        CORP
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Rio Tinto PLC
        213800YOEO5OQ72G2R82
        Rio Tinto plc
        N/A
        
          
        
        16600.00000000
        NS
        
        1326890.84000000
        1.006076724514
        Long
        EC
        CORP
        GB
        
        N
        
        2
        
          N
          N
          N
        
      
    
    
      2022-05-02
      Guggenheim Variable Funds Trust
      John Sullivan
      John Sullivan
      CFO
    
  
  XXXX




Series A (StylePlus—Large Core Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 17.8%
Technology - 4.9%
Apple, Inc.   19,946   $3,482,771 
Microsoft Corp.   9,886    3,047,953 
Broadcom, Inc.   1,077    678,166 
Intel Corp.   11,909    590,210 
International Business Machines Corp.   4,450    578,589 
QUALCOMM, Inc.   3,460    528,757 
Akamai Technologies, Inc.*   4,069    485,798 
HP, Inc.   11,876    431,099 
Hewlett Packard Enterprise Co.   24,613    411,283 
NVIDIA Corp.   1,476    402,741 
Texas Instruments, Inc.   2,185    400,904 
NetApp, Inc.   4,528    375,824 
Skyworks Solutions, Inc.   2,712    361,455 
Seagate Technology Holdings plc   3,531    317,437 
Advanced Micro Devices, Inc.*   1,583    173,085 
Total Technology        12,266,072 
Consumer, Non-cyclical - 4.0%          
AbbVie, Inc.   4,351    705,340 
Merck & Company, Inc.   8,554    701,856 
Bristol-Myers Squibb Co.   8,855    646,681 
Amgen, Inc.   2,501    604,792 
Vertex Pharmaceuticals, Inc.*   2,125    554,561 
Gilead Sciences, Inc.   8,444    501,996 
Hologic, Inc.*   6,387    490,649 
Avery Dennison Corp.   2,613    454,584 
Quest Diagnostics, Inc.   3,319    454,239 
Laboratory Corporation of America Holdings*   1,708    450,331 
Pfizer, Inc.   8,643    447,448 
DaVita, Inc.*   3,918    443,165 
Waters Corp.*   1,412    438,271 
Regeneron Pharmaceuticals, Inc.*   618    431,623 
PerkinElmer, Inc.   2,453    427,950 
Johnson & Johnson   2,391    423,757 
Incyte Corp.*   4,421    351,116 
HCA Healthcare, Inc.   1,337    335,079 
Philip Morris International, Inc.   3,562    334,614 
Procter & Gamble Co.   1,397    213,462 
FleetCor Technologies, Inc.*   750    186,795 
UnitedHealth Group, Inc.   266    135,652 
Coca-Cola Co.   1,381    85,622 
Total Consumer, Non-cyclical        9,819,583 
Communications - 2.7%          
Alphabet, Inc. — Class C*   606    1,692,552 
Amazon.com, Inc.*   425    1,385,479 
Meta Platforms, Inc. — Class A*   3,549    789,156 
Cisco Systems, Inc.   12,563    700,513 
Juniper Networks, Inc.   12,941    480,888 
Motorola Solutions, Inc.   1,948    471,806 
VeriSign, Inc.*   2,086    464,051 
Corning, Inc.   8,754    323,110 
AT&T, Inc.   8,142    192,395 
F5, Inc.*   848    177,189 
Verizon Communications, Inc.   1,579    80,434 
Total Communications        6,757,573 
Financial - 2.2%          
Prudential Financial, Inc.   4,371    516,521 
PNC Financial Services Group, Inc.   2,741    505,577 
MetLife, Inc.   7,102    499,129 
Morgan Stanley   5,630    492,062 
Raymond James Financial, Inc.   4,369    480,197 
Everest Re Group Ltd.   1,538    463,522 
Berkshire Hathaway, Inc. — Class B*   1,175    414,669 
Visa, Inc. — Class A   1,826    404,952 
Fifth Third Bancorp   7,631    328,438 
Citigroup, Inc.   6,135    327,609 
Travelers Companies, Inc.   1,690    308,814 
Capital One Financial Corp.   1,413    185,513 
Aflac, Inc.   2,610    168,058 
JPMorgan Chase & Co.   936    127,596 
Bank of America Corp.   3,047    125,597 
Mastercard, Inc. — Class A   253    90,417 
Total Financial        5,438,671 
Consumer, Cyclical - 1.6%          
Tesla, Inc.*   510    549,576 
McDonald's Corp.   2,172    537,092 
AutoZone, Inc.*   252    515,234 
Yum! Brands, Inc.   3,953    468,549 
NVR, Inc.*   91    406,521 
O'Reilly Automotive, Inc.*   575    393,852 
Whirlpool Corp.   2,129    367,849 
Domino's Pizza, Inc.   482    196,179 
Home Depot, Inc.   613    183,489 
Lowe's Companies, Inc.   762    154,069 
Bath & Body Works, Inc.   3,172    151,622 
Total Consumer, Cyclical        3,924,032 
Industrial - 1.5%          
3M Co.   3,576    532,395 
Keysight Technologies, Inc.*   2,992    472,646 
Dover Corp.   2,912    456,893 
Sealed Air Corp.   6,564    439,526 
Snap-on, Inc.   2,109    433,357 
Masco Corp.   8,025    409,275 
Lockheed Martin Corp.   790    348,706 
Otis Worldwide Corp.   4,192    322,574 
Northrop Grumman Corp.   287    128,352 
Huntington Ingalls Industries, Inc.   613    122,257 
Total Industrial        3,665,981 
Energy - 0.7%          
Exxon Mobil Corp.   6,460    533,532 
Williams Companies, Inc.   13,231    442,048 
Kinder Morgan, Inc.   23,329    441,151 
Chevron Corp.   1,381    224,868 
Occidental Petroleum Corp.   2,711    153,822 
Total Energy        1,795,421 
Basic Materials - 0.2%          
LyondellBasell Industries N.V. — Class A   4,614    474,411 
Total Common Stocks          
(Cost $39,230,484)        44,141,744 

 

MUTUAL FUNDS - 80.0%
Guggenheim Strategy Fund III1   2,970,327    73,188,846 

 

 

 

Series A (StylePlus—Large Core Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
MUTUAL FUNDS - 80.0% (continued)
Guggenheim Variable Insurance Strategy Fund III1   2,714,986   $66,761,503 
Guggenheim Ultra Short Duration Fund — Institutional Class1   3,123,107    30,575,214 
Guggenheim Strategy Fund II1   1,165,508    28,613,229 
Total Mutual Funds          
(Cost $202,046,604)        199,138,792 

 

MONEY MARKET FUND - 3.6%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%2   8,976,084    8,976,084 
Total Money Market Fund          
(Cost $8,976,084)        8,976,084 
Total Investments - 101.4%          
(Cost $250,253,172)       $252,256,620 
Other Assets & Liabilities, net - (1.4)%        (3,420,644)
Total Net Assets - 100.0%       $248,835,976 

 

Futures Contracts           
Description  Number of Contracts   Expiration Date  Notional Amount   Value and Unrealized
Appreciation**
 
Equity Futures Contracts Purchased    
S&P 500 Index Mini Futures Contracts   11   Jun 2022  $2,490,263   $199,994 

 

Total Return Swap Agreements                  
Counterparty  Index  Type   Financing Rate  Payment Frequency  Maturity Date  Units   Notional Amount   Value and Unrealized Appreciation 
OTC Equity Index Swap Agreements††                  
Wells Fargo Bank, N.A.  S&P 500 Total Return Index  Pay   0.83% (Federal Funds Rate + 0.50%)  At Maturity  04/07/22   21,398   $203,844,837   $9,632,631 

 

* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 Affiliated issuer.
2 Rate indicated is the 7-day yield as of March 31, 2022.

 

plc — Public Limited Company
 
See Sector Classification in Other Information section.

 

 

 

Series A (StylePlus—Large Core Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2 Significant Observable Inputs   Level 3 Significant Unobservable Inputs   Total 
Common Stocks  $44,141,744   $   $   $44,141,744 
Mutual Funds   199,138,792            199,138,792 
Money Market Fund   8,976,084            8,976,084 
Equity Futures Contracts**   199,994            199,994 
Equity Index Swap Agreements**       9,632,631        9,632,631 
Total Assets  $252,456,614   $9,632,631   $   $262,089,245 

 

** This derivative is reported as unrealized appreciation/depreciation at period end.

 

Affiliated Transactions

 

Investments representing 5% or more of the outstanding voting shares of a company, or control of or by, or common control under Guggenheim Investments (“GI”), result in that company being considered an affiliated issuer, as defined in the 1940 Act.

 

The Fund may invest in certain of the underlying series of Guggenheim Strategy Funds Trust, including Guggenheim Strategy Fund II, Guggenheim Strategy Fund III, and Guggenheim Variable Insurance Strategy Fund III, (collectively, the “Short Term Investment Vehicles”), each of which are open-end management investment companies managed by GI. The Short Term Investment Vehicles, which launched on March 11, 2014, are offered as short term investment options only to mutual funds, trusts, and other accounts managed by GI and/or its affiliates, and are not available to the public. The Short Term Investment Vehicles pay no investment management fees. The Short Term Investment Vehicles' annual report on Form N-CSR dated September 30, 2021, is available publicly or upon request. This information is available from the EDGAR database on the SEC's website at https://www.sec.gov/Archives/edgar/data/1601445/000182126821000490/gugg83048-ncsr.htm. The Fund may invest in certain of the underlying series of Guggenheim Fund Trust, which are open-end management investment companies managed by GI, are available to the public and whose most recent annual report on Form N-CSR is available publicly or upon request.

 

Transactions during the period ended March 31, 2022, in which the company is an affiliated issuer, were as follows:

 

Security Name  Value 12/31/21   Additions   Reductions   Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value 03/31/22   Shares 03/31/22   Investment Income 
Mutual Funds                                
  Guggenheim Strategy Fund II  $16,780,495   $12,058,261   $   $   $(225,527)  $28,613,229    1,165,508   $59,384 
  Guggenheim Strategy Fund III   81,097,553    277,681    (6,981,000)   (13,914)   (1,191,474)   73,188,846    2,970,327    283,330 
  Guggenheim Ultra Short Duration Fund — Institutional Class   54,253,430    85,674    (23,334,987)   152,490    (581,393)   30,575,214    3,123,107    88,365 
  Guggenheim Variable Insurance Strategy Fund III   67,541,303    222,788            (1,002,588)   66,761,503    2,714,986    227,270 
   $219,672,781   $12,644,404   $(30,315,987)  $138,576   $(3,000,982)  $199,138,792        $658,349 

 

 

 

Series B (Large Cap Value Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 95.8%
Consumer, Non-cyclical - 21.0%
Tyson Foods, Inc. — Class A   65,226   $5,846,206 
Johnson & Johnson   32,219    5,710,173 
McKesson Corp.   14,704    4,501,336 
Humana, Inc.   9,178    3,993,990 
Medtronic plc   33,173    3,680,544 
Quest Diagnostics, Inc.   24,994    3,420,679 
Bunge Ltd.   25,800    2,858,898 
Ingredion, Inc.   31,921    2,781,915 
Henry Schein, Inc.*   29,932    2,609,771 
Archer-Daniels-Midland Co.   27,519    2,483,865 
J M Smucker Co.   17,762    2,405,153 
Merck & Company, Inc.   29,200    2,395,860 
Encompass Health Corp.   25,501    1,813,376 
HCA Healthcare, Inc.   6,743    1,689,931 
Amgen, Inc.   6,861    1,659,127 
Pfizer, Inc.   29,771    1,541,245 
Bristol-Myers Squibb Co.   16,678    1,217,994 
Total Consumer, Non-cyclical        50,610,063 
Financial - 15.8%          
Berkshire Hathaway, Inc. — Class B*   18,228    6,432,843 
JPMorgan Chase & Co.   38,094    5,192,974 
Bank of America Corp.   105,080    4,331,397 
Wells Fargo & Co.   62,015    3,005,247 
Allstate Corp.   21,352    2,957,465 
STAG Industrial, Inc. REIT   57,864    2,392,677 
Charles Schwab Corp.   27,103    2,285,054 
Medical Properties Trust, Inc. REIT   87,952    1,859,305 
Voya Financial, Inc.   27,419    1,819,251 
KeyCorp   64,668    1,447,270 
Zions Bancorp North America   20,791    1,363,058 
Park Hotels & Resorts, Inc. REIT   64,125    1,252,361 
American Tower Corp. — Class A REIT   4,618    1,160,134 
Mastercard, Inc. — Class A   3,197    1,142,544 
BOK Financial Corp.   9,366    879,936 
Gaming and Leisure Properties, Inc. REIT   12,532    588,127 
Total Financial        38,109,643 
Technology - 10.6%          
Micron Technology, Inc.   51,683    4,025,589 
Activision Blizzard, Inc.   35,893    2,875,388 
Apple, Inc.   16,014    2,796,204 
Leidos Holdings, Inc.   23,089    2,494,074 
DXC Technology Co.*   75,160    2,452,471 
KLA Corp.   6,419    2,349,739 
Qorvo, Inc.*   12,467    1,547,155 
Amdocs Ltd.   15,609    1,283,216 
Cerner Corp.   12,890    1,205,989 
Teradyne, Inc.   10,123    1,196,842 
QUALCOMM, Inc.   7,814    1,194,135 
Skyworks Solutions, Inc.   8,084    1,077,436 
Intel Corp.   21,442    1,062,665 
Total Technology        25,560,903 
Energy - 10.3%          
Chevron Corp.   36,592    5,958,275 
ConocoPhillips   43,888    4,388,800 
Marathon Oil Corp.   106,726    2,679,890 
Coterra Energy, Inc. — Class A   91,049    2,455,592 
Kinder Morgan, Inc.   95,042    1,797,244 
Equities Corp.   52,053    1,791,144 
Pioneer Natural Resources Co.   7,109    1,777,463 
Chesapeake Energy Corp.   15,779    1,372,773 
Diamondback Energy, Inc.   9,973    1,367,099 
Patterson-UTI Energy, Inc.   73,057    1,130,922 
Total Energy        24,719,202 
Utilities - 9.9%          
Edison International   55,980    3,924,198 
Exelon Corp.   76,577    3,647,363 
Duke Energy Corp.   28,440    3,175,610 
Pinnacle West Capital Corp.   34,050    2,659,305 
OGE Energy Corp.   61,949    2,526,280 
NiSource, Inc.   65,351    2,078,162 
Black Hills Corp.   26,749    2,060,208 
Constellation Energy Corp.   25,525    1,435,781 
Sempra Energy   8,419    1,415,402 
PPL Corp.   33,862    967,099 
Total Utilities        23,889,408 
Consumer, Cyclical - 8.5%          
Walmart, Inc.   25,244    3,759,336 
Delta Air Lines, Inc.*   57,154    2,261,584 
Southwest Airlines Co.*   47,188    2,161,210 
Whirlpool Corp.   11,825    2,043,124 
LKQ Corp.   40,623    1,844,690 
PACCAR, Inc.   20,253    1,783,682 
Lear Corp.   12,115    1,727,478 
DR Horton, Inc.   20,604    1,535,204 
Ralph Lauren Corp. — Class A   11,569    1,312,388 
PVH Corp.   14,248    1,091,539 
Home Depot, Inc.   2,909    870,751 
Total Consumer, Cyclical        20,390,986 
Communications - 7.5%          
Verizon Communications, Inc.   94,596    4,818,720 
Alphabet, Inc. — Class A*   1,325    3,685,289 
Cisco Systems, Inc.   46,985    2,619,884 
Comcast Corp. — Class A   47,311    2,215,101 
T-Mobile US, Inc.*   15,182    1,948,610 
Juniper Networks, Inc.   43,590    1,619,804 
Walt Disney Co.*   8,284    1,136,233 
Total Communications        18,043,641 
Industrial - 6.6%          
Johnson Controls International plc   46,562    3,053,070 
L3Harris Technologies, Inc.   10,969    2,725,468 
FedEx Corp.   11,555    2,673,711 
Knight-Swift Transportation Holdings, Inc.   46,371    2,339,881 
Curtiss-Wright Corp.   14,040    2,108,246 
Valmont Industries, Inc.   7,628    1,820,041 
Advanced Energy Industries, Inc.   12,693    1,092,614 
Total Industrial        15,813,031 
Basic Materials - 5.6%          
Huntsman Corp.   105,501    3,957,343 
Westlake Corp.   30,967    3,821,328 
Reliance Steel & Aluminum Co.   10,519    1,928,658 
Nucor Corp.   11,318    1,682,421 

 

 

 

Series B (Large Cap Value Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 95.8% (continued)
Basic Materials - 5.6% (continued)
International Flavors & Fragrances, Inc.   6,793   $892,125 
Dow, Inc.   9,877    629,362 
DuPont de Nemours, Inc.   8,550    629,109 
Total Basic Materials        13,540,346 
Total Common Stocks          
(Cost $160,417,493)        230,677,223 

 

EXCHANGE-TRADED FUNDS - 1.0%
iShares Russell 1000 Value ETF   14,571    2,418,494 
Total Exchange-Traded Funds          
(Cost $2,304,195)        2,418,494 

 

MONEY MARKET FUND - 2.3%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%1   5,522,842    5,522,842 
Total Money Market Fund          
(Cost $5,522,842)        5,522,842 
Total Investments - 99.1%          
(Cost $168,244,530)       $238,618,559 
Other Assets & Liabilities, net - 0.9%        2,245,287 
Total Net Assets - 100.0%       $240,863,846 

 

* Non-income producing security.
Value determined based on Level 1 inputs — See Note 3.
1 Rate indicated is the 7-day yield as of March 31, 2022.

 

plc — Public Limited Company
REIT — Real Estate Investment Trust
 
See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2 Significant Observable Inputs   Level 3 Significant Unobservable Inputs   Total 
Common Stocks  $230,677,223   $   $   $230,677,223 
Exchange-Traded Funds   2,418,494            2,418,494 
Money Market Fund   5,522,842            5,522,842 
Total Assets  $238,618,559   $   $   $238,618,559 

 

 

 

Series D (World Equity Income Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 98.4%
Financial - 17.1%
Allstate Corp.   8,500   $1,177,335 
Prudential Financial, Inc.   9,900    1,169,883 
AXA S.A.††   37,800    1,106,882 
Australia & New Zealand Banking Group Ltd.††   50,200    1,028,851 
BNP Paribas S.A.††   16,600    948,869 
Assicurazioni Generali SpA††   40,500    926,584 
Swiss Re AG††   9,400    894,978 
JPMorgan Chase & Co.   6,000    817,920 
Banco Santander S.A.††   224,900    764,860 
American Tower Corp. — Class A REIT   2,900    728,538 
National Australia Bank Ltd.††   30,200    727,204 
Travelers Companies, Inc.   3,900    712,647 
Goldman Sachs Group, Inc.   2,100    693,210 
Swedbank AB — Class A††   45,800    684,039 
Vornado Realty Trust REIT   14,800    670,736 
Canadian Apartment Properties REIT   15,100    648,190 
CNP Assurances††   25,900    623,704 
Dexus REIT††   75,800    618,852 
EXOR N.V.††   8,100    615,933 
Phoenix Group Holdings plc††   76,200    610,305 
Amundi S.A.††,1   8,800    601,921 
GPT Group REIT††   152,200    587,198 
Sumitomo Mitsui Financial Group, Inc.††   17,600    556,033 
Truist Financial Corp.   8,800    498,960 
Credit Agricole S.A.††   40,000    478,077 
Essex Property Trust, Inc. REIT   1,100    380,028 
Western Union Co.   20,000    374,800 
Zurich Insurance Group AG††   700    345,790 
Societe Generale S.A.††   12,500    335,187 
Mediobanca Banca di Credito Finanziario SpA††   32,500    328,521 
Public Storage REIT   800    312,224 
Gjensidige Forsikring ASA††   12,300    305,085 
KBC Group N.V.††   4,200    301,432 
AvalonBay Communities, Inc. REIT   1,200    298,044 
Mizuho Financial Group, Inc.††   20,300    258,970 
NN Group N.V.††   5,000    253,465 
Wendel S.A.††   2,200    224,098 
Total Financial        22,609,353 
Consumer, Non-cyclical - 16.6%          
Johnson & Johnson   11,100    1,967,253 
AbbVie, Inc.   10,108    1,638,608 
Bristol-Myers Squibb Co.   20,394    1,489,374 
Philip Morris International, Inc.   14,700    1,380,918 
Merck & Company, Inc.   16,000    1,312,800 
Amgen, Inc.   5,100    1,233,282 
Cigna Corp.   5,000    1,198,050 
McKesson Corp.   3,700    1,132,681 
AmerisourceBergen Corp. — Class A   7,100    1,098,441 
Unilever plc††   23,800    1,080,427 
Gilead Sciences, Inc.   16,900    1,004,705 
CVS Health Corp.   9,100    921,011 
Cardinal Health, Inc.   16,200    918,540 
Kellogg Co.   13,890    895,766 
Imperial Brands plc††   42,500    894,971 
Japan Tobacco, Inc.††   51,100    872,786 
Altria Group, Inc.   14,000    731,500 
Automatic Data Processing, Inc.   2,500    568,850 
Archer-Daniels-Midland Co.   5,825    525,765 
Medipal Holdings Corp.††   30,700    505,213 
Viatris, Inc.   24,600    267,648 
Tyson Foods, Inc. — Class A   2,700    242,001 
Total Consumer, Non-cyclical        21,880,590 
Technology - 15.0%          
Apple, Inc.   22,277    3,889,787 
Microsoft Corp.   12,565    3,873,915 
Intel Corp.   28,067    1,391,001 
Accenture plc — Class A   3,994    1,346,897 
Texas Instruments, Inc.   7,100    1,302,708 
International Business Machines Corp.   8,524    1,108,290 
Oracle Corp.   13,200    1,092,036 
HP, Inc.   28,200    1,023,660 
Broadridge Financial Solutions, Inc.   6,500    1,012,115 
NetApp, Inc.   10,600    879,800 
Hewlett Packard Enterprise Co.   51,800    865,578 
NVIDIA Corp.   2,600    709,436 
KLA Corp.   1,600    585,696 
Broadcom, Inc.   700    440,776 
Intuit, Inc.   500    240,420 
Total Technology        19,762,115 
Communications - 12.6%          
Alphabet, Inc. — Class C*   1,106    3,089,047 
Amazon.com, Inc.*   779    2,539,501 
Verizon Communications, Inc.   27,331    1,392,241 
Comcast Corp. — Class A   22,300    1,044,086 
Motorola Solutions, Inc.   4,300    1,041,460 
Nippon Telegraph & Telephone Corp.††   34,800    1,011,217 
Thomson Reuters Corp.   8,300    901,384 
Cisco Systems, Inc.   15,400    858,704 
Liberty Global plc — Class C*   28,700    743,617 
Omnicom Group, Inc.   7,700    653,576 
Corning, Inc.   17,300    638,543 
Sirius XM Holdings, Inc.   89,900    595,138 
HKT Trust & HKT Ltd.††   378,600    519,148 
Liberty Media Corporation-Liberty SiriusXM — Class C*   10,000    457,300 
KDDI Corp.††   9,900    324,633 
CDW Corp.   1,700    304,113 
Telenor ASA††   17,200    246,876 
Meta Platforms, Inc. — Class A*   844    187,672 
Total Communications        16,548,256 
Consumer, Cyclical - 10.5%          
Home Depot, Inc.   5,000    1,496,650 
McDonald's Corp.   5,100    1,261,128 
Mitsubishi Corp.††   29,800    1,118,453 
Tesla, Inc.*   1,034    1,114,238 
PACCAR, Inc.   11,400    1,003,998 
Genuine Parts Co.   7,400    932,548 
Cummins, Inc.   3,800    779,418 
Dollar General Corp.   3,400    756,942 
Best Buy Company, Inc.   8,100    736,290 
Hasbro, Inc.   8,700    712,704 

 

 

 

Series D (World Equity Income Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 98.4% (continued)
Consumer, Cyclical - 10.5% (continued)
Whirlpool Corp.   3,586   $619,589 
Newell Brands, Inc.   27,200    582,352 
Lear Corp.   4,000    570,360 
Lowe's Companies, Inc.   2,600    525,694 
BorgWarner, Inc.   12,100    470,690 
Walgreens Boots Alliance, Inc.   10,200    456,654 
ITOCHU Corp.††   12,200    412,735 
Lawson, Inc.††   7,800    298,625 
Total Consumer, Cyclical        13,849,068 
Industrial - 8.4%          
Waste Connections, Inc.   8,300    1,159,510 
Lockheed Martin Corp.   2,522    1,113,211 
Northrop Grumman Corp.   2,319    1,037,103 
Packaging Corporation of America   6,500    1,014,715 
3M Co.   6,690    996,007 
TE Connectivity Ltd.   6,600    864,468 
CK Infrastructure Holdings Ltd.††   113,600    759,438 
Aurizon Holdings Ltd.††   274,900    755,751 
Amcor plc   66,700    755,711 
Arrow Electronics, Inc.*   5,400    640,602 
Illinois Tool Works, Inc.   2,900    607,260 
Poste Italiane SpA††,1   53,200    603,491 
Kyocera Corp.††   9,200    514,899 
BAE Systems plc††   32,500    305,136 
Total Industrial        11,127,302 
Utilities - 6.5%          
Southern Co.   17,500    1,268,925 
National Grid plc††   64,100    984,932 
SSE plc††   40,000    913,698 
Exelon Corp.   16,500    785,895 
Hong Kong & China Gas Company Ltd.††   621,100    750,280 
EDP - Energias de Portugal S.A.††   134,600    662,673 
Endesa S.A.††   27,600    601,950 
UGI Corp.   15,900    575,898 
CLP Holdings Ltd.††   55,100    536,146 
Power Assets Holdings Ltd.   71,500    465,994 
Snam SpA††   79,900    460,877 
Consolidated Edison, Inc.   2,900    274,572 
Chubu Electric Power Company, Inc.††   22,100    228,763 
Total Utilities        8,510,603 
Basic Materials - 6.3%          
Rio Tinto plc††   16,600    1,326,891 
Fortescue Metals Group Ltd.††   81,700    1,256,126 
LyondellBasell Industries N.V. — Class A   11,400    1,172,148 
Steel Dynamics, Inc.   13,800    1,151,334 
International Paper Co.   20,400    941,460 
Celanese Corp. — Class A   6,000    857,220 
Nutrien Ltd.   7,100    734,081 
Eastman Chemical Co.   5,700    638,742 
Solvay S.A.*,††   2,700    266,176 
Total Basic Materials        8,344,178 
Energy - 5.4%          
Suncor Energy, Inc.   39,400    1,283,059 
BP plc††   223,700    1,096,514 
TC Energy Corp.   19,000    1,071,915 
Tourmaline Oil Corp.   20,214    931,603 
Eni SpA††   60,200    878,158 
ENEOS Holdings, Inc.††   198,700    742,988 
Valero Energy Corp.   4,400    446,776 
Phillips 66   4,100    354,199 
Repsol S.A.††   24,600    322,331 
Total Energy        7,127,543 
Total Common Stocks          
(Cost $121,113,722)        129,759,008 

 

EXCHANGE-TRADED FUNDS - 0.5%
SPDR S&P 500 ETF Trust   795    359,054 
iShares MSCI EAFE ETF   4,746    349,305 
Total Exchange-Traded Funds          
(Cost $687,201)        708,359 

 

MONEY MARKET FUND - 0.4%
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares, 0.16%2   527,109    527,109 
Total Money Market Fund          
(Cost $527,109)        527,109 
Total Investments - 99.3%          
(Cost $122,328,032)       $130,994,476 
Other Assets & Liabilities, net - 0.7%        859,545 
Total Net Assets - 100.0%       $131,854,021 

 

 

 

Series D (World Equity Income Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

Futures Contracts           
Description  Number of Contracts   Expiration Date  Notional Amount   Value and Unrealized
Appreciation**
 
Currency Futures Contracts Sold Short    
Japanese Yen Futures Contracts   70   Jun 2022  $7,201,250   $178,804 
British Pound Futures Contracts   88   Jun 2022   7,223,150    20,604 
           $14,424,400   $199,408 

 

* Non-income producing security.
** Includes cumulative appreciation (depreciation).
Value determined based on Level 1 inputs, unless otherwise noted — See Note 3.
†† Value determined based on Level 2 inputs — See Note 3.
1 Security is a 144A or Section 4(a)(2) security. These securities have been determined to be liquid under guidelines established by the Board of Trustees. The total market value of 144A or Section 4(a)(2) securities is $1,205,412 (cost $1,401,294), or 0.9% of total net assets.
2 Rate indicated is the 7-day yield as of March 31, 2022.

 

plc — Public Limited Company
REIT — Real Estate Investment Trust
 
See Sector Classification in Other Information section.

 

The following table summarizes the inputs used to value the Fund's investments at March 31, 2022 (See Note 3 in the Notes to Schedule of Investments):

 

Investments in Securities (Assets)  Level 1 Quoted Prices   Level 2 Significant Observable Inputs   Level 3 Significant Unobservable Inputs   Total 
Common Stocks  $94,379,868   $35,379,140   $   $129,759,008 
Exchange-Traded Funds   708,359            708,359 
Money Market Fund   527,109            527,109 
Currency Futures Contracts**   199,408            199,408 
Total Assets  $95,814,744   $35,379,140   $   $131,193,884 

 

** This derivative is reported as unrealized appreciation/depreciation at period end.

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
COMMON STOCKS - 1.4%
Financial - 1.4%
Pershing Square Tontine Holdings Ltd. — Class A*,1   76,590   $1,523,375 
KKR Acquisition Holdings I Corp. — Class A*,1   33,829    332,539 
RXR Acquisition Corp. — Class A*,1   7,752    75,582 
TPG Pace Beneficial II Corp.*,1   6,675    65,548 
MSD Acquisition Corp. — Class A*,1   4,876    47,883 
AfterNext HealthTech Acquisition Corp. — Class A*,1   4,100    39,688 
Conyers Park III Acquisition Corp. — Class A*,1   3,800    37,050 
Waverley Capital Acquisition Corp. 1 — Class A*,1   3,000    28,860 
Colicity, Inc. — Class A*,1   2,716    26,508 
Acropolis Infrastructure Acquisition Corp. — Class A*,1   2,700    26,217 
Blue Whale Acquisition Corp. I — Class A*,1   2,200    21,340 
Total Financial        2,224,590 
Communications - 0.0%          
Figs, Inc. — Class A*   1,346    28,966 
Vacasa, Inc. — Class A*   3,356    27,754 
Total Communications        56,720 
Total Common Stocks          
(Cost $2,246,547)        2,281,310 

 

PREFERRED STOCKS†† - 4.8%
Financial - 4.8%
Wells Fargo & Co.
3.90% due 12/31/70*   450,000    431,348 
4.70%   16,000    352,800 
Equitable Holdings, Inc.          
4.95% due 12/31/70*   550,000    540,375 
4.30%   12,000    238,560 
Citigroup, Inc.          
3.88% due 12/31/70*   600,000    565,500 
4.00% due 12/31/70*   200,000    192,000 
Bank of America Corp.          
4.13%*   16,000    340,960 
4.38%*   12,000    259,800 
4.38%*   100,000    93,980 
Markel Corp.          
6.00% due 12/31/70*   660,000    683,100 
First Republic Bank          
4.25%   24,000    498,240 
4.13%   6,000    123,720 
4.50%   2,000    44,160 
Bank of New York Mellon Corp.          
3.75% due 12/31/70*   400,000    369,760 
4.70% due 12/31/70*   140,000    143,360 
Charles Schwab Corp.          
4.00% due 12/31/70*   500,000    449,060 
JPMorgan Chase & Co.          
3.65%   250,000    233,750 
4.63%   8,000    176,080 
MetLife, Inc.          
3.85% due 12/31/70*   400,000    394,480 
Public Storage          
4.63%   12,755    296,936 
4.13%   2,323    50,549 
W R Berkley Corp.          
4.13% due 03/30/61   11,288    250,593 
4.25% due 09/30/60   1,845    39,225 
Arch Capital Group Ltd.          
4.55%   10,000    211,100 
American Financial Group, Inc.          
4.50% due 09/15/60   8,968    204,112 
RenaissanceRe Holdings Ltd.          
4.20%   8,000    168,880 
Goldman Sachs Group, Inc.          
3.80%   150,000    139,031 
CNO Financial Group, Inc.          
5.13% due 11/25/60   6,000    133,200 
Kuvare US Holdings, Inc.          
7.00% due 02/17/51*,3   100,000    104,000 
Assurant, Inc.          
5.25% due 01/15/61   4,000    92,880 
Selective Insurance Group, Inc.          
4.60%   4,000    83,800 
Total Financial        7,905,339 
Total Preferred Stocks          
(Cost $8,626,177)        7,905,339 

 

WARRANTS - 0.0%
Pershing Square Tontine Holdings, Ltd.        
Expiring 07/24/25*,1   8,510    7,999 
KKR Acquisition Holdings I Corp.          
Expiring 12/31/27*,1   8,457    5,582 
MSD Acquisition Corp.          
Expiring 05/13/23*,1   974    760 
RXR Acquisition Corp.          
Expiring 03/08/26*,1   1,547    696 
Conyers Park III Acquisition Corp.          
Expiring 08/12/28*   1,266    647 
Ginkgo Bioworks Holdings, Inc.          
Expiring 12/31/27*   684    602 
AfterNext HealthTech Acquisition Corp.          
Expiring 07/09/23*   1,366    574 
Acropolis Infrastructure Acquisition Corp.          
Expiring 03/31/26*,1   900    428 
Waverley Capital Acquisition Corp.          
Expiring 04/30/27*,1   1,000    380 
Blue Whale Acquisition Corp.          
Expiring 07/30/26*,1   550    276 
Colicity, Inc.          
Expiring 12/31/27*,1   542    211 
Total Warrants          
(Cost $65,470)        18,155 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Shares   Value 
MUTUAL FUNDS - 4.0%
Guggenheim Total Return Bond Fund — R6-Class4   245,584   $6,515,346 
Total Mutual Funds          
(Cost $6,540,145)        6,515,346 

 

MONEY MARKET FUND - 1.4%
Dreyfus Treasury Securities Cash Management Fund — Institutional Shares, 0.12%5   1,713,989    1,713,989 
Dreyfus Treasury Obligations Cash Management Fund — Institutional Shares, 0.15%5   595,083    595,083 
Total Money Market Fund          
(Cost $2,309,072)        2,309,072 

 

   Face
Amount~
     
CORPORATE BONDS†† - 39.4%
Financial -  16.2%        
Pershing Square Holdings Ltd.        
3.25% due 11/15/303   1,000,000    917,580 
3.25% due 10/01/31   1,000,000    902,000 
Wells Fargo & Co.          
3.07% due 04/30/412   1,100,000    988,873 
Nationwide Mutual Insurance Co.          
4.35% due 04/30/503   950,000    945,167 
Bank of America Corp.          
2.59% due 04/29/312   890,000    821,084 
Liberty Mutual Group, Inc.          
4.30% due 02/01/613   700,000    556,360 
3.95% due 05/15/603   280,000    254,758 
Reliance Standard Life Global Funding II          
2.75% due 05/07/253   800,000    784,449 
Reinsurance Group of America, Inc.          
3.15% due 06/15/30   750,000    722,402 
Wilton RE Ltd.          
6.00% †††,2,3,6   700,000    673,960 
Macquarie Bank Ltd.          
3.05% due 03/03/362,3   450,000    396,318 
3.62% due 06/03/303   290,000    273,322 
Arch Capital Group Ltd.          
3.64% due 06/30/50   700,000    641,229 
American International Group, Inc.          
4.38% due 06/30/50   550,000    602,811 
GLP Capital Limited Partnership / GLP Financing II, Inc.          
5.30% due 01/15/29   300,000    315,171 
4.00% due 01/15/31   290,000    281,265 
Citigroup, Inc.          
2.57% due 06/03/312   590,000    540,503 
Intercontinental Exchange, Inc.          
2.65% due 09/15/40   600,000    511,962 
Nippon Life Insurance Co.          
2.75% due 01/21/512,3   350,000    314,125 
2.90% due 09/16/512,3   200,000    181,053 
Fidelity National Financial, Inc.          
3.40% due 06/15/30   300,000    288,900 
2.45% due 03/15/31   230,000    203,706 
Deloitte LLP          
3.56% due 05/07/30†††   500,000    478,360 
Host Hotels & Resorts, LP          
3.50% due 09/15/30   435,000    414,755 
2.90% due 12/15/31   50,000    44,693 
Iron Mountain, Inc.          
4.50% due 02/15/313   233,000    215,178 
5.63% due 07/15/323   125,000    123,160 
5.25% due 07/15/303   117,000    114,660 
Maple Grove Funding Trust I          
4.16% due 08/15/513   500,000    450,801 
JPMorgan Chase & Co.          
2.96% due 05/13/312   230,000    215,210 
4.49% due 03/24/312   200,000    211,988 
Fairfax Financial Holdings Ltd.          
3.38% due 03/03/31   450,000    419,695 
Global Atlantic Finance Co.          
4.70% due 10/15/512,3   250,000    235,625 
3.13% due 06/15/313   200,000    178,954 
FS KKR Capital Corp.          
2.63% due 01/15/27   250,000    228,945 
3.25% due 07/15/27   200,000    184,615 
Crown Castle International Corp.          
2.90% due 04/01/41   250,000    206,940 
3.30% due 07/01/30   201,000    192,222 
Macquarie Group Ltd.          
2.87% due 01/14/332,3   250,000    221,892 
2.69% due 06/23/322,3   200,000    176,031 
Safehold Operating Partnership, LP          
2.85% due 01/15/32   271,000    238,763 
2.80% due 06/15/31   180,000    158,064 
OneAmerica Financial Partners, Inc.          
4.25% due 10/15/503   410,000    394,686 
Ares Finance Company II LLC          
3.25% due 06/15/303   410,000    393,156 
Massachusetts Mutual Life Insurance Co.          
3.20% due 12/01/613   450,000    367,391 
United Wholesale Mortgage LLC          
5.50% due 04/15/293   300,000    267,306 
5.50% due 11/15/253   100,000    97,000 
National Australia Bank Ltd.          
2.99% due 05/21/313   400,000    362,967 
Standard Chartered plc          
4.64% due 04/01/312,3   350,000    360,887 
First American Financial Corp.          
4.00% due 05/15/30   360,000    360,554 
Rocket Mortgage LLC / Rocket Mortgage Company-Issuer, Inc.          
3.88% due 03/01/313   350,000    316,750 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 39.4% (continued)
Financial -  16.2% (continued)        
Brookfield Finance, Inc.        
3.50% due 03/30/51   280,000   $248,984 
4.70% due 09/20/47   50,000    52,995 
LPL Holdings, Inc.          
4.00% due 03/15/293   300,000    284,694 
Belrose Funding Trust          
2.33% due 08/15/303   320,000    280,274 
SBA Communications Corp.          
3.13% due 02/01/29   250,000    227,405 
3.88% due 02/15/27   50,000    48,771 
ABN AMRO Bank N.V.          
2.47% due 12/13/292,3   300,000    274,199 
Jefferies Group LLC          
2.75% due 10/15/32   300,000    268,463 
UBS Group AG          
2.10% due 02/11/322,3   300,000    262,301 
KKR Group Finance Company VIII LLC          
3.50% due 08/25/503   290,000    252,963 
Everest Reinsurance Holdings, Inc.          
3.50% due 10/15/50   280,000    249,660 
Kennedy-Wilson, Inc.          
4.75% due 03/01/29   150,000    144,620 
4.75% due 02/01/30   100,000    95,091 
Jefferies Finance LLC / JFIN Company-Issuer Corp.          
5.00% due 08/15/283   250,000    239,370 
Assured Guaranty US Holdings, Inc.          
3.15% due 06/15/31   150,000    141,485 
3.60% due 09/15/51   100,000    86,274 
Stewart Information Services Corp.          
3.60% due 11/15/31   250,000    227,529 
Societe Generale S.A.          
2.89% due 06/09/322,3   250,000    224,015 
Assurant, Inc.          
2.65% due 01/15/32   250,000    218,238 
Westpac Banking Corp.          
3.02% due 11/18/362   150,000    133,282 
2.96% due 11/16/40   100,000    84,033 
Trustage Financial Group, Inc.          
4.63% due 04/15/323   200,000    200,678 
NFP Corp.          
6.88% due 08/15/283   200,000    191,000 
Hunt Companies, Inc.          
5.25% due 04/15/293   200,000    190,530 
AmFam Holdings, Inc.          
2.81% due 03/11/313   200,000    184,650 
Primerica, Inc.          
2.80% due 11/19/31   200,000    184,506 
Americo Life, Inc.          
3.45% due 04/15/313   200,000    180,303 
Lincoln National Corp.          
4.38% due 06/15/50   150,000    154,411 
Corebridge Financial, Inc.          
4.35% due 04/05/423   150,000    149,960 
Kemper Corp.          
2.40% due 09/30/30   170,000    148,170 
Raymond James Financial, Inc.          
3.75% due 04/01/51   150,000    146,589 
Prudential Financial, Inc.          
3.70% due 10/01/502   130,000    119,132 
PartnerRe Finance B LLC          
4.50% due 10/01/502   110,000    106,150 
Nasdaq, Inc.          
3.25% due 04/28/50   110,000    94,949 
Western & Southern Life Insurance Co.          
3.75% due 04/28/613   100,000    90,309 
Jefferies Group LLC / Jefferies Group Capital Finance, Inc.          
2.63% due 10/15/31   100,000    90,154 
Penn Mutual Life Insurance Co.          
3.80% due 04/29/613   100,000    88,829 
Apollo Management Holdings, LP          
2.65% due 06/05/303   90,000    83,987 
Home Point Capital, Inc.          
5.00% due 02/01/263   100,000    81,931 
Brown & Brown, Inc.          
2.38% due 03/15/31   90,000    79,067 
American Equity Investment Life Holding Co.          
5.00% due 06/15/27   69,000    71,989 
CNO Financial Group, Inc.          
5.25% due 05/30/29   50,000    52,600 
Brookfield Finance LLC          
3.45% due 04/15/50   50,000    43,904 
Cushman & Wakefield US Borrower LLC          
6.75% due 05/15/283   35,000    36,575 
Weyerhaeuser Co.          
4.00% due 04/15/30   34,000    35,012 
Total Financial        26,598,277 
Consumer, Non-cyclical -  5.4%          
CoStar Group, Inc.          
2.80% due 07/15/303   740,000    676,338 
Altria Group, Inc.          
3.70% due 02/04/51   550,000    444,252 
3.40% due 05/06/30   170,000    163,495 
4.45% due 05/06/50   50,000    45,373 
Mozart Debt Merger Sub, Inc.          
3.88% due 04/01/293   550,000    508,750 
BAT Capital Corp.          
3.98% due 09/25/50   300,000    243,117 
4.70% due 04/02/27   190,000    194,873 
Quanta Services, Inc.          
2.90% due 10/01/30   467,000    432,076 
Johns Hopkins University          
2.81% due 01/01/60   500,000    416,740 
Children's Hospital Corp.          
2.59% due 02/01/50   500,000    399,991 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 39.4% (continued)
Consumer, Non-cyclical -  5.4% (continued)        
Royalty Pharma plc        
3.55% due 09/02/50   310,000   $257,511 
2.20% due 09/02/30   160,000    139,887 
DaVita, Inc.          
3.75% due 02/15/313   303,000    265,125 
4.63% due 06/01/303   113,000    105,519 
Kraft Heinz Foods Co.          
4.38% due 06/01/46   180,000    177,775 
4.88% due 10/01/49   75,000    79,022 
5.50% due 06/01/50   50,000    56,776 
5.00% due 06/04/42   50,000    53,405 
Global Payments, Inc.          
2.90% due 05/15/30   210,000    193,818 
2.90% due 11/15/31   140,000    127,549 
Smithfield Foods, Inc.          
2.63% due 09/13/313   250,000    219,514 
3.00% due 10/15/303   110,000    99,832 
US Foods, Inc.          
6.25% due 04/15/253   200,000    205,000 
4.75% due 02/15/293   89,000    84,884 
JBS USA LUX S.A. / JBS USA Food Company / JBS USA Finance, Inc.          
3.00% due 05/15/323   200,000    180,002 
4.38% due 02/02/523   100,000    86,988 
Becle, SAB de CV          
2.50% due 10/14/313   250,000    221,775 
Post Holdings, Inc.          
4.50% due 09/15/313   250,000    221,498 
California Institute of Technology          
3.65% due 09/01/19   225,000    192,970 
TriNet Group, Inc.          
3.50% due 03/01/293   200,000    183,750 
Triton Container International Ltd.          
3.15% due 06/15/313   200,000    182,857 
Kimberly-Clark de Mexico SAB de CV          
2.43% due 07/01/313   200,000    181,108 
Central Garden & Pet Co.          
4.13% due 04/30/313   100,000    90,000 
4.13% due 10/15/30   75,000    67,687 
Spectrum Brands, Inc.          
5.75% due 07/15/25   150,000    152,813 
Hologic, Inc.          
3.25% due 02/15/293   150,000    140,065 
Endo Luxembourg Finance Company I SARL / Endo US, Inc.          
6.13% due 04/01/293   150,000    136,875 
Universal Health Services, Inc.          
2.65% due 10/15/303   150,000    136,172 
Transurban Finance Company Pty Ltd.          
2.45% due 03/16/313   150,000    133,003 
Avantor Funding, Inc.          
4.63% due 07/15/283   125,000    123,625 
Nielsen Finance LLC / Nielsen Finance Co.          
4.50% due 07/15/293   100,000    99,750 
Block, Inc.          
2.75% due 06/01/263   100,000    94,522 
Gartner, Inc.          
3.75% due 10/01/303   100,000    93,875 
Syneos Health, Inc.          
3.63% due 01/15/293   100,000    92,375 
Triton Container International Limited / TAL International Container Corp.          
3.25% due 03/15/32   100,000    92,113 
Prime Security Services Borrower LLC / Prime Finance, Inc.          
3.38% due 08/31/273   100,000    91,489 
Service Corporation International          
3.38% due 08/15/30   100,000    90,088 
GXO Logistics, Inc.          
2.65% due 07/15/313   100,000    86,710 
Tenet Healthcare Corp.          
4.63% due 06/15/283   75,000    73,594 
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc.          
5.00% due 12/31/263   50,000    46,125 
Total Consumer, Non-cyclical        8,882,451 
Industrial -  4.3%          
Boeing Co.          
5.15% due 05/01/30   970,000    1,034,464 
5.81% due 05/01/50   490,000    565,821 
5.71% due 05/01/40   490,000    547,551 
2.20% due 02/04/26   200,000    189,083 
Amsted Industries, Inc.          
4.63% due 05/15/303   470,000    445,433 
Stadco LA, LLC          
3.75% due 05/15/56†††   500,000    445,307 
Crown Americas LLC / Crown Americas Capital Corporation VI          
4.75% due 02/01/26   400,000    404,272 
Cellnex Finance Company S.A.          
3.88% due 07/07/413   450,000    365,544 
TD SYNNEX Corp.          
2.65% due 08/09/313   250,000    214,686 
2.38% due 08/09/283   150,000    135,010 
Flowserve Corp.          
3.50% due 10/01/30   270,000    255,705 
2.80% due 01/15/32   100,000    88,446 
Owens Corning          
3.88% due 06/01/30   320,000    323,140 
Textron, Inc.          
2.45% due 03/15/31   350,000    316,876 
Vontier Corp.          
2.95% due 04/01/31   350,000    310,818 
Acuity Brands Lighting, Inc.          
2.15% due 12/15/30   350,000    307,303 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 39.4% (continued)
Industrial -  4.3% (continued)        
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.        
4.13% due 08/15/263   250,000   $240,856 
Standard Industries, Inc.          
4.38% due 07/15/303   125,000    114,495 
3.38% due 01/15/313   125,000    109,375 
GATX Corp.          
4.00% due 06/30/30   140,000    141,923 
3.50% due 03/15/28   50,000    49,715 
Weir Group plc          
2.20% due 05/13/263   200,000    186,785 
Howmet Aerospace, Inc.          
6.75% due 01/15/28   145,000    157,325 
Berry Global, Inc.          
1.57% due 01/15/26   50,000    46,579 
Norfolk Southern Corp.          
4.10% due 05/15/21   50,000    46,532 
Graphic Packaging International LLC          
3.50% due 03/01/293   11,000    10,120 
Total Industrial        7,053,164 
Consumer, Cyclical -  3.7%          
Marriott International, Inc.          
4.63% due 06/15/30   340,000    352,135 
3.50% due 10/15/32   330,000    314,117 
5.75% due 05/01/25   250,000    265,434 
2.85% due 04/15/31   170,000    155,158 
2.75% due 10/15/33   100,000    88,252 
Delta Air Lines, Inc.          
7.00% due 05/01/253   1,070,000    1,146,093 
Magallanes, Inc.          
4.28% due 03/15/323   400,000    401,779 
5.14% due 03/15/523   200,000    204,619 
Hyatt Hotels Corp.          
5.38% due 04/23/25   220,000    230,935 
5.75% due 04/23/30   190,000    209,938 
Hilton Domestic Operating Company, Inc.          
3.75% due 05/01/293   400,000    375,466 
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd.          
6.50% due 06/20/273   350,000    364,875 
Choice Hotels International, Inc.          
3.70% due 01/15/31   360,000    350,049 
1011778 BC ULC / New Red Finance, Inc.          
4.00% due 10/15/303   300,000    270,611 
3.88% due 01/15/283   55,000    52,114 
Delta Air Lines Inc. / SkyMiles IP Ltd.          
4.50% due 10/20/253   300,000    301,743 
PetSmart, Inc. / PetSmart Finance Corp.          
4.75% due 02/15/283   250,000    241,601 
Walgreens Boots Alliance, Inc.          
4.10% due 04/15/50   198,000    192,869 
United Airlines, Inc.          
4.38% due 04/15/263   150,000    147,551 
Scotts Miracle-Gro Co.          
4.00% due 04/01/31   150,000    130,798 
Fertitta Entertainment LLC / Fertitta Entertainment Finance Company, Inc.          
4.63% due 01/15/293   100,000    94,750 
British Airways Class A Pass Through Trust          
2.90% due 03/15/353   99,933    91,819 
Allison Transmission, Inc.          
3.75% due 01/30/313   100,000    90,715 
WMG Acquisition Corp.          
3.00% due 02/15/313   75,000    67,125 
Aramark Services, Inc.          
5.00% due 02/01/283   10,000    9,700 
Total Consumer, Cyclical        6,150,246 
Communications -  3.6%          
Paramount Global          
4.95% due 01/15/31   617,000    655,859 
4.95% due 05/19/50   320,000    334,448 
Charter Communications Operating LLC / Charter Communications Operating Capital          
2.80% due 04/01/31   625,000    563,309 
2.25% due 01/15/29   100,000    89,987 
3.90% due 06/01/52   50,000    42,165 
Level 3 Financing, Inc.          
3.63% due 01/15/293   330,000    288,750 
4.25% due 07/01/283   288,000    264,386 
3.75% due 07/15/293   100,000    88,623 
British Telecommunications plc          
4.88% due 11/23/812,3   350,000    332,500 
9.63% due 12/15/30   100,000    136,436 
AT&T, Inc.          
2.75% due 06/01/31   410,000    384,449 
CSC Holdings LLC          
4.13% due 12/01/303   200,000    175,373 
3.38% due 02/15/313   200,000    168,500 
McGraw-Hill Education, Inc.          
5.75% due 08/01/283   300,000    286,131 
Virgin Media Secured Finance plc          
4.50% due 08/15/303   300,000    279,750 
Cable One, Inc.          
4.00% due 11/15/303   300,000    276,666 
UPC Broadband Finco BV          
4.88% due 07/15/313   250,000    234,717 
Vodafone Group plc          
4.13% due 06/04/812   250,000    226,985 
Virgin Media Vendor Financing Notes IV DAC          
5.00% due 07/15/283   200,000    192,000 
Altice France S.A.          
5.13% due 07/15/293   200,000    179,250 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 39.4% (continued)
Communications -  3.6% (continued)        
Sirius XM Radio, Inc.        
4.13% due 07/01/303   180,000   $168,511 
Radiate Holdco LLC / Radiate Finance, Inc.          
4.50% due 09/15/263   150,000    144,750 
Go Daddy Operating Company LLC / GD Finance Co., Inc.          
3.50% due 03/01/293   150,000    137,920 
Lamar Media Corp.          
3.63% due 01/15/31   100,000    91,813 
Switch Ltd.          
3.75% due 09/15/283   50,000    48,487 
CCO Holdings LLC / CCO Holdings Capital Corp.          
4.25% due 02/01/313   50,000    45,375 
T-Mobile USA, Inc.          
2.88% due 02/15/31   50,000    45,047 
Total Communications        5,882,187 
Energy -  2.4%          
Galaxy Pipeline Assets Bidco Ltd.          
3.25% due 09/30/403   700,000    631,922 
2.94% due 09/30/403   350,000    315,585 
BP Capital Markets plc          
4.88% 2,6   880,000    882,200 
Qatar Energy          
3.30% due 07/12/513   250,000    229,456 
3.13% due 07/12/413   250,000    227,463 
Sabine Pass Liquefaction LLC          
4.50% due 05/15/30   400,000    418,307 
Occidental Petroleum Corp.          
4.63% due 06/15/45   200,000    194,000 
3.00% due 02/15/27   70,000    68,425 
ITT Holdings LLC          
6.50% due 08/01/293   250,000    230,930 
Magellan Midstream Partners, LP          
3.25% due 06/01/30   190,000    184,940 
Valero Energy Corp.          
2.15% due 09/15/27   140,000    130,924 
Midwest Connector Capital Company LLC          
4.63% due 04/01/293   110,000    111,161 
NuStar Logistics, LP          
5.63% due 04/28/27   100,000    97,837 
Parkland Corp.          
4.63% due 05/01/303   100,000    93,000 
DCP Midstream Operating, LP          
3.25% due 02/15/32   100,000    90,000 
Total Energy        3,906,150 
Technology -  1.8%          
Broadcom, Inc.          
4.15% due 11/15/30   484,000    490,529 
2.45% due 02/15/313   300,000    267,623 
3.19% due 11/15/363   26,000    22,570 
Workday, Inc.          
3.80% due 04/01/32   400,000    399,239 
NetApp, Inc.          
2.70% due 06/22/30   412,000    380,150 
Qorvo, Inc.          
4.38% due 10/15/29   170,000    170,057 
3.38% due 04/01/313   100,000    90,935 
Citrix Systems, Inc.          
1.25% due 03/01/26   250,000    243,054 
CDW LLC / CDW Finance Corp.          
3.57% due 12/01/31   250,000    231,613 
Oracle Corp.          
3.95% due 03/25/51   250,000    218,554 
Leidos, Inc.          
2.30% due 02/15/31   250,000    216,713 
Boxer Parent Company, Inc.          
7.13% due 10/02/253   100,000    103,654 
MSCI, Inc.          
3.63% due 09/01/303   75,000    70,304 
3.88% due 02/15/313   15,000    14,222 
Twilio, Inc.          
3.63% due 03/15/29   38,000    35,815 
Total Technology        2,955,032 
Basic Materials -  1.1%          
Newcrest Finance Pty Ltd.          
3.25% due 05/13/303   460,000    439,903 
4.20% due 05/13/503   220,000    213,961 
Anglo American Capital plc          
5.63% due 04/01/303   200,000    220,438 
2.63% due 09/10/303   200,000    181,342 
Alcoa Nederland Holding BV          
5.50% due 12/15/273   200,000    207,016 
Minerals Technologies, Inc.          
5.00% due 07/01/283   190,000    180,975 
INEOS Quattro Finance 2 plc          
3.38% due 01/15/263   150,000    139,658 
Yamana Gold, Inc.          
2.63% due 08/15/31   150,000    134,361 
Reliance Steel & Aluminum Co.          
2.15% due 08/15/30   100,000    89,640 
Valvoline, Inc.          
4.25% due 02/15/303   50,000    45,629 
Total Basic Materials        1,852,923 
Utilities -  0.9%          
Cheniere Corpus Christi Holdings LLC          
3.52% due 12/31/39†††   800,000    733,514 
AES Corp.          
3.95% due 07/15/303   220,000    217,944 
NRG Energy, Inc.          
2.45% due 12/02/273   200,000    184,461 
Enel Finance International N.V.          
2.88% due 07/12/413   200,000    164,816 
Clearway Energy Operating LLC          
3.75% due 02/15/313   100,000    93,510 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
CORPORATE BONDS†† - 39.4% (continued)
Utilities -  0.9% (continued)        
Xcel Energy, Inc.        
2.35% due 11/15/31   60,000   $54,549 
Total Utilities        1,448,794 
Total Corporate Bonds          
(Cost $69,070,358)        64,729,224 

 

ASSET-BACKED SECURITIES†† - 20.5%
Collateralized Loan Obligations -  13.0%        
Octagon Investment Partners 49 Ltd.        
2021-5A, 1.79% (3 Month USD LIBOR + 1.55%, Rate Floor: 1.55%) due 01/15/33◊,3   1,750,000    1,730,806 
BXMT Ltd.          
2020-FL2, 1.32% (30 Day Average SOFR + 1.26%, Rate Floor: 1.15%) due 02/15/38   1,000,000    984,385 
2020-FL3, 2.72% (30 Day Average SOFR + 2.66%, Rate Floor: 2.55%) due 11/15/37◊,3   250,000    246,697 
LoanCore Issuer Ltd.          
2019-CRE2, 1.90% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 05/15/36◊,3   550,000    548,773 
2021-CRE6, 2.49% (1 Month USD LIBOR + 2.30%, Rate Floor: 2.30%) due 11/15/38◊,3   500,000    489,309 
Cerberus Loan Funding XXX, LP          
2020-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 01/15/33◊,3   1,000,000    1,004,481 
Woodmont Trust          
2020-7A, 2.14% (3 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 01/15/32◊,3   1,000,000    1,004,162 
ABPCI Direct Lending Fund CLO II LLC          
2021-1A, 1.85% (3 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 04/20/32◊,3   1,000,000    1,000,100 
Palmer Square Loan Funding Ltd.          
2022-1A, 1.74% (3 Month Term SOFR + 1.60%, Rate Floor: 1.60%) due 04/15/30◊,3   1,000,000    1,000,000 
MidOcean Credit CLO VII          
2020-7A, 1.69% (3 Month USD LIBOR + 1.45%, Rate Floor: 0.00%) due 07/15/29◊,3   1,000,000    991,624 
LCCM Trust          
2021-FL3, 1.85% (1 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 11/15/38◊,3   600,000    593,604 
2021-FL3, 2.20% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 11/15/38◊,3   400,000    393,999 
Golub Capital Partners CLO 36M Ltd.          
2018-36A, 1.62% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 02/05/31◊,3   850,000    837,505 
Dryden 37 Senior Loan Fund          
2015-37A,  due 01/15/313,7   1,000,000    820,944 
Golub Capital Partners CLO 33M Ltd.          
2021-33A, 2.36% (3 Month USD LIBOR + 1.86%, Rate Floor: 1.86%) due 08/25/33◊,3   750,000    749,638 
STWD Ltd.          
2019-FL1, 2.02% (1 Month Term SOFR + 1.71%, Rate Floor: 1.60%) due 07/15/38   750,000    743,060 
Fortress Credit Opportunities XI CLO Ltd.          
2018-11A, 1.54% (3 Month USD LIBOR + 1.30%, Rate Floor: 0.00%) due 04/15/31◊,3   750,000    738,255 
ABPCI Direct Lending Fund CLO I LLC          
2021-1A, 1.95% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 07/20/33◊,3   500,000    502,063 
THL Credit Lake Shore MM CLO I Ltd.          
2021-1A, 1.94% (3 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 04/15/33◊,3   500,000    501,155 
Golub Capital Partners CLO 16 Ltd.          
2021-16A, 1.87% (3 Month USD LIBOR + 1.61%, Rate Floor: 1.61%) due 07/25/33◊,3   500,000    497,728 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 20.5% (continued)
Collateralized Loan Obligations -  13.0% (continued)        
Cerberus Loan Funding XXVI, LP        
2021-1A, 1.74% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/15/31◊,3   500,000   $497,461 
GPMT Ltd.          
2019-FL2, 2.35% (1 Month USD LIBOR + 1.90%, Rate Floor: 1.90%) due 02/22/36   500,000    497,459 
ABPCI Direct Lending Fund CLO V Ltd.          
2021-5A, 1.75% (3 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 04/20/31◊,3   500,000    496,909 
Golub Capital Partners CLO 54M L.P          
2021-54A, 2.97% (3 Month USD LIBOR + 2.65%, Rate Floor: 2.65%) due 08/05/33◊,3   500,000    492,279 
Cerberus Loan Funding XXXIII, LP          
2021-3A, 2.09% (3 Month USD LIBOR + 1.85%, Rate Floor: 1.85%) due 07/23/33◊,3   500,000    491,613 
HERA Commercial Mortgage Ltd.          
2021-FL1, 2.07% (1 Month USD LIBOR + 1.60%, Rate Floor: 1.60%) due 02/18/38◊,3   500,000    491,465 
CHCP Ltd.          
2021-FL1, 2.27% (30 Day Average SOFR + 2.21%, Rate Floor: 2.10%) due 02/15/38   500,000    488,873 
KREF          
2021-FL2, 2.44% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 02/15/39◊,3   500,000    483,540 
Wellfleet CLO Ltd.          
2020-2A, 1.31% (3 Month USD LIBOR + 1.06%, Rate Floor: 0.00%) due 10/20/29◊,3   477,703    475,842 
Cerberus Loan Funding XXXVI, LP          
2021-6A, 1.64% (3 Month USD LIBOR + 1.40%, Rate Floor: 1.40%) due 11/22/33◊,3   393,567    391,481 
Treman Park CLO Ltd.          
2015-1A,  due 10/20/283,7   500,000    391,097 
ABPCI Direct Lending Fund CLO IV LLC          
2.12% (3 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 07/06/29◊,†††   250,000    250,281 
Golub Capital Partners CLO 17 Ltd.          
2017-17A, 1.91% (3 Month USD LIBOR + 1.65%, Rate Floor: 0.00%) due 10/25/30◊,3   250,000    250,034 
Diamond CLO Ltd.          
2021-1A, 1.71% (3 Month USD LIBOR + 1.45%, Rate Floor: 1.45%) due 04/25/29◊,3   250,000    249,885 
Halcyon Loan Advisors Funding Ltd.          
2017-3A, 1.14% (3 Month USD LIBOR + 0.90%, Rate Floor: 0.00%) due 10/18/27◊,3   44,948    44,932 
Copper River CLO Ltd.          
2007-1A,  due 01/20/217,8   600,000    120 
Total Collateralized Loan Obligations        21,371,559 
Transport-Aircraft -  1.9%          
Lunar Structured Aircraft Portfolio Notes          
2021-1, 2.64% due 10/15/463   460,536    421,775 
AASET Trust          
2021-1A, 2.95% due 11/16/413   478,812    395,944 
WAVE LLC          
2019-1, 3.60% due 09/15/443   429,293    378,482 
JOL Air Ltd.          
2019-1, 3.97% due 04/15/443   407,700    371,064 
Sapphire Aviation Finance II Ltd.          
2020-1A, 3.23% due 03/15/403   400,402    361,100 
Castlelake Aircraft Structured Trust          
2021-1A, 3.47% due 01/15/463   371,590    343,852 
Navigator Aircraft ABS Ltd.          
2021-1, 2.77% due 11/15/463   244,792    225,426 
Sprite Ltd.          
2021-1, 3.75% due 11/15/463   242,425    223,336 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
ASSET-BACKED SECURITIES†† - 20.5% (continued)
Transport-Aircraft -  1.9% (continued)        
Raspro Trust        
2005-1A, 1.18% (3 Month USD LIBOR + 0.93%, Rate Floor: 0.93%) due 03/23/24◊,3   219,914   $218,875 
Falcon Aerospace Ltd.          
2017-1, 4.58% due 02/15/423   146,628    141,937 
Total Transport-Aircraft        3,081,791 
Whole Business -  1.6%          
Arbys Funding LLC          
2020-1A, 3.24% due 07/30/503   985,000    939,554 
Applebee's Funding LLC / IHOP Funding LLC          
2019-1A, 4.72% due 06/05/493   495,000    493,620 
Wingstop Funding LLC          
2022-1A, 3.73% due 03/05/523   500,000    478,738 
SERVPRO Master Issuer LLC          
2021-1A, 2.39% due 04/25/513   496,250    446,234 
ServiceMaster Funding LLC          
2020-1, 3.34% due 01/30/513   247,500    223,800 
Taco Bell Funding LLC          
2016-1A, 4.97% due 05/25/463   95,250    96,853 
Total Whole Business        2,678,799 
Net Lease -  1.5%          
STORE Master Funding I-VII          
2016-1A, 3.96% due 10/20/463   1,119,525    1,101,156 
Capital Automotive REIT          
2021-1A, 2.76% due 08/15/513   500,000    456,790 
CMFT Net Lease Master Issuer LLC          
2021-1, 3.44% due 07/20/513   400,000    365,237 
CARS-DB4, LP          
2020-1A, 3.81% due 02/15/503   249,010    246,612 
CF Hippolyta LLC          
2020-1, 2.28% due 07/15/603   230,126    217,031 
Total Net Lease        2,386,826 
Collateralized Debt Obligations -  1.3%          
Anchorage Credit Funding Ltd.          
2021-13A, 2.88% due 07/27/393   1,000,000    980,841 
Anchorage Credit Funding 4 Ltd.          
2021-4A, 2.72% due 04/27/393   750,000    730,952 
Anchorage Credit Funding 3 Ltd.          
2021-3A, 2.87% due 01/28/393   500,000    474,610 
Total Collateralized Debt Obligations        2,186,403 
Financial -  0.9%          
Oxford Finance Funding          
2020-1A, 3.10% due 02/15/283   478,293    478,735 
Madison Avenue Secured Funding Trust Series          
2021-1, 1.96% (1 Month USD LIBOR + 1.50%, Rate Floor: 1.50%) due 01/17/23◊,†††,3   450,000    450,000 
KKR Core Holding Company LLC          
4.00% due 08/12/31†††   211,867    200,544 
Nassau LLC          
2019-1, 3.98% due 08/15/343   177,187    174,076 
Lightning A          
5.50% due 03/01/37†††   88,000    88,000 
Thunderbird A          
5.50% due 03/01/37†††   80,000    80,000 
Total Financial        1,471,355 
Infrastructure -  0.2%          
VB-S1 Issuer LLC - VBTEL          
2022-1A, 4.29% due 02/15/523   250,000    243,502 
Transport-Container -  0.1%          
Textainer Marine Containers VII Ltd.          
2020-1A, 2.73% due 08/21/453   209,276    202,729 
Total Asset-Backed Securities          
(Cost $34,391,669)        33,622,964 

 

U.S. GOVERNMENT SECURITIES†† - 12.5%
U.S. Treasury Notes
1.88% due 02/15/329   14,500,000    13,924,531 
U.S. Treasury Bonds          
2.00% due 08/15/5114   4,500,000    4,059,844 
1.88% due 11/15/51   2,250,000    1,973,672 
1.88% due 02/15/51   600,000    524,273 
Total U.S. Government Securities          
(Cost $21,623,793)        20,482,320 

 

COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.3%
Residential Mortgage-Backed Securities -  7.2%        
PRPM LLC        
2022-1, 3.72% due 02/25/273,10   500,000    491,146 
2021-5, 1.79% due 06/25/263,10   456,023    432,199 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.3% (continued)
Residential Mortgage-Backed Securities -  7.2% (continued)        
Starwood Mortgage Residential Trust        
2020-1, 2.41% (WAC) due 02/25/50◊,3   924,890   $904,491 
Legacy Mortgage Asset Trust          
2021-GS5, 2.25% due 07/25/673,10   468,624    446,333 
2021-GS3, 1.75% due 07/25/613,10   447,896    426,339 
Ameriquest Mortgage Securities Trust          
2006-M3, 0.62% (1 Month USD LIBOR + 0.16%, Rate Floor: 0.16%) due 10/25/36   2,148,405    826,689 
JP Morgan Mortgage Acquisition Trust          
2006-WMC4, 0.58% (1 Month USD LIBOR + 0.12%, Rate Floor: 0.12%) due 12/25/36   1,302,909    787,065 
FKRT          
 2.21% due 11/30/58†††,8   750,000    722,250 
Home Equity Loan Trust          
2007-FRE1, 0.65% (1 Month USD LIBOR + 0.19%, Rate Floor: 0.19%) due 04/25/37   627,097    599,648 
CSMC Trust          
2020-RPL5, 3.02% (WAC) due 08/25/60◊,3   561,116    549,756 
Towd Point Revolving Trust          
4.83% due 09/25/648   500,000    500,414 
First Franklin Mortgage Loan Trust 2006-FF16          
2006-FF16, 0.88% (1 Month USD LIBOR + 0.42%, Rate Floor: 0.42%) due 12/25/36   931,185    495,599 
ZH Trust          
2021-1, 2.25% due 02/18/273   500,000    490,919 
BRAVO Residential Funding Trust          
2022-R1, 3.13% due 01/29/703,10   496,856    469,846 
LSTAR Securities Investment Ltd.          
2021-1, 2.03% (1 Month USD LIBOR + 1.80%, Rate Floor: 1.80%) due 02/01/26◊,8   255,221    253,124 
2021-2, 1.93% (1 Month USD LIBOR + 1.70%, Rate Floor: 1.70%) due 03/02/26◊,8   216,229    214,679 
NovaStar Mortgage Funding Trust Series          
2007-2, 0.66% (1 Month USD LIBOR + 0.20%, Rate Cap/Floor: 11.00%/0.20%) due 09/25/37   478,133    466,428 
OSAT Trust          
2021-RPL1, 2.12% due 05/25/653,10   486,559    465,550 
Credit Suisse Mortgage Capital Certificates          
2021-RPL9, 2.44% (WAC) due 02/25/61◊,3   483,751    459,907 
Master Asset-Backed Securities Trust          
2006-WMC4, 0.61% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 10/25/36   1,156,982    454,894 
HarborView Mortgage Loan Trust          
2006-14, 0.60% (1 Month USD LIBOR + 0.15%, Rate Floor: 0.15%) due 01/25/47   372,108    344,696 
Wachovia Asset Securitization Issuance II LLC Trust          
2007-HE2A, 0.59% (1 Month USD LIBOR + 0.13%, Rate Floor: 0.13%) due 07/25/37◊,3   337,121    323,882 
American Home Mortgage Investment Trust          
2007-1, 2.08% due 05/25/4711   1,897,185    297,654 
Imperial Fund Mortgage Trust          
2022-NQM2, 4.20% (WAC) due 03/25/67◊,3   200,000    197,382 
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust          
2006-AR9, 0.98% (1 Year CMT Rate + 0.84%, Rate Floor: 0.84%) due 11/25/46   217,081    188,020 
UCFC Manufactured Housing Contract          
1997-2, 7.38% due 10/15/28   49,983    49,414 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
COLLATERALIZED MORTGAGE OBLIGATIONS†† - 11.3% (continued)
Residential Mortgage-Backed Securities -  7.2% (continued)        
Morgan Stanley Re-REMIC Trust        
2010-R5, 2.24% due 06/26/363   44,451   $40,930 
Total Residential Mortgage-Backed Securities        11,899,254 
Commercial Mortgage Backed Securities -  1.5%          
BX Commercial Mortgage Trust          
2022-LP2, 2.01% (1 Month Term SOFR + 1.96%, Rate Floor: 1.96%) due 02/15/39◊,3   500,000    488,723 
2021-VOLT, 2.40% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 09/15/36◊,3   350,000    336,711 
GS Mortgage Securities Trust          
2020-GC45, 0.67% (WAC) due 02/13/53◊,11   9,968,346    406,116 
Extended Stay America Trust          
2021-ESH, 2.65% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 07/15/38◊,3   248,471    244,727 
Life Mortgage Trust          
2021-BMR, 2.75% (1 Month USD LIBOR + 2.35%, Rate Floor: 2.35%) due 03/15/38◊,3   245,743    235,285 
Wells Fargo Commercial Mortgage Trust          
2016-NXS5, 1.43% (WAC) due 01/15/59◊,11   3,737,631    158,446 
2015-NXS1, 2.63% due 05/15/48   19,865    19,851 
CFCRE Commercial Mortgage Trust          
2016-C3, 0.99% (WAC) due 01/10/48◊,11   5,504,127    174,272 
Citigroup Commercial Mortgage Trust          
2016-GC37, 1.69% (WAC) due 04/10/49◊,11   3,103,452    164,304 
COMM Mortgage Trust          
2015-CR26, 0.92% (WAC) due 10/10/48◊,11   6,075,069    157,537 
Total Commercial Mortgage Backed Securities        2,385,972 
Government Agency -  1.4%          
Fannie Mae          
3.83% due 05/01/49   1,000,000    1,055,002 
2.41% due 12/01/41   1,000,000    870,696 
Fannie Mae-Aces          
1.46% (WAC) due 03/25/35◊,11   3,408,880    400,407 
Total Government Agency        2,326,105 
Military Housing -  1.2%          
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates          
2015-R1, 4.66% (WAC) due 11/25/55◊,†††,3   928,075    1,023,275 
GMAC Commercial Mortgage Asset Corp.          
2007-HCKM, 6.11% due 08/10/52†††,3   931,438    1,014,252 
Total Military Housing        2,037,527 
Total Collateralized Mortgage Obligations          
(Cost $19,478,608)        18,648,858 

 

SENIOR FLOATING RATE INTERESTS††,◊ - 5.4%
Consumer, Cyclical -  1.1%        
MB2 Dental Solutions LLC        
7.00% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††        382,927    376,762 
7.16% (3 Month USD LIBOR + 6.00%, Rate Floor: 7.00%) due 01/29/27†††        117,498    115,606 
BGIS (BIFM CA Buyer, Inc.)               
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/01/26†††        294,078    288,932 
Zephyr Bidco Ltd.               
5.47% (1 Month GBP SONIA + 4.75%, Rate Floor: 5.23%) due 07/23/25   GBP     200,000    256,051 
Mavis Tire Express Services TopCo Corp.               
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 05/04/28        199,000    197,480 
CNT Holdings I Corp.               
4.25% (3 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 11/08/27        198,000    196,721 
Pacific Bells, LLC               
5.00% (1 Month USD LIBOR + 4.50%, Rate Floor: 5.00%) due 11/10/28†††        148,082    146,416 
SP PF Buyer LLC               
4.96% (1 Month USD LIBOR + 4.50%, Rate Floor: 4.50%) due 12/22/25        148,092    140,502 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

   Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 5.4% (continued)
Consumer, Cyclical -  1.1% (continued)        
New Trojan Parent, Inc.        
3.75% ((1 Month USD LIBOR + 3.25%) and (3 Month USD LIBOR + 3.25%), Rate Floor: 3.75%) due 01/06/28   99,250   $95,900 
Total Consumer, Cyclical        1,814,370 
Industrial -  1.0%          
Charter Next Generation, Inc.          
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 12/01/27   396,000    393,525 
Mileage Plus Holdings LLC          
6.25% (3 Month USD LIBOR + 5.25%, Rate Floor: 6.25%) due 06/21/27   250,000    259,063 
American Bath Group LLC          
4.25% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.25%) due 11/23/27   257,434    249,752 
TK Elevator Midco GmbH          
4.02% (6 Month USD LIBOR + 3.50%, Rate Floor: 4.00%) due 07/30/27   197,512    195,415 
Air Canada          
4.25% (1 Month USD LIBOR + 3.50%, Rate Floor: 4.25%) due 08/11/28   150,000    148,437 
Berry Global, Inc.          
2.07% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 07/01/26   134,041    131,967 
TransDigm, Inc.          
2.71% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.25%) due 12/09/25   127,714    125,479 
Anchor Packaging LLC          
4.46% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.00%) due 07/20/26   98,481    96,511 
Service Logic Acquisition, Inc.          
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 10/29/27   91,751    90,680 
Total Industrial        1,690,829 
Financial -  1.0%          
Citadel Securities, LP          
2.93% (1 Month USD Term SOFR + 2.50%, Rate Floor: 2.50%) due 02/02/28   446,625    443,673 
Jane Street Group LLC          
3.21% (1 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 01/26/28   296,250    291,622 
Higginbotham Insurance Agency, Inc.          
6.25% (1 Month USD LIBOR + 5.50%, Rate Floor: 6.25%) due 11/25/26†††   210,113    207,676 
Trans Union LLC          
2.75% (3 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/01/28   173,694    172,174 
HighTower Holding LLC          
4.75% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/21/28   149,250    147,757 
USI, Inc.          
4.26% (3 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 12/02/26   147,739    146,384 
Duff & Phelps          
4.75% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.75%) due 04/09/27   98,496    97,881 
AmWINS Group, Inc.          
3.00% (1 Month USD LIBOR + 2.25%, Rate Floor: 3.00%) due 02/21/28   98,750    97,022 
Total Financial        1,604,189 
Consumer, Non-cyclical -  0.9%          
Del Monte Foods, Inc.          
due 02/16/29   250,000    245,938 
Energizer Holdings, Inc.          
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 12/22/27   247,500    243,169 
Quirch Foods Holdings LLC          
5.50% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 10/27/27   198,992    197,500 
Mission Veterinary Partners          
4.75% (1 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 04/27/28   149,250    147,384 
Southern Veterinary Partners LLC          
5.00% (6 Month USD LIBOR + 4.00%, Rate Floor: 5.00%) due 10/05/27   148,215    146,918 
HAH Group Holding Co. LLC          
6.00% (3 Month USD LIBOR + 5.00%, Rate Floor: 6.00%) due 10/29/27   148,550    146,322 
Avantor Funding, Inc.          
2.75% (1 Month USD LIBOR + 2.25%, Rate Floor: 2.75%) due 11/08/27   98,754    97,854 
Sunshine Investments B.V.          
3.22% (3 Month USD LIBOR + 2.75%, Rate Floor: 2.75%) due 03/28/25   97,980    97,000 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

       Face
Amount~
   Value 
SENIOR FLOATING RATE INTERESTS††,◊ - 5.4% (continued)
Consumer, Non-cyclical -  0.9% (continued)        
Elanco Animal Health, Inc.        
1.98% (1 Month USD LIBOR + 1.75%, Rate Floor: 1.75%) due 08/02/27        94,452   $92,829 
National Mentor Holdings, Inc.               
4.64% ((1 Month USD LIBOR + 3.75%) and (3 Month USD LIBOR + 3.75%), Rate Floor: 4.50%) due 03/02/28        94,856    91,602 
Total Consumer, Non-cyclical             1,506,516 
Technology -  0.8%               
Datix Bidco Ltd.               
4.96% (6 Month GBP LIBOR + 4.50%, Rate Floor: 4.50%) due 04/28/25†††   GBP    300,000    392,368 
Planview Parent, Inc.               
5.01% (3 Month USD LIBOR + 4.00%, Rate Floor: 4.75%) due 12/17/27        246,875    243,480 
Peraton Corp.               
4.50% (1 Month USD LIBOR + 3.75%, Rate Floor: 4.50%) due 02/01/28        243,028    240,977 
Nielsen Finance LLC               
2.31% (1 Month USD LIBOR + 2.00%, Rate Floor: 2.00%) due 10/04/23        210,946    210,617 
Apttus Corp.               
5.00% (3 Month USD LIBOR + 4.25%, Rate Floor: 5.00%) due 05/08/28        99,500    99,085 
Dun & Bradstreet               
3.70% (1 Month USD LIBOR + 3.25%, Rate Floor: 3.25%) due 02/06/26        98,502    97,464 
Total Technology             1,283,991 
Utilities -  0.2%               
Hamilton Projects Acquiror LLC               
5.51% (3 Month USD LIBOR + 4.50%, Rate Floor: 5.50%) due 06/17/27        385,113    377,091 
Basic Materials -  0.2%               
Illuminate Buyer LLC               
3.96% (1 Month USD LIBOR + 3.50%, Rate Floor: 3.50%) due 06/30/27        234,976    226,901 
GrafTech Finance, Inc.               
3.50% (1 Month USD LIBOR + 3.00%, Rate Floor: 3.50%) due 02/12/25        71,752    70,765 
Total Basic Materials             297,666 
Communications -  0.1%               
Syndigo LLC               
5.25% (6 Month USD LIBOR + 4.50%, Rate Floor: 5.25%) due 12/15/27†††        198,000    195,030 
Authentic Brands               
due 12/10/28        53,731    52,791 
Total Communications             247,821 
Energy -  0.1%               
ITT Holdings LLC               
3.25% (1 Month USD LIBOR + 2.75%, Rate Floor: 3.25%) due 07/10/28        97,510    96,047 
Total Senior Floating Rate Interests               
(Cost $8,985,672)             8,918,520 

 

FEDERAL AGENCY BONDS†† - 1.6%
Tennessee Valley Authority          
4.25% due 09/15/65   1,000,000    1,215,606 
5.38% due 04/01/56   750,000    1,072,408 
Tennessee Valley Authority Principal Strips          
 due 01/15/4812,13   500,000    207,441 
Freddie Mac          
 due 11/15/3812   100,000    59,474 
Total Federal Agency Bonds          
(Cost $2,625,799)        2,554,929 

 

MUNICIPAL BONDS†† - 0.8%
New York -  0.3%        
Westchester County Local Development Corp. Revenue Bonds          
3.85% due 11/01/50   300,000    278,162 
Port Authority of New York & New Jersey Revenue Bonds          
3.14% due 02/15/51   275,000    247,146 
Total New York        525,308 
Illinois -  0.3%          
State of Illinois General Obligation Unlimited          
5.65% due 12/01/38   377,778    426,771 
Texas -  0.2%          
City of San Antonio Texas Electric & Gas Systems Revenue Bonds          
2.91% due 02/01/48   500,000    425,126 
Total Municipal Bonds          
(Cost $1,459,335)        1,377,205 

 

 

 

Series E (Total Return Bond Series)  
SCHEDULE OF INVESTMENTS (Unaudited)                                                                              March 31, 2022
   

 

       Contracts/Notional Value   Value 
OTC OPTIONS PURCHASED†† - 0.0%
Call Options on:        
Interest Rate Options               
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40   USD    $40,900,000   $5,317 
Morgan Stanley Capital Services LLC 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.40   USD     16,900,000    2,197 
Goldman Sachs International 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61   USD     14,200,000    710 
Bank of America, N.A. 2Y-10 CMS CAP Expiring July 2022 with strike price of $0.61   USD     4,500,000    225 
Total OTC Options Purchased               
(Cost $162,795)             8,449 
Total Investments - 103.1%               
(Cost $177,585,440)            $169,371,691 

 

LISTED OPTIONS WRITTEN - 0.0%
Call Options on:        
Equity Options        
 Figs, Inc. Expiring December 2022 with strike price of $55.00 (Notional Value $2,152)   1    (50)
 Figs, Inc. Expiring December 2022 with strike price of $50.00 (Notional Value $4,304)   2    (135)
Total Listed Options Written          
(Premiums received $3,216)        (185)
Other Assets & Liabilities, net - (3.1)%        (5,025,625)
Total Net Assets - 100.0%       $164,345,881 

 

Centrally Cleared Interest Rate Swap Agreements††        
Counterparty  Exchange