aggressive allocation portfolio schedule of investments …€¦ · aggressive allocation portfolio...

Aggressive AllocAtion Portfolio Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.1

Shares Common Stock (48.7%) ValueCommunications Services (2.4%)

38,193 Activision Blizzard, Inc. $2,021,1749,281 Alphabet, Inc., Class Aa 11,333,4002,030 Alphabet, Inc., Class Ca 2,474,570

15,600 Auto Trader Group plcb 97,77513,585 CBS Corporation 548,42667,910 Comcast Corporation 3,061,38319,668 DISH Network Corporationa 670,08933,752 Facebook, Inc.a 6,010,556

770 Hemisphere Media Group, Inc.a 9,4098,000 HKT Trust and HKT, Ltd. 12,691

280 Ipsos SA 7,9761,200 KDDI Corporation 31,3117,838 Mediaset Espana Comunicacion SAc 50,5236,333 News Corporation 90,530

61,995 ORBCOMM, Inc.a 295,096681 Rightmove plc 4,608

1,018 Scholastic Corporation 38,4403,581 Seven West Media, Ltd.a 943

12,847 Take-Two Interactive Software, Inc.a 1,610,2433,750 Telenor ASA 75,240

12,397 Telstra Corporation, Ltd. 29,3872,800 TV Asahi Holdings Corporation 44,202

19,548 Twitter, Inc.a 805,37874,088 Verizon Communications, Inc. 4,471,952

630 Wolters Kluwer NV 45,96814,342 Zillow Group, Inc.a 423,734

Total 34,265,004

Consumer Discretionary (5.7%) 13,313 Alibaba Group Holding, Ltd. ADRa 2,226,333

9,099 Amazon.com, Inc.a 15,795,0456,237 American Axle & Manufacturing

Holdings, Inc.a 51,268300 AOKI Holdings, Inc. 2,893600 Aoyama Trading Company, Ltd. 10,472

11,081 Aptiv plc 968,701500 Autobacs Seven Company, Ltd. 8,200

4,685 Barratt Developments plc 37,29598 Barrett Business Services, Inc. 8,704

900 Benesse Holdings, Inc. 23,4451,608 Berkeley Group Holdings plc 82,561

526 Booking Holdings, Inc.a 1,032,33321,413 BorgWarner, Inc. 785,42920,282 Bright Horizons Family Solutions,

Inc.a 3,093,005565 Buckle, Inc. 11,639

9,886 Burlington Stores, Inc.a 1,975,42124,661 Canada Goose Holdings, Inc.a,c 1,084,344

2,101 Century Casinos, Inc.a 16,24124,421 Children's Place, Inc.c 1,880,173

2,019 Chipotle Mexican Grill, Inc.a 1,696,909400 Chiyoda Company, Ltd. 6,283454 Cie Generale des Etablissements

Michelin 50,5508,800 Citizen Watch Company, Ltd. 43,173

287 Compass Group plc 7,3852,063 Cooper-Standard Holdings, Inc.a 84,335

945 Countryside Properties plcb 3,90134,420 Crocs, Inc.a 955,499

3,292 CSS Industries, Inc. 13,0693,013 Culp, Inc. 49,112

14,130 D.R. Horton, Inc. 744,79215,187 Delphi Technologies plc 203,5062,600 Denso Corporation 114,8874,171 Domino's Pizza, Inc. 1,020,185

38,658 Duluth Holdings, Inc.a 327,820

Shares Common Stock (48.7%) ValueConsumer Discretionary (5.7%) - continued

6,435 Emerald Expositions Events, Inc. $62,6133,091 Ethan Allen Interiors, Inc. 59,038

14,931 Etsy, Inc.a 843,602200 Exedy Corporation 3,922

20,528 Five Below, Inc.a 2,588,581113 Genuine Parts Company 11,254

29,250 G-III Apparel Group, Ltd.a 753,77321,281 Grand Canyon Education, Inc.a 2,089,79423,267 Harley-Davidson, Inc. 836,91422,137 Home Depot, Inc. 5,136,227

2,245 Hooker Furniture Corporation 48,13326,913 International Game Technology plc 382,434

293 Johnson Outdoors, Inc. 17,15817,559 Knoll, Inc. 445,12126,530 Lowe's Companies, Inc. 2,917,239

4,200 Lululemon Athletica, Inc.a 808,6263,990 Marcus Corporation 147,6701,371 McDonald's Corporation 294,3679,791 Michaels Companies, Inc.a 95,8543,396 Modine Manufacturing Companya 38,6133,680 Mohawk Industries, Inc.a 456,5788,105 Moneysupermarket.com Group plc 37,692

21,912 Movado Group, Inc. 544,7329,488 Netflix, Inc.a 2,539,1792,700 NHK Spring Company, Ltd. 20,713

50,199 NIKE, Inc. 4,714,69022,000 Nissan Motor Company, Ltd. 137,35429,001 Norwegian Cruise Line Holdings,

Ltd.a 1,501,38235 NVR, Inc.a 130,107

24,371 Ollie's Bargain Outlet Holdings, Inc.a 1,429,115400 Onward Holdings Company, Ltd. 2,084

1,742 O'Reilly Automotive, Inc.a 694,20414,322 Oxford Industries, Inc. 1,026,887

7,531 Park Hotels & Resorts, Inc. 188,0491,600 Park24 Company, Ltd. 37,170

39,000 Planet Fitness, Inc.a 2,256,93087,654 Playa Hotels and Resorts NVa 686,331

300 Plenus Company, Ltd.c 5,040126,391 Red Rock Resorts, Inc. 2,566,369

4,113 Redrow plc 31,2365,384 RHa,c 919,749

300 Rinnai Corporation 20,2153,629 Ruth's Hospitality Group, Inc. 74,086

900 Sangetsu Company, Ltd. 17,0015,100 Sekisui House, Ltd. 100,634

200 SHIMAMURA Company, Ltd. 15,8899,130 Sony Corporation ADR 539,8575,411 Standard Motor Products, Inc. 262,704

24,170 Starbucks Corporation 2,137,111676 Steven Madden, Ltd. 24,194435 Strategic Education, Inc. 59,108200 Sumitomo Forestry Company, Ltd. 2,670

7,200 Sumitomo Rubber Industries, Ltd. 85,7371,385 Super Retail Group, Ltd. 9,274

100 Takara Standard Company, Ltd. 1,65615,604 Taylor Wimpey plc 30,97316,966 Texas Roadhouse, Inc. 891,05440,209 Toll Brothers, Inc. 1,650,579

3,400 Toyoda Gosei Company, Ltd. 68,4474,798 Tupperware Brands Corporation 76,1445,514 Ulta Beauty, Inc.a 1,382,084

300 United Arrows, Ltd. 8,7837,990 Vail Resorts, Inc. 1,818,204

553 WH Smith plc 13,51312,104 Wingstop, Inc. 1,056,437


(unaudited)


Shares Common Stock (48.7%) ValueConsumer Discretionary (5.7%) - continued

2,500 Yahoo Japan Corporation $7,04322,960 Zumiez, Inc.a 727,258

Total 83,002,087

Consumer Staples (2.0%) 500 Arcs Company, Ltd. 10,513

8,143 Calavo Growers, Inc.c 775,051635 Carlsberg AS 93,839

22,507 Casey's General Stores, Inc. 3,627,2287,174 Central Garden & Pet Companya 209,6961,284 Central Garden & Pet Company,

Class Aa 35,59920,684 Coca-Cola Company 1,126,03721,498 Colgate-Palmolive Company 1,580,318

1,336 Costco Wholesale Corporation 384,915122,259 Cott Corporation 1,524,570

671 ForFarmers BV 4,227158 Glanbia plc 1,963491 Grocery Outlet Holding Corporationa 17,028

86,226 Hain Celestial Group, Inc.a 1,851,703139 Inter Parfums, Inc. 9,726

11,100 Japan Tobacco, Inc. 243,19712,976 John B. Sanfilippo & Son, Inc. 1,253,4825,830 Kimberly-Clark Corporation 828,151

86 L'Oreal SA 24,051100 Ministop Company, Ltd. 1,289

45,264 Monster Beverage Corporationa 2,628,0281,265 Nestle SA 137,195

12,684 PepsiCo, Inc. 1,738,97628,530 Philip Morris International, Inc. 2,166,28313,739 Procter & Gamble Company 1,708,857

847 Seneca Foods Corporationa 26,4091,400 Sugi Holdings Company, Ltd. 75,9782,900 Sundrug Company, Ltd. 91,505

151,697 SunOpta, Inc.a 273,05511,458 TreeHouse Foods, Inc.a 635,346

200 TSURUHA Holdings, Inc. 21,84178,568 Turning Point Brands, Inc. 1,811,778

2,411 Unilever NV 144,7753,973 Unilever plc 238,784

27,436 Wal-Mart Stores, Inc. 3,256,104Total 28,557,497

Energy (1.2%) 7,965 Abraxas Petroleum Corporationa 4,042

54,124 Archrock, Inc. 539,61635,439 BP plc ADRc 1,346,32828,285 Chevron Corporation 3,354,601

5,400 Concho Resources, Inc. 366,66012,188 Diamondback Energy, Inc. 1,095,823

1,926 Dril-Quip, Inc.a 96,6471,550 Enterprise Products Partners, LP 44,299

28,760 EQT Corporation 306,0072,720 Era Group, Inc.a 28,723

189,306 Euronav NV 1,741,615685 Evolution Petroleum Corporation 4,000

5,664 Exterran Corporationa 73,972718 Exxon Mobil Corporation 50,698

6,737 Frank's International NVa 32,001106 Gaztransport Et Technigaz SA 10,488

19,670 Gran Tierra Energy, Inc.a 24,5884,434 Gulfport Energy Corporationa 12,016

30,754 Halliburton Company 579,7139,138 Liberty Oilfield Services, Inc. 98,965

93,968 Marathon Oil Corporation 1,152,98726,150 Marathon Petroleum Corporation 1,588,613

Shares Common Stock (48.7%) ValueEnergy (1.2%) - continued

317 Matrix Service Companya $5,43337,759 Nabors Industries, Ltd. 70,60989,589 Nine Energy Service, Inc.a 552,76428,404 Oceaneering International, Inc.a 384,874

7,239 Oil States International, Inc.a 96,27953,407 Patterson-UTI Energy, Inc. 456,630

8,352 Pioneer Natural Resources Company 1,050,431149 REX American Resources

Corporationa 11,3734,823 Royal Dutch Shell plc, Class A 141,4486,683 Royal Dutch Shell plc, Class B 197,5181,659 SEACOR Holdings, Inc.a 78,0891,296 Select Energy Services, Inc.a 11,223

53,119 Talos Energy, Inc.a 1,079,90922,570 TechnipFMC plc 544,840

734 U.S. Silica Holdings, Inc. 7,0174,098 Unit Corporationa 13,851

43,958 WPX Energy, Inc.a 465,515Total 17,720,205

Financials (7.6%) 137 1st Source Corporation 6,265815 AB Industrivarden 17,829

24,480 Aflac, Inc. 1,280,7944,703 AG Mortgage Investment Trust, Inc. 71,2501,269 Alleghany Corporationa 1,012,357

834 Allianz SE 194,13330,647 Ally Financial, Inc. 1,016,255

2,258 American Express Company 267,07627,174 American Financial Group, Inc. 2,930,71614,670 American International Group, Inc. 817,119

7,514 Ameriprise Financial, Inc. 1,105,30919,932 Ameris Bancorp 802,064

8,709 Argo Group International Holdings, Ltd. 611,720

12,146 Arthur J. Gallagher & Company 1,087,917925 Artisan Partners Asset Management,

Inc. 26,12271,270 Assured Guaranty, Ltd. 3,168,664

268 Baloise Holding AG 48,0199,010 Bank Leumi Le-Israel BM 64,150

175,579 Bank of America Corporation 5,121,6391,325 Bank of Marin Bancorp 54,9742,189 Bank of Montreal 161,2283,030 BankFinancial Corporation 36,0572,063 Banner Corporation 115,8794,195 Berkshire Hathaway, Inc.a 872,6441,787 BlackRock, Inc. 796,3598,915 BOK Financial Corporation 705,622

21,851 Boston Private Financial Holdings, Inc. 254,673

33,504 Bridgewater Bancshares, Inc.a 400,03871,841 BrightSphere Investment Group 711,9443,192 Brown & Brown, Inc. 115,1041,995 Byline Bancorp, Inc.a 35,671

20,607 Capital One Financial Corporation 1,874,82510,053 Cboe Global Markets, Inc. 1,155,190

650 Central Pacific Financial Corporation 18,46043,341 Charles Schwab Corporation 1,812,954

7,570 Chubb, Ltd. 1,222,1019,217 CI Financial Corporation 134,4794,062 Cincinnati Financial Corporation 473,914

53,695 Citigroup, Inc. 3,709,25110,863 Citizens Financial Group, Inc. 384,224

3,451 CNP Assurances 66,68919,667 Cohen & Steers, Inc. 1,080,308


(unaudited)


Shares Common Stock (48.7%) ValueFinancials (7.6%) - continued

3,251 Colony Capital, Inc. $19,57118,541 Comerica, Inc. 1,223,52111,043 Community Trust Bancorp, Inc. 470,211

8,300 DBS Group Holdings, Ltd. 150,156151 Deutsche Boerse AG 23,550

3,129 Deutsche Pfandbriefbank AGb 38,14849 Diamond Hill Investment Group, Inc. 6,768

5,455 Direct Line Insurance Group plc 20,12611,094 Discover Financial Services 899,612

3,891 DnB ASA 68,59014,001 Dynex Capital, Inc. 206,93539,985 E*TRADE Financial Corporation 1,746,945

6,795 East West Bancorp, Inc. 300,9513,592 Ellington Residential Mortgage REIT 37,8602,757 Enterprise Financial Services

Corporation 112,34818,526 Essent Group, Ltd. 883,134

1,628 Euronext NVb 133,3031,324 FBL Financial Group, Inc. 78,791

333 Federal Agricultural Mortgage Corporation 27,193

74,045 Fifth Third Bancorp 2,027,3524,280 Financial Institutions, Inc. 129,1707,918 First American Financial Corporation 467,241

184 First Bancorp 6,6069,109 First Busey Corporation 230,2763,291 First Citizens BancShares, Inc. 1,551,871

15,140 First Defiance Financial Corporation 438,5303,260 First Financial Corporation 141,712

13,466 First Hawaiian, Inc. 359,54227,169 First Interstate BancSystem, Inc. 1,093,281

424 First Mid-Illinois Bancshares, Inc. 14,6795,926 First Midwest Bancorp, Inc. 115,438

486 First of Long Island Corporation 11,05712,204 First Republic Bank 1,180,12713,682 FlexiGroup, Ltd. 23,592

2,378 Goldman Sachs Group, Inc. 492,7939,075 Great Southern Bancorp, Inc. 516,821

27,862 Hamilton Lane, Inc. 1,587,020822 Hancock Whitney Corporation 31,478

3,475 Hanover Insurance Group, Inc. 471,00252,046 Hartford Financial Services Group,

Inc. 3,154,50821,557 Heartland Financial USA, Inc. 964,46099,533 Heritage Commerce Corporation 1,170,010

6,043 Hometrust Bancshares, Inc. 157,54120,364 Horace Mann Educators Corporation 943,464

5,964 Horizon Bancorp, Inc. 103,53510,782 Houlihan Lokey, Inc. 486,26818,607 HSBC Holdings plc 142,57127,930 IBERIABANK Corporation 2,109,832

7,663 Independent Bank Corporation 163,33718,214 Interactive Brokers Group, Inc. 979,54948,987 Intercontinental Exchange, Inc. 4,520,030

1,450 International Bancshares Corporation 55,999

21,083 Israel Discount Bank, Ltd. 92,66422,685 J.P. Morgan Chase & Company 2,669,798

8,823 Kemper Corporation 687,75358,589 KeyCorp 1,045,228

620 KKR Real Estate Finance Trust, Inc. 12,1093,253 Lakeland Bancorp, Inc. 50,1941,541 Laurentian Bank of Canada 52,377

11,569 Loews Corporation 595,5723,927 M&T Bank Corporation 620,3487,380 Manulife Financial Corporation 135,362


880 Markel Corporationa $1,040,07211,977 Medibank Private, Ltd. 27,5051,630 Mercantile Bank Corporation 53,464

16,052 Meridian Bancorp, Inc. 300,97521,540 MetLife, Inc. 1,015,82610,462 MidWestOne Financial Group, Inc. 319,300

863 Moody's Corporation 176,76817,930 Morgan Stanley 765,073

4,572 MSCI, Inc. 995,5531,345 National Bank of Canada 66,923

71 National Western Life Group, Inc. 19,0541,477 Newmark Group, Inc. 13,382

12,930 Northern Trust Corporation 1,206,6282,674 Old Second Bancorp, Inc. 32,676

988 Opus Bank 21,5099,739 PacWest Bancorp 353,915

411 Paragon Banking Group plc 2,437409 Pargesa Holding SA 31,460

58,185 PCSB Financial Corporation 1,163,118471 Peapack-Gladstone Financial

Corporation 13,2021,116 Peoples Bancorp, Inc. 35,5005,420 Popular, Inc. 293,1148,194 Primerica, Inc. 1,042,523

59,466 Prosight Global, Inc.a 1,151,2627,040 Prudential Financial, Inc. 633,2486,889 QCR Holdings, Inc. 261,644

28,178 Radian Group, Inc. 643,58630,770 Raymond James Financial, Inc. 2,537,294

4,690 Reinsurance Group of America, Inc. 749,837761 Royal Bank of Canada 61,731

8,348 S&P Global, Inc. 2,045,093182 S&T Bancorp, Inc. 6,648

4,322 Sandy Spring Bancorp, Inc. 145,69571,984 Santander Consumer USA Holdings,

Inc. 1,836,31266,071 Seacoast Banking Corporation of

Floridaa 1,672,2577,006 SEI Investments Company 415,141

500 Senshu Ikeda Holdings, Inc. 8682,173 Skandinaviska Enskilda Banken AB 19,967

234,615 SLM Corporation 2,070,47719,167 State Auto Financial Corporation 620,8196,720 State Street Corporation 397,7574,288 Stifel Financial Corporation 246,045

945 Sun Life Financial, Inc. 42,2557,675 SVB Financial Groupa 1,603,691

50,572 Synovus Financial Corporation 1,808,4551,150 Territorial Bancorp, Inc. 32,867

882 Topdanmark AS 42,5763,766 Toronto-Dominion Bank 219,5902,506 TPG RE Finance Trust, Inc. 49,7192,915 TriCo Bancshares 105,815

18,949 TrustCo Bank Corporation 154,43437,110 U.S. Bancorp 2,053,66726,137 United Community Banks, Inc. 740,984

528 Univest Financial Corporation 13,46992 Virtus Investment Partners, Inc. 10,172

1,380 Walker & Dunlop, Inc. 77,1831,987 Washington Trust Bancorp, Inc. 95,992

511 WesBanco, Inc. 19,0964,798 Western Alliance Bancorp 221,092

170 Westwood Holdings Group, Inc. 4,704889 Willis Towers Watson plc 171,550

16,009 Wintrust Financial Corporation 1,034,662


(unaudited)



61,761 Zions Bancorporations NA $2,749,600Total 109,849,027

Health Care (6.7%) 32,987 Abbott Laboratories 2,760,022

1,756 ABIOMED, Inc.a 312,37515,757 Aerie Pharmaceuticals, Inc.a,c 302,85021,649 Agilent Technologies, Inc. 1,658,96322,272 Agios Pharmaceuticals, Inc.a,c 721,613

3,383 Alexion Pharmaceuticals, Inc.a 331,3314,897 AmerisourceBergen Corporation 403,1708,034 Amgen, Inc. 1,554,659

419 Amplifon SPA 10,280395 AngioDynamics, Inc.a 7,276

5,674 Arena Pharmaceuticals, Inc.a 259,69976 Atrion Corporation 59,217

18,934 Axonics Modulation Technologies, Inc.a 509,703

22,543 Bausch Health Companies, Inc.a 492,5651,149 Becton, Dickinson and Company 290,6511,590 Biogen, Inc.a 370,1849,690 BioMarin Pharmaceutical, Inc.a 653,106

506 Bio-Rad Laboratories, Inc.a 168,36610,925 Bio-Techne Corporation 2,137,69510,161 Bruker Corporation 446,37353,396 Catalent, Inc.a 2,544,853

2,398 Charles River Laboratories International, Inc.a 317,423

283 Chemed Corporation 118,1723,137 Cigna Holding Company 476,1656,757 Concert Pharmaceuticals, Inc.a 39,7319,411 CryoLife, Inc.a 255,509

32,919 CVS Health Corporation 2,076,2019,567 Danaher Corporation 1,381,7626,273 Dexcom, Inc.a 936,183

16,631 Edwards Lifesciences Corporationa 3,657,323486 Enanta Pharmaceuticals, Inc.a 29,199

38,640 GenMark Diagnostics, Inc.a 234,15845,241 Gilead Sciences, Inc. 2,867,37510,572 GlaxoSmithKline plc 226,60688,649 Halozyme Therapeutics, Inc.a 1,374,946

1,596 HealthStream, Inc.a 41,3204,235 Hill-Rom Holdings, Inc. 445,6491,251 Humana, Inc. 319,843

150 IDEXX Laboratories, Inc.a 40,7906,454 Illumina, Inc.a 1,963,436

11,939 Immunomedics, Inc.a 158,31121,661 Inspire Medical Systems, Inc.a 1,321,754

2,873 Insulet Corporationa 473,8445,677 Intuitive Surgical, Inc.a 3,065,183

10,055 Jazz Pharmaceuticals, Inc.a 1,288,44835,534 Johnson & Johnson 4,597,389

300 KYORIN Holdings, Inc. 4,9801,204 Laboratory Corporation of America

Holdingsa 202,27225,033 LHC Group, Inc.a 2,842,747

8,600 Ligand Pharmaceuticals, Inc.a 856,04472 LNA Sante 3,680

161 Magellan Health Services, Inc.a 9,99852 Masimo Corporationa 7,737

2,795 McKesson Corporation 381,96538,715 Medtronic plc 4,205,22347,496 Merck & Company, Inc. 3,998,213

1,000 Mitsubishi Tanabe Pharma Corporation 11,020

38,058 Natera, Inc.a 1,248,302

Shares Common Stock (48.7%) ValueHealth Care (6.7%) - continued

2,872 National Healthcare Corporation $235,07313,014 Neurocrine Biosciences, Inc.a 1,172,692

4,432 Nevro Corporationa 381,0197,151 NextGen Healthcare, Inc.a 112,0563,462 Novartis AG 300,4575,304 Novo Nordisk AS 274,0904,519 Novocure, Ltd.a 337,9317,795 NuVasive, Inc.a 494,047

95,966 Optinose, Inc.a,c 671,762716 Orthifix Medical, Inc.a 37,962

5,597 PerkinElmer, Inc. 476,69733,170 Pfizer, Inc. 1,191,798

157 Phibro Animal Health Corporation 3,349216 Providence Service Corporationa 12,843

1,884 Recordati SPA 80,8039,176 Repligen Corporationa 703,7076,986 ResMed, Inc. 943,878

930 Roche Holding AG 270,7835,580 Sage Therapeutics, Inc.a 782,8183,280 Sarepta Therapeutics, Inc.a 247,050

30,954 Syneos Health, Inc.a 1,647,06224,622 Tactile Systems Technology, Inc.a 1,042,003

8,294 Teleflex, Inc. 2,817,88711,969 Thermo Fisher Scientific, Inc. 3,486,211

322 U.S. Physical Therapy, Inc. 42,03726,053 UnitedHealth Group, Inc. 5,661,838

5,287 Universal Health Services, Inc. 786,4413,753 Varian Medical Systems, Inc.a 446,945

23,279 Veeva Systems, Inc.a 3,554,47114,598 Vertex Pharmaceuticals, Inc.a 2,473,193

1,382 Waters Corporationa 308,504651 West Pharmaceutical Services, Inc. 92,325

176,790 Wright Medical Group NVa 3,647,17841,009 Zoetis, Inc. 5,109,311

Total 97,320,073

Industrials (7.1%) 10,680 A.O. Smith Corporation 509,543

255 Aalberts NV 10,0989,753 Acco Brands Corporation 96,262

736 ACS Actividades de Construccion y Servicios, SA 29,408

118 Actuant Corporation 2,5892,591 Aegion Corporationa 55,396

20,075 Aerojet Rocketdyne Holdings, Inc.a 1,013,98833,106 AGCO Corporation 2,506,12452,180 Altra Industrial Motion Corporation 1,445,12522,032 AMETEK, Inc. 2,022,97833,257 Arcosa, Inc. 1,137,72240,997 ASGN, Inc.a 2,577,071

4,433 Atlas Copco AB, Class A 136,5062,388 Atlas Copco AB, Class B 64,665

22,636 AZZ, Inc. 986,0242,480 Boeing Company 943,566

19,586 BWX Technologies, Inc. 1,120,5151,134 Cactus, Inc.a 32,8181,392 Carlisle Companies, Inc. 202,592

29,150 Casella Waste Systems, Inc.a 1,251,70138,403 CBIZ, Inc.a 902,470

118 Chase Corporation 12,908481 CIA De Distribucion Integral 9,372

1,188 Columbus McKinnon Corporation 43,27912,683 Costamare, Inc. 76,986

3,222 CRA International, Inc. 135,22714,228 Crane Company 1,147,204

9,444 CSW Industrials, Inc. 651,919


(unaudited)


Shares Common Stock (48.7%) ValueIndustrials (7.1%) - continued

10,456 CSX Corporation $724,28723,695 Curtiss-Wright Corporation 3,065,42229,450 Delta Air Lines, Inc. 1,696,320

5,826 Douglas Dynamics, Inc. 259,66524,881 EMCOR Group, Inc. 2,142,75212,907 Emerson Electric Company 862,96225,830 Encore Wire Corporation 1,453,712

335 Ennis, Inc. 6,7701,292 ESCO Technologies, Inc. 102,7928,809 Expeditors International of

Washington, Inc. 654,421882 Federal Signal Corporation 28,877

9,799 Forrester Research, Inc. 314,9405 Geberit AG 2,389

12,244 General Dynamics Corporation 2,237,3464,297 Gorman-Rupp Company 149,493

16,595 Granite Construction, Inc. 533,197400 GS Yuasa Corporation 6,947

6,312 GWA Group, Ltd.c 14,449100 Hanwa Company, Ltd. 2,746

23,868 Healthcare Services Group, Inc.c 579,7544,935 Heico Corporation 616,283

265 Heidrick & Struggles International, Inc. 7,235

487 Herc Holdings, Inc.a 22,6501,200 Hino Motors, Ltd. 9,9442,153 HNI Corporation 76,432

40,835 Honeywell International, Inc. 6,909,2826,204 Hubbell, Inc. 815,2066,136 Huntington Ingalls Industries, Inc. 1,299,5431,007 Huron Consulting Group, Inc.a 61,7691,318 Hyster-Yale Materials Handling, Inc. 72,1349,795 ICF International, Inc. 827,384

14,454 IDEX Corporation 2,368,722700 Inaba Denki Sangyo Company, Ltd. 30,738

16,991 Ingersoll-Rand plc 2,093,46132,973 Interface, Inc. 476,13020,690 Johnson Controls International plc 908,084

2,574 Kelly Services, Inc. 62,3425,066 Kforce, Inc. 191,6721,770 Koninklijke Philips NV 81,790

16,082 Kratos Defense & Security Solutions, Inc.a 299,045

1,784 Legrand SA 127,3247,755 Lincoln Electric Holdings, Inc. 672,8248,184 Lockheed Martin Corporation 3,192,2517,400 Marubeni Corporation 49,350

13,421 Masonite International Corporationa 778,418271 Matthews International Corporation 9,591

13,458 Mercury Systems, Inc.a 1,092,3863,200 Mitsubishi Corporation 78,793

500 Mitsuboshi Belting, Ltd. 8,2327,000 Mitsui & Company, Ltd. 114,985

676 Mobile Mini, Inc. 24,91770,161 MRC Global, Inc.a 851,05310,689 Mueller Industries, Inc. 306,561

2,456 National Express Group plc 13,0761,900 Nitto Kogyo Corporation 36,1261,000 Nobina ABb 6,250

16,544 Norfolk Southern Corporation 2,972,295740 Northgate plc 3,003

9,280 Old Dominion Freight Line, Inc. 1,577,3223,495 PageGroup plc 18,8409,323 Parker Hannifin Corporation 1,683,827

85,139 Primoris Services Corporation 1,669,57621,760 Raven Industries, Inc. 728,090

Shares Common Stock (48.7%) ValueIndustrials (7.1%) - continued

5,410 Regal-Beloit Corporation $394,1196,402 RELX plc 152,0452,321 Resources Connection, Inc. 39,434

83,400 Ritchie Brothers Auctioneers, Inc. 3,327,6602,195 Rockwell Automation, Inc. 361,7366,283 Roper Industries, Inc. 2,240,518

520 Rush Enterprises, Inc. 20,06216,524 Saia, Inc.a 1,548,299

1,164 Sandvik AB 18,1211,358 Schneider Electric SE 118,7473,129 Signify NVb 85,9939,029 SiteOne Landscape Supply, Inc.a,c 668,3274,245 SKF AB 70,098

11,000 Sojitz Corporation 34,22052,139 Southwest Airlines Company 2,816,027

5,631 SP Plus Corporationa 208,347321 Spirax-Sarco Engineering plc 30,926

8,412 SPX FLOW, Inc.a 331,93813,097 Standex International Corporation 955,295

6,100 Sumitomo Corporation 95,49810,100 Sumitomo Electric Industries, Ltd. 128,890

300 Taikisha, Ltd. 9,0838,237 Teledyne Technologies, Inc.a 2,652,232

842 Tennant Company 59,5291,576 Thermon Group Holdings, Inc.a 36,216

800 Toppan Forms Company, Ltd. 7,599544 Transcontinental, Inc. 6,356

1,560 TransDigm Group, Inc. 812,24516,686 TriMas Corporationa 511,426

931 TrueBlue, Inc.a 19,644600 Tsubakimoto Chain Company 19,312

2,091 UniFirst Corporation 407,9969,978 United Airlines Holdings, Inc.a 882,1557,810 United Rentals, Inc.a 973,438

28,867 United Technologies Corporation 3,940,92320,688 Valmont Industries, Inc. 2,864,047

301 Vectrus, Inc.a 12,23626,749 Verisk Analytics, Inc. 4,230,087

1,745 Viad Corporation 117,17717,825 Waste Connections, Inc. 1,639,900

6,366 Watsco, Inc. 1,077,00039,731 Willdan Group, Inc.a 1,393,763

173 Woodward, Inc. 18,65512,668 Xylem, Inc. 1,008,626

400 Yuasa Trading Company, Ltd. 11,450Total 103,565,628

Information Technology (12.0%) 6,281 Accenture plc 1,208,1507,553 ADTRAN, Inc. 85,689

10,163 Advanced Energy Industries, Inc.a 583,45870,021 Advanced Micro Devices, Inc.a 2,029,90928,849 Akamai Technologies, Inc.a 2,636,222

6,189 Alliance Data Systems Corporation 792,9976,197 Alteryx, Inc.a 665,744

210 Altisource Portfolio Solutions SAa 4,2461,594 Amadeus IT Holding SA 114,2132,195 American Software, Inc. 32,969

34,116 Amphenol Corporation 3,292,1945,236 ANSYS, Inc.a 1,159,041

53,619 Apple, Inc. 12,009,04710,488 Arista Networks, Inc.a 2,505,793

3,356 Atkore International Group, Inc.a 101,8556,460 Atlassian Corporation plca 810,3428,138 Automatic Data Processing, Inc. 1,313,636

14,286 Avalara, Inc.a 961,305


(unaudited)


Shares Common Stock (48.7%) ValueInformation Technology (12.0%) - continued

328 Badger Meter, Inc. $17,61414,157 Benchmark Electronics, Inc. 411,40235,035 Blackline, Inc.a 1,675,023

7,465 Booz Allen Hamilton Holding Corporation 530,164

766 Broadridge Financial Solutions, Inc. 95,313367 CACI International, Inc.a 84,872

4,400 Canon, Inc. 117,6661,344 Capgemini SA 158,258

16,998 CDK Global, Inc. 817,4345,245 CDW Corporation 646,394

603 CEVA, Inc.a 18,0063,106 CGI, Inc.a 245,601

76,214 Ciena Corporationa 2,989,875181,513 Cisco Systems, Inc. 8,968,557

16,171 Clearwater Energy, Inc. 280,4059,645 Cognex Corporation 473,859

10,485 Cohu, Inc. 141,60014,465 Computer Services, Inc. 658,158

4,784 Computershare, Ltd. 52,2983,923 CoreLogic, Inc.a 181,517

19,931 Coupa Software, Inc.a 2,582,4606,582 CTS Corporation 212,994

19,104 Descartes Systems Group, Inc.a 770,08240,961 DocuSign, Inc.a 2,536,30585,889 Dolby Laboratories, Inc. 5,551,865

2,455 DSP Group, Inc.a 34,5795,528 Ebix, Inc.c 232,729

16,211 Elastic NVa 1,334,8141,787 EPAM Systems, Inc.a 325,8063,318 ePlus, Inc.a 252,4677,670 Euronet Worldwide, Inc.a 1,122,1212,928 ExlService Holdings, Inc.a 196,059

638 eXp World Holdings, Inc.a 5,3462,317 Fair Isaac Corporationa 703,256

11,832 Fiserv, Inc.a 1,225,67722,910 Five9, Inc.a 1,231,18311,229 Global Payments, Inc. 1,785,41126,388 Guidewire Software, Inc.a 2,780,767

5,708 Halma plc 138,1642,317 InterDigital, Inc. 121,573

645 International Business Machines Corporation 93,796

1,292 International Money Express, Inc.a 17,75210,270 Intuit, Inc. 2,731,204

5,833 Keysight Technologies, Inc.a 567,2597,790 KLA-Tencor Corporation 1,242,1167,057 Kulicke and Soffa Industries, Inc. 165,6986,418 Lam Research Corporation 1,483,264

60,777 Lattice Semiconductor Corporationa 1,111,3071,259 ManTech International Corporation 89,905

25,876 MasterCard, Inc. 7,027,14511,434 Methode Electronics, Inc. 384,640

138,678 Microsoft Corporation 19,280,4025,574 MicroStrategy, Inc.a 827,0146,947 MKS Instruments, Inc. 641,069

30,816 Monolithic Power Systems, Inc. 4,795,8943,800 MTS Systems Corporation 209,950

34,293 National Instruments Corporation 1,439,9631,000 NEC Networks & System Integration

Corporation 27,23312,223 New Relic, Inc.a 751,10311,338 NIC, Inc. 234,13012,043 Nice, Ltd. ADRa 1,731,78316,969 Nova Measuring Instruments, Ltd.a 539,105

8,779 Novanta, Inc.a 717,420

Shares Common Stock (48.7%) ValueInformation Technology (12.0%) - continued

12,276 NVIDIA Corporation $2,136,88336,632 Oracle Corporation 2,015,859

6,806 Palo Alto Networks, Inc.a 1,387,26739,469 PayPal Holdings, Inc.a 4,088,594

2,571 Plantronics, Inc. 95,95027,948 Plexus Corporationa 1,747,030

2,309 Progress Software Corporation 87,88117,672 Proofpoint, Inc.a 2,280,57213,821 Q2 Holdings, Inc.a 1,090,062

5,817 QAD, Inc. 268,62910,790 QUALCOMM, Inc. 823,06123,575 Rambus, Inc.a 309,42223,053 Rogers Corporationa 3,151,576

300 Ryoyo Electro Corporation 5,14693,523 SailPoint Technologies Holdings, Inc.a 1,747,94521,192 Salesforce.com, Inc.a 3,145,740

888 Samsung Electronics Company, Ltd. GDR 904,766

3,069 ScanSource, Inc.a 93,7589,414 ServiceNow, Inc.a 2,389,7441,900 Shinko Electric Industries Company,

Ltd. 16,3061,423 Silicon Laboratories, Inc.a 158,451

19,410 Square, Inc.a 1,202,4502,950 Sykes Enterprises, Inc.a 90,388

25,523 Synopsys, Inc.a 3,503,03216,619 TE Connectivity, Ltd. 1,548,55815,180 Teradata Corporationa 470,58015,297 Teradyne, Inc. 885,84936,037 Texas Instruments, Inc. 4,657,42211,318 Tyler Technologies, Inc.a 2,970,975

5,455 VeriSign, Inc.a 1,028,97747,804 Virtusa Corporationa 1,721,90042,678 Visa, Inc. 7,341,043

7,271 WEX, Inc.a 1,469,2515,395 Workday, Inc.a 916,9349,637 Xilinx, Inc. 924,188

Total 174,799,825

Materials (1.5%) 24,470 Alcoa Corporationa 491,113

548 Avery Dennison Corporation 62,2367,012 Balchem Corporation 695,520

12,061 Ball Corporation 878,1614,355 BHP Group, Ltd. 107,615

16,661 Boise Cascade Company 542,9826,498 Celanese Corporation 794,640

25,220 CF Industries Holdings, Inc. 1,240,824966 Continental Building Products, Inc.a 26,362

21,410 Eastman Chemical Company 1,580,70014,045 Ecolab, Inc. 2,781,47214,834 Ferro Corporationa 175,931

8,150 Ferroglobe Representation & Warranty Insurance Trusta,d 1

2,064 Granges AB 21,063354 Hexpol AB 2,717500 Hokuetsu Corporation 2,512266 Innophos Holdings, Inc. 8,634

7,835 Innospec, Inc. 698,4122,900 JSR Corporation 46,6926,107 Kadant, Inc. 536,134

10,049 Kaiser Aluminum Corporation 994,550861 Koninklijke DSM NV 103,649

4,640 Kraton Performance Polymers, Inc.a 149,8262,000 Kyoei Steel, Ltd. 37,684

300 Lintec Corporation 5,972


(unaudited)


Shares Common Stock (48.7%) ValueMaterials (1.5%) - continued

95,468 Louisiana-Pacific Corporation $2,346,6036,827 Martin Marietta Materials, Inc. 1,871,2815,010 Materion Corporation 307,414

791 Minerals Technologies, Inc. 41,9941,900 Mitsubishi Gas Chemical Company,

Inc. 25,5555,738 Myers Industries, Inc. 101,2764,012 Neenah, Inc. 261,261

200 Nippon Kayaku Company, Ltd. 2,3987,800 Nippon Steel Corporation 109,296

10,290 Nucor Corporation 523,86428,474 Nutanix, Inc.a 747,443

737 Olympic Steel, Inc. 10,613841 PH Glatfelter Company 12,943

7,203 PPG Industries, Inc. 853,6286,448 Reliance Steel & Aluminum Company 642,6084,138 Ryerson Holding Corporationa 35,2974,313 Sandfire Resources NL 19,118

100 Sanyo Special Steel Company, Ltd. 1,34110,774 Schweitzer-Mauduit International,

Inc. 403,37919,924 Steel Dynamics, Inc. 593,735

4,393 SunCoke Energy, Inc.a 24,777300 Taiyo Holdings Company, Ltd. 10,141

1,400 Toagosei Company, Ltd. 15,87610,247 United States Lime & Minerals, Inc. 783,8961,345 UPM-Kymmene Oyj 39,716

511 W. R. Grace & Company 34,114Total 21,804,969

Real Estate (1.9%) 455 Acadia Realty Trust 13,004

13,353 Agree Realty Corporation 976,7724,548 Alexander & Baldwin, Inc. 111,4715,878 Alexandria Real Estate Equities, Inc. 905,447

662 Allied Properties REIT 26,768654 Alstria Office REIT AG 11,220117 American Assets Trust, Inc. 5,469

31,732 American Campus Communities, Inc. 1,525,67510,683 American Tower Corporation 2,362,332

1,921 Apartment Investment & Management Company 100,161

31,642 Apple Hospitality REIT, Inc. 524,6241,653 Ares Commercial Real Estate

Corporation 25,1752,231 Armada Hoffler Properties, Inc. 40,3595,100 Ascendas REIT 11,5187,529 Ashford Hospitality Trust, Inc. 24,9211,737 BBX Capital Corporation 8,112

662 Bluerock Residential Growth REIT, Inc. 7,792

1,249 Brandywine Realty Trust 18,92213,220 Brixmor Property Group, Inc. 268,23412,294 Camden Property Trust 1,364,757

473 CareTrust REIT, Inc. 11,1181,518 Castellum AB 32,499

10,195 CBL & Associates Properties, Inc. 13,15215,038 Cedar Realty Trust, Inc. 45,114

3,273 Chatham Lodging Trust 59,405744 Choice Properties REIT 8,109

1,713 City Office REIT, Inc. 24,65018 Cofinimmo SA 2,535

235 Columbia Property Trust, Inc. 4,9702,414 CoreCivic, Inc. 41,7141,442 Corepoint Lodging, Inc. 14,579

11,133 CoreSite Realty Corporation 1,356,556

Shares Common Stock (48.7%) ValueReal Estate (1.9%) - continued

6,177 Corporate Office Properties Trust $183,9513,280 CoStar Group, Inc.a 1,945,696

38,738 Cousins Properties, Inc. 1,456,1612,140 CubeSmart 74,6861,527 CyrusOne, Inc. 120,786

800 Daito Trust Construction Company, Ltd. 102,463

152 Deutsche EuroShop AG 4,2871,098 DiamondRock Hospitality Company 11,2544,700 Digital Realty Trust, Inc. 610,1076,539 Douglas Emmett, Inc. 280,065

21,495 Duke Realty Corporation 730,185329 EastGroup Properties, Inc. 41,132

3,332 Empire State Realty Trust, Inc. 47,548201 Entra ASAb 3,152

1,937 EPR Properties 148,8781,198 Equity Commonwealth 41,031

159 Equity Lifestyle Properties, Inc. 21,242167 Essex Property Trust, Inc. 54,551

1,907 Farmland Partners, Inc. 12,739295 First Capital Realty, Inc. 4,914

3,016 First Industrial Realty Trust, Inc. 119,313267 Four Corners Property Trust, Inc. 7,551

6,553 Franklin Street Properties Corporation 55,438

3,492 Gaming and Leisure Properties, Inc. 133,5344,529 GEO Group, Inc. 78,5331,126 Getty Realty Corporation 36,1002,710 Gladstone Commercial Corporation 63,685

246 Global Net Lease, Inc. 4,7976 GLP J-Reit 7,957

1,121 Granite REIT 54,279378 H&R REIT 6,599

3,526 Healthcare Realty Trust, Inc. 118,1213,585 Healthcare Trust of America, Inc. 105,3276,424 Highwoods Properties, Inc. 288,695

60,690 Host Hotels & Resorts, Inc. 1,049,330138 Howard Hughes Corporationa 17,885

1,934 Hudson Pacific Properties, Inc. 64,71211,000 Hysan Development Company, Ltd. 44,359

1,359 Industrial Logistics Properties Trust 28,879471 Investors Real Estate Trust 35,170

2,713 iSTAR Financial, Inc. 35,4052,097 JBG SMITH Properties 82,2232,918 Jones Lang LaSalle, Inc. 405,7776,084 Kilroy Realty Corporation 473,8831,746 Kite Realty Group Trust 28,1982,857 Klepierre SA 97,0252,785 Lamar Advertising Company 228,175

60 LEG Immobilien AG 6,8661,524 Lexington Realty Trust 15,6213,549 Liberty Property Trust 182,170

485 Life Storage, Inc. 51,124145 LTC Properties, Inc. 7,427901 Mack-Cali Realty Corporation 19,516

4,900 Mapletree Commercial Trust 8,1233,300 Mapletree Logistics Trust 3,8685,871 Medical Properties Trust, Inc. 114,837

978 Merlin Properties Socimi SA 13,654378 MGM Growth Properties LLC 11,359

28,347 Mirvac Group 58,5612,577 Monmouth Real Estate Investment

Corporation 37,135385 National Health Investors, Inc. 31,720

2,414 National Storage Affiliates Trust 80,5551,245 Office Properties Income Trust 38,147


(unaudited)


Shares Common Stock (48.7%) ValueReal Estate (1.9%) - continued

2,447 Omega Healthcare Investors, Inc. $102,2601,817 One Liberty Properties, Inc. 50,0224,200 Outfront Media, Inc. 116,6762,102 Paramount Group, Inc. 28,0624,515 Pebblebrook Hotel Trust 125,6073,834 Pennsylvania REIT 21,930

40,443 Physicians Realty Trust 717,863848 Piedmont Office Realty Trust, Inc. 17,706

4,511 PotlatchDeltic Corporation 185,3342,770 Preferred Apartment Communities,

Inc. 40,026164 PS Business Parks, Inc. 29,840455 PSP Swiss Property AG 57,768

10,835 QTS Realty Trust, Inc. 557,027999 Quebecor, Inc. 22,682

3,494 Rayonier, Inc. REIT 98,5311,365 RE/MAX Holdings, Inc. 43,8987,778 Realogy Holdings Corporationc 51,9571,107 Redfin Corporationa,c 18,642

519 Retail Opportunity Investments Corporation 9,461

7,461 Retail Properties of America, Inc. 91,920844 RioCan REIT 16,805

1,758 RLJ Lodging Trust 29,868246 RMR Group, Inc. 11,188

3,000 Road King Infrastructure, Ltd. 5,0682,187 RPT Realty 29,634

926 Ryman Hospitality Properties 75,75611,730 Sabra Health Care REIT, Inc. 269,321

543 Saul Centers, Inc. 29,5999,417 SBA Communications Corporation 2,270,910

14,622 Senior Housing Property Trust 135,327881 Seritage Growth Properties 37,434

13,410 Service Properties Trust 345,844757 SITE Centers Corporation 11,438

3,232 Spirit Realty Capital, Inc. 154,6843,231 St. Joe Companya 55,347

816 STAG Industrial, Inc. 24,0562,066 Store Capital Corporation 77,2895,383 Summit Hotel Properties, Inc. 62,4432,002 Sunstone Hotel Investors, Inc. 27,507

196 Swiss Prime Site AG 19,1811,439 TAG Immobilien AG 32,8391,988 Tanger Factory Outlet Centers, Inc. 30,7741,204 Taubman Centers, Inc. 49,1599,913 Terreno Realty Corporation 506,4551,548 UMH Properties, Inc. 21,796

173 Universal Health Realty Income Trust 17,7844,219 Urban Edge Properties 83,4942,119 Urstadt Biddle Properties, Inc. 50,2204,528 VICI Properties, Inc. 102,5596,233 Washington Prime Group, Inc. 25,805

382 Washington REIT 10,4522,697 Weingarten Realty Investors 78,564

909 Weyerhaeuser Company 25,1798,600 Wing Tai Holdings, Ltd. 12,755

601 Xenia Hotels & Resorts, Inc. 12,693Total 27,330,034

Utilities (0.6%) 6,492 AGL Energy, Ltd. 83,987

14,800 Alliant Energy Corporation 798,1642,095 Artesian Resources Corporation 77,515

700 Chesapeake Utilities Corporation 66,72412,449 CMS Energy Corporation 796,114

1,640 Consolidated Water Company, Ltd. 27,044

Shares Common Stock (48.7%) ValueUtilities (0.6%) - continued

1,490 Contact Energy, Ltd. $7,9693,946 Enagas SA 91,2188,231 Entergy Corporation 965,990

45,948 Exelon Corporation 2,219,748391 IDACORP, Inc. 44,054

1,017 Middlesex Water Company 66,06413,441 New Jersey Resources Corporation 607,802

527 Northland Power, Inc. 10,1129,536 NorthWestern Corporation 715,6771,291 Otter Tail Corporation 69,391

22,306 PNM Resources, Inc. 1,161,69610,505 Public Service Enterprise Group, Inc. 652,150

9,410 Spire, Inc. 820,9281,600 Unitil Corporation 101,504

Total 9,383,851

Total Common Stock (cost $569,464,294) 707,598,200

SharesRegistered Investment Companies (36.9%) Value

Unaffiliated (1.1%)9,981 Consumer Discretionary Select

Sector SPDR Fund 1,204,70711,947 iShares Russell 2000 Value Index

Fund 1,426,59117,992 Materials Select Sector SPDR Fundc 1,047,134

2,905 ProShares Ultra S&P 500c 373,14720,723 SPDR S&P 500 ETF Trust 6,149,96517,675 SPDR S&P Biotech ETFc 1,347,71923,035 SPDR S&P Metals & Mining ETF 586,24110,960 SPDR S&P Retail ETF 465,03352,476 VanEck Vectors Oil Services ETF 616,59326,208 Vanguard Real Estate ETF 2,443,896

Total 15,661,026

Affiliated (35.8%)6,531,466 Thrivent Core International Equity

Fund 61,461,0955,119,867 Thrivent Core Low Volatility Equity

Fund 62,052,7934,131,407 Thrivent Global Stock Portfolio 53,153,8582,064,308 Thrivent High Yield Portfolio 9,774,914

520,395 Thrivent Income Portfolio 5,504,68713,468,075 Thrivent International Allocation

Portfolio 127,628,8623,717,543 Thrivent Large Cap Value Portfolio 66,154,4121,001,346 Thrivent Limited Maturity Bond

Portfolio 9,937,1594,394,573 Thrivent Mid Cap Stock Portfolio 80,311,2672,577,880 Thrivent Small Cap Stock Portfolio 45,824,142

Total 521,803,189

Total Registered Investment Companies (cost $502,423,900) 537,464,215

Principal Amount Long-Term Fixed Income (4.6%) Value

Collateralized Mortgage Obligations (0.1%) Federal Home Loan Mortgage

Corporation - REMIC

$575,0003.859%, 11/25/2028, Ser. K086, Class A2e,f 650,119


(unaudited)


Principal Amount Long-Term Fixed Income (4.6%) Value

Collateralized Mortgage Obligations (0.1%) - continued

MASTR Alternative Loans Trust

$19,670

2.468%, (LIBOR 1M + 0.450%), 12/25/2035, Ser. 2005-6, Class 2A1f $6,634

Sequoia Mortgage Trust

62,5613.402%, 9/20/2046, Ser. 2007-1, Class 4A1f 50,975

WaMu Mortgage Pass Through Certificates

27,5353.811%, 9/25/2036, Ser. 2006-AR10, Class 1A2f 26,531

42,6573.909%, 10/25/2036, Ser. 2006-AR12, Class 1A1f 41,909

Total 776,168

Mortgage-Backed Securities (2.1%) Federal National Mortgage

Association Conventional 15-Yr. Pass Through

2,200,000 2.500%, 10/1/2034g 2,218,949 4,075,000 3.500%, 10/1/2034g 4,214,760 6,717,000 3.000%, 10/1/2034g 6,866,820

Federal National Mortgage Association Conventional 30-Yr. Pass Through

6,200,000 3.500%, 10/1/2049g 6,361,055 10,623,000 3.000%, 10/1/2049g 10,784,835

Total 30,446,419

U.S. Government & Agencies (2.4%) U.S. Treasury Bonds

920,000 2.250%, 11/15/2027 962,442 5,000,000 2.875%, 5/15/2028 5,488,672

170,000 5.250%, 11/15/2028 221,485 120,000 3.000%, 5/15/2042 140,419

2,413,000 2.500%, 5/15/2046 2,600,761U.S. Treasury Notes

360,000 1.000%, 10/15/2019 359,849 825,000 1.500%, 10/31/2019 824,596 650,000 1.750%, 11/30/2019 649,668 665,000 1.375%, 9/30/2020 662,117 100,000 2.500%, 2/28/2021 101,023

1,045,000 1.125%, 8/31/2021 1,034,387 940,000 2.000%, 11/30/2022 951,933 500,000 2.125%, 7/31/2024 512,891

2,330,000 2.250%, 11/15/2024 2,406,817 2,040,000 2.125%, 11/30/2024 2,095,383

640,000 2.625%, 1/31/2026 678,800 15,030,000 2.500%, 2/28/2026 15,837,275

Total 35,528,518

Total Long-Term Fixed Income (cost $64,707,422) 66,751,105

SharesCollateral Held for Securities Loaned (0.7%) Value

10,142,988 Thrivent Cash Management Trust 10,142,988Total Collateral Held for Securities Loaned (cost $10,142,988) 10,142,988

Shares or Principal Amount Short-Term Investments (12.0%) Value

Federal Home Loan Bank Discount Notes

1,900,000 2.010%, 10/7/2019h,i $1,899,405400,000 2.085%, 10/11/2019h,i 399,791

2,000,000 1.950%, 10/16/2019h,i 1,998,433900,000 1.995%, 10/30/2019h,i 898,637

2,900,000 1.980%, 11/5/2019h,i 2,894,6993,100,000 1.941%, 11/12/2019h,i 3,093,201

300,000 1.970%, 11/19/2019h,i 299,2321,400,000 1.910%, 12/5/2019h,i 1,395,2732,400,000 1.920%, 12/11/2019h,i 2,391,149

Thrivent Core Short-Term Reserve Fund

15,934,264 2.230% 159,342,641Total Short-Term Investments (cost $174,611,378) 174,612,461Total Investments (cost $1,321,349,982) 102.9% $1,496,568,969Other Assets and Liabilities, Net (2.9%) (41,700,483)Total Net Assets 100.0% $1,454,868,486

a Non-income producing security.b Denotes securities sold under Rule 144A of the Securities Act of

1933, which exempts them from registration. These securities may be resold to other dealers in the program or to other qualified institutional buyers. As of September 30, 2019, the value of these investments was $368,522 or 0.0% of total net assets.

c All or a portion of the security is on loan. d Security is valued using significant unobservable inputs. Further

information on valuation can be found in the Notes to Financial Statements.

e All or a portion of the security is insured or guaranteed.f Denotes variable rate securities. The rate shown is as of

September 30, 2019. The rates of certain variable rate securities are based on a published reference rate and spread; these may vary by security and the reference rate and spread are indicated in their description. The rates of other variable rate securities are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

g Denotes investments purchased on a when-issued or delayed delivery basis.

h The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase.

i All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts.

The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Aggressive Allocation Portfolio as of September 30, 2019:

Securities Lending TransactionsCommon Stock $9,817,084Total lending $9,817,084Gross amount payable upon return of collateral for securities loaned $10,142,988Net amounts due to counterparty $325,904


(unaudited)


Definitions:ADR - American Depositary Receipt, which are certificates for an

underlying foreign security's shares held by an issuing U.S. depository bank.

ETF - Exchange Traded FundGDR - Global Depository Receipts, which are certificates for

shares of an underlying foreign security’s shares held by an issuing depository bank from more than one country.

REMIC - Real Estate Mortgage Investment ConduitREIT - Real Estate Investment Trust is a company that buys,

develops, manages and/or sells real estate assets.Ser. - Series

SPDR - S&P Depository Receipts, which are exchange-traded funds traded in the U.S., Europe, and Asia-Pacific and managed by State Street Global Advisors.

Reference Rate Index:LIBOR 1M - ICE Libor USD Rate 1 Month

Fair Valuation Measurements The following table is a summary of the inputs used, as of September 30, 2019, in valuing Aggressive Allocation Portfolio's assets carried at fair value.

Investments in Securities Total Level 1 Level 2 Level 3Common Stock

Communications Services 34,265,004 33,864,380 400,624 –Consumer Discretionary 83,002,087 81,953,996 1,048,091 –Consumer Staples 28,557,497 27,468,340 1,089,157 –Energy 17,720,205 17,370,751 349,454 –Financials 109,849,027 107,766,749 2,082,278 –Health Care 97,320,073 96,137,374 1,182,699 –Industrials 103,565,628 101,922,259 1,643,369 –Information Technology 174,799,825 173,020,174 1,779,651 –Materials 21,804,969 21,253,623 551,345 1Real Estate 27,330,034 26,654,180 675,854 –Utilities 9,383,851 9,190,565 193,286 –

Registered Investment CompaniesUnaffiliated 15,661,026 15,661,026 – –Affiliated 398,289,301 398,289,301 – –

Long-Term Fixed IncomeCollateralized Mortgage Obligations 776,168 – 776,168 –Mortgage-Backed Securities 30,446,419 – 30,446,419 –U.S. Government & Agencies 35,528,518 – 35,528,518 –

Short-Term Investments 15,269,820 – 15,269,820 –Subtotal Investments in Securities $1,203,569,452 $1,110,552,718 $93,016,733 $1Other Investments * TotalAffiliated Registered Investment Companies 123,513,888 Affiliated Short-Term Investments 159,342,641 Collateral Held for Securities Loaned 10,142,988 Subtotal Other Investments $292,999,517

Total Investments at Value $1,496,568,969

* Certain investments are measured at fair value using a net asset value per share that is not publicly available (practical expedient). According to disclosure requirements of Accounting Standards Codification (ASC) 820, Fair Value Measurement, securities valued using the practical expedient are not classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities.

Other Financial Instruments Total Level 1 Level 2 Level 3Asset Derivatives

Futures Contracts 3,509,255 3,509,255 – –Total Asset Derivatives $3,509,255 $3,509,255 $– $–Liability Derivatives

Futures Contracts 4,454,260 4,454,260 – –Total Liability Derivatives $4,454,260 $4,454,260 $– $–

There were no significant transfers between Levels during the period ended September 30, 2019. Transfers between Levels are identified as of the end of the period.


(unaudited)


The following table presents Aggressive Allocation Portfolio's futures contracts held as of September 30, 2019. Investments and/or cash totaling $15,269,820 were pledged as the initial margin deposit for these contracts.

Futures Contracts Description

Number of Contracts

Long/(Short)Expiration

DateNotional Principal

AmountValue and Unrealized

CBOT 2-Yr. U.S. Treasury Note 33 December 2019 $7,127,844 ($16,344)CBOT U.S. Long Bond 20 December 2019 3,273,190 ( 26,940)CME E-mini Russell 2000 Index 47 December 2019 3,720,739 ( 136,989)CME E-mini S&P 500 Index 1,521 December 2019 228,542,863 ( 2,027,938)CME Euro Foreign Exchange Currency 115 December 2019 15,908,990 ( 150,396)CME Ultra Long Term U.S. Treasury Bond 24 December 2019 4,624,111 ( 18,361)Eurex Euro STOXX 50 Index 412 December 2019 15,755,669 208,449ICE mini MSCI EAFE Index 661 December 2019 63,049,265 ( 307,145)ICE US mini MSCI Emerging Markets Index 1,493 December 2019 76,561,982 ( 1,770,147)Total Futures Long Contracts $418,564,653 ($4,245,811)CBOT 5-Yr. U.S. Treasury Note (50) December 2019 ($6,002,969) $45,547CME E-mini NASDAQ 100 Index (369) December 2019 ( 58,255,708) 909,418CME E-mini S&P Mid-Cap 400 Index (845) December 2019 ( 166,051,571) 2,290,571Ultra 10-Yr. U.S. Treasury Note (23) December 2019 ( 3,330,613) 55,270Total Futures Short Contracts ($233,640,861) $3,300,806Total Futures Contracts $184,923,792 ($945,005)

Reference Description:CBOT - Chicago Board of TradeCME - Chicago Mercantile ExchangeEAFE - Europe, Australasia and Far East ICE - Intercontinental ExchangeMSCI - Morgan Stanley Capital InternationalNASDAQ - National Association of Securities Dealers

Automated QuotationsS&P - Standard & Poor's

Investment in Affiliates Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio's holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio. The Portfolio owns shares of Thrivent Cash Management Trust for the purpose of securities lending and Thrivent Core Short-Term Reserve Fund, a series of Thrivent Core Funds, primarily to serve as a cash sweep vehicle for the Portfolio. Thrivent Cash Management Trust and Thrivent Core Funds are established solely for investment by Thrivent entities.

A summary of transactions (in thousands; values shown as zero are less than $500) for the fiscal year to date, in Aggressive Allocation Portfolio, is as follows:

PortfolioValue

12/31/2018Gross

PurchasesGross Sales

Value 9/30/2019

Shares Held at 9/30/2019

% of Net Assets 9/30/2019

Affiliated Registered Investment Companies Core International Equity $55,844 $– $– $61,461 6,531 4.2%Core Low Volatility Equity 49,967 3 – 62,053 5,120 4.3Global Stock Fund 46,961 3,888 – 53,154 4,131 3.7High Yield 8,766 398 – 9,775 2,064 0.6Income 4,894 135 – 5,505 520 0.4International Allocation 114,732 4,009 – 127,629 13,468 8.8Large Cap Value 57,348 3,945 – 66,154 3,718 4.5Limited Maturity Bond 9,546 193 – 9,937 1,001 0.7Mid Cap Stock 67,778 7,740 – 80,311 4,395 5.5Small Cap Stock 39,335 5,530 – 45,824 2,578 3.1

Total Affiliated Registered Investment Companies 455,171 521,803 35.8Affiliated Short-Term Investments

Core Short-Term Reserve, 2.230% 161,996 180,151 182,804 159,343 15,934 11.0Total Affiliated Short-Term Investments 161,996 159,343 11.0Collateral held for Securities Loaned

Cash Management Trust- Collateral Investment 9,815 99,953 99,625 10,143 10,143 0.7Total Collateral Held for Securities Loaned 9,815 10,143 0.7Total Value $626,982 $691,289


(unaudited)


PortfolioNet Realized Gain/(Loss)

Change in Unrealized

Appreciation/(Depreciation)

Distributions of Realized Capital

Gains

Income Earned 1/1/2019

- 9/30/2019Affiliated Registered Investment Companies

Core International Equity $– $5,617 – $–Core Low Volatility Equity – 12,082 3 –Global Stock – 2,304 3,122 766High Yield – 610 – 398Income – 476 – 134International Allocation – 8,888 1,064 2,945Large Cap Value – 4,861 2,943 1,002Limited Maturity Bond – 199 – 193Mid Cap Stock – 4,793 7,253 487Small Cap Stock – 959 5,348 182

Affiliated Short-Term Investments Core Short-Term Reserve, 2.230% – – – 3,284

Total Income from Affiliated Investments $9,391Collateral Held for Securities Loaned

Cash Management Trust- Collateral Investment – – – 33Total Affiliated Income from Securities Loaned, Net $33Total Value $– $40,789 $19,733

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

13

SIGNIFICANT ACCOUNTING POLICIES

Valuation of Investments — Securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the last sale price on the principal exchange as of the close of regular trading on such exchange or the official closing price of the national market system. Over-the-counter securities and listed securities for which no price is readily available are valued at the current bid price considered best to represent the value at that time. Security prices are based on quotes that are obtained from an independent pricing service approved by the Fund's Board of Directors (the “Board”). The pricing service, in determining values of fixed-income securities, takes into consideration such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities which cannot be valued by the approved pricing service are valued using valuations from dealers that make markets in the securities. Exchange-listed options and futures contracts are valued at the primary exchange settle price. Exchange cleared swap agreements are valued using a vendor provided settlement or clearing price used by the clearinghouse. Swap agreements not cleared on exchanges will be valued using the mid-price from the primary approved pricing service. Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by the pricing service. Investments in open-ended mutual funds are valued at their net asset value at the close of each business day.

Securities held by the Money Market Portfolio are valued on the basis of amortized cost (which approximates market value), whereby a portfolio security is valued at its cost initially and thereafter valued to reflect a constant amortization to maturity of any discount or premium. The Money Market Portfolio and the Adviser follow procedures designed to help maintain a constant net asset value of $1.00 per share.

The Board has delegated responsibility for daily valuation of the Portfolios' securities to the Adviser. The Adviser has formed a Valuation Committee (“Committee”) that is responsible for overseeing the Portfolios’ valuation policies in accordance with Valuation Policies and Procedures. The Committee meets on a monthly and on an as-needed basis to review price challenges, price overrides, stale prices, shadow prices, manual prices, money market pricing, international fair valuation, and other securities requiring fair valuation.

The Committee monitors for significant events occurring prior to the close of trading on the New York Stock Exchange that could have a material impact on the value of any securities that are held by the Portfolios. Examples of such events include trading halts, national news/events, and issuer-

specific developments. If the Committee decides that such events warrant using fair value estimates, the Committee will take such events into consideration in determining the fair value of such securities. If market quotations or prices are not readily available or determined to be unreliable, the securities will be valued at fair value as determined in good faith pursuant to procedures adopted by the Board.

In accordance with U.S. Generally Accepted Accounting Principles (“GAAP”), the various inputs used to determine the fair value of the Portfolios’ investments are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities, typically included in this level are U.S. equity securities, futures, options and registered investment company funds. Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically included in this level are fixed income securities, international securities, swaps and forward contracts. Level 3 includes significant unobservable inputs such as the Adviser’s own assumptions and broker evaluations in determining the fair value of investments. Of the Level 3 securities, those for which market values were not readily available or were deemed unreliable were fair valued as determined in good faith pursuant to procedures established by the Board. The valuation levels are not necessarily an indication of the risk associated with investing in these securities or other investments. Investments measured using net asset value per share as a practical expedient for fair value and that are not publicly available-for-sale are not categorized within the fair value hierarchy.

Valuation of International Securities — The Portfolios value certain foreign securities traded on foreign exchanges that close prior to the close of the New York Stock Exchange using a fair value pricing service. The fair value pricing service uses a multi-factor model that may take into account the local close, relevant general and sector indices, currency fluctuation, prices of other securities (including ADRs, New York registered shares, and ETFs), and futures, as applicable, to determine price adjustments for each security in order to reflect the effects of post-closing events. The Board has authorized the Adviser to make fair valuation determinations pursuant to policies approved by the Board.

Foreign Currency Translation — The accounting records of each Portfolio are maintained in U.S. dollars. Securities and other assets and liabilities that are denominated in foreign currencies are translated into U.S. dollars at the daily closing rates of exchange.

Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. Net realized and unrealized currency gains and losses are recorded from closed currency contracts, disposition of foreign


(unaudited)

14

currencies, exchange gains or losses between the trade date and settlement date on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. The Portfolios do not separately report the effect of changes in foreign exchange rates from changes in prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments in the Statement of Operations.

For federal income tax purposes, the Portfolios treat the effect of changes in foreign exchange rates arising from actual foreign currency transactions and the changes in foreign exchange rates between the trade date and settlement date as ordinary income.

Foreign Denominated Investments — Foreign denominated assets and currency contracts may involve more risks than domestic transactions including currency risk, political and economic risk, regulatory risk, and market risk. Certain Portfolios may also invest in securities of companies located in emerging markets. Future economic or political developments could adversely affect the liquidity or value, or both, of such securities.

Derivative Financial Instruments — Each of the Portfolios, with the exception of the Money Market Portfolio, may invest in derivatives. Derivatives, a category that includes options, futures, swaps, foreign currency forward contracts and hybrid instruments, are financial instruments whose value is derived from another security, an index or a currency. Each applicable Portfolio may use derivatives for hedging (attempting to offset a potential loss in one position by establishing an interest in an opposite position). This includes the use of currency-based derivatives to manage the risk of its positions in foreign securities. Each applicable Portfolio may also use derivatives for replication of a certain asset class or speculation (investing for potential income or capital gain). These contracts may be transacted on an exchange or over-the-counter ("OTC").

A derivative may incur a mark to market loss if the value of the derivative decreases due to an unfavorable change in the market rates or values of the underlying derivative. Losses can also occur if the counterparty does not perform under the derivative. A Portfolio’s risk of loss from the counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Portfolio. With exchange traded futures and centrally cleared swaps, there is minimal counterparty credit risk to the Portfolios because the exchange’s clearinghouse, as counterparty to such derivatives, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the derivative; thus, the credit risk is limited to the failure of the clearinghouse. However, credit risk still exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers

are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all of the broker’s customers, potentially resulting in losses to the Portfolios. Using derivatives to hedge can guard against potential risks, but it also adds to the Portfolios’ expenses and can eliminate some opportunities for gains. In addition, a derivative used for mitigating exposure or replication may not accurately track the value of the underlying asset. Another risk with derivatives is that some types can amplify a gain or loss, potentially earning or losing substantially more money than the actual cost of the derivative.

In order to define their contractual rights and to secure rights that will help the Portfolios mitigate their counterparty risk, the Portfolios may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and foreign exchange contracts and typically includes, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Portfolio may, under certain circumstances, offset with the counterparty certain derivatives' payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy and insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

Collateral and margin requirements vary by type of derivative. Margin requirements are established by the broker or clearinghouse for exchange traded and centrally cleared derivatives (futures, options, and centrally cleared swaps). Brokers can ask for margining in excess of the minimum in certain situations. Collateral terms are contract specific for OTC derivatives (foreign currency exchange contracts, options, and swaps). For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Portfolio and the counterparty. For financial reporting purposes, non-cash collateral that has been pledged to cover obligations of the Portfolio has been noted in the Schedule of Investments. To the extent amounts due to a Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from


(unaudited)

15

counterparty nonperformance. The Portfolios attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Options — All Portfolios, with the exception of the Money Market Portfolio, may buy put and call options and write put and covered call options. The Portfolios intend to use such derivative instruments as hedges to facilitate buying or selling securities or to provide protection against adverse movements in security prices or interest rates. The Portfolios may also enter into options contracts to protect against adverse foreign exchange rate fluctuations. Option contracts are valued daily and unrealized appreciation or depreciation is recorded. A Portfolio will realize a gain or loss upon expiration or closing of the option transaction. When an option is exercised, the proceeds upon sale for a written call option or the cost of a security for purchased put and call options is adjusted by the amount of premium received or paid.

Buying put options tends to decrease a Portfolio’s exposure to the underlying security while buying call options tends to increase a Portfolio’s exposure to the underlying security. The risk associated with purchasing put and call options is limited to the premium paid. There is no significant counterparty risk on exchange-traded options as the exchange guarantees the contract against default. Writing put options tends to increase a Portfolio’s exposure to the underlying security while writing call options tends to decrease a Portfolio’s exposure to the underlying security. The writer of an option has no control over whether the underlying security may be bought or sold, and therefore bears the market risk of an unfavorable change in the price of the underlying security. The counterparty risk for purchased options arises when the Portfolio has purchased an option, exercises that option, and the counterparty doesn’t buy from the Portfolio or sell to the Portfolio the underlying asset as required. In the case where the Portfolio has written an option, the Portfolio doesn’t have counterparty risk. Counterparty risk on purchased over-the-counter options is partially mitigated by the Portfolio’s collateral posting requirements. As the option increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Government Bond, Income, Limited Maturity Bond, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, and Opportunity Income Plus used treasury options to manage the duration of the Portfolio versus the benchmark. Options on mortgage backed securities were used to generate income and/or to manage the duration of the Portfolio.

Futures Contracts — All Portfolios, with the exception of the Money Market Portfolio, may use futures contracts to manage the exposure to interest rate and market or currency fluctuations. Gains or losses on futures contracts can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the required “initial margin deposit” are held on deposit with and pledged to the broker. Additional securities held by the Portfolios may be earmarked to cover open futures contracts. A futures contract’s daily change in value (“variation margin”) is either paid to or received from the broker, and is recorded as an unrealized gain or loss. When the contract is closed, realized gain or loss is recorded equal to the difference between the value of the contract when opened and the value of the contract when closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Exchange-traded futures have no significant counterparty risk as the exchange guarantees the contracts against default.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Government Bond, Income, International Allocation, Limited Maturity Bond, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, Multidimensional Income, and Opportunity Income Plus used treasury futures to manage the duration and yield curve exposure of the respective Portfolio versus its benchmark.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Global Stock, International Allocation, Large Cap Index, Low Volatility Equity, Mid Cap Index, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, Opportunity Income Plus, and Small Cap Index used equity futures to manage exposure to the equities market.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Global Stock, International Allocation, Moderate Allocation, Moderately Aggressive Allocation, and Moderately Conservative Allocation used foreign exchange futures to hedge currency risk.

Foreign Currency Forward Contracts — In connection with purchases and sales of securities denominated in foreign currencies, all Portfolios, with the exception of the Money Market Portfolio, may enter into foreign currency forward contracts. Additionally, the Portfolios may enter into such contracts to mitigate currency and counterparty exposure to other foreign-currency-denominated investments. These contracts are recorded at value and the realized and change in unrealized foreign exchange gains and losses are included in the Statement of Operations. In the event


(unaudited)

16

that counterparties fail to settle these forward contracts, the Portfolios could be exposed to foreign currency fluctuations. Foreign currency contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time a forward contract is closed. These contracts are over-the-counter and a Portfolio is exposed to counterparty risk equal to the discounted net amount of payments to the Portfolio.

During the period ended September 30, 2019, Partner Healthcare used foreign currency forward contracts in order to hedge unwanted currency exposure.

During the period ended September 30, 2019, International Allocation used foreign currency forward contracts in order to gain active currency exposure and to hedge unwanted currency exposure.

Swap Agreements — All Portfolios, with the exception of the Money Market Portfolio, may enter into swap transactions, which involve swapping one or more investment characteristics of a security or a basket of securities with another party. Such transactions include market risk, risk of default by the other party to the transaction, risk of imperfect correlation and manager risk and may involve commissions or other costs. Swap transactions generally do not involve delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to swap transactions is generally limited to the net amount of payments that the Portfolio is contractually obligated to make, or in the case of the counterparty defaulting, the net amount of payments that the Portfolio is contractually entitled to receive. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. If there is a default by the counterparty, the Portfolio may have contractual remedies pursuant to the agreements related to the transaction. The contracts are valued daily and unrealized appreciation or depreciation is recorded. Swap agreements are valued at the clearinghouse end of day prices as furnished by an independent pricing service. The pricing service takes into account such factors as swap curves, default probabilities, recent trades, recovery rates and other factors it deems relevant in determining valuations. Daily fluctuations in the value of the centrally cleared credit default contracts are recorded in variation margin in the Statement of Assets and Liabilities and recorded as unrealized gain or loss. The Portfolio accrues for the periodic payment and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount recorded as realized gains or losses in the Statement of Operations. Receipts and payments received or made as a result of a credit event or termination of the contract are also recognized as realized gains or losses in the Statement of Operations. Collateral, in the form of

cash or securities, may be required to be held with the Portfolio’s custodian, or a third party, in connection with these agreements. Certain swap agreements are over-the-counter. In these types of transactions, the Portfolio is exposed to counterparty risk, which is the discounted net amount of payments owed to the Portfolio. This risk is partially mitigated by the Portfolio’s collateral posting requirements. As the swap increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Certain interest rate and credit default index swaps must be cleared through a clearinghouse or central counterparty.

Credit Default Swaps — A credit default swap is a swap agreement between two parties to exchange the credit risk of a particular issuer, basket of securities or reference entity. In a credit default swap transaction, a buyer pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. The seller collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. A buyer of a credit default swap is said to buy protection whereas a seller of a credit default swap is said to sell protection. The Portfolios may be either the protection buyer or the protection seller.

Certain Portfolios enter into credit default derivative contracts directly through credit default swaps ("CDS") or through credit default swap indices ("CDX Indices"). CDX Indices are static pools of equally weighted credit default swaps referencing corporate bonds and/or loans designed to provide diversified credit exposure to these asset classes. Portfolios sell default protection and assume long-risk positions in individual credits or indices. Index positions are entered into to gain exposure to the corporate bond and/or loan markets in a cost-efficient and diversified structure. In the event that a position defaults, by going into bankruptcy and failing to pay interest or principal on borrowed money, within any given CDX Index held, the maximum potential amount of future payments required would be equal to the pro-rata share of that position within the index based on the notional amount of the index. In the event of a default under a CDS contract, the maximum potential amount of future payments would be the notional amount. For CDS, the default events could be bankruptcy and failing to pay interest or principal on borrowed money or a restructuring. A restructuring is a change in the underlying obligations which would include reduction in interest or principal, maturity extension and subordination to other obligations.

During the period ended September 30, 2019, High Yield, Income, Moderate Allocation, Moderately Aggressive


(unaudited)

17

Allocation, and Moderately Conservative Allocation used CDX indices (comprised of credit default swaps) to help manage credit risk exposure within the fund.

Total Return Swaps— A total return swap is a swap agreement between two parties to exchange the total return of a particular reference asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities, or index underlying the transactions exceeds or falls short of the offsetting interest obligation, the Portfolios will receive a payment from or make a payment to the counterparty. The Portfolios may take a "long" or "short" position with respect to the underlying referenced asset.

During the period ended September 30, 2019, International Allocation used total return swaps to achieve exposure to foreign equity markets where liquidity and/or access is limited.

For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

Additional information for the Portfolio's policy regarding valuation of investments and other significant accounting policies can be obtained by referring to the Portfolio's most recent annual or semiannual shareholder report.

aggressive allocation portfolio schedule of investments …€¦ · aggressive allocation portfolio...

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