Washington, D.C. 20549




Investment Company Act file number 811- 22441

John Hancock Hedged Equity & Income Fund
(Exact name of registrant as specified in charter)

601 Congress Street, Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)

Salvatore Schiavone


601 Congress Street

Boston, Massachusetts 02210
(Name and address of agent for service)

Registrant’s telephone number, including area code: 617-663-4497

Date of fiscal year end: December 31
Date of reporting period: June 30, 2015






John Hancock

Hedged Equity & Income Fund

Ticker: HEQ Semiannual report 6/30/15


Managed distribution plan

The fund has adopted a managed distribution plan (Plan). Under the Plan, the fund makes quarterly distributions of an amount equal to $0.376 per share, which will be paid quarterly until further notice. The fund may make additional distributions: (i) for purposes of not incurring federal income tax on the fund of investment company taxable income and net capital gain, if any, not included in such regular distributions; and (ii) for purposes of not incurring federal excise tax on ordinary income and capital gain net income, if any, not included in such regular distributions.

The Plan provides that the Board of Trustees of the fund may amend the terms of the Plan or terminate the Plan at any time without prior notice to the fund's shareholders. The Plan is subject to periodic review by the fund's Board of Trustees.

You should not draw any conclusions about the fund's investment performance from the amount of the fund's distributions or from the terms of the fund's Plan. The fund's total return at NAV is presented in the Financial highlights section.

With each distribution that does not consist solely of net income, the fund will issue a notice to shareholders and an accompanying press release that will provide detailed information regarding the amount and composition of the distribution and other related information. The amounts and sources of distributions reported in the notice to shareholders are only estimates and are not provided for tax reporting purposes. The actual amounts and sources of the amounts for tax reporting purposes will depend upon the fund's investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. The fund will send you a Form 1099-DIV for the calendar year that will tell you how to report these distributions for federal income tax purposes. The fund may, at times, distribute more than its net investment income and net realized capital gains; therefore, a portion of your distribution may result in a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the fund is paid back to you. A return of capital does not necessarily reflect the fund's investment performance and should not be confused with yield or income.


A message to shareholders

Dear shareholder,

Despite improving economic conditions in many developed countries and continued central bank stimulus, global market volatility crept up near the end of the period. European markets were shaken by the ongoing debt crisis in Greece, including that country's default on debt payments and initial vote to reject the terms of a bailout package from European creditors. A subsequent deal offered hope of an orderly resolution. Meanwhile, in China, the stock market rally fizzled in June, and the ensuing sell-off was stemmed only as a result of massive government intervention. In the United States, a stronger economy has increased the chances that the U.S. Federal Reserve will raise short-term interest rates this year—an event investors have viewed with trepidation for some time.

We may be in for a period of rising volatility as markets adjust to the idea of more normalized monetary policy in the United States and as the European debt situation continues to play out. Unpleasant as they are, these periods can ultimately be beneficial to the long-term health of markets, resetting valuations and investor expectations on a more realistic trajectory. The near-term challenge for many investors will be maintaining the discipline to stick to a well-constructed long-term financial plan in the face of short-term market disruptions. As always, we recommend that your first course of action be a conversation with your financial advisor. We also believe investors can be well served by owning broadly diversified asset allocation funds or by adding alternative strategies such as absolute return funds to a diversified portfolio.

At John Hancock Investments, one of the ways we seek to maximize the value shareholders receive is by lowering expenses where possible. To that end, we were pleased to announce a sweeping package of expense reductions across a wide range of funds. Details can be found at jhinvestments.com.

On behalf of everyone at John Hancock Investments, I'd like to take this opportunity to welcome new shareholders and thank existing shareholders for the continued trust you've placed in us.



Andrew G. Arnott
President and Chief Executive Officer
John Hancock Investments

This commentary reflects the CEO's views as of June 30, 2015. They are subject to change at any time. For more up-to-date information, you can visit our website at jhinvestments.com.

John Hancock
Hedged Equity & Income Fund

Table of contents

2   Your fund at a glance
4   Discussion of fund performance
8   Fund's investments
26   Financial statements
29   Financial highlights
30   Notes to financial statements
38   Additional information
39   Continuation of investment advisory and subadvisory agreements
44   Shareholder meeting
45   More information


Your fund at a glance


The fund seeks to provide total return with a focus on current income and gains and also consisting of long-term capital appreciation.



The MSCI All Country World Index (gross of foreign withholding tax on dividends) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets.

It is not possible to invest directly in an index. Index figures do not reflect expenses or sales charges, which would result in lower values.

The fund's most recent performance and current annualized distribution rate can be found at www.jhinvestments.com.

The fund's performance at net asset value (NAV) is different from the fund's performance at closing market price because the closing market price is subject to the dynamics of secondary market trading, which could cause the fund to trade at a discount or premium to its NAV at any time.

The performance data contained within this material represents past performance, which does not guarantee future results.



Positive absolute returns

Buoyed by its equity strategy, the fund was up for the six months ending June 30, 2015.

Bonds a mixed bag

The fund held global high-yield fixed-income investments during the period, contributing to absolute performance, though they trailed equities.

Hedges hindered

The fund's hedging strategy, which is designed to reduce stock market risk using futures contracts, weighed on returns during this period of modestly rising equities.



A note about risks

As is the case with all closed-end funds, shares of this fund may trade at a discount to the fund's net asset value. An investment in the fund is subject to investment and market risks, including the possible loss of the entire principal invested. There is no guarantee prior distribution levels will be maintained and distributions may include a substantial tax return of capital. Fixed-income investments are subject to interest-rate risk; their value will normally decline as interest rates rise. An issuer of securities held by the fund may default, have its credit rating downgraded, or otherwise perform poorly, which may affect fund performance. Investing in derivative instruments involves risks different from, and in some cases greater than, the risks associated with investing directly in securities and other traditional investments. Certain market conditions, including reduced trading volume, heightened volatility, and rising interest rates, may impair liquidity, the ability of the fund to sell securities or close derivative positions at advantageous prices. Foreign investing, especially in emerging markets, has additional risks, such as currency and market volatility and political and social instability. The primary risks associated with the use of futures contracts and options are imperfect correlation, unanticipated market movement, and counterparty risk. Investments in higher-yielding, lower-rated securities include a higher risk of default.


Discussion of fund performance

An interview with Portfolio Manager Kent M. Stahl, CFA, Wellington Management Company LLP


Kent M. Stahl, CFA
Portfolio Manager
Wellington Management Company LLP

What did you observe in the markets over the six months ended June 30, 2015?

The extended rally in stocks continued as global equities were generally up for the period. Still, investors endured a number of worrisome headlines along the way, including disappointing manufacturing data from China and Japan, as well as questions about Greece's future in the eurozone.

The Bank of Japan expanded its quantitative easing policy, the People's Bank of China surprised markets with its first rate cut in two years, and the European Central Bank announced a massive asset-purchase program to combat low inflation and stimulate growth. European equities benefited from the accommodative policy measures and from improving economic data, including positive trends in manufacturing, exports, and economic sentiment.

A continued boom in corporate takeovers also fueled bullish sentiment, as merger-and-acquisition deal volume remained robust. Eight of ten sectors in the fund's reference benchmark, the MSCI All Country World Index, posted positive returns, with healthcare, consumer discretionary, and telecommunication services stocks leading the way. The utilities and energy sectors declined.

Would you recap the fund's performance overall?

For the six-month period ended June 30, 2015, the fund posted total returns of 3.43% at net asset value and 2.38% at closing market price. The fund's benchmark, a proxy for the global stock markets, posted a 2.97% return. The fund's call option and equity strategies contributed to relative returns, but its market risk hedging positions, using futures contracts, weighed on results.

What drove performance in the fund's equity portfolio specifically?

The fund's equity strategy generated positive relative returns (i.e., relative to the benchmark) for the period, driven by stock selection. Favorable selection within the telecommunications services and financials sectors contributed to relative performance. Partially offsetting results was less favorable selection within the energy and utilities sectors. Sector allocation, a byproduct of the bottom-up


"A continued boom in corporate takeovers also fueled bullish sentiment, as merger-and-acquisition deal volume remained robust."
stock selection process, modestly detracted from relative results; underweight exposure to the consumer discretionary sector and a modest overweight allocation to utilities hindered performance.

In terms of individual holdings, top contributors to relative performance included U.S.-based manufacturer and marketer of packaged foods Kraft Foods Group Inc., Japan-based telecommunication services company Nippon Telegraph and Telephone Corp., and Japan-based pharmaceutical company Eisai Company, Ltd.

Detractors from relative performance included positions in U.S.-based semiconductor chip manufacturer Intel Corp., U.S.-based electric power and gas distribution company Duke Energy Corp., and Netherlands-based financial services provider Delta Lloyd NV.




"The fund's call option and equity strategies contributed to relative returns, but its market risk hedging and high-yield bond strategies weighed on results."

Would you comment further on the performance of the fund's options and beta hedging strategies?

On the one hand, the written calls on the S&P 500 Index contributed positively to results, generating income for the fund amid the relatively muted performance of U.S. stocks.

On the other hand, the fund's beta hedge strategy detracted from results. Designed to reduce equity market exposure by selling futures contracts on the S&P 500 Index and the MSCI EAFE Index, this strategy generally hinders performance when stocks rise, as they did during this period.

How about the fund's bond exposure?

The fund held global high-yield bonds to aid its income-generating capability. While this fixed-income allocation generated positive absolute performance, the fund might have done even better relative to its equity benchmark without those positions, as stocks outpaced bonds during this particular period.

How was the fund positioned at the end of the period?

At the end of the period, the fund's equity portfolio had overweight allocations to the financials, materials, telecommunication services, and utilities sectors, and underweight allocations to the consumer discretionary, consumer staples, healthcare, and information technology sectors. From a

TOP 10 HOLDINGS AS OF 6/30/15 (%)

Merck & Company, Inc. 2.0
Microsoft Corp. 1.9
The PNC Financial Services Group, Inc. 1.7
Maxim Integrated Products, Inc. 1.7
British American Tobacco PLC 1.7
JPMorgan Chase & Co. 1.6
Duke Energy Corp. 1.3
Nippon Telegraph & Telephone Corp. 1.3
Intel Corp. 1.2
Bristol-Myers Squibb Company 1.2
TOTAL 15.6
As a percentage of net assets.
Cash and cash equivalents are not included.


regional standpoint, the fund was overweight equities in Japan, Europe, and North America, and underweight emerging markets.

As always, we remain vigilant about risk, and we believe that the fund's strategy, which seeks to participate in rising markets while limiting exposure to the downside and generating income, complements the more traditional stock and bond holdings that tend to dominate the portfolios of most investors.


 kentmstahl.jpg Kent M. Stahl, CFA
On the fund since 2011
Investing since 1985
 greggrthomas.jpg Gregg R. Thomas, CFA
On the fund since 2011
Investing since 1993



United States 56.0
Japan 10.3
United Kingdom 8.1
France 3.5
Germany 3.3
Switzerland 3.3
Canada 2.1
Netherlands 2.1
China 1.7
Spain 1.4
Other countries 8.2
TOTAL 100.0
As a percentage of net assets.

The views expressed in this report are exclusively those of Kent M. Stahl, CFA, Wellington Management Company LLP, and are subject to change. They are not meant as investment advice. Please note that the holdings discussed in this report may not have been held by the fund for the entire period. Portfolio composition is subject to review in accordance with the fund's investment strategy and may vary in the future. Current and future portfolio holdings are subject to risk.


Fund's investments


  As of 6-30-15 (unaudited)  
        Shares     Value  
  Common stocks 81.5%     $195,088,761  
  (Cost $185,029,217)  
  Consumer discretionary 6.2%     14,854,441  
  Auto components 0.9%  
  Aisan Industry Company, Ltd.     14,300     134,120  
  Delphi Automotive PLC     6,348     540,151  
  Exedy Corp.     7,600     189,759  
  Keihin Corp.     14,200     203,464  
  Nissin Kogyo Company, Ltd.     6,500     107,229  
  Sumitomo Riko Company, Ltd.     18,000     143,531  
  Takata Corp.     11,300     122,989  
  Tokai Rika Company, Ltd.     8,300     207,315  
  Toyoda Gosei Company, Ltd.     12,000     289,251  
  Toyota Boshoku Corp.     16,300     274,686  
  Automobiles 0.4%  
  Honda Motor Company, Ltd.     14,200     458,942  
  Peugeot SA (I)     11,549     238,161  
  Renault SA     2,665     279,418  
  Diversified consumer services 0.1%  
  Allstar Co-Invest LLC (I)(R)     236,300     255,204  
  Benesse Holdings, Inc.     1,600     40,111  
  Hotels, restaurants and leisure 0.4%  
  McDonald's Corp.     10,392     987,967  
  Household durables 1.3%  
  D.R. Horton, Inc.     17,616     481,974  
  Funai Electric Company, Ltd.     15,200     169,055  
  Newell Rubbermaid, Inc.     24,400     1,003,084  
  Nikon Corp.     21,100     243,846  
  Pioneer Corp. (I)     103,900     189,172  
  PulteGroup, Inc.     46,291     932,764  
  Internet and catalog retail 0.1%  
  Home Retail Group PLC     51,206     135,971  
  Qliro Group AB (I)     49,556     73,181  
  Media 1.0%  
  Avex Group Holdings, Inc.     7,900     138,621  
  Gendai Agency, Inc.     5,200     28,931  
  Metropole Television SA     9,867     192,161  
  ProSiebenSat.1 Media AG     26,426     1,305,289  
  Proto Corp.     3,300     53,152  
  Sky PLC     35,530     578,700  


        Shares     Value  
  Consumer discretionary  (continued)        
  Multiline retail 0.2%  
  Dollar General Corp.     6,165     $479,267  
  New World Department Store China, Ltd.     202,000     53,661  
  Specialty retail 1.6%  
  Adastria Company, Ltd.     6,700     239,528  
  Honeys Company, Ltd.     12,030     102,174  
  Nishimatsuya Chain Company, Ltd.     18,500     186,124  
  Pal Company, Ltd.     4,800     157,618  
  Ross Stores, Inc.     7,993     388,540  
  Shimamura Company, Ltd.     1,900     199,479  
  The Home Depot, Inc.     21,538     2,393,518  
  Xebio Company, Ltd.     9,700     189,474  
  Textiles, apparel and luxury goods 0.2%  
  Daphne International Holdings, Ltd.     402,000     100,619  
  Ralph Lauren Corp.     2,767     366,240  
  Consumer staples 5.5%     13,068,996  
  Beverages 0.7%  
  The Coca-Cola Company     45,135     1,770,646  
  Food and staples retailing 0.2%  
  Cawachi, Ltd.     7,400     111,315  
  J Sainsbury PLC     79,626     331,461  
  Food products 2.6%  
  Ebro Foods SA     27,725     537,153  
  Ingredion, Inc.     13,729     1,095,711  
  Kraft Foods Group, Inc.     29,365     2,500,136  
  Pinnacle Foods, Inc.     25,226     1,148,792  
  Suedzucker AG     13,763     229,235  
  Unilever NV     17,110     715,354  
  Household products 0.2%  
  The Procter & Gamble Company     6,420     502,301  
  Personal products 0.1%  
  Oriflame Holding AG (I)     10,701     172,975  
  Tobacco 1.7%  
  British American Tobacco PLC     73,435     3,953,917  
  Energy 6.8%     16,244,389  
  Energy equipment and services 0.3%  
  Ensco PLC, Class A     14,177     315,722  
  National Oilwell Varco, Inc.     8,380     404,586  
  Oil, gas and consumable fuels 6.5%  
  BP PLC     121,507     806,402  
  Canadian Natural Resources, Ltd.     14,308     388,605  


        Shares     Value  
  Energy  (continued)        
  Oil, gas and consumable fuels  (continued)  
  Chevron Corp.     25,251     $2,435,964  
  Encana Corp.     10,300     113,556  
  Eni SpA     26,905     477,876  
  Exxon Mobil Corp.     13,417     1,116,294  
  Gazprom OAO, ADR     42,654     224,787  
  Harum Energy Tbk PT     484,500     40,071  
  HollyFrontier Corp.     10,854     463,357  
  Indo Tambangraya Megah Tbk PT     62,200     59,779  
  Inpex Corp.     20,500     232,694  
  Japan Petroleum Exploration Company, Ltd.     7,200     228,960  
  Lukoil OAO, ADR     5,350     240,269  
  Marathon Oil Corp.     85,025     2,256,564  
  Occidental Petroleum Corp.     14,606     1,135,909  
  Painted Pony Petroleum, Ltd. (I)     12,700     80,938  
  Petro Rio SA (I)     2,930     3,864  
  PetroChina Company, Ltd., H Shares     952,000     1,060,239  
  Petroleo Brasileiro SA, ADR (I)     25,867     234,096  
  Royal Dutch Shell PLC, B Shares     35,167     1,001,222  
  Statoil ASA     3,568     63,807  
  Suncor Energy, Inc.     51,808     1,425,756  
  Total SA     29,216     1,433,072  
  Financials 21.5%     51,350,316  
  Banks 9.8%  
  Allahabad Bank     61,017     82,834  
  Alpha Bank AE (I)     264,837     70,270  
  Banca Popolare dell'Emilia Romagna SC     20,148     179,767  
  BNP Paribas SA     7,192     436,430  
  CaixaBank SA     199,288     927,346  
  Canara Bank     20,441     88,818  
  China Construction Bank Corp., H Shares     1,294,000     1,180,329  
  CIT Group, Inc.     5,882     273,454  
  Corp. Bank     63,930     50,566  
  Dah Sing Financial Holdings, Ltd.     16,000     104,873  
  HSBC Holdings PLC     184,029     1,647,871  
  ING Groep NV     29,858     495,803  
  JPMorgan Chase & Co.     56,689     3,841,247  
  KB Financial Group, Inc.     5,862     193,609  
  M&T Bank Corp.     3,189     398,402  
  Mitsubishi UFJ Financial Group, Inc.     286,500     2,061,213  
  Mizuho Financial Group, Inc.     227,200     491,600  
  Nordea Bank AB     104,942     1,308,810  
  OTP Bank PLC     9,925     196,158  


        Shares     Value  
  Financials  (continued)        
  Banks  (continued)  
  Piraeus Bank SA (I)     217,523     $73,237  
  Shinhan Financial Group Company, Ltd.     3,315     123,391  
  Societe Generale SA     7,907     371,026  
  Standard Chartered PLC     29,084     465,763  
  Sumitomo Mitsui Financial Group, Inc.     11,500     511,971  
  Svenska Handelsbanken AB, A Shares     46,141     673,578  
  The Eighteenth Bank, Ltd.     10,000     30,639  
  The Oita Bank, Ltd.     15,000     63,911  
  The PNC Financial Services Group, Inc.     43,503     4,161,062  
  The Tochigi Bank, Ltd.     16,000     91,117  
  The Yamanashi Chuo Bank, Ltd.     18,000     85,067  
  UniCredit SpA     39,546     265,784  
  Wells Fargo & Company     45,013     2,531,531  
  Capital markets 2.1%  
  BlackRock, Inc.     7,168     2,479,985  
  Henderson Group PLC     284,692     1,168,019  
  Julius Baer Group, Ltd. (I)     4,068     228,272  
  LPL Financial Holdings, Inc.     7,869     365,830  
  UBS Group AG     30,021     636,940  
  Uranium Participation Corp. (I)     31,800     133,158  
  Consumer finance 0.0%  
  Manappuram Finance, Ltd.     221,288     97,396  
  Diversified financial services 0.5%  
  Intercontinental Exchange, Inc.     1,857     415,244  
  MSCI, Inc.     13,146     809,136  
  Insurance 6.6%  
  ACE, Ltd.     14,553     1,479,749  
  Ageas     9,499     366,503  
  Assicurazioni Generali SpA     55,497     1,000,265  
  CNO Financial Group, Inc.     61,685     1,131,920  
  Delta Lloyd NV     67,795     1,112,483  
  FNF Group     20,470     757,185  
  Marsh & McLennan Companies, Inc.     41,595     2,358,437  
  MetLife, Inc.     41,258     2,310,035  
  Storebrand ASA (I)     62,752     258,495  
  T&D Holdings, Inc.     31,600     471,077  
  The Dai-ichi Life Insurance Company, Ltd.     17,200     337,765  
  Tokio Marine Holdings, Inc.     8,600     357,666  
  Tongyang Life Insurance     10,279     140,451  
  Willis Group Holdings PLC     34,710     1,627,899  
  Zurich Insurance Group AG (I)     6,494     1,976,966  


        Shares     Value  
  Financials  (continued)        
  Real estate investment trusts 1.0%  
  Blackstone Mortgage Trust, Inc., Class A     20,470     $569,475  
  ICADE     7,720     552,201  
  Weyerhaeuser Company     36,279     1,142,789  
  Real estate management and development 1.5%  
  Castellum AB     52,290     734,871  
  Deutsche Annington Immobilien SE     54,791     1,546,090  
  Deutsche Wohnen AG     36,129     828,290  
  The Unite Group PLC     53,264     478,247  
  Health care 9.2%     22,007,168  
  Biotechnology 0.1%  
  Sinovac Biotech, Ltd. (I)     23,008     120,792  
  Health care equipment and supplies 0.2%  
  Zimmer Holdings, Inc.     4,256     464,883  
  Health care providers and services 1.0%  
  Aetna, Inc.     7,422     946,008  
  AmerisourceBergen Corp.     3,367     358,047  
  Quest Diagnostics, Inc.     12,487     905,557  
  Suzuken Company, Ltd.     2,490     79,663  
  Health care technology 0.0%  
  AGFA-Gevaert NV (I)     36,551     101,985  
  Life sciences tools and services 0.0%  
  CMIC Holdings Company, Ltd.     6,600     92,107  
  Pharmaceuticals 7.9%  
  Almirall SA     12,394     245,661  
  AstraZeneca PLC     35,123     2,222,943  
  Bristol-Myers Squibb Company     44,293     2,947,256  
  Daiichi Sankyo Company, Ltd.     10,700     197,742  
  Eisai Company, Ltd.     25,100     1,682,819  
  H. Lundbeck A/S (I)     12,554     241,545  
  Johnson & Johnson     16,688     1,626,412  
  Merck & Company, Inc.     85,688     4,878,218  
  Ono Pharmaceutical Company, Ltd.     4,000     436,580  
  Pfizer, Inc.     44,207     1,482,261  
  Roche Holding AG     8,757     2,455,388  
  Takeda Pharmaceutical Company, Ltd.     10,800     521,301  
  Industrials 8.6%     20,481,293  
  Aerospace and defense 1.5%  
  Honeywell International, Inc.     12,118     1,235,672  
  Raytheon Company     5,111     489,020  
  Thales SA     5,240     316,606  


        Shares     Value  
  Industrials  (continued)        
  Aerospace and defense  (continued)  
  United Technologies Corp.     13,712     $1,521,072  
  Air freight and logistics 0.4%  
  Deutsche Post AG     20,801     607,790  
  PostNL NV (I)     78,216     349,149  
  Airlines 0.3%  
  American Airlines Group, Inc.     7,110     283,938  
  Deutsche Lufthansa AG (I)     23,986     309,468  
  Qantas Airways, Ltd. (I)     74,692     181,500  
  Building products 0.4%  
  Cie de Saint-Gobain     11,024     497,639  
  Fortune Brands Home & Security, Inc.     9,742     446,378  
  Commercial services and supplies 0.1%  
  Aeon Delight Company, Ltd.     4,800     147,080  
  Moshi Moshi Hotline, Inc.     8,500     95,107  
  Construction and engineering 0.1%  
  Raubex Group, Ltd.     60,709     101,220  
  Toyo Engineering Corp.     54,000     128,267  
  Electrical equipment 2.0%  
  Eaton Corp. PLC     39,060     2,636,159  
  OSRAM Licht AG     2,648     126,682  
  Schneider Electric SE     24,577     1,701,687  
  Ushio, Inc.     15,100     196,551  
  Zumtobel Group AG     1,496     44,410  
  Industrial conglomerates 1.3%  
  3M Company     5,986     923,640  
  General Electric Company     30,315     805,470  
  Koninklijke Philips NV     7,752     197,850  
  Rheinmetall AG     7,351     372,864  
  Siemens AG     8,046     814,025  
  Machinery 0.2%  
  Fuji Machine Manufacturing Company, Ltd.     4,600     48,138  
  Hisaka Works, Ltd.     9,200     83,621  
  The Japan Steel Works, Ltd.     54,000     223,151  
  Toshiba Machine Company, Ltd.     42,000     192,374  
  Marine 0.1%  
  D/S Norden A/S (I)     8,207     206,734  
  Pacific Basin Shipping, Ltd.     414,000     139,116  
  Professional services 0.4%  
  Adecco SA (I)     4,160     337,615  
  en-japan, Inc.     8,300     148,815  
  Hays PLC     86,846     222,725  


        Shares     Value  
  Industrials  (continued)        
  Professional services  (continued)  
  USG People NV     10,861     $161,207  
  Road and rail 0.6%  
  Union Pacific Corp.     14,200     1,354,254  
  Trading companies and distributors 0.5%  
  Fastenal Company     11,039     465,625  
  Kuroda Electric Company, Ltd.     11,300     210,295  
  Mitsubishi Corp.     17,300     380,323  
  SIG PLC     50,105     157,774  
  Transportation infrastructure 0.7%  
  Hamburger Hafen und Logistik AG     5,778     116,822  
  Jiangsu Expressway Company, Ltd., H Shares     1,146,000     1,503,460  
  Information technology 10.5%     25,238,803  
  Communications equipment 1.5%  
  Cisco Systems, Inc.     103,812     2,850,678  
  QUALCOMM, Inc.     11,095     694,880  
  Electronic equipment, instruments and components 0.5%  
  Avnet, Inc.     12,916     530,977  
  Hosiden Corp.     28,000     171,384  
  Kingboard Laminates Holdings, Ltd.     334,500     158,911  
  Mitsumi Electric Company, Ltd.     9,300     63,060  
  Nichicon Corp.     26,000     211,426  
  Internet software and services 0.2%  
  DeNa Company, Ltd.     14,200     279,069  
  Dropbox, Inc. (I)(R)     7,248     128,942  
  Gree, Inc.     32,200     188,038  
  IT services 1.1%  
  Alten SA     3,664     170,549  
  Booz Allen Hamilton Holding Corp.     43,075     1,087,213  
  Cap Gemini SA     2,722     241,486  
  Devoteam SA     1,275     35,921  
  Fujitsu, Ltd.     76,000     424,638  
  GFI Informatique SA     4,237     27,842  
  Itochu Techno-Solutions Corp.     10,700     266,469  
  NET One Systems Company, Ltd.     21,200     148,828  
  Sopra Steria Group     3,577     322,230  
  Semiconductors and semiconductor equipment 3.9%  
  Intel Corp.     98,271     2,988,912  
  Kontron AG (I)     14,745     65,082  
  Lam Research Corp.     7,533     612,810  
  Marvell Technology Group, Ltd.     25,541     336,758  
  Maxim Integrated Products, Inc.     117,867     4,075,252  


        Shares     Value  
  Information technology  (continued)        
  Semiconductors and semiconductor equipment  (continued)  
  Micronas Semiconductor Holding AG (I)     15,030     $86,766  
  Mimasu Semiconductor Industry Company, Ltd.     7,500     75,418  
  Miraial Company, Ltd.     6,500     73,340  
  Rohm Company, Ltd.     3,700     247,897  
  SCREEN Holdings Company, Ltd.     38,000     239,142  
  Shinkawa, Ltd. (I)     15,400     136,706  
  Shinko Electric Industries Company, Ltd.     33,300     240,110  
  Tokyo Seimitsu Company, Ltd.     10,600     232,252  
  Software 2.2%  
  Activision Blizzard, Inc.     14,420     349,108  
  Alpha Systems, Inc.     1,900     30,427  
  Microsoft Corp.     102,152     4,510,011  
  Nintendo Company, Ltd.     1,900     316,972  
  Technology hardware, storage and peripherals 1.1%  
  Apple, Inc.     5,975     749,414  
  Canon, Inc.     12,100     392,504  
  Compal Electronics, Inc.     145,000     110,293  
  Japan Digital Laboratory Company, Ltd.     3,800     53,093  
  Melco Holdings, Inc.     8,300     156,700  
  SanDisk Corp.     7,921     461,161  
  Western Digital Corp.     8,877     696,134  
  Materials 5.9%     14,227,822  
  Chemicals 2.2%  
  Agrium, Inc.     3,800     402,727  
  Akzo Nobel NV     11,042     806,166  
  E.I. du Pont de Nemours & Company     15,075     964,046  
  Fujimi, Inc.     4,500     67,692  
  Hitachi Chemical Company, Ltd.     8,600     154,895  
  JSR Corp.     16,300     287,749  
  Methanex Corp.     9,633     536,173  
  Mitsui Chemicals, Inc.     55,000     204,340  
  Nitto Denko Corp.     2,600     213,518  
  PTT Global Chemical PCL     220,100     448,200  
  Sumitomo Bakelite Company, Ltd.     48,000     217,447  
  The Dow Chemical Company     21,812     1,116,120  
  Construction materials 0.3%  
  Buzzi Unicem SpA     19,489     277,641  
  CRH PLC     2,913     81,729  
  Holcim, Ltd. (I)     3,147     232,203  
  Lafarge SA     3,109     205,558  


        Shares     Value  
  Materials  (continued)        
  Containers and packaging 0.6%  
  AMVIG Holdings, Ltd.     240,000     $123,374  
  Bemis Company, Inc.     7,900     355,579  
  Graphic Packaging Holding Company     26,381     367,487  
  Packaging Corp. of America     8,603     537,601  
  Metals and mining 1.5%  
  Aichi Steel Corp.     11,000     49,151  
  Anglo American Platinum, Ltd. (I)     7,080     159,646  
  Anglo American PLC     19,631     283,598  
  Aquarius Platinum, Ltd. (I)     273,117     29,381  
  Barrick Gold Corp.     14,500     154,984  
  BHP Billiton PLC     24,857     488,730  
  Centerra Gold, Inc.     31,300     177,926  
  Chubu Steel Plate Company, Ltd.     9,300     40,988  
  Eldorado Gold Corp.     37,602     155,672  
  G-Resources Group, Ltd.     4,368,000     140,743  
  Impala Platinum Holdings, Ltd. (I)     36,250     161,758  
  Ivanhoe Mines, Ltd., Class A (I)     113,000     81,425  
  Kinross Gold Corp. (I)     77,610     180,055  
  Kyoei Steel, Ltd.     9,900     182,935  
  Lonmin PLC (I)     62,570     110,152  
  Maruichi Steel Tube, Ltd.     7,400     183,670  
  Neturen Company, Ltd.     6,100     43,977  
  Northern Dynasty Minerals, Ltd. (I)     16,000     5,444  
  NV Bekaert SA     5,811     164,026  
  Resolute Mining, Ltd. (I)     255,282     60,592  
  Salzgitter AG     6,188     221,219  
  Tokyo Steel Manufacturing Company, Ltd.     26,600     195,687  
  Yamato Kogyo Company, Ltd.     6,700     156,499  
  Yodogawa Steel Works, Ltd.     27,000     117,756  
  Paper and forest products 1.3%  
  International Paper Company     49,275     2,344,997  
  Norbord, Inc.     35,100     736,566  
  Telecommunication services 3.9%     9,437,839  
  Diversified telecommunication services 3.3%  
  Hellenic Telecommunications Organization SA     21,847     160,677  
  KT Corp. (I)     11,651     296,883  
  Magyar Telekom Telecommunications PLC (I)     124,096     173,348  
  Nippon Telegraph & Telephone Corp.     83,200     3,013,149  
  Orange SA     19,862     306,954  
  Telefonica SA     26,706     380,437  
  Telenor ASA     62,698     1,374,644  
  Verizon Communications, Inc.     46,086     2,148,068  


        Shares     Value  
  Telecommunication services  (continued)        
  Wireless telecommunication services 0.6%  
  Mobistar SA (I)     10,018     $189,865  
  NTT DOCOMO, Inc.     72,600     1,393,814  
  Utilities 3.4%     8,177,694  
  Electric utilities 2.0%  
  Duke Energy Corp.     43,455     3,068,792  
  Edison International     13,815     767,838  
  The Southern Company     10,145     425,076  
  Xcel Energy, Inc.     13,330     428,959  
  Independent power and renewable electricity producers 0.0%  
  NTPC, Ltd.     51,354     110,840  
  Multi-utilities 1.4%  
  Centrica PLC     260,436     1,080,674  
  E.ON SE     15,914     212,205  
  GDF Suez     18,806     350,137  
  National Grid PLC     52,567     676,581  
  PG&E Corp.     17,999     883,751  
  RWE AG     8,036     172,841  
        Rate (%)     Maturity date     Par value^     Value  
  Corporate bonds 14.9%     $35,581,472  
  (Cost $37,509,346)  
  Consumer discretionary 2.7%     6,546,147  
  Auto components 0.1%  
  ZF North America Capital, Inc. (S)     4.500     04-29-22           150,000     147,375  
  Automobiles 0.2%  
  FCA US LLC     8.250     06-15-21           230,000     250,700  
  General Motors Company     4.875     10-02-23           160,000     168,467  
  General Motors Company     6.250     10-02-43           65,000     72,375  
  Diversified consumer services 0.2%  
  Service Corp. International     7.625     10-01-18           125,000     142,500  
  The ServiceMaster Company LLC     7.000     08-15-20           321,000     339,056  
  Hotels, restaurants and leisure 0.3%  
  CEC Entertainment, Inc.     8.000     02-15-22           130,000     129,025  
  Cirsa Funding Luxembourg SA (S)     5.875     05-15-23         EUR 115,000     123,733  
  Cirsa Funding Luxembourg SA     5.875     05-15-23         EUR 100,000     107,594  
  NH Hotel Group SA (S)     6.875     11-15-19         EUR 235,000     285,896  
  Household durables 0.3%  
  Argos Merger Sub, Inc. (S)     7.125     03-15-23           105,000     109,988  
  K Hovnanian Enterprises, Inc. (S)     8.000     11-01-19           150,000     138,750  
  KB Home     7.000     12-15-21           375,000     387,188  
  Lennar Corp.     4.750     11-15-22           125,000     122,813  


        Rate (%)     Maturity date     Par value^     Value  
  Consumer discretionary  (continued)        
  Media 1.3%  
  Altice Financing SA (S)     6.500     01-15-22         EUR 100,000     $118,453  
  Altice Finco SA (S)     9.000     06-15-23         EUR 100,000     125,889  
  CCO Holdings LLC     5.125     02-15-23           5,000     4,875  
  CCO Holdings LLC     5.250     09-30-22           5,000     4,925  
  CCO Holdings LLC     5.750     09-01-23           35,000     35,066  
  CCO Holdings LLC     7.375     06-01-20           255,000     269,344  
  Cequel Communications Holdings I LLC (S)     5.125     12-15-21           285,000     258,816  
  Cequel Communications Holdings I LLC (S)     5.125     12-15-21           55,000     49,947  
  DISH DBS Corp.     6.750     06-01-21           170,000     177,225  
  DISH DBS Corp.     7.875     09-01-19           395,000     438,450  
  Gannett Company, Inc. (S)