UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
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
Treasurer
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: | September 30, 2015 |
ITEM 1. SCHEDULE OF INVESTMENTS
John Hancock
Hedged Equity & Income Fund
Quarterly portfolio holdings 9/30/15
| Fund's investments | Hedged Equity & Income Fund |
| As of 9-30-15 (unaudited) | |||||||||||||||||||||||
| Shares | Value | ||||||||||||||||||||||
| Common stocks 81.0% | $169,959,097 | ||||||||||||||||||||||
| (Cost $179,451,507) | |||||||||||||||||||||||
| Consumer discretionary 5.0% | 10,498,575 | ||||||||||||||||||||||
| Auto components 0.9% | |||||||||||||||||||||||
| Aisan Industry Company, Ltd. | 13,900 | 127,546 | |||||||||||||||||||||
| Delphi Automotive PLC | 5,217 | 396,701 | |||||||||||||||||||||
| Exedy Corp. | 7,500 | 166,390 | |||||||||||||||||||||
| Keihin Corp. | 16,800 | 237,913 | |||||||||||||||||||||
| Nissin Kogyo Company, Ltd. | 13,500 | 202,243 | |||||||||||||||||||||
| Sumitomo Riko Company, Ltd. | 17,600 | 153,471 | |||||||||||||||||||||
| Takata Corp. | 10,900 | 119,758 | |||||||||||||||||||||
| Tokai Rika Company, Ltd. | 8,100 | 167,240 | |||||||||||||||||||||
| Toyoda Gosei Company, Ltd. | 11,600 | 227,996 | |||||||||||||||||||||
| Toyota Boshoku Corp. | 11,600 | 196,962 | |||||||||||||||||||||
| Automobiles 0.3% | |||||||||||||||||||||||
| Honda Motor Company, Ltd. | 13,900 | 414,869 | |||||||||||||||||||||
| Peugeot SA (I) | 9,418 | 142,707 | |||||||||||||||||||||
| Renault SA | 2,233 | 161,100 | |||||||||||||||||||||
| Diversified consumer services 0.1% | |||||||||||||||||||||||
| Allstar Co-Invest LLC | 236,300 | 139,417 | |||||||||||||||||||||
| Benesse Holdings, Inc. | 2,800 | 74,861 | |||||||||||||||||||||
| Household durables 1.1% | |||||||||||||||||||||||
| Funai Electric Company, Ltd. | 18,463 | 170,863 | |||||||||||||||||||||
| Newell Rubbermaid, Inc. | 19,587 | 777,800 | |||||||||||||||||||||
| Nikon Corp. | 20,500 | 247,914 | |||||||||||||||||||||
| Pioneer Corp. (I) | 101,200 | 219,903 | |||||||||||||||||||||
| PulteGroup, Inc. | 46,799 | 883,097 | |||||||||||||||||||||
| Internet and catalog retail 0.1% | |||||||||||||||||||||||
| Home Retail Group PLC | 49,422 | 101,817 | |||||||||||||||||||||
| Qliro Group AB (I) | 49,556 | 62,274 | |||||||||||||||||||||
| Media 0.4% | |||||||||||||||||||||||
| Avex Group Holdings, Inc. | 7,200 | 81,817 | |||||||||||||||||||||
| Gendai Agency, Inc. | 5,200 | 27,257 | |||||||||||||||||||||
| Metropole Television SA | 9,649 | 184,519 | |||||||||||||||||||||
| Proto Corp. | 3,000 | 37,553 | |||||||||||||||||||||
| Sky Group Finance PLC | 28,541 | 451,548 | |||||||||||||||||||||
| Multiline retail 0.2% | |||||||||||||||||||||||
| Dollar General Corp. | 5,250 | 380,310 | |||||||||||||||||||||
| New World Department Store China, Ltd. | 343,000 | 58,072 | |||||||||||||||||||||
| Specialty retail 1.7% | |||||||||||||||||||||||
| Adastria Company, Ltd. | 3,500 | 209,675 | |||||||||||||||||||||
| Honeys Company, Ltd. | 12,030 | 101,391 | |||||||||||||||||||||
| Nishimatsuya Chain Company, Ltd. | 17,800 | 164,830 | |||||||||||||||||||||
| Pal Company, Ltd. | 4,700 | 136,115 | |||||||||||||||||||||
| Ross Stores, Inc. | 6,568 | 318,351 | |||||||||||||||||||||
| Shimamura Company, Ltd. | 1,800 | 193,886 | |||||||||||||||||||||
| The Home Depot, Inc. | 19,066 | 2,201,932 | |||||||||||||||||||||
| Xebio Company, Ltd. | 9,500 | 170,448 | |||||||||||||||||||||
| Textiles, apparel and luxury goods 0.2% | |||||||||||||||||||||||
| Daphne International Holdings, Ltd. (I) | 524,000 | 119,333 | |||||||||||||||||||||
| Ralph Lauren Corp. | 2,274 | 268,696 | |||||||||||||||||||||
| Shares | Value | ||||||||||||||||||||||
| Consumer staples 5.8% | $12,129,788 | ||||||||||||||||||||||
| Beverages 1.5% | |||||||||||||||||||||||
| The Coca-Cola Company | 77,501 | 3,109,340 | |||||||||||||||||||||
| Food and staples retailing 0.3% | |||||||||||||||||||||||
| Cawachi, Ltd. | 7,100 | 116,434 | |||||||||||||||||||||
| J Sainsbury PLC | 88,666 | 350,661 | |||||||||||||||||||||
| Metro AG | 6,194 | 171,375 | |||||||||||||||||||||
| Food products 1.2% | |||||||||||||||||||||||
| Ebro Foods SA | 20,993 | 412,325 | |||||||||||||||||||||
| Ingredion, Inc. | 12,273 | 1,071,556 | |||||||||||||||||||||
| Pinnacle Foods, Inc. | 19,823 | 830,187 | |||||||||||||||||||||
| Suedzucker AG | 13,437 | 244,351 | |||||||||||||||||||||
| Household products 0.2% | |||||||||||||||||||||||
| The Procter & Gamble Company | 6,420 | 461,855 | |||||||||||||||||||||
| Personal products 0.1% | |||||||||||||||||||||||
| Oriflame Holding AG (I) | 10,701 | 132,979 | |||||||||||||||||||||
| Tobacco 2.5% | |||||||||||||||||||||||
| British American Tobacco PLC | 94,765 | 5,228,725 | |||||||||||||||||||||
| Energy 6.4% | 13,507,589 | ||||||||||||||||||||||
| Energy equipment and services 0.2% | |||||||||||||||||||||||
| Ensco PLC, Class A | 14,177 | 199,612 | |||||||||||||||||||||
| Helmerich & Payne, Inc. | 5,212 | 246,319 | |||||||||||||||||||||
| Oil, gas and consumable fuels 6.2% | |||||||||||||||||||||||
| BP PLC | 127,772 | 648,234 | |||||||||||||||||||||
| Canadian Natural Resources, Ltd. | 11,758 | 228,693 | |||||||||||||||||||||
| Chevron Corp. (C) | 34,405 | 2,713,866 | |||||||||||||||||||||
| Encana Corp. | 9,900 | 63,725 | |||||||||||||||||||||
| Eni SpA | 26,311 | 413,881 | |||||||||||||||||||||
| Gazprom OAO, ADR | 48,927 | 198,644 | |||||||||||||||||||||
| Harum Energy Tbk PT | 450,400 | 26,010 | |||||||||||||||||||||
| Indo Tambangraya Megah Tbk PT | 96,400 | 65,300 | |||||||||||||||||||||
| Inpex Corp. | 20,000 | 178,815 | |||||||||||||||||||||
| Japan Petroleum Exploration Company, Ltd. | 7,000 | 184,926 | |||||||||||||||||||||
| Lukoil OAO, ADR | 5,850 | 199,251 | |||||||||||||||||||||
| Marathon Oil Corp. | 57,114 | 879,556 | |||||||||||||||||||||
| Occidental Petroleum Corp. | 26,542 | 1,755,753 | |||||||||||||||||||||
| Painted Pony Petroleum, Ltd. (I) | 12,700 | 51,961 | |||||||||||||||||||||
| Petro Rio SA (I) | 2,930 | 1,293 | |||||||||||||||||||||
| PetroChina Company, Ltd., H Shares | 928,000 | 646,262 | |||||||||||||||||||||
| Petroleo Brasileiro SA, ADR | 28,392 | 123,505 | |||||||||||||||||||||
| Royal Dutch Shell PLC, B Shares | 39,915 | 943,800 | |||||||||||||||||||||
| Statoil ASA | 6,144 | 89,574 | |||||||||||||||||||||
| Suncor Energy, Inc. | 81,173 | 2,168,943 | |||||||||||||||||||||
| Total SA | 32,894 | 1,479,666 | |||||||||||||||||||||
| Financials 21.2% | 44,470,422 | ||||||||||||||||||||||
| Banks 9.9% | |||||||||||||||||||||||
| Allahabad Bank | 61,017 | 71,736 | |||||||||||||||||||||
| Alpha Bank AE (I) | 264,837 | 31,772 | |||||||||||||||||||||
| Banca Popolare dell'Emilia Romagna SC | 19,413 | 160,099 | |||||||||||||||||||||
| BNP Paribas SA | 7,559 | 445,029 | |||||||||||||||||||||
| CaixaBank SA (I) | 2,098 | 8,075 | |||||||||||||||||||||
| CaixaBank SA | 194,313 | 749,902 | |||||||||||||||||||||
| Shares | Value | ||||||||||||||||||||||
| Financials (continued) | |||||||||||||||||||||||
| Banks (continued) | |||||||||||||||||||||||
| Canara Bank | 28,136 | $120,452 | |||||||||||||||||||||
| China Construction Bank Corp., H Shares | 1,262,000 | 842,173 | |||||||||||||||||||||
| Comerica, Inc. | 7,826 | 321,649 | |||||||||||||||||||||
| Corp. Bank | 60,024 | 40,343 | |||||||||||||||||||||
| Dah Sing Financial Holdings, Ltd. | 15,600 | 85,444 | |||||||||||||||||||||
| HSBC Holdings PLC | 183,629 | 1,385,244 | |||||||||||||||||||||
| ING Groep NV | 29,199 | 413,677 | |||||||||||||||||||||
| JPMorgan Chase & Co. (C) | 58,675 | 3,577,415 | |||||||||||||||||||||
| KB Financial Group, Inc. | 5,733 | 170,412 | |||||||||||||||||||||
| M&T Bank Corp. | 3,389 | 413,289 | |||||||||||||||||||||
| Mitsubishi UFJ Financial Group, Inc. | 279,300 | 1,687,597 | |||||||||||||||||||||
| Mizuho Financial Group, Inc. | 221,900 | 415,086 | |||||||||||||||||||||
| Nordea Bank AB | 102,350 | 1,141,869 | |||||||||||||||||||||
| OTP Bank PLC | 9,581 | 184,948 | |||||||||||||||||||||
| Piraeus Bank SA (I) | 217,523 | 19,042 | |||||||||||||||||||||
| Shinhan Financial Group Company, Ltd. | 3,196 | 111,771 | |||||||||||||||||||||
| Societe Generale SA | 7,733 | 345,595 | |||||||||||||||||||||
| Standard Chartered PLC | 30,636 | 297,320 | |||||||||||||||||||||
| Sumitomo Mitsui Financial Group, Inc. | 11,200 | 424,707 | |||||||||||||||||||||
| Svenska Handelsbanken AB, A Shares | 45,001 | 645,533 | |||||||||||||||||||||
| The Eighteenth Bank, Ltd. | 10,000 | 30,897 | |||||||||||||||||||||
| The Oita Bank, Ltd. | 15,000 | 62,374 | |||||||||||||||||||||
| The PNC Financial Services Group, Inc. (C) | 41,502 | 3,701,978 | |||||||||||||||||||||
| The Tochigi Bank, Ltd. | 16,000 | 87,887 | |||||||||||||||||||||
| The Yamanashi Chuo Bank, Ltd. | 12,000 | 62,645 | |||||||||||||||||||||
| UniCredit SpA | 38,724 | 241,413 | |||||||||||||||||||||
| Wells Fargo & Company (C) | 46,296 | 2,377,300 | |||||||||||||||||||||
| Capital markets 2.0% | |||||||||||||||||||||||
| BlackRock, Inc. (C) | 7,677 | 2,283,677 | |||||||||||||||||||||
| Henderson Group PLC | 277,659 | 1,094,342 | |||||||||||||||||||||
| Julius Baer Group, Ltd. (I) | 3,978 | 180,649 | |||||||||||||||||||||
| UBS Group AG | 29,358 | 542,774 | |||||||||||||||||||||
| Uranium Participation Corp. (I) | 30,800 | 114,245 | |||||||||||||||||||||
| Consumer finance 0.0% | |||||||||||||||||||||||
| Manappuram Finance, Ltd. | 221,288 | 81,979 | |||||||||||||||||||||
| Diversified financial services 0.7% | |||||||||||||||||||||||
| Intercontinental Exchange, Inc. (C) | 3,010 | 707,320 | |||||||||||||||||||||
| MSCI, Inc. | 10,803 | 642,346 | |||||||||||||||||||||
| Insurance 6.4% | |||||||||||||||||||||||
| ACE, Ltd. | 20,522 | 2,121,975 | |||||||||||||||||||||
| Ageas | 9,290 | 381,785 | |||||||||||||||||||||
| Assicurazioni Generali SpA | 54,126 | 990,300 | |||||||||||||||||||||
| CNO Financial Group, Inc. | 56,976 | 1,071,719 | |||||||||||||||||||||
| Delta Lloyd NV | 74,054 | 622,253 | |||||||||||||||||||||
| FNF Group | 17,051 | 604,799 | |||||||||||||||||||||
| Marsh & McLennan Companies, Inc. | 13,160 | 687,215 | |||||||||||||||||||||
| MetLife, Inc. | 41,683 | 1,965,353 | |||||||||||||||||||||
| Primerica, Inc. | 8,278 | 373,089 | |||||||||||||||||||||
| Sony Financial Holdings, Inc. | 18,300 | 300,357 | |||||||||||||||||||||
| Storebrand ASA (I) | 61,334 | 201,179 | |||||||||||||||||||||
| T&D Holdings, Inc. | 31,000 | 366,167 | |||||||||||||||||||||
| The Dai-ichi Life Insurance Company, Ltd. | 16,900 | 269,045 | |||||||||||||||||||||
| Shares | Value | ||||||||||||||||||||||
| Financials (continued) | |||||||||||||||||||||||
| Insurance (continued) | |||||||||||||||||||||||
| Tongyang Life Insurance | 9,867 | $118,622 | |||||||||||||||||||||
| Willis Group Holdings PLC | 37,315 | 1,528,796 | |||||||||||||||||||||
| Zurich Insurance Group AG (I) | 7,694 | 1,888,925 | |||||||||||||||||||||
| Real estate investment trusts 0.8% | |||||||||||||||||||||||
| ICADE | 9,793 | 664,434 | |||||||||||||||||||||
| Weyerhaeuser Company | 38,076 | 1,040,998 | |||||||||||||||||||||
| Real estate management and development 1.4% | |||||||||||||||||||||||
| Castellum AB | 50,998 | 717,869 | |||||||||||||||||||||
| Deutsche Annington Immobilien SE | 53,437 | 1,719,924 | |||||||||||||||||||||
| The Unite Group PLC | 51,948 | 513,613 | |||||||||||||||||||||
| Health care 9.0% | 18,928,644 | ||||||||||||||||||||||
| Biotechnology 0.1% | |||||||||||||||||||||||
| Sinovac Biotech, Ltd. (I) | 22,089 | 112,212 | |||||||||||||||||||||
| Health care equipment and supplies 0.1% | |||||||||||||||||||||||
| Zimmer Biomet Holdings, Inc. | 3,497 | 328,473 | |||||||||||||||||||||
| Health care providers and services 0.6% | |||||||||||||||||||||||
| Aetna, Inc. | 2,778 | 303,941 | |||||||||||||||||||||
| AmerisourceBergen Corp. | 2,523 | 239,660 | |||||||||||||||||||||
| Quest Diagnostics, Inc. | 11,103 | 682,501 | |||||||||||||||||||||
| Suzuken Company, Ltd. | 2,390 | 79,699 | |||||||||||||||||||||
| Health care technology 0.1% | |||||||||||||||||||||||
| AGFA-Gevaert NV (I) | 35,093 | 126,890 | |||||||||||||||||||||
| Life sciences tools and services 0.0% | |||||||||||||||||||||||
| CMIC Holdings Company, Ltd. | 6,400 | 90,943 | |||||||||||||||||||||
| Pharmaceuticals 8.1% | |||||||||||||||||||||||
| Almirall SA | 11,948 | 213,337 | |||||||||||||||||||||
| AstraZeneca PLC | 34,295 | 2,174,940 | |||||||||||||||||||||
| Bristol-Myers Squibb Company | 50,653 | 2,998,658 | |||||||||||||||||||||
| Daiichi Sankyo Company, Ltd. | 10,400 | 180,460 | |||||||||||||||||||||
| Eisai Company, Ltd. | 25,100 | 1,480,939 | |||||||||||||||||||||
| H. Lundbeck A/S (I) | 9,865 | 263,018 | |||||||||||||||||||||
| Johnson & Johnson | 22,615 | 2,111,110 | |||||||||||||||||||||
| Merck & Company, Inc. (C) | 93,749 | 4,630,263 | |||||||||||||||||||||
| Ono Pharmaceutical Company, Ltd. | 2,700 | 320,127 | |||||||||||||||||||||
| Roche Holding AG | 8,010 | 2,126,427 | |||||||||||||||||||||
| Takeda Pharmaceutical Company, Ltd. | 10,600 | 465,046 | |||||||||||||||||||||
| Industrials 9.5% | 19,871,592 | ||||||||||||||||||||||
| Aerospace and defense 1.0% | |||||||||||||||||||||||
| Raytheon Company | 4,107 | 448,731 | |||||||||||||||||||||
| Thales SA | 3,756 | 261,887 | |||||||||||||||||||||
| United Technologies Corp. | 16,366 | 1,456,410 | |||||||||||||||||||||
| Air freight and logistics 0.4% | |||||||||||||||||||||||
| Deutsche Post AG | 20,287 | 562,010 | |||||||||||||||||||||
| PostNL NV (I) | 76,237 | 278,684 | |||||||||||||||||||||
| Airlines 0.4% | |||||||||||||||||||||||
| American Airlines Group, Inc. | 8,513 | 330,560 | |||||||||||||||||||||
| Deutsche Lufthansa AG (I) | 23,450 | 326,442 | |||||||||||||||||||||
| Qantas Airways, Ltd. (I) | 45,608 | 119,738 | |||||||||||||||||||||
| Shares | Value | ||||||||||||||||||||||
| Industrials (continued) | |||||||||||||||||||||||
| Building products 0.4% | |||||||||||||||||||||||
| Cie de Saint-Gobain | 10,909 | $473,454 | |||||||||||||||||||||
| Fortune Brands Home & Security, Inc. | 8,005 | 379,997 | |||||||||||||||||||||
| Commercial services and supplies 0.1% | |||||||||||||||||||||||
| Aeon Delight Company, Ltd. | 2,300 | 66,424 | |||||||||||||||||||||
| Moshi Moshi Hotline, Inc. | 8,500 | 87,821 | |||||||||||||||||||||
| Construction and engineering 0.1% | |||||||||||||||||||||||
| Raubex Group, Ltd. | 58,523 | 74,036 | |||||||||||||||||||||
| Toyo Engineering Corp. | 65,000 | 156,876 | |||||||||||||||||||||
| Electrical equipment 2.1% | |||||||||||||||||||||||
| Eaton Corp. PLC | 52,618 | 2,699,303 | |||||||||||||||||||||
| OSRAM Licht AG | 1,283 | 66,470 | |||||||||||||||||||||
| Schneider Electric SE | 23,970 | 1,342,296 | |||||||||||||||||||||
| Ushio, Inc. | 14,600 | 175,396 | |||||||||||||||||||||
| Zumtobel Group AG | 1,496 | 32,896 | |||||||||||||||||||||
| Industrial conglomerates 1.7% | |||||||||||||||||||||||
| 3M Company | 11,813 | 1,674,729 | |||||||||||||||||||||
| General Electric Company | 27,615 | 696,450 | |||||||||||||||||||||
| Koninklijke Philips NV | 7,580 | 178,333 | |||||||||||||||||||||
| Rheinmetall AG | 5,864 | 360,570 | |||||||||||||||||||||
| Siemens AG | 7,847 | 701,027 | |||||||||||||||||||||
| Machinery 0.6% | |||||||||||||||||||||||
| Caterpillar, Inc. | 10,500 | 686,280 | |||||||||||||||||||||
| Fuji Machine Manufacturing Company, Ltd. | 4,600 | 40,466 | |||||||||||||||||||||
| Hisaka Works, Ltd. | 9,200 | 68,826 | |||||||||||||||||||||
| Joy Global, Inc. | 19,100 | 285,163 | |||||||||||||||||||||
| The Japan Steel Works, Ltd. | 53,000 | 167,924 | |||||||||||||||||||||
| Toshiba Machine Company, Ltd. | 41,000 | 128,675 | |||||||||||||||||||||
| Marine 0.2% | |||||||||||||||||||||||
| D/S Norden A/S (I) | 7,995 | 176,546 | |||||||||||||||||||||
| Pacific Basin Shipping, Ltd. | 503,000 | 153,038 | |||||||||||||||||||||
| Professional services 0.4% | |||||||||||||||||||||||
| Adecco SA (I) | 3,547 | 259,767 | |||||||||||||||||||||
| en-japan, Inc. | 6,200 | 165,608 | |||||||||||||||||||||
| Hays PLC | 85,030 | 197,644 | |||||||||||||||||||||
| USG People NV | 10,621 | 145,429 | |||||||||||||||||||||
| Road and rail 0.9% | |||||||||||||||||||||||
| Kansas City Southern | 2,700 | 245,376 | |||||||||||||||||||||
| Union Pacific Corp. | 18,822 | 1,664,053 | |||||||||||||||||||||
| Trading companies and distributors 0.4% | |||||||||||||||||||||||
| Fastenal Company | 9,071 | 332,089 | |||||||||||||||||||||
| Kuroda Electric Company, Ltd. | 10,900 | 202,315 | |||||||||||||||||||||
| Mitsubishi Corp. | 17,300 | 283,574 | |||||||||||||||||||||
| SIG PLC | 48,162 | 126,621 | |||||||||||||||||||||
| Transportation infrastructure 0.8% | |||||||||||||||||||||||
| Hamburger Hafen und Logistik AG | 5,548 | 90,388 | |||||||||||||||||||||
| Jiangsu Expressway Company, Ltd., H Shares | 1,172,000 | 1,501,270 | |||||||||||||||||||||
| Information technology 10.5% | 21,961,201 | ||||||||||||||||||||||
| Communications equipment 2.1% | |||||||||||||||||||||||
| Cisco Systems, Inc. (C) | 114,698 | 3,010,823 | |||||||||||||||||||||
| QUALCOMM, Inc. | 24,965 | 1,341,369 | |||||||||||||||||||||
| Shares | Value | ||||||||||||||||||||||
| Information technology (continued) | |||||||||||||||||||||||
| Electronic equipment, instruments and components 0.5% | |||||||||||||||||||||||
| Avnet, Inc. | 12,324 | $525,988 | |||||||||||||||||||||
| Hosiden Corp. | 27,100 | 143,477 | |||||||||||||||||||||
| Kingboard Laminates Holdings, Ltd. | 322,500 | 131,378 | |||||||||||||||||||||
| Mitsumi Electric Company, Ltd. | 9,300 | 51,517 | |||||||||||||||||||||
| Nichicon Corp. | 25,500 | 183,271 | |||||||||||||||||||||
| Internet software and services 0.2% | |||||||||||||||||||||||
| DeNa Company, Ltd. | 13,700 | 254,265 | |||||||||||||||||||||
| Dropbox, Inc. (I) | 7,248 | 113,721 | |||||||||||||||||||||
| Gree, Inc. | 31,400 | 140,641 | |||||||||||||||||||||
| IT services 1.0% | |||||||||||||||||||||||
| Alten SA | 3,532 | 181,410 | |||||||||||||||||||||
| Booz Allen Hamilton Holding Corp. | 27,127 | 710,999 | |||||||||||||||||||||
| Cap Gemini SA | 2,222 | 198,431 | |||||||||||||||||||||
| Devoteam SA | 1,502 | 49,255 | |||||||||||||||||||||
| Fujitsu, Ltd. | 74,000 | 321,885 | |||||||||||||||||||||
| GFI Informatique SA | 3,780 | 24,662 | |||||||||||||||||||||
| Itochu Techno-Solutions Corp. | 10,200 | 217,537 | |||||||||||||||||||||
| NET One Systems Company, Ltd. | 20,400 | 115,404 | |||||||||||||||||||||
| Sopra Steria Group | 2,928 | 324,923 | |||||||||||||||||||||
| Semiconductors and semiconductor equipment 3.4% | |||||||||||||||||||||||
| Intel Corp. | 106,964 | 3,223,895 | |||||||||||||||||||||
| Kontron AG (I) | 14,745 | 41,755 | |||||||||||||||||||||
| Lam Research Corp. | 5,003 | 326,846 | |||||||||||||||||||||
| Maxim Integrated Products, Inc. (C) | 74,326 | 2,482,488 | |||||||||||||||||||||
| Micronas Semiconductor Holding AG (I) | 15,030 | 57,714 | |||||||||||||||||||||
| Mimasu Semiconductor Industry Company, Ltd. | 7,500 | 68,673 | |||||||||||||||||||||
| Miraial Company, Ltd. | 6,500 | 59,083 | |||||||||||||||||||||
| Rohm Company, Ltd. | 3,600 | 160,093 | |||||||||||||||||||||
| SCREEN Holdings Company, Ltd. | 37,000 | 180,949 | |||||||||||||||||||||
| Shinkawa, Ltd. (I) | 15,400 | 84,563 | |||||||||||||||||||||
| Shinko Electric Industries Company, Ltd. | 32,600 | 183,797 | |||||||||||||||||||||
| Tokyo Seimitsu Company, Ltd. | 10,400 | 193,118 | |||||||||||||||||||||
| Software 2.3% | |||||||||||||||||||||||
| Alpha Systems, Inc. | 1,700 | 26,166 | |||||||||||||||||||||
| Microsoft Corp. (C) | 100,329 | 4,440,562 | |||||||||||||||||||||
| Nintendo Company, Ltd. | 1,600 | 269,683 | |||||||||||||||||||||
| Technology hardware, storage and peripherals 1.0% | |||||||||||||||||||||||
| Apple, Inc. (C) | 5,830 | 643,049 | |||||||||||||||||||||
| Canon, Inc. | 11,800 | 341,344 | |||||||||||||||||||||
| Compal Electronics, Inc. | 263,000 | 149,393 | |||||||||||||||||||||
| Japan Digital Laboratory Company, Ltd. | 3,500 | 48,236 | |||||||||||||||||||||
| Melco Holdings, Inc. | 8,300 | 135,891 | |||||||||||||||||||||
| SanDisk Corp. | 5,756 | 312,723 | |||||||||||||||||||||
| Western Digital Corp. | 6,171 | 490,224 | |||||||||||||||||||||
| Materials 4.7% | 9,934,009 | ||||||||||||||||||||||
| Chemicals 1.7% | |||||||||||||||||||||||
| Agrium, Inc. | 10,444 | 935,120 | |||||||||||||||||||||
| Akzo Nobel NV | 9,891 | 643,303 | |||||||||||||||||||||
| E.I. du Pont de Nemours & Company | 15,075 | 726,615 | |||||||||||||||||||||
| Fujimi, Inc. | 4,300 | 58,164 | |||||||||||||||||||||
| Hitachi Chemical Company, Ltd. | 8,300 | 114,517 | |||||||||||||||||||||
| Shares | Value | ||||||||||||||||||||||
| Materials (continued) | |||||||||||||||||||||||
| Chemicals (continued) | |||||||||||||||||||||||
| JSR Corp. | 15,900 | $229,197 | |||||||||||||||||||||
| Methanex Corp. | 7,916 | 262,495 | |||||||||||||||||||||
| Mitsui Chemicals, Inc. | 54,000 | 173,069 | |||||||||||||||||||||
| Nitto Denko Corp. | 2,600 | 155,721 | |||||||||||||||||||||
| Sumitomo Bakelite Company, Ltd. | 47,000 | 172,677 | |||||||||||||||||||||
| Construction materials 0.3% | |||||||||||||||||||||||
| Buzzi Unicem SpA | 15,028 | 251,206 | |||||||||||||||||||||
| Holcim, Ltd. (I) | 6,524 | 341,988 | |||||||||||||||||||||
| Vicat SA | 2,254 | 140,799 | |||||||||||||||||||||
| Containers and packaging 0.5% | |||||||||||||||||||||||
| AMVIG Holdings, Ltd. | 230,000 | 95,810 | |||||||||||||||||||||
| Bemis Company, Inc. | 7,197 | 284,785 | |||||||||||||||||||||
| Graphic Packaging Holding Company | 24,272 | 310,439 | |||||||||||||||||||||
| Packaging Corp. of America | 7,093 | 426,715 | |||||||||||||||||||||
| Metals and mining 1.1% | |||||||||||||||||||||||
| Aichi Steel Corp. | 11,000 | 41,540 | |||||||||||||||||||||
| Anglo American Platinum, Ltd. (I) | 6,840 | 113,323 | |||||||||||||||||||||
| Anglo American PLC | 22,731 | 189,874 | |||||||||||||||||||||
| Aquarius Platinum, Ltd. (I) | 240,444 | 23,832 | |||||||||||||||||||||
| Barrick Gold Corp. | 14,100 | 89,703 | |||||||||||||||||||||
| Centerra Gold, Inc. | 30,200 | 170,632 | |||||||||||||||||||||
| Chubu Steel Plate Company, Ltd. | 8,500 | 34,463 | |||||||||||||||||||||
| CST Mining Group, Ltd. (I) | 1,440,000 | 14,961 | |||||||||||||||||||||
| Eldorado Gold Corp. | 36,404 | 117,221 | |||||||||||||||||||||
| G-Resources Group, Ltd. | 4,227,000 | 110,097 | |||||||||||||||||||||
| Impala Platinum Holdings, Ltd. (I) | 35,290 | 98,010 | |||||||||||||||||||||
| Ivanhoe Mines, Ltd., Class A (I) | 109,000 | 53,091 | |||||||||||||||||||||
| Kinross Gold Corp. (I) | 75,897 | 130,543 | |||||||||||||||||||||
| Kyoei Steel, Ltd. | 9,900 | 155,448 | |||||||||||||||||||||
| Lonmin PLC (I) | 62,570 | 15,419 | |||||||||||||||||||||
| Maruichi Steel Tube, Ltd. | 7,200 | 162,981 | |||||||||||||||||||||
| Neturen Company, Ltd. | 11,800 | 84,742 | |||||||||||||||||||||
| Northern Dynasty Minerals, Ltd. (I) | 16,000 | 4,796 | |||||||||||||||||||||
| NV Bekaert SA | 5,662 | 149,181 | |||||||||||||||||||||
| Resolute Mining, Ltd. (I) | 361,784 | 79,324 | |||||||||||||||||||||
| Salzgitter AG | 5,965 | 148,167 | |||||||||||||||||||||
| Tokyo Steel Manufacturing Company, Ltd. | 25,700 | 140,534 | |||||||||||||||||||||
| Yamato Kogyo Company, Ltd. | 7,600 | 152,360 | |||||||||||||||||||||
| Yodogawa Steel Works, Ltd. | 5,400 | 100,879 | |||||||||||||||||||||
| Paper and forest products 1.1% | |||||||||||||||||||||||
| International Paper Company | 48,060 | 1,816,187 | |||||||||||||||||||||
| Norbord, Inc. | 28,871 | 414,081 | |||||||||||||||||||||
| Telecommunication services 4.0% | 8,359,345 | ||||||||||||||||||||||
| Diversified telecommunication services 3.3% | |||||||||||||||||||||||
| Hellenic Telecommunications Organization SA | 21,297 | 187,129 | |||||||||||||||||||||
| KT Corp. (I) | 12,791 | 332,393 | |||||||||||||||||||||
| Magyar Telekom Telecommunications PLC (I) | 119,805 | 166,826 | |||||||||||||||||||||
| Nippon Telegraph & Telephone Corp. | 72,700 | 2,560,756 | |||||||||||||||||||||
| Orange SA | 19,424 | 294,453 | |||||||||||||||||||||
| Telefonica SA | 26,116 | 316,839 | |||||||||||||||||||||
| Telenor ASA | 61,149 | 1,142,664 | |||||||||||||||||||||
| Shares | Value | ||||||||||||||||||||||
| Telecommunication services (continued) | |||||||||||||||||||||||
| Diversified telecommunication services (continued) | |||||||||||||||||||||||
| Verizon Communications, Inc. | 44,903 | $1,953,730 | |||||||||||||||||||||
| Wireless telecommunication services 0.7% | |||||||||||||||||||||||
| Mobistar SA (I) | 9,759 | 210,368 | |||||||||||||||||||||
| NTT DOCOMO, Inc. | 70,800 | 1,194,187 | |||||||||||||||||||||
| Utilities 4.9% | 10,297,932 | ||||||||||||||||||||||
| Electric utilities 2.0% | |||||||||||||||||||||||
| Edison International | 13,475 | 849,868 | |||||||||||||||||||||
| Power Assets Holdings, Ltd. | 113,000 | 1,069,303 | |||||||||||||||||||||
| Xcel Energy, Inc. | 64,858 | 2,296,622 | |||||||||||||||||||||
| Gas utilities 0.4% | |||||||||||||||||||||||
| Gas Natural SDG SA | 41,948 | 818,494 | |||||||||||||||||||||
| Independent power and renewable electricity producers 0.1% | |||||||||||||||||||||||
| NTPC, Ltd. | 81,336 | 153,630 | |||||||||||||||||||||
| Multi-utilities 2.4% | |||||||||||||||||||||||
| Centrica PLC | 281,787 | 978,935 | |||||||||||||||||||||
| Dominion Resources, Inc. | 30,032 | 2,113,652 | |||||||||||||||||||||
| E.ON SE | 15,563 | 133,553 | |||||||||||||||||||||
| Engie | 18,391 | 297,575 | |||||||||||||||||||||
| National Grid PLC | 51,268 | 714,016 | |||||||||||||||||||||
| PG&E Corp. | 14,791 | 780,965 | |||||||||||||||||||||
| RWE AG | 8,036 | 91,319 | |||||||||||||||||||||
| Rate (% | ) | Maturity date | Par value^ | Value | |||||||||||||||||||
| Corporate bonds 15.1% | $31,738,755 | ||||||||||||||||||||||
| (Cost $34,429,784) | |||||||||||||||||||||||
| Consumer discretionary 2.9% | 6,183,757 | ||||||||||||||||||||||
| Auto components 0.1% | |||||||||||||||||||||||
| ZF North America Capital, Inc. (S) | 4.500 | 04-29-22 | 150,000 | 141,750 | |||||||||||||||||||
| Automobiles 0.2% | |||||||||||||||||||||||
| FCA US LLC | 8.250 | 06-15-21 | 230,000 | 244,076 | |||||||||||||||||||
| General Motors Company | 4.875 | 10-02-23 | 85,000 | 86,297 | |||||||||||||||||||
| General Motors Company | 6.250 | 10-02-43 | 65,000 | 68,717 | |||||||||||||||||||
| Diversified consumer services 0.1% | |||||||||||||||||||||||
| Service Corp. International | 7.625 | 10-01-18 | 125,000 | 140,938 | |||||||||||||||||||
| Hotels, restaurants and leisure 0.3% | |||||||||||||||||||||||
| CEC Entertainment, Inc. | 8.000 | 02-15-22 | 130,000 | 128,050 | |||||||||||||||||||
| Cirsa Funding Luxembourg SA | 5.875 | 05-15-23 | EUR | 100,000 | 98,901 | ||||||||||||||||||
| Cirsa Funding Luxembourg SA (S) | 5.875 | 05-15-23 | EUR | 115,000 | 113,736 | ||||||||||||||||||
| NH Hotel Group SA (S) | 6.875 | 11-15-19 | EUR | 235,000 | 284,252 | ||||||||||||||||||
| Household durables 0.4% | |||||||||||||||||||||||
| Argos Merger Sub, Inc. (S) | 7.125 | 03-15-23 | 205,000 | 207,306 | |||||||||||||||||||
| DR Horton, Inc. | 4.000 | 02-15-20 | 25,000 | 25,125 | |||||||||||||||||||
| DR Horton, Inc. | 5.750 | 08-15-23 | 20,000 | 21,650 | |||||||||||||||||||
| K Hovnanian Enterprises, Inc. (S) | 8.000 | 11-01-19 | 105,000 | 75,338 | |||||||||||||||||||
| KB Home | 7.000 | 12-15-21 | 375,000 | 375,938 | |||||||||||||||||||
| Lennar Corp. | 4.750 | 11-15-22 | 125,000 | 121,350 | |||||||||||||||||||
| Media 1.4% | |||||||||||||||||||||||
| Altice Financing SA (S) | 6.500 | 01-15-22 | EUR | 100,000 | 116,629 | ||||||||||||||||||
| CCO Holdings LLC | 5.125 | 02-15-23 | 5,000 | 4,613 | |||||||||||||||||||
| CCO Holdings LLC | 5.250 | 09-30-22 | 5,000 | 4,688 | |||||||||||||||||||
| Rate (% | ) | Maturity date | Par value^ | Value | |||||||||||||||||||
| Consumer discretionary (continued) | |||||||||||||||||||||||
| Media (continued) | |||||||||||||||||||||||
| CCO Holdings LLC | 5.750 | 09-01-23 | 35,000 | $33,294 | |||||||||||||||||||
| CCO Holdings LLC | 7.375 | 06-01-20 | 255,000 | 264,869 | |||||||||||||||||||
| CCO Safari II LLC (S) | 4.908 | 07-23-25 | 95,000 | 94,583 | |||||||||||||||||||
| Cequel Communications Holdings I LLC (S) | 5.125 | 12-15-21 | 340,000 | 299,200 | |||||||||||||||||||
| DISH DBS Corp. | 6.750 | 06-01-21 | 170,000 | 162,350 | |||||||||||||||||||
| DISH DBS Corp. | 7.875 | 09-01-19 | 320,000 | 335,466 | |||||||||||||||||||
| Gray Television, Inc. | 7.500 | 10-01-20 | 75,000 | 76,875 | |||||||||||||||||||
| Harron Communications LP (S) | 9.125 | 04-01-20 | 90,000 | 95,625 | |||||||||||||||||||
| LIN Television Corp. (S) | 5.875 | 11-15-22 | 155,000 | 153,838 | |||||||||||||||||||
| TEGNA, Inc. (S) | 4.875 | 09-15-21 | 115,000 | 112,700 | |||||||||||||||||||
| TEGNA, Inc. | 5.125 | 10-15-19 | 345,000 | 350,175 | |||||||||||||||||||
| TEGNA, Inc. (S) | 5.500 | 09-15-24 | 20,000 | 19,450 | |||||||||||||||||||
| TEGNA, Inc. | 6.375 | 10-15-23 | 55,000 | 57,750 | |||||||||||||||||||
| Tribune Media Company (S) | 5.875 | 07-15-22 | 295,000 | 286,150 | |||||||||||||||||||
| TVN Finance Corp. III AB | 7.375 | 12-15-20 | EUR | 117,000 | 140,549 | ||||||||||||||||||
| Unitymedia Hessen GmbH & Company KG | 5.500 | 09-15-22 | EUR | 324,000 | 378,329 | ||||||||||||||||||
| Unitymedia Hessen GmbH & Company KG | 5.750 | 01-15-23 | EUR | 112,500 | 131,686 | ||||||||||||||||||
| Multiline retail 0.0% | |||||||||||||||||||||||
| Dollar Tree, Inc. (S) | 5.250 | 03-01-20 | 20,000 | 20,508 | |||||||||||||||||||
| Dollar Tree, Inc. (S) | 5.750 | 03-01-23 | 75,000 | 77,813 | |||||||||||||||||||
| Specialty retail 0.4% | |||||||||||||||||||||||
| Autonation Inc (S) | 6.000 | 10-15-22 | 180,000 | 180,450 | |||||||||||||||||||
| Chinos Intermediate Holdings A, Inc., PIK (S) | 7.750 | 05-01-19 | 130,000 | 49,725 | |||||||||||||||||||
| Michaels Stores, Inc. (S) | 5.875 | 12-15-20 | 195,000 | 203,288 | |||||||||||||||||||
| New Look Secured Issuer PLC (S) | 6.500 | 07-01-22 | GBP | 180,000 | 258,680 | ||||||||||||||||||
| Party City Holdings, Inc. (S) | 6.125 | 08-15-23 | 140,000 | 141,050 | |||||||||||||||||||
| Consumer staples 0.5% | 938,512 | ||||||||||||||||||||||
| Food and staples retailing 0.2% | |||||||||||||||||||||||
| Albertsons Holdings LLC (S) | 7.750 | 10-15-22 | 64,000 | 68,579 | |||||||||||||||||||
| Aramark Services, Inc. | 5.750 | 03-15-20 | 280,000 | 290,633 | |||||||||||||||||||
| Household products 0.1% | |||||||||||||||||||||||
| The Sun Products Corp. (S) | 7.750 | 03-15-21 | 315,000 | 267,750 | |||||||||||||||||||
| Personal products 0.2% | |||||||||||||||||||||||
| Hypermarcas SA | 6.500 | 04-20-21 | 310,000 | 311,550 | |||||||||||||||||||
| Energy 1.3% | 2,644,174 | ||||||||||||||||||||||
| Energy equipment and services 0.0% | |||||||||||||||||||||||
| Paragon Offshore PLC (S) | 6.750 | 07-15-22 | 280,000 | 36,400 | |||||||||||||||||||
| Oil, gas and consumable fuels 1.3% | |||||||||||||||||||||||
| Antero Resources Corp. (S) | 5.625 | 06-01-23 | 25,000 | 21,938 | |||||||||||||||||||
| Antero Resources Corp. | 6.000 | 12-01-20 | 185,000 | 171,125 | |||||||||||||||||||
| Blue Racer Midstream LLC (S) | 6.125 | 11-15-22 | 190,000 | 180,500 | |||||||||||||||||||
| Bonanza Creek Energy, Inc. | 6.750 | 04-15-21 | 100,000 | 70,000 | |||||||||||||||||||
| Borets Finance, Ltd. | 7.625 | 09-26-18 | 200,000 | 161,016 | |||||||||||||||||||
| Concho Resources, Inc. | 5.500 | 10-01-22 | 70,000 | 66,675 | |||||||||||||||||||
| Diamondback Energy, Inc. | 7.625 | 10-01-21 | 120,000 | 126,000 | |||||||||||||||||||
| Energy Transfer Equity LP | 5.500 | 06-01-27 | 350,000 | 290,500 | |||||||||||||||||||
| EP Energy LLC | 9.375 | 05-01-20 | 80,000 | 68,800 | |||||||||||||||||||
| Gazprom OAO | 4.950 | 07-19-22 | 200,000 | 182,036 | |||||||||||||||||||
| Kinder Morgan, Inc. | 7.250 | 06-01-18 | 60,000 | 66,333 | |||||||||||||||||||
| Laredo Petroleum, Inc. | 5.625 | 01-15-22 | 55,000 | 49,225 | |||||||||||||||||||
| Rate (% | ) | Maturity date | Par value^ | Value | |||||||||||||||||||
| Energy (continued) | |||||||||||||||||||||||
| Oil, gas and consumable fuels (continued) | |||||||||||||||||||||||
| Laredo Petroleum, Inc. | 6.250 | 03-15-23 | 85,000 | $77,350 | |||||||||||||||||||
| Laredo Petroleum, Inc. | 7.375 | 05-01-22 | 45,000 | 43,538 | |||||||||||||||||||
| Matador Resources Company (S) | 6.875 | 04-15-23 | 30,000 | 28,800 | |||||||||||||||||||
| MEG Energy Corp. (S) | 7.000 | 03-31-24 | 140,000 | 111,986 | |||||||||||||||||||
| Noble Energy Inc | 5.625 | 05-01-21 | 200,000 | 201,200 | |||||||||||||||||||
| Noble Energy, Inc. | 5.875 | 06-01-22 | 70,000 | 69,868 | |||||||||||||||||||
| Petroleos de Venezuela SA | 6.000 | 11-15-26 | 330,000 | 105,584 | |||||||||||||||||||
| QEP Resources, Inc. | 5.375 | 10-01-22 | 15,000 | 12,675 | |||||||||||||||||||
| QEP Resources, Inc. | 6.800 | 03-01-20 | 25,000 | 23,750 | |||||||||||||||||||
| Range Resources Corp. | 5.000 | 08-15-22 | 35,000 | 30,975 | |||||||||||||||||||
| Rice Energy, Inc. (S) | 7.250 | 05-01-23 | 40,000 | 37,500 | |||||||||||||||||||
| Tullow Oil PLC (S) | 6.250 | 04-15-22 | 350,000 | 245,000 | |||||||||||||||||||
| WPX Energy, Inc. | 5.250 | 09-15-24 | 120,000 | 96,600 | |||||||||||||||||||
| WPX Energy, Inc. | 6.000 | 01-15-22 | 80,000 | 68,800 | |||||||||||||||||||
| Financials 1.6% | 3,446,966 | ||||||||||||||||||||||
| Banks 0.9% | |||||||||||||||||||||||
| Banco Bilbao Vizcaya Argentaria SA (7.000% to 2-19-19, then 5 year Euro Swap Rate + 6.155%) (Q) | 7.000 | 02-19-19 | EUR | 200,000 | 217,334 | ||||||||||||||||||
| Banco Santander SA (6.250% to 3-12-19, then 5 year Euro Swap Rate + 5.410%) (Q) | 6.250 | 03-12-19 | EUR | 100,000 | 105,315 | ||||||||||||||||||
| Barclays PLC (8.250% to 12-15-18, then 5 year U.S. Swap Rate + 6.705%) (Q) | 8.250 | 12-15-18 | 200,000 | 208,309 | |||||||||||||||||||
| Intesa Sanpaolo SpA (8.375% to 10-14-19, then 3 month EURIBOR + 6.871%) (Q) | 8.375 | 10-14-19 | EUR | 50,000 | 65,019 | ||||||||||||||||||
| Lloyds Banking Group PLC (6.375% to 6-27-20, then 5 year Euro Swap Rate + 5.290%) (Q) | 6.375 | 06-27-20 | EUR | 200,000 | 228,828 | ||||||||||||||||||
| Royal Bank of Scotland Group PLC (7.500% to 8-10-20, then 5 Year U.S. Swap Rate + 5.800%) (Q) | 7.500 | 08-10-20 | 295,000 | 294,354 | |||||||||||||||||||
| Royal Bank of Scotland Group PLC (7.640% to 9-30-17, then 3 month LIBOR + 2.320%) (Q) | 7.640 | 09-30-17 | 300,000 | 319,500 | |||||||||||||||||||
| Sberbank of Russia (S) | 5.125 | 10-29-22 | 200,000 | 183,908 | |||||||||||||||||||
| VTB Bank OJSC (S) | 6.875 | 05-29-18 | 200,000 | 205,428 | |||||||||||||||||||
| Capital markets 0.1% | |||||||||||||||||||||||
| Credit Suisse Group AG (7.500% to 12-11-23, then 5 year U.S. Swap Rate + 4.598%) (Q)(S) | 7.500 | 12-11-23 | 200,000 | 208,250 | |||||||||||||||||||
| Diversified financial services 0.4% | |||||||||||||||||||||||
| International Lease Finance Corp. | 6.250 | 05-15-19 | 490,000 | 521,850 | |||||||||||||||||||
| MSCI, Inc. (S) | 5.250 | 11-15-24 | 145,000 | 146,994 | |||||||||||||||||||
| Nationstar Mortgage LLC | 6.500 | 08-01-18 | 235,000 | 223,838 | |||||||||||||||||||
| Insurance 0.1% | |||||||||||||||||||||||
| CNO Financial Group, Inc. | 4.500 | 05-30-20 | 30,000 | 30,600 | |||||||||||||||||||
| CNO Financial Group, Inc. | 5.250 | 05-30-25 | 75,000 | 76,125 | |||||||||||||||||||
| Nationwide Building Society (6.875% to 6-20-19, then 5 year British Pound Swap Rate + 4.880%) (Q) | 6.875 | 06-20-19 | GBP | 120,000 | 177,654 | ||||||||||||||||||
| Specialty retail 0.1% | |||||||||||||||||||||||
| Dufry Finance Sca (S) | 4.500 | 08-01-23 | EUR | 205,000 | 233,660 | ||||||||||||||||||
| Health care 2.4% | 5,017,346 | ||||||||||||||||||||||
| Health care equipment and supplies 0.3% | |||||||||||||||||||||||
| Alere, Inc. (S) | 6.375 | 07-01-23 | 150,000 | 152,250 | |||||||||||||||||||
| Alere, Inc. | 6.500 | 06-15-20 | 256,000 | 259,840 | |||||||||||||||||||
| Alere, Inc. | 7.250 | 07-01-18 | 100,000 | 104,000 | |||||||||||||||||||
| Hologic, Inc. (S) | 5.250 | 07-15-22 | 55,000 | 55,481 | |||||||||||||||||||
| Rate (% | ) | Maturity date | Par value^ | Value | |||||||||||||||||||
| Health care (continued) | |||||||||||||||||||||||
| Health care providers and services 1.3% | |||||||||||||||||||||||
| Amsurg Corp. | 5.625 | 07-15-22 | 275,000 | $274,656 | |||||||||||||||||||
| Community Health Systems, Inc. | 6.875 | 02-01-22 | 345,000 | 352,317 | |||||||||||||||||||
| Community Health Systems, Inc. | 7.125 | 07-15-20 | 275,000 | 286,000 | |||||||||||||||||||
| Envision Healthcare Corp. (S) | 5.125 | 07-01-22 | 85,000 | 84,150 | |||||||||||||||||||
| HCA Holdings, Inc. | 6.250 | 02-15-21 | 295,000 | 314,175 | |||||||||||||||||||
| HCA, Inc. | 6.500 | 02-15-20 | 360,000 | 392,400 | |||||||||||||||||||
| HCA, Inc. | 7.500 | 11-15-95 | 125,000 | 123,750 | |||||||||||||||||||
| inVentiv Health, Inc. (S) | 9.000 | 01-15-18 | 50,000 | 51,625 | |||||||||||||||||||
| MPH Acquisition Holdings LLC (S) | 6.625 | 04-01-22 | 140,000 | 140,000 | |||||||||||||||||||
| Tenet Healthcare Corp. | 5.000 | 03-01-19 | 195,000 | 188,663 | |||||||||||||||||||
| Tenet Healthcare Corp. | 6.750 | 06-15-23 | 50,000 | 49,500 | |||||||||||||||||||
| Tenet Healthcare Corp. | 8.125 | 04-01-22 | 275,000 | 292,298 | |||||||||||||||||||
| WellCare Health Plans, Inc. | 5.750 | 11-15-20 | 135,000 | 140,400 | |||||||||||||||||||
| Health care technology 0.3% | |||||||||||||||||||||||
| Emdeon, Inc. (S) | 6.000 | 02-15-21 | 110,000 | 106,700 | |||||||||||||||||||
| IMS Health, Inc. (S) | 4.125 | 04-01-23 | EUR | 235,000 | 251,660 | ||||||||||||||||||
| Sterigenics-Nordion Holdings LLC (S) | 6.500 | 05-15-23 | 250,000 | 248,125 | |||||||||||||||||||
| Pharmaceuticals 0.5% | |||||||||||||||||||||||
| Endo Finance LLC (S) | 6.000 | 07-15-23 | 265,000 | 262,350 | |||||||||||||||||||
| PRA Holdings, Inc. (S) | 9.500 | 10-01-23 | 150,000 | 165,375 | |||||||||||||||||||
| Quintiles Transnational Corp. (S) | 4.875 | 05-15-23 | 145,000 | 143,550 | |||||||||||||||||||
| Valeant Pharmaceuticals International, Inc. | 4.500 | 05-15-23 | EUR | 230,000 | 229,320 | ||||||||||||||||||
| Valeant Pharmaceuticals International, Inc. (S) | 4.500 | 05-15-23 | EUR | 125,000 | 124,631 | ||||||||||||||||||
| Valeant Pharmaceuticals International, Inc. (S) | 5.500 | 03-01-23 | 100,000 | 94,750 | |||||||||||||||||||
| Valeant Pharmaceuticals International, Inc. (S) | 5.875 | 05-15-23 | 75,000 | 71,906 | |||||||||||||||||||
| Valeant Pharmaceuticals International, Inc. (S) | 6.125 | 04-15-25 | 60,000 | 57,474 | |||||||||||||||||||
| Industrials 1.1% | 2,397,143 | ||||||||||||||||||||||
| Aerospace and defense 0.1% | |||||||||||||||||||||||
| TA Manufacturing, Ltd. (S) | 3.625 | 04-15-23 | EUR | 180,000 | 187,882 | ||||||||||||||||||
| Building products 0.2% | |||||||||||||||||||||||
| Builders FirstSource, Inc. (S) | 10.750 | 08-15-23 | 185,000 | 184,769 | |||||||||||||||||||
| Kerneos Corporate SAS (S) | 5.750 | 03-01-21 | EUR | 145,000 | 158,945 | ||||||||||||||||||
| Ply Gem Industries, Inc. | 6.500 | 02-01-22 | 255,000 | 244,800 | |||||||||||||||||||
| Commercial services and supplies 0.1% | |||||||||||||||||||||||
| Quad/Graphics, Inc. | 7.000 | 05-01-22 | 190,000 | 170,050 | |||||||||||||||||||
| Construction and engineering 0.1% | |||||||||||||||||||||||
| Aguila 3 SA (S) | 7.875 | 01-31-18 | 185,000 | 186,388 | |||||||||||||||||||
| Diversified financial services 0.1% | |||||||||||||||||||||||
| AerCap Ireland Capital, Ltd. | 4.500 | 05-15-21 | 150,000 | 149,813 | |||||||||||||||||||
| Electrical equipment 0.2% | |||||||||||||||||||||||
| CeramTec Group GmbH | 8.250 | 08-15-21 | EUR | 275,000 | 330,946 | ||||||||||||||||||
| Sensata Technologies BV (S) | 5.000 | 10-01-25 | 100,000 | 93,563 | |||||||||||||||||||
| Sensata Technologies BV (S) | 5.625 | 11-01-24 | 70,000 | 69,825 | |||||||||||||||||||
| Industrial conglomerates 0.1% | |||||||||||||||||||||||
| Tenedora Nemak SA de CV | 5.500 | 02-28-23 | 200,000 | 196,000 | |||||||||||||||||||
| Machinery 0.2% | |||||||||||||||||||||||
| Case New Holland Industrial, Inc. | 7.875 | 12-01-17 | 240,000 | 253,200 | |||||||||||||||||||
| Crown European Holdings SA (S) | 3.375 | 05-15-25 | EUR | 170,000 | 170,962 | ||||||||||||||||||
| Rate (% | ) | Maturity date | Par value^ | Value | |||||||||||||||||||
| Information technology 2.0% | $4,284,631 | ||||||||||||||||||||||
| Communications equipment 0.2% | |||||||||||||||||||||||
| Alcatel-Lucent USA, Inc. | 6.450 | 03-15-29 | 271,000 | 268,290 | |||||||||||||||||||
| Alcatel-Lucent USA, Inc. (S) | 6.750 | 11-15-20 | 200,000 | 210,000 | |||||||||||||||||||
| Electronic equipment, instruments and components 0.2% | |||||||||||||||||||||||
| CDW LLC | 5.000 | 09-01-23 | 35,000 | 35,255 | |||||||||||||||||||
| CDW LLC | 5.500 | 12-01-24 | 105,000 | 105,000 | |||||||||||||||||||
| CDW LLC | 6.000 | 08-15-22 | 290,000 | 302,325 | |||||||||||||||||||
| Internet software and services 0.2% | |||||||||||||||||||||||
| Zayo Group LLC (S) | 6.000 | 04-01-23 | 190,000 | 184,300 | |||||||||||||||||||
| Zayo Group LLC (S) | 6.375 | 05-15-25 | 110,000 | 105,600 | |||||||||||||||||||
| Semiconductors and semiconductor equipment 0.3% | |||||||||||||||||||||||
| Entegris, Inc. (S) | 6.000 | 04-01-22 | 210,000 | 213,150 | |||||||||||||||||||
| Freescale Semiconductor, Inc. (S) | 6.000 | 01-15-22 | 465,000 | 485,925 | |||||||||||||||||||
| Software 1.1% | |||||||||||||||||||||||
| Activision Blizzard, Inc. (S) | 5.625 | 09-15-21 | 405,000 | 426,263 | |||||||||||||||||||
| Activision Blizzard, Inc. (S) | 6.125 | 09-15-23 | 130,000 | 138,125 | |||||||||||||||||||
| Audatex North America, Inc. (S) | 6.000 | 06-15-21 | 276,000 | 276,549 | |||||||||||||||||||
| Emdeon, Inc. | 11.000 | 12-31-19 | 180,000 | 191,700 | |||||||||||||||||||
| First Data Corp. (S) | 5.375 | 08-15-23 | 280,000 | 277,200 | |||||||||||||||||||
| First Data Corp. (S) | 8.250 | 01-15-21 | 405,000 | 420,694 | |||||||||||||||||||
| Infor Software Parent LLC, PIK (S) | 7.125 | 05-01-21 | 320,000 | 281,600 | |||||||||||||||||||
| Infor US, Inc. (S) | 5.750 | 08-15-20 | 25,000 | 24,859 | |||||||||||||||||||
| Infor US, Inc. (S) | 5.750 | 05-15-22 | EUR | 100,000 | 101,683 | ||||||||||||||||||
| Infor US, Inc. (S) | 6.500 | 05-15-22 | 50,000 | 45,875 | |||||||||||||||||||
| SS&C Technologies Holdings, Inc. (S) | 5.875 | 07-15-23 | 25,000 | 25,438 | |||||||||||||||||||
| SunGard Data Systems, Inc. | 6.625 | 11-01-19 | 160,000 | 164,800 | |||||||||||||||||||
| Materials 1.4% | 3,030,245 | ||||||||||||||||||||||
| Building materials 0.2% | |||||||||||||||||||||||
| Building Materials Corp. of America (S) | 5.375 | 11-15-24 | 365,000 | 360,438 | |||||||||||||||||||
| Chemicals 0.1% | |||||||||||||||||||||||
| INEOS Group Holdings SA | 6.500 | 08-15-18 | EUR | 210,000 | 232,894 | ||||||||||||||||||
| Construction materials 0.3% | |||||||||||||||||||||||
| Cemex SAB de CV | 5.875 | 03-25-19 | 550,000 | 536,250 | |||||||||||||||||||
| HeidelbergCement Finance Luxembourg SA | 8.500 | 10-31-19 | EUR | 115,000 | 157,845 | ||||||||||||||||||
| Containers and packaging 0.4% | |||||||||||||||||||||||
| Ardagh Packaging Finance PLC (S) | 6.000 | 06-30-21 | 200,000 | 191,000 | |||||||||||||||||||
| Ardagh Packaging Finance PLC | 9.250 | 10-15-20 | EUR | 200,000 | 233,481 | ||||||||||||||||||
| Owens-Brockway Glass Container, Inc. (S) | 5.875 | 08-15-23 | 115,000 | 115,934 | |||||||||||||||||||
| Owens-Brockway Glass Container, Inc. (S) | 6.375 | 08-15-25 | 215,000 | 217,150 | |||||||||||||||||||
| Metals and mining 0.3% | |||||||||||||||||||||||
| AK Steel Corp. | 7.625 | 05-15-20 | 195,000 | 105,788 | |||||||||||||||||||
| AK Steel Corp. | 7.625 | 10-01-21 | 170,000 | 91,375 | |||||||||||||||||||
| AK Steel Corp. | 8.375 | 04-01-22 | 95,000 | 47,949 | |||||||||||||||||||
| ArcelorMittal | 7.500 | 03-01-41 | 65,000 | 52,325 | |||||||||||||||||||
| ArcelorMittal | 7.750 | 10-15-39 | 115,000 | 93,725 | |||||||||||||||||||
| Steel Dynamics, Inc. | 5.125 | 10-01-21 | 85,000 | 80,538 | |||||||||||||||||||
| Steel Dynamics, Inc. | 5.500 | 10-01-24 | 95,000 | 87,103 | |||||||||||||||||||
| United States Steel Corp. | 7.375 | 04-01-20 | 240,000 | 190,200 | |||||||||||||||||||
| Paper and forest products 0.1% | |||||||||||||||||||||||
| Tembec Industries, Inc. (S) | 9.000 | 12-15-19 | 315,000 | 236,250 | |||||||||||||||||||
| Rate (% | ) | Maturity date | Par value^ | Value | |||||||||||||||||||
| Telecommunication services 1.6% | $3,252,527 | ||||||||||||||||||||||
| Diversified telecommunication services 0.7% | |||||||||||||||||||||||
| Frontier Communications Corp. (S) | 10.500 | 09-15-22 | 65,000 | 63,213 | |||||||||||||||||||
| Frontier Communications Corp. (S) | 11.000 | 09-15-25 | 165,000 | 159,638 | |||||||||||||||||||
| Intelsat Jackson Holdings SA | 6.625 | 12-15-22 | 80,000 | 62,400 | |||||||||||||||||||
| Intelsat Jackson Holdings SA | 7.250 | 04-01-19 | 85,000 | 79,688 | |||||||||||||||||||
| Intelsat Jackson Holdings SA | 7.250 | 10-15-20 | 85,000 | 77,988 | |||||||||||||||||||
| Level 3 Financing, Inc. (S) | 5.125 | 05-01-23 | 15,000 | 14,344 | |||||||||||||||||||
| Level 3 Financing, Inc. | 5.375 | 08-15-22 | 205,000 | 199,363 | |||||||||||||||||||
| Level 3 Financing, Inc. | 6.125 | 01-15-21 | 200,000 | 205,602 | |||||||||||||||||||
| Level 3 Financing, Inc. | 8.625 | 07-15-20 | 165,000 | 172,838 | |||||||||||||||||||
| Wind Acquisition Finance SA (S) | 4.000 | 07-15-20 | EUR | 310,000 | 341,198 | ||||||||||||||||||
| Windstream Corp. | 7.750 | 10-15-20 | 90,000 | 76,500 | |||||||||||||||||||
| Wireless telecommunication services 0.9% | |||||||||||||||||||||||
| Matterhorn Telecom SA (S) | 3.875 | 05-01-22 | EUR | 116,000 | 115,036 | ||||||||||||||||||
| Sprint Communications, Inc. (S) | 9.000 | 11-15-18 | 100,000 | 105,000 | |||||||||||||||||||
| Sprint Corp. | 7.250 | 09-15-21 | 435,000 | 356,156 | |||||||||||||||||||
| Sprint Corp. | 7.875 | 09-15-23 | 100,000 | 80,938 | |||||||||||||||||||
| Syniverse Holdings, Inc. | 9.125 | 01-15-19 | 225,000 | 191,250 | |||||||||||||||||||
| T-Mobile USA, Inc. | 6.464 | 04-28-19 | 135,000 | 137,363 | |||||||||||||||||||
| T-Mobile USA, Inc. | 6.625 | 11-15-20 | 280,000 | 284,550 | |||||||||||||||||||
| T-Mobile USA, Inc. | 6.731 | 04-28-22 | 110,000 | 109,725 | |||||||||||||||||||
| VimpelCom Holdings BV | 5.200 | 02-13-19 | 220,000 | 215,050 | |||||||||||||||||||
| VimpelCom Holdings BV | 6.255 | 03-01-17 | 200,000 | 204,687 | |||||||||||||||||||
| Utilities 0.3% | 543,454 | ||||||||||||||||||||||
| Independent power and renewable electricity producers 0.3% | |||||||||||||||||||||||
| Dynegy, Inc. | 5.875 | 06-01-23 | 170,000 | 157,781 | |||||||||||||||||||
| Dynegy, Inc. | 7.375 | 11-01-22 | 75,000 | 75,563 | |||||||||||||||||||
| Dynegy, Inc. | 7.625 | 11-01-24 | 55,000 | 55,550 | |||||||||||||||||||
| GenOn Americas Generation LLC | 9.125 | 05-01-31 | 210,000 | 169,050 | |||||||||||||||||||
| GenOn Americas Generation LLC | 8.500 | 10-01-21 | 100,000 | 85,510 | |||||||||||||||||||
| Convertible bonds 0.1% | $131,413 | ||||||||||||||||||||||
| (Cost $161,003) | |||||||||||||||||||||||
| Consumer discretionary 0.0% | 38,950 | ||||||||||||||||||||||
| Household durables 0.0% | |||||||||||||||||||||||
| M/I Homes, Inc. | 3.000 | 03-01-18 | 40,000 | 38,950 | |||||||||||||||||||
| Energy 0.1% | 92,463 | ||||||||||||||||||||||
| Oil, gas and consumable fuels 0.1% | |||||||||||||||||||||||
| Cobalt International Energy, Inc. | 2.625 | 12-01-19 | 130,000 | 92,463 | |||||||||||||||||||
| Term loans (M) 0.2% | $449,949 | ||||||||||||||||||||||
| (Cost $691,017) | |||||||||||||||||||||||
| Consumer discretionary 0.0% | 100,224 | ||||||||||||||||||||||
| Multiline retail 0.0% | |||||||||||||||||||||||
| Lands' End, Inc. | 4.250 | 04-04-21 | 108,350 | 100,224 | |||||||||||||||||||
| Industrials 0.1% | 157,225 | ||||||||||||||||||||||
| Machinery 0.1% | |||||||||||||||||||||||
| Crosby US Acquisition Corp. | 3.750 | 11-23-20 | 181,763 | 157,225 | |||||||||||||||||||
| Utilities 0.1% | 192,500 | ||||||||||||||||||||||
| Electric utilities 0.1% | |||||||||||||||||||||||
| Texas Competitive Electric Holdings Company LLC (H) | 4.783 | 10-10-17 | 500,000 | 192,500 | |||||||||||||||||||
| Par value | Value | ||||||||||||||||||||||
| Short-term investments 1.7% | $3,700,000 | ||||||||||||||||||||||
| (Cost $3,700,000) | |||||||||||||||||||||||
| Repurchase agreement 1.7% | 3,700,000 | ||||||||||||||||||||||
| Goldman Sachs Tri-Party Repurchase Agreement dated 9-30-15 at 0.120% to be repurchased at $3,700,012 on 10-1-15, collateralized by $1,557,195 Federal National Mortgage Association, 3.000% - 4.000% due 11-1-40 to 6-1-45 (valued at $1,632,000, including interest) and $1,983,616 Federal Home Loan Mortgage Corp., 2.295% - 4.000% due 1-1-43 to 2-1-45 (valued at $2,142,000, including interest) | 3,700,000 | 3,700,000 | |||||||||||||||||||||
| Total investments (Cost $218,433,311)† 98.1% | $205,979,214 | ||||||||||||||||||||||
| Other assets and liabilities, net 1.9% | $3,900,043 | ||||||||||||||||||||||
| Total net assets 100.0% | $209,879,257 | ||||||||||||||||||||||
| The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund. | |||||||||||||||||||||||
| ^All par values are denominated in U.S. dollars unless otherwise indicated. | |||||||||||||||||||||||
| Key to Currency Abbreviations | |||||||||||||||||||||||
| EUR | Euro | ||||||||||||||||||||||
| GBP | Pound Sterling | ||||||||||||||||||||||
| Key to Security Abbreviations and Legend | |||||||||||||||||||||||
| ADR | American Depositary Receipts | ||||||||||||||||||||||
| EURIBOR | Euro Interbank Offered Rate | ||||||||||||||||||||||
| LIBOR | London Interbank Offered Rate | ||||||||||||||||||||||
| PIK | Payment-in-kind | ||||||||||||||||||||||
| (C) | A portion of this security is segregated as collateral for options. Total collateral value at 9-30-15 was $26,085,121. | ||||||||||||||||||||||
| (H) | Non-income producing - Issuer is in default. | ||||||||||||||||||||||
| (I) | Non-income producing security. | ||||||||||||||||||||||
| (M) | Term loans are variable rate obligations. The coupon rate shown represents the rate at period end. | ||||||||||||||||||||||
| (Q) | Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date. | ||||||||||||||||||||||
| (S) | These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration. | ||||||||||||||||||||||
| † | At 9-30-15, the aggregate cost of investment securities for federal income tax purposes was $218,998,851. Net unrealized depreciation aggregated $13,019,637, of which $11,321,538 related to appreciated investment securities and $24,341,175 related to depreciated investment securities. | ||||||||||||||||||||||
The fund had the following country concentration as a percentage of net assets on 9-30-15:
| United States | 54.1 | ||||
| Japan | 10.0 | ||||
| United Kingdom | 8.8 | ||||
| Switzerland | 3.7 | ||||
| France | 3.5 | ||||
| Germany | 2.6 | ||||
| Canada | 2.5 | ||||
| Netherlands | 1.8 | ||||
| China | 1.5 | ||||
| Spain | 1.5 | ||||
| Other Countries | 10.0 | ||||
| Total | 100.0 |
Notes to Fund's investments
Security valuation. Investments are stated at value as of the close of regular trading on the New York Stock Exchange (NYSE), normally at 4:00 p.m., Eastern Time. In order to value the securities, the fund uses the following valuation techniques: Equity securities held by the fund are valued at the last sale price or official closing price on the exchange where the security was acquired or most likely will be sold. In the event there were no sales during the day or closing prices are not available, the securities are valued using the last available bid price. Debt obligations are valued based on the evaluated prices provided by an independent pricing vendor or from broker-dealers. Independent pricing vendors utilize matrix pricing which takes into account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, as well as broker supplied prices. Options listed on an exchange are valued at the mean of the most recent bid and ask prices from the exchange where the option was acquired or most likely will be sold. Futures contracts are valued at settlement prices, which are the official closing prices published by the exchange on which they trade. Foreign index futures that trade in the electronic trading market subsequent to the close of regular trading and have sufficient liquidity will be valued at the last traded price in the electronic trading market as of 4:00 p.m ET. Foreign securities and currencies, including forward foreign currency contracts, are valued in U.S. dollars, based on foreign currency exchange rates supplied by an independent pricing vendor. Securities that trade only in the over-the-counter (OTC) market are valued using bid prices.
Other portfolio securities and assets, for which reliable market quotations are not readily available, are valued at fair value as determined in good faith by the fund's Pricing Committee following procedures established by the Board of Trustees. The frequency with which these fair valuation procedures are used cannot be predicted and fair value of securities may differ significantly from the value that would have been used had a ready market for such securities existed. Trading in foreign securities may be completed before the daily close of trading on the NYSE. Significant events at the issuer or market level may affect the values of securities between the time when the valuation of the securities is generally determined and the close of the NYSE. If a significant event occurs, these securities may be fair valued, as determined in good faith by the fund's Pricing Committee, following procedures established by the Board of Trustees. The fund uses fair value adjustment factors provided by an independent pricing vendor to value certain foreign securities in order to adjust for events that may occur between the close of foreign exchanges or markets and the close of the NYSE.
The fund uses a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities. Level 2 includes securities valued using other significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the fund's own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Changes in valuation techniques and related inputs may result in transfers into or out of an assigned level within the disclosure hierarchy.
The following is a summary of the values by input classification of the fund's investments as of September 30, 2015, by major security category or type:
| Total value at 9-30-15 |
Level 1 quoted price |
Level 2 significant observable inputs |
Level 3 significant unobservable inputs |
||||||||||||||
| Common stocks | |||||||||||||||||
| Consumer discretionary | $10,498,575 | $5,226,887 | $5,132,271 | $139,417 | |||||||||||||
| Consumer staples | 12,129,788 | 5,472,938 | 6,656,850 | — | |||||||||||||
| Energy | 13,507,589 | 8,831,121 | 4,676,468 | — | |||||||||||||
| Financials | 44,470,422 | 23,533,163 | 20,937,259 | — | |||||||||||||
| Health care | 18,928,644 | 11,406,818 | 7,521,826 | — | |||||||||||||
| Industrials | 19,871,592 | 10,899,141 | 8,972,451 | — | |||||||||||||
| Information technology | 21,961,201 | 17,508,966 | 4,338,514 | 113,721 | |||||||||||||
| Materials | 9,934,009 | 5,742,423 | 4,191,586 | — | |||||||||||||
| Telecommunication services | 8,359,345 | 1,953,730 | 6,405,615 | — | |||||||||||||
| Utilities | 10,297,932 | 6,041,107 | 4,256,825 | — | |||||||||||||
| Corporate bonds | 31,738,755 | — | 31,738,755 | — | |||||||||||||
| Convertible bonds | 131,413 | — | 131,413 | — | |||||||||||||
| Term loans | 449,949 | — | 449,949 | — | |||||||||||||
| Short-term investments | 3,700,000 | — | 3,700,000 | — | |||||||||||||
| Total investments in securities | $205,979,214 | $96,616,294 | $109,109,782 | $253,138 | |||||||||||||
| Other financial instruments | |||||||||||||||||
| Futures | $611,114 | $611,114 | — | — | |||||||||||||
| Forward foreign currency contracts | $6,241 | — | $6,241 | — | |||||||||||||
| Written options | ($309,914 | ) | — | ($309,914 | ) | — | |||||||||||
Repurchase agreements. The fund may enter into repurchase agreements. When the fund enters into a repurchase agreement, it receives collateral that is held in a segregated account by the fund's custodian, or for tri-party repurchase agreements, collateral is held at a third-party custodian bank in a segregated account for the
16
benefit of the fund. The collateral amount is marked-to-market and monitored on a daily basis to ensure that the collateral held is in an amount not less than the principal amount of the repurchase agreement plus any accrued interest. Collateral received by the fund for repurchase agreements is disclosed in the Fund's investments as part of the caption related to the repurchase agreement.
Repurchase agreements are typically governed by the terms and conditions of the Master Repurchase Agreement and/or Global Master Repurchase Agreement (collectively, MRA). Upon an event of default, the non-defaulting party may close out all transactions traded under the MRA and net amounts owed. Absent an event of default, assets and liabilities resulting from repurchase agreements are not offset. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the collateral value may decline or the counterparty may have insufficient assets to pay back claims resulting from close-out of the transactions.
Derivative instruments. The fund may invest in derivatives in order to meet its investment objectives. Derivatives include a variety of different instruments that may be traded in the OTC market, on a regulated exchange or through a clearing facility. The risks in using derivatives vary depending upon the structure of the instruments, including the use of leverage, optionality, the liquidity or lack of liquidity of the contract, the creditworthiness of the counterparty or clearing organization and the volatility of the position. Some derivatives involve risks that are potentially greater than the risks associated with investing directly in the referenced securities or other referenced underlying instrument. Specifically, the fund is exposed to the risk that the counterparty to an OTC derivatives contract will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. OTC derivatives transactions typically can only be closed out with the other party to the transaction.
Futures. A futures contract is a contractual agreement to buy or sell a particular currency or financial instrument at a pre-determined price in the future. Risks related to the use of futures contracts include possible illiquidity of the futures markets and contract prices that can be highly volatile and imperfectly correlated to movements in the underlying financial instrument. Use of long futures contracts subjects the funds to the risk of loss up to the notional value of the futures contracts. Use of short futures contracts subjects the funds to unlimited risk of loss.
During the period ended September 30, 2015, the fund used futures contracts to manage against anticipated changes in securities markets. The following table summarizes the contracts held at September 30, 2015.
| Open contracts | Number of contracts |
Position | Expiration date |
Notional basis |
Notional value |
Unrealized appreciation (depreciation) |
||||||||||||||
| Mini MSCI EAFE Index Futures | 130 | Short | Dec 2015 | ($11,108,861 | ) | ($10,721,750 | ) | $387,111 | ||||||||||||
| S&P 500 Index E-Mini Futures | 110 | Short | Dec 2015 | (10,721,853 | ) | (10,497,850 | ) | 224,003 | ||||||||||||
| $611,114 |
Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract.
Forward foreign currency contracts. A forward foreign currency contract is an agreement between two parties to buy and sell specific currencies at a price that is set on the date of the contract. The forward contract calls for delivery of the currencies on a future date that is specified in the contract. Risks related to the use of forwards include the possible failure of counterparties to meet the terms of the forward agreement, the failure of the counterparties to timely post collateral if applicable, and the risk that currency movements will not occur thereby reducing the fund's total return.
The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked-to-market daily and the change in value is recorded by the fund as an unrealized gain or loss. Realized gains or losses, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, are recorded upon delivery or receipt of the currency or settlement with the counterparty.
During the period ended September 30, 2015, the fund used forward foreign currency contracts to manage against anticipated changes in currency exchange rates. The following table summarizes the contracts held at September 30, 2015.
| Contract to buy | Contract to sell | Counterparty | Contractual settlement date |
Unrealized appreciation |
Unrealized depreciation |
Net unrealized appreciation/ (depreciation) |
||||||||||||||||||||||||||
| CAD | 200,000 | USD | 149,754 | Deutsche Bank AG London | 10/30/2015 | $93 | — | $93 | ||||||||||||||||||||||||
| EUR | 718,000 | USD | 807,417 | Citibank N.A. | 10/30/2015 | — | ($4,787 | ) | (4,787 | ) | ||||||||||||||||||||||
| EUR | 115,000 | USD | 129,201 | State Street Bank and Trust Company | 10/30/2015 | — | (646 | ) | (646 | ) | ||||||||||||||||||||||
| EUR | 1,801,000 | USD | 2,015,641 | BNP Paribas SA | 12/16/2015 | — | (644 | ) | (644 | ) | ||||||||||||||||||||||
| GBP | 538,000 | USD | 817,533 | Royal Bank of Scotland PLC | 10/30/2015 | — | (3,781 | ) | (3,781 | ) | ||||||||||||||||||||||
| USD | 66,999 | EUR | 60,000 | Goldman Sachs International | 10/30/2015 | — | (73 | ) | (73 | ) | ||||||||||||||||||||||
| USD | 1,260,836 | EUR | 1,122,000 | HSBC Bank USA | 12/16/2015 | 5,517 | — | 5,517 | ||||||||||||||||||||||||
| USD | 1,260,819 | EUR | 1,122,000 | JPMorgan Chase Bank N.A. | 12/16/2015 | 5,502 | — | 5,502 | ||||||||||||||||||||||||
| USD | 1,260,377 | EUR | 1,122,000 | National Australia Bank Limited | 12/16/2015 | 5,060 | — | 5,060 | ||||||||||||||||||||||||
| $16,172 | ($9,931 | ) | $6,241 | |||||||||||||||||||||||||||||
| Currency abbreviations | |||
| CAD | Canadian Dollar | GBP | British Pound |
| EUR | Euro | USD | U.S. Dollar |
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Options. There are two types of options, put options and call options. Options are traded either OTC or on an exchange. A call option gives the purchaser of the option the right to buy (and the seller the obligation to sell) the underlying instrument at the exercise price. A put option gives the purchaser of the option the right to sell (and the writer the obligation to buy) the underlying instrument at the exercise price. Writing puts and buying calls may increase the fund's exposure to changes in the value of the underlying instrument. Buying puts and writing calls may decrease the fund's exposure to such changes. Risks related to the use of options include the loss of premiums, possible illiquidity of the options markets, trading restrictions imposed by an exchange and movements in underlying security values. In addition, OTC options are subject to the risks of all OTC derivatives contracts.
When the fund purchases an option, the premium paid by the fund is included in the portfolio of investments and subsequently "marked-to-market" to reflect current market value. When the fund writes an option, the premium received is included as a liability and subsequently "marked-to-market" to reflect current market value of the option written.
During the period ended September 30, 2015, the fund wrote option contracts to manage against anticipated changes in securities markets and generate income. The following tables summarize the fund's written options activities during the period ended September 30, 2015 and the contracts held at September 30, 2015.
| Number of contracts (equity) | Premiums received | ||||||||||
| Outstanding, beginning of period | 155 | $162,980 | |||||||||
| Options written | 3,435 | 3,816,156 | |||||||||
| Option closed | (3,315 | ) | (3,669,222 | ) | |||||||
| Options exercised | — | — | |||||||||
| Options expired | — | — | |||||||||
| Outstanding, end of period | 275 | $309,914 | |||||||||
Written options on securities
| Name of issuer | Exercise price |
Expiration date |
Number of contracts |
Premium | Value | ||||||||||||
| S+P 500 INDEX | $1,965.00 | Oct 2015 | 275 | $309,914 | ($309,914 | ) |
For additional information on the fund's significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.
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More information
| How to contact us | ||
| Internet | www.jhinvestments.com | |
| Regular mail: John Hancock Signature Services, Inc. P.O. Box 55913 Boston, MA 02205-5913 |
Express mail: John Hancock Signature Services, Inc. 30 Dan Road Canton, MA 02021 |
|
| Phone | Customer service representatives EASI-Line TDD line |
800-225-5291 800-338-8080 800-231-5469 |
| P15Q3 | 09/15 | |
| This report is for the information of the shareholders of John Hancock Hedged Equity & Income Fund. | 11/15 |
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-Q, the registrant's principal executive officer and principal accounting officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.
(b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Separate certifications for the registrant's principal executive officer and principal accounting officer, as required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
John Hancock Hedged Equity & Income Fund
| By: | /s/ Andrew Arnott |
| Andrew Arnott | |
| President | |
| Date: | November 13, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Andrew Arnott |
| Andrew Arnott | |
| President | |
| Date: | November 13, 2015 |
| By: | /s/ Charles A. Rizzo |
| Charles A. Rizzo | |
| Chief Financial Officer | |
| Date: | November 13, 2015 |