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

jhnq_logo.jpg


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  

2SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        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  

SEE NOTES TO FUND'S INVESTMENTS3

Hedged Equity & Income Fund

                                               
        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  

4SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        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  

SEE NOTES TO FUND'S INVESTMENTS5

Hedged Equity & Income Fund

                                               
        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  

6SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        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  

SEE NOTES TO FUND'S INVESTMENTS7

Hedged Equity & Income Fund

                                               
        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  

8SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        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  

SEE NOTES TO FUND'S INVESTMENTS9

Hedged Equity & Income Fund

                                               
        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  

10SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        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  

SEE NOTES TO FUND'S INVESTMENTS11

Hedged Equity & Income Fund

                                               
        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  

12SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
        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  

SEE NOTES TO FUND'S INVESTMENTS13

Hedged Equity & Income Fund

                                               
        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  

14SEE NOTES TO FUND'S INVESTMENTS

Hedged Equity & Income Fund

                                               
              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  

SEE NOTES TO FUND'S INVESTMENTS15

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

17


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.

18


More information

     
How to contact us
Internet www.jhinvestments.com  
Mail 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