Washington, D.C. 20549




Investment Company Act file number 811- 22441

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

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

Salvatore Schiavone


601 Congress Street

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

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

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





John Hancock

Hedged Equity & Income Fund

Ticker: HEQ
Annual report 12/31/15


Managed distribution plan

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

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

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

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


A message to shareholders

Dear shareholder,

Global financial markets delivered lackluster performance in 2015, on balance, while volatility rose across asset classes. Among the factors driving investor concerns were persistently low oil prices, evidence of slowing growth in China, and increasing terrorist activity in Europe and the Middle East. Economic growth continues to slowly gather steam in the United States, and central banks in Europe and Asia remain committed to further monetary stimulus. However, several headwinds remain, and our network of asset managers and research firms expects volatility to affect a range of global markets in 2016. Corporate bond market liquidity has added to concerns, since new regulations intended to limit risk taking by banks may subsequently limit the ability of those institutions to buy bonds from sellers.

At John Hancock Investments, portfolio risk management is a critical part of our role as an asset manager, and our dedicated risk team is focused on these issues every day. We continually strive for new ways to analyze potential risks and have liquidity tools in place, such as a credit facility and an interfund lending program. Given today's market dynamics, now may be a good time to ask your financial advisor whether your portfolio is sufficiently diversified to meet your long-term objectives and withstand the inevitable bumps along the way.

Introducing John Hancock Multifactor Exchange-Traded Funds (ETFs)

We believe investors benefit from a combination of active and passive strategies in their portfolios. That's why, for years, we've offered actively managed funds to our shareholders, alongside asset allocation portfolios that employ a mix of active and passive strategies. That same thinking is what led us to team up with Dimensional Fund Advisors LP—a company regarded as one of the pioneers in strategic beta investing*—for the introduction of the passively managed John Hancock Multifactor ETFs. Each ETF seeks to track a custom index built upon decades of academic research into the factors that drive higher expected returns: smaller capitalizations, lower valuations, and higher profitability. For nearly 30 years, it's just the kind of time-tested approach we have looked for as a manager of managers. For more information, visit our website at jhinvestments.com/etf.

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



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

This commentary reflects the CEO's views as of December 31, 2015. They are subject to change at any time. Diversification does not guarantee investment returns and does not eliminate risk of loss. All investments entail risks, including the possible loss of principal. There is no guarantee that the funds' investment strategies will be successful. Please see the funds' prospectuses for information about the specific risks involved. For more up-to-date information, you can visit our website at jhinvestments.com.

* Strategic beta investing ETFs seek to improve upon cap-weighted strategies by tracking a custom index that combines active management insight with the discipline of a rules-based approach.

John Hancock
Hedged Equity & Income Fund

Table of contents

2   Your fund at a glance
4   Discussion of fund performance
8   Fund's investments
26   Financial statements
29   Financial highlights
30   Notes to financial statements
38   Auditor's report
39   Tax information
40   Additional information
43   Trustees and Officers
47   More information


Your fund at a glance


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



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

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

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

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

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



Growth concerns weighed on global stocks

Fears of a global growth slowdown centered in China led to losses for many global stocks, with the steepest declines in emerging-market stocks.

Dividend stocks paced relative results

The fund outperformed its comparative index, the MSCI All Country World Index, at NAV, owing primarily to stock selection in the income-oriented financials and telecommunication services sectors.

The fund's domestic exposure was a positive factor

An overweight in U.S. stocks, which outperformed the fund's comparative index, contributed to relative performance during the period.



A note about risks

As is the case with all closed-end funds, shares of this fund may trade at a discount to the fund's net asset value. An investment in the fund is subject to investment and market risks, including the possible loss of the entire principal invested. There is no guarantee prior distribution levels will be maintained, and distributions may include a substantial tax return of capital. Fixed-income investments are subject to interest-rate risk; their value will normally decline as interest rates rise. An issuer of securities held by the fund may default, have its credit rating downgraded, or otherwise perform poorly, which may affect fund performance. Investing in derivative instruments involves risks different from, and in some cases greater than, the risks associated with investing directly in securities and other traditional investments. Liquidity—the extent to which a security may be sold or a derivative position closed without negatively affecting its market value, if at all—may be impaired by reduced trading volume, heightened volatility, rising interest rates, and other market conditions. Foreign investing, especially in emerging markets, has additional risks, such as currency and market volatility and political and social instability. The primary risks associated with the use of futures contracts and options are imperfect correlation, unanticipated market movement, and counterparty risk. Investments in higher-yielding, lower-rated securities include a higher risk of default.


Discussion of fund performance

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


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

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

What factors affected global markets over the past 12 months?

Global equities, as measured by the fund's comparative index, the MSCI All Country World Index, fell over the reporting period as supportive monetary policy actions by major world banks were unable to overcome worries about a worldwide growth slowdown. China implemented rate cuts in the first half of the period to stabilize growth in its economy while the European Central Bank announced a €1.14 trillion open-ended sovereign quantitative easing (QE) program to combat record low inflation and spark growth, while the Bank of Japan expanded its QE policy.

China dominated market sentiment in the second half of the period as the world's second largest economy unexpectedly devalued its currency, triggering concerns about global disinflationary trends and a weaker-than-anticipated global growth backdrop. Stocks tumbled in the third quarter of the year in the aftermath of China's move, while export-driven economies were especially hard hit by continued declines in crude oil and other commodities. U.S. equities outperformed non-U.S. equities and emerging-market equities underperformed their developed-market counterparts. The U.S. Federal Reserve capped off a turbulent year in December by delivering its first rate hike since 2006, but the move failed to ease volatility.

Within the comparative index, only four out of ten sectors posted positive returns. Healthcare, consumer staples, consumer discretionary, and information technology led the index, while energy and materials declined the most.

Looking ahead, we remain generally positive about the outlook for global markets. Our belief is based on the ongoing strength in developed economies where we believe buoyant consumption, recovering balance sheets, and accommodative monetary policy will drive growth.


"China dominated market sentiment in the second half of the period as the world's second largest economy unexpectedly devalued its currency, triggering concerns about global disinflationary trends and a weaker-than-anticipated global growth backdrop."

How did the fund respond to these market conditions?

The fund seeks to provide investors with a portfolio that will generate attractive long-term total returns with downside equity market protection through a portfolio that invests in global equities and high-yield bonds and employs options strategies. The fund performed well compared with its index for the reporting period at NAV, primarily due to strong stock selection in the equity strategy and the fund's beta hedge, a strategy that reduces the fund's equity exposure by selling futures on the S&P 500 Index and the MSCI EAFE Index and benefits when such indexes decline. The fund's allocation to high-yield bonds and call writing strategy detracted from relative performance.

Stock selection within the financials, telecommunication services, and consumer staples sectors contributed most to relative performance, but was partially offset by weak selection within the utilities, energy, and industrials sectors. Sector allocation detracted from relative results, most




"Sector allocation detracted from relative results, most notably due to an underweight in consumer discretionary and consumer staples, as well as an overweight in the energy and materials sectors."
notably due to an underweight in consumer discretionary and consumer staples, as well as an overweight in the energy and materials sectors.

In a difficult environment for equities, which stocks had the greatest positive impact on relative performance for the year?

The top contributors to the fund's relative performance during the period were Japan-based telecommunications company Nippon Telegraph & Telephone Corp., food and beverage company Kraft Foods Group Inc., and pharmaceutical companies Eisai Company, Ltd. from Japan and U.S.-based Bristol-Myers Squibb Company. Kraft Foods Group was purchased by Heinz during the period and we eliminated the position on strength.

Which positions detracted the most from results?

The primary detractors from relative performance included the fund's holdings in Netherlands-based insurer Delta Lloyd NV, oil and natural gas exploration and production company Marathon Oil Corp., International Paper Company, and industrial components maker Eaton Corp. PLC. Not

TOP 10 HOLDINGS AS OF 12/31/15 (%)

British American Tobacco PLC 2.3
Microsoft Corp. 2.3
Merck & Company, Inc. 2.2
The PNC Financial Services Group, Inc. 1.7
Nippon Telegraph & Telephone Corp. 1.7
Intel Corp. 1.5
JPMorgan Chase & Co. 1.5
AstraZeneca PLC 1.5
Bristol-Myers Squibb Company 1.3
Chevron Corp. 1.3
TOTAL 17.3
As a percentage of net assets.
Cash and cash equivalents are not included.


owning e-commerce and cloud computing company Amazon.com, Inc., which performed strongly during the period, also hurt relative results.

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

At the end of the period, the equity portfolio was most overweight in the financials and utilities sectors, while consumer discretionary and consumer staples were the largest underweights. The largest changes in positioning during the period included a shift to a greater underweight in information technology and increases in the underweight in consumer discretionary and the overweight in utilities. We maintained the fund's exposure to global high-yield fixed income to help aid its income-generating capabilities.


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



United States 55.8
Japan 11.3
United Kingdom 9.4
Switzerland 4.0
France 3.8
Canada 2.7
Germany 2.7
Netherlands 2.0
Spain 1.8
China 1.5
Other Countries 5.0
TOTAL 100.0
As a percentage of net assets.  

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

Fund's investments


  As of 12-31-15  
        Shares     Value  
  Common stocks 81.7%     $171,559,688  
  (Cost $175,502,681)  
  Consumer discretionary 4.4%     9,131,425  
  Auto components 0.9%  
  Aisan Industry Company, Ltd.     11,600     119,102  
  Delphi Automotive PLC     3,905     334,776  
  Exedy Corp.     8,400     203,016  
  Keihin Corp.     14,700     257,755  
  Nissin Kogyo Company, Ltd.     13,500     195,825  
  Sumitomo Riko Company, Ltd.     17,600     146,720  
  Takata Corp. (I)     10,900     72,589  
  Tokai Rika Company, Ltd.     8,100     199,363  
  Toyoda Gosei Company, Ltd.     11,600     263,516  
  Automobiles 0.3%  
  Honda Motor Company, Ltd.     13,900     444,265  
  Peugeot SA (I)     4,089     71,676  
  Renault SA     2,233     223,513  
  Diversified consumer services 0.1%  
  Allstar Co-Invest LLC (I)(R)     236,300     96,883  
  Benesse Holdings, Inc.     2,800     80,634  
  Household durables 0.9%  
  Funai Electric Company, Ltd.     18,463     154,869  
  Newell Rubbermaid, Inc.     8,681     382,658  
  Nikon Corp.     20,500     274,566  
  Pioneer Corp. (I)     76,500     210,598  
  PulteGroup, Inc.     46,795     833,887  
  Internet and catalog retail 0.1%  
  Home Retail Group PLC     71,988     105,459  
  Qliro Group AB (I)     49,556     70,817  
  Media 0.5%  
  Avex Group Holdings, Inc.     7,200     85,415  
  Gendai Agency, Inc.     5,200     26,880  
  Metropole Television SA     9,649     165,926  
  Proto Corp.     3,000     41,272  
  SES SA     25,587     709,008  
  Multiline retail 0.2%  
  Dollar General Corp.     5,688     408,797  
  New World Department Store China, Ltd.     343,000     52,058  
  Specialty retail 1.2%  
  Adastria Company, Ltd.     2,900     162,278  
  Honeys Company, Ltd.     12,030     103,834  


        Shares     Value  
  Consumer discretionary  (continued)        
  Specialty retail  (continued)  
  Nishimatsuya Chain Company, Ltd.     17,800     $154,066  
  Pal Company, Ltd.     4,700     112,805  
  Ross Stores, Inc.     4,663     250,916  
  Shimamura Company, Ltd.     1,600     187,375  
  The Home Depot, Inc.     10,725     1,418,381  
  Xebio Company, Ltd.     9,500     179,407  
  Textiles, apparel and luxury goods 0.2%  
  Daphne International Holdings, Ltd. (I)     524,000     87,494  
  Ralph Lauren Corp.     2,180     243,026  
  Consumer staples 5.4%     11,278,302  
  Beverages 1.2%  
  The Coca-Cola Company     58,457     2,511,313  
  Food and staples retailing 0.3%  
  Cawachi, Ltd.     7,100     138,448  
  J Sainsbury PLC     88,666     337,658  
  Metro AG     6,194     197,324  
  Food products 1.1%  
  Ebro Foods SA     20,138     396,131  
  Ingredion, Inc.     11,273     1,080,404  
  Pinnacle Foods, Inc.     17,016     722,499  
  Suedzucker AG     9,645     191,168  
  Household products 0.3%  
  The Procter & Gamble Company     7,825     621,383  
  Personal products 0.1%  
  Oriflame Holding AG (I)     10,701     171,492  
  Tobacco 2.4%  
  British American Tobacco PLC     88,423     4,910,482  
  Energy 6.3%     13,137,134  
  Energy equipment and services 0.3%  
  Ensco PLC, Class A     14,177     218,184  
  Helmerich & Payne, Inc.     5,000     267,750  
  Oil, gas and consumable fuels 6.0%  
  BP PLC     127,772     663,990  
  Canadian Natural Resources, Ltd.     20,755     453,082  
  Chevron Corp. (C)     30,777     2,768,699  
  Encana Corp.     9,900     50,298  
  Eni SpA     26,311     390,934  
  Gazprom OAO, ADR     63,222     232,025  
  Harum Energy Tbk PT (I)     450,400     21,987  
  Indo Tambangraya Megah Tbk PT     96,400     39,796  


        Shares     Value  
  Energy  (continued)        
  Oil, gas and consumable fuels  (continued)  
  Inpex Corp.     20,000     $194,978  
  Japan Petroleum Exploration Company, Ltd.     7,000     188,001  
  Lukoil PJSC, ADR     7,520     244,287  
  Marathon Oil Corp.     64,497     812,017  
  Occidental Petroleum Corp.     15,255     1,031,391  
  Painted Pony Petroleum, Ltd. (I)     12,700     31,940  
  Petro Rio SA (I)     2,930     1,802  
  Petroleo Brasileiro SA, ADR (I)     28,392     122,086  
  Royal Dutch Shell PLC, B Shares     69,625     1,586,818  
  Statoil ASA     6,144     85,689  
  Suncor Energy, Inc.     60,254     1,554,553  
  Total SA     37,579     1,684,718  
  TransCanada Corp.     15,100     492,109  
  Financials 22.2%     46,665,561  
  Banks 9.7%  
  Allahabad Bank     61,017     63,788  
  Alpha Bank AE (I)     16,089     43,117  
  Banca Popolare dell'Emilia Romagna SC     19,413     147,250  
  Banco Popular Espanol SA     54,636     180,019  
  BNP Paribas SA     7,559     427,668  
  CaixaBank SA     239,399     833,254  
  Canara Bank     28,136     98,734  
  China Construction Bank Corp., H Shares     1,538,218     1,049,292  
  Comerica, Inc.     7,507     314,018  
  Corp. Bank     60,024     38,266  
  Dah Sing Financial Holdings, Ltd.     15,600     77,640  
  HSBC Holdings PLC     201,577     1,591,291  
  ING Groep NV     29,199     395,063  
  JPMorgan Chase & Co. (C)     47,435     3,132,133  
  KB Financial Group, Inc.     5,733     161,520  
  M&T Bank Corp.     3,951     478,782  
  Mitsubishi UFJ Financial Group, Inc.     324,005     2,006,968  
  Mizuho Financial Group, Inc.     194,400     388,800  
  Nordea Bank AB     124,752     1,368,748  
  OTP Bank PLC     8,181     168,212  
  Shinhan Financial Group Company, Ltd. (I)     3,196     107,359  
  Societe Generale SA     7,733     356,353  
  Standard Chartered PLC     41,264     342,374  
  Sumitomo Mitsui Financial Group, Inc.     11,200     422,700  
  Svenska Handelsbanken AB, A Shares     54,851     728,502  
  The Eighteenth Bank, Ltd.     10,000     29,229  
  The Oita Bank, Ltd.     15,000     58,340  


        Shares     Value  
  Financials  (continued)        
  Banks  (continued)  
  The PNC Financial Services Group, Inc. (C)     37,042     $3,530,473  
  The Tochigi Bank, Ltd.     16,000     91,255  
  The Yamanashi Chuo Bank, Ltd.     12,000     61,331  
  UniCredit SpA     38,724     214,093  
  Wells Fargo & Company (C)     26,267     1,427,874  
  Capital markets 2.1%  
  BlackRock, Inc. (C)     5,659     1,927,003  
  Henderson Group PLC     338,431     1,538,175  
  Julius Baer Group, Ltd. (I)     3,978     192,444  
  UBS Group AG     29,358     569,529  
  Uranium Participation Corp. (I)     30,800     114,189  
  Consumer finance 0.1%  
  Manappuram Finance, Ltd.     221,288     97,441  
  Synchrony Financial (I)     7,926     241,030  
  Diversified financial services 0.9%  
  Intercontinental Exchange, Inc. (C)     4,288     1,098,843  
  MSCI, Inc.     12,563     906,169  
  Insurance 6.8%  
  ACE, Ltd.     11,720     1,369,482  
  Ageas     9,290     431,185  
  Assicurazioni Generali SpA     69,232     1,264,639  
  CNO Financial Group, Inc.     43,693     834,099  
  Coface SA (I)     12,107     122,679  
  Delta Lloyd NV     74,054     436,543  
  FNF Group     25,327     878,087  
  Marsh & McLennan Companies, Inc.     16,040     889,418  
  MetLife, Inc.     35,929     1,732,137  
  Primerica, Inc.     7,941     375,053  
  Sony Financial Holdings, Inc.     20,020     358,102  
  Storebrand ASA (I)     61,334     240,207  
  T&D Holdings, Inc.     31,000     409,000  
  The Dai-ichi Life Insurance Company, Ltd.     16,900     281,177  
  Tongyang Life Insurance     9,867     97,561  
  Torchmark Corp.     6,000     342,960  
  Willis Towers Watson PLC     36,431     1,769,454  
  Zurich Insurance Group AG (I)     9,378     2,409,206  
  Real estate investment trusts 0.9%  
  ICADE     11,936     801,144  
  Weyerhaeuser Company     36,527     1,095,079  
  Real estate management and development 1.7%  
  Castellum AB     62,160     885,236  
  The UNITE Group PLC     63,318     611,685  


        Shares     Value  
  Financials  (continued)        
  Real estate management and development  (continued)  
  Vonovia SE     65,133     $2,012,159  
  Health care 9.4%     19,816,502  
  Biotechnology 0.1%  
  Sinovac Biotech, Ltd. (I)     22,089     126,349  
  Health care equipment and supplies 0.1%  
  Zimmer Biomet Holdings, Inc.     3,355     344,189  
  Health care providers and services 0.5%  
  AmerisourceBergen Corp.     2,221     230,340  
  Quest Diagnostics, Inc.     10,852     772,011  
  Suzuken Company, Ltd.     990     37,622  
  Health care technology 0.1%  
  AGFA-Gevaert NV (I)     32,928     187,374  
  Life sciences tools and services 0.0%  
  CMIC Holdings Company, Ltd.     6,400     81,510  
  Pharmaceuticals 8.6%  
  Almirall SA     10,618     214,601  
  AstraZeneca PLC     45,481     3,072,119  
  Bristol-Myers Squibb Company     40,767     2,804,362  
  Daiichi Sankyo Company, Ltd.     10,400     214,653  
  Eisai Company, Ltd.     29,346     1,941,260  
  H. Lundbeck A/S (I)     8,985     306,795  
  Johnson & Johnson     12,714     1,305,982  
  Merck & Company, Inc. (C)     88,336     4,665,908  
  Ono Pharmaceutical Company, Ltd.     1,780     317,395  
  Roche Holding AG     9,763     2,705,409  
  Takeda Pharmaceutical Company, Ltd.     9,800     488,623  
  Industrials 8.9%     18,713,364  
  Aerospace and defense 0.7%  
  Raytheon Company     3,140     391,024  
  Thales SA     2,943     220,283  
  United Technologies Corp.     9,279     891,434  
  Air freight and logistics 0.5%  
  Deutsche Post AG     24,727     691,312  
  PostNL NV (I)     85,802     325,442  
  Airlines 0.4%  
  American Airlines Group, Inc.     8,431     357,053  
  Deutsche Lufthansa AG (I)     23,450     369,362  
  Qantas Airways, Ltd. (I)     32,989     97,782  
  Building products 0.4%  
  Cie de Saint-Gobain     10,909     472,744  


        Shares     Value  
  Industrials  (continued)        
  Building products  (continued)  
  Fortune Brands Home & Security, Inc.     7,680     $426,240  
  Commercial services and supplies 0.1%  
  Aeon Delight Company, Ltd.     2,300     73,791  
  Moshi Moshi Hotline, Inc.     8,500     72,931  
  Construction and engineering 0.1%  
  Raubex Group, Ltd.     58,523     63,505  
  Toyo Engineering Corp. (I)     65,000     167,005  
  Electrical equipment 2.1%  
  Eaton Corp. PLC     46,545     2,422,202  
  Schneider Electric SE     29,216     1,659,584  
  Ushio, Inc.     14,600     201,332  
  Zumtobel Group AG     1,496     37,687  
  Industrial conglomerates 1.5%  
  3M Company     6,703     1,009,740  
  General Electric Company     20,197     629,137  
  Koninklijke Philips NV     7,580     193,474  
  Rheinmetall AG     4,572     303,909  
  Siemens AG     9,564     925,277  
  Machinery 0.7%  
  Caterpillar, Inc.     13,164     894,625  
  Fuji Machine Manufacturing Company, Ltd.     2,300     24,178  
  Hisaka Works, Ltd.     9,200     73,287  
  Sumitomo Heavy Industries, Ltd.     33,000     147,934  
  The Japan Steel Works, Ltd.     53,000     186,052  
  Toshiba Machine Company, Ltd.     41,000     139,057  
  Marine 0.1%  
  D/S Norden A/S (I)     7,995     141,758  
  Pacific Basin Shipping, Ltd.     511,000     111,841  
  Professional services 0.4%  
  Adecco SA (I)     3,547     242,766  
  en-japan, Inc.     4,800     176,749  
  Hays PLC     85,030     182,615  
  USG People NV     10,621     197,592  
  Road and rail 0.6%  
  Kansas City Southern     6,937     517,986  
  Union Pacific Corp.     10,455     817,581  
  Trading companies and distributors 0.4%  
  Fastenal Company     9,702     396,036  
  Kuroda Electric Company, Ltd.     9,400     173,660  
  Rexel SA     11,033     146,913  
  SIG PLC     65,647     138,724  


        Shares     Value  
  Industrials  (continued)        
  Transportation infrastructure 0.9%  
  Hamburger Hafen und Logistik AG     5,548     $84,530  
  Jiangsu Expressway Company, Ltd., H Shares     1,428,519     1,917,230  
  Information technology 10.3%     21,728,157  
  Communications equipment 2.0%  
  Cisco Systems, Inc. (C)     101,647     2,760,224  
  QUALCOMM, Inc.     30,429     1,520,994  
  Electronic equipment, instruments and components 0.5%  
  Avnet, Inc.     11,822     506,454  
  Hosiden Corp.     27,100     152,435  
  Kingboard Laminates Holdings, Ltd.     322,500     145,517  
  Mitsumi Electric Company, Ltd.     7,200     40,776  
  Nichicon Corp.     25,500     199,347  
  Internet software and services 0.2%  
  DeNa Company, Ltd.     13,700     214,218  
  Dropbox, Inc., Class B (I)(R)     7,248     115,098  
  Gree, Inc.     31,400     149,089  
  IT services 0.9%  
  Alten SA     2,642     152,890  
  Booz Allen Hamilton Holding Corp.     19,661     606,542  
  Devoteam SA     1,502     54,422  
  Fujitsu, Ltd.     81,000     404,280  
  GFI Informatique SA     3,780     34,195  
  Itochu Techno-Solutions Corp.     10,200     203,229  
  NET One Systems Company, Ltd.     26,700     170,929  
  Sopra Steria Group     2,491     292,924  
  Semiconductors and semiconductor equipment 3.7%  
  Intel Corp.     93,906     3,235,062  
  Kontron AG (I)     14,745     48,341  
  Lam Research Corp.     6,049     480,412  
  Maxim Integrated Products, Inc. (C)     72,067     2,738,546  
  Micronas Semiconductor Holding AG (I)     15,030     111,997  
  Mimasu Semiconductor Industry Company, Ltd.     7,500     71,413  
  Miraial Company, Ltd.     6,500     57,124  
  Rohm Company, Ltd.     3,600     182,343  
  SCREEN Holdings Company, Ltd.     37,000     272,347  
  Shinkawa, Ltd. (I)     15,400     79,355  
  Shinko Electric Industries Company, Ltd.     32,600     208,994  
  Tokyo Seimitsu Company, Ltd.     10,400     230,575  
  Software 2.4%  
  Alpha Systems, Inc.     1,700     27,362  
  Microsoft Corp. (C)     88,160     4,891,117  


        Shares     Value  
  Information technology  (continued)        
  Software  (continued)  
  Nintendo Company, Ltd.     1,600     $220,016  
  Technology hardware, storage and peripherals 0.6%  
  Canon, Inc.     11,800     356,950  
  Compal Electronics, Inc.     334,000     186,907  
  Japan Digital Laboratory Company, Ltd.     6,400     87,082  
  Melco Holdings, Inc.     8,300     152,586  
  Western Digital Corp.     6,096     366,065  
  Materials 5.3%     11,188,759  
  Chemicals 1.9%  
  Agrium, Inc.     10,482     936,462  
  Agrium, Inc.     3,416     305,309  
  Akzo Nobel NV     12,056     805,566  
  E.I. du Pont de Nemours & Company     11,305     752,913  
  Fujimi, Inc.     4,300     59,524  
  Hitachi Chemical Company, Ltd.     8,300     131,677  
  JSR Corp.     18,500     288,310  
  Methanex Corp.     8,497     280,486  
  Mitsui Chemicals, Inc.     37,000     164,095  
  Nitto Denko Corp.     2,600     189,815  
  Sumitomo Bakelite Company, Ltd.     47,000     195,615  
  Construction materials 0.4%  
  Buzzi Unicem SpA     15,028     269,381  
  LafargeHolcim, Ltd.     7,341     367,599  
  Vicat SA     2,722     163,668  
  Containers and packaging 1.4%  
  AMVIG Holdings, Ltd.     230,000     95,302  
  Graphic Packaging Holding Company     24,670     316,516  
  International Paper Company     58,579     2,208,428  
  Packaging Corp. of America     4,022     253,587  
  Metals and mining 1.2%  
  Aichi Steel Corp.     11,000     51,526  
  Anglo American Platinum, Ltd. (I)     6,840     82,379  
  Anglo American PLC     22,731     99,726  
  Aquarius Platinum, Ltd. (I)     240,444     39,623  
  Barrick Gold Corp.     14,100     104,346  
  Centerra Gold, Inc.     30,200     143,830  
  Chubu Steel Plate Company, Ltd.     8,500     37,191  
  CST Mining Group, Ltd. (I)     1,440,000     16,809  
  Eldorado Gold Corp.     36,404     108,120  
  G-Resources Group, Ltd.     4,227,000     100,360  
  Impala Platinum Holdings, Ltd. (I)     49,229     79,639  


        Shares     Value  
  Materials  (continued)        
  Metals and mining  (continued)  
  Ivanhoe Mines, Ltd., Class A (I)     109,000     $48,052  
  Kinross Gold Corp. (I)     75,897     138,133  
  Kyoei Steel, Ltd.     9,900     177,202  
  Lonmin PLC (I)     15,069     18,443  
  Maruichi Steel Tube, Ltd.     4,300     126,943  
  Neturen Company, Ltd.     11,800     92,305  
  Northern Dynasty Minerals, Ltd. (I)     16,000     4,857  
  NV Bekaert SA     5,662     174,465  
  Pacific Metals Company, Ltd. (I)     29,000     80,859  
  Resolute Mining, Ltd. (I)     361,784     65,923  
  Salzgitter AG     5,965     145,768  
  Tokyo Steel Manufacturing Company, Ltd.     25,700     159,559  
  Western Areas, Ltd.     46,516     75,362  
  Yamato Kogyo Company, Ltd.     7,600     193,785  
  Yodogawa Steel Works, Ltd.     5,400     108,291  
  Paper and forest products 0.4%  
  KapStone Paper and Packaging Corp.     18,800     424,692  
  Norbord, Inc.     25,996     506,318  
  Telecommunication services 4.6%     9,708,523  
  Diversified telecommunication services 3.7%  
  Hellenic Telecommunications Organization SA     21,297     213,141  
  KT Corp. (I)     12,791     306,514  
  Magyar Telekom Telecommunications PLC (I)     119,805     167,220  
  Nippon Telegraph & Telephone Corp.     88,612     3,526,590  
  Orange SA     19,424     324,880  
  Telefonica SA     26,116     289,729  
  Telenor ASA     74,533     1,242,358  
  Verizon Communications, Inc.     35,296     1,631,381  
  Wireless telecommunication services 0.9%  
  Mobistar SA (I)     9,759     236,642  
  NTT DOCOMO, Inc.     86,296     1,770,068  
  Utilities 4.9%     10,191,961  
  Electric utilities 1.9%  
  Edison International     16,424     972,465  
  Power Assets Holdings, Ltd.     222,168     2,036,736  
  Xcel Energy, Inc.     29,457     1,057,801  
  Gas utilities 0.6%  
  Gas Natural SDG SA     58,187     1,186,563  
  Independent power and renewable electricity producers 0.1%  
  NTPC, Ltd.     81,336     178,065  


        Shares     Value  
  Utilities  (continued)        
  Multi-utilities 2.3%  
  Centrica PLC     389,974     $1,252,196  
  Dominion Resources, Inc.     19,757     1,336,363  
  E.ON SE     15,563     149,436  
  Engie     18,391     325,764  
  National Grid PLC     62,489     861,822  
  PG&E Corp.     13,789     733,437  
  RWE AG     8,036     101,313  
  Preferred securities 0.0%     $102,907  
  (Cost $108,103)  
  Telecommunication services 0.0%     50,377  
  Telefonica Brasil SA     5,600     50,377  
  Utilities 0.0%     52,530  
  Cia Paranaense de Energia, B Shares     8,600     52,530  
        Rate (%)     Maturity date     Par value^     Value  
  Corporate bonds 13.9%     $29,332,015  
  (Cost $32,089,312)  
  Consumer discretionary 2.9%     6,107,985  
  Auto components 0.1%  
  ZF North America Capital, Inc. (S)     4.500     04-29-22           150,000     146,625  
  Automobiles 0.1%  
  General Motors Company     4.875     10-02-23           85,000     86,925  
  General Motors Company     6.250     10-02-43           65,000     68,584  
  Diversified consumer services 0.1%  
  Service Corp. International     7.625     10-01-18           125,000     139,531  
  Hotels, restaurants and leisure 0.3%  
  CEC Entertainment, Inc.     8.000     02-15-22           130,000     122,850  
  Cirsa Funding Luxembourg SA     5.875     05-15-23         EUR 100,000     102,970  
  Cirsa Funding Luxembourg SA (S)     5.875     05-15-23         EUR 115,000     118,415  
  NH Hotel Group SA (S)     6.875     11-15-19         EUR 235,000     280,516  
  Household durables 0.5%  
  Argos Merger Sub, Inc. (S)     7.125     03-15-23           205,000     203,258  
  DR Horton, Inc.     4.000     02-15-20           25,000     25,143  
  DR Horton, Inc.     4.375     09-15-22           80,000     79,500  
  DR Horton, Inc.     5.750     08-15-23           20,000     21,320  
  KB Home     7.000     12-15-21           375,000     369,844  
  Lennar Corp.     4.750     11-15-22           125,000     123,938  
  Lennar Corp.     4.875     12-15-23           40,000     39,800  
  M/I Homes, Inc. (S)     6.750     01-15-21           195,000     192,075  
  Toll Brothers Finance Corp.     4.875     11-15-25           45,000     44,213  


        Rate (%)     Maturity date     Par value^     Value  
  Consumer discretionary  (continued)        
  Internet and catalog retail 0.1%  
  Liberty Interactive LLC     8.250     02-01-30           155,000     $154,225  
  Media 1.4%  
  Altice Financing SA (S)     6.500     01-15-22         EUR 100,000     113,603  
  CCO Holdings LLC     5.125     02-15-23           5,000     5,006  
  CCO Holdings LLC     5.250     09-30-22           5,000     5,050  
  CCO Holdings LLC     5.750     09-01-23           35,000     35,875  
  CCO Holdings LLC     7.375     06-01-20           255,000     265,519  
  CCO Safari II LLC (S)     4.908     07-23-25           95,000     94,907  
  CCOH Safari LLC (S)     5.750     02-15-26           120,000     120,300  
  Cequel Communications Holdings I LLC (S)     5.125     12-15-21           285,000     256,500  
  Cequel Communications Holdings I LLC (S)     5.125     12-15-21           55,000     49,500  
  DISH DBS Corp.     6.750     06-01-21           170,000     171,275  
  DISH DBS Corp.     7.875     09-01-19           320,000     348,000  
  Gray Television, Inc.     7.500     10-01-20           75,000     77,063  
  Lin Television Corp.     5.875     11-15-22           35,000     34,825