Washington, D.C. 20549




Investment Company Act file number 811- 22441

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

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

Salvatore Schiavone


601 Congress Street

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

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

Date of fiscal year end: December 31
Date of reporting period: June 30, 2016







John Hancock

Hedged Equity & Income Fund

Ticker: HEQ
Semiannual report 6/30/16


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 at the fund level 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,

The past six months marked a volatile stretch for equity investors. In January, major U.S. equity indexes experienced corrections—declines of 10% or more—before going on to rebound in the spring. Turbulence soon returned, however, as Brexit, the U.K.'s vote in late June to leave the European Union (EU), created a challenging backdrop for financial markets. Investors embraced traditional safe-haven assets, including U.S. Treasuries and gold, but equities and currency markets worldwide experienced sharp short-term drops. The move creates a number of unknowns in the near term, the most important of which is whether other EU countries will follow suit, and may ultimately have a negative effect on Europe's economic recovery. Our network of asset managers and researchers expects that the European Central Bank and the Bank of England will likely expand their efforts to stimulate economic activity and that the U.K.'s decision may even delay the U.S. Federal Reserve's next interest-rate increase until December at the earliest, all of which should help support markets. In fact, the S&P 500 Index and Dow Jones Industrial Average both went on to hit all-time highs in mid-July as investors bought stocks on the Brexit dip.

While it's impossible to predict how markets will respond to global macroeconomic developments in the coming weeks and months, it is prudent to expect continued volatility. 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 to meet the needs of our fund shareholders. Whether the markets are up or down, your financial advisor can help ensure your portfolio is sufficiently diversified to meet your long-term objectives and to withstand the inevitable bumps along the way.

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 June 30, 2016. They are subject to change at any time. All investments entail risks, including the possible loss of principal. Diversification does not guarantee a profit or eliminate the risk of a loss. For more up-to-date information, you can visit our website at jhinvestments.com.

John Hancock
Hedged Equity & Income Fund

Table of contents

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


Your fund at a glance


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



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

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



Global stocks were generally flat to down

Global stocks were flat for the period, with aggressive policy actions by central banks offsetting periods of volatility due to global growth concerns and geopolitical uncertainty in Europe and the United Kingdom.

Defensive stocks paced relative results

The fund outperformed its comparative index, the MSCI All Country World Index, owing primarily to stock selection in the more defensive telecommunication services, consumer staples, and healthcare sectors.

The fund's high-yield exposure helped

Allocation to global high-yield bonds, which provide a source of income, 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 or a premium to the fund's net asset value (NAV). In addition to the impact of market movements, if a shareholder purchases shares at a time when the market price is at a premium to the NAV or sells shares at a time when the market price is at a discount to the NAV, the shareholder may sustain losses. 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 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. Hedging, derivatives, and other strategic transactions may increase a fund's volatility and could produce disproportionate losses, potentially more than the fund's principal investment. Liquidity—the extent (if at all) to which a security may be sold or a derivative position closed without negatively affecting its market value—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. Investments in higher-yielding, lower-rated securities include a higher risk of default. The primary risks associated with the use of futures contracts and options are imperfect correlation, unanticipated market movement, and counterparty risk.


Discussion of fund performance

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


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

What factors affected global markets over the past six months?

Global equities, as measured by the fund's comparative index, the MSCI All Country World Index, gained only 1.58% for the first half of 2016 as the rally in risk assets stalled. The year got off to a volatile start as Chinese stocks plunged in early January, sparking a global risk-off trade. Along with ongoing worries about a hard landing in China, fears that yuan weakness could unleash a wave of global deflationary pressure resurfaced. Once again, monetary policy accommodation by major central banks in Japan, China, and the European Union (EU) helped support risk assets.

The volatility in the market continued into the second quarter of 2016, capped by Brexit, the vote of the U.K. electorate to leave the EU. While the short-term uncertainty about the outcome of the vote is now behind us, we are entering a new period of ambiguity regarding the implementation of the outcome, which may heighten near-term volatility. Overshadowed by the Brexit vote were a promising European economic backdrop and the European Central Bank's reaffirmation of its low interest-rate policy stance. In the United States, solid economic data helped investors shrug off the U.S. Federal Reserve's ramped-up rhetoric hinting at raising rates during May. Market participants were also encouraged by improving signs from China's economic data releases and Beijing's increased emphasis on currency stability.

During the six-month period, U.S. equities outperformed non-U.S. equities and emerging-market equities outperformed their developed market counterparts. Within the fund's comparative index, seven out of ten sectors posted positive returns. Energy, utilities, and telecommunication services gained the most, while the financials, consumer discretionary, and healthcare sectors declined.

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 net asset value, primarily due to its allocation to high-yield bonds and strong stock selection in the equity strategy. The fund's option overlay and beta hedge—a


"During the six-month period, U.S. equities outperformed non-U.S. equities and emerging-market equities outperformed their developed market counterparts."
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—detracted from relative performance as the S&P 500 Index advanced during the period.

Allocation among sectors, a result of the fund's bottom-up stock selection process, contributed to relative results, most notably due to an underweight in the consumer discretionary sector and overweight exposure to the utilities, energy, and telecommunication services sectors. Stock selection also aided relative performance, particularly within the defensive telecommunication services, consumer staples, and healthcare sectors. These results were partially offset by weaker selection within financials and consumer discretionary stocks.

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

Top contributors to the fund's relative performance during the period included U.K.-based British American Tobacco PLC, which benefited from pricing power and investor preference for dividend-paying securities. Japan-based telecommunication services companies Nippon Telegraph &




"While Brexit and its impact will persist for some time, we believe the direct impact can be contained to the United Kingdom and Europe."
Telephone Corp. and wireless carrier NTT DOCOMO, Inc., were boosted by subscriber and profit growth at DOCOMO, which is majority owned by Nippon.

Which positions detracted the most from results?

Primary detractors from relative performance included the fund's holdings in U.S.-based The PNC Financial Services Group, Inc. and Japan-based bank Mitsubishi UFJ Financial Group, Inc., which were pressured by the impact of low interest rates on lending margins and capital markets volatility. British homebuilder Persimmon PLC was also among the top detractors.

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 utilities, financials, and telecommunication services, while underweight in the consumer discretionary, consumer staples, and information technology sectors. From a regional standpoint, the fund had overweight exposure to Europe (including the United Kingdom) and Japan, while being underweight to most emerging markets and North America. As always, we remain vigilant about downside risk and believe that the portfolio's strategy, which seeks to participate in rising markets and manage downside risk while providing income, has the potential to perform well in multiple market environments.

While Brexit and its impact will persist for some time, we believe the direct impact can be contained

TOP 10 HOLDINGS AS OF 6/30/16 (%)

British American Tobacco PLC 2.7
Merck & Company, Inc. 2.4
Microsoft Corp. 2.2
Chevron Corp. 1.6
Intel Corp. 1.5
Bristol-Myers Squibb Company 1.5
The PNC Financial Services Group, Inc. 1.5
Cisco Systems, Inc. 1.5
JPMorgan Chase & Co. 1.5
Eaton Corp. PLC 1.3
TOTAL 17.7
As a percentage of net assets.
Cash and cash equivalents are not included.


to the United Kingdom and Europe. While our team sees the potential for a U.K. recession in 2017 and slightly weaker growth for Europe, we maintain a low but positive global growth outlook. We continue to believe that the United States will show improving but uninspiring growth for the second half of the year with expected improvement in investment and capital expenditures as activity levels normalize. We believe that the U.S. consumer remains healthy and the drag from the stronger U.S. dollar will become less of a headwind on a year-over-year basis.


 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 52.1
Japan 9.4
United Kingdom 8.2
Switzerland 4.0
France 3.7
Germany 3.2
Canada 2.9
Luxembourg 2.6
Netherlands 2.1
Italy 1.7
Other countries 10.1
TOTAL 100.0
As a percentage of net assets.  

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

Fund's investments


  As of 6-30-16 (unaudited)  
        Shares     Value  
  Common stocks 81.3%     $163,833,542  
  (Cost $167,063,239)  
  Consumer discretionary 4.6%     9,243,030  
  Auto components 0.7%  
  Aisan Industry Company, Ltd.     15,600     100,940  
  Exedy Corp.     8,200     175,559  
  Keihin Corp.     14,200     219,104  
  Nissin Kogyo Company, Ltd.     13,200     169,066  
  NOK Corp.     12,800     217,672  
  Sumitomo Riko Company, Ltd.     14,500     116,180  
  Tokai Rika Company, Ltd.     12,800     189,074  
  Toyoda Gosei Company, Ltd.     11,200     199,464  
  Automobiles 0.4%  
  Honda Motor Company, Ltd.     16,800     421,398  
  Mitsubishi Motors Corp.     33,800     156,032  
  Peugeot SA (I)     3,952     47,369  
  Renault SA     1,812     136,801  
  Diversified consumer services 0.1%  
  Allstar Co-Invest LLC (I)(R)     236,300     137,054  
  Benesse Holdings, Inc.     3,800     89,208  
  Hotels, restaurants and leisure 0.1%  
  Hilton Worldwide Holdings, Inc.     12,005     270,473  
  Household durables 1.2%  
  Alpine Electronics, Inc.     14,700     144,063  
  Funai Electric Company, Ltd.     17,863     157,420  
  Newell Brands, Inc.     7,507     364,615  
  Nikon Corp.     18,200     246,425  
  Persimmon PLC     50,594     981,103  
  Pioneer Corp. (I)     65,000     114,118  
  PulteGroup, Inc.     27,220     530,518  
  Internet and catalog retail 0.1%  
  Home Retail Group PLC     54,185     110,962  
  Qliro Group AB (I)     49,556     54,871  
  Media 0.9%  
  Avex Group Holdings, Inc.     7,000     79,231  
  Gendai Agency, Inc.     5,200     25,043  
  Metropole Television SA     6,630     110,230  
  Proto Corp.     3,000     34,901  
  SES SA     70,029     1,499,148  
  Multiline retail 0.2%  
  Dollar General Corp.     3,490     328,060  


        Shares     Value  
  Consumer discretionary  (continued)        
  Multiline retail  (continued)  
  New World Department Store China, Ltd. (I)     343,000     $44,896  
  Specialty retail 0.8%  
  Honeys Company, Ltd.     9,830     107,622  
  Nishimatsuya Chain Company, Ltd.     4,700     66,653  
  Pal Company, Ltd.     4,500     106,095  
  The Home Depot, Inc.     9,528     1,216,630  
  Xebio Holdings Company, Ltd.     9,200     130,066  
  Textiles, apparel and luxury goods 0.1%  
  Daphne International Holdings, Ltd. (I)     506,000     77,241  
  Sanyo Shokai, Ltd.     36,000     67,725  
  Consumer staples 5.5%     11,187,122  
  Beverages 1.3%  
  PepsiCo, Inc.     12,729     1,348,510  
  The Coca-Cola Company     26,409     1,197,120  
  Food and staples retailing 0.3%  
  Cawachi, Ltd.     4,700     112,222  
  J Sainsbury PLC     72,935     227,206  
  METRO AG     7,785     239,436  
  Food products 0.8%  
  Ebro Foods SA     13,769     316,936  
  Ingredion, Inc.     6,018     778,789  
  Pinnacle Foods, Inc.     10,146     469,658  
  Suedzucker AG     6,908     152,152  
  Household products 0.3%  
  The Procter & Gamble Company     7,610     644,339  
  Personal products 0.1%  
  Oriflame Holding AG (I)     8,135     207,468  
  Tobacco 2.7%  
  British American Tobacco PLC     84,735     5,493,286  
  Energy 7.5%     15,169,621  
  Energy equipment and services 0.1%  
  Ensco PLC, Class A     14,177     137,659  
  Oil, gas and consumable fuels 7.4%  
  BP PLC     146,481     857,428  
  Canadian Natural Resources, Ltd.     6,659     205,297  
  Chevron Corp. (C)     30,346     3,181,171  
  Encana Corp.     9,900     77,011  
  Eni SpA     31,930     514,302  
  Gazprom PJSC, ADR     63,011     272,838  
  Harum Energy Tbk PT (I)     450,400     28,021  


        Shares     Value  
  Energy  (continued)        
  Oil, gas and consumable fuels  (continued)  
  Indo Tambangraya Megah Tbk PT     96,400     $68,923  
  Inpex Corp.     19,300     150,938  
  Japan Petroleum Exploration Company, Ltd.     8,000     161,256  
  Lukoil PJSC, ADR     7,320     306,356  
  Marathon Oil Corp.     70,522     1,058,535  
  Occidental Petroleum Corp.     17,176     1,297,819  
  Painted Pony Petroleum, Ltd. (I)     12,700     74,512  
  Petro Rio SA (I)     586     2,499  
  Petroleo Brasileiro SA, ADR (I)     27,443     196,492  
  PrairieSky Royalty, Ltd.     173     3,283  
  Royal Dutch Shell PLC, B Shares     79,747     2,203,296  
  Statoil ASA     8,657     149,580  
  Suncor Energy, Inc.     66,349     1,839,858  
  TOTAL SA     40,343     1,934,688  
  TransCanada Corp.     9,904     447,859  
  Financials 18.5%     37,392,921  
  Banks 7.2%  
  Allahabad Bank     61,017     62,888  
  Alpha Bank AE (I)     29,314     54,927  
  Banca Popolare dell'Emilia Romagna SC     43,910     161,212  
  Banco Popular Espanol SA     145,210     188,709  
  BNP Paribas SA     8,496     372,596  
  CaixaBank SA     70,406     155,173  
  Canara Bank     27,195     88,246  
  China Construction Bank Corp., H Shares     1,496,218     997,436  
  Corp. Bank (I)     60,024     36,451  
  Dah Sing Financial Holdings, Ltd.     15,200     93,936  
  HSBC Holdings PLC     106,829     661,864  
  ING Groep NV     28,523     295,096  
  JPMorgan Chase & Co. (C)     48,060     2,986,448  
  KB Financial Group, Inc.     8,181     232,634  
  M&T Bank Corp.     3,730     440,998  
  Mitsubishi UFJ Financial Group, Inc.     92,749     415,780  
  Mizuho Financial Group, Inc.     207,300     298,317  
  Nordea Bank AB     129,380     1,097,613  
  Sberbank of Russia PJSC, ADR     14,300     124,839  
  Shinhan Financial Group Company, Ltd.     4,297     141,238  
  Societe Generale SA     9,959     311,576  
  Standard Chartered PLC     40,311     305,838  
  Sumitomo Mitsui Financial Group, Inc.     12,900     372,488  
  The Eighteenth Bank, Ltd.     10,000     24,429  
  The Oita Bank, Ltd.     15,000     43,263  


        Shares     Value  
  Financials  (continued)        
  Banks  (continued)  
  The PNC Financial Services Group, Inc.     37,322     $3,037,638  
  The Tochigi Bank, Ltd.     16,000     55,288  
  The Yamanashi Chuo Bank, Ltd.     16,000     56,366  
  UniCredit SpA     63,541     139,743  
  Wells Fargo & Company (C)     27,927     1,321,785  
  Capital markets 1.8%  
  Banca Generali SpA     55,005     1,102,490  
  BlackRock, Inc. (C)     5,802     1,987,359  
  Julius Baer Group, Ltd. (I)     3,845     154,755  
  UBS Group AG     30,177     391,564  
  Uranium Participation Corp. (I)     29,800     92,956  
  Diversified financial services 0.8%  
  Intercontinental Exchange, Inc. (C)     4,455     1,140,302  
  MSCI, Inc.     5,987     461,717  
  Insurance 6.2%  
  Ageas     9,074     315,406  
  Assicurazioni Generali SpA     84,385     995,100  
  Chubb, Ltd.     11,889     1,554,011  
  CNO Financial Group, Inc.     20,363     355,538  
  Coface SA (I)     18,620     125,963  
  Delta Lloyd NV     147,652     518,803  
  FNF Group     19,853     744,488  
  Marsh & McLennan Companies, Inc.     16,040     1,098,098  
  MetLife, Inc.     46,528     1,853,210  
  Storebrand ASA (I)     53,105     201,450  
  T&D Holdings, Inc.     37,400     317,602  
  The Dai-ichi Life Insurance Company, Ltd.     18,900     211,574  
  Tongyang Life Insurance Company, Ltd.     9,537     84,315  
  Torchmark Corp.     2,948     182,245  
  Willis Towers Watson PLC     9,834     1,222,465  
  XL Group PLC     6,983     232,604  
  Zurich Insurance Group AG (I)     10,226     2,529,735  
  Real estate investment trusts 1.0%  
  ICADE     13,290     933,893  
  STORE Capital Corp.     11,420     336,319  
  Weyerhaeuser Company     23,711     705,876  
  Real estate management and development 1.5%  
  Castellum AB     60,449     859,460  
  Sumitomo Real Estate Sales Company, Ltd.     5,400     106,163  
  Vonovia SE     54,846     2,002,645  


        Shares     Value  
  Health care 9.6%     $19,354,296  
  Biotechnology 0.1%  
  Sinovac Biotech, Ltd. (I)     21,350     126,606  
  Health care equipment and supplies 0.3%  
  Baxter International, Inc.     7,192     325,222  
  Zimmer Biomet Holdings, Inc.     1,974     237,630  
  Health care providers and services 0.4%  
  AmerisourceBergen Corp.     3,672     291,263  
  Quest Diagnostics, Inc.     6,581     535,759  
  Suzuken Company, Ltd.     990     31,161  
  Health care technology 0.0%  
  AGFA-Gevaert NV (I)     27,196     88,286  
  Life sciences tools and services 0.1%  
  CMIC Holdings Company, Ltd.     6,200     95,957  
  Pharmaceuticals 8.7%  
  Almirall SA     10,263     154,306  
  AstraZeneca PLC     44,274     2,646,853  
  Bristol-Myers Squibb Company     41,374     3,043,058  
  Eisai Company, Ltd.     28,546     1,593,897  
  H Lundbeck A/S (I)     6,413     240,406  
  Johnson & Johnson     13,517     1,639,612  
  Merck & Company, Inc. (C)     85,584     4,930,494  
  Ono Pharmaceutical Company, Ltd.     5,600     243,942  
  Roche Holding AG     9,494     2,505,275  
  Takeda Pharmaceutical Company, Ltd.     9,500     409,718  
  Zoetis, Inc.     4,527     214,851  
  Industrials 8.8%     17,657,148  
  Aerospace and defense 0.6%  
  Honeywell International, Inc.     8,584     998,491  
  Thales SA     2,466     204,787  
  Air freight and logistics 0.7%  
  Deutsche Post AG     37,446     1,054,947  
  PostNL NV (I)     83,878     342,161  
  Airlines 0.2%  
  American Airlines Group, Inc.     5,576     157,857  
  Deutsche Lufthansa AG     22,908     269,341  
  Building products 0.3%  
  Cie de Saint-Gobain     9,812     371,930  
  Fortune Brands Home & Security, Inc.     3,046     176,577  
  Commercial services and supplies 0.0%  
  Relia, Inc.     6,600     69,020  


        Shares     Value  
  Industrials  (continued)        
  Construction and engineering 0.1%  
  Raubex Group, Ltd.     56,566     $74,286  
  Toyo Engineering Corp.     63,000     209,158  
  Electrical equipment 2.1%  
  Eaton Corp. PLC     44,694     2,669,573  
  Schneider Electric SE     22,176     1,293,762  
  Ushio, Inc.     12,200     143,333  
  Zumtobel Group AG     10,716     130,437  
  Industrial conglomerates 1.3%  
  3M Company     7,127     1,248,080  
  Koninklijke Philips NV     7,327     181,975  
  Rheinmetall AG     4,015     238,807  
  Siemens AG     9,301     954,479  
  Machinery 1.1%  
  Caterpillar, Inc.     14,747     1,117,970  
  Deere & Company     4,526     366,787  
  Hisaka Works, Ltd.     8,900     73,433  
  Sumitomo Heavy Industries, Ltd.     42,000     184,502  
  The Japan Steel Works, Ltd.     52,000     237,684  
  Toshiba Machine Company, Ltd.     48,000     145,195  
  Marine 0.1%  
  D/S Norden A/S (I)     7,728     107,905  
  Pacific Basin Shipping, Ltd. (I)     988,000     93,506  
  Professional services 0.2%  
  Adecco Group AG     3,464     174,717  
  en-japan, Inc.     7,000     130,040  
  Hays PLC     123,178     160,944  
  Road and rail 0.8%  
  Kansas City Southern     4,948     445,765  
  Union Pacific Corp.     12,398     1,081,726  
  Trading companies and distributors 0.3%  
  Kuroda Electric Company, Ltd.     9,100     156,302  
  Rexel SA     16,723     210,248  
  SIG PLC     108,010     162,116  
  Transportation infrastructure 1.0%  
  Hamburger Hafen und Logistik AG     5,362     80,261  
  Jiangsu Expressway Company, Ltd., H Shares     1,388,519     1,939,046  
  Information technology 11.0%     22,079,748  
  Communications equipment 1.5%  
  Cisco Systems, Inc. (C)     105,756     3,034,140  


        Shares     Value  
  Information technology  (continued)        
  Electronic equipment, instruments and components 0.4%  
  Avnet, Inc.     6,764     $274,010  
  Hosiden Corp.     26,200     162,890  
  Kingboard Laminates Holdings, Ltd.     248,000     152,927  
  Mitsumi Electric Company, Ltd. (I)     7,200     29,042  
  Nichicon Corp.     24,600     159,848  
  Internet software and services 0.2%  
  DeNa Company, Ltd.     10,500     245,632  
  Dropbox, Inc., Class B (I)(R)     7,248     76,684  
  Gree, Inc.     30,400     172,296  
  IT services 0.9%  
  Alten SA     1,343     78,835  
  Amdocs, Ltd.     5,811     335,411  
  Booz Allen Hamilton Holding Corp.     13,579     402,482  
  Devoteam SA     1,081     51,360  
  Fujitsu, Ltd.     107,000     393,473  
  Itochu Techno-Solutions Corp.     6,200     133,568  
  NET One Systems Company, Ltd.     25,800     148,612  
  Sopra Steria Group     1,712     176,461  
  Semiconductors and semiconductor equipment 4.4%  
  Intel Corp.     95,243     3,123,970  
  Kontron AG (I)     14,745     45,838  
  Lam Research Corp.     4,272     359,104  
  Maxim Integrated Products, Inc. (C)     54,984     1,962,379  
  Mimasu Semiconductor Industry Company, Ltd.     7,500     70,452  
  Miraial Company, Ltd.     6,500     45,418  
  QUALCOMM, Inc.     37,898     2,030,196  
  Rohm Company, Ltd.     5,900     232,873  
  Shinkawa, Ltd. (I)     14,900     66,713  
  Shinko Electric Industries Company, Ltd.     31,500     154,289  
  Skyworks Solutions, Inc.     3,181     201,294  
  STMicroelectronics NV     43,177     253,562  
  Tokyo Seimitsu Company, Ltd.     10,100     235,200  
  Software 2.6%  
  Alpha Systems, Inc.     1,700     27,166  
  Microsoft Corp.     85,210     4,360,196  
  Nintendo Company, Ltd.     1,600     229,919  
  SS&C Technologies Holdings, Inc.     23,285     653,843  
  Technology hardware, storage and peripherals 1.0%  
  Canon, Inc.     11,500     328,327  
  Catcher Technology Company, Ltd.     138,000     1,028,953  
  Compal Electronics, Inc.     368,000     232,799  
  Japan Digital Laboratory Company, Ltd.     6,200     84,310  


        Shares     Value  
  Information technology  (continued)        
  Technology hardware, storage and peripherals  (continued)  
  Melco Holdings, Inc.     6,200     $127,068  
  Western Digital Corp.     4,194     198,208  
  Materials 4.9%     9,850,723  
  Chemicals 1.7%  
  Agrium, Inc. (Toronto Stock Exchange)     2,736     247,541  
  Agrium, Inc.     12,430     1,123,921  
  Fujimi, Inc.     4,300     63,159  
  Hitachi Chemical Company, Ltd.     8,000     149,411  
  JSR Corp.     21,900     290,024  
  Methanex Corp.     5,569     162,058  
  Mitsui Chemicals, Inc.     30,000     110,243  
  Nitto Denko Corp.     2,500     158,585  
  Sumitomo Bakelite Company, Ltd.     32,000     148,421  
  The Dow Chemical Company     18,700     929,577  
  Construction materials 0.4%  
  Buzzi Unicem SpA     12,484     218,770  
  LafargeHolcim, Ltd. (I)     8,712     364,489  
  Vicat SA     2,631     148,164  
  Containers and packaging 1.4%  
  AMVIG Holdings, Ltd.     222,000     87,537  
  Graphic Packaging Holding Company     17,345     217,506  
  International Paper Company     56,967     2,414,261  
  Packaging Corp. of America     2,955     197,778  
  Metals and mining 1.4%  
  Aichi Steel Corp.     11,000     48,824  
  Anglo American Platinum, Ltd. (I)     6,611     165,277  
  Anglo American PLC     22,205     217,659  
  Barrick Gold Corp.     11,000     234,823  
  Centerra Gold, Inc.     29,200     174,032  
  Chubu Steel Plate Company, Ltd.     8,500     41,044  
  Eldorado Gold Corp.     47,754     214,893  
  G-Resources Group, Ltd.     4,086,000     78,290  
  Impala Platinum Holdings, Ltd. (I)     47,583     153,309  
  Ivanhoe Mines, Ltd., Class A (I)     105,500     82,476  
  Kinross Gold Corp. (I)     37,186     181,840  
  Kyoei Steel, Ltd.     10,900     165,822  
  Lonmin PLC (I)     15,069     38,669  
  NetMind Financial Holdings, Ltd. (I)     1,440,000     15,591  
  Neturen Company, Ltd.     11,400     80,246  
  Northern Dynasty Minerals, Ltd. (I)     16,000     4,954  
  Pacific Metals Company, Ltd. (I)     40,000     109,069  
  Resolute Mining, Ltd. (I)     164,524     158,635  


        Shares     Value  
  Materials  (continued)        
  Metals and mining  (continued)  
  Salzgitter AG     5,766     $152,454  
  Tokyo Steel Manufacturing Company, Ltd.     24,800     135,940  
  Western Areas, Ltd.     61,179     99,911  
  Yamato Kogyo Company, Ltd.     7,400     167,969  
  Yodogawa Steel Works, Ltd.     4,000     97,551  
  Telecommunication services 5.3%     10,601,440  
  Diversified telecommunication services 3.4%  
  Hellenic Telecommunications Organization SA     23,494     214,657  
  KT Corp.     12,495     322,709  
  Magyar Telekom Telecommunications PLC     115,799     181,619  
  Nippon Telegraph & Telephone Corp.     55,812     2,617,297  
  Telefonica SA     25,512     242,206  
  Telenor ASA     72,482     1,199,795  
  Verizon Communications, Inc.     35,863     2,002,590  
  Wireless telecommunication services 1.9%  
  Millicom International Cellular SA     25,943     1,591,326  
  NTT DOCOMO, Inc.     76,496     2,062,985  
  Orange Belgium SA (I)     7,192     166,256  
  Utilities 5.6%     11,297,493  
  Electric utilities 2.3%  
  Edison International     15,972     1,240,545  
  NextEra Energy, Inc.     11,150     1,453,960  
  PG&E Corp.     7,718     493,335  
  Power Assets Holdings, Ltd.     162,713     1,496,068  
  Gas utilities 0.7%  
  Gas Natural SDG SA     65,195     1,295,921  
  UGI Corp.     4,150     187,788  
  Independent power and renewable electricity producers 0.1%  
  NTPC, Ltd.     78,616     181,698  
  Multi-utilities 2.5%  
  Centrica PLC     379,242     1,146,824  
  Dominion Resources, Inc.     21,005     1,636,920  
  E.ON SE     80,926     816,933  
  Engie SA     17,965     288,458  
  National Grid PLC     60,769     893,628  
  RWE AG (I)     10,387     165,415  
  Preferred securities 0.1%     $298,877  
  (Cost $190,884)  
  Telecommunication services 0.0%     134,234  
  Telefonica Brasil SA     9,800     134,234  


        Shares     Value  
  Utilities 0.1%     $164,643  
  Cia Paranaense de Energia, B Shares     18,100     164,643  
        Rate (%)     Maturity date     Par value^     Value  
  Corporate bonds 15.0%     $30,242,550  
  (Cost $31,310,126)  
  Consumer discretionary 2.9%     5,861,801  
  Auto components 0.1%  
  ZF North America Capital, Inc. (S)     4.500     04-29-22           150,000     152,063  
  Automobiles 0.0%  
  General Motors Company     6.250     10-02-43           65,000     72,248  
  Distributors 0.0%  
  HD Supply, Inc. (S)     5.750     04-15-24           30,000     31,200  
  Diversified consumer services 0.0%  
  APX Group, Inc. (S)     7.875     12-01-22           100,000     100,750  
  Hotels, restaurants and leisure 0.4%  
  Boyd Gaming Corp. (S)     6.375     04-01-26           85,000     88,825  
  CEC Entertainment, Inc.     8.000     02-15-22           190,000     184,538  
  Cirsa Funding Luxembourg SA (S)     5.875     05-15-23         EUR 215,000     239,712  
  GLP Capital LP     4.375     04-15-21           5,000     5,150  
  GLP Capital LP     5.375     04-15-26           105,000     108,675  
  NH Hotel Group SA (S)     6.875     11-15-19         EUR 130,000     156,062  
  Pinnacle Entertainment, Inc. (S)     5.625     05-01-24           45,000     44,888  
  Household durables 0.3%  
  KB Home     7.000     12-15-21           375,000     376,875  
  M/I Homes, Inc.     6.750     01-15-21           195,000     194,025  
  Internet and catalog retail 0.2%  
  Liberty Interactive LLC     8.250     02-01-30           250,000     259,375  
  Netflix, Inc.     5.875     02-15-25           95,000     99,631  
  Media 1.4%  
  Altice Financing SA (S)     6.500     01-15-22         EUR 100,000     116,318  
  CCO Holdings LLC     5.125     02-15-23           5,000     5,063  
  CCO Holdings LLC     5.250     09-30-22           5,000     5,131  
  CCO Holdings LLC     5.750     09-01-23           35,000     36,050  
  CCO Holdings LLC (S)     5.750     02-15-26           120,000     123,600  
  CCO Holdings LLC (S)     5.875     04-01-24           20,000     20,850  
  Cequel Communications Holdings I LLC (S)     5.125     12-15-21           360,000     342,138  
  Charter Communications Operating LLC (S)     4.908     07-23-25           95,000     103,540  
  DISH DBS Corp.     6.750     06-01-21           170,000     176,163  
  DISH DBS Corp.     7.875     09-01-19           320,000     352,800  
  Gray Television, Inc. (S)     5.875     07-15-26           15,000     15,113  
  Gray Television, Inc.     7.500     10-01-20           75,000     78,188  
  Lamar Media Corp. (S)     5.750     02-01-26           15,000     15,609  
  Neptune Finco Corp. (S)     10.875     10-15-25           200,000     229,000  


        Rate (%)     Maturity date     Par value^     Value  
  Consumer discretionary  (continued)        
  Media  (continued)  
  Sinclair Television Group, Inc. (S)     5.875     03-15-26           75,000     $76,500  
  TEGNA, Inc. (S)     4.875     09-15-21           115,000     117,875  
  TEGNA, Inc.     5.125     10-15-19           310,000     318,913  
  TEGNA, Inc. (S)     5.500     09-15-24           20,000     20,600  
  TEGNA, Inc.     6.375     10-15-23           55,000     58,438  
  Tribune Media Company     5.875     07-15-22           295,000     293,525  
  Unitymedia Hessen GmbH & Company KG     5.500     09-15-22         EUR 210,600     245,972  
  Specialty retail 0.5%  
  Chinos Intermediate Holdings A, Inc., PIK (S)     7.750     05-01-19           135,525     46,079  
  Dufry Finance SCA (S)