JOHN HANCOCK Funds II€¦ · resolved. As the period ended, markets declined again on trade...

8.31.19

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this onewill no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary. Instead, the reports will be madeavailable on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you do not need to take any action.

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JOHN HANCOCK

Funds IIAnnual Report

Manager’s commentary and fund performance (See below for each fund’s page #) ..............................................................3Shareholder expense example ....................................................................................................................................................................23Portfolio of investments (See below for each fund’s page #) ...........................................................................................................25Statements of assets and liabilities........................................................................................................................................................128Statements of operations............................................................................................................................................................................133Statements of changes in net assets .....................................................................................................................................................138Financial highlights.........................................................................................................................................................................................144Notes to financial statements ...................................................................................................................................................................149Report of independent registered public accounting firm .........................................................................................................176Federal tax information ...............................................................................................................................................................................177Evaluation of advisory and subadvisory agreements by the Board of Trustees ............................................................178Appendix A .......................................................................................................................................................................................................182Trustees and officers information ...........................................................................................................................................................187For more information ....................................................................................................................................................................................191

FundManager’s commentary and

fund performancePortfolio of

investments

Capital Appreciation Fund .......................................4 ....................25Capital Appreciation Value Fund .............................5 ....................26Health Sciences Fund ...............................................6 ....................32International Growth Stock Fund ............................7 ....................34International Small Cap Fund ..................................8 ....................35International Strategic Equity Allocation Fund ........9 ....................36International Value Fund ........................................10 ....................53Mid Cap Stock Fund ..............................................11 ....................55Mid Value Fund ......................................................12 ....................56Multi-Index Lifestyle Aggressive Portfolio ..............13 ....................58

FundManager’s commentary and

fund performancePortfolio of

investments

Multi-Index Lifestyle Balanced Portfolio .................14 ....................59Multi-Index Lifestyle Conservative Portfolio ..........15 ....................59Multi-Index Lifestyle Growth Portfolio ...................16 ....................60Multi-Index Lifestyle Moderate Portfolio ...............17 ....................61Real Estate Securities Fund ....................................18 ....................61Science & Technology Fund ...................................19 ....................62Small Company Value Fund ...................................20 ....................63Strategic Equity Allocation Fund ............................21 ....................66U.S. Strategic Equity Allocation Fund ....................22 ..................104

John Hancock Funds IIAnnual report — table of contents

2

Fund performance

In the following pages we have set forth information regarding

the performance of certain funds of John Hancock Funds II

(the Trust). There are several ways to evaluate a fund’s historical

performance. One can look at the total percentage change in

value, the average annual percentage change, or the growth of

a hypothetical $10,000 investment. With respect to all perfor-

mance information presented, it is important to understand

that past performance does not guarantee future results. Return

and principal fluctuate, and shares, when redeemed, may be

worth more or less than their original cost.

Performance tables

The performance tables show two types of total return informa-

tion: cumulative and average annual total returns. A cumulative

total return is an expression of a fund’s total change in share

value in percentage terms over a set period of time—one, five,

and ten years (or since the fund’s inception if less than the

applicable period). An average annual total return takes the

fund’s cumulative total return for a time period greater than

one year and shows what would have happened if the fund

had performed at a constant rate each year. The tables show all

cumulative and average annual total returns, net of fees and

expenses of the Trust, but do not reflect the expenses of any

insurance company separate accounts (including a possible

contingent deferred sales charge) that may invest in the funds,

as applicable. If these were included, performance would

be lower.

Graph—Change in value of $10,000 investment and

comparative indexes

The performance graph for each fund (or portfolio), shows the

change in value of a $10,000 investment over the life or ten-

year period of each fund (or portfolio) whichever is shorter.

Each fund’s (or portfolio’s) performance is compared with the

performance of one or more broad-based securities indexes as a

“benchmark.” All performance information includes the rein-

vestment of dividends and capital gain distributions, as well

as the deduction of ongoing management fees and fund (or

portfolio) operating expenses. The benchmarks used for com-

parison are unmanaged and include reinvestment of dividends

and capital gains distributions, if any, but do not reflect any

fees or expenses. Funds (or portfolios), that invest in multiple

asset classes are compared with a customized benchmark. This

benchmark comprises a set percentage allocation from each of

the asset classes in which the fund invests.

Portfolio manager’s commentary

Finally, we have provided a commentary by each portfolio

manager regarding each fund’s (or portfolio’s) performance dur-

ing the period ended August 31, 2019. The views expressed

are those of the portfolio managers as of August 31, 2019, and

are subject to change based on market and other conditions.

Information about a fund’s (or portfolio’s) holdings, asset alloca-

tion, or country diversification is historical and is no indication

of future fund composition, which will vary. Information pro-

vided in this report should not be considered a recommenda-

tion to purchase or sell securities. The funds (or portfolios) are

not insured by the Federal Deposit Insurance Corp., are not

deposits or other obligations of, or guaranteed by, banks, and

are subject to investment risks, including loss of principal

amount invested. For a more detailed discussion of the risks

associated with the funds (or portfolios), see the

funds’ prospectuses.

Standard & Poor’s, Standard & Poor’s 500, “S&P 500,” and “S&P MidCap 400 Index” are trademarks of S&P Global, Inc. “Russell 1000,” “Russell 2000,”“Russell 3000,” and “Russell Midcap” are trademarks of Frank Russell Company. “EAFE” and “MSCI” are trademarks of MSCI, Inc. “Bloomberg Barclays” is aregistered trademark of Bloomberg LP. “Lipper” is a registered trademark of Reuters S.A. None of the funds in the Trust is sponsored, endorsed, managed,advised, sold, or promoted by any of these companies, and none of these companies makes any representation regarding the advisability of investing inthe Trust.

John Hancock Funds IIManager’s commentary and fund performance

3

INVESTMENT OBJECTIVE & POLICIES c The fund seeks long-term growth of capital. Undernormal market conditions, the fund invests at least 65% of the fund’s total assets in equity andequity-related securities of companies that, at the time of investment, exceed $1 billion in marketcapitalization and that the subadvisor believes to have above-average growth prospects.

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEX

PORTFOLIO MANAGERS’ COMMENTARY

Performance c For the year ended August 31,2019, the Capital Appreciation Fund Class NAVshares returned 0.89% and the Russell 1000Growth Index returned 4.27%.

Environment c Markets were volatile in theperiod. Initially, global GDP growth was accelerat-ing, the labor market was continuing tostrengthen, and lower US corporate tax rateswere helping to boost wages and capital spend-ing. A sell-off at the end of 2018 reflectedinvestor concerns about the risk of a trade warwith China, the pace of US growth, deceleratingexpansion in non-US economies, US interest rateincreases, US trade alliances with other tradingpartners, and discord about domestic policy. USequity markets subsequently rebounded as theFederal Reserve signaled a pause in interest ratehikes, corporate earnings indicated strength, andsentiment grew that trade friction would beresolved. As the period ended, markets declinedagain on trade friction escalation.

Communication services holdings hurt perfor-mance. Netflix, Inc. continues to raise its long-term competitive barriers with investments inexclusive and original content. The company’s

domestic subscriber base decreased, marginally,in the second quarter, and international net sub-scriber additions reverted to 2016 levels. Givenits still-low global penetration, Netflix still hassignificant room for growth. We eliminated theposition in Activision Blizzard, Inc., the world’sleading video game publisher, on slowing rev-enue growth.

Consumer discretionary holdings detractedfrom performance despite strength in ChipotleMexican Grill, Inc., whose new managementteam is improving sales through new products,better marketing, mobile/digital efforts, anddelivery, and Lululemon Athletica, Inc., wherenew products, integrated marketing, and onlinesales momentum are driving strong customertraffic, sales conversion, and comparable storesales. Tesla, Inc.’s decline was tied to ongoingcontroversy surrounding CEO Elon Musk andconcerns about vehicle production volume.

Within information technology, NVIDIA Corp.detracted from performance. The company fellon gaming graphics microchip inventory issuesand worries that trade discord could disrupttechnology markets, depressing chip demand.

Holdings in consumer staples contributed to thefund’s performance. The Estee Lauder Companies,Inc. has enhanced its strong brand portfolio inthe fast-growing luxury beauty care market withcomplementary acquisitions and brand develop-ment. Emerging markets, especially China, arekey drivers of its growth. Costco WholesaleCorp.’s consistent stream of membership feeincome allows for low prices and broad productselection, which lead to high inventory turnover.

Information technology holdings were also solidcontributors to fund absolute and relative return.Payments companies continued to benefit fromthe shift from cash to electronic transactions.Mastercard, Inc. and Visa, Inc. have strong mar-ket positions with high barriers to entry, pricingpower, and solid operating leverage potential.Digital transformation of the enterprise hasbecome a strategic imperative across manyindustries and companies. Holdings Red Hat, Inc.(sold off prior to year end), ServiceNow, Inc. andWorkday, Inc. offer cloud-based mission-criticalapplications and services that are changing theway businesses operate.

PERFORMANCE TABLE1,2 Average Annual Total Return Cumulative Total ReturnPeriods Ending August 31, 2019 1-year 5-year 10-year 5-year 10-year

Capital Appreciation Fund Class 1 0.84 12.55 14.81 80.63 298.04Capital Appreciation Fund Class NAV 0.89 12.61 14.87 81.09 299.92Russell 1000 Growth Index3,4 4.27 13.06 15.42 84.72 319.41

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Capital Appreciation Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The Russell 1000 Growth Index is an unmanaged index composed of the Russell 1000 Index securities that have a greater-than-average growth orientation.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectuses for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class 1 and Class NAV sharesthe gross expenses are 0.79% and 0.74%, respectively, and the net expenses are 0.78% and 0.73%, respectively. Net expenses reflect contractual expense limitations in effect untilJuly 31, 2021 and are subject to change. Had the contractual fee waivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalInformation technology 38.7Consumer discretionary 19.2Communication services 14.9Health care 10.8Industrials 6.5Consumer staples 5.0Financials 2.2Real estate 1.7Short-term investments and other 1.0

* As a percentage of net assets.

$5,000

$10,000

$15,000

$20,000

$25,000

$30,000

$35,000

$40,000

$45,000

Capital Appreciation Fund Class NAVRussell 1000 Growth Index

$41,941$39,992

8/198/188/178/168/158/148/138/128/118/108/09

Capital Appreciation FundSubadvisor: Jennison Associates LLCPortfolio Managers: Blair A. Boyer, Michael A. Del Balso, Rebecca Irwin, Natasha Kuhlkin, CFA, Kathleen A. McCarragher, Spiros “Sig” Segalas

4

INVESTMENT OBJECTIVE & POLICIES c The fund seeks long-term capital appreciation.Common stocks typically constitute at least 50% of the fund’s total assets. The remaining assetsare generally invested in other securities, including convertible securities, corporate and governmentdebt, bank loans, foreign securities, futures, and options.


PORTFOLIO MANAGER’S COMMENTARY

Performance c For the year ended August 31,2019, the Capital Appreciation Value Fund ClassNAV shares returned 10.07% and the S&P 500Index returned 2.92%.

Environment c Overall, U.S. stocks posted posi-tive returns for the 12-month period endedAugust 31, 2019. Shares weathered a volatileyear, driven by concerns over slowing globalgrowth, rising trade tensions, and central bankpolicy.

U.S. equities sold off sharply in December amid abroader tumble in global equities, spurred in partby concerns over the Federal Reserve’s tighteningpath, which included four rate increases in 2018.However, rhetoric from the Fed turned dovish in2019, culminating in a rate decrease late in July,the first in nearly a decade. Shares rallied on thispivot to accommodative policy, though the ebbsand flows of the trade dispute between the U.S.and China continued to weigh on markets inter-mittently. Treasury yields declined sharply overthe year, with closely watched portions of the

yield curve inverted by the period’s end, whichgave rise to concerns of a possible recession inthe relatively near term.

In this environment, the S&P 500 Index postedmodest positive returns. Sector returns divergedover the year, with utilities, real estate, and con-sumer staples leading the way. The energy sectorperformed worst, delivering double-digit negativereturns.

From an asset class perspective, the fund’s under-lying equity holdings outpaced the S&P 500Index. The fund’s bond holdings posted positivegains but lagged the Bloomberg Barclays U.S.Aggregate Bond Index.

Among equities, the information technology sec-tor was the greatest contributor to relative per-formance due to stock selection. Shares of finan-cial services technology firm Fiserv, Inc. rose onsolid earnings during the period that indicatedaccelerating revenue growth, which helped easeinvestor concerns following several quarters of

weak topline results. Shares were further bol-stered by the acquisition of payment processorFirst Data, which the company touted as cement-ing its place at the forefront of the financialtechnology and payment processing industries.Stock choices in the financials sector also liftedrelative results.

The industrials sector was the top detractor fromrelative performance due to stock selection.Shares of industrial conglomerate General ElectricCompany (GE), which struggled over the period,slipped in August amid reports detailing concernsover the company’s accounting practices andheightened risks from its long-term care insur-ance business. Despite recent underperformance,we continue to like GE for its strong new leader-ship, improved business practices, and commit-ment to cost-cutting measures. An underweightallocation to the strong-performing consumerstaples sector also detracted from relativeperformance.

PERFORMANCE TABLE1,2 Average Annual Total Return Cumulative Total Return

Periods Ending August 31, 2019 1-year 5-year 10-yearSince

Inception 5-year 10-yearSince

Inception

Capital Appreciation Value Fund Class NAV (began 1/6/11) 10.07 9.94 — 11.09 60.59 — 148.42S&P 500 Index3,4 2.92 10.11 — 12.39 61.89 — 174.78

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Capital Appreciation Value Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The S&P 500 Index is an unmanaged index that includes 500 widely traded common stocks.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectus for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class NAV shares, the grossexpense is 0.84% and the net expense is 0.83%. Net expenses reflect contractual expense limitations in effect until July 31, 2021 and are subject to change. Had the contractual feewaivers and expense limitations not been in place, gross expenses would apply.

Portfolio Composition* % of TotalCommon stocks 62.4Corporate bonds 19.5Preferred securities 6.2Term loans 4.8Short-term investments and other 7.1


8/19

$27,478

8/16 8/188/158/148/138/128/111/11$8,000

$10,000

$12,000

$14,000

$16,000

$18,000

$20,000

$22,000

$24,000

$26,000

$28,000

8/17

Capital Appreciation Value Fund Class NAVS&P 500 Index

$24,842

Capital Appreciation Value FundSubadvisor: T. Rowe Price Associates, Inc.Portfolio Manager: David R. Giroux, MD, CFA

5

INVESTMENT OBJECTIVE & POLICIES c The fund seeks long-term capital appreciation. Undernormal market conditions, the fund invests at least 80% of its net assets (plus any borrowings forinvestment purposes) in common stocks of companies engaged, at the time of investment, in theresearch, development, production, or distribution of products or services related to healthcare,medicine, or the life sciences.

CHANGE IN VALUE OF $10,000 INVESTMENT AND COMPARATIVE INDEXES


Performance c For the year ended August 31,2019, the Health Sciences Fund Class NAVshares declined 4.87% and the Lipper Health/Biotechnology Index declined 6.39%.

Environment c Major U.S. stock indexes weremixed for the one-year period ended August 31,2019, with large-caps outperforming small-caps,which finished in negative territory, and growthindexes outperforming value across all market capi-talizations. The period was marked by heightenedvolatility as familiar themes including escalatingtrade tensions, decelerating global growth, and theFederal Reserve’s changing monetary policy stance,persisted. The long-simmering trade disputebetween the U.S. and China deepened after theU.S. announced new tariffs on Chinese goods inAugust, which led to a steep devaluation of theyuan to a level not seen over the past decade,although signs that both sides were preparing toresume negotiations in September provided someencouragement. While corporate earnings havebeen strong over the period, the U.S. manufacturingsector is beginning to show signs of slowdown dueto the trade war, further dampening sentiment.However, solid labor data and improving consumerconditions mitigated the worsening outlook. Since

March, the Fed stopped raising interest rates anddisplayed increased willingness to adjust interestrates as per the economic data, which finally culmi-nated in a rate cut towards the end of July.

Stock selection in pharmaceuticals was a powerfulrelative performance contributor. Within the seg-ment, we generally favor companies that are devel-oping novel therapeutics. Merck & Company, Inc.and Novartis AG were the strongest relative con-tributors, as both stocks rallied more than 20% inthe past 12 months. Merck continued to consolidateits lead over competitors in lung cancer treatmentwith Keytruda, as the company expanded its marketshare in treatments for several types of cancer,including the largest indication of first-line non-smallcell lung cancer. Novartis rallied on strong sales andoperating income growth. The company’s innovativedrug segment benefited from strong sales of itsimmunology drug Cosentyx, cardiology drugEntresto, and cancer drug Lutathera. Managementalso raised its full-year 2019 operating incomeguidance.

Stock selection in biotechnology also generated asolid contribution to relative results. Novocure, Ltd,Loxo Oncology, Inc. (sold prior to year end), and

Sage Therapeutics, Inc. were among the fund’s bestrelative performers within the biotechnology seg-ment. The largest holding among our top contribu-tors was Sage, which is focused on developing noveltherapeutics for central nervous system-related indi-cations. The stock rallied in early January on news ofpositive results from a Phase 3 trial of SAGE-217 forthe treatment of postpartum depression. The drugwas subsequently approved by the U.S. Food & DrugAdministration.

The products and devices segment was the largestdetractor from relative returns for the past 12months. While our holdings generated positive abso-lute performance, stock selection hurt our compari-son with the benchmark. Intuitive Surgical, Inc.,which was among the fund’s top holdings, was thelargest detractor in the subsector. Despite continuedpositive momentum in global procedure growth andsystem placements, Intuitive Surgical shares cameunder pressure during the period. We think proce-dure growth, the engine of the business model,should continue to benefit from the rollout of moreaffordable surgical systems, which should provideopportunities to expand into more hospitals.




Inception

Health Sciences Fund Class NAV (began 9/30/11) –4.87 9.67 — 19.16 58.64 — 301.03S&P 500 Index3,4 2.92 10.11 — 14.77 61.89 — 197.86Lipper Health/Biotechnology Index4,5 –6.39 8.46 — 17.51 50.09 — 259.22

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Health Sciences Fund expenses was reimbursed. If such expenses were not reimbursed, returns would be lower.3 The S&P 500 Index is an unmanaged index that includes 500 widely traded stocks.4 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.5 The Lipper Health/Biotechnology Index measures the performance of health and biotech funds.The expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectus for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class NAV shares, the grossexpense is 1.10% and the net expense is 1.09%. Net expenses reflect contractual expense limitations in effect until July 31, 2021 and are subject to change. Had the contractual feewaivers and expense limitations not been in place, gross expenses would apply.

Industry Composition* % of TotalBiotechnology 31.5Health care equipment and supplies 26.9Health care providers and services 16.4Pharmaceuticals 15.0Life sciences tools and services 8.3Specialty retail 0.3Health care technology 0.3Industrial conglomerates 0.2Software 0.2Short-term investments and other 0.9


8/19

$5,000

$10,000

$15,000

$20,000

$25,000

$30,000

$35,000

$40,000

$45,000

$40,103

$35,922

$29,786

Health Sciences Fund Class NAVS&P 500 IndexLipper Health/Biotechnology Index

8/188/168/158/148/138/129/11 8/17

Health Sciences FundSubadvisor: T. Rowe Price Associates, Inc.Portfolio Manager: Ziad Bakri, CFA, MD

6

INVESTMENT OBJECTIVE & POLICIES c The fund seeks to achieve long-term growth of capital.The fund invests primarily in a diversified portfolio of international securities whose issuers are consid-ered by the fund’s portfolio managers to have potential for earnings or revenue growth. Under normalmarket conditions, the fund will invest at least 80% of its net assets (plus any borrowings for invest-ment purposes) in stocks of any market capitalization.



Performance c For the year ended August 31,2019, the International Growth Stock Fund ClassNAV shares returned 5.16% and the MSCI ACWorld ex-U.S.A. Growth Index returned 0.00%.

Environment c The period feature significantmarket volatility as currency issues, rising interestrates and trade concerns between the UnitedStates and China weighed on global stocks.Within the US, a stronger US dollar and higherinterest rates also dampened returns and contrib-uted to currency depreciation in a number ofmarkets. Investors also had concerns over Brexitnegotiations, declining oil prices and fears ofslowing economic growth, particularly in theeurozone. Overall, global equity indexes, in gen-eral, finished in the negative territory , withdeveloped markets generally faring better thanemerging markets.

The fund posted a positive return for the periodand outperformed its benchmark, the MSCI ACWorld ex-U.S.A. Growth Index. Relative outper-formance was driven primarily by stock selectionin the financials, information technology, and

health care sectors and an overweight in finan-cials. In contrast, stock selection and an over-weight in the energy sector detracted from rela-tive results.

At the sector level, a meaningful overweight andstock selection in financials was the leading con-tributor to relative performance. Within the sec-tor, key contributors included emerging markets(EM) companies such as Brazil-based B3 SA-Brasil Bolsa Balcao and Banco Bradesco SA, aswell as Akbank T.A.S. (Turkey), and within devel-oped markets Allianz SE (Germany), Investor AB(Sweden) and Mediobanca Banca di CreditoFinanziario SpA (Italy) were notable contributors.Security selection in the information technologysector was another key contributor to relativeperformance, specifically US-based Broadcom,Inc. and Canada-based CGI, Inc. The fund’s hold-ings in the health care sector outperformed thoseof the benchmark index and added to relativereturn. Hoya Corp. (Japan) was a notablecontributor in the sector during the reportingperiod. From a geographic perspective, stockselection in China drove relative outperformance

for the period. Additionally, the fund’s holdingsin Japan and an overweight and stock selectionin Brazil positively contributed to relative results.

Conversely, stock selection and an overweight inenergy was the largest detractor from relativeperformance. Canada-based Suncor Energy, Inc.and PrairieSky Royalty, Ltd. and UK-basedTechnipFMC PLC were key detractors during thereporting period. Lack of exposure to the strong-performing utilities sector also detracted fromrelative results. Geographically, stock selectionand an underweight in Switzerland was a dragon relative returns. The fund’s holdings in the UKand Canada also negatively impacted relativeperformance.

Over the long-term, the managers believe theirfocus on corporate fundamentals continues toserve fund investors well in an environment thatremains dominated by macroeconomic and politi-cal uncertainties. Regardless of the macroeco-nomic environment, we seek to identify attrac-tively valued, high-quality growth companies.




Inception

International Growth Stock Fund Class NAV (began 9/16/10) 5.16 2.23 — 5.77 11.68 — 65.33MSCI AC World ex-USA Growth Index3,4 0.00 3.69 — 5.44 19.87 — 60.70

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the International Growth Stock Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The MSCI AC World ex-U.S.A. Growth Index is a free float-adjusted market capitalization-weighted index that is designed to measure the equity market performance of developed

markets and emerging markets, excluding the Unites States of America, that have higher than average growth characteristics.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectus for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class NAV shares, the grossexpense is 0.87% and the net expense is 0.86%. Net expenses reflect contractual expense limitations in effect until July 31, 2021 and are subject to change. Had the contractual feewaivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalConsumer staples 18.1Industrials 16.3Financials 15.9Information technology 15.6Consumer discretionary 11.1Health care 6.6Energy 4.5Communication services 4.3Materials 3.0Short-term investments and other 4.6


8/198/188/168/14 8/158/138/128/119/10

$16,070$16,533

International Growth Stock Fund Class NAVMSCI AC World ex-USA Growth Index

$9,000

$10,000

$11,000

$12,000

$13,000

$14,000

$15,000

$16,000

$17,000

8/17

International Growth Stock FundSubadvisor: Invesco Advisers, Inc.Portfolio Managers: Brentley Bates, CFA, CPA, Mathew Dennis, CFA, Mark Jason, CFA, Richard Nield, CFA, Clas Olsson

7

INVESTMENT OBJECTIVE & POLICIES c The fund seeks long-term capital appreciation. Undernormal market conditions, the fund invests at least 80% of its net assets (plus any borrowings forinvestment purposes) in investments of smaller companies outside the U.S., including emerging mar-kets, which, at the time of investment, have total stock market capitalizations or annual revenues of$4 billion or less.



Performance c For the year ended August 31,2019, the International Small Cap Fund ClassNAV shares declined 7.89% and the MSCI ACWorld ex U.S.A Small Cap Index declined 9.01%.

Environment c During the 12-month period,international small-capitalization stocks signifi-cantly underperformed their larger-capitalizationcounterparts. Trade issues dominated the head-lines during the period, with the U.S. alternatelyreporting progress and setbacks in negotiationswith China, Mexico, India and the EuropeanUnion. In Europe, political turmoil in Italy, ongo-ing Brexit uncertainty, weak economic data andcontinued trade tensions weighed on sentiment.

Several holdings performed well during theperiod under review. The shares of U.K. basedsandwich retailer Greggs PLC rose, aided bystrong sales results due to the introduction ofvegan sausage, shorter queues and enhanced

marketing efforts. Looking at the longer term,Greggs is a leading player in the U.K. take-awaysandwich and savories market, with growthopportunities from new products and organicstore expansion. Belgium-based Barco NV alsocontributed to performance. Barco is a marketleader in cinema projection, wireless meeting-room technology and health care display systems.We believe its upcoming projector upgrade waveshould drive a return to growth in the cinemabusiness, as laser technology offers total cost-of-ownership and image-quality benefits over theold, existing xenon lamp-based projectors. ItsClickShare product is a runaway success, and webelieve it has a clear potential for further growth.

In contrast, the fund had some underperformersduring the period under review. Nilfisk HoldingA/S is a Denmark-based manufacturer of cleaningequipment that specializes in the high-end pro-fessional market. Although management has

already announced a cost cutting plan that isexpected to end in 2019, we believe the markethas still been underappreciating the potentialprofit margin expansion and long-term opportu-nity with automated equipment. Shares ofBelgian based hygiene products manufacturerOntex Group NV retreated during the period,although analysts upgraded the stock in anticipa-tion of profit margin enhancement as costs stabi-lize, pricing improves. We broadly agree with thisassessment, viewing most of Ontex’s issues ascyclical or fixable. With a valuation we considerinexpensive, strong market position and diversi-fied product portfolio, we believe Ontex contin-ues to offer compelling long-term value.

During the period, the U.S. dollar rose in valueagainst most foreign currencies, which hurt thefund’s performance because investments in secu-rities with non-U.S. currency exposure lost valueas the U.S. dollar rose.


International Small Cap Fund Class 1 –7.94 1.36 6.32 7.01 84.57International Small Cap Fund Class NAV –7.89 1.42 6.38 7.28 85.54MSCI AC World ex U.S.A. Small Cap Index3,4 –9.01 2.28 6.52 11.95 87.99

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the International Small Cap Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The MSCI AC World ex U.S.A. Small Cap Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of smaller cap

stocks in developed and emerging markets, excluding the United States of America.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectuses for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class 1 and Class NAV sharesthe gross expenses are 1.09% and 1.04%, respectively, and the net expenses are 1.08% and 1.03%, respectively. Net expenses reflect contractual expense limitations in effect untilJuly 31, 2021 and are subject to change. Had the contractual fee waivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalConsumer discretionary 24.0Industrials 23.0Financials 15.6Information technology 11.1Consumer staples 7.6Materials 5.1Health care 4.5Real estate 2.1Energy 1.9Communication services 1.5Short-term investments and other 3.6


$8,000

$10,000

$12,000

$14,000

$16,000

$18,000

$20,000

$22,000

$18,554$18,799

International Small Cap Fund Class NAVMSCI AC World ex U.S.A. Small Cap Index

8/198/188/178/168/158/148/138/128/118/108/09

International Small Cap FundSubadvisor: Franklin Templeton Investment Corp.Portfolio Managers: Harlan B. Hodes, CPA, David Tuttle, CFA

8

INVESTMENT OBJECTIVE & POLICIES c The fund seeks capital appreciation. The fund seeks toachieve its investment objective by investing under normal market conditions at least 80% of its netassets (plus any borrowings for investment purposes) in equity securities of any market capitalization,including futures on indexes of equity securities. The fund invests primarily in foreign securities.



Performance c For the year ended August 31,2019, the International Strategic EquityAllocation Fund Class NAV shares declined3.97% and the MSCI AC World ex-U.S.A. Indexdeclined 3.27%.

Environment c The 12-month period endedAugust 31, 2019, was a volatile period for U.S.equity investors, complete with a steep drop inthe fourth quarter of 2018, followed by anequally steep climb over the first four monthsof 2019.

Trade tensions negatively impacted stocks in thefourth quarter of 2018. A 0.25% interest rateincrease by the U.S. Federal Reserve Board (Fed)in December — following one in September —also weighed on market sentiment. However, Fedchief Jerome Powell bolstered equity markets inearly January when he backed away from theFed’s earlier commitment to multiple interest rate

increases in 2019. Subsequent comments led themarket to anticipate that the Fed’s next movewould be an interest rate cut, and this expecta-tion, coupled with reasonably favorable economicand corporate earnings data, kept U.S. stocks ona mostly upward trajectory over the first eightmonths of 2019. On the final day of July, the Fedlowered its key policy interest rate by 0.25%, thefirst rate reduction since 2008.

In the bond market, Treasury yields moved higherinto early November amid continued expectationsof interest rate increases by the Fed. However, asinvestors grew more pessimistic about globaleconomic growth and stock prices headed southin the fourth quarter, demand increased forlower-risk investments such as Treasury securities,which drove their prices up (and yields down).

Foreign stocks in developed markets performedroughly in line with U.S. stocks but generally

lagged, as trade concerns were seen as a signifi-cant threat to international markets. Canadianstocks underperformed most major U.S. equitybenchmarks, and were relatively weak inresponse to trade worries and the depreciationof the Canadian dollar, as well as sharply fallingcrude oil prices for virtually the entire fourthquarter of 2018.

From an asset allocation perspective, an under-weight position in emerging markets equity andcountry rotation in developed markets contrib-uted to returns. Specific positions that contrib-uted to returns include an overweight positionin the Netherlands, and an underweight positionin Germany.

Country rotation in emerging markets detractedfrom returns. Specific positions that detractedfrom returns include an underweight position inIndonesia and an overweight position in India.




Inception

International Strategic Equity Allocation Fund Class NAV(began 10/17/16) –3.97 — — 5.18 — — 15.62

MSCI AC World ex-U.S.A. Index3,4 –3.27 — — 6.32 — — 19.25

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the International Strategic Equity Allocation Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The MSCI AC World ex-U.S.A. Index is a free-float adjusted market capitalization weighted index designed to measure the equity market performance of developed markets and emerg-

ing markets, excluding the United States.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectus for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class NAV shares, the grossexpense is 0.70% and the net expense is 0.69%. Net expenses reflect contractual expense limitations in effect until July 31, 2021 and are subject to change. Had the contractual feewaivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalFinancials 22.5Industrials 11.1Consumer staples 10.7Consumer discretionary 10.3Health care 8.4Information technology 8.2Materials 6.8Communication services 6.2Energy 5.7Utilities 3.1Real estate 2.9Short-term investments and other 4.1


8/19

$9,000

$10,000

$11,000

$12,000

$13,000

$11,925

$11,562

International Strategic Equity Allocation Fund Class NAVMSCI AC World ex-U.S.A. Index

10/16 2/17 8/17 2/18 8/18 2/19

International Strategic Equity Allocation FundSubadvisor: Manulife Investment Management (US) LLCPortfolio Manager: Nathan W. Thooft, CFA

9

INVESTMENT OBJECTIVE & POLICIES c The fund seeks long-term growth of capital. Undernormal market conditions, the fund invests primarily in equity securities of companies located outsidethe U.S., including emerging markets.



Performance c For the year ended August 31,2019, the International Value Fund Class NAVshares declined 12.71% and the MSCI EAFEIndex declined 3.26%.

Environment c International equities declinedduring the 12-month period, due to investor con-cerns about slowing global economic growth,geopolitical stress and escalating trend tensions.

The fund underperformed its benchmark, theMSCI EAFE Index, during the 12 months underreview. During the period, international valuestocks extended their longest and deepest periodof underperformance relative to growth onrecord. These adverse market conditionsremained a significant headwind for Templeton’svalue-oriented investment strategies.

Relative weakness during the period was primar-ily attributable to stock selection, notably in thehealth care and financials sectors. Israeli genericdrug-maker Teva Pharmaceutical Industries, Ltd.declined amid concerns about challenging indus-try conditions, litigation risk and a bloated bal-ance sheet. Despite the performance of Teva, wecontinued to find a number of other attractive

pharmaceuticals companies that combined solidgrowth prospects and defensive earnings charac-teristics with what we considered modest valua-tions. From the financials sector, Bank of IrelandGroup PLC fell as rising uncertainty about Brexitand the risk of lower-for-longer interest ratespressured profit expectations. Within our Euro-pean bank holdings, we continued to rotateaway from extremely cheap, but higher-riskstocks in favor of what we viewed as better-capitalized, better-managed companies withhealthy dividends operating in stable markets,but still trading at unwarranted discounts to tan-gible book value. Other notable detractors duringthe period included stock selection in the indus-trials and consumer discretionary sectors, as wellas stock selection and an underweighting in theconsumer staples sector.

Conversely, stock selection in the materials sectorcontributed significantly to the fund’s relative per-formance. Precious metals stocks led the sector,with off-benchmark positions in Canadian goldand silver streaming company Wheaton PreciousMetals Corp. and Canadian gold mining firmAlamos Gold, Inc. finishing as the fund’s top two

contributors. We have long argued that preciousmetals stocks can play an important role in adiversified portfolio, particularly late in a cyclewhen the combination of rising risks, ultra-lowinterest rates and renewed policy dovishness allamplify gold’s relative attractiveness. WheatonPrecious Metals was our preferred exposure tothis theme at period-end.

From a regional standpoint, stock selection andan overweighting in Asia detracted from relativeperformance, with relative weakness in Chinaand South Korea (not part of the index) morethan offsetting strength in Taiwan (not part ofthe index). Stock selection in Europe also hin-dered results, as relative losses in the U.K. andSwitzerland more than offset relative gains inGermany and Denmark. Conversely, in NorthAmerica, an off-benchmark exposure to Canadacontributed to relative performance.

During the period, the U.S. dollar rose in valueagainst most foreign currencies, which hurt thefund’s performance because investments in secu-rities with non-U.S. currency exposure lost valueas the U.S. dollar rose.


International Value Fund Class 1 –12.73 –2.74 3.06 –12.99 35.18International Value Fund Class NAV –12.71 –2.70 3.11 –12.80 35.81MSCI EAFE Index3,4 –3.26 1.89 5.00 9.80 62.91

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the International Value Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The MSCI EAFE Index (Europe, Australasia, Far East) is a free-float-adjusted market capitalization index that is designed to measure developed market equity performance.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectuses for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class 1 and Class NAV sharesthe gross expenses are 0.91% and 0.86%, respectively, and the net expenses are 0.90% and 0.85%, respectively. Net expenses reflect contractual expense limitations in effect untilJuly 31, 2021 and are subject to change. Had the contractual fee waivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalFinancials 19.3Energy 13.7Health care 12.6Communication services 9.7Materials 8.2Information technology 6.8Industrials 6.0Consumer staples 4.9Consumer discretionary 4.5Utilities 3.3Real estate 2.9Short-term investments and other 8.1


$8,000

$10,000

$12,000

$14,000

$16,000

$18,000

International Value Fund Class NAVMSCI EAFE Index

8/198/188/178/168/158/148/138/128/118/108/09

$16,291

$13,581

International Value FundSubadvisor: Templeton Investment Counsel, LLCPortfolio Managers: Peter A. Nori, CFA, Christopher Peel, CFA

10

INVESTMENT OBJECTIVE & POLICIES c The fund seeks long-term growth and capital apprecia-tion. Under normal market conditions, the fund invests at least 80% of its net assets (plus any bor-rowings for investment purposes) in equity securities of medium-sized companies with significant capi-tal appreciation potential.



Performance c For the year ended August 31,2019, the Mid Cap Stock Fund Class NAV sharesreturned 5.74% and the Russell Midcap GrowthIndex returned 5.96%.

Environment c US equities, as measured by theS&P 500 Index, posted positive results over thetrailing twelve-month period ending August 31,2019. US and China trade relations remainedvolatile. As trade talks progressed into Septemberof 2018, investors gained confidence that a tradedeal was likely to be reached and marketsrebounded. In sharp contrast, US equities lostground over the last quarter of 2018, due to feararound a slowdown in global growth, and suf-fered their largest quarterly loss since 2011.During the first quarter of 2019, markets werebuoyed by a shift in major central banks towardsloosening monetary policy and productive tradenegotiations between the US and China. InEurope, Brexit remained a major concern, and UKPrime Minister Theresa May resigned after failing

to secure a Brexit deal. On the monetary front,the Federal Reserve lowered US interest ratesin July for the first time in 11 years and theEuropean Central Bank gave strong hints that anew round of quantitative easing could begin inSeptember. The US delayed 10% tariffs on morethan half of the remaining US$300 billion ofmainly consumer-related Chinese imports untilDecember 15, but trade relations remainedtenuous in the absence of any meaningful com-promises on key structural issues.

Sector allocation, a product of the bottom-upstock selection process, detracted from perfor-mance. An overweight to health care and havingno exposure to real estate hurt relative resultsmost.

Within the fund, stock selection contributed toperformance. Security selection was particularlystrong in the health care sector, while selectionwithin industrials and consumer discretionary was

also favorable. This was partially offset by unfa-vorable selection in the information technologyand communication services sectors.

Top contributors to relative performance duringthe period included Exact Sciences Corp., amolecular diagnostics company; Pinterest, Inc., asocial media web and mobile application com-pany; and Insulet Corp., an insulin pump maker.

Top detractors from relative performanceincluded 2U, Inc., an online education servicesprovider; Align Technology, Inc., a global medicaldevice company; and Spotify Technology SA, astreaming music provider.

At the end of the period, the fund held over-weight allocations to the health care, consumerdiscretionary, and communication services sec-tors. The industrials, information technology, andfinancials sectors represented the fund’s largestunderweights.


Mid Cap Stock Fund Class 1 5.71 11.60 14.48 73.11 286.71Mid Cap Stock Fund Class NAV 5.74 11.66 14.55 73.55 288.84Russell Midcap Growth Index3,4 5.96 10.72 14.85 66.38 299.39

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Mid Cap Stock Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The Russell Midcap Growth Index is an unmanaged index that contains those stocks from the Russell Midcap Index with a greater than average growth orientation.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectuses for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class 1 and Class NAV sharesthe gross expenses are 0.92% and 0.87%, respectively, and the net expenses are 0.91% and 0.86%, respectively. Net expenses reflect contractual expense limitations in effect untilJuly 31, 2021 and are subject to change. Had the contractual fee waivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalInformation technology 29.2Health care 25.4Consumer discretionary 18.4Industrials 11.0Communication services 7.8Consumer staples 3.3Real estate 1.2Financials 1.1Energy 1.0Short-term investments and other 1.6


$5,000

$10,000

$15,000

$20,000

$25,000

$30,000

$35,000

$40,000

$45,000

$39,939$38,884

Mid Cap Stock Fund Class NAVRussell Midcap Growth Index

8/198/188/178/168/158/148/138/128/118/108/09

Mid Cap Stock FundSubadvisor: Wellington Management Company LLPPortfolio Managers: Mario E. Abularach, CFA, CMT, Michael T. Carmen, CFA, Stephen Mortimer

11

INVESTMENT OBJECTIVE & POLICIES c The fund seeks long-term capital appreciation. Undernormal market conditions, the fund invests at least 80% of its net assets (plus any borrowings forinvestment purposes) in companies with market capitalizations that are within the S&P MidCap 400Index or the Russell Midcap Value Index.



Performance c For the year ended August 31,2019, the Mid Value Fund Class NAV sharesdeclined 8.82% and the Russell Midcap ValueIndex declined 3.13%.

Environment c Major U.S. stock indexes weremixed for the one-year period ended August 31,2019, with large-caps significantly outperformingsmall-caps, which finished in negative territory,and growth indexes outperforming value acrossall market capitalizations. The period was markedby heightened volatility as familiar themes includ-ing escalating trade tensions, decelerating globalgrowth, and the Federal Reserve’s changing mon-etary policy stance, persisted. The long-simmeringtrade dispute between the U.S. and China deep-ened after the U.S. announced new tariffs onChinese goods in August, which led to a steepdevaluation of the yuan to a level not seen overthe past decade, although signs that both sideswere preparing to resume negotiations in Sep-tember provided some encouragement. Whilecorporate earnings have been strong over theperiod, the U.S. manufacturing sector is begin-ning to show signs of slowdown due to thetrade war, further dampening sentiment. How-ever, solid labor data and improving consumer

conditions mitigated the worsening outlook.Since March, the Fed stopped raising interestrates and displayed increased willingness toadjust interest rates as per the economic data,which finally culminated in a rate cut towardsthe end of July.

Real estate detracted the most from relativereturns for the period due primarily to stockselection, but an underweight position in the sec-tor also proved unhelpful. Shares of RealogyHoldings Corp., an integrated provider of realestate services in the United States, have beenpressured by intensifying secular challengeswithin the real estate brokerage industry.Improved access to real estate data by consumershas lessened their reliance on the traditionalagent, and agents themselves have begun todisassociate from some of the larger brokeragefirms. Realogy’s lagging performance and aggres-sive strategy have weakened its financial condi-tion and enhanced its risk profile, so we chose toexit our position in the company. Timberland realestate investment trust Rayonier, Inc., with assetslocated in timber-growing regions in the U.S.and New Zealand, was also a detractor for theperiod. Timber prices had shown strength early in

2018 amid strong demand for new housing, aswell as some supply impacts from North Americanwildfires. Weakness in the stock has been drivenby concerns over deceleration in housing marketstrength, interest rates, and export markets.

Utilities also hindered relative results due to stockchoices and an underweight position. Shares ofCalifornia-based regulated utility company PG&ECorp., which had been pressured by concernsregarding the potential liability and costs associ-ated with significant recent wildfires in the state,plunged further on the announcement that thecompany would be filing for Chapter 11 bank-ruptcy protection. We maintain a favorable viewof PG&E’s longer-term potential because webelieve the utility is well positioned to benefitfrom grid modernization in California.

Conversely, stock selection in materials led rela-tive results. Shares of gold miners Barrick GoldCorp. and Newmont Goldcorp Corp., along withgold-focused royalty and investment companyFranco-Nevada Corp., benefited from the currentmarket environment as their shares are highlylevered to the price of gold.


Mid Value Fund Class NAV –8.82 4.87 10.50 26.81 171.42Russell Midcap Value Index3,4 –3.13 5.88 12.46 33.05 223.49

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Mid Value Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The Russell Midcap Value Index is an unmanaged index that measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted

growth values. The stocks are also members of the Russell 1000 Value Index.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectus for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class NAV shares, the grossexpense is 0.99% and the net expense is 0.98%. Net expenses reflect contractual expense limitations in effect until July 31, 2021 and are subject to change. Had the contractual feewaivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalFinancials 17.0Health care 15.0Materials 10.9Energy 10.3Consumer staples 10.2Industrials 8.7Real estate 6.5Communication services 4.0Information technology 3.8Utilities 3.7Consumer discretionary 3.5Short-term investments and other 6.4


8/19

Mid Value Fund Class NAVRussell Midcap Value Index

$27,142

$32,349

8/188/178/168/158/148/138/128/118/108/09$5,000

$10,000

$15,000

$20,000

$25,000

$30,000

$35,000

Mid Value FundSubadvisor: T. Rowe Price Associates, Inc.Portfolio Manager: David J. Wallack

12

INVESTMENT OBJECTIVE & POLICIES c The portfolio seeks long-term growth of capital.Current income is not a consideration. The portfolio operates as a fund of funds and normally investsapproximately 100% of its assets in underlying funds that invest primarily in equity securities.



Performance c For the year ended August 31,2019, the Multi-Index Lifestyle AggressivePortfolio Class 1 shares declined 1.01% and ablend of 70% Russell 3000 Index and 30%MSCI AC World ex-U.S.A. Index declined 0.04%.


Trade tensions negatively impacted stocks in thefourth quarter of 2018. A 0.25% interest rateincrease by the U.S. Federal Reserve Board (Fed)in December — following one in September —also weighed on market sentiment. However, Fedchief Jerome Powell bolstered equity markets inearly January when he backed away from the

Fed’s earlier commitment to multiple interest rateincreases in 2019. Subsequent comments led themarket to anticipate that the Fed’s next movewould be an interest rate cut, and this expecta-tion, coupled with reasonably favorable economicand corporate earnings data, kept U.S. stocks ona mostly upward trajectory over the first eightmonths of 2019. On the final day of July, the Fedlowered its key policy interest rate by 0.25%, thefirst rate reduction since 2008.


Foreign stocks in developed markets performedroughly in line with U.S. stocks but generallylagged, as trade concerns were seen as a signifi-cant threat to international markets. Canadianstocks underperformed most major U.S. equitybenchmarks and were relatively weak in responseto trade worries and the depreciation of theCanadian dollar, as well as sharply falling crudeoil prices for virtually the entire fourth quarterof 2018.

From an asset allocation perspective, under-weight positions in U.S. large-cap equity as wellas an overweight position in international devel-oped equity detracted from returns. StrategicEquity Allocation Fund (Manulife InvestmentManagement (US) LLC) detracted from returnsduring the period. Overweight positions in defen-sive equity and real assets contributed to returns.




Inception

Multi-Index Lifestyle Aggressive Portfolio Class R6(began 12/30/13) –0.88 6.37 — 6.99 36.19 — 46.68

Multi-Index Lifestyle Aggressive Portfolio Class 1(began 12/30/13) –1.01 6.33 — 6.95 35.93 — 46.40

S&P 500 Index3,4 2.92 10.11 — 10.77 61.89 — 78.59MSCI EAFE Index4,5 –3.26 1.89 — 2.19 9.80 — 13.06Blended Index4,6 –0.04 7.13 — 7.79 41.11 — 53.03

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Multi-Index Lifestyle Aggressive Portfolio expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The S&P 500 Index is an unmanaged index that includes 500 widely-traded common Stocks.4 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.5 The MSCI EAFE Index (Europe, Australasia, Far East) is a free-float-adjusted market capitalization index that is designed to measure developed market equity performance.6 The Blended Index is composed of 70% Russell 3000 Index and 30% MSCI AC World ex-U.S.A. Index.The expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectuses for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. The net expenses equal the grossexpenses and are as follows: Class 1 shares – 0.68% and Class R6 shares – 0.65%.

Asset Allocation* % of TotalAffiliated investment companies 66.6Large blend 66.6Unaffiliated investment companies 33.4Equity 33.4


$17,859

$15,303$14,640

$11,306

$8,000

$10,000

$12,000

$14,000

$16,000

$18,000

Multi-Index Lifestyle Aggressive Portfolio Class 1S&P 500 IndexMSCI EAFE IndexBlended Index

8/198/16 8/17 8/188/158/1412/13

Multi-Index Lifestyle Aggressive PortfolioSubadvisors: Manulife Investment Management (US) LLC and Manulife Investment Management (North America) LimitedPortfolio Managers: Robert E. Sykes, CFA, Nathan W. Thooft, CFA

13

INVESTMENT OBJECTIVE & POLICIES c The portfolio seeks a balance between a high level ofcurrent income and growth of capital, with a greater emphasis on growth of capital. The portfoliooperates as a fund of funds and normally invests approximately 60% of its assets in underlying fundsthat invest primarily in equity securities and approximately 40% in underlying funds that invest primar-ily in fixed-income securities.



Performance c For the year ended August 31,2019, the Multi-Index Lifestyle Balanced PortfolioClass 1 shares returned 3.31% and a blend of42% Russell 3000 Index, 18% MSCI AC Worldex-U.S.A. Index, 8% ICE Bank of America MerrillLynch U.S. High Yield Master II Index, and 32%Bloomberg Barclays U.S. Aggregate Bond Indexreturned 4.04%.


Trade tensions negatively impacted stocks in thefourth quarter of 2018. A 0.25% interest rateincrease by the U.S. Federal Reserve Board (Fed)in December — following one in September —also weighed on market sentiment. However, Fedchief Jerome Powell bolstered equity markets in

early January when he backed away from theFed’s earlier commitment to multiple interest rateincreases in 2019. Subsequent comments led themarket to anticipate that the Fed’s next movewould be an interest rate cut, and this expecta-tion, coupled with reasonably favorable economicand corporate earnings data, kept U.S. stocks ona mostly upward trajectory over the first eightmonths of 2019. On the final day of July, the Fedlowered its key policy interest rate by 0.25%, thefirst rate reduction since 2008.

In the bond market, Treasury yields moved higherinto early November amid continued expectationsof interest rate increases by the Fed. However, asinvestors grew more pessimistic about globaleconomic growth and stock prices headed southin the fourth quarter, demand increased forlower-risk investments such as Treasury securities,which drove their prices up.

Foreign stocks in developed markets performedroughly in line with U.S. stocks but generallylagged, as trade concerns were seen as a threatto international markets. Canadian stocks under-performed most major U.S. equity benchmarks,and were relatively weak in response to tradeworries and the depreciation of the Canadiandollar, as well as falling crude oil prices for virtu-ally the entire fourth quarter of 2018.

From an asset allocation perspective, an under-weight position in U.S. large-cap equity detractedfrom returns, as did overweight positions in inter-national developed equity and floating rate loans.Strategic Equity Allocation Fund (Manulife Invest-ment Management (US) LLC) detracted fromreturns. Overweight positions in defensive equityand real assets contributed to returns, as did anunderweight position in emerging market equity.




Inception

Multi-Index Lifestyle Balanced Portfolio Class R6(began 12/30/13) 3.26 5.15 — 5.73 28.52 — 37.16

Multi-Index Lifestyle Balanced Portfolio Class 1(began 12/30/13) 3.31 5.12 — 5.71 28.35 — 37.00

S&P 500 Index3,4 2.92 10.11 — 10.77 61.89 — 78.59Bloomberg Barclays U.S. Aggregate Bond Index4,5 10.17 3.35 — 3.82 17.89 — 23.68Blended Index4,6 4.04 5.90 — 6.48 33.22 — 42.77

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Multi-Index Lifestyle Balanced Portfolio expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The S&P 500 Index is an unmanaged index that includes 500 widely-traded common Stocks.4 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.5 The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of dollar-denominated and nonconvertible investment-grade debt issues.6 The Blended Index is composed of 42% Russell 3000 Index, 18% MSCI AC World ex-U.S.A. Index, 8% ICE Bank of America Merrill Lynch U.S. High Yield Master II Index, and 32%

Bloomberg Barclays U.S. Aggregate Bond Index.The expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectuses for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. The net expenses equal the grossexpenses and are as follows: Class 1 shares – 0.71% and Class R6 shares – 0.67%.

Asset Allocation* % of TotalAffiliated investment companies 36.1Large blend 36.1Unaffiliated investment companies 58.3Fixed income 38.5Equity 19.8Short-term investments 5.6

* As a percentage of total investments.

$17,859

$14,277$13,700

$12,368

$9,000

$10,000

$11,000

$12,000

$13,000

$14,000

$15,000

$16,000

$17,000

$18,000

Multi-Index Lifestyle Balanced Portfolio Class 1S&P 500 IndexBloomberg Barclays U.S. Aggregate Bond IndexBlended Index

8/198/16 8/17 8/188/158/1412/13

Multi-Index Lifestyle Balanced PortfolioSubadvisors: Manulife Investment Management (US) LLC and Manulife Investment Management (North America) LimitedPortfolio Managers: Robert E. Sykes, CFA, Nathan W. Thooft, CFA

14

INVESTMENT OBJECTIVE & POLICIES c The portfolio seeks a high level of current income andwith some consideration given to growth of capital. The portfolio operates as a fund of funds andnormally invests approximately 80% of its assets in underlying funds that invest primarily in fixed-income securities and approximately 20% in underlying funds that invest primarily in equity securities.



Performance c For the year ended August 31,2019, the Multi-Index Lifestyle ConservativePortfolio Class 1 shares returned 7.05% and ablend of 14% Russell 3000 Index, 6% MSCI ACWorld ex-U.S.A. Index, 16% ICE Bank of AmericaMerrill Lynch U.S. High Yield Master II Index, and64% Bloomberg Barclays U.S. Aggregate BondIndex returned 7.77%.


Trade tensions negatively impacted stocks in thefourth quarter of 2018. A 0.25% interest rateincrease by the U.S. Federal Reserve Board (Fed)in December — following one in September —also weighed on market sentiment. However, Fed

chief Jerome Powell bolstered equity markets inearly January when he backed away from theFed’s earlier commitment to multiple interest rateincreases in 2019. Subsequent comments led themarket to anticipate that the Fed’s next movewould be an interest rate cut, and this expecta-tion, coupled with reasonably favorable economicand corporate earnings data, kept U.S. stocks ona mostly upward trajectory over the first eightmonths of 2019. On the final day of July, the Fedlowered its key policy interest rate by 0.25%, thefirst rate reduction since 2008.


Foreign stocks in developed markets performedroughly in line with U.S. stocks but generallylagged, as trade concerns were seen as a signifi-cant threat to international markets. Canadianstocks underperformed most major U.S. equitybenchmarks, and were relatively weak inresponse to trade worries and the depreciation ofthe Canadian dollar, as well as sharply fallingcrude oil prices for virtually the entire fourthquarter of 2018.

From an asset allocation perspective, an under-weight position in U.S. large-cap equity and anoverweight position in floating rate loansdetracted from returns. Strategic Equity Alloca-tion Fund (Manulife Investment Management(US) LLC) and manager selection in core fixedincome strategies detracted from returns. Over-weight positions in defensive equity and emerg-ing market debt contributed to returns, as did anunderweight position in high yield fixed income.




Inception

Multi-Index Lifestyle Conservative Portfolio Class R6(began 12/30/13) 7.09 3.70 — 4.24 19.92 — 26.57

Multi-Index Lifestyle Conservative Portfolio Class 1(began 12/30/13) 7.05 3.65 — 4.21 19.66 — 26.33


1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Multi-Index Lifestyle Conservative Portfolio expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The S&P 500 Index is an unmanaged index that includes 500 widely-traded common Stocks.4 It is not possible to invest directly in an index. Index figures do not reflect expense or sales charges, which would result in lower returns.5 The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of dollar-denominated and nonconvertible investment-grade debt issues.6 The Blended Index is composed of 14% Russell 3000 Index, 6% MSCI AC World ex-U.S.A. Index, 16% ICE Bank of America Merrill Lynch U.S. High Yield Master II Index, and 64%

Bloomberg Barclays U.S. Aggregate Bond Index.The expense ratios of the portfolio, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectuses for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class 1 and Class R6 sharesthe gross expenses are 0.76% and 0.72%, respectively, and the net expenses are 0.74% and 0.70%, respectively. Net expenses reflect contractual expense limitations in effect untilDecember 31, 2019 and are subject to change. Had the contractual fee waivers and expense limitations not been in place, gross expenses would apply.

Asset Allocation* % of TotalAffiliated investment companies 11.4Large Blend 11.4Unaffiliated investment companies 88.6Fixed Income 79.3Equity 9.3


$17,859

$13,167$12,633$12,368

$9,000

$10,000

$11,000

$12,000

$13,000

$14,000

$15,000

$16,000

$17,000

$18,000

Multi-Index Lifestyle Conservative Portfolio Class 1S&P 500 IndexBloomberg Barclays U.S. Aggregate Bond IndexBlended Index

8/198/16 8/17 8/188/158/1412/13

Multi-Index Lifestyle Conservative PortfolioSubadvisors: Manulife Investment Management (US) LLC and Manulife Investment Management (North America) LimitedPortfolio Managers: Robert E. Sykes, CFA, Nathan W. Thooft, CFA

15

INVESTMENT OBJECTIVE & POLICIES c The portfolio seeks long-term growth of capital. Cur-rent income is also a consideration. The portfolio operates as a fund of funds and normally investsapproximately 80% of its assets in underlying funds that invest primarily in equity securities, andapproximately 20% in underlying funds that invest primarily in fixed-income securities.



Performance c For the year ended August 31,2019, the Multi-Index Lifestyle Growth PortfolioClass 1 shares returned 1.27% and a blend of56% Russell 3000 Index, 24% MSCI AC Worldex-U.S.A Index, 4% ICE Bank of America MerrillLynch U.S. High Yield Master II Index, and 16%Bloomberg Barclays U.S. Aggregate Bond Indexreturned 2.04%.


Trade tensions negatively impacted stocks in thefourth quarter of 2018. A 0.25% interest rateincrease by the U.S. Federal Reserve Board (Fed)in December — following one in September —also weighed on market sentiment. However, Fedchief Jerome Powell bolstered equity markets in

early January when he backed away from theFed’s earlier commitment to multiple interest rateincreases in 2019. Subsequent comments led themarket to anticipate that the Fed’s next movewould be an interest rate cut, and this expecta-tion, coupled with reasonably favorable economicand corporate earnings data, kept U.S. stocks ona mostly upward trajectory over the first eightmonths of 2019. On the final day of July, the Fedlowered its key policy interest rate by 0.25%, thefirst rate reduction since 2008.

In the bond market, Treasury yields moved higherinto early November amid continued expectationsof interest rate increases by the Fed. However, asinvestors grew more pessimistic about globaleconomic growth and stock prices headed southin the fourth quarter, demand increased forlower-risk investments such as Treasury securities,which drove their prices up.


From an asset allocation perspective, an under-weight position in U.S. large-cap equity detractedfrom returns, as did overweight positions in inter-national developed equity and floating rate loans.Strategic Equity Allocation Fund (Manulife Invest-ment Management (US) LLC) detracted fromreturns during the period. Overweight positionsin defensive equity and real assets contributed toreturns, as did an underweight position inemerging market equity.




Inception

Multi-Index Lifestyle Growth Portfolio Class R6(began 12/30/13) 1.30 5.81 — 6.38 32.62 — 42.04

Multi-Index Lifestyle Growth Portfolio Class 1(began 12/30/13) 1.27 5.77 — 6.35 32.37 — 41.77


1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Multi-Index Lifestyle Growth Portfolio expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The S&P 500 Index is an unmanaged index that includes 500 widely-traded common Stocks.4 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.5 The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of dollar-denominated and nonconvertible investment-grade debt issues.6 The Blended Index is composed of 56% Russell 3000 Index, 24% MSCI AC World ex-U.S.A. Index, 4% ICE Bank of America Merrill Lynch U.S. High Yield Master II Index, and 16%


Asset Allocation* % of TotalAffiliated investment companies 52.4Large blend 52.4Unaffiliated investment companies 47.6Equity 26.6Fixed income 21.0


$17,859

$14,802$14,177

$12,368

$9,000

$10,000

$11,000

$12,000

$13,000

$14,000

$15,000

$16,000

$17,000

$18,000

Multi-Index Lifestyle Growth Portfolio Class 1S&P 500 IndexBloomberg Barclays U.S. Aggregate Bond IndexBlended Index

8/198/16 8/17 8/188/158/1412/13

Multi-Index Lifestyle Growth PortfolioSubadvisors: Manulife Investment Management (US) LLC and Manulife Investment Management (North America) LimitedPortfolio Managers: Robert E. Sykes, CFA, Nathan W. Thooft, CFA

16

INVESTMENT OBJECTIVE & POLICIES c The portfolio seeks a balance between a high level ofcurrent income and growth of capital, with greater emphasis on income. The portfolio operates as afund of funds and normally invests approximately 60% of its assets in underlying funds that investprimarily in fixed-income securities and approximately 40% in underlying funds that invest primarily inequity securities.



Performance c For the year ended August 31,2019, the Multi-Index Lifestyle ModeratePortfolio Class 1 shares returned 5.64% and ablend of 28% Russell 3000 Index, 12% MSCI ACWorld ex-U.S.A. Index, 12% ICE Bank of AmericaMerrill Lynch U.S. High Yield Master II Index, and48% Bloomberg Barclays U.S. Aggregate BondIndex returned 5.95%.


Trade tensions negatively impacted stocks in thefourth quarter of 2018. A 0.25% interest rateincrease by the U.S. Federal Reserve Board (Fed)in December — following one in September —also weighed on market sentiment. However, Fed

chief Jerome Powell bolstered equity markets inearly January when he backed away from theFed’s earlier commitment to multiple interest rateincreases in 2019. Subsequent comments led themarket to anticipate that the Fed’s next movewould be an interest rate cut, and this expecta-tion, coupled with reasonably favorable economicand corporate earnings data, kept U.S. stocks ona mostly upward trajectory over the first eightmonths of 2019. On the final day of July, the Fedlowered its key policy interest rate by 0.25%, thefirst rate reduction since 2008.



From an asset allocation perspective, an under-weight position in U.S. large-cap equity and anoverweight position in floating rate loansdetracted from returns. Strategic Equity Alloca-tion Fund (Manulife Investment Management(US) LLC) and manager selection in core fixedincome strategies detracted from returns. Over-weight positions in defensive equity and emerg-ing market debt contributed to returns, as didunderweight positions in small-cap equity andhigh yield fixed income.




Inception

Multi-Index Lifestyle Moderate Portfolio Class R6(began 12/30/13) 5.58 4.46 — 4.99 24.38 — 31.81

Multi-Index Lifestyle Moderate Portfolio Class 1(began 12/30/13) 5.64 4.45 — 4.97 24.34 — 31.67


1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not predict future performance.2 Since inception, a portion of the Multi-Index Lifestyle Moderate Portfolio expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The S&P 500 Index is an unmanaged index comprised of 500 widely traded U.S. common stocks.4 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.5 The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged index of dollar-denominated and non-convertible investment-grade debt issues.6 The Blended Index is composed of 28% Russell 3000 Index, 12% MSCI AC World ex-U.S.A. Index, 12% ICE Bank of America Merrill Lynch U.S. High Yield Master II Index, and 48%


Asset Allocation* % of TotalAffiliated investment companies 25.4Large blend 25.4Unaffiliated investment companies 74.6Fixed income 60.1Equity 14.5


$17,859

$13,730$13,167

$12,368

8/198/16 8/17 8/188/158/1412/13$9,000

$10,000

$11,000

$12,000

$13,000

$14,000

$15,000

$16,000

$17,000

$18,000

Multi-Index Lifestyle Moderate Portfolio Class 1S&P 500 IndexBloomberg Barclays U.S. Aggregate Bond IndexBlended Index

Multi-Index Lifestyle Moderate PortfolioSubadvisors: Manulife Investment Management (US) LLC and Manulife Investment Management (North America) LimitedPortfolio Managers: Robert E. Sykes, CFA, Nathan W. Thooft, CFA

17

INVESTMENT OBJECTIVE & POLICIES c The fund seeks to achieve a combination of long-termcapital appreciation and current income. Under normal market conditions, the fund invests at least80% of its net assets (plus any borrowings for investment purposes) in equity securities of real estateinvestment trusts (REITs) and real estate companies.



Performance c For the year ended August 31,2019, the Real Estate Securities Fund Class 1shares returned 17.35% and the MSCI U.S. REITIndex returned 12.03%.

Environment c Over the past one-year, US REITswidely outperformed the broader equity market(as represented by the S&P 500 Index). To startQ4 2018, October marked the worst month forequity markets since 2011 as U.S. stocks lostnearly $2 trillion in value driven by a broad-basedtechnology rout. Midterm election results dimin-ished investors’ fears in November as riskierassets curried favor after Democrats won controlof the House of Representatives and Republicansheld the Senate, but this delicate balance shiftedsharply in December as volatility, U.S. dollarweakness, and adverse macro events shookinvestor confidence. Entering 2019, expectationsof an accord between the world’s economicsuperpowers combined with better-than expectedcorporate earnings and a less-hawkish stancefrom some of the biggest central banks sent

stocks sharply higher in the first two months ofthe year. However, U.S. stocks came under pres-sure in May as the U.S. imposed new tariffs onChinese goods whilst China responded by target-ing some of the biggest U.S. exporters. Junemarked a rebound for U.S. equity markets amidstexpectations for central bank support and opti-mism for progress on trade talks at the end-of-month G20 summit, but this was short lived asPresident Trump imposed additional tariffs onChinese imports which escalated the trade warwith China. In response, 30-year U.S. treasuryyields dropped below 2% in August. The U.S.dollar rallied alongside Gold, indicating height-ened demand for safe havens, and the U.S. yieldcurve inverted, fueling recessionary fears. FederalReserve comments were largely in line withexpectations, with potential cuts on the horizonlater this year. In this environment, defensive ori-ented REITs found favor amongst investors andcomfortably outperformed.

For the annual reporting period endingAugust 31, 2019, the fund outperformed theMSCI U.S. REIT Index. Relative outperformancewas the result of both strong stock selection andsector allocation effects. Over the one-yearperiod, performance was driven by positive stockselection, particularly in the net lease, specialty,office, and regional malls sectors. Weak stockselection in the apartments sector marginally off-set this. Sector allocation was strong, with under-weight allocations to the underperformingregional malls and hotels sectors the primarycontributors. On the flip side, the allocation tothe specialty segment detracted slightly duringthe period. The off-benchmark allocation totower REITs was also notably additive. Duringthe last year, the fund’s largest overweight sec-tors included apartments and towers, while theregional malls and hotels sectors were the largestunderweight allocations.


Real Estate Securities Fund Class 1 17.35 9.18 13.84 55.11 265.41MSCI U.S. REIT Index3,4 12.03 8.16 13.41 47.99 252.05

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Real Estate Securities Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The MSCI U.S. REIT Index is an unmanaged index consisting of the most actively traded REITs.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectus for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class 1 shares the grossexpenses are 0.81% and the net expenses are 0.80%. Net expenses reflect contractual expense limitations in effect until July 31, 2021 and are subject to change. Had the contractual feewaivers and expense limitations not been in place, gross expenses would apply.

Portfolio Composition* % of TotalSpecialized REITs 22.3Residential REITs 19.9Health care REITs 13.4Industrial REITs 10.3Retail REITs 10.3Office REITs 10.0Diversified REITs 8.7Hotel and resort REITs 3.8IT consulting and other services 1.0Short-term investments and other 0.3


8/198/188/178/168/158/148/138/128/118/108/09$5,000

$10,000

$15,000

$20,000

$25,000

$30,000

$35,000

$40,000$36,541$35,205

Real Estate Securities Fund Class 1MSCI U.S. REIT Index

Real Estate Securities FundSubadvisor: DWS Investment Management Americas Inc.Portfolio Managers: Robert Thomas, John W. Vojticek, David W. Zonavetch, CPA

18

INVESTMENT OBJECTIVE & POLICIES c The fund seeks long-term growth of capital. Currentincome is incidental to the fund’s objective. Under normal market conditions, the fund invests at least80% of its net assets (plus any borrowings for investment purposes) in the common stocks of compa-nies expected to benefit from the development, advancement, and/or use of science and technology.



Performance c For the year ended August 31,2019, the Science & Technology Fund Class NAVshares returned 3.19% and the Lipper Science &Technology Index returned 2.27%.

Environment c Despite the abrupt sell-off in the finalquarter of 2018, sparked by a convergence of multipleheadwinds, equities delivered modest gains over the fullperiod. Within the technology sector, global semiconduc-tor and hardware stocks lagged due to the ongoingtrade tensions between the US and China. Supply chainsand end markets are highly connected between the twocountries, making the impact more acute for thesegroups. Software and services stocks held up better givenlower exposures to China trade uncertainties and earn-ings reports that largely supported the view of stable andhealthy growth.

Allianz Global Investors US LLCHigher growth software companies delivered strong per-formance despite the macro headwinds. Overweightpositions in Okta, Inc., Paycom Software, Inc., Twilio, Inc.,MongoDB, Inc., and ServiceNow Inc. positively contrib-uted to relative performance. These stocks performedwell during the period due to higher demand for theirinnovative product offerings, which led to consistentlystrong operational results. The fund’s relative performancewas hurt mostly by overweight positions in companiesthat were negatively impacted by slower demand, partlydue to the trade war with China. Overweight positions in

NetApp, Inc., DXC Technology, and Nutanix, Inc. (soldprior to year end) were the largest relative detractors.Additionally, our overweight positions in Square, Inc. andBloom Energy Corp. weighed on relative performance.

We continue to believe the technology sector canprovide some of the best absolute and relativereturn opportunities in the equity markets — espe-cially for bottom-up stock pickers. The growth intechnology is coming from the creation of new mar-kets. Investors need to find companies generatinggrowth by creating new markets or effecting signifi-cant change on old markets. Sectors such as auto-mobiles, advertising, security, retail, and manufactur-ing are all being shaped and transformed byadvances in technology.

T. Rowe Price Associates, Inc.Software contributed the most to relative perfor-mance, as the value added by stock selection morethan offset the drag from the fund’s below-benchmark allocation to this subsector. In October2018, shares of Red Hat, Inc. surged after IBMannounced an agreement to acquire the industryleader in Linux operating systems and open-sourcesolutions. We exited Red Hat. We initiated a positionin salesforce.com, Inc. when the stock came underpressure after the company announced the pro-posed acquisition of Tableau Software. This oppor-tunism resulted in superior relative performance

when the stock began to regain some of its lostground, lifted in part by strong second-quarterresults and forward guidance that underscored sales-force.com’s ability to deliver impressive top-linegrowth for a company of its size. Synopsys, Inc. alsocontributed to performance in this sector. Equityselection in internet also lifted relative results andmore than counterbalanced the negative effectsfrom the fund’s sizable overweight in this subsector.

Conversely, hardware detracted the most from rela-tive performance, as the contribution from thefund’s underweight allocation to this subsector wasnot enough to offset stock selection’s negativeeffects. Shares of Coherent, Inc., a leading producerof specialty lasers in a variety of end markets, soldoff with the broader equity market in December2018. Worries about the uncertain macro outlookand ongoing weakness in the OLED market likelyexacerbated this downside. Although the stock ral-lied in the new year on hopes that trade negotia-tions between the U.S. and China might lead to adeal and lift the economy, the stock failed to recoverall its lost ground. We exited Coherent to reflect ashift in our views regarding the company’s opportu-nity to expand its service revenue in coming years.Not owning any names in financial services — thetop-performing subsector in the benchmark—likewise weighed on the fund’s relative results.




Inception

Science & Technology Fund Class NAV (began 2/14/13) 3.19 15.49 — 18.57 105.41 — 204.82S&P 500 Index3,4 2.92 10.11 — 12.82 61.89 — 120.18Lipper Science & Technology Index4,5 2.27 14.65 — 16.96 98.09 — 178.68

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Science & Technology Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 S&P 500 Index is an unmanaged index that includes 500 widely traded stocks.4 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.5 The Lipper Science & Technology Index consists of the 30 largest funds in the Lipper peer category that invest primarily in the equity securities of domestic companies engaged in

science and technology.The expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectus for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class NAV shares, the grossexpense is 1.12% and the net expense is 1.11%. Net expenses reflect contractual expense limitations in effect until July 31, 2021 and are subject to change. Had the contractual feewaivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalInformation technology 55.6Communication services 19.9Consumer discretionary 16.7Health care 1.1Industrials 0.4Materials 0.2Short-term investments and other 6.1


8/19$6,000

$10,000

$14,000

$18,000

$22,000

$26,000

$30,000

$34,000

$30,482

$27,868

$22,018

Science & Technology Fund Class NAVS&P 500 IndexLipper Science & Technology Index

8/17 8/188/168/158/148/132/13

Science & Technology FundSubadvisors: T. Rowe Price Associates Inc. and Allianz Global Investors U.S., LLCPortfolio Managers: Ken Allen (T. Rowe), Huachen Chen (Allianz), Walter C. Price (Allianz), Michael A. Seidenberg (Allianz)

19

INVESTMENT OBJECTIVE & POLICIES c The fund seeks long-term growth of capital. Undernormal market conditions, the fund invests at least 80% of its net assets (plus any borrowings forinvestment purposes) in companies with market capitalizations that do not exceed the maximummarket capitalization of any security in the Russell 2000 Index at the time of investment.



Performance c For the year ended August 31,2019, the Small Company Value Fund Class 1 sharesdeclined 10.16% and the Russell 2000 Value Indexdeclined 14.89%.

Environment c Major U.S. stock indexes weremixed for the one-year period ended August 31,2019, with large-caps significantly outperformingsmall-caps, which finished in negative territory, andgrowth indexes outperforming value across all mar-ket capitalizations. The period was marked byheightened volatility as familiar themes includingescalating trade tensions, decelerating globalgrowth, and the Federal Reserve’s changing mon-etary policy stance, persisted. The long-simmeringtrade dispute between the U.S. and China deepenedafter the U.S. announced new tariffs on Chinesegoods in August, which led to a steep devaluationof the yuan to a level not seen over the pastdecade, although signs that both sides were prepar-ing to resume negotiations in September providedsome encouragement. While corporate earningshave been strong over the period, the U.S. manufac-turing sector is beginning to show signs of slow-down due to the trade war, further dampening sen-timent. However, solid labor data and improvingconsumer conditions mitigated the worsening out-look. Since March, the Fed stopped raising interestrates and displayed increased willingness to adjustinterest rates as per the economic data, which finallyculminated in a rate cut towards the end of July.

Stock selection in health care led relative results.Atrion Corp. develops and manufactures proprietarycomponents for medical devices used mainly in fluiddelivery applications. We believe the firm is a qualitycompany that generates regular cash flow. It ben-efited from tax reform more than many industrypeers and held up well in a generally challengedhealth sector. The Ensign Group, Inc. is an operatorof subsidiaries providing a broad spectrum of skillednursing and assisted living services. During theperiod, the company announced that it would spinoff its home health, hospice, senior living, andmobile diagnostics businesses into a separatelytraded entity, allowing for the acceleration ofgrowth in both organizations. Ensign’s unique, local-ized leadership structure should allow it to continueto consolidate inexpensive acquisitions in a frag-mented industry.

Industrials also added value due to stock choices.FTI Consulting, Inc. is a professional services firmthat is well known for its bankruptcy and economicconsulting practices. Their services tend to thrive incyclical environments like the current economicbackdrop. Recent strength has been particularlyprominent in the corporate finance and restructuringsegment, as well as the forensic and litigation con-sulting segment. Consumer discretionary also addedvalue due to stock picks, specifically StrategicEducation, Inc.

Conversely, stock selection in information technologydetracted the most from relative performance. GTTCommunications, Inc. is an asset-light, technologyagnostic provider of cloud networking services pri-marily to multinational clients. The company offerswide area network, internet, managed network,security, voice, and unified communications services.With operations in over 100 countries, GTT operatesone of the five largest Tier 1 IP networks in theworld. Shares declined on first-quarter 2019 resultsthat fell short of expectations, partially attributed toacquisitions that have not yet been fully integrated.We continue to believe this is a compelling long-term investment with minimal capital expenditurerequirements and a highly recurring revenue base.

Financials also weighed on returns due primarily tostock choices although an underweight position alsoproved unhelpful. Green Dot Corp. is the leadingprovider of general-purpose reloadable cards in theU.S. Shares plunged following a 20% cut to forwardguidance attributed to the funding of a marketingcampaign for a new direct bank. Although we havea favorable view of Green Dot’s core business andbelieve it could become a substantially larger plat-form over time with solid execution, uncertaintyregarding the outcome of the company’s entranceinto this new business could pressure shares in thenear term.


Periods Ending August 31, 2019 1-year 5-year 10-year 5-year 10-year

Small Company Value Fund Class 1 –10.16 6.77 10.66 38.75 175.46Russell 2000 Value Index3,4 –14.89 4.63 10.05 25.39 160.46

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Small Company Value Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The Russell 2000 Value Index is an unmanaged index that measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth

values.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectus for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class 1 shares the grossexpenses are 1.23% and the net expenses are 1.22%. Net expenses reflect contractual expense limitations in effect until July 31, 2021 and are subject to change. Had the contractual feewaivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalFinancials 26.8Industrials 14.0Real estate 11.0Consumer discretionary 9.2Information technology 8.8Utilities 7.0Health care 6.7Energy 5.5Materials 4.1Consumer staples 3.0Communication services 2.2Short-term investments and other 1.7


$6,000

$10,000

$14,000

$18,000

$22,000

$26,000

$30,000

$34,000

$26,046$27,546

Small Company Value Fund Class 1Russell 2000 Value Index

8/198/188/178/168/158/148/138/128/118/108/09

Small Company Value FundSubadvisor: T. Rowe Price Associates, Inc.Portfolio Manager: J. David Wagner, CFA

20

INVESTMENT OBJECTIVE & POLICIES c The fund seeks capital appreciation. The fund seeks toachieve its objective by investing under normal market conditions at least 80% of its net assets (plusany borrowings for investment purposes) in U.S. and foreign equity securities of any market capitaliza-tion, including futures on indexes of equity securities.



Performance c For the year ended August 31,2019, the Strategic Equity Allocation Fund ClassNAV shares declined 1.78% and a blend of 70%Russell 3000 Index and 30% MSCI AC Worldex-U.S.A. Index declined 0.04%.


Trade tensions negatively impacted stocks in thefourth quarter of 2018. A 0.25% interest rateincrease by the U.S. Federal Reserve Board (Fed)in December — following one in September —also weighed on market sentiment. However, Fedchief Jerome Powell bolstered equity markets inearly January when he backed away from theFed’s earlier commitment to multiple interest rate

increases in 2019. Subsequent comments led themarket to anticipate that the Fed’s next movewould be an interest rate cut, and this expecta-tion, coupled with reasonably favorable economicand corporate earnings data, kept U.S. stocks ona mostly upward trajectory over the first eightmonths of 2019. On the final day of July, the Fedlowered its key policy interest rate by 0.25%, thefirst rate reduction since 2008.



lagged, as trade concerns were seen as a signifi-cant threat to international markets. Canadianstocks underperformed most major U.S. equitybenchmarks, and were relatively weak inresponse to trade worries and the depreciation ofthe Canadian dollar, as well as sharply fallingcrude oil prices for virtually the entire fourthquarter of 2018.

From an asset allocation perspective, an over-weight position in large-capitalization U.S. stocks,relative to small- and mid-cap U.S. stocks, con-tributed to returns, as did an underweight posi-tion in emerging markets relative to developedmarkets. Country rotation within developed mar-kets also contributed to returns.

Sector and industry rotation within the U.S.detracted from returns, as did country rotationwithin emerging markets.




Inception

Strategic Equity Allocation Fund Class NAV (began 4/13/12) –1.78 6.16 — 9.60 34.86 — 96.69S&P 500 Index3,4 2.92 10.11 — 13.17 61.89 — 149.20Blended Index4,5 –0.04 7.13 — 10.45 41.11 — 108.25

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the Strategic Equity Allocation Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The S&P 500 Index is an unmanaged index that includes 500 widely traded common stocks.4 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.5 The Blended Index is composed of 70% Russell 3000 Index and 30% MSCI AC World ex-U.S.A. Index.The expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectus for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class NAV shares, the grossexpense is 0.67% and the net expense is 0.66%. Net expenses reflect contractual expense limitations in effect until July 31, 2021 and are subject to change. Had the contractual feewaivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalInformation technology 18.1Financials 16.9Health care 11.7Consumer discretionary 10.2Industrials 9.2Consumer staples 8.3Communication services 6.8Energy 4.9Materials 3.8Real estate 3.6Utilities 3.3Short-term investments and other 3.2


8/198/17 8/188/168/158/148/138/124/12$8,000

$10,000

$12,000

$14,000

$16,000

$18,000

$20,000

$22,000

$24,000

$26,000

Strategic Equity Allocation Fund Class NAVS&P 500 IndexBlended Index

$20,825$19,669

$24,920

Strategic Equity Allocation FundSubadvisor: Manulife Investment Management (US) LLCPortfolio Manager: Nathan W. Thooft, CFA

21

INVESTMENT OBJECTIVE & POLICIES c The fund seeks capital appreciation. The fund seeks toachieve its objective by investing under normal market conditions at least 80% of its net assets (plusany borrowings for investment purposes) in U.S. equity securities of any market capitalization, includ-ing futures on indexes of equity securities.



Performance c For the year ended August 31,2019, the U.S. Strategic Equity Allocation FundClass NAV shares declined 0.34% and the Russell3000 Index returned 1.31%.


Trade tensions negatively impacted stocks in thefourth quarter of 2018. A 0.25% interest rateincrease by the U.S. Federal Reserve Board (Fed)in December — following one in September —also weighed on market sentiment. However, Fedchief Jerome Powell bolstered equity markets inearly January when he backed away from theFed’s earlier commitment to multiple interest rateincreases in 2019. Subsequent comments led the

market to anticipate that the Fed’s next movewould be an interest rate cut, and this expecta-tion, coupled with reasonably favorable economicand corporate earnings data, kept U.S. stocks ona mostly upward trajectory over the first eightmonths of 2019. On the final day of July, the Fedlowered its key policy interest rate by 0.25%, thefirst rate reduction since 2008.



lagged, as trade concerns were seen as a signifi-cant threat to international markets. Canadianstocks underperformed most major U.S. equitybenchmarks, and were relatively weak inresponse to trade worries and the depreciation ofthe Canadian dollar, as well as sharply fallingcrude oil prices for virtually the entire fourthquarter of 2018.

From an asset allocation perspective, under-weight positions in U.S. small- and mid-capitalization equity contributed to returns, asdid an exposure to the software industry.

Sector and industry rotation detracted fromreturns. Specific positions that detracted fromreturns include exposures to the technologyhardware and semiconductor industries.




Inception

U.S. Strategic Equity Allocation Fund Class NAV(began 9/26/16) –0.34 — — 11.98 — — 39.32

Russell 3000 Index3,4 1.31 — — 12.54 — — 41.40

1 Performance does not reflect the deduction of taxes on fund distributions or redemptions of fund shares. Past performance does not guarantee future results.2 Since inception, a portion of the U.S. Strategic Equity Allocation Fund expenses was reimbursed. If such expenses had not been reimbursed, returns would be lower.3 The Russell 3000 Index is an unmanaged index of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S.

equity market.4 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 expense ratios of the fund, both net (including any fee waivers or expense limitations) and gross (excluding any fee waivers or expense limitations), are set forth according to themost recent publicly available prospectus for the fund and may differ from the expense ratios disclosed in the financial highlights tables in this report. For Class NAV shares, the grossexpense is 0.65% and the net expense is 0.64%. Net expenses reflect contractual expense limitations in effect until July 31, 2021 and are subject to change. Had the contractual feewaivers and expense limitations not been in place, gross expenses would apply.

Sector Composition* % of TotalInformation technology 25.1Health care 14.1Financials 12.8Consumer discretionary 10.2Industrials 7.9Communication services 7.3Consumer staples 6.6Energy 4.4Real estate 4.1Utilities 3.4Materials 1.7Short-term investments and other 2.4


8/19

$14,140$13,932

U.S. Strategic Equity Allocation Fund Class NAVRussell 3000 Index

2/188/172/17 8/18 2/199/16$9,000

$10,000

$11,000

$12,000

$13,000

$14,000

$15,000

U.S. Strategic Equity Allocation FundSubadvisor: Manulife Investment Management (US) LLCPortfolio Manager: Nathan W. Thooft, CFA

22

As a shareholder of John Hancock Funds II, you incur ongoing costs, such as management fees, distribution (Rule 12b-1) fees and other ex-penses. In the case of Multi-Index Lifestyle Aggressive Portfolio, Multi-Index Lifestyle Balanced Portfolio, Multi-Index Lifestyle ConservativePortfolio, Multi-Index Lifestyle Growth Portfolio and Multi-Index Lifestyle Moderate Portfolio, in addition to the operating expenses which theportfolio bears directly, the portfolio indirectly bears a pro rata share of the operating expenses of the underlying funds in which the portfolioinvests. Because the underlying funds have varied operating expenses and transaction costs and the portfolio may own different proportions ofthe underlying funds at different times, the amount of expenses incurred indirectly by the portfolio will vary. If these indirect expenses were in-cluded, your expenses paid during the period would have been higher.

These examples are intended to help you understand your ongoing costs (in dollars) of investing in a fund so you can compare these costs withthe ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 at the beginning of the period andheld for the entire period (March 1, 2019 through August 31, 2019).

Actual expenses:

The first line of each share class in the following table provides information about actual account values and actual expenses. You may use theinformation in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your ac-count value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first lineunder the heading entitled “Expenses paid during period ended” to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes:

The second line of each share class in the following table provides information about hypothetical account values and hypothetical expensesbased on the actual expense ratio for the share class and an assumed annualized rate of return of 5% per year before expenses, which is not theactual return of the share class. The hypothetical account values and expenses may not be used to estimate the actual ending account balance orexpenses you paid for the period. You may use this information to compare the ongoing costs of investing in a fund and other funds. To do so,compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please re-member that these hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses youpaid for the period.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs andinsurance-related charges. Therefore, the second line of each share class in the table is useful in comparing ongoing costs only, and will not helpyou determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would havebeen higher.

Accountvalue on3-1-2019

Endingvalue on

8-31-2019

Expensespaid during

period ended8-31-20191

Annualizedexpense

ratioCapital Appreciation FundClass 1 Actual expenses/actual returns $1,000.00 $1,041.90 $4.07 0.79%

Hypothetical example 1,000.00 1,021.20 4.02 0.79%Class NAV Actual expenses/actual returns 1,000.00 1,042.50 3.81 0.74%

Hypothetical example 1,000.00 1,021.50 3.77 0.74%Capital Appreciation Value FundClass NAV Actual expenses/actual returns $1,000.00 $1,072.10 $4.23 0.81%

Hypothetical example 1,000.00 1,021.10 4.13 0.81%Health Sciences FundClass NAV Actual expenses/actual returns $1,000.00 $ 978.40 $5.24 1.05%

Hypothetical example 1,000.00 1,019.90 5.35 1.05%International Growth Stock FundClass NAV Actual expenses/actual returns $1,000.00 $1,051.80 $5.12 0.99%

Hypothetical example 1,000.00 1,020.20 5.04 0.99%International Small Cap FundClass 1 Actual expenses/actual returns $1,000.00 $ 959.30 $6.17 1.25%

Hypothetical example 1,000.00 1,018.90 6.36 1.25%Class NAV Actual expenses/actual returns 1,000.00 959.30 5.78 1.17%

Hypothetical example 1,000.00 1,019.30 5.95 1.17%International Strategic Equity Allocation FundClass NAV Actual expenses/actual returns $1,000.00 $ 992.30 $2.86 0.57%

Hypothetical example 1,000.00 1,022.30 2.91 0.57%

John Hancock Funds IIShareholder expense example

23

Accountvalue on3-1-2019

Endingvalue on

8-31-2019

Expensespaid during

period ended8-31-20191

Annualizedexpense

ratioInternational Value FundClass 1 Actual expenses/actual returns $1,000.00 $ 909.90 $4.72 0.98%

Hypothetical example 1,000.00 1,020.30 4.99 0.98%Class NAV Actual expenses/actual returns 1,000.00 910.20 4.33 0.90%

Hypothetical example 1,000.00 1,020.70 4.58 0.90%Mid Cap Stock FundClass 1 Actual expenses/actual returns $1,000.00 $1,053.90 $4.76 0.92%

Hypothetical example 1,000.00 1,020.60 4.69 0.92%Class NAV Actual expenses/actual returns 1,000.00 1,054.20 4.50 0.87%

Hypothetical example 1,000.00 1,020.80 4.43 0.87%Mid Value FundClass NAV Actual expenses/actual returns $1,000.00 $ 974.10 $4.68 0.94%

Hypothetical example 1,000.00 1,020.50 4.79 0.94%Multi-Index Lifestyle Aggressive PortfolioClass R6 Actual expenses/actual returns $1,000.00 $1,024.80 $1.28 0.25%2

Hypothetical example 1,000.00 1,023.90 1.28 0.25%2

Class 1 Actual expenses/actual returns 1,000.00 1,023.90 1.43 0.28%2


Multi-Index Lifestyle Balanced PortfolioClass R6 Actual expenses/actual returns $1,000.00 $1,041.90 $1.85 0.36%2




Multi-Index Lifestyle Conservative PortfolioClass R6 Actual expenses/actual returns $1,000.00 $1,058.40 $2.59 0.50%2




Multi-Index Lifestyle Growth PortfolioClass R6 Actual expenses/actual returns $1,000.00 $1,034.00 $1.54 0.30%2




Multi-Index Lifestyle Moderate PortfolioClass R6 Actual expenses/actual returns $1,000.00 $1,052.30 $2.28 0.44%2




Real Estate Securities FundClass 1 Actual expenses/actual returns $1,000.00 $1,139.40 $4.31 0.80%

Hypothetical example 1,000.00 1,021.20 4.08 0.80%Science & Technology FundClass NAV Actual expenses/actual returns $1,000.00 $1,072.00 $5.54 1.06%

Hypothetical example 1,000.00 1,019.90 5.40 1.06%Small Company Value FundClass 1 Actual expenses/actual returns $1,000.00 $ 987.00 $5.91 1.18%

Hypothetical example 1,000.00 1,019.30 6.01 1.18%Strategic Equity Allocation FundClass NAV Actual expenses/actual returns $1,000.00 $1,020.10 $2.70 0.53%

Hypothetical example 1,000.00 1,022.50 2.70 0.53%U.S. Strategic Equity Allocation FundClass NAV Actual expenses/actual returns $1,000.00 $1,040.10 $2.73 0.53%

Hypothetical example 1,000.00 1,022.50 2.70 0.53%

1 Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-halfyear period).

2 Ratios do not include expenses indirectly incurred by the underlying funds and can vary based on the mix of underlying funds held by the portfolios.

John Hancock Funds IIShareholder expense example

24

Capital Appreciation FundShares orPrincipalAmount Value

COMMON STOCKS – 99.0%Communication services – 14.9%Entertainment – 4.4%Netflix, Inc. (A) 174,010 $ 51,115,438The Walt Disney Company 188,922 25,931,434

77,046,872Interactive media and services – 10.5%Alphabet, Inc., Class A (A) 38,879 46,286,616Alphabet, Inc., Class C (A) 38,898 46,214,714Facebook, Inc., Class A (A) 331,042 61,464,568Tencent Holdings, Ltd. 677,181 27,957,773

181,923,671258,970,543

Consumer discretionary – 19.2%Automobiles – 1.3%Tesla, Inc. (A)(B) 102,188 23,054,635Hotels, restaurants and leisure – 2.2%Chipotle Mexican Grill, Inc. (A) 26,034 21,827,426Marriott International, Inc., Class A 124,916 15,746,911

37,574,337Internet and direct marketing retail – 8.5%Alibaba Group Holding, Ltd., ADR (A) 255,896 44,789,477Amazon.com, Inc. (A) 57,360 101,887,992

146,677,469Specialty retail – 1.5%The Home Depot, Inc. 115,861 26,405,881Textiles, apparel and luxury goods – 5.7%adidas AG 37,391 11,079,392Kering SA 44,902 21,757,200Lululemon Athletica, Inc. (A) 163,619 30,215,521NIKE, Inc., Class B 430,809 36,403,361

99,455,474333,167,796

Consumer staples – 5.0%Beverages – 0.8%Constellation Brands, Inc., Class A 64,627 13,206,527Food and staples retailing – 2.2%Costco Wholesale Corp. 132,394 39,024,455Personal products – 2.0%The Estee Lauder Companies, Inc.,

Class A 171,899 34,034,28386,265,265

Financials – 2.2%Banks – 0.8%JPMorgan Chase & Co. 126,250 13,869,825Capital markets – 1.4%S&P Global, Inc. 93,062 24,213,802

38,083,627Health care – 10.8%Biotechnology – 3.0%Alexion Pharmaceuticals, Inc. (A) 25,087 2,527,766BioMarin Pharmaceutical, Inc. (A) 160,046 12,013,053Exact Sciences Corp. (A) 75,177 8,962,602Sage Therapeutics, Inc. (A) 49,306 8,464,361Vertex Pharmaceuticals, Inc. (A) 117,416 21,137,228

53,105,010Health care equipment and supplies – 4.1%Danaher Corp. 122,943 17,468,971DexCom, Inc. (A) 50,093 8,596,460Edwards Lifesciences Corp. (A) 97,237 21,571,056

Capital Appreciation Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Health care equipment and supplies (continued)Intuitive Surgical, Inc. (A) 46,046 $ 23,545,162

71,181,649Health care providers and services – 0.2%Guardant Health, Inc. (A) 38,934 3,407,893Life sciences tools and services – 1.7%Illumina, Inc. (A) 104,658 29,444,482Pharmaceuticals – 1.8%AstraZeneca PLC, ADR 691,389 31,133,247

188,272,281Industrials – 6.5%Aerospace and defense – 5.0%Airbus SE 121,994 16,809,958Safran SA 158,533 23,025,608The Boeing Company 129,050 46,985,815

86,821,381Road and rail – 1.5%Uber Technologies, Inc. (A)(B) 154,785 5,041,347Union Pacific Corp. 131,717 21,332,885

26,374,232113,195,613

Information technology – 38.7%IT services – 13.6%Adyen NV (A)(C) 31,410 22,771,985FleetCor Technologies, Inc. (A) 98,985 29,537,124Mastercard, Inc., Class A 269,067 75,707,382PayPal Holdings, Inc. (A) 221,039 24,104,303Square, Inc., Class A (A) 190,445 11,777,119Twilio, Inc., Class A (A) 60,824 7,935,707Visa, Inc., Class A 355,362 64,256,557

236,090,177Semiconductors and semiconductor equipment – 5.3%Broadcom, Inc. 69,327 19,594,583NVIDIA Corp. 206,477 34,586,962QUALCOMM, Inc. 310,948 24,182,426Universal Display Corp. 25,236 5,185,241Xilinx, Inc. 85,098 8,855,298

92,404,510Software – 16.4%Adobe, Inc. (A) 151,767 43,179,229Microsoft Corp. 653,407 90,078,689salesforce.com, Inc. (A) 467,139 72,906,384SAP SE, ADR 123,874 14,759,587ServiceNow, Inc. (A) 81,160 21,250,934Splunk, Inc. (A) 182,545 20,412,182Workday, Inc., Class A (A) 127,761 22,649,470

285,236,475Technology hardware, storage and peripherals – 3.4%Apple, Inc. 283,006 59,074,672

672,805,834Real estate – 1.7%Equity real estate investment trusts – 1.7%American Tower Corp. 78,470 18,063,009Crown Castle International Corp. 77,714 11,281,741

29,344,750TOTAL COMMON STOCKS (Cost $824,736,887) $ 1,720,105,709

John Hancock Funds IIPortfolio of Investments — August 31, 2019 (showing percentage of total net assets)

The accompanying notes are an integral part of the financial statements. 25

Capital Appreciation Fund (continued)Shares orPrincipalAmount Value

SECURITIES LENDING COLLATERAL – 1.5%John Hancock Collateral Trust,

2.1920% (D)(E) 2,543,974 $ 25,457,039TOTAL SECURITIES LENDING COLLATERAL(Cost $25,453,468) $ 25,457,039

SHORT-TERM INVESTMENTS – 0.0%Money market funds – 0.0%State Street Institutional U.S. Government Money

Market Fund, Premier Class, 2.0691% (D) 255,622 255,622TOTAL SHORT-TERM INVESTMENTS (Cost $255,622) $ 255,622Total Investments (Capital Appreciation Fund)

(Cost $850,445,977) – 100.5% $ 1,745,818,370Other assets and liabilities, net – (0.5%) (9,003,985)TOTAL NET ASSETS – 100.0% $ 1,736,814,385

Security Abbreviations and LegendADR American Depositary Receipt(A) Non-income producing security.(B) All or a portion of this security is on loan as of 8-31-19.(C) These securities are exempt from registration under Rule 144A of

the Securities Act of 1933. Such securities may be resold, normallyto qualified institutional buyers, in transactions exempt fromregistration.

(D) The rate shown is the annualized seven-day yield as of 8-31-19.(E) Investment is an affiliate of the fund, the advisor and/or subadvisor.

This security represents the investment of cash collateral received forsecurities lending.

Capital Appreciation Value FundShares orPrincipalAmount Value

COMMON STOCKS – 62.4%Communication services – 3.7%Interactive media and services – 3.7%Alphabet, Inc., Class A (A)(B) 2,638 $ 3,140,618Alphabet, Inc., Class C (B) 30,720 36,498,432Facebook, Inc., Class A (B) 102,900 19,105,443

58,744,493Consumer discretionary – 5.2%Auto components – 0.9%Aptiv PLC 178,957 14,883,854Hotels, restaurants and leisure – 2.3%Hilton Worldwide Holdings, Inc. 197,698 18,261,364McDonald’s Corp. 31,000 6,757,070Yum! Brands, Inc. (A) 101,539 11,857,724

36,876,158Internet and direct marketing retail – 2.0%Amazon.com, Inc. (B) 18,164 32,264,532

84,024,544Consumer staples – 0.5%Beverages – 0.5%Keurig Dr. Pepper, Inc. 287,527 7,843,737Energy – 0.2%Oil, gas and consumable fuels – 0.2%Concho Resources, Inc. 53,900 3,942,785Financials – 6.7%Banks – 0.8%The PNC Financial Services Group, Inc. 96,628 12,458,248Capital markets – 3.0%Intercontinental Exchange, Inc. 203,625 19,034,865

Capital Appreciation Value Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Capital markets (continued)S&P Global, Inc. 115,078 $ 29,942,145

48,977,010Insurance – 2.9%Marsh & McLennan Companies, Inc. 467,148 46,663,414

108,098,672Health care – 13.3%Health care equipment and supplies – 6.9%Alcon, Inc. (B) 392,963 23,896,527Becton, Dickinson and Company 152,353 38,685,474Danaher Corp. 332,341 47,222,333

109,804,334Health care providers and services – 1.3%Anthem, Inc. 21,100 5,518,072UnitedHealth Group, Inc. (A) 67,000 15,678,000

21,196,072Life sciences tools and services – 5.1%Avantor, Inc. (B) 223,792 3,916,360PerkinElmer, Inc. 520,877 43,076,528Thermo Fisher Scientific, Inc. 122,034 35,031,080

82,023,968213,024,374

Industrials – 7.8%Commercial services and supplies – 0.9%Waste Connections, Inc. 161,662 14,856,738Industrial conglomerates – 4.9%General Electric Company 5,209,959 42,982,162Roper Technologies, Inc. 95,925 35,181,453

78,163,615Machinery – 2.0%Fortive Corp. 460,011 32,614,780

125,635,133Information technology – 17.0%Electronic equipment, instruments and components – 2.0%TE Connectivity, Ltd. 358,493 32,701,731IT services – 7.0%Fiserv, Inc. (B) 470,586 50,324,467Global Payments, Inc. 85,112 14,126,890Visa, Inc., Class A (A) 262,540 47,472,483

111,923,840Semiconductors and semiconductor equipment – 4.0%Maxim Integrated Products, Inc. 363,791 19,841,161NXP Semiconductors NV 159,928 16,335,046Texas Instruments, Inc. (A) 226,265 28,000,294

64,176,501Software – 4.0%Microsoft Corp. 466,600 64,325,476

273,127,548Materials – 0.2%Chemicals – 0.2%DuPont de Nemours, Inc. 40,711 2,765,498Real estate – 0.6%Equity real estate investment trusts – 0.6%American Tower Corp. 45,400 10,450,626Utilities – 7.2%Electric utilities – 5.6%American Electric Power Company, Inc. 256,866 23,413,336Eversource Energy 257,597 20,641,248NextEra Energy, Inc. 102,290 22,409,693




COMMON STOCKS (continued)Electric utilities (continued)Xcel Energy, Inc. 361,852 $ 23,238,135

89,702,412Multi-utilities – 0.9%NiSource, Inc. 469,620 13,877,271Water utilities – 0.7%American Water Works Company, Inc. 93,759 11,937,396

115,517,079TOTAL COMMON STOCKS (Cost $755,873,248) $ 1,003,174,489

PREFERRED SECURITIES – 6.2%Financials – 1.9%Banks – 1.8%JPMorgan Chase & Co., 5.750% 150,000 4,162,500U.S. Bancorp, 5.500% 100,000 2,722,000U.S. Bancorp (6.500% to 1-15-22, then 3

month LIBOR + 4.468%) 27,000 741,960Wells Fargo & Company, Series L, 7.500% 14,190 20,591,109

28,217,569Capital markets – 0.1%State Street Corp., 6.000% 13,831 349,509The Charles Schwab Corp., 5.950% 8,000 210,320The Charles Schwab Corp., 6.000% 72,000 1,925,280

2,485,10930,702,678

Health care – 1.7%Health care equipment and supplies – 0.8%Becton, Dickinson and Company, 6.125% 210,184 13,004,084Life sciences tools and services – 0.9%Avantor, Inc., 6.250% 230,951 14,185,010

27,189,094Industrials – 0.3%Machinery – 0.3%Fortive Corp., 5.000% 4,052 3,796,472Utilities – 2.3%Electric utilities – 0.9%Alabama Power Company, 5.000% 50,000 1,346,000American Electric Power Company, Inc.,

6.125% 43,488 2,451,853Duke Energy Corp., 5.625% 140,000 3,927,000SCE Trust II, 5.100% 9,890 236,569SCE Trust III (5.750% to 3-15-24, then 3

month LIBOR + 2.990%) 80,739 2,025,742SCE Trust IV (5.375% to 9-15-25, then 3

month LIBOR + 3.132%) 113,000 2,763,980SCE Trust V (5.450% to 3-15-26, then 3

month LIBOR + 3.790%) 50,000 1,241,000SCE Trust VI, 5.000% 50,000 1,196,500

15,188,644Multi-utilities – 1.4%CMS Energy Corp., 5.875% 225,000 6,336,000CMS Energy Corp., 5.875% 275,000 7,573,500DTE Energy Company, 5.250% 165,000 4,516,050NiSource, Inc. (6.500% to 3-15-24, then 5

Year CMT + 3.632%) 141,050 3,890,15922,315,70937,504,353

TOTAL PREFERRED SECURITIES (Cost $88,069,052) $ 99,192,597


CORPORATE BONDS - 19.5%Communication services - 6.3%CCO Holdings LLC

4.000%, 03/01/2023 (C) $ 1,660,000 $ 1,676,6005.000%, 02/01/2028 (C) 9,022,000 9,473,1005.125%, 02/15/2023 1,097,000 1,114,8265.125%, 05/01/2023 to 05/01/2027 (C) 9,400,000 9,833,3155.250%, 03/15/2021 to 09/30/2022 2,930,000 2,950,7065.750%, 09/01/2023 to 01/15/2024 4,255,000 4,344,6485.875%, 04/01/2024 (C) 2,390,000 2,488,588

Charter Communications Operating LLC3.579%, 07/23/2020 575,000 580,478

Comcast Corp.3.300%, 10/01/2020 1,795,000 1,821,1183.450%, 10/01/2021 1,375,000 1,416,254

Comcast Corp. (3 month LIBOR +0.330%)2.649%, 10/01/2020 (D) 1,490,000 1,492,078

Comcast Corp. (3 month LIBOR +0.440%)2.759%, 10/01/2021 (D) 1,175,000 1,177,755

Level 3 Financing, Inc.5.375%, 08/15/2022 1,682,000 1,688,308

Netflix, Inc.4.375%, 11/15/2026 6,035,000 6,178,3314.875%, 04/15/2028 11,905,000 12,455,6065.375%, 02/01/2021 1,101,000 1,139,5355.500%, 02/15/2022 835,000 889,2755.875%, 02/15/2025 to 11/15/2028 14,193,000 15,845,5996.375%, 05/15/2029 (C) 6,940,000 7,998,350

Sirius XM Radio, Inc.3.875%, 08/01/2022 (C) 1,931,000 1,964,7934.625%, 05/15/2023 (C) 1,640,000 1,668,700

T-Mobile USA, Inc.6.000%, 03/01/2023 715,000 727,5136.500%, 01/15/2026 330,000 354,750

Unitymedia GmbH6.125%, 01/15/2025 (C) 3,675,000 3,833,025

Verizon Communications, Inc.3.125%, 03/16/2022 900,000 927,781

Verizon Communications, Inc. (3 monthLIBOR + 1.000%)3.410%, 03/16/2022 (D) 2,350,000 2,387,374

Zayo Group LLC5.750%, 01/15/2027 (C) 5,128,000 5,230,560

101,658,966Consumer discretionary - 2.6%Amazon.com, Inc.

2.600%, 12/05/2019 1,568,000 1,569,195Aptiv PLC

4.350%, 03/15/2029 160,000 175,406AutoZone, Inc.

2.500%, 04/15/2021 900,000 905,624Cedar Fair LP

5.375%, 06/01/2024 to 04/15/2027 4,443,000 4,660,924Dollar Tree, Inc. (3 month LIBOR +

0.700%)3.003%, 04/17/2020 (D) 610,000 610,037

Hilton Domestic Operating Company, Inc.4.250%, 09/01/2024 1,280,000 1,305,600

KFC Holding Company/Pizza HutHoldings LLC/Taco Bell ofAmerica LLC4.750%, 06/01/2027 (C) 6,395,000 6,698,7635.000%, 06/01/2024 (C) 2,735,000 2,827,3065.250%, 06/01/2026 (C) 2,983,000 3,154,523




CORPORATE BONDS (continued)Consumer discretionary (continued)Marriott International, Inc. (3 month

LIBOR + 0.650%)3.103%, 03/08/2021 (D) $ 575,000 $ 577,271

New Red Finance, Inc.4.625%, 01/15/2022 (C) 1,380,000 1,385,175

Service Corp. International5.375%, 05/15/2024 1,475,000 1,519,988

Six Flags Entertainment Corp.4.875%, 07/31/2024 (C) 770,000 796,9505.500%, 04/15/2027 (C) 277,000 296,390

The Home Depot, Inc.3.250%, 03/01/2022 875,000 908,889

The Home Depot, Inc. (3 month LIBOR +0.310%)2.830%, 03/01/2022 (D) 1,065,000 1,067,229

Yum! Brands, Inc.3.750%, 11/01/2021 3,995,000 4,074,9003.875%, 11/01/2020 to 11/01/2023 4,385,000 4,454,6885.300%, 09/15/2019 1,040,000 1,040,5205.350%, 11/01/2043 2,394,000 2,274,3006.875%, 11/15/2037 925,000 1,029,063

41,332,741Consumer staples - 1.4%Aramark Services, Inc.

5.000%, 04/01/2025 to 02/01/2028 (C) 2,325,000 2,406,778B&G Foods, Inc.

4.625%, 06/01/2021 975,000 978,169Conagra Brands, Inc.

3.800%, 10/22/2021 3,355,000 3,451,755Conagra Brands, Inc. (3 month LIBOR +

0.750%)3.028%, 10/22/2020 (D) 745,000 745,347

Nestle Holdings, Inc.3.100%, 09/24/2021 (C) 4,775,000 4,881,925

Philip Morris International, Inc.2.000%, 02/21/2020 1,920,000 1,917,7702.625%, 02/18/2022 905,000 916,947

Philip Morris International, Inc. (3 monthLIBOR + 0.420%)2.572%, 02/21/2020 (D) 1,275,000 1,276,997

Reckitt Benckiser Treasury Services PLC2.375%, 06/24/2022 (C) 2,925,000 2,943,549

Reckitt Benckiser Treasury Services PLC(3 month LIBOR + 0.560%)2.903%, 06/24/2022 (C)(D) 2,460,000 2,447,748

Unilever Capital Corp.3.000%, 03/07/2022 1,035,000 1,063,419

23,030,404Energy - 0.4%Enterprise Products Operating LLC

3.500%, 02/01/2022 1,500,000 1,550,989NuStar Logistics LP

4.800%, 09/01/2020 1,020,000 1,032,750Shell International Finance BV (3 month

LIBOR + 0.450%)2.631%, 05/11/2020 (D) 3,385,000 3,393,208

5,976,947Financials - 0.9%Marsh & McLennan Companies, Inc.

2.350%, 03/06/2020 810,000 810,5392.750%, 01/30/2022 865,000 879,1543.300%, 03/14/2023 315,000 327,256

Refinitiv US Holdings, Inc.6.250%, 05/15/2026 (C) 1,620,000 1,763,775


CORPORATE BONDS (continued)Financials (continued)Refinitiv US Holdings, Inc. (continued)

8.250%, 11/15/2026 (C) $ 1,935,000 $ 2,176,875State Street Corp. (5.250% to 9-15-20,

then 3 month LIBOR + 3.597%)09/15/2020 (E) 1,550,000 1,579,063

State Street Corp. (5.625% to 12-15-23,then 3 month LIBOR + 2.539%)12/15/2023 (E) 40,000 41,000

The Bank of New York Mellon Corp.(4.625% to 9-20-26, then 3 monthLIBOR + 3.131%)09/20/2026 (E) 1,025,000 1,030,125

The Bank of New York Mellon Corp.(4.950% to 6-20-20, then 3 monthLIBOR + 3.420%)06/20/2020 (E) 2,450,000 2,497,873

The PNC Financial Services Group, Inc.(5.000% to 11-1-26, then 3 monthLIBOR + 3.300%)11/01/2026 (E) 2,115,000 2,173,163

U.S. Bancorp (5.300% to 4-15-27, then 3month LIBOR + 2.914%)04/15/2027 (E) 1,155,000 1,227,188

14,506,011Health care - 2.7%Avantor, Inc.

6.000%, 10/01/2024 (C) 3,895,000 4,177,3889.000%, 10/01/2025 (C) 13,961,000 15,706,125

Becton, Dickinson and Company2.675%, 12/15/2019 1,932,000 1,933,5192.894%, 06/06/2022 3,385,000 3,440,8413.363%, 06/06/2024 1,180,000 1,230,396

Becton, Dickinson and Company (3 monthLIBOR + 1.030%)3.504%, 06/06/2022 (D) 1,895,000 1,905,314

Bristol-Myers Squibb Company2.550%, 05/14/2021 (C) 4,015,000 4,063,222

Bristol-Myers Squibb Company (3 monthLIBOR + 0.200%)2.368%, 11/16/2020 (C)(D) 2,625,000 2,624,605

Centene Corp.5.625%, 02/15/2021 535,000 542,356

Elanco Animal Health, Inc.3.912%, 08/27/2021 1,775,000 1,809,2284.272%, 08/28/2023 750,000 785,5534.900%, 08/28/2028 1,010,000 1,101,529

Fresenius Medical Care US Finance, Inc.5.750%, 02/15/2021 (C) 575,000 599,955

HCA Healthcare, Inc.6.250%, 02/15/2021 750,000 787,800

Hologic, Inc.4.375%, 10/15/2025 (C) 1,020,000 1,042,950

Teleflex, Inc.4.625%, 11/15/2027 892,000 943,1834.875%, 06/01/2026 1,311,000 1,381,086

44,075,050Industrials - 1.4%Caterpillar Financial Services Corp.

2.250%, 12/01/2019 810,000 810,148Continental Airlines 2009-2 Class A Pass

Through Trust7.250%, 05/10/2021 227,106 228,378

Continental Airlines 2012-1 Class A PassThrough Trust4.150%, 10/11/2025 937,235 994,968




CORPORATE BONDS (continued)Industrials (continued)Continental Airlines 2012-1 Class B Pass

Through Trust6.250%, 10/11/2021 $ 170,469 $ 172,924

General Electric Company (5.000% to1-21-21, then 3 month LIBOR +3.330%)01/21/2021 (E) 5,603,000 5,084,723

Lennox International, Inc.3.000%, 11/15/2023 510,000 516,869

Moog, Inc.5.250%, 12/01/2022 (C) 70,000 71,313

Northrop Grumman Corp.2.550%, 10/15/2022 2,140,000 2,173,197

Roper Technologies, Inc.3.650%, 09/15/2023 1,050,000 1,106,1054.200%, 09/15/2028 1,025,000 1,138,370

Sensata Technologies BV4.875%, 10/15/2023 (C) 1,057,000 1,108,8995.000%, 10/01/2025 (C) 1,475,000 1,563,5005.625%, 11/01/2024 (C) 415,000 450,275

Sensata Technologies UK FinancingCompany PLC6.250%, 02/15/2026 (C) 1,525,000 1,619,870

Trinity Acquisition PLC4.400%, 03/15/2026 1,035,000 1,133,994

US Airways 2010-1 Class A Pass ThroughTrust6.250%, 10/22/2024 48,353 52,376


US Airways 2012-2 Class B Pass ThroughTrust6.750%, 12/03/2022 247,913 265,713


US Airways 2013-1 Class B Pass ThroughTrust5.375%, 05/15/2023 339,194 351,846

Welbilt, Inc.9.500%, 02/15/2024 1,545,000 1,658,944

Xylem, Inc.3.250%, 11/01/2026 400,000 414,5884.875%, 10/01/2021 100,000 105,425

21,690,097Information technology - 1.2%Amphenol Corp.

2.200%, 04/01/2020 1,400,000 1,399,714Apple, Inc.

1.500%, 09/12/2019 3,595,000 3,594,420Fiserv, Inc.

2.700%, 06/01/2020 1,590,000 1,595,6363.800%, 10/01/2023 1,080,000 1,144,791

Solera LLC10.500%, 03/01/2024 (C) 11,115,000 11,781,900

19,516,461Materials - 0.7%Reynolds Group Issuer, Inc.

5.125%, 07/15/2023 (C) 1,000,000 1,028,0505.750%, 10/15/2020 5,029,669 5,042,2436.875%, 02/15/2021 1,405,209 1,410,478

Reynolds Group Issuer, Inc. (3 monthLIBOR + 3.500%)5.803%, 07/15/2021 (C)(D) 2,660,000 2,656,675


CORPORATE BONDS (continued)Materials (continued)Sealed Air Corp.

6.500%, 12/01/2020 (C) $ 1,425,000 $ 1,471,31311,608,759

Real estate - 1.1%American Tower Corp.

3.300%, 02/15/2021 965,000 980,167Crown Castle International Corp.

4.875%, 04/15/2022 2,950,000 3,144,8735.250%, 01/15/2023 4,575,000 5,005,457

Equinix, Inc.5.375%, 01/01/2022 to 04/01/2023 930,000 951,325

SBA Communications Corp.4.000%, 10/01/2022 2,800,000 2,849,0004.875%, 07/15/2022 to 09/01/2024 4,635,000 4,731,653

17,662,475Utilities - 0.8%American Electric Power Company, Inc.

3.650%, 12/01/2021 340,000 351,451Berkshire Hathaway Energy Company

2.400%, 02/01/2020 980,000 980,410DTE Energy Company

3.700%, 08/01/2023 935,000 985,268Edison International

2.125%, 04/15/2020 871,000 866,301Eversource Energy

2.750%, 03/15/2022 1,275,000 1,295,0053.800%, 12/01/2023 530,000 563,976

NextEra Energy Capital Holdings, Inc.2.900%, 04/01/2022 960,000 980,578

NiSource, Inc.3.490%, 05/15/2027 2,205,000 2,339,6964.375%, 05/15/2047 1,125,000 1,296,397

NiSource, Inc. (5.650% to 6-15-23, then 5Year CMT + 2.843%)06/15/2023 (E) 2,650,000 2,636,273

Wisconsin Public Service Corp.3.350%, 11/21/2021 885,000 910,600

13,205,955TOTAL CORPORATE BONDS (Cost $303,396,842) $ 314,263,866

TERM LOANS (F) – 4.8%Communication services – 0.3%Formula One Management, Ltd., 2018

USD Term Loan (1 month LIBOR +2.500%)4.612%, 02/01/2024 2,025,000 1,980,713

Zayo Group LLC, 2017 Incremental TermLoan (1 month LIBOR + 2.250%)4.362%, 01/19/2024 2,025,000 2,025,000

Zayo Group LLC, 2017 Term Loan B1 (1month LIBOR + 2.000%)4.112%, 01/19/2021 992,386 992,386

4,998,099Consumer discretionary – 0.3%Sunshine Luxembourg VII Sarl, Term Loan

TBD 07/16/2026 (G) 5,520,000 5,515,860Consumer staples – 0.0%Prestige Brands, Inc., Term Loan B4 (1

month LIBOR + 2.000%)4.112%, 01/26/2024 111,290 111,111




TERM LOANS (F)(continued)Financials – 1.7%HUB International, Ltd., 2018 Term Loan

B (3 month LIBOR + 3.000%)5.267%, 04/25/2025 $ 13,098,144 $ 12,824,785

Refinitiv US Holdings, Inc., 2018 USDTerm Loan (1 month LIBOR + 3.750%)5.862%, 10/01/2025 14,372,283 14,436,096

27,260,881Health care – 0.2%Change Healthcare Holdings LLC, 2017

Term Loan B (1 month LIBOR +2.500%)4.612%, 03/01/2024 981,469 970,016

NVA Holdings, Inc., Term Loan B3 (1month LIBOR + 2.750%)4.862%, 02/02/2025 2,073,153 2,070,603

3,040,619Industrials – 0.4%Trans Union LLC, 2018 Term Loan B4 (1

month LIBOR + 2.000%)4.112%, 06/19/2025 2,697,750 2,699,207

Trans Union LLC, Term Loan A2 (1month LIBOR + 1.500%)3.612%, 08/09/2022 3,783,580 3,770,980

6,470,187Information technology – 1.8%CCC Information Services, Inc., 2017 1st

Lien Term Loan (1 month LIBOR +2.750%)4.870%, 04/26/2024 6,207,871 6,153,552

Emerald TopCo, Inc., Term Loan (1 monthLIBOR + 3.500%)5.612%, 07/24/2026 1,675,000 1,665,235

Gartner, Inc., 2016 Term Loan A (1 monthLIBOR + 1.500%)3.612%, 03/20/2022 366,064 366,521

Kronos, Inc., 2017 Term Loan B (3 monthLIBOR + 3.000%)5.253%, 11/01/2023 19,516,438 19,494,190

The Ultimate Software Group, Inc., TermLoan B (3 month LIBOR + 3.750%)6.080%, 05/04/2026 695,000 696,244

28,375,742


TERM LOANS (F)(continued)Materials – 0.1%HB Fuller Company, 2017 Term Loan B (1

month LIBOR + 2.000%)4.172%, 10/20/2024 $ 1,003,597 $ 998,418

TOTAL TERM LOANS (Cost $76,964,887) $ 76,770,917


Market Fund, Premier Class, 2.0691% (H) 16,355,045 16,355,045T. Rowe Price Government Reserve Fund,

2.7663% (H) 121,016,654 121,016,654137,371,699

TOTAL SHORT-TERM INVESTMENTS (Cost $137,371,699) $ 137,371,699Total Investments (Capital Appreciation Value Fund)

(Cost $1,361,675,728) – 101.5% $ 1,630,773,568Other assets and liabilities, net – (1.5%) (23,735,153)TOTAL NET ASSETS – 100.0% $ 1,607,038,415

Security Abbreviations and LegendCMT Constant Maturity TreasuryLIBOR London Interbank Offered Rate(A) All or a portion of this security is segregated at the custodian as

collateral for certain derivatives.(B) Non-income producing security.(C) These securities are exempt from registration under Rule 144A of


(D) Variable rate obligation. The coupon rate shown represents the rateat period end.

(E) Perpetual bonds have no stated maturity date. Date shown asmaturity date is next call date.

(F) Term loans are variable rate obligations. The coupon rate shownrepresents the rate at period end.

(G) This position represents an unsettled loan commitment at period end.Certain details associated with this purchase are not known prior tothe settlement date, including coupon rate, which is disclosed asTBD (To Be Determined).

(H) The rate shown is the annualized seven-day yield as of 8-31-19.

DERIVATIVES

WRITTEN OPTIONS

Options on securitiesCounterparty (OTC)/Exchange-traded Name of issuer

Exerciseprice

Expirationdate

Number ofcontracts

Notionalamount Premium Value

Calls

GSI Alphabet, Inc., Class A USD 1,270.00 Jan 2020 9 900 $ 47,132 $ (37,302)GSI Alphabet, Inc., Class A USD 1,300.00 Jan 2020 9 900 38,124 (28,316)GSI Alphabet, Inc., Class A USD 1,350.00 Jan 2020 8 800 23,184 (15,080)CITI Alphabet, Inc., Class C USD 1,300.00 Jan 2020 81 8,100 392,006 (240,579)CITI Alphabet, Inc., Class C USD 1,340.00 Jan 2020 21 2,100 166,211 (41,148)CITI Alphabet, Inc., Class C USD 1,350.00 Jan 2020 24 2,400 91,708 (42,115)CITI Alphabet, Inc., Class C USD 1,365.00 Jan 2020 73 7,300 212,886 (108,060)CITI Alphabet, Inc., Class C USD 1,400.00 Jan 2020 21 2,100 129,491 (20,461)CITI Alphabet, Inc., Class C USD 1,500.00 Jan 2020 21 2,100 85,759 (5,349)CITI Amazon.com, Inc. USD 1,800.00 Jan 2020 15 1,500 281,040 (177,191)CITI Amazon.com, Inc. USD 2,000.00 Jan 2020 5 500 58,040 (21,719)



Capital Appreciation Value Fund (continued)

Options on securities (continued)Counterparty (OTC)/Exchange-traded Name of issuer

Exerciseprice

Expirationdate

Number ofcontracts

Notionalamount Premium Value

Calls (continued)CITI Amazon.com, Inc. USD 2,025.00 Jan 2020 5 500 $ 54,540 $ (18,775)CITI Amazon.com, Inc. USD 2,100.00 Jan 2020 5 500 44,790 (11,826)CITI Amazon.com, Inc. USD 2,300.00 Jan 2020 26 2,600 277,727 (15,408)CSFB Amazon.com, Inc. USD 2,500.00 Jan 2020 10 1,000 123,525 (1,264)CSFB Amazon.com, Inc. USD 2,600.00 Jan 2020 11 1,100 112,904 (613)CSFB Amazon.com, Inc. USD 2,700.00 Jan 2020 11 1,100 94,001 (264)CITI American Electric Power Company, Inc. USD 82.50 Jan 2020 149 14,900 47,494 (147,207)CITI American Electric Power Company, Inc. USD 85.00 Jan 2020 673 67,300 95,234 (526,274)CITI American Electric Power Company, Inc. USD 95.00 Jan 2020 458 45,800 80,055 (88,421)CSFB American Tower Corp. USD 170.00 Jan 2020 119 11,900 127,352 (730,088)CITI American Tower Corp. USD 175.00 Jan 2020 83 8,300 59,066 (469,946)CSFB American Tower Corp. USD 175.00 Jan 2020 252 25,200 196,444 (1,426,823)CITI Anthem, Inc. USD 300.00 Jan 2020 60 6,000 109,020 (25,227)CITI Anthem, Inc. USD 310.00 Jan 2020 60 6,000 85,020 (15,877)CITI Anthem, Inc. USD 330.00 Jan 2020 91 9,100 148,528 (8,738)CITI Danaher Corp. USD 150.00 Jan 2020 78 7,800 20,470 (34,264)JPM Facebook, Inc., Class A USD 200.00 Jan 2020 230 23,000 225,418 (181,470)JPM Facebook, Inc., Class A USD 220.00 Jan 2020 395 39,500 167,024 (115,895)JPM Facebook, Inc., Class A USD 220.00 Jan 2020 15 1,500 13,555 (4,402)CSFB Fiserv, Inc. USD 95.00 Dec 2019 191 19,100 46,967 (270,194)CITI McDonald’s Corp. USD 195.00 Jan 2020 108 10,800 108,513 (281,291)CSFB McDonald’s Corp. USD 195.00 Jan 2020 47 4,700 35,593 (122,414)CITI McDonald’s Corp. USD 200.00 Jan 2020 108 10,800 89,572 (236,838)CSFB McDonald’s Corp. USD 200.00 Jan 2020 47 4,700 28,933 (103,069)CITI Microsoft Corp. USD 120.00 Jan 2020 218 21,800 135,241 (457,273)CITI Microsoft Corp. USD 125.00 Jan 2020 398 39,800 229,101 (677,129)CSFB Microsoft Corp. USD 125.00 Jan 2020 474 47,400 219,016 (806,430)CITI Microsoft Corp. USD 130.00 Jan 2020 399 39,900 174,428 (533,945)CSFB Microsoft Corp. USD 130.00 Jan 2020 109 10,900 36,057 (145,865)RBC Microsoft Corp. USD 130.00 Jan 2020 371 37,100 106,088 (496,475)CITI Microsoft Corp. USD 135.00 Jan 2020 404 40,400 235,595 (410,163)CSFB NextEra Energy, Inc. USD 195.00 Jan 2020 75 7,500 26,175 (207,787)CSFB NextEra Energy, Inc. USD 200.00 Jan 2020 509 50,900 220,151 (1,196,650)CITI S&P Global, Inc. USD 220.00 Jan 2020 161 16,100 155,420 (723,745)CITI S&P Global, Inc. USD 230.00 Jan 2020 161 16,100 92,797 (587,707)JPM Texas Instruments, Inc. USD 120.00 Jan 2020 166 16,600 42,446 (172,552)RBC Texas Instruments, Inc. USD 125.00 Jan 2020 763 76,300 251,383 (582,330)GSI Texas Instruments, Inc. USD 130.00 Jan 2020 37 3,700 26,851 (19,881)JPM Texas Instruments, Inc. USD 130.00 Jan 2020 354 35,400 136,772 (190,213)CSFB The PNC Financial Services Group, Inc. USD 150.00 Jan 2020 30 3,000 8,457 (2,484)CITI UnitedHealth Group, Inc. USD 270.00 Jan 2020 65 6,500 95,911 (19,287)GSI UnitedHealth Group, Inc. USD 270.00 Jan 2020 101 10,100 111,966 (29,968)CITI UnitedHealth Group, Inc. USD 280.00 Jan 2020 66 6,600 72,264 (11,258)CITI UnitedHealth Group, Inc. USD 290.00 Jan 2020 92 9,200 167,124 (8,693)GSI UnitedHealth Group, Inc. USD 290.00 Jan 2020 40 4,000 73,203 (3,779)CITI UnitedHealth Group, Inc. USD 300.00 Jan 2020 127 12,700 186,659 (6,445)GSI UnitedHealth Group, Inc. USD 310.00 Jan 2020 8 800 6,916 (212)JPM UnitedHealth Group, Inc. USD 310.00 Jan 2020 171 17,100 142,441 (4,542)CSFB Visa, Inc., Class A USD 150.00 Jan 2020 157 15,700 145,445 (528,557)CSFB Visa, Inc., Class A USD 155.00 Jan 2020 157 15,700 118,158 (457,718)CSFB Visa, Inc., Class A USD 160.00 Jan 2020 248 24,800 170,966 (622,347)CSFB Visa, Inc., Class A USD 165.00 Jan 2020 197 19,700 99,464 (414,192)CSFB Visa, Inc., Class A USD 170.00 Jan 2020 185 18,500 96,959 (322,604)GSI Visa, Inc., Class A USD 170.00 Jan 2020 187 18,700 108,849 (326,092)CSFB Visa, Inc., Class A USD 175.00 Jan 2020 185 18,500 66,544 (259,414)GSI Visa, Inc., Class A USD 175.00 Jan 2020 445 44,500 211,563 (623,996)GSI Visa, Inc., Class A USD 180.00 Jan 2020 146 14,600 96,477 (159,944)CITI Yum! Brands, Inc. USD 100.00 Jan 2020 215 21,500 78,062 (395,462)BOA Yum! Brands, Inc. USD 105.00 Jan 2020 191 19,100 46,024 (268,685)CITI Yum! Brands, Inc. USD 105.00 Jan 2020 609 60,900 139,087 (856,697)

$8,247,386 $(18,104,429)

Derivatives Currency AbbreviationsUSD U.S. Dollar



Capital Appreciation Value Fund (continued)Derivatives AbbreviationsBOA Bank of America, N.A.CITI Citibank, N.A.CSFB Credit Suisse First Boston InternationalGSI Goldman Sachs InternationalJPM JPMorgan Chase Bank, N.A.OTC Over-the-counterRBC Royal Bank of Canada

See Notes to financial statements regarding investment transactions and other derivatives information.

Health Sciences FundShares orPrincipalAmount Value

COMMON STOCKS – 98.1%Consumer discretionary – 0.1%Specialty retail – 0.1%JAND, Inc., Class A (A)(B)(C) 16,938 $ 283,034Health care – 97.8%Biotechnology – 31.5%AbbVie, Inc. 28,920 1,901,201Abcam PLC 32,554 458,698ACADIA Pharmaceuticals, Inc. (C) 58,823 1,627,044Acceleron Pharma, Inc. (C) 21,798 978,948Acerta Pharma BV, Class B (A)(B)(C) 4,892,850 442,314Adverum Biotechnologies, Inc. (C) 21,200 218,996Agios Pharmaceuticals, Inc. (C) 12,398 470,504Aimmune Therapeutics, Inc. (C) 25,397 517,845Akero Therapeutics, Inc. (C) 3,548 98,315Alder Biopharmaceuticals, Inc. (C) 34,481 308,605Alexion Pharmaceuticals, Inc. (C) 37,688 3,797,443Alkermes PLC (C) 22,922 480,904Allakos, Inc. (C) 6,959 615,593Allogene Therapeutics, Inc. (C) 7,330 199,596Alnylam Pharmaceuticals, Inc. (C) 15,031 1,212,851Amarin Corp. PLC, ADR (C) 62,024 929,740Amgen, Inc. 33,798 7,050,939AnaptysBio, Inc. (C) 5,686 231,136Apellis Pharmaceuticals, Inc. (C) 6,841 199,073Argenx SE, ADR (C) 18,497 2,431,431ArQule, Inc. (C) 15,800 141,568Ascendis Pharma A/S, ADR (C) 27,744 3,108,160Audentes Therapeutics, Inc. (C) 6,182 192,260Autolus Therapeutics PLC, ADR (C) 6,368 65,909Avrobio, Inc. (C) 6,541 127,419BeiGene, Ltd., ADR (C) 6,928 995,900Biogen, Inc. (C) 8,847 1,944,128BioMarin Pharmaceutical, Inc. (C) 26,275 1,972,202Bluebird Bio, Inc. (C) 13,306 1,374,643Blueprint Medicines Corp. (C) 19,242 1,475,284CareDx, Inc. (C) 6,319 144,200Corvus Pharmaceuticals, Inc. (C) 8,779 29,936CRISPR Therapeutics AG (C) 7,700 355,817Cyclerion Therapeutics, Inc. (C) 2,077 19,752CytomX Therapeutics, Inc. (C) 7,901 69,371Deciphera Pharmaceuticals, Inc. (C) 3,750 136,050Denali Therapeutics, Inc. (C) 7,800 140,400Dicerna Pharmaceuticals, Inc. (C) 19,812 275,387Enanta Pharmaceuticals, Inc. (C) 13,052 920,819Exact Sciences Corp. (C) 17,849 2,127,958Exelixis, Inc. (C) 54,411 1,080,058Fate Therapeutics, Inc. (C) 14,857 242,466FibroGen, Inc. (C) 18,242 814,688Forty Seven, Inc. (C) 4,756 36,050G1 Therapeutics, Inc. (C) 11,197 406,451Galapagos NV (C) 5,111 860,785Global Blood Therapeutics, Inc. (C) 15,605 717,518Homology Medicines, Inc. (C) 17,513 331,171

Health Sciences Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Biotechnology (continued)Immunomedics, Inc. (C) 34,980 $ 447,744Incyte Corp. (C) 30,432 2,489,946Insmed, Inc. (C) 19,086 313,774Intercept Pharmaceuticals, Inc. (C) 3,236 207,686Ionis Pharmaceuticals, Inc. (C) 15,443 976,152Iovance Biotherapeutics, Inc. (C) 59,027 1,240,157Karuna Therapeutics, Inc. (C) 7,942 157,013Krystal Biotech, Inc. (C) 7,607 342,315Minerva Neurosciences, Inc. (C) 16,115 115,061Mirati Therapeutics, Inc. (C) 10,100 827,897Moderna, Inc. (C) 7,760 122,065Momenta Pharmaceuticals, Inc. (C) 12,392 156,511Myovant Sciences, Ltd. (C) 15,184 121,928Natera, Inc. (C) 4,800 158,160Neoleukin Therapeutics, Inc. (C) 7,099 23,711Neurocrine Biosciences, Inc. (C) 31,344 3,116,220Orchard Therapeutics PLC (C) 21,842 323,262PhaseBio Pharmaceuticals, Inc. (C) 13,617 117,651Principia Biopharma, Inc. (C) 5,753 228,394Progenics Pharmaceuticals, Inc. (C) 29,400 129,360PTC Therapeutics, Inc. (C) 24,810 1,105,782Puma Biotechnology, Inc. (C) 8,000 86,000Radius Health, Inc. (C) 10,300 291,490Regeneron Pharmaceuticals, Inc. (C) 11,839 3,433,902REGENXBIO, Inc. (C) 9,107 314,100Rhythm Pharmaceuticals, Inc. (C) 8,024 180,700Rocket Pharmaceuticals, Inc. (C) 12,137 131,686Sage Therapeutics, Inc. (C) 39,406 6,764,828Sarepta Therapeutics, Inc. (C) 23,178 2,089,497Scholar Rock Holding Corp. (C) 5,074 53,734Seattle Genetics, Inc. (C) 20,423 1,483,527Stemline Therapeutics, Inc. (C) 7,132 84,942Stoke Therapeutics, Inc. (C) 6,748 252,645Tocagen, Inc. (C) 8,074 26,241Turning Point Therapeutics, Inc. (C) 5,058 275,813Ultragenyx Pharmaceutical, Inc. (C) 20,629 1,123,662Vertex Pharmaceuticals, Inc. (C) 58,660 10,559,973Xencor, Inc. (C) 27,875 1,039,180Y-mAbs Therapeutics, Inc. (C) 7,148 189,922Zai Lab, Ltd., ADR (C) 3,808 124,179Zeneca, Inc. (B)(C) 33,315 20,489Zymeworks, Inc. (C) 7,607 202,650

85,727,475Health care equipment and supplies – 26.3%ABIOMED, Inc. (C) 2,362 456,031Alcon, Inc. (C) 35,816 2,178,012AtriCure, Inc. (C) 11,100 304,029Becton, Dickinson and Company 51,070 12,967,694Danaher Corp. 44,315 6,296,718DexCom, Inc. (C) 15,892 2,727,226DiaSorin SpA 4,670 555,063GenMark Diagnostics, Inc. (C) 53,002 317,482Hologic, Inc. (C) 71,102 3,510,306




COMMON STOCKS (continued)Health care equipment and supplies (continued)ICU Medical, Inc. (C) 7,621 $ 1,232,697IDEXX Laboratories, Inc. (C) 800 231,792Insulet Corp. (C) 9,100 1,402,947Integer Holdings Corp. (C) 3,800 275,120Intuitive Surgical, Inc. (C) 26,031 13,310,692iRhythm Technologies, Inc. (C) 5,740 436,929Lantheus Holdings, Inc. (C) 21,066 458,396Nevro Corp. (C) 15,492 1,297,145Novocure, Ltd. (C) 23,200 2,107,952NuVasive, Inc. (C) 2,700 171,504Penumbra, Inc. (C) 8,594 1,250,857Quidel Corp. (C) 19,255 1,214,028Shockwave Medical, Inc. (C) 3,987 166,856SI-BONE, Inc. (C) 5,497 106,862Silk Road Medical, Inc. (C) 1,746 75,235Stryker Corp. 40,286 8,889,509Tandem Diabetes Care, Inc. (C) 4,300 311,449Teleflex, Inc. 7,586 2,760,697The Cooper Companies, Inc. 8,109 2,511,763West Pharmaceutical Services, Inc. 15,533 2,259,430Wright Medical Group NV (C) 43,315 903,118Zimmer Biomet Holdings, Inc. 7,374 1,026,461

71,714,000Health care providers and services – 16.4%Acadia Healthcare Company, Inc. (C) 13,817 365,598Amedisys, Inc. (C) 4,200 540,582Anthem, Inc. 22,274 5,825,096Centene Corp. (C) 83,925 3,912,584Cigna Corp. 33,218 5,114,575Guardant Health, Inc. (C) 5,772 505,223HCA Healthcare, Inc. 42,650 5,126,530Humana, Inc. 13,410 3,797,846McKesson Corp. 1,500 207,405Molina Healthcare, Inc. (C) 15,462 2,014,389Patterson Companies, Inc. 3,979 66,529UnitedHealth Group, Inc. 67,051 15,689,933WellCare Health Plans, Inc. (C) 5,345 1,447,105

44,613,395Health care technology – 0.3%HTG Molecular Diagnostics, Inc. (C) 30,915 28,751Phreesia, Inc. (C) 7,252 194,136Teladoc Health, Inc. (C) 6,380 369,274Veeva Systems, Inc., Class A (C) 800 128,304

720,465Life sciences tools and services – 8.3%Adaptive Biotechnologies Corp. (C) 6,219 316,236Agilent Technologies, Inc. 62,119 4,417,282Avantor, Inc. (C) 99,531 1,741,793Bruker Corp. 34,663 1,496,402Illumina, Inc. (C) 4,963 1,396,290Lonza Group AG (C) 1,575 559,022Mettler-Toledo International, Inc. (C) 1,471 966,138PRA Health Sciences, Inc. (C) 7,000 691,880Quanterix Corp. (C) 18,129 477,337Thermo Fisher Scientific, Inc. 35,387 10,158,192Wuxi Biologics Cayman, Inc. (C)(D) 31,000 325,359

22,545,931Pharmaceuticals – 15.0%Allergan PLC 8,284 1,323,120AstraZeneca PLC, ADR 107,860 4,856,936Axsome Therapeutics, Inc. (C) 12,600 320,670Bayer AG 14,196 1,055,100Bristol-Myers Squibb Company 74,702 3,590,925Cara Therapeutics, Inc. (C) 26,450 619,988


COMMON STOCKS (continued)Pharmaceuticals (continued)Catalent, Inc. (C) 16,787 $ 885,346Chugai Pharmaceutical Company, Ltd. 16,100 1,149,872Daiichi Sankyo Company, Ltd. 37,800 2,493,036Elanco Animal Health, Inc. (C) 48,808 1,269,984Eli Lilly & Company 25,567 2,888,304GW Pharmaceuticals PLC, ADR (C) 3,691 525,635Menlo Therapeutics, Inc. (C) 9,400 46,248Merck & Company, Inc. 54,691 4,729,131Milestone Pharmaceuticals, Inc. (C) 12,482 287,086MyoKardia, Inc. (C) 16,270 874,838Nektar Therapeutics (C) 8,600 151,102Novartis AG 46,413 4,184,348Novo Nordisk A/S, ADR 11,982 624,382Odonate Therapeutics, Inc. (C) 8,901 274,240Perrigo Company PLC 4,303 201,294Pfizer, Inc. 99,318 3,530,755Reata Pharmaceuticals, Inc., Class A (C) 6,575 506,933Roche Holding AG 10,350 2,828,243Tricida, Inc. (C) 27,190 948,659WaVe Life Sciences, Ltd. (C) 4,728 108,744Zogenix, Inc. (C) 10,400 443,976

40,718,895266,040,161

Industrials – 0.2%Industrial conglomerates – 0.2%General Electric Company 68,745 567,146TOTAL COMMON STOCKS (Cost $225,287,071) $ 266,890,341

PREFERRED SECURITIES – 1.0%Consumer discretionary – 0.2%Specialty retail – 0.2%JAND, Inc., Series D (A)(B)(C) 37,822 632,006Health care – 0.6%Health care equipment and supplies – 0.6%Becton, Dickinson and Company, 6.125% 10,563 653,533Sartorius AG 4,727 947,964

1,601,497Information technology – 0.2%Software – 0.2%Doximity, Inc. (A)(B)(C) 63,738 367,131TOTAL PREFERRED SECURITIES (Cost $2,011,425) $ 2,600,634


Market Fund, Premier Class, 2.0691% (E) 847,288 847,288T. Rowe Price Government Reserve Fund,

2.7663% (E) 1,377,237 1,377,2372,224,525

TOTAL SHORT-TERM INVESTMENTS (Cost $2,224,525) $ 2,224,525Total Investments (Health Sciences Fund)

(Cost $229,523,021) – 99.9% $ 271,715,500Other assets and liabilities, net – 0.1% 296,956TOTAL NET ASSETS – 100.0% $ 272,012,456

Security Abbreviations and LegendADR American Depositary Receipt(A) Direct placement securities are restricted as to resale, and the fund

has limited rights to registration under the Securities Act of 1933.For more information on this security refer to the Notes to financialstatements.



Health Sciences Fund (continued)(B) Security is valued using significant unobservable inputs and is

classified as Level 3 in the fair value hierarchy.(C) Non-income producing security.(D) These securities are exempt from registration under Rule 144A of


(E) The rate shown is the annualized seven-day yield as of 8-31-19.

International Growth Stock FundShares orPrincipalAmount Value

COMMON STOCKS - 95.4%Australia - 0.8%Brambles, Ltd. 6,513 $ 49,503CSL, Ltd. 2,605 421,968

471,471Brazil - 4.1%Ambev SA, ADR 226,211 1,026,998B3 SA - Brasil Bolsa Balcao 67,240 727,446Banco Bradesco SA, ADR 83,959 670,832

2,425,276Canada - 9.8%Canadian National Railway Company 11,884 1,094,321CGI, Inc. (A) 30,447 2,387,919Nutrien, Ltd. 17,767 894,755PrairieSky Royalty, Ltd. 55,051 697,544Suncor Energy, Inc. 23,002 672,749

5,747,288China - 7.2%Alibaba Group Holding, Ltd., ADR (A) 5,497 962,141Kweichow Moutai Company, Ltd., Class A 3,823 610,976New Oriental Education & Technology

Group, Inc., ADR (A) 6,228 706,255Wuliangye Yibin Company, Ltd., Class A 42,506 841,657Yum China Holdings, Inc. 24,424 1,109,582

4,230,611Denmark - 1.8%Carlsberg A/S, Class B 7,196 1,062,905France - 9.3%Bureau Veritas SA 43,815 1,048,141EssilorLuxottica SA 3,949 583,063Pernod Ricard SA 3,607 688,610Schneider Electric SE 11,608 972,328Vinci SA 11,161 1,219,417Vivendi SA 33,800 945,181

5,456,740Germany - 8.0%Allianz SE 6,355 1,402,569Beiersdorf AG 2,993 377,265Deutsche Boerse AG 10,139 1,489,750SAP SE 12,044 1,437,776

4,707,360Hong Kong - 1.6%Galaxy Entertainment Group, Ltd. 145,910 913,175Ireland - 0.8%ICON PLC (A) 3,000 462,570Italy - 2.1%FinecoBank Banca Fineco SpA 76,021 787,250Mediobanca Banca di Credito

Finanziario SpA 44,234 439,6101,226,860

Japan - 9.5%Asahi Group Holdings, Ltd. 24,100 1,123,557FANUC Corp. 4,588 794,516

International Growth Stock Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Japan (continued)Hoya Corp. 16,000 $ 1,300,859Kao Corp. 8,800 634,998Keyence Corp. 1,446 854,441Komatsu, Ltd. 20,400 431,987SMC Corp. 1,100 414,705

5,555,063Mexico - 1.9%Fomento Economico Mexicano SAB de

CV, ADR 11,971 1,093,671Netherlands - 4.6%ING Groep NV 69,092 660,080Royal Dutch Shell PLC, B Shares 17,364 480,805Wolters Kluwer NV 22,051 1,587,351

2,728,236Singapore - 1.4%United Overseas Bank, Ltd. 45,534 817,651South Korea - 2.5%NAVER Corp. 4,172 505,393Samsung Electronics Company, Ltd. 27,260 992,509

1,497,902Spain - 1.5%Amadeus IT Group SA 11,531 859,873Sweden - 2.5%Investor AB, B Shares 31,416 1,475,833Switzerland - 5.8%Alcon, Inc. (A) 9,559 581,294Cie Financiere Richemont SA 8,619 669,710Julius Baer Group, Ltd. (A) 10,531 417,982Kuehne + Nagel International AG 4,435 646,153Novartis AG 11,980 1,080,054

3,395,193Taiwan - 2.4%Taiwan Semiconductor Manufacturing

Company, Ltd. 172,000 1,413,260Turkey - 0.8%Akbank T.A.S. (A) 387,842 461,009United Kingdom - 11.7%Amcor PLC 86,322 840,653British American Tobacco PLC 30,091 1,055,540Compass Group PLC 39,009 989,358Informa PLC 102,723 1,087,983Reckitt Benckiser Group PLC 10,057 785,962RELX PLC 53,697 1,288,524TechnipFMC PLC 32,284 802,414

6,850,434United States - 5.3%Booking Holdings, Inc. (A) 301 591,889Broadcom, Inc. 4,289 1,212,243Philip Morris International, Inc. 18,000 1,297,620

3,101,752TOTAL COMMON STOCKS (Cost $35,791,385) $ 55,954,133



International Growth Stock Fund (continued)Shares orPrincipalAmount Value

SHORT-TERM INVESTMENTS - 3.0%Money market funds - 3.0%JPMorgan U.S. Treasury Plus Money

Market Fund, Institutional Class,1.9357% (B) 1,768,761 $ 1,768,761

TOTAL SHORT-TERM INVESTMENTS (Cost $1,768,761) $ 1,768,761Total Investments (International Growth Stock Fund)

(Cost $37,560,146) - 98.4% $ 57,722,894Other assets and liabilities, net - 1.6% 924,439TOTAL NET ASSETS - 100.0% $ 58,647,333

Security Abbreviations and LegendADR American Depositary Receipt(A) Non-income producing security.(B) The rate shown is the annualized seven-day yield as of 8-31-19.

International Small Cap FundShares orPrincipalAmount Value

COMMON STOCKS - 88.8%Bahamas - 2.2%OneSpaWorld Holdings, Ltd. (A) 164,900 $ 2,588,930Belgium - 2.9%Barco NV 11,258 2,395,804Ontex Group NV (B) 65,426 1,081,432

3,477,236Brazil - 2.5%Camil Alimentos SA 780,100 1,241,454Grendene SA 350,300 680,974M Dias Branco SA 128,000 1,118,957

3,041,385Canada - 5.8%Badger Daylighting, Ltd. (B) 13,300 421,456Canaccord Genuity Group, Inc. 257,806 970,113Canada Goose Holdings, Inc. (A) 13,500 503,436Canadian Western Bank 66,625 1,589,312Computer Modelling Group, Ltd. 73,400 373,230Gran Tierra Energy, Inc. (A) 279,100 396,199Mullen Group, Ltd. 96,570 649,893Russel Metals, Inc. 26,200 393,767ShawCor, Ltd. 43,900 548,997The North West Company, Inc. 46,800 1,087,571

6,933,974China - 3.8%China ZhengTong Auto Services

Holdings, Ltd. 1,232,500 442,521Goodbaby International Holdings, Ltd. (A) 3,230,000 615,161Greatview Aseptic Packaging

Company, Ltd. 890,000 489,711Hollysys Automation Technologies, Ltd. 61,686 965,386Shanghai Haohai Biological Technology

Company, Ltd., H Shares (B)(C) 114,000 507,989Xtep International Holdings, Ltd. 2,615,500 1,490,713

4,511,481Denmark - 1.1%Matas A/S 62,544 493,242Nilfisk Holding A/S (A) 38,157 854,889

1,348,131Finland - 2.3%Huhtamaki OYJ 60,443 2,337,852Outotec OYJ (A) 71,038 404,869

2,742,721

International Small Cap Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)France - 0.9%Maisons du Monde SA (C) 25,837 $ 466,015Nexans SA 19,042 611,095

1,077,110Germany - 3.7%Gerresheimer AG 24,630 1,861,217Jenoptik AG 45,240 1,090,858zooplus AG (A)(B) 11,453 1,521,364

4,473,439Hong Kong - 3.6%Johnson Electric Holdings, Ltd. 270,900 453,837PAX Global Technology, Ltd. 1,894,000 844,322Techtronic Industries Company, Ltd. 317,700 2,191,407Value Partners Group, Ltd. 1,589,000 808,316

4,297,882India - 1.1%DCB Bank, Ltd. 268,193 777,640Welspun India, Ltd. 703,522 493,931

1,271,571Indonesia - 0.7%XL Axiata Tbk PT (A) 3,265,100 799,602Italy - 3.7%Interpump Group SpA 65,706 1,878,105Technogym SpA (C) 194,414 1,970,456Tod’s SpA (B) 10,430 534,454

4,383,015Japan - 22.0%Anicom Holdings, Inc. 45,200 1,759,051Asahi Company, Ltd. 44,600 503,166Asics Corp. 98,000 1,263,209Bunka Shutter Company, Ltd. 91,900 756,373Daibiru Corp. 99,000 953,014Descente, Ltd. 52,160 712,723Dowa Holdings Company, Ltd. 35,900 1,147,646en-japan, Inc. 29,900 1,111,045Fuji Oil Holdings, Inc. 68,600 1,908,343Hoshino Resorts REIT, Inc. 51 264,973Idec Corp. 62,500 1,032,900IDOM, Inc. (B) 219,200 857,765Kobayashi Pharmaceutical Company, Ltd. 14,700 1,100,001Meitec Corp. 40,711 2,097,807Morita Holdings Corp. 58,600 878,236N Field Company, Ltd. 69,900 404,800Nichiha Corp. 47,300 1,199,184Nihon Parkerizing Company, Ltd. 63,200 698,378Nissei ASB Machine Company, Ltd. (B) 23,600 677,518Qol Holdings Company, Ltd. 60,400 815,712Square Enix Holdings Company, Ltd. 23,900 953,504Tadano, Ltd. 101,000 890,746Taiyo Holdings Company, Ltd. 1,600 49,260TechnoPro Holdings, Inc. 21,700 1,257,550Tsumura & Company 74,800 2,049,944Zojirushi Corp. (B) 78,900 963,503

26,306,351Luxembourg - 1.9%Grand City Properties SA 55,732 1,281,625Stabilus SA 22,013 992,777

2,274,402Netherlands - 5.4%Aalberts NV 14,270 539,370Accell Group NV 31,688 780,829Arcadis NV 73,495 1,391,059Flow Traders (C) 39,914 1,071,583




COMMON STOCKS (continued)Netherlands (continued)Intertrust NV (C) 96,415 $ 2,002,656PostNL NV (B) 347,928 693,531

6,479,028Norway - 0.0%XXL ASA (A)(B)(C) 27,104 68,037Poland - 0.4%CCC SA 16,577 513,249Singapore - 0.4%Sakari Resources, Ltd. (A)(D) 1,380,000 546,928South Korea - 1.5%BNK Financial Group, Inc. 131,339 727,283DGB Financial Group, Inc. 181,587 1,033,657

1,760,940Spain - 1.3%Construcciones y Auxiliar de

Ferrocarriles SA 36,190 1,571,160Sweden - 4.9%Cloetta AB, B Shares 244,088 727,853Dometic Group AB (C) 165,646 1,352,348Granges AB 153,049 1,388,939Tethys Oil AB 51,435 411,622The Thule Group AB (C) 101,020 2,007,389

5,888,151Switzerland - 3.4%Bucher Industries AG 6,108 1,810,571Landis+Gyr Group AG (A) 9,781 803,231Logitech International SA (B) 22,840 930,502Tecan Group AG 2,235 537,466

4,081,770Taiwan - 6.7%Chicony Electronics Company, Ltd. 545,611 1,531,766Giant Manufacturing Company, Ltd. 244,746 1,704,135King Yuan Electronics Company, Ltd. 1,776,000 1,929,818Merida Industry Company, Ltd. 177,000 1,022,347Tripod Technology Corp. 495,000 1,787,640

7,975,706United Kingdom - 6.6%Bellway PLC 12,366 437,587Bovis Homes Group PLC 34,811 436,069Card Factory PLC 234,555 441,713Coats Group PLC 657,003 585,722Greggs PLC 78,289 2,015,916Man Group PLC 1,062,291 2,158,137Oxford Instruments PLC 60,925 972,519SIG PLC 550,104 845,686


PREFERRED SECURITIES - 1.1%Brazil - 1.1%Alpargatas SA (A) 217,950 1,304,226TOTAL PREFERRED SECURITIES (Cost $438,646) $ 1,304,226

EXCHANGE-TRADED FUNDS - 6.5%iShares MSCI EAFE Small-Cap ETF 66,400 3,691,176Vanguard FTSE All World ex-US

Small-Cap ETF 40,700 4,084,245TOTAL EXCHANGE-TRADED FUNDS (Cost $8,209,442) $ 7,775,421


SECURITIES LENDING COLLATERAL - 4.2%John Hancock Collateral Trust,

2.1920% (E)(F) 504,113 $ 5,044,710TOTAL SECURITIES LENDING COLLATERAL(Cost $5,042,393) $ 5,044,710Total Investments (International Small Cap Fund)

(Cost $99,242,269) - 100.6% $ 120,429,905Other assets and liabilities, net - (0.6%) (662,282)TOTAL NET ASSETS - 100.0% $ 119,767,623

Security Abbreviations and Legend(A) Non-income producing security.(B) All or a portion of this security is on loan as of 8-31-19.(C) These securities are exempt from registration under Rule 144A of


(D) Security is valued using significant unobservable inputs and isclassified as Level 3 in the fair value hierarchy.

(E) The rate shown is the annualized seven-day yield as of 8-31-19.(F) Investment is an affiliate of the fund, the advisor and/or subadvisor.


International Strategic Equity Allocation FundShares orPrincipalAmount Value

COMMON STOCKS - 91.4%Australia - 4.9%AGL Energy, Ltd. 54,382 $ 693,255Alumina, Ltd. 201,323 294,093AMP, Ltd. 278,060 317,356APA Group 97,216 720,218Aristocrat Leisure, Ltd. 47,517 951,839ASX, Ltd. 16,040 931,718Aurizon Holdings, Ltd. 164,210 652,855AusNet Services 143,975 174,400Australia & New Zealand Banking

Group, Ltd. 236,124 4,247,501Bank of Queensland, Ltd. 32,400 199,929Bendigo & Adelaide Bank, Ltd. 39,199 294,860BHP Group PLC 178,203 3,855,163BHP Group, Ltd. 243,471 5,976,580BlueScope Steel, Ltd. 44,258 372,373Boral, Ltd. 96,373 275,781Brambles, Ltd. 131,602 1,000,263Caltex Australia, Ltd. 20,341 327,935Challenger, Ltd. 45,359 205,148CIMIC Group, Ltd. 8,058 168,148Coca-Cola Amatil, Ltd. 41,259 301,850Cochlear, Ltd. 4,764 697,484Coles Group, Ltd. 93,323 869,851Commonwealth Bank of Australia 146,182 7,775,304Computershare, Ltd. 39,911 413,524Crown Resorts, Ltd. 30,752 248,876CSL, Ltd. 37,403 6,058,690Dexus 90,292 784,215Domino’s Pizza Enterprises, Ltd. 4,893 141,110Flight Centre Travel Group, Ltd. 4,591 143,979Fortescue Metals Group, Ltd. 115,199 621,521Goodman Group 135,000 1,318,625Harvey Norman Holdings, Ltd. 43,523 128,336Incitec Pivot, Ltd. 132,380 285,800Insurance Australia Group, Ltd. 196,726 1,066,674Lendlease Group 46,499 533,982



International Strategic Equity Allocation Fund(continued)

Shares orPrincipalAmount Value

COMMON STOCKS (continued)Australia (continued)Macquarie Group, Ltd. 26,786 $ 2,233,089Medibank Pvt., Ltd. 233,559 572,233Mirvac Group 323,207 693,742MMG, Ltd. (A) 168,000 34,545National Australia Bank, Ltd. 229,437 4,228,518Newcrest Mining, Ltd. 63,241 1,580,627Oil Search, Ltd. 112,329 500,837Orica, Ltd. 31,090 450,133Origin Energy, Ltd. 145,062 744,002QBE Insurance Group, Ltd. 112,981 952,132Ramsay Health Care, Ltd. 11,552 510,227REA Group, Ltd. 4,225 296,728Santos, Ltd. 145,476 704,550Scentre Group 439,548 1,194,737SEEK, Ltd. 27,239 372,335Sonic Healthcare, Ltd. 37,130 735,003South32, Ltd. 418,222 739,020Stockland 197,430 600,221Suncorp Group, Ltd. 110,687 1,027,598Sydney Airport 90,167 511,366Tabcorp Holdings, Ltd. 165,486 525,192Telstra Corp., Ltd. 344,899 863,436The GPT Group 160,058 688,249TPG Telecom, Ltd. 30,288 135,799Transurban Group 220,899 2,223,537Treasury Wine Estates, Ltd. 59,490 749,718Vicinity Centres 265,424 462,681Washington H Soul Pattinson &

Company, Ltd. 9,626 135,224Wesfarmers, Ltd. 93,688 2,467,414Westpac Banking Corp. 284,825 5,404,750Woodside Petroleum, Ltd. 77,128 1,665,912Woolworths Group, Ltd. 103,920 2,643,607WorleyParsons, Ltd. 26,566 219,282

79,915,680Austria - 0.2%ANDRITZ AG 6,525 229,726Erste Group Bank AG (A) 27,346 879,567OMV AG 13,595 694,310Raiffeisen Bank International AG 13,734 300,266Verbund AG 6,360 378,690voestalpine AG 10,807 248,839

2,731,398Belgium - 1.2%Ageas 27,720 1,485,149Anheuser-Busch InBev SA 112,716 10,653,815Colruyt SA 8,411 430,682Groupe Bruxelles Lambert SA 11,885 1,110,580KBC Group NV 36,851 2,132,692Proximus SADP 22,347 660,913Solvay SA 10,980 1,109,812Telenet Group Holding NV 6,853 341,649UCB SA 18,664 1,394,940Umicore SA 29,189 929,878

20,250,110Brazil - 1.1%Ambev SA 331,200 1,497,238Atacadao SA 26,700 143,784B2W Cia Digital (A) 12,300 139,604B3 SA - Brasil Bolsa Balcao 144,620 1,564,592Banco Bradesco SA 84,487 618,198Banco BTG Pactual SA 15,800 223,512Banco do Brasil SA 60,500 675,566



COMMON STOCKS (continued)Brazil (continued)Banco Santander Brasil SA 29,200 $ 300,391BB Seguridade Participacoes SA 51,400 405,515BR Malls Participacoes SA 52,835 171,991BRF SA (A) 39,800 366,571CCR SA 85,200 334,340Centrais Eletricas Brasileiras SA 14,800 164,190Cia de Saneamento Basico do Estado de

Sao Paulo 24,100 300,886Cia Siderurgica Nacional SA 42,800 148,420Cielo SA 84,160 157,508Cosan SA 10,900 131,584Embraer SA 47,600 206,332Energisa SA 11,400 130,738Engie Brasil Energia SA 13,825 150,169Equatorial Energia SA 11,900 275,214Hypera SA 25,700 199,654IRB Brasil Resseguros SA 16,700 437,563JBS SA 76,700 548,995Klabin SA 47,200 171,657Kroton Educacional SA 103,800 252,669Localiza Rent a Car SA 40,415 459,097Lojas Renner SA 55,339 675,534M Dias Branco SA 6,800 59,445Magazine Luiza SA 42,700 374,205Multiplan Empreendimentos

Imobiliarios SA 18,600 116,738Natura Cosmeticos SA 13,100 208,727Notre Dame Intermedica Participacoes SA 24,600 333,149Petrobras Distribuidora SA 48,800 339,396Petroleo Brasileiro SA 208,400 1,422,716Porto Seguro SA 7,400 100,072Raia Drogasil SA 16,200 360,070Rumo SA (A) 76,400 407,737Sul America SA 16,796 196,514Suzano SA 38,227 268,448TIM Participacoes SA 57,800 171,683Ultrapar Participacoes SA 48,500 192,313Vale SA (A) 222,570 2,449,291WEG SA 59,020 320,683

18,172,699Canada - 8.3%Agnico Eagle Mines, Ltd. 23,021 1,439,288Alimentation Couche-Tard, Inc., Class B 42,996 2,706,223AltaGas, Ltd. 28,056 380,992Atco, Ltd., Class I 7,979 285,144Aurora Cannabis, Inc. (A) 69,827 384,956Bank of Montreal 63,037 4,320,833Barrick Gold Corp. 171,347 3,321,666BCE, Inc. 16,061 759,984BlackBerry, Ltd. (A) 52,900 363,156Bombardier, Inc., Class B (A) 213,637 275,992Brookfield Asset Management, Inc.,

Class A 83,379 4,299,836CAE, Inc. 26,533 694,513Cameco Corp. 40,264 353,225Canadian Imperial Bank of Commerce 44,058 3,412,725Canadian National Railway Company 71,121 6,549,072Canadian Natural Resources, Ltd. 117,849 2,815,665Canadian Pacific Railway, Ltd. 13,816 3,326,570Canadian Tire Corp., Ltd., Class A 5,950 600,988Canadian Utilities, Ltd., Class A 13,838 399,633Canopy Growth Corp. (A) 19,971 471,900CCL Industries, Inc., Class B 14,904 675,348





COMMON STOCKS (continued)Canada (continued)Cenovus Energy, Inc. 102,884 $ 897,936CGI, Inc. (A) 24,492 1,920,876CI Financial Corp. 24,986 358,069Constellation Software, Inc. 1,989 1,937,176Cronos Group, Inc. (A) 18,352 202,487Dollarama, Inc. 29,497 1,128,791ECN Capital Corp. 900 3,150Emera, Inc. 6,502 281,685Empire Company, Ltd., Class A 17,256 476,050Enbridge, Inc. 197,736 6,613,478Encana Corp. 148,500 658,067Fairfax Financial Holdings, Ltd. 2,901 1,292,638First Capital Realty, Inc. 19,547 325,637First Quantum Minerals, Ltd. 67,794 415,502Fortis, Inc. 42,904 1,771,393Franco-Nevada Corp. 18,299 1,787,568George Weston, Ltd. 7,911 642,732Gildan Activewear, Inc. 20,708 759,169Great-West Lifeco, Inc. 32,203 686,436H&R Real Estate Investment Trust 16,874 286,810Husky Energy, Inc. 36,722 245,199Hydro One, Ltd. (B) 34,363 636,983iA Financial Corp., Inc. 12,551 521,969IGM Financial, Inc. 10,054 271,550Imperial Oil, Ltd. 27,646 678,380Intact Financial Corp. 14,537 1,420,726Inter Pipeline, Ltd. 40,511 738,777Keyera Corp. 20,995 506,662Kinross Gold Corp. (A) 122,948 611,323Kirkland Lake Gold, Ltd. 19,631 954,567Linamar Corp. 319 9,689Loblaw Companies, Ltd. 18,623 1,019,271Lundin Mining Corp. 68,667 327,501Magna International, Inc. 31,460 1,575,127Methanex Corp. 6,973 226,044Metro, Inc. 25,722 1,091,359National Bank of Canada 33,742 1,584,460Nutrien, Ltd. 59,302 2,986,480Onex Corp. 8,841 519,410Open Text Corp. 26,918 1,053,146Pembina Pipeline Corp. 50,379 1,844,279Power Corp. of Canada 33,390 703,964Power Financial Corp. 30,967 660,322PrairieSky Royalty, Ltd. 21,421 271,423Quebecor, Inc., Class B 18,147 408,764Restaurant Brands International, Inc. 23,624 1,852,623RioCan Real Estate Investment Trust 16,557 329,300Rogers Communications, Inc., Class B 36,188 1,791,461Royal Bank of Canada 140,665 10,520,821Saputo, Inc. 23,550 707,880Shaw Communications, Inc., Class B 46,511 883,828Shopify, Inc., Class A (A) 9,609 3,701,132SmartCentres Real Estate Investment Trust 9,023 214,562SNC-Lavalin Group, Inc. 18,073 222,756Sun Life Financial, Inc. 60,953 2,498,276Suncor Energy, Inc. 155,263 4,541,040TC Energy Corp. 90,483 4,636,285Teck Resources, Ltd., Class B 50,194 854,663TELUS Corp. 20,705 750,039The Bank of Nova Scotia 120,601 6,413,212The Stars Group, Inc. (A) 22,286 338,625The Toronto-Dominion Bank 179,459 9,731,816Thomson Reuters Corp. 20,219 1,389,392Tourmaline Oil Corp. 26,503 251,215



COMMON STOCKS (continued)Canada (continued)Vermilion Energy, Inc. 15,707 $ 223,560West Fraser Timber Company, Ltd. 5,645 198,851Wheaton Precious Metals Corp. 43,663 1,284,244WSP Global, Inc. 10,677 578,037

135,064,352Chile - 0.1%Aguas Andinas SA, Class A 70,783 38,942Antofagasta PLC 32,162 339,970Banco de Chile 872,870 124,350Banco de Credito e Inversiones SA 1,501 94,645Banco Santander Chile 1,960,807 140,077Cencosud SA 41,904 62,717Cia Cervecerias Unidas SA 4,046 45,921Colbun SA 231,542 41,232Empresa Nacional de Telecomunicaciones

SA (A) 4,024 35,043Empresas CMPC SA 33,993 78,435Empresas COPEC SA 12,078 108,812Enel Americas SA 1,289,283 211,188Enel Chile SA 1,019,255 87,885Itau CorpBanca 3,313,065 25,711Latam Airlines Group SA 9,994 83,928SACI Falabella 22,932 128,706

1,647,562China - 6.0%3SBio, Inc. (A)(B) 94,100 144,44851job, Inc., ADR (A) 1,700 122,28158.com, Inc., ADR (A) 6,700 360,393AAC Technologies Holdings, Inc. 51,600 221,616Agile Group Holdings, Ltd. 103,900 132,268Agricultural Bank of China, Ltd., H Shares 2,115,200 813,192Air China, Ltd., H Shares 131,300 113,318Alibaba Group Holding, Ltd., ADR (A) 102,000 17,853,039Aluminum Corp. of China, Ltd., H

Shares (A) 292,600 85,541Angang Steel Company, Ltd., H Shares 122,200 42,279Anhui Conch Cement Company, Ltd.,

H Shares 88,100 494,533ANTA Sports Products, Ltd. 77,500 642,866Autohome, Inc., ADR (A) 4,200 366,072AviChina Industry & Technology

Company, Ltd., H Shares 181,000 94,434BAIC Motor Corp., Ltd., H Shares (B) 124,000 69,702Baidu, Inc., ADR (A) 19,900 2,078,953Bank of China, Ltd., H Shares 5,693,600 2,177,075Bank of Communications Company, Ltd.,

H Shares 623,900 407,503Baozun, Inc., ADR (A) 2,700 123,552BBMG Corp., H Shares 156,000 44,232BeiGene, Ltd., ADR (A) 3,000 431,250Beijing Capital International Airport

Company, Ltd., H Shares 124,900 104,682BYD Company, Ltd., H Shares 45,500 235,506BYD Electronic International

Company, Ltd. 50,400 60,328CGN Power Company, Ltd., H Shares (B) 721,900 190,318China Aoyuan Group, Ltd. 91,000 106,788China Cinda Asset Management

Company, Ltd., H Shares 665,200 137,948China CITIC Bank Corp., Ltd., H Shares 634,000 331,036China Coal Energy Company, Ltd.,

H Shares 151,000 59,825





COMMON STOCKS (continued)China (continued)China Communications

Construction Company, Ltd., H Shares 309,500 $ 239,561China Communications Services Corp.,

Ltd., H Shares 177,200 98,974China Conch Venture Holdings, Ltd. 116,800 388,317China Construction Bank Corp., H Shares 6,898,500 5,126,377China Eastern Airlines Corp., Ltd., H

Shares (A) 100,000 46,949China Everbright Bank Company, Ltd.,

H Shares 206,000 85,790China Evergrande Group 131,900 272,279China Galaxy Securities Company, Ltd.,

H Shares 265,000 126,016China Hongqiao Group, Ltd. 129,000 84,402China Huarong Asset Management

Company, Ltd., H Shares (B) 749,600 117,301China Huishan Dairy Holdings

Company, Ltd. (A)(C) 175,000 2,567China International Capital Corp., Ltd., H

Shares (B) 82,400 142,091China Life Insurance Company, Ltd.,

H Shares 539,200 1,260,335China Literature, Ltd. (A)(B) 18,800 57,591China Longyuan Power Group Corp., Ltd.,

H Shares 236,700 129,943China Medical System Holdings, Ltd. 102,300 127,212China Merchants Bank Company, Ltd.,

H Shares 282,200 1,280,331China Minsheng Banking Corp., Ltd.,

H Shares 500,020 328,542China Molybdenum Company, Ltd.,

H Shares 294,100 79,617China National Building Material

Company, Ltd., H Shares 273,700 233,670China Oilfield Services, Ltd., H Shares 117,700 145,273China Oriental Group Company, Ltd. 74,000 29,201China Pacific Insurance Group

Company, Ltd., H Shares 194,200 775,163China Petroleum & Chemical Corp.,

H Shares 1,839,300 1,072,929China Railway Construction Corp., Ltd.,

H Shares 133,500 143,876China Railway Group, Ltd., H Shares 284,600 185,830China Railway Signal & Communication

Corp., Ltd., H Shares (B) 107,000 64,013China Reinsurance Group Corp., H Shares 456,000 74,356China Resources Pharmaceutical

Group, Ltd. (B) 115,600 119,155China Shenhua Energy Company, Ltd.,

H Shares 243,500 477,830China Southern Airlines Company, Ltd.,

H Shares 124,800 70,013China Telecom Corp., Ltd., H Shares 993,100 443,767China Tower Corp., Ltd., H Shares (B) 3,024,000 688,411China Vanke Company, Ltd., H Shares 108,000 372,203China Zhongwang Holdings, Ltd. 122,800 50,345Chongqing Rural Commercial Bank

Company, Ltd., H Shares 172,700 83,332CIFI Holdings Group Company, Ltd. 206,000 110,406CITIC Securities Company, Ltd., H Shares 146,200 260,771CNOOC, Ltd. 1,275,500 1,889,546COSCO SHIPPING Development

Company, Ltd., H Shares 30,100 3,333



COMMON STOCKS (continued)China (continued)COSCO SHIPPING Energy Transportation

Company, Ltd., H Shares 92,000 $ 51,980COSCO SHIPPING Holdings

Company, Ltd., H Shares (A) 164,500 58,634Country Garden Holdings Company, Ltd. 548,300 679,064Country Garden Services Holdings

Company, Ltd. 83,000 239,411CRRC Corp., Ltd., H Shares 306,500 210,391CSPC Pharmaceutical Group, Ltd. 338,300 674,049Ctrip.com International, Ltd., ADR (A) 29,100 942,258Dali Foods Group Company, Ltd. (B) 151,000 100,409Datang International Power Generation

Company, Ltd., H Shares 226,000 49,494Dongfeng Motor Group Company, Ltd.,

H Shares 185,300 171,700ENN Energy Holdings, Ltd. 56,500 643,805Fosun International, Ltd. 182,000 233,296Future Land Development Holdings, Ltd. 134,000 105,555Fuyao Glass Industry Group

Company, Ltd., H Shares (B) 36,900 104,967GDS Holdings, Ltd., ADR (A) 4,400 177,496Genscript Biotech Corp. (A) 68,000 151,877GF Securities Company, Ltd., H

Shares (A) 102,800 105,233GOME Retail Holdings, Ltd. (A) 695,200 62,843Great Wall Motor Company, Ltd.,

H Shares 230,900 146,180Greentown Service Group Company, Ltd. 82,000 74,752Guangzhou Automobile Group

Company, Ltd., H Shares 203,080 204,136Guangzhou R&F Properties

Company, Ltd., H Shares 72,800 116,856Guotai Junan Securities Company, Ltd., H

Shares (B) 56,000 79,671Haitian International Holdings, Ltd. 46,400 87,113Haitong Securities Company, Ltd.,

H Shares 201,300 191,110Hengan International Group Company, Ltd. 51,100 336,284HengTen Networks Group, Ltd. (A) 1,448,000 23,075Hua Hong Semiconductor, Ltd. (B) 36,000 59,996Huadian Power International Corp., Ltd.,

H Shares 112,000 43,667Huaneng Power International, Inc.,

H Shares 243,700 133,751Huaneng Renewables Corp., Ltd.,

H Shares 355,700 98,495Huatai Securities Company, Ltd., H

Shares (B) 113,300 164,645Huazhu Group, Ltd., ADR 9,300 307,179Industrial & Commercial Bank of

China, Ltd., H Shares 4,669,800 2,945,042Inner Mongolia Yitai Coal Company, Ltd.,

Class B 67,500 60,079iQIYI, Inc., ADR (A) 8,500 155,465JD.com, Inc., ADR (A) 52,500 1,601,250Jiangsu Expressway Company, Ltd.,

H Shares 86,900 115,083Jiangxi Copper Company, Ltd., H Shares 80,400 90,296Kaisa Group Holdings, Ltd. (A) 167,000 57,519Kingdee International Software Group

Company, Ltd. 172,000 155,166Kingsoft Corp., Ltd. (A) 61,200 112,491KWG Group Holdings, Ltd. (A) 87,500 75,963Legend Holdings Corp., H Shares (B) 24,100 51,753





COMMON STOCKS (continued)China (continued)Lenovo Group, Ltd. 518,000 $ 339,796Li Ning Company, Ltd. 141,000 415,849Logan Property Holdings Company, Ltd. 104,000 146,118Longfor Group Holdings, Ltd. (B) 128,400 456,587Luye Pharma Group, Ltd. (B) 70,500 54,582Maanshan Iron & Steel Company, Ltd.,

H Shares 124,000 46,406Meitu, Inc. (A)(B) 133,700 33,646Meituan Dianping, Class B (A) 72,000 681,343Metallurgical Corp. of China, Ltd.,

H Shares 214,000 47,705Momo, Inc., ADR 10,300 378,834NetEase, Inc., ADR 5,100 1,300,500New China Life Insurance Company, Ltd.,

H Shares 60,200 236,814New Oriental Education & Technology

Group, Inc., ADR (A) 10,300 1,168,020NIO, Inc., ADR (A) 48,900 139,854Noah Holdings, Ltd., ADR (A) 2,300 69,000PetroChina Company, Ltd., H Shares 1,522,700 749,493PICC Property & Casualty Company, Ltd.,

H Shares 506,950 579,693Pinduoduo, Inc., ADR (A) 13,400 439,118Ping An Insurance Group Company of

China, Ltd., H Shares 402,800 4,621,329Postal Savings Bank of China

Company, Ltd., H Shares (B) 565,000 339,757Semiconductor Manufacturing International

Corp. (A) 209,800 230,068Shandong Weigao Group Medical Polymer

Company, Ltd., H Shares 152,000 156,475Shanghai Electric Group Company, Ltd.,

H Shares 170,000 53,488Shanghai Fosun Pharmaceutical Group

Company, Ltd., H Shares 39,100 115,804Shanghai Lujiazui Finance & Trade Zone

Development Company, Ltd., B Shares 72,480 81,260Shanghai Pharmaceuticals Holding

Company, Ltd., H Shares 59,600 112,340Shenzhou International Group

Holdings, Ltd. 54,100 733,992Shui On Land, Ltd. 268,500 55,735Sihuan Pharmaceutical Holdings

Group, Ltd. 301,400 53,657SINA Corp. (A) 4,400 181,148Sino-Ocean Group Holding, Ltd. 226,000 80,494Sinopec Engineering Group

Company, Ltd., H Shares 100,500 65,534Sinopec Shanghai Petrochemical

Company, Ltd., H Shares 233,700 67,301Sinopharm Group Company, Ltd.,

H Shares 83,900 302,796Sinotrans, Ltd., H Shares 145,000 46,655Sinotruk Hong Kong, Ltd. 50,500 77,702SOHO China, Ltd. 148,200 43,389Sunac China Holdings, Ltd. 175,300 698,930Sunny Optical Technology Group

Company, Ltd. 51,500 708,979TAL Education Group, ADR (A) 25,600 912,128Tencent Holdings, Ltd. 409,700 16,914,683Tencent Music Entertainment Group,

ADR (A) 6,900 91,770The People’s Insurance Company Group of

China, Ltd., H Shares 628,200 245,440



COMMON STOCKS (continued)China (continued)Tingyi Cayman Islands Holding Corp. 136,700 $ 187,960Tong Ren Tang Technologies

Company, Ltd., H Shares 31,000 33,609TravelSky Technology, Ltd., H Shares 68,500 137,280Tsingtao Brewery Company, Ltd.,

H Shares 27,000 181,959Uni-President China Holdings, Ltd. 87,000 96,464Vipshop Holdings, Ltd., ADR (A) 30,700 256,959Want Want China Holdings, Ltd. 349,500 271,653Weibo Corp., ADR (A) 3,680 152,242Weichai Power Company, Ltd., H Shares 135,000 206,011WuXi AppTec Company, Ltd., H

Shares (B) 11,340 126,917Wuxi Biologics Cayman, Inc. (A)(B) 40,000 419,819Xiaomi Corp., Class B (A)(B) 243,400 263,875Xinjiang Goldwind Science & Technology

Company, Ltd., H Shares 53,600 62,968Xinyi Solar Holdings, Ltd. 228,000 143,738Yangzijiang Shipbuilding Holdings, Ltd. 66,000 43,153Yanzhou Coal Mining Company, Ltd.,

H Shares 126,700 109,445Yihai International Holding, Ltd. (A) 35,000 209,296Yum China Holdings, Inc. 25,884 1,175,910Yuzhou Properties Company, Ltd. 128,000 53,721YY, Inc., ADR (A) 3,600 205,740Zhaojin Mining Industry Company, Ltd.,

H Shares 69,500 91,142Zhejiang Expressway Company, Ltd.,

H Shares 105,800 88,373ZhongAn Online P&C Insurance

Company, Ltd., H Shares (A)(B) 22,200 49,960Zhongsheng Group Holdings, Ltd. 39,500 123,122Zhuzhou CRRC Times Electric

Company, Ltd., H Shares 37,500 148,868Zijin Mining Group Company, Ltd.,

H Shares 421,200 157,397ZTE Corp., H Shares (A) 56,500 139,876ZTO Express Cayman, Inc., ADR 22,900 469,679

97,463,423Colombia - 0.0%Bancolombia SA 12,725 146,299Cementos Argos SA 22,772 50,801Ecopetrol SA 291,020 231,622Grupo Argos SA 15,336 80,185Grupo de Inversiones Suramericana SA 12,535 121,977Interconexion Electrica SA ESP 24,015 126,819

757,703Czech Republic - 0.0%CEZ AS 10,519 231,813Komercni banka AS 4,998 177,749Moneta Money Bank AS (B) 32,556 105,491

515,053Denmark - 1.2%A.P. Moller - Maersk A/S, Series A 313 311,744A.P. Moller - Maersk A/S, Series B 537 571,916Carlsberg A/S, Class B 8,775 1,296,135Chr. Hansen Holding A/S 8,656 727,863Coloplast A/S, B Shares 9,764 1,163,959Danske Bank A/S 55,233 727,149Demant A/S (A) 9,197 278,659DSV A/S 18,115 1,797,471Genmab A/S (A) 5,332 1,089,966H Lundbeck A/S 5,505 200,128





COMMON STOCKS (continued)Denmark (continued)ISS A/S 12,771 $ 324,494Novo Nordisk A/S, B Shares 142,173 7,407,552Novozymes A/S, B Shares 17,932 764,426Orsted A/S (B) 15,546 1,483,651Pandora A/S 8,567 364,469Tryg A/S 10,406 311,046Vestas Wind Systems A/S 16,097 1,183,691

20,004,319Finland - 0.3%Elisa OYJ 2,715 136,578Fortum OYJ 9,163 201,721Kone OYJ, B Shares 6,779 392,292Metso OYJ 2,137 80,213Neste OYJ 8,283 261,272Nokia OYJ 114,829 568,092Nokian Renkaat OYJ 2,374 65,072Nordea Bank ABP 1,029 6,420Nordea Bank ABP (Nasdaq

Stockholm Exchange) 289,172 1,808,569Orion OYJ, Class B 2,101 78,083Sampo OYJ, A Shares 9,890 392,939Stora Enso OYJ, R Shares 12,431 139,385UPM-Kymmene OYJ 10,675 288,488Wartsila OYJ ABP 9,092 111,726

4,530,850France - 7.4%Accor SA 14,907 643,596Aeroports de Paris 2,406 415,775Air Liquide SA 34,805 4,849,382Airbus SE 47,270 6,513,472Alstom SA 12,624 539,755Amundi SA (B) 4,947 316,247Arkema SA 5,646 495,960Atos SE 7,830 592,409AXA SA 159,478 3,656,909BioMerieux 3,357 272,890BNP Paribas SA 91,318 4,116,227Bollore SA 70,611 299,785Bouygues SA 18,236 692,706Bureau Veritas SA 23,092 552,406Capgemini SE 12,799 1,535,715Carrefour SA 48,080 819,406Casino Guichard Perrachon SA 4,470 188,243Cie de Saint-Gobain 39,812 1,435,496Cie Generale des Etablissements

Michelin SCA 13,760 1,448,639CNP Assurances 16,151 293,402Covivio 3,570 379,894Credit Agricole SA 93,589 1,066,853Danone SA 49,987 4,478,287Dassault Aviation SA 204 290,290Dassault Systemes SE 10,507 1,481,523Edenred 19,432 946,221Eiffage SA 6,357 658,731Electricite de France SA 49,192 598,212Engie SA 147,957 2,249,653EssilorLuxottica SA 22,852 3,374,058Eurazeo SE 3,223 213,190Eutelsat Communications SA 14,075 244,900Faurecia SE 6,236 272,870Gecina SA 3,679 583,203Getlink SE 35,079 493,603Hermes International 2,553 1,743,414



COMMON STOCKS (continued)France (continued)ICADE 2,278 $ 201,455Iliad SA 2,150 225,152Imerys SA 2,934 119,800Ingenico Group SA 4,877 483,650Ipsen SA 3,074 323,109JCDecaux SA 5,901 157,938Kering SA 6,152 2,980,933Klepierre SA 16,560 505,444Legrand SA 21,485 1,516,886L’Oreal SA 20,451 5,584,254LVMH Moet Hennessy Louis Vuitton SE 22,551 8,992,996Natixis SA 78,197 302,631Orange SA 161,119 2,447,939Pernod Ricard SA 17,191 3,281,923Peugeot SA 48,039 1,074,012Publicis Groupe SA 17,196 824,945Remy Cointreau SA 1,806 272,787Renault SA 15,775 904,798Safran SA 26,559 3,857,464Sanofi 91,109 7,826,937Sartorius Stedim Biotech 2,246 347,636Schneider Electric SE 44,666 3,741,386SCOR SE 13,864 553,146SEB SA 1,837 285,668Societe BIC SA 2,030 129,717Societe Generale SA 62,213 1,574,894Sodexo SA 7,150 810,459Suez 27,376 425,039Teleperformance 4,685 1,023,141Thales SA 8,670 1,002,480TOTAL SA 192,761 9,626,199Ubisoft Entertainment SA (A) 6,783 546,911Unibail-Rodamco-Westfield 11,166 1,461,608Valeo SA 19,626 537,020Veolia Environnement SA 43,512 1,040,543Vinci SA 41,256 4,507,505Vivendi SA 73,809 2,063,990Wendel SA 2,207 309,340Worldline SA (A)(B) 6,669 460,601

121,085,658Germany - 3.9%1&1 Drillisch AG 3,167 87,074adidas AG 10,653 3,156,601Allianz SE 25,286 5,580,701Axel Springer SE 2,839 196,688BASF SE 54,292 3,592,325Bayer AG 55,099 4,095,153Bayerische Motoren Werke AG 19,414 1,298,412Beiersdorf AG 5,892 742,682Brenntag AG 9,088 438,625Carl Zeiss Meditec AG, Bearer Shares 2,360 272,733Commerzbank AG 59,685 338,340Continental AG 6,491 783,320Covestro AG (B) 10,338 469,793Daimler AG 53,684 2,525,749Delivery Hero SE (A)(B) 6,594 334,200Deutsche Bank AG 116,304 839,510Deutsche Boerse AG 11,165 1,640,503Deutsche Lufthansa AG 14,285 220,178Deutsche Post AG 58,437 1,917,639Deutsche Telekom AG 196,438 3,279,451Deutsche Wohnen SE 20,899 740,848E.ON SE 129,497 1,204,796





COMMON STOCKS (continued)Germany (continued)Evonik Industries AG 11,033 $ 282,055Fraport AG Frankfurt Airport

Services Worldwide 2,413 202,135Fresenius Medical Care AG &

Company KGaA 12,742 857,509Fresenius SE & Company KGaA 24,639 1,197,708GEA Group AG 9,064 244,316Hannover Rueck SE 3,804 605,977HeidelbergCement AG 8,767 608,819Henkel AG & Company KGaA 6,130 567,434HOCHTIEF AG 1,464 159,651HUGO BOSS AG 3,717 207,548Infineon Technologies AG 73,707 1,277,404Innogy SE (B) 7,967 396,900KION Group AG 3,840 186,091Knorr-Bremse AG 2,816 263,435LANXESS AG 5,152 310,834Merck KGaA 7,615 815,837METRO AG 10,399 161,011MTU Aero Engines AG 3,063 838,185Muenchener

Rueckversicherungs-Gesellschaft AG 9,013 2,157,948Puma SE 4,886 371,644RWE AG 32,274 920,030SAP SE 57,994 6,923,148Siemens AG 45,206 4,520,693Siemens Healthineers AG (B) 8,825 347,106Symrise AG 7,534 704,313Telefonica Deutschland Holding AG 51,501 131,152thyssenkrupp AG 23,896 292,867TUI AG 38,137 380,598Uniper SE 11,755 356,668United Internet AG 7,274 238,938Volkswagen AG 1,952 319,221Vonovia SE 28,884 1,441,286Wirecard AG 6,926 1,109,698Zalando SE (A)(B) 7,398 367,031

63,520,511Hong Kong - 3.4%AIA Group, Ltd. 1,031,200 9,978,673Alibaba Health Information

Technology, Ltd. (A) 245,100 231,623Alibaba Pictures Group, Ltd. (A) 965,600 158,553ASM Pacific Technology, Ltd. 25,300 289,120Beijing Enterprises Holdings, Ltd. 37,500 178,337Beijing Enterprises Water Group, Ltd. (A) 378,500 198,412BOC Hong Kong Holdings, Ltd. 316,000 1,062,779Brilliance China Automotive

Holdings, Ltd. 211,500 223,794China Agri-Industries Holdings, Ltd. 152,000 42,769China Ding Yi Feng Holdings, Ltd. (C) 88,000 220,382China Education Group Holdings, Ltd. 46,000 68,272China Everbright International, Ltd. 257,200 201,510China Everbright, Ltd. 65,100 74,146China First Capital Group, Ltd. (A) 218,000 83,306China Gas Holdings, Ltd. 127,400 525,171China Jinmao Holdings Group, Ltd. 364,900 203,147China Mengniu Dairy Company, Ltd. (A) 197,900 782,881China Merchants Port Holdings

Company, Ltd. 98,300 153,123China Mobile, Ltd. 439,900 3,639,991China Overseas Land & Investment, Ltd. 273,500 862,763



COMMON STOCKS (continued)Hong Kong (continued)China Power International

Development, Ltd. 298,000 $ 64,521China Resources Beer Holdings

Company, Ltd. 105,200 595,482China Resources Cement Holdings, Ltd. 184,000 162,579China Resources Gas Group, Ltd. 63,100 311,376China Resources Land, Ltd. 199,700 809,618China Resources Power Holdings

Company, Ltd. 131,100 172,943China State Construction International

Holdings, Ltd. 151,500 136,346China Taiping Insurance Holdings

Company, Ltd. 119,200 267,480China Traditional Chinese Medicine

Holdings Company, Ltd. 164,000 76,805China Unicom Hong Kong, Ltd. 439,300 436,436CITIC, Ltd. 417,600 493,723CK Asset Holdings, Ltd. 221,000 1,496,686CK Hutchison Holdings, Ltd. 230,500 2,003,697CK Infrastructure Holdings, Ltd. 55,000 370,261CLP Holdings, Ltd. 139,500 1,435,622COSCO SHIPPING Ports, Ltd. 127,700 111,723Dairy Farm International Holdings, Ltd. 27,700 198,123Far East Horizon, Ltd. 142,800 127,497Fullshare Holdings, Ltd. (A) 668,300 17,790Galaxy Entertainment Group, Ltd. 185,000 1,157,819Geely Automobile Holdings, Ltd. 356,300 548,868Guangdong Investment, Ltd. 208,900 439,765Haier Electronics Group Company, Ltd. 88,700 230,952Hang Lung Properties, Ltd. 169,000 381,192Hang Seng Bank, Ltd. 65,100 1,356,105Henderson Land Development

Company, Ltd. 125,041 580,669HK Electric Investments & HK Electric

Investments, Ltd. 208,000 199,169HKT Trust & HKT, Ltd. 320,000 499,883Hong Kong & China Gas Company, Ltd. 863,646 1,665,465Hong Kong Exchanges & Clearing, Ltd. 101,300 3,091,559Hongkong Land Holdings, Ltd. 100,200 546,395Hutchison China MediTech, Ltd., ADR (A) 4,600 100,234Hysan Development Company, Ltd. 51,000 206,194Jardine Matheson Holdings, Ltd. 18,900 1,027,736Jardine Strategic Holdings, Ltd. 19,100 603,894Kerry Properties, Ltd. 55,000 185,104Kingboard Holdings, Ltd. 49,200 114,887Kingboard Laminates Holdings, Ltd. 78,000 61,397Kunlun Energy Company, Ltd. 236,900 205,941Lee & Man Paper Manufacturing, Ltd. 96,500 50,951Link REIT 179,500 2,012,253Melco Resorts & Entertainment, Ltd., ADR 17,400 361,920MTR Corp., Ltd. 131,000 758,074New World Development Company, Ltd. 525,000 653,337Nine Dragons Paper Holdings, Ltd. 112,900 85,300NWS Holdings, Ltd. 130,000 223,477PCCW, Ltd. 334,000 180,902Power Assets Holdings, Ltd. 117,500 781,306Shanghai Industrial Holdings, Ltd. 32,900 64,024Shangri-La Asia, Ltd. 105,000 109,622Shenzhen International Holdings, Ltd. 69,000 130,264Shenzhen Investment, Ltd. 216,000 81,704Shimao Property Holdings, Ltd. 81,400 229,605Sino Biopharmaceutical, Ltd. 499,900 740,687Sino Land Company, Ltd. 255,000 363,478SJM Holdings, Ltd. 166,000 156,458





COMMON STOCKS (continued)Hong Kong (continued)Skyworth Group, Ltd. 9,600 $ 2,208SSY Group, Ltd. 110,000 97,002Sun Art Retail Group, Ltd. 176,200 171,143Sun Hung Kai Properties, Ltd. 136,000 1,922,367Swire Pacific, Ltd., Class A 41,500 405,974Swire Properties, Ltd. 97,800 320,561Techtronic Industries Company, Ltd. 117,000 807,034The Bank of East Asia, Ltd. 105,400 266,092The Wharf Holdings, Ltd. 102,000 222,761Towngas China Company, Ltd. (A) 75,000 51,780Vitasoy International Holdings, Ltd. 62,000 288,149WH Group, Ltd. (B) 819,500 656,717Wharf Real Estate Investment

Company, Ltd. 105,000 567,276Wheelock & Company, Ltd. 69,000 400,221Yue Yuen Industrial Holdings, Ltd. 60,500 154,648Yuexiu Property Company, Ltd. 490,000 105,391

55,093,374Hungary - 0.1%MOL Hungarian Oil & Gas PLC 33,146 324,142OTP Bank Nyrt 18,447 735,567Richter Gedeon NYRT 11,914 198,676

1,258,385Indonesia - 0.3%Adaro Energy Tbk PT 603,500 47,722Astra International Tbk PT 823,300 386,611Bank Central Asia Tbk PT 392,800 843,053Bank Mandiri Persero Tbk PT 757,300 385,048Bank Negara Indonesia Persero Tbk PT 285,900 154,815Bank Rakyat Indonesia Persero Tbk PT 2,224,500 667,669Bank Tabungan Negara Persero Tbk PT 173,300 24,362Barito Pacific Tbk PT 1,075,000 68,463Bukit Asam Tbk PT 111,900 19,444Bumi Serpong Damai Tbk PT (A) 318,900 30,251Charoen Pokphand Indonesia Tbk PT 313,700 110,933Gudang Garam Tbk PT 20,400 99,824Hanjaya Mandala Sampoerna Tbk PT 392,300 74,260Indah Kiat Pulp & Paper Corp. Tbk PT 117,500 56,525Indocement Tunggal Prakarsa Tbk PT 76,900 117,488Indofood CBP Sukses Makmur Tbk PT 95,600 81,053Indofood Sukses Makmur Tbk PT 184,300 102,777Jasa Marga Persero Tbk PT 88,200 34,786Kalbe Farma Tbk PT 873,200 103,995Pabrik Kertas Tjiwi Kimia Tbk PT 59,300 41,523Pakuwon Jati Tbk PT 706,300 31,817Perusahaan Gas Negara Tbk PT 459,900 62,106Semen Indonesia Persero Tbk PT 125,100 116,540Surya Citra Media Tbk PT 240,200 20,877Telekomunikasi Indonesia Persero Tbk PT 1,973,100 620,366Unilever Indonesia Tbk PT 58,700 201,976United Tractors Tbk PT 70,100 103,241Waskita Karya Persero Tbk PT 78,100 9,579

4,617,104Ireland - 0.7%AerCap Holdings NV (A) 19,300 1,034,866AIB Group PLC 68,418 173,002Bank of Ireland Group PLC 82,506 313,745CRH PLC 70,046 2,344,274DCC PLC 8,261 704,022Experian PLC 76,708 2,359,197Flutter Entertainment PLC 6,752 555,592James Hardie Industries PLC, CHESS

Depositary Interest 36,074 547,240



COMMON STOCKS (continued)Ireland (continued)Kerry Group PLC, Class A 13,669 $ 1,626,903Kingspan Group PLC 13,095 601,544Smurfit Kappa Group PLC 19,649 606,410

10,866,795Isle of Man - 0.0%GVC Holdings PLC 50,257 385,611Israel - 0.3%Azrieli Group, Ltd. 3,179 236,978Bank Hapoalim BM (A) 84,739 621,717Bank Leumi Le-Israel BM 110,669 754,083Check Point Software

Technologies, Ltd. (A) 9,000 969,300CyberArk Software, Ltd. (A) 2,700 303,318Israel Chemicals, Ltd. 53,548 241,832Israel Discount Bank, Ltd., Class A 89,260 371,475Mizrahi Tefahot Bank, Ltd. 10,859 250,159Nice, Ltd. (A) 4,438 679,589Teva Pharmaceutical Industries, Ltd. (A) 9,796 68,324Teva Pharmaceutical Industries, Ltd.,

ADR (A) 68,900 475,410Wix.com, Ltd. (A) 3,300 462,825

5,435,010Italy - 0.9%Assicurazioni Generali SpA 56,976 1,035,676Atlantia SpA 24,545 599,728Davide Campari-Milano SpA 28,240 265,316Enel SpA 407,823 2,958,662Eni SpA 126,295 1,906,225Ferrari NV 6,064 957,497FinecoBank Banca Fineco SpA 29,787 308,465Intesa Sanpaolo SpA 747,630 1,645,123Leonardo SpA 20,175 247,899Mediobanca Banca di Credito

Finanziario SpA 29,733 295,495Moncler SpA 8,874 333,883Pirelli & C. SpA (B) 19,145 99,639Poste Italiane SpA (B) 28,868 311,306Prysmian SpA 12,044 264,313Recordati SpA 5,094 223,510Snam SpA 103,100 522,863Telecom Italia SpA (A) 453,856 242,627Telecom Italia SpA 300,329 153,708Terna Rete Elettrica Nazionale SpA 67,628 426,129UniCredit SpA 100,327 1,115,907

13,913,971Japan - 14.9%ABC-Mart, Inc. 2,400 153,293Acom Company, Ltd. 31,000 109,305Advantest Corp. 14,900 610,005Aeon Company, Ltd. 48,500 859,648AEON Financial Service Company, Ltd. 8,700 127,261Aeon Mall Company, Ltd. 7,700 121,031AGC, Inc. 13,700 394,838Air Water, Inc. 11,100 188,338Aisin Seiki Company, Ltd. 12,100 358,050Ajinomoto Company, Inc. 32,600 594,026Alfresa Holdings Corp. 14,000 316,653Alps Alpine Company, Ltd. 15,600 271,377Amada Holdings Company, Ltd. 25,500 265,068ANA Holdings, Inc. 8,500 290,425Aozora Bank, Ltd. 8,500 196,215Asahi Group Holdings, Ltd. 27,000 1,258,756





COMMON STOCKS (continued)Japan (continued)Asahi Intecc Company, Ltd. 14,500 $ 323,388Asahi Kasei Corp. 94,400 852,817Astellas Pharma, Inc. 140,200 1,935,249Bandai Namco Holdings, Inc. 14,900 875,488Benesse Holdings, Inc. 5,400 138,115Bridgestone Corp. 42,400 1,605,751Brother Industries, Ltd. 16,600 286,983Calbee, Inc. 5,900 179,810Canon, Inc. 74,500 1,931,454Casio Computer Company, Ltd. 14,500 202,442Central Japan Railway Company 10,700 2,115,656Chubu Electric Power Company, Inc. 47,900 705,886Chugai Pharmaceutical Company, Ltd. 16,700 1,192,724Coca-Cola Bottlers Japan Holdings, Inc. 9,200 199,819Concordia Financial Group, Ltd. 80,100 274,746Credit Saison Company, Ltd. 12,400 137,794CyberAgent, Inc. 7,500 337,543Dai Nippon Printing Company, Ltd. 17,900 386,923Daicel Corp. 20,000 154,321Daifuku Company, Ltd. 7,600 358,154Dai-ichi Life Holdings, Inc. 82,600 1,123,297Daiichi Sankyo Company, Ltd. 42,300 2,789,827Daikin Industries, Ltd. 18,600 2,299,809Daito Trust Construction Company, Ltd. 5,300 682,002Daiwa House Industry Company, Ltd. 42,300 1,325,033Daiwa House REIT Investment Corp. 133 351,004Daiwa Securities Group, Inc. 113,500 488,359Denso Corp. 32,300 1,353,308Dentsu, Inc. 16,100 549,542Disco Corp. 2,000 362,418East Japan Railway Company 22,700 2,160,484Eisai Company, Ltd. 18,800 959,382Electric Power Development

Company, Ltd. 10,800 250,075FamilyMart UNY Holdings Company, Ltd. 18,800 432,843FANUC Corp. 14,500 2,511,002Fast Retailing Company, Ltd. 4,300 2,515,549Fuji Electric Company, Ltd. 9,500 270,324FUJIFILM Holdings Corp. 26,800 1,146,247Fujitsu, Ltd. 14,600 1,125,929Fukuoka Financial Group, Inc. 13,000 223,282GMO Payment Gateway, Inc. 3,000 232,112Hakuhodo DY Holdings, Inc. 17,200 253,622Hamamatsu Photonics KK 10,300 355,384Hankyu Hanshin Holdings, Inc. 16,900 639,993Hikari Tsushin, Inc. 1,500 351,215Hino Motors, Ltd. 21,900 171,991Hirose Electric Company, Ltd. 2,400 272,356Hisamitsu Pharmaceutical Company, Inc. 4,000 161,579Hitachi Chemical Company, Ltd. 7,800 243,396Hitachi Construction Machinery

Company, Ltd. 8,200 174,777Hitachi High-Technologies Corp. 5,100 274,881Hitachi Metals, Ltd. 15,900 170,924Hitachi, Ltd. 72,100 2,459,500Honda Motor Company, Ltd. 121,600 2,881,287Hoshizaki Corp. 4,000 287,410Hoya Corp. 28,400 2,309,024Hulic Company, Ltd. 19,100 182,144Idemitsu Kosan Company, Ltd. 14,597 391,408IHI Corp. 11,000 213,856Iida Group Holdings Company, Ltd. 11,000 171,040Inpex Corp. 75,800 654,332Isetan Mitsukoshi Holdings, Ltd. 24,700 186,955



COMMON STOCKS (continued)Japan (continued)Isuzu Motors, Ltd. 41,200 $ 442,468ITOCHU Corp. 100,500 2,002,220Itochu Techno-Solutions Corp. 6,900 189,893J Front Retailing Company, Ltd. 16,900 191,085Japan Airlines Company, Ltd. 8,600 268,420Japan Airport Terminal Company, Ltd. 3,800 151,238Japan Exchange Group, Inc. 37,900 599,246Japan Post Bank Company, Ltd. 30,100 274,045Japan Post Holdings Company, Ltd. 122,000 1,108,627Japan Prime Realty Investment Corp. 55 251,093Japan Real Estate Investment Corp. 96 638,871Japan Retail Fund Investment Corp. 186 372,203Japan Tobacco, Inc. 89,500 1,889,326JFE Holdings, Inc. 36,900 431,159JGC Corp. 16,500 191,335JSR Corp. 14,300 233,563JTEKT Corp. 15,800 171,007JXTG Holdings, Inc. 239,600 988,452Kajima Corp. 33,800 410,855Kakaku.com, Inc. 9,900 247,577Kamigumi Company, Ltd. 7,800 182,662Kaneka Corp. 3,800 113,738Kansai Paint Company, Ltd. 13,100 272,281Kao Corp. 36,400 2,626,581Kawasaki Heavy Industries, Ltd. 10,600 207,443KDDI Corp. 132,000 3,515,929Keihan Holdings Company, Ltd. 7,000 293,109Keikyu Corp. 16,200 296,880Keio Corp. 7,600 474,531Keisei Electric Railway Company, Ltd. 9,500 373,588Keyence Corp. 6,800 4,018,119Kikkoman Corp. 10,800 485,428Kintetsu Group Holdings Company, Ltd. 12,500 622,160Kirin Holdings Company, Ltd. 61,300 1,209,797Kobayashi Pharmaceutical Company, Ltd. 3,600 269,388Kobe Steel, Ltd. 24,100 125,430Koito Manufacturing Company, Ltd. 7,800 365,623Komatsu, Ltd. 69,100 1,463,251Konami Holdings Corp. 6,800 308,143Konica Minolta, Inc. 33,600 238,612Kose Corp. 2,500 429,924Kubota Corp. 78,200 1,120,409Kuraray Company, Ltd. 23,900 272,259Kurita Water Industries, Ltd. 7,300 189,581Kyocera Corp. 23,900 1,418,522Kyowa Kirin Company, Ltd. 18,000 329,292Kyushu Electric Power Company, Inc. 27,700 273,409Kyushu Railway Company 11,800 353,823Lawson, Inc. 3,600 178,673LINE Corp. (A) 4,500 158,779Lion Corp. 16,500 320,343LIXIL Group Corp. 19,800 323,966M3, Inc. 31,400 665,490Makita Corp. 16,700 491,141Marubeni Corp. 117,700 751,197Marui Group Company, Ltd. 13,900 276,469Maruichi Steel Tube, Ltd. 4,100 99,590Mazda Motor Corp. 41,800 349,754McDonald’s Holdings Company

Japan, Ltd. 4,700 220,469Mebuki Financial Group, Inc. 66,300 147,712Medipal Holdings Corp. 13,600 288,682MEIJI Holdings Company, Ltd. 8,500 590,098Mercari, Inc. (A) 5,700 133,067





COMMON STOCKS (continued)Japan (continued)MINEBEA MITSUMI, Inc. 27,200 $ 418,770MISUMI Group, Inc. 21,200 479,493Mitsubishi Chemical Holdings Corp. 96,100 658,711Mitsubishi Corp. 101,000 2,456,427Mitsubishi Electric Corp. 136,500 1,642,973Mitsubishi Estate Company, Ltd. 88,000 1,683,452Mitsubishi Gas Chemical Company, Inc. 12,700 152,490Mitsubishi Heavy Industries, Ltd. 23,800 893,428Mitsubishi Materials Corp. 8,000 193,694Mitsubishi Motors Corp. 50,100 209,053Mitsubishi Tanabe Pharma Corp. 16,600 183,013Mitsubishi UFJ Financial Group, Inc. 917,200 4,414,715Mitsubishi UFJ Lease & Finance

Company, Ltd. 30,900 166,669Mitsui & Company, Ltd. 123,700 1,935,176Mitsui Chemicals, Inc. 13,800 294,411Mitsui Fudosan Company, Ltd. 66,400 1,589,717Mitsui OSK Lines, Ltd. 8,600 202,065Mizuho Financial Group, Inc. 1,795,900 2,609,512MonotaRO Company, Ltd. 9,300 228,098MS&AD Insurance Group Holdings, Inc. 36,600 1,161,692Murata Manufacturing Company, Ltd. 42,800 1,779,321Nabtesco Corp. 8,400 240,957Nagoya Railroad Company, Ltd. 13,200 393,362NEC Corp. 18,400 787,564Nexon Company, Ltd. (A) 36,500 492,553NGK Insulators, Ltd. 19,500 261,266NGK Spark Plug Company, Ltd. 11,700 201,463NH Foods, Ltd. 6,300 241,806Nidec Corp. 16,700 2,173,084Nikon Corp. 23,900 295,478Nintendo Company, Ltd. 8,400 3,178,566Nippon Building Fund, Inc. 98 719,505Nippon Electric Glass Company, Ltd. 6,200 128,459Nippon Express Company, Ltd. 5,900 304,562Nippon Paint Holdings Company, Ltd. 10,900 515,122Nippon Prologis REIT, Inc. 143 387,342Nippon Steel Corp. 60,400 843,521Nippon Telegraph & Telephone Corp. 47,900 2,296,225Nippon Yusen KK 11,300 168,333Nissan Chemical Corp. 9,400 397,169Nissan Motor Company, Ltd. 172,800 1,067,639Nisshin Seifun Group, Inc. 14,600 274,421Nissin Foods Holdings Company, Ltd. 4,700 325,751Nitori Holdings Company, Ltd. 6,000 865,047Nitto Denko Corp. 11,700 543,853Nomura Holdings, Inc. 247,400 997,282Nomura Real Estate Holdings, Inc. 9,200 194,811Nomura Real Estate Master Fund, Inc. 282 492,364Nomura Research Institute, Ltd. 25,200 500,590NSK, Ltd. 27,100 216,852NTT Data Corp. 46,700 601,504NTT DOCOMO, Inc. 99,300 2,504,930Obayashi Corp. 48,800 449,104Obic Company, Ltd. 4,800 548,133Odakyu Electric Railway Company, Ltd. 21,600 489,641Oji Holdings Corp. 64,300 299,099Olympus Corp. 86,700 1,013,791Omron Corp. 14,400 711,107Ono Pharmaceutical Company, Ltd. 28,300 521,927Oracle Corp. Japan 2,800 240,808Oriental Land Company, Ltd. 14,900 2,167,512ORIX Corp. 99,100 1,462,230Osaka Gas Company, Ltd. 27,600 493,643



COMMON STOCKS (continued)Japan (continued)Otsuka Corp. 7,700 $ 285,504Otsuka Holdings Company, Ltd. 29,100 1,195,842Pan Pacific International Holdings Corp. 32,800 513,122Panasonic Corp. 165,000 1,270,982Park24 Company, Ltd. 8,600 176,402PeptiDream, Inc. (A) 6,900 361,043Persol Holdings Company, Ltd. 13,300 269,200Pigeon Corp. 8,600 311,778Pola Orbis Holdings, Inc. 6,800 161,384Rakuten, Inc. 64,000 602,196Recruit Holdings Company, Ltd. 88,500 2,679,801Renesas Electronics Corp. (A) 55,900 348,390Resona Holdings, Inc. 155,900 611,046Ricoh Company, Ltd. 49,500 457,510Rinnai Corp. 2,500 156,743Rohm Company, Ltd. 7,000 498,183Ryohin Keikaku Company, Ltd. 18,000 309,917Sankyo Company, Ltd. 3,300 114,163Santen Pharmaceutical Company, Ltd. 27,200 475,603SBI Holdings, Inc. 17,600 351,425Secom Company, Ltd. 15,600 1,329,213Sega Sammy Holdings, Inc. 12,800 175,407Seibu Holdings, Inc. 15,000 254,549Seiko Epson Corp. 20,700 274,952Sekisui Chemical Company, Ltd. 27,600 397,065Sekisui House, Ltd. 46,300 821,164Seven & i Holdings Company, Ltd. 56,100 1,984,054Seven Bank, Ltd. 44,000 115,035SG Holdings Company, Ltd. 10,600 283,263Sharp Corp. 16,200 166,633Shimadzu Corp. 16,500 409,719Shimamura Company, Ltd. 1,700 132,719Shimano, Inc. 5,500 789,970Shimizu Corp. 44,400 369,860Shin-Etsu Chemical Company, Ltd. 27,100 2,729,629Shinsei Bank, Ltd. 11,500 157,190Shionogi & Company, Ltd. 20,100 1,075,861Shiseido Company, Ltd. 29,800 2,435,236Showa Denko KK 10,200 262,615SMC Corp. 4,300 1,621,118Softbank Corp. 124,500 1,746,000SoftBank Group Corp. 123,000 5,573,587Sohgo Security Services Company, Ltd. 5,200 261,993Sompo Holdings, Inc. 25,700 1,024,541Sony Corp. 94,700 5,394,344Sony Financial Holdings, Inc. 12,200 281,216Stanley Electric Company, Ltd. 9,700 240,731Subaru Corp. 45,800 1,225,401SUMCO Corp. 18,500 228,299Sumitomo Chemical Company, Ltd. 112,200 490,272Sumitomo Corp. 88,900 1,332,430Sumitomo Dainippon Pharma

Company, Ltd. 11,900 207,428Sumitomo Electric Industries, Ltd. 56,000 658,498Sumitomo Heavy Industries, Ltd. 8,300 238,166Sumitomo Metal Mining Company, Ltd. 17,300 486,256Sumitomo Mitsui Financial Group, Inc. 99,100 3,247,334Sumitomo Mitsui Trust Holdings, Inc. 24,600 802,698Sumitomo Realty & Development

Company, Ltd. 24,700 928,011Sumitomo Rubber Industries, Ltd. 12,700 143,087Sundrug Company, Ltd. 5,300 164,753Suntory Beverage & Food, Ltd. 10,300 443,831Suzuken Company, Ltd. 5,400 289,926





COMMON STOCKS (continued)Japan (continued)Suzuki Motor Corp. 27,400 $ 1,054,899Sysmex Corp. 12,500 796,663T&D Holdings, Inc. 43,700 424,524Taiheiyo Cement Corp. 8,900 224,382Taisei Corp. 15,100 533,639Taisho Pharmaceutical Holdings

Company, Ltd. 2,700 187,718Taiyo Nippon Sanso Corp. 9,700 192,025Takeda Pharmaceutical Company, Ltd. 110,696 3,732,217TDK Corp. 9,700 769,532Teijin, Ltd. 13,200 237,019Terumo Corp. 48,100 1,395,732The Bank of Kyoto, Ltd. 3,900 139,795The Chiba Bank, Ltd. 41,900 208,646The Chugoku Electric Power

Company, Inc. 19,700 251,560The Kansai Electric Power Company, Inc. 52,400 637,139The Shizuoka Bank, Ltd. 34,200 230,757The Yokohama Rubber Company, Ltd. 8,800 168,862THK Company, Ltd. 9,100 210,739Tobu Railway Company, Ltd. 13,900 426,396Toho Company, Ltd. 8,400 355,933Toho Gas Company, Ltd. 5,400 209,456Tohoku Electric Power Company, Inc. 31,500 314,711Tokio Marine Holdings, Inc. 49,100 2,525,227Tokyo Century Corp. 3,400 136,793Tokyo Electric Power Company

Holdings, Inc. (A) 114,100 543,062Tokyo Electron, Ltd. 11,700 2,086,248Tokyo Gas Company, Ltd. 28,400 717,377Tokyu Corp. 37,000 661,165Tokyu Fudosan Holdings Corp. 45,300 280,671Toppan Printing Company, Ltd. 20,800 331,317Toray Industries, Inc. 103,300 733,470Toshiba Corp. 41,400 1,284,934Tosoh Corp. 19,600 251,187TOTO, Ltd. 10,600 383,060Toyo Seikan Group Holdings, Ltd. 10,400 151,336Toyo Suisan Kaisha, Ltd. 6,500 264,465Toyoda Gosei Company, Ltd. 5,200 96,559Toyota Industries Corp. 10,900 597,861Toyota Motor Corp. 170,000 11,132,616Toyota Tsusho Corp. 16,000 495,534Trend Micro, Inc. 9,300 449,863Tsuruha Holdings, Inc. 2,700 294,364Unicharm Corp. 30,000 920,945United Urban Investment Corp. 208 389,973USS Company, Ltd. 16,000 302,272Welcia Holdings Company, Ltd. 3,500 182,685West Japan Railway Company 12,100 1,019,414Yahoo Japan Corp. 197,300 491,986Yakult Honsha Company, Ltd. 8,900 512,209Yamada Denki Company, Ltd. 45,000 211,679Yamaha Corp. 10,700 460,739Yamaha Motor Company, Ltd. 20,900 341,243Yamato Holdings Company, Ltd. 22,900 396,018Yamazaki Baking Company, Ltd. 9,000 156,288Yaskawa Electric Corp. 17,900 599,656Yokogawa Electric Corp. 16,900 306,609ZOZO, Inc. 15,100 300,763

243,583,755Luxembourg - 0.2%ArcelorMittal 54,876 790,280



COMMON STOCKS (continued)Luxembourg (continued)Aroundtown SA 52,983 $ 440,846Eurofins Scientific SE 934 427,802Millicom International Cellular SA 5,941 302,460Reinet Investments SCA 11,467 191,792RTL Group SA 2,237 104,278SES SA 29,569 476,771Tenaris SA 23,221 252,518

2,986,747Macau - 0.1%MGM China Holdings, Ltd. 79,600 118,876Sands China, Ltd. 207,200 938,044Wynn Macau, Ltd. 131,200 261,462

1,318,382Malaysia - 0.4%AirAsia Group BHD 86,100 36,605Alliance Bank Malaysia BHD 50,900 36,260AMMB Holdings BHD 89,100 88,874Astro Malaysia Holdings BHD 26,400 8,275Axiata Group BHD 146,900 176,142British American Tobacco Malaysia BHD 7,500 35,143CIMB Group Holdings BHD 258,900 311,069Dialog Group BHD 191,900 158,596DiGi.Com BHD 165,500 197,287FGV Holdings BHD (A) 27,700 6,276Fraser & Neave Holdings BHD 7,000 58,718Gamuda BHD 94,600 80,833Genting BHD 117,900 167,961Genting Malaysia BHD 162,000 120,638Genting Plantations BHD 14,800 35,197HAP Seng Consolidated BHD 32,200 75,931Hartalega Holdings BHD 80,800 98,471Hong Leong Bank BHD 34,100 134,461Hong Leong Financial Group BHD 11,300 45,277IHH Healthcare BHD 117,800 161,927IJM Corp. BHD 146,700 79,357IOI Corp. BHD 98,800 103,452Kuala Lumpur Kepong BHD 22,000 125,388Malayan Banking BHD 207,400 428,233Malaysia Airports Holdings BHD 53,700 104,915Maxis BHD 123,600 163,482MISC BHD 61,800 106,603My EG Services BHD 29,000 9,759Nestle Malaysia BHD 3,700 129,696Petronas Chemicals Group BHD 131,400 216,237Petronas Dagangan BHD 11,600 63,075Petronas Gas BHD 32,400 123,811PPB Group BHD 30,200 133,865Press Metal Aluminium Holdings BHD 70,600 82,473Public Bank BHD 168,700 814,372QL Resources BHD 32,700 53,892RHB Bank BHD 86,200 116,755Sime Darby BHD 151,200 82,213Sime Darby Plantation BHD 109,700 129,632Sime Darby Property BHD 157,700 32,963SP Setia BHD Group 77,200 28,597Telekom Malaysia BHD 61,700 54,939Tenaga Nasional BHD 169,700 562,528Top Glove Corp. BHD 81,500 91,951UMW Holdings BHD 5,300 6,309Westports Holdings BHD 53,100 52,958YTL Corp. BHD 173,178 41,124

5,972,520





COMMON STOCKS (continued)Mexico - 0.6%Alfa SAB de CV, Class A 227,900 $ 195,247Alsea SAB de CV (A) 39,900 85,209America Movil SAB de CV, Series L 2,594,000 1,897,465Arca Continental SAB de CV 32,700 171,042Banco Santander Mexico SA 136,880 173,956Cemex SAB de CV 1,192,048 445,498Coca-Cola Femsa SAB de CV 39,200 232,522El Puerto de Liverpool SAB de CV,

Series C1 13,700 71,065Fibra Uno Administracion SA de CV 251,200 347,818Fomento Economico Mexicano SAB

de CV 150,100 1,372,893Fresnillo PLC 17,582 158,137Gruma SAB de CV, Class B 15,665 145,875Grupo Aeroportuario del Pacifico SAB de

CV, B Shares 28,200 268,077Grupo Aeroportuario del Sureste SAB de

CV, B Shares 15,535 228,768Grupo Bimbo SAB de CV, Series A 130,300 227,488Grupo Carso SAB de CV, Series A1 34,300 98,973Grupo Financiero Banorte SAB de CV,

Series O 200,500 1,081,859Grupo Financiero Inbursa SAB de CV,

Series O 185,400 228,495Grupo Mexico SAB de CV, Series B 271,600 625,419Grupo Televisa SAB 189,200 335,512Industrias Penoles SAB de CV 10,025 120,551Infraestructura Energetica Nova SAB de

CV (A) 40,200 169,453Kimberly-Clark de Mexico SAB de CV,

Class A (A) 119,800 245,679Megacable Holdings SAB de CV 21,900 89,604Mexichem SAB de CV 79,535 145,645Promotora y Operadora de Infraestructura

SAB de CV 16,720 139,557Wal-Mart de Mexico SAB de CV 403,300 1,144,208

10,446,015Netherlands - 4.6%ABN AMRO Bank NV (B) 61,351 1,088,071Adyen NV (A)(B) 1,500 1,087,484Aegon NV 269,579 1,026,194Akzo Nobel NV 32,810 2,940,952ASML Holding NV 61,288 13,630,818EXOR NV 5,448 370,135Heineken Holding NV 16,547 1,637,595Heineken NV 37,387 3,977,879ING Groep NV 561,068 5,360,243Koninklijke Ahold Delhaize NV 170,369 3,990,949Koninklijke DSM NV 26,173 3,254,967Koninklijke KPN NV 516,482 1,635,854Koninklijke Philips NV 133,461 6,290,571Koninklijke Vopak NV 9,937 474,008NN Group NV 45,686 1,530,882NXP Semiconductors NV 42,500 4,340,950QIAGEN NV (A) 13,527 471,407Randstad NV 17,419 813,335Royal Dutch Shell PLC, A Shares 373,479 10,376,419Royal Dutch Shell PLC, B Shares 316,536 8,764,810Wolters Kluwer NV 40,266 2,898,566

75,962,089New Zealand - 0.1%a2 Milk Company, Ltd. (A) 34,517 313,742Auckland International Airport, Ltd. 46,080 279,329



COMMON STOCKS (continued)New Zealand (continued)Fisher & Paykel Healthcare Corp., Ltd. 27,170 $ 284,684Fletcher Building, Ltd. 40,157 112,275Meridian Energy, Ltd. 65,021 203,932Ryman Healthcare, Ltd. 19,790 162,317Spark New Zealand, Ltd. 84,588 235,488

1,591,767Norway - 0.5%Aker BP ASA 9,403 248,392DNB ASA 84,504 1,361,382Equinor ASA 88,074 1,501,935Gjensidige Forsikring ASA 18,769 362,200Mowi ASA 38,635 924,176Norsk Hydro ASA 115,943 363,844Orkla ASA 66,195 606,474Schibsted ASA, B Shares 8,746 253,222Telenor ASA 64,617 1,326,178Yara International ASA 15,858 687,201

7,635,004Peru - 0.1%Cia de Minas Buenaventura SAA, ADR 15,600 237,744Credicorp, Ltd. 5,153 1,067,289Southern Copper Corp. 6,800 214,880

1,519,913Philippines - 0.2%Aboitiz Equity Ventures, Inc. 124,310 128,653Aboitiz Power Corp. 103,400 75,473Alliance Global Group, Inc. 280,700 68,467Altus San Nicolas Corp. (A)(C) 2,753 274Ayala Corp. 18,150 322,321Ayala Land, Inc. 470,690 427,462Bank of the Philippine Islands 62,220 105,083BDO Unibank, Inc. 124,210 355,413DMCI Holdings, Inc. 276,000 47,969Globe Telecom, Inc. 1,955 76,238GT Capital Holdings, Inc. 5,913 103,092International Container Terminal

Services, Inc. 64,040 167,091JG Summit Holdings, Inc. 189,280 261,472Jollibee Foods Corp. 27,370 124,969Manila Electric Company 13,600 95,347Megaworld Corp. 796,500 78,466Metro Pacific Investments Corp. 969,700 92,195Metropolitan Bank & Trust Company 99,910 136,004PLDT, Inc. 5,350 121,229Robinsons Land Corp. 143,000 68,648Security Bank Corp. 15,740 61,659SM Investments Corp. 15,995 315,160SM Prime Holdings, Inc. 644,700 437,019Universal Robina Corp. 56,720 188,413

3,858,117Poland - 0.3%Alior Bank SA (A) 7,482 75,953Bank Millennium SA (A) 48,413 81,068Bank Polska Kasa Opieki SA 15,276 373,925CCC SA 2,458 76,103CD Projekt SA 6,066 384,965Cyfrowy Polsat SA 23,480 171,766Dino Polska SA (A)(B) 4,585 177,135Grupa Lotos SA 8,537 184,358Jastrzebska Spolka Weglowa SA 4,515 33,667KGHM Polska Miedz SA (A) 12,516 245,828LPP SA 119 221,995





COMMON STOCKS (continued)Poland (continued)mBank SA (A) 1,211 $ 98,102Orange Polska SA (A) 54,713 87,616PGE Polska Grupa Energetyczna SA (A) 80,443 155,573Polski Koncern Naftowy ORLEN SA 27,001 614,324Polskie Gornictwo Naftowe i

Gazownictwo SA 158,314 188,609Powszechna Kasa Oszczednosci Bank

Polski SA 78,708 774,445Powszechny Zaklad Ubezpieczen SA 56,591 531,058Santander Bank Polska SA 3,204 245,354

4,721,844Portugal - 0.1%EDP - Energias de Portugal SA 217,225 821,066Galp Energia SGPS SA 42,101 605,061Jeronimo Martins SGPS SA 20,777 342,865

1,768,992Romania - 0.0%NEPI Rockcastle PLC 28,215 250,276Russia - 0.0%Evraz PLC 41,563 251,045Singapore - 0.3%Ascendas Real Estate Investment Trust 61,600 136,640BOC Aviation, Ltd. (B) 14,700 127,541CapitaLand Commercial Trust 65,500 100,476CapitaLand Mall Trust 64,600 123,286CapitaLand, Ltd. 68,400 170,939City Developments, Ltd. 12,100 83,444ComfortDelGro Corp., Ltd. 55,100 97,194DBS Group Holdings, Ltd. 46,100 812,886Genting Singapore, Ltd. 157,700 101,002Golden Agri-Resources, Ltd. 170,500 32,503Jardine Cycle & Carriage, Ltd. 2,700 59,974Keppel Corp., Ltd. 38,200 160,545Oversea-Chinese Banking Corp., Ltd. 82,200 629,985SATS, Ltd. 17,100 59,120Sembcorp Industries, Ltd. 26,600 39,612Singapore Airlines, Ltd. 14,500 92,274Singapore Exchange, Ltd. 20,000 118,067Singapore Press Holdings, Ltd. 39,400 56,454Singapore Technologies Engineering, Ltd. 40,400 114,507Singapore Telecommunications, Ltd. 209,160 477,095Suntec Real Estate Investment Trust 43,500 60,454United Overseas Bank, Ltd. 32,500 583,601UOL Group, Ltd. 12,700 67,160Venture Corp., Ltd. 7,100 77,375Wilmar International, Ltd. 51,300 140,617

4,522,751South Africa - 1.3%Absa Group, Ltd. 54,389 550,689Anglo American Platinum, Ltd. 4,075 249,615AngloGold Ashanti, Ltd. 31,182 708,740Aspen Pharmacare Holdings, Ltd. 31,559 163,969Bid Corp., Ltd. 25,345 542,255Capitec Bank Holdings, Ltd. 3,448 248,820Clicks Group, Ltd. 19,613 257,415Discovery, Ltd. 32,109 243,603Exxaro Resources, Ltd. 18,796 168,572FirstRand, Ltd. 256,226 1,013,880Fortress REIT, Ltd., Class A 85,941 119,292Gold Fields, Ltd. 62,186 368,877Growthpoint Properties, Ltd. 221,498 335,514Investec PLC 55,931 288,626



COMMON STOCKS (continued)South Africa (continued)Investec, Ltd. 20,266 $ 107,191Kumba Iron Ore, Ltd. 5,154 133,705Liberty Holdings, Ltd. 11,060 80,008Life Healthcare Group Holdings, Ltd. 106,056 159,569Momentum Metropolitan Holdings 73,963 80,378Mr. Price Group, Ltd. 19,380 219,177MTN Group, Ltd. 128,903 872,212MultiChoice Group, Ltd. (A) 33,133 291,481Naspers, Ltd., N Shares 33,400 7,600,698Nedbank Group, Ltd. 27,954 416,792Netcare, Ltd. 85,279 91,616Old Mutual, Ltd. 389,966 466,947Pick n Pay Stores, Ltd. 25,868 98,565PSG Group, Ltd. 11,239 148,460Rand Merchant Investment Holdings, Ltd. 69,445 135,831Redefine Properties, Ltd. 402,617 208,518Remgro, Ltd. 40,170 455,083RMB Holdings, Ltd. 58,691 276,443Sanlam, Ltd. 139,613 669,724Sappi, Ltd. 38,376 114,416Sasol, Ltd. 42,953 814,248Shoprite Holdings, Ltd. 35,740 266,438Standard Bank Group, Ltd. 98,493 1,152,406Steinhoff International Holdings NV (A) 75,434 5,962Telkom SA SOC, Ltd. 22,122 116,308The Bidvest Group, Ltd. 21,714 255,843The Foschini Group, Ltd. 17,887 177,416The SPAR Group, Ltd. 14,171 162,374Tiger Brands, Ltd. 12,104 166,916Truworths International, Ltd. 32,969 114,695Vodacom Group, Ltd. 48,785 370,328Woolworths Holdings, Ltd. 74,635 271,542

21,761,157South Korea - 2.6%Amorepacific Corp. 2,375 255,447AMOREPACIFIC Group 2,046 99,790BGF Company, Ltd. 46 219BGF retail Company, Ltd. 537 90,345BNK Financial Group, Inc. 19,377 107,299Celltrion Healthcare Company, Ltd. (A) 3,975 146,380Celltrion Pharm, Inc. (A) 1,066 29,225Celltrion, Inc. (A) 6,542 850,913Cheil Worldwide, Inc. 4,780 104,289CJ CheilJedang Corp. 583 110,188CJ Corp. 1,071 72,181CJ ENM Company, Ltd. 750 99,807CJ Logistics Corp. (A) 638 75,316Daelim Industrial Company, Ltd. 2,172 175,331Daewoo Engineering & Construction

Company, Ltd. (A) 13,461 46,502Daewoo Shipbuilding & Marine

Engineering Company, Ltd. (A) 2,616 59,131DB Insurance Company, Ltd. 4,110 162,721Doosan Bobcat, Inc. 3,509 103,938E-MART, Inc. 1,634 156,729Fila Korea, Ltd. 3,777 178,521GS Engineering & Construction Corp. 4,835 129,595GS Holdings Corp. 3,948 156,659GS Retail Company, Ltd. 1,854 59,326Hana Financial Group, Inc. 22,163 595,332Hankook Tire & Technology

Company, Ltd. 5,843 140,831Hanmi Pharm Company, Ltd. 447 103,799





COMMON STOCKS (continued)South Korea (continued)Hanmi Science Company, Ltd. 900 $ 30,438Hanon Systems 13,037 124,975Hanwha Life Insurance Company, Ltd. 12,752 26,762HDC Hyundai Development

Co-Engineering & Construction,Series E 1,877 55,619

Helixmith Company, Ltd. (A) 1,385 209,608HLB, Inc. (A) 2,329 81,486Hotel Shilla Company, Ltd. 2,459 160,295Hyundai Department Store Company, Ltd. 984 63,462Hyundai Engineering & Construction

Company, Ltd. 5,940 203,445Hyundai Glovis Company, Ltd. 1,445 190,986Hyundai Heavy Industries Holdings

Company, Ltd. 753 206,370Hyundai Marine & Fire Insurance

Company, Ltd. 4,811 95,069Hyundai Mobis Company, Ltd. 5,081 1,044,370Hyundai Motor Company 11,102 1,180,083Hyundai Steel Company 6,160 190,034Industrial Bank of Korea 19,180 196,488Kakao Corp. 3,785 421,062Kangwon Land, Inc. 8,885 207,382KB Financial Group, Inc. 29,696 970,259KCC Corp. 415 77,349Kia Motors Corp. 19,848 716,433Korea Aerospace Industries, Ltd. 5,610 182,271Korea Electric Power Corp. (A) 19,574 413,589Korea Gas Corp. 1,996 64,426Korea Investment Holdings Company, Ltd. 3,221 192,737Korea Shipbuilding & Offshore

Engineering Company, Ltd. (A) 2,914 265,056Korea Zinc Company, Ltd. 632 227,209Korean Air Lines Company, Ltd. 3,350 61,399KT&G Corp. 8,789 740,122Kumho Petrochemical Company, Ltd. 1,303 75,790LG Chem, Ltd. 3,447 943,034LG Corp. 7,272 427,789LG Display Company, Ltd. (A) 17,543 202,766LG Electronics, Inc. 8,050 407,755LG Household & Health Care, Ltd. 706 688,779LG Innotek Company, Ltd. 1,009 82,205LG Uplus Corp. 7,725 84,322Lotte Chemical Corp. 1,293 240,646Lotte Corp. 1,889 52,110Lotte Shopping Company, Ltd. 785 88,345Medy-Tox, Inc. 303 88,229Meritz Securities Company, Ltd. 21,766 85,547Mirae Asset Daewoo Company, Ltd. 30,735 189,147NAVER Corp. 10,430 1,263,483NCSoft Corp. 1,228 544,400Netmarble Corp. (A)(B) 2,005 156,272NH Investment & Securities

Company, Ltd. 10,050 102,232OCI Company, Ltd. 1,341 73,658Orange Life Insurance, Ltd. (B) 2,659 59,204Orion Corp. 1,667 124,190Ottogi Corp. 86 40,593Pan Ocean Company, Ltd. (A) 18,982 76,277Pearl Abyss Corp. (A) 450 72,418POSCO 5,894 1,027,945POSCO Chemical Company, Ltd. 1,662 72,501Posco International Corp. 3,521 53,404S-1 Corp. 1,350 112,496



COMMON STOCKS (continued)South Korea (continued)Samsung Biologics Company, Ltd. (A)(B) 1,233 $ 274,420Samsung C&T Corp. 6,459 461,348Samsung Card Company, Ltd. 1,986 54,417Samsung Electro-Mechanics

Company, Ltd. 4,151 305,895Samsung Electronics Company, Ltd. 355,315 12,936,657Samsung Engineering Company, Ltd. (A) 12,313 157,931Samsung Fire & Marine

Insurance Company, Ltd. 2,412 456,236Samsung Heavy Industries

Company, Ltd. (A) 33,522 214,906Samsung Life Insurance Company, Ltd. 5,722 322,346Samsung SDI Company, Ltd. 4,110 848,815Samsung SDS Company, Ltd. 2,627 425,788Samsung Securities Company, Ltd. 5,027 146,724Shinhan Financial Group Company, Ltd. 33,630 1,131,995Shinsegae, Inc. 522 99,800SillaJen, Inc. (A) 4,176 36,306SK Holdings Company, Ltd. 2,666 440,843SK Hynix, Inc. 40,669 2,604,471SK Innovation Company, Ltd. 4,131 563,913SK Telecom Company, Ltd. 1,499 296,326S-Oil Corp. 3,341 267,380Woongjin Coway Company, Ltd. 3,853 267,128Woori Financial Group, Inc. 36,473 358,908Yuhan Corp. 626 118,831

42,935,519Spain - 2.1%ACS Actividades de Construccion y

Servicios SA 23,500 889,275Aena SME SA (B) 6,002 1,083,702Amadeus IT Group SA 38,914 2,901,839Banco Bilbao Vizcaya Argentaria SA 592,375 2,810,311Banco de Sabadell SA 506,166 433,715Banco Santander SA 1,442,875 5,464,413Bankia SA 106,030 192,526Bankinter SA 59,642 347,549CaixaBank SA 317,250 719,892Cellnex Telecom SA (A)(B) 17,151 687,315Enagas SA 19,994 435,329Endesa SA 28,006 719,776Ferrovial SA 43,091 1,226,523Grifols SA 26,595 844,046Iberdrola SA 533,404 5,490,849Industria de Diseno Textil SA 96,904 2,998,573Mapfre SA 109,289 284,811Naturgy Energy Group SA 26,491 694,244Red Electrica Corp. SA 37,832 751,286Repsol SA 128,681 1,872,236Siemens Gamesa Renewable Energy SA 21,334 291,174Telefonica SA 415,053 2,883,553

34,022,937Sweden - 1.7%Alfa Laval AB 28,624 527,748Assa Abloy AB, B Shares 89,740 1,873,247Atlas Copco AB, A Shares 60,034 1,794,920Atlas Copco AB, B Shares 35,202 939,299Boliden AB 24,249 537,184Electrolux AB, B Shares 20,560 460,117Epiroc AB, A Shares 57,677 599,093Epiroc AB, B Shares 36,407 361,448Essity AB, B Shares 54,224 1,693,866Hennes & Mauritz AB, B Shares 71,963 1,379,057





COMMON STOCKS (continued)Sweden (continued)Hexagon AB, B Shares 23,315 $ 1,038,373Husqvarna AB, B Shares 36,997 287,146ICA Gruppen AB 8,163 400,572Industrivarden AB, C Shares 14,918 312,610Investor AB, B Shares 40,885 1,920,659Kinnevik AB, B Shares 21,327 581,710L E Lundbergforetagen AB, B Shares 6,717 251,833Lundin Petroleum AB 16,721 509,832Sandvik AB 101,428 1,456,826Securitas AB, B Shares 28,111 421,545Skandinaviska Enskilda Banken AB,

A Shares 145,192 1,249,467Skanska AB, B Shares 30,778 577,543SKF AB, B Shares 33,752 544,897Svenska Handelsbanken AB, A Shares 136,424 1,202,031Swedbank AB, A Shares 81,129 1,043,771Swedish Match AB 15,932 625,102Tele2 AB, B Shares 44,824 633,188Telefonaktiebolaget LM Ericsson, B Shares 274,624 2,148,981Telia Company AB 250,967 1,098,612Volvo AB, B Shares 133,568 1,848,451

28,319,128Switzerland - 6.7%ABB, Ltd. 150,663 2,865,031Adecco Group AG 12,821 676,832Alcon, Inc. (A) 35,293 2,146,210Baloise Holding AG 4,213 720,601Barry Callebaut AG 175 358,793Chocoladefabriken Lindt & Spruengli AG 8 658,240Chocoladefabriken Lindt & Spruengli AG,

Participation Certificates 87 644,813Cie Financiere Richemont SA 42,628 3,312,265Clariant AG (A) 16,062 296,688Coca-Cola HBC AG (A) 16,924 563,095Credit Suisse Group AG (A) 209,416 2,450,200Dufry AG (A) 3,430 278,886EMS-Chemie Holding AG 655 391,116Geberit AG 2,994 1,364,966Givaudan SA 746 2,022,967Glencore PLC (A) 939,911 2,696,909Julius Baer Group, Ltd. (A) 18,253 724,472Kuehne + Nagel International AG 4,336 631,729LafargeHolcim, Ltd. (A) 39,542 1,877,064Lonza Group AG (A) 6,066 2,153,036Nestle SA 249,777 28,068,550Novartis AG 176,949 15,952,788Pargesa Holding SA, Bearer Shares 3,046 223,191Partners Group Holding AG 1,512 1,230,661Roche Holding AG 57,335 15,667,377Schindler Holding AG 1,583 359,637Schindler Holding AG,

Participation Certificates 3,336 763,611SGS SA 430 1,059,199Sika AG 10,441 1,502,753Sonova Holding AG 4,498 1,045,423STMicroelectronics NV 55,716 987,730Straumann Holding AG 834 655,680Swiss Life Holding AG 2,880 1,369,517Swiss Prime Site AG (A) 5,927 591,405Swiss Re AG 25,305 2,441,285Swisscom AG 2,075 1,038,817Temenos AG (A) 5,169 870,870The Swatch Group AG 4,832 247,146



COMMON STOCKS (continued)Switzerland (continued)The Swatch Group AG, Bearer Shares 2,334 $ 634,227UBS Group AG (A) 315,957 3,354,732Vifor Pharma AG 3,698 588,335Zurich Insurance Group AG 12,460 4,440,202

109,927,049Taiwan - 2.9%Acer, Inc. 235,000 128,635Advantech Company, Ltd. 27,699 235,386Airtac International Group 9,000 92,592ASE Technology Holding Company, Ltd. 280,000 637,026Asia Cement Corp. 177,000 242,214Asustek Computer, Inc. 57,000 369,884AU Optronics Corp. 690,000 179,716Catcher Technology Company, Ltd. 54,000 378,473Cathay Financial Holding Company, Ltd. 649,000 829,253Chailease Holding Company, Ltd. 96,954 384,151Chang Hwa Commercial Bank, Ltd. 424,854 273,120Cheng Shin Rubber Industry

Company, Ltd. 150,000 210,051Chicony Electronics Company, Ltd. 45,526 127,811China Airlines, Ltd. 175,000 51,472China Development Financial

Holding Corp. 1,018,000 294,450China Life Insurance Company, Ltd. (A) 250,990 196,489China Steel Corp. 940,000 692,631Chunghwa Telecom Company, Ltd. 305,000 1,057,753Compal Electronics, Inc. 337,000 192,498CTBC Financial Holding Company, Ltd. 1,502,000 972,886Delta Electronics, Inc. 158,000 736,470E.Sun Financial Holding Company, Ltd. 837,776 673,241Eclat Textile Company, Ltd. 15,340 187,194Eva Airways Corp. 193,687 87,220Evergreen Marine Corp. Taiwan, Ltd. (A) 190,900 78,081Far Eastern New Century Corp. 260,000 235,908Far EasTone Telecommunications

Company, Ltd. 124,000 288,867Feng TAY Enterprise Company, Ltd. 27,100 176,465First Financial Holding Company, Ltd. 791,495 541,693Formosa Chemicals & Fibre Corp. 286,000 801,749Formosa Petrochemical Corp. 99,000 306,133Formosa Plastics Corp. 362,000 1,084,019Formosa Taffeta Company, Ltd. 70,000 75,854Foxconn Technology Company, Ltd. 75,000 151,357Fubon Financial Holding Company, Ltd. 576,000 800,083General Interface Solution Holding, Ltd. 1,000 3,275Giant Manufacturing Company, Ltd. 24,000 167,109Globalwafers Company, Ltd. 18,000 165,261Highwealth Construction Corp. 59,000 92,946Hiwin Technologies Corp. 18,697 151,281Hon Hai Precision Industry Company, Ltd. 1,015,800 2,397,846Hotai Motor Company, Ltd. 24,000 338,071Hua Nan Financial Holdings

Company, Ltd. 619,048 393,080Innolux Corp. 684,000 152,921Inventec Corp. 201,000 137,526Largan Precision Company, Ltd. 8,000 993,376Lite-On Technology Corp. 171,000 272,024MediaTek, Inc. 123,000 1,438,771Mega Financial Holding Company, Ltd. 877,000 802,417Micro-Star International Company, Ltd. 55,000 146,636Nan Ya Plastics Corp. 419,000 917,520Nanya Technology Corp. 101,000 226,195Nien Made Enterprise Company, Ltd. 13,000 113,713





COMMON STOCKS (continued)Taiwan (continued)Novatek Microelectronics Corp. 47,000 $ 278,389Pegatron Corp. 160,000 266,805Phison Electronics Corp. 12,000 110,328Pou Chen Corp. 180,000 224,509Powertech Technology, Inc. 59,000 140,915President Chain Store Corp. 46,000 427,681Quanta Computer, Inc. 219,000 393,715Realtek Semiconductor Corp. 39,000 266,730Ruentex Development Company, Ltd. (A) 40,560 54,931Ruentex Industries, Ltd. (A) 25,000 55,441Shin Kong Financial Holding

Company, Ltd. 927,988 271,567SinoPac Financial Holdings Company, Ltd. 840,601 317,006Standard Foods Corp. 35,600 70,449Synnex Technology International Corp. 107,000 125,996TaiMed Biologics, Inc. (A) 15,000 69,714Taishin Financial Holding Company, Ltd. 753,440 321,308Taiwan Business Bank 297,516 116,440Taiwan Cement Corp. 398,933 488,064Taiwan Cooperative Financial Holding

Company, Ltd. 717,680 456,753Taiwan High Speed Rail Corp. 157,000 189,428Taiwan Mobile Company, Ltd. 127,000 452,784Taiwan Semiconductor Manufacturing

Company, Ltd. 1,995,816 16,398,882Tatung Company, Ltd. (A) 159,000 85,221The Shanghai Commercial & Savings

Bank, Ltd. 246,000 397,891Uni-President Enterprises Corp. 391,000 953,473United Microelectronics Corp. 953,000 408,624Vanguard International

Semiconductor Corp. 72,000 146,732Walsin Technology Corp. 26,000 130,558Win Semiconductors Corp. 27,000 224,525Winbond Electronics Corp. 241,000 130,583Wistron Corp. 231,040 183,025WPG Holdings, Ltd. 119,960 151,825Yageo Corp. 21,556 155,510Yuanta Financial Holding Company, Ltd. 810,000 465,332Zhen Ding Technology Holding, Ltd. 36,000 133,015

47,744,942Thailand - 0.7%Advanced Info Service PCL, Foreign

Quota Shares 82,800 627,181Airports of Thailand PCL, Foreign

Quota Shares 301,000 707,030Bangkok Bank PCL 33,600 188,033Bangkok Dusit Medical Services PCL,

Foreign Quota Shares 655,600 504,859Bangkok Expressway & Metro PCL,

Foreign Quota Shares 531,000 194,148Banpu PCL, Foreign Quota Shares 302,700 125,324Berli Jucker PCL, Foreign Quota Shares 81,700 144,572BTS Group Holdings PCL, Foreign

Quota Shares 451,900 199,168Bumrungrad Hospital PCL, Foreign

Quota Shares 16,000 72,311Central Pattana PCL, Foreign Quota Shares 141,482 310,326Charoen Pokphand Foods PCL, Foreign

Quota Shares 278,300 267,969CP ALL PCL, Foreign Quota Shares 401,300 1,100,226Delta Electronics Thailand PCL, Foreign

Quota Shares 14,400 22,935



COMMON STOCKS (continued)Thailand (continued)Electricity Generating PCL, Foreign

Quota Shares 26,900 $ 295,128Energy Absolute PCL, Foreign

Quota Shares 128,300 197,456Glow Energy PCL, Foreign Quota Shares 4,500 13,205Gulf Energy Development PCL, Foreign

Quota Shares 53,600 253,562Home Product Center PCL, Foreign

Quota Shares 406,500 238,848Indorama Ventures PCL, Foreign

Quota Shares 84,200 96,560Intouch Holdings PCL, Foreign

Quota Shares 144,800 302,496IRPC PCL 765,700 98,779Kasikornbank PCL 61,900 323,174Kasikornbank PCL, Foreign Quota Shares 78,500 410,314KCE Electronics PCL 200 108Krung Thai Bank PCL, Foreign

Quota Shares 219,300 123,181Land & Houses PCL, Foreign

Quota Shares 625,400 220,381Minor International PCL, Foreign

Quota Shares 194,600 241,067Muangthai Capital PCL 44,300 79,296PTT Exploration & Production PCL,

Foreign Quota Shares 96,400 390,979PTT Global Chemical PCL 161,800 280,656PTT PCL, Foreign Quota Shares 798,100 1,151,699Ratch Group PCL, Foreign Quota Shares 57,700 138,579Robinson PCL, Foreign Quota Shares 32,800 68,794Thai Oil PCL 80,300 177,340Thai Union Group PCL, Foreign

Quota Shares 231,000 131,148The Siam Cement PCL 54,600 741,130The Siam Commercial Bank PCL, Foreign

Quota Shares 60,100 242,174TMB Bank PCL, Foreign Quota Shares 505,200 25,740Total Access Communication PCL, Foreign

Quota Shares 58,400 117,131True Corp. PCL, Foreign Quota Shares 883,800 181,354

11,004,361Turkey - 0.2%Akbank T.A.S. (A) 282,249 335,495Anadolu Efes Biracilik Ve Malt Sanayii AS 18,861 82,901Arcelik AS (A) 19,640 57,711Aselsan Elektronik Sanayi Ve Ticaret AS 33,929 106,431BIM Birlesik Magazalar AS 41,722 336,626Eregli Demir ve Celik Fabrikalari TAS 135,810 149,732Ford Otomotiv Sanayi AS 6,367 64,284Haci Omer Sabanci Holding AS 94,319 142,261KOC Holding AS 76,105 228,989TAV Havalimanlari Holding AS 16,964 68,796Tupras Turkiye Petrol Rafinerileri AS 12,311 266,471Turk Hava Yollari AO (A) 56,870 110,550Turkcell Iletisim Hizmetleri AS 109,864 244,170Turkiye Garanti Bankasi AS (A) 228,032 349,295Turkiye Is Bankasi AS, Class C (A) 163,534 155,173Turkiye Sise ve Cam Fabrikalari AS 58,963 43,905

2,742,790United Arab Emirates - 0.0%NMC Health PLC 7,749 236,550United Kingdom - 10.4%3i Group PLC 82,255 1,099,624





COMMON STOCKS (continued)United Kingdom (continued)Admiral Group PLC 17,108 $ 448,325Anglo American PLC 88,918 1,926,805Ashtead Group PLC 40,035 1,111,459Associated British Foods PLC 30,056 831,539AstraZeneca PLC 107,029 9,559,962Auto Trader Group PLC (B) 77,703 503,723Aviva PLC 340,274 1,469,008BAE Systems PLC 269,866 1,794,639Barclays PLC 1,446,679 2,409,912Barratt Developments PLC 85,639 661,101BP PLC 1,710,105 10,414,951British American Tobacco PLC 193,818 6,798,796BT Group PLC 712,577 1,435,565Bunzl PLC 28,197 691,594Burberry Group PLC 34,736 919,328Centrica PLC 488,159 414,540CNH Industrial NV 50,798 524,294Coca-Cola European Partners PLC (New

York Stock Exchange) 34,037 1,917,645Compass Group PLC 133,708 3,391,141Croda International PLC 10,745 616,843Diageo PLC 204,176 8,741,520Direct Line Insurance Group PLC 124,604 429,963easyJet PLC 13,281 156,255Ferguson PLC 19,596 1,445,234Fiat Chrysler Automobiles NV 54,347 710,736G4S PLC 127,790 270,906GlaxoSmithKline PLC 419,293 8,737,781Halma PLC 31,851 763,923Hargreaves Lansdown PLC 24,027 551,496HSBC Holdings PLC 1,692,819 12,187,708Imperial Brands PLC 80,872 2,095,635Informa PLC 105,246 1,114,705InterContinental Hotels Group PLC 14,447 904,237Intertek Group PLC 13,550 898,244ITV PLC 309,704 437,519J Sainsbury PLC 151,976 363,648John Wood Group PLC 56,168 258,748Johnson Matthey PLC 16,370 582,021Kingfisher PLC 180,730 427,908Land Securities Group PLC 58,803 555,423Legal & General Group PLC 518,885 1,390,193Lloyds Banking Group PLC 6,020,631 3,663,046London Stock Exchange Group PLC 26,464 2,244,788Marks & Spencer Group PLC 166,737 391,461Meggitt PLC 65,655 495,519Melrose Industries PLC 411,527 909,571Merlin Entertainments PLC (B) 61,390 337,780Micro Focus International PLC 28,945 395,273Mondi PLC 7,638 148,983Mondi PLC (JSE Limited Exchange) 33,284 649,150National Grid PLC 287,502 3,011,460Next PLC 11,582 838,407Ocado Group PLC (A) 38,383 605,765Pearson PLC 65,626 665,118Persimmon PLC 26,932 625,349Prudential PLC 220,978 3,683,270Reckitt Benckiser Group PLC 59,724 4,667,475RELX PLC 136,941 3,286,064RELX PLC (Euronext

Amsterdam Exchange) 28,616 684,235Rentokil Initial PLC 155,192 852,721Rio Tinto PLC 96,237 4,877,837Rio Tinto, Ltd. 30,707 1,810,876



COMMON STOCKS (continued)United Kingdom (continued)Rolls-Royce Holdings PLC (A) 143,891 $ 1,352,324RSA Insurance Group PLC 90,962 580,508Schroders PLC 10,678 355,790Segro PLC 90,300 863,892Severn Trent PLC 19,820 499,736Smith & Nephew PLC 73,707 1,766,229Smiths Group PLC 33,227 677,111Spirax-Sarco Engineering PLC 6,182 605,843SSE PLC 86,259 1,210,155St. James’s Place PLC 44,676 501,102Standard Chartered PLC 237,434 1,804,326Standard Life Aberdeen PLC 210,238 639,541Taylor Wimpey PLC 279,570 497,572Tesco PLC 826,550 2,209,283The Berkeley Group Holdings PLC 10,387 496,082The British Land Company PLC 76,199 473,109The Royal Bank of Scotland Group PLC 406,741 915,517The Sage Group PLC 90,871 777,267The Weir Group PLC 22,462 401,761Unilever NV 209,843 13,020,355Unilever PLC 93,659 5,917,192United Utilities Group PLC 56,945 564,708Vodafone Group PLC 2,257,464 4,271,152Whitbread PLC 11,216 598,074Wm Morrison Supermarkets PLC 198,957 443,776WPP PLC 106,531 1,260,307

169,511,457United States - 0.1%Bausch Health Companies, Inc. (A) 31,056 661,754Carnival PLC 13,906 585,788International Flavors & Fragrances, Inc. 1 99Nexteer Automotive Group, Ltd. 61,705 47,817OneMarket, Ltd. (A) 8,279 4,708

1,300,166TOTAL COMMON STOCKS (Cost $1,501,186,859) $ 1,493,124,841

PREFERRED SECURITIES - 1.0%Brazil - 0.6%Banco Bradesco SA 283,039 2,252,146Braskem SA, A Shares (A) 13,100 89,274Centrais Eletricas Brasileiras SA, B Shares 17,300 196,145Cia Brasileira de Distribuicao 11,500 243,163Cia Energetica de Minas Gerais 62,700 223,485Gerdau SA 76,800 238,690Itau Unibanco Holding SA 340,000 2,786,670Itausa - Investimentos Itau SA 310,660 922,002Lojas Americanas SA 53,200 240,627Petroleo Brasileiro SA 294,500 1,813,511Telefonica Brasil SA 31,600 409,556

9,415,269Chile - 0.0%Embotelladora Andina SA, B Shares 9,458 29,233Sociedad Quimica y Minera de Chile SA,

B Shares 3,934 97,042126,275

Colombia - 0.0%Bancolombia SA 25,439 315,821Grupo Aval Acciones y Valores SA 206,149 76,947Grupo de Inversiones Suramericana SA 6,658 59,799

452,567Germany - 0.3%Bayerische Motoren Werke AG 3,406 183,394





PREFERRED SECURITIES (continued)Germany (continued)FUCHS PETROLUB SE 4,034 $ 140,557Henkel AG & Company KGaA 10,519 1,055,585Porsche Automobil Holding SE 9,092 571,071Sartorius AG 2,095 420,135Volkswagen AG 10,941 1,760,816

4,131,558South Korea - 0.1%Amorepacific Corp. 645 38,479CJ Corp. (A) 162 7,490Hyundai Motor Company 1,677 105,396Hyundai Motor Company, 2nd Preferred 2,832 202,323LG Chem, Ltd. 544 80,938LG Household & Health Care, Ltd. 149 89,385Samsung Electronics Company, Ltd. 61,404 1,870,829

2,394,840TOTAL PREFERRED SECURITIES (Cost $17,249,813) $ 16,520,509

EXCHANGE-TRADED FUNDS - 3.5%iShares MSCI India ETF 1,022,342 32,898,966KraneShares Bosera MSCI China A ETF 212,458 6,343,996VanEck Vectors Russia ETF 791,299 17,614,316TOTAL EXCHANGE-TRADED FUNDS (Cost $56,552,836) $ 56,857,278

RIGHTS - 0.0%B2W Cia Digital (Expiration

Date: 9-23-19; Strike Price: BRL39.00) (A) 1,723 3,408

The Shanghai Commercial & SavingsBank, Ltd. (Expiration Date: 10-8-19;Strike Price: TWD 36.00) (A) 19,986 9,417

TOTAL RIGHTS (Cost $0) $ 12,825

WARRANTS - 0.0%BTS Group Holdings PCL (Expiration

Date: 11-29-19; Strike Price: THB10.50) (A) 34,533 3,389



WARRANTS (continued)Minor International PCL (Expiration

Date: 10-1-21; Strike Price: THB48.00) (A) 1,000 $ 132

TOTAL WARRANTS (Cost $0) $ 3,521

SHORT-TERM INVESTMENTS - 3.5%U.S. Government Agency - 3.5%Federal Home Loan Bank Discount Note

1.900%, 09/03/2019 * $ 35,550,000 $ 35,550,0002.031%, 09/11/2019 * 22,000,000 21,989,880

57,539,880TOTAL SHORT-TERM INVESTMENTS (Cost $57,533,836) $ 57,539,880Total Investments (International Strategic Equity Allocation

Fund)(Cost $1,632,523,344) - 99.4% $ 1,624,058,854

Other assets and liabilities, net - 0.6% 9,561,734TOTAL NET ASSETS - 100.0% $ 1,633,620,588

Currency AbbreviationsBRL Brazilian RealTHB Thai BhatTWD New Taiwan DollarSecurity Abbreviations and LegendADR American Depositary Receipt(A) Non-income producing security.(B) These securities are exempt from registration under Rule 144A of


(C) Security is valued using significant unobservable inputs and isclassified as Level 3 in the fair value hierarchy.

* Yield represents either the annualized yield at the date of purchase,the stated coupon rate or, for floating rate securities, the rate atperiod end.

DERIVATIVES

FUTURES

Open contractsNumber of

contracts PositionExpiration

dateNotional

basis^Notional

value^

Unrealizedappreciation

(depreciation)Canadian Dollar Currency Futures 62 Long Sep 2019 $4,659,428 $4,658,060 $(1,368)Mini MSCI EAFE Index Futures 498 Long Sep 2019 46,219,905 45,900,660 (319,245)Mini MSCI Emerging Markets Index Futures 302 Long Sep 2019 14,978,683 14,856,890 (121,793)S&P/Toronto Stock Exchange 60 Index Futures 30 Long Sep 2019 4,363,278 4,420,460 57,182

$(385,224)

^ Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract.


International Value FundShares orPrincipalAmount Value

COMMON STOCKS - 91.9%Canada - 5.4%Alamos Gold, Inc., Class A (A) 469,960 $ 3,313,222Husky Energy, Inc. 371,500 2,480,573

International Value Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Canada (continued)Wheaton Precious Metals Corp. 252,200 $ 7,417,870

13,211,665




COMMON STOCKS (continued)China - 4.1%Baidu, Inc., ADR (B) 26,540 $ 2,772,634China Telecom Corp., Ltd., H Shares 7,477,589 3,341,359Sinopec Engineering Group

Company, Ltd., H Shares 3,083,700 2,010,805Sinopharm Group Company, Ltd.,

H Shares 535,600 1,932,98910,057,787

Denmark - 1.0%A.P. Moller - Maersk A/S, Series B 2,180 2,321,743The Drilling Company of 1972 A/S (B) 4,360 240,685

2,562,428France - 10.6%BNP Paribas SA 170,183 7,671,126Cie de Saint-Gobain 67,229 2,424,067Cie Generale des Etablissements

Michelin SCA 26,625 2,803,053Sanofi 56,415 4,846,466TOTAL SA 97,574 4,872,701Veolia Environnement SA 135,590 3,242,491

25,859,904Germany - 6.0%Bayer AG 77,358 5,749,521E.ON SE 300,822 2,798,745Merck KGaA 37,872 4,057,436Telefonica Deutschland Holding AG 766,279 1,951,398

14,557,100Hong Kong - 5.3%China Mobile, Ltd. 403,500 3,338,796CK Asset Holdings, Ltd. 536,000 3,629,972CK Hutchison Holdings, Ltd. 595,000 5,172,233Value Partners Group, Ltd. 1,412,400 718,480

12,859,481India - 0.7%Hero MotoCorp, Ltd. 46,986 1,682,355Ireland - 0.8%Bank of Ireland Group PLC 518,449 1,971,503Israel - 0.9%Teva Pharmaceutical Industries, Ltd.,

ADR (B) 303,350 2,093,115Italy - 2.0%Eni SpA 326,904 4,934,102Japan - 13.8%Astellas Pharma, Inc. 178,700 2,466,683Ezaki Glico Company, Ltd. 3,300 143,096Kirin Holdings Company, Ltd. 203,900 4,024,104Matsumotokiyoshi Holdings

Company, Ltd. 52,400 1,942,515Mitsui Fudosan Company, Ltd. 139,900 3,349,418Panasonic Corp. 479,600 3,694,322Seven & i Holdings Company, Ltd. 70,100 2,479,183Sumitomo Metal Mining Company, Ltd. 114,100 3,207,044Sumitomo Mitsui Financial Group, Inc. 118,400 3,879,761Sundrug Company, Ltd. 31,000 963,648Suntory Beverage & Food, Ltd. 56,700 2,443,227Takeda Pharmaceutical Company, Ltd. 150,204 5,064,266

33,657,267Luxembourg - 2.1%SES SA 202,965 3,272,611Tenaris SA 161,196 1,752,937

5,025,548


COMMON STOCKS (continued)Netherlands - 8.8%Flow Traders (A)(C) 98,967 $ 2,656,995ING Groep NV 652,969 6,238,233NXP Semiconductors NV 41,700 4,259,238Royal Dutch Shell PLC, B Shares 203,539 5,635,948SBM Offshore NV 163,032 2,734,189

21,524,603Norway - 0.5%Equinor ASA 77,800 1,326,731Portugal - 0.5%Galp Energia SGPS SA 83,684 1,202,678Singapore - 1.3%Singapore Telecommunications, Ltd. 1,376,200 3,139,116Singapore Telecommunications, Ltd.,

ADR (A) 1,700 38,5053,177,621

South Korea - 9.5%Hana Financial Group, Inc. 100,817 2,708,098KB Financial Group, Inc., ADR 177,583 5,773,223Korea Electric Power Corp. (B) 91,030 1,923,421Lotte Chemical Corp. 13,114 2,440,700Samsung Electronics Company, Ltd.,

GDR (C) 8,800 8,073,385Shinhan Financial Group Company, Ltd. 65,990 2,221,242

23,140,069Switzerland - 3.2%Roche Holding AG 16,630 4,544,318UBS Group AG (B) 309,137 3,282,319

7,826,637Taiwan - 1.8%Taiwan Semiconductor Manufacturing

Company, Ltd. 530,000 4,354,814Thailand - 0.6%Kasikornbank PCL, Foreign Quota Shares 50,100 261,869Kasikornbank PCL, NVDR 225,800 1,178,879

1,440,748United Kingdom - 13.0%BAE Systems PLC 397,687 2,644,663Barclays PLC 1,286,944 2,143,822BP PLC 1,335,508 8,133,565Johnson Matthey PLC 99,880 3,551,147Kingfisher PLC 1,136,722 2,691,375Standard Chartered PLC 878,870 6,678,773Vodafone Group PLC 3,038,989 5,749,808


SECURITIES LENDING COLLATERAL - 0.4%John Hancock Collateral Trust,

2.1920% (D)(E) 93,716 937,826TOTAL SECURITIES LENDING COLLATERAL(Cost $937,786) $ 937,826

SHORT-TERM INVESTMENTS - 7.8%U.S. Government Agency - 7.8%Federal Home Loan Bank Discount Note

1.900%, 09/03/2019 * $ 19,000,000 19,000,000TOTAL SHORT-TERM INVESTMENTS (Cost $18,997,995) $ 19,000,000Total Investments (International Value Fund)

(Cost $232,352,683) - 100.1% $ 243,997,135Other assets and liabilities, net - (0.1%) (256,982)TOTAL NET ASSETS - 100.0% $ 243,740,153



International Value Fund (continued)Security Abbreviations and LegendADR American Depositary ReceiptGDR Global Depositary ReceiptNVDR Non-Voting Depositary Receipt(A) All or a portion of this security is on loan as of 8-31-19.(B) Non-income producing security.(C) These securities are exempt from registration under Rule 144A of


(D) The rate shown is the annualized seven-day yield as of 8-31-19.(E) Investment is an affiliate of the fund, the advisor and/or subadvisor.



Mid Cap Stock FundShares orPrincipalAmount Value

COMMON STOCKS – 94.8%Communication services – 7.6%Entertainment – 3.7%Spotify Technology SA (A) 335,255 $ 45,242,664Take-Two Interactive Software, Inc. (A) 111,046 14,654,741

59,897,405Interactive media and services – 3.9%Pinterest, Inc., Class A (A)(B) 1,060,719 36,509,948Pinterest, Inc., Class B (A) 320,277 10,812,642TripAdvisor, Inc. (A) 383,560 14,571,444

61,894,034121,791,439

Consumer discretionary – 17.1%Diversified consumer services – 1.6%Grand Canyon Education, Inc. (A) 205,000 25,748,000Hotels, restaurants and leisure – 6.2%Marriott Vacations Worldwide Corp. 219,683 21,658,547Norwegian Cruise Line Holdings, Ltd. (A) 448,656 22,769,292Planet Fitness, Inc., Class A (A) 376,268 26,568,283Vail Resorts, Inc. 118,846 28,080,933

99,077,055Household durables – 1.6%Lennar Corp., A Shares 479,422 24,450,522Specialty retail – 6.0%Burlington Stores, Inc. (A) 196,901 39,870,483Five Below, Inc. (A) 145,754 17,908,794Floor & Decor Holdings, Inc., Class A (A) 743,624 36,601,173JAND, Inc., Class A (A)(C)(D) 57,523 961,209

95,341,659Textiles, apparel and luxury goods – 1.7%Carter’s, Inc. 116,775 10,682,577Under Armour, Inc., Class A (A) 203,881 3,794,225Under Armour, Inc., Class C (A) 773,339 13,084,896

27,561,698272,178,934

Consumer staples – 3.3%Beverages – 1.0%Monster Beverage Corp. (A) 258,509 15,166,723Food products – 2.3%Lamb Weston Holdings, Inc. 523,783 36,869,085

52,035,808Energy – 1.0%

Mid Cap Stock Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Oil, gas and consumable fuels – 1.0%Diamondback Energy, Inc. 58,063 $ 5,694,819WPX Energy, Inc. (A) 931,150 10,019,174

15,713,993Financials – 1.1%Capital markets – 1.1%The Blackstone Group, Inc., Class A 341,993 17,017,572Health care – 25.4%Biotechnology – 9.6%Ascendis Pharma A/S, ADR (A) 106,638 11,946,655Bluebird Bio, Inc. (A) 26,014 2,687,506CareDx, Inc. (A) 214,312 4,890,600Exact Sciences Corp. (A) 484,229 57,729,781Galapagos NV (A) 145,880 24,568,842Galapagos NV, ADR (A) 17,210 2,894,206Ionis Pharmaceuticals, Inc. (A) 300,647 19,003,897Sage Therapeutics, Inc. (A) 110,556 18,979,149Seattle Genetics, Inc. (A) 137,416 9,981,898

152,682,534Health care equipment and supplies – 13.5%Align Technology, Inc. (A) 166,225 30,437,460DexCom, Inc. (A) 112,506 19,307,155Haemonetics Corp. (A) 434,336 57,996,886Insulet Corp. (A) 319,896 49,318,366Penumbra, Inc. (A) 230,540 33,555,097Tandem Diabetes Care, Inc. (A) 328,907 23,822,734

214,437,698Health care technology – 1.3%Veeva Systems, Inc., Class A (A) 133,538 21,416,824Life sciences tools and services – 0.9%Agilent Technologies, Inc. 209,666 14,909,349Pharmaceuticals – 0.1%Elanco Animal Health, Inc. (A) 29,681 772,300

404,218,705Industrials – 11.0%Aerospace and defense – 2.8%L3Harris Technologies, Inc. 210,470 44,495,463Commercial services and supplies – 0.9%The Brink’s Company 189,779 14,280,870Machinery – 2.9%Dover Corp. 161,871 15,173,788Ingersoll-Rand PLC 255,225 30,905,195

46,078,983Professional services – 2.8%CoStar Group, Inc. (A) 73,411 45,138,222Road and rail – 1.6%Uber Technologies, Inc. (A) 809,084 25,605,229

175,598,767Information technology – 28.3%Electronic equipment, instruments and components – 2.6%Zebra Technologies Corp., Class A (A) 200,823 41,174,740IT services – 3.5%GoDaddy, Inc., Class A (A) 406,008 25,716,547Square, Inc., Class A (A) 477,092 29,503,369

55,219,916Semiconductors and semiconductor equipment – 5.6%Advanced Micro Devices, Inc. (A) 2,093,852 65,851,645Marvell Technology Group, Ltd. 946,960 22,698,631

88,550,276




COMMON STOCKS (continued)Software – 15.6%2U, Inc. (A) 281,385 $ 5,031,164Birst, Inc. (A)(D) 748,062 38,899DraftKings, Inc. (A)(C)(D) 2,294,714 6,241,622Fair Isaac Corp. (A) 86,546 30,526,505Guidewire Software, Inc. (A) 490,705 47,196,007Pivotal Software, Inc., Class A (A) 1,213,148 18,088,037ServiceNow, Inc. (A) 170,794 44,720,701Splunk, Inc. (A) 494,224 55,264,128Workday, Inc., Class A (A) 235,396 41,731,003

248,838,066Technology hardware, storage and peripherals – 1.0%Western Digital Corp. 286,253 16,393,709


PREFERRED SECURITIES – 3.6%Communication services – 0.2%Interactive media and services – 0.2%Lookout, Inc., Series F (A)(C)(D) 392,767 2,388,023Consumer discretionary – 1.3%Diversified consumer services – 0.3%The Honest Company, Inc.,

Series C (A)(C)(D) 142,030 4,587,569The Honest Company, Inc.,

Series D (A)(C)(D) 12,795 489,1535,076,722

Internet and direct marketing retail – 0.8%Coupang LLC (A)(C)(D) 2,300,670 13,115,660One Kings Lane, Inc. (A)(D) 529,764 84,762

13,200,422Specialty retail – 0.2%JAND, Inc., Series D (A)(C)(D) 128,449 2,146,383

20,423,527Information technology – 0.9%Software – 0.9%Essence Group Holdings Corp. (A)(C)(D) 2,958,957 9,172,767MarkLogic Corp., Series F (A)(C)(D) 580,011 5,736,309

14,909,076Real estate – 1.2%Real estate management and development – 1.2%The We Company, Inc.,

Series D1 (A)(C)(D) 184,328 9,953,712The We Company, Inc.,

Series D2 (A)(C)(D) 161,782 8,736,22818,689,940

TOTAL PREFERRED SECURITIES (Cost $36,083,430) $ 56,410,566


2.1920% (E)(F) 2,653,375 26,551,791TOTAL SECURITIES LENDING COLLATERAL(Cost $26,551,752) $ 26,551,791


SHORT-TERM INVESTMENTS – 2.1%Repurchase agreement – 2.1%Societe Generale SA Tri-Party Repurchase

Agreement dated 8-31-19 at 2.150% tobe repurchased at $33,808,074 on9-3-19, collateralized by $5,702,849Federal Home Loan Mortgage Corp.,3.500% due 7-1-49 (valued at$5,877,444, including interest),$297,134 Government NationalMortgage Association, 3.000% - 3.875%due 5-20-28 to 7-20-49 (valued at$306,902, including interest), $7,000U.S. Treasury Bonds, 3.000% due5-15-47 (valued at $8,598, includinginterest) and $27,476,900 U.S. TreasuryNotes, 1.500% - 2.125% due 8-15-22 to7-31-24 (valued at $28,283,056,including interest) $ 33,800,000 $ 33,800,000

TOTAL SHORT-TERM INVESTMENTS (Cost $33,800,000) $ 33,800,000Total Investments (Mid Cap Stock Fund)


Security Abbreviations and LegendADR American Depositary Receipt(A) Non-income producing security.(B) All or a portion of this security is on loan as of 8-31-19.(C) Direct placement securities are restricted as to resale, and the fund

has limited rights to registration under the Securities Act of 1933.For more information on this security refer to the Notes to financialstatements.

(D) Security is valued using significant unobservable inputs and isclassified as Level 3 in the fair value hierarchy.

(E) The rate shown is the annualized seven-day yield as of 8-31-19.(F) Investment is an affiliate of the fund, the advisor and/or subadvisor.


Mid Value FundShares orPrincipalAmount Value

COMMON STOCKS – 93.3%Communication services – 4.0%Entertainment – 1.1%Viacom, Inc., Class B 534,276 $ 13,346,214Media – 2.9%CBS Corp., Class B 93,046 3,913,515DISH Network Corp., Class A (A) 132,410 4,443,680Fox Corp., Class A 58,100 1,927,177News Corp., Class A 1,555,932 21,394,065Scholastic Corp. 107,683 3,776,443

35,454,880Wireless telecommunication services – 0.0%United States Cellular Corp. (A) 84 3,023

48,804,117Consumer discretionary – 3.5%Diversified consumer services – 1.0%Strategic Education, Inc. 71,973 12,179,991Multiline retail – 0.4%Nordstrom, Inc. (B) 152,200 4,409,234



Mid Value Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Specialty retail – 1.5%The Gap, Inc. 80,541 $ 1,271,742Tiffany & Company 204,483 17,354,472

18,626,214Textiles, apparel and luxury goods – 0.6%Ralph Lauren Corp. 84,907 7,500,684

42,716,123Consumer staples – 9.9%Beverages – 1.9%Carlsberg A/S, Class B 162,767 24,041,931Food and staples retailing – 1.1%Sysco Corp. 93,054 6,916,704The Kroger Company 282,347 6,685,977

13,602,681Food products – 5.7%Archer-Daniels-Midland Company 199,186 7,579,027Bunge, Ltd. 529,315 28,270,714Campbell Soup Company 201,078 9,048,510Flowers Foods, Inc. 1,082,562 24,682,414

69,580,665Household products – 0.5%Kimberly-Clark Corp. 42,225 5,958,370Personal products – 0.7%Edgewell Personal Care Company (A) 309,180 8,607,571

121,791,218Energy – 10.3%Energy equipment and services – 1.0%Frank’s International NV (A) 838,740 3,648,519SEACOR Holdings, Inc. (A) 58,058 2,726,984SEACOR Marine Holdings, Inc. (A) 190,011 2,475,843Tidewater, Inc. (A)(B) 250,003 3,940,047

12,791,393Oil, gas and consumable fuels – 9.3%Apache Corp. 192,356 4,149,119ARC Resources, Ltd. 585,101 2,469,782Cameco Corp. 1,067,153 9,358,932Canadian Natural Resources, Ltd. 599,601 14,330,464EQT Corp. 1,669,760 16,981,459Equitrans Midstream Corp. 696,271 9,392,696Hess Corp. 287,223 18,080,688Imperial Oil, Ltd. (B) 915,500 22,457,215Murphy Oil Corp. (B) 562,051 10,246,190NAC Kazatomprom JSC, GDR 290,197 4,379,591Occidental Petroleum Corp. 49,987 2,173,435

114,019,571126,810,964

Financials – 17.0%Banks – 3.1%Fifth Third Bancorp 821,725 21,734,626Popular, Inc. 61,005 3,207,033Webster Financial Corp. 10,364 463,893Westamerica Bancorporation 203,113 12,513,792

37,919,344Capital markets – 5.6%Franklin Resources, Inc. 396,031 10,407,695Lazard, Ltd., Class A 457,906 15,724,492Northern Trust Corp. 308,117 27,092,728State Street Corp. 300,056 15,395,873

68,620,788Consumer finance – 1.4%Ally Financial, Inc. 318,536 9,986,104


COMMON STOCKS (continued)Consumer finance (continued)Synchrony Financial 224,933 $ 7,209,103

17,195,207Diversified financial services – 0.8%Groupe Bruxelles Lambert SA 31,230 2,918,258Pargesa Holding SA, Bearer Shares 101,863 7,463,847

10,382,105Insurance – 5.4%Brighthouse Financial, Inc. (A) 112,797 3,977,222Brown & Brown, Inc. 399,993 14,755,742CNA Financial Corp. 322,637 15,205,882Kemper Corp. 117,239 8,204,385Loews Corp. 325,546 15,648,996Marsh & McLennan Companies, Inc. 95,620 9,551,482

67,343,709Thrifts and mortgage finance – 0.7%Capitol Federal Financial, Inc. 620,728 8,361,206

209,822,359Health care – 15.0%Biotechnology – 1.8%Alkermes PLC (A) 419,713 8,805,579Incyte Corp. (A) 102,367 8,375,668Seattle Genetics, Inc. (A) 66,797 4,852,134

22,033,381Health care equipment and supplies – 6.5%Alcon, Inc. (A) 93,204 5,667,843Baxter International, Inc. 187,443 16,485,612DENTSPLY SIRONA, Inc. 352,877 18,402,536Hologic, Inc. (A) 451,734 22,302,108Zimmer Biomet Holdings, Inc. 122,247 17,016,782

79,874,881Health care providers and services – 4.1%Cardinal Health, Inc. 275,096 11,864,890Covetrus, Inc. (A)(B) 223,748 2,973,611Patterson Companies, Inc. 856,569 14,321,834Select Medical Holdings Corp. (A) 1,291,178 20,942,907

50,103,242Pharmaceuticals – 2.6%Amneal Pharmaceuticals, Inc. (A) 75,960 193,698Elanco Animal Health, Inc. (A) 381,805 9,934,566Perrigo Company PLC 459,032 21,473,517Teva Pharmaceutical Industries, Ltd.,

ADR (A) 99,208 684,53532,286,316

184,297,820Industrials – 8.7%Aerospace and defense – 2.2%Cobham PLC (A) 2,464,117 4,854,448Textron, Inc. 494,978 22,274,010

27,128,458Air freight and logistics – 1.7%C.H. Robinson Worldwide, Inc. 166,075 14,031,677Expeditors International of

Washington, Inc. 103,966 7,391,98321,423,660

Commercial services and supplies – 0.6%Cintas Corp. 27,926 7,366,879Machinery – 2.7%AGCO Corp. 99,359 6,867,694PACCAR, Inc. 104,347 6,840,989Wabtec Corp. 94,400 6,533,424




COMMON STOCKS (continued)Machinery (continued)Xylem, Inc. 169,334 $ 12,972,678

33,214,785Road and rail – 1.5%J.B. Hunt Transport Services, Inc. 79,347 8,572,650Kansas City Southern 79,492 10,000,094

18,572,744107,706,526

Information technology – 3.8%Electronic equipment, instruments and components – 1.1%AVX Corp. 436,402 5,913,247National Instruments Corp. 200,518 8,421,756

14,335,003IT services – 0.5%Cognizant Technology Solutions Corp.,

Class A 98,210 6,029,112Semiconductors and semiconductor equipment – 1.5%Applied Materials, Inc. 377,343 18,120,011Technology hardware, storage and peripherals – 0.7%Western Digital Corp. 154,287 8,836,016

47,320,142Materials – 10.9%Chemicals – 2.2%CF Industries Holdings, Inc. 6,915 333,234Corteva, Inc. 351,741 10,313,046PPG Industries, Inc. 41,799 4,630,911RPM International, Inc. 74,000 5,007,580Westlake Chemical Corp. 116,886 6,848,351

27,133,122Construction materials – 1.4%Summit Materials, Inc., Class A (A) 274,375 5,756,388Vulcan Materials Company 81,437 11,502,976

17,259,364Metals and mining – 7.3%Barrick Gold Corp. 1,337,317 25,917,203Cia de Minas Buenaventura SAA, ADR 510,102 7,773,954Franco-Nevada Corp. 226,758 22,151,228Freeport-McMoRan, Inc. 790,752 7,267,011Newmont Goldcorp Corp. 495,198 19,753,448Nucor Corp. 146,290 7,165,284

90,028,128134,420,614

Real estate – 6.5%Equity real estate investment trusts – 6.1%Equity Commonwealth 384,303 12,935,639Equity Residential 165,734 14,047,614Rayonier, Inc. 724,574 19,418,583Regency Centers Corp. 104,727 6,755,939Weyerhaeuser Company 821,816 21,621,979

74,779,754Real estate management and development – 0.4%The St. Joe Company (A) 276,837 4,977,529

79,757,283Utilities – 3.7%Electric utilities – 3.3%Entergy Corp. 66,565 7,511,195FirstEnergy Corp. 542,198 24,941,108PG&E Corp. (A) 771,677 8,064,025

40,516,328


COMMON STOCKS (continued)Independent power and renewable electricity producers –0.4%Vistra Energy Corp. 186,993 $ 4,665,475


PREFERRED SECURITIES – 0.3%Consumer staples – 0.3%Food products – 0.3%Bunge, Ltd., 4.875% 31,449 3,176,349TOTAL PREFERRED SECURITIES (Cost $3,563,298) $ 3,176,349


2.1920% (C)(D) 1,081,810 10,825,459TOTAL SECURITIES LENDING COLLATERAL(Cost $10,823,361) $ 10,825,459


Market Fund, Premier Class, 2.0691% (C) 2,000,000 2,000,000T. Rowe Price Government Reserve Fund,

2.7663% (C) 71,942,112 71,942,11273,942,112

TOTAL SHORT-TERM INVESTMENTS (Cost $73,942,112) $ 73,942,112Total Investments (Mid Value Fund)


Security Abbreviations and LegendADR American Depositary ReceiptGDR Global Depositary Receipt(A) Non-income producing security.(B) All or a portion of this security is on loan as of 8-31-19.(C) The rate shown is the annualized seven-day yield as of 8-31-19.(D) Investment is an affiliate of the fund, the advisor and/or subadvisor.


Multi-Index Lifestyle Aggressive PortfolioShares orPrincipalAmount Value

AFFILIATED INVESTMENT COMPANIES (A) - 66.6%Equity - 66.6%Strategic Equity Allocation, Class NAV, JHF II

(MIM US) (B) 20,311,183 $ 226,266,576TOTAL AFFILIATED INVESTMENTCOMPANIES (Cost $248,973,703) $ 226,266,576

UNAFFILIATED INVESTMENT COMPANIES - 33.4%Exchange-traded funds - 33.4%Financial Select Sector SPDR Fund 182,595 4,915,457iShares Edge MSCI Min Vol USA ETF 263,843 16,821,310iShares Global Infrastructure ETF 21,320 969,207Schwab U.S. Large-Cap Growth ETF 68,826 5,779,319Vanguard Dividend Appreciation ETF 95,110 11,262,926Vanguard Energy ETF 59,370 4,496,684Vanguard FTSE All World ex-US Small-Cap ETF 33,746 3,386,411Vanguard FTSE Developed Markets ETF 7,827 313,784Vanguard FTSE Emerging Markets ETF 347,654 14,045,222Vanguard Global ex-U.S. Real Estate ETF 16,702 967,046Vanguard Health Care ETF 26,459 4,488,769



Multi-Index Lifestyle Aggressive Portfolio(continued)


UNAFFILIATED INVESTMENT COMPANIES (continued)Exchange-traded funds (continued)Vanguard Information Technology ETF 23,000 $ 4,911,880Vanguard Materials ETF 15,829 1,941,902Vanguard Mid-Cap ETF 140,608 23,155,325Vanguard Real Estate ETF 31,754 2,928,354Vanguard S&P 500 ETF 10,426 2,800,424Vanguard Small-Cap ETF 67,598 10,291,796TOTAL UNAFFILIATED INVESTMENTCOMPANIES (Cost $99,424,156) $ 113,475,816

SHORT-TERM INVESTMENTS - 0.0%Money market funds - 0.0%State Street Institutional U.S. Government Money

Market Fund, Premier Class, 2.0691% (C) 1,001 1,001TOTAL SHORT-TERM INVESTMENTS(Cost $1,001) $ 1,001Total Investments (Multi-Index Lifestyle

Aggressive Portfolio) (Cost $348,398,860) -100.0% $ 339,743,393

Other assets and liabilities, net - (0.0%) (141,599)TOTAL NET ASSETS - 100.0% $ 339,601,794

Security Abbreviations and LegendJHF II John Hancock Funds IIMIM US Manulife Investment Management (US) LLC(A) The underlying funds’ subadvisor is shown parenthetically.(B) The subadvisor is an affiliate of the advisor.(C) The rate shown is the annualized seven-day yield as of 8-31-19.

Multi-Index Lifestyle Balanced PortfolioShares orPrincipalAmount Value



UNAFFILIATED INVESTMENT COMPANIES - 61.9%Exchange-traded funds - 61.9%Financial Select Sector SPDR Fund 362,205 9,750,559Invesco Senior Loan ETF (C) 1,740,823 39,360,008iShares Edge MSCI Min Vol USA ETF 710,076 45,270,895iShares Global Infrastructure ETF 40,290 1,831,583iShares JP Morgan USD Emerging Markets

Bond ETF 236,375 27,187,853iShares TIPS Bond ETF 90,600 10,659,090Schwab U.S. Large-Cap Growth ETF 109,150 9,165,326SPDR Bloomberg Barclays High Yield

Bond ETF 186,879 20,334,304Vanguard Dividend Appreciation ETF 254,943 30,190,350Vanguard Energy ETF (C) 109,318 8,279,745Vanguard FTSE All World ex-US Small-Cap ETF 21,733 2,180,907Vanguard FTSE Developed Markets ETF 83,517 3,348,197Vanguard FTSE Emerging Markets ETF 281,847 11,386,619Vanguard Global ex-U.S. Real Estate ETF 31,511 1,824,487Vanguard Health Care ETF 34,547 5,860,899Vanguard Information Technology ETF 33,029 7,053,673Vanguard Intermediate-Term Corporate

Bond ETF 859,120 78,944,537Vanguard Materials ETF 29,224 3,585,200Vanguard Mid-Cap ETF 188,932 31,113,322

Multi-Index Lifestyle Balanced Portfolio(continued)


UNAFFILIATED INVESTMENT COMPANIES (continued)Exchange-traded funds (continued)Vanguard Real Estate ETF 59,937 $ 5,527,390Vanguard S&P 500 ETF 166 44,588Vanguard Short-Term Bond ETF (C) 458,246 37,191,245Vanguard Short-Term Corporate Bond ETF 502,484 40,841,900Vanguard Short-Term Inflation-Protected

Securities ETF 430,191 21,328,870Vanguard Small-Cap ETF 82,403 12,545,855Vanguard Total Bond Market ETF 765,833 65,172,388Xtrackers USD High Yield Corporate Bond ETF 501,541 25,167,327TOTAL UNAFFILIATED INVESTMENTCOMPANIES (Cost $513,762,282) $ 555,147,117

SECURITIES LENDING COLLATERAL - 6.0%John Hancock Collateral Trust, 2.1920% (D)(E) 5,354,537 53,581,782TOTAL SECURITIES LENDINGCOLLATERAL (Cost $53,579,621) $ 53,581,782


Market Fund, Premier Class, 2.0691% (D) 1,041 1,041TOTAL SHORT-TERM INVESTMENTS(Cost $1,041) $ 1,041Total Investments (Multi-Index Lifestyle

Balanced Portfolio) (Cost $939,452,013) -106.2% $ 952,270,910

Other assets and liabilities, net - (6.2%) (55,291,115)TOTAL NET ASSETS - 100.0% $ 896,979,795

Security Abbreviations and LegendJHF II John Hancock Funds IIMIM US Manulife Investment Management (US) LLC(A) The underlying funds’ subadvisor is shown parenthetically.(B) The subadvisor is an affiliate of the advisor.(C) All or a portion of this security is on loan as of 8-31-19.(D) The rate shown is the annualized seven-day yield as of 8-31-19.(E) Investment is an affiliate of the fund, the advisor and/or subadvisor.


Multi-Index Lifestyle Conservative PortfolioShares orPrincipalAmount Value



UNAFFILIATED INVESTMENT COMPANIES - 88.6%Exchange-traded funds - 88.6%Invesco Senior Loan ETF (C) 550,197 12,439,954iShares Edge MSCI Min Vol USA ETF 88,159 5,620,577iShares Global Infrastructure ETF 5,837 265,350iShares JP Morgan USD Emerging Markets

Bond ETF 74,997 8,626,155iShares TIPS Bond ETF 36,737 4,322,108SPDR Bloomberg Barclays High Yield

Bond ETF 49,567 5,393,385Vanguard Dividend Appreciation ETF 31,802 3,765,993Vanguard Energy ETF 16,636 1,260,011



Multi-Index Lifestyle Conservative Portfolio(continued)


UNAFFILIATED INVESTMENT COMPANIES (continued)Exchange-traded funds (continued)Vanguard FTSE Developed Markets ETF 56,556 $ 2,267,330Vanguard FTSE Emerging Markets ETF 13,359 539,704Vanguard Global ex-U.S. Real Estate ETF 4,584 265,414Vanguard Intermediate-Term Corporate

Bond ETF 411,687 37,829,918Vanguard Materials ETF 4,383 537,706Vanguard Mid-Cap ETF 8,287 1,364,703Vanguard Real Estate ETF 8,813 812,735Vanguard Short-Term Bond ETF 166,047 13,476,375Vanguard Short-Term Corporate Bond ETF 219,729 17,859,573Vanguard Short-Term Inflation-Protected

Securities ETF 173,268 8,590,627Vanguard Small-Cap ETF 2,864 436,044Vanguard Total Bond Market ETF 359,120 30,561,112Xtrackers USD High Yield Corporate Bond ETF 140,085 7,029,465TOTAL UNAFFILIATED INVESTMENTCOMPANIES (Cost $156,156,632) $ 163,264,239




Conservative Portfolio) (Cost $190,709,611)- 106.9% $ 196,986,523




Multi-Index Lifestyle Growth PortfolioShares orPrincipalAmount Value



UNAFFILIATED INVESTMENT COMPANIES - 47.6%Exchange-traded funds - 47.6%Financial Select Sector SPDR Fund 394,448 10,618,540Invesco Senior Loan ETF (C) 705,150 15,943,442iShares Edge MSCI Min Vol USA ETF 684,250 43,624,360iShares Global Infrastructure ETF (C) 45,448 2,066,066

Multi-Index Lifestyle Growth Portfolio (continued)Shares orPrincipalAmount Value

UNAFFILIATED INVESTMENT COMPANIES (continued)Exchange-traded funds (continued)iShares JP Morgan USD Emerging Markets

Bond ETF 142,564 $ 16,397,711iShares TIPS Bond ETF 40,537 4,769,178Schwab U.S. Large-Cap Growth ETF 133,826 11,237,369SPDR Bloomberg Barclays High Yield

Bond ETF 83,848 9,123,501Vanguard Dividend Appreciation ETF 245,746 29,101,241Vanguard Energy ETF 118,615 8,983,900Vanguard FTSE All World ex-US Small-Cap ETF 20,243 2,031,385Vanguard FTSE Developed Markets ETF 196,711 7,886,144Vanguard FTSE Emerging Markets ETF 483,613 19,537,965Vanguard Global ex-U.S. Real Estate ETF 35,506 2,055,797Vanguard Health Care ETF 44,222 7,502,262Vanguard Information Technology ETF 39,880 8,516,773Vanguard Intermediate-Term Corporate

Bond ETF 400,847 36,833,831Vanguard Materials ETF 32,413 3,976,427Vanguard Mid-Cap ETF 254,086 41,842,882Vanguard Real Estate ETF 67,420 6,217,472Vanguard S&P 500 ETF 154 41,364Vanguard Short-Term Bond ETF 219,747 17,834,667Vanguard Short-Term Corporate Bond ETF 236,116 19,191,508Vanguard Short-Term Inflation-Protected





Growth Portfolio) (Cost $852,917,377) -102.0% $ 845,529,394






Multi-Index Lifestyle Moderate PortfolioShares orPrincipalAmount Value



UNAFFILIATED INVESTMENT COMPANIES - 74.6%Exchange-traded funds - 74.6%Invesco Senior Loan ETF (C) 613,056 13,861,196iShares Edge MSCI Min Vol USA ETF 214,880 13,699,674iShares Global Infrastructure ETF 9,272 421,505iShares JP Morgan USD Emerging Markets

Bond ETF 92,074 10,590,351iShares TIPS Bond ETF 36,540 4,298,931SPDR Bloomberg Barclays High Yield

Bond ETF 72,657 7,905,808Vanguard Dividend Appreciation ETF 77,462 9,173,050Vanguard Energy ETF 26,120 1,978,329Vanguard FTSE Developed Markets ETF 78,538 3,148,588Vanguard FTSE Emerging Markets ETF 13,354 539,502Vanguard Global ex-U.S. Real Estate ETF 7,236 418,964Vanguard Intermediate-Term Corporate

Bond ETF 432,915 39,780,559Vanguard Materials ETF 6,928 849,927Vanguard Mid-Cap ETF 32,016 5,272,395Vanguard Real Estate ETF 13,734 1,266,549Vanguard S&P 500 ETF 49 13,161Vanguard Short-Term Bond ETF (C) 141,782 11,507,027Vanguard Short-Term Corporate Bond ETF 243,621 19,801,515Vanguard Short-Term Inflation-Protected





Moderate Portfolio) (Cost $268,698,753) -104.6% $ 275,366,333




Real Estate Securities FundShares orPrincipalAmount Value

COMMON STOCKS – 99.7%Information technology – 1.0%IT services – 1.0%IT consulting and other services – 1.0%InterXion Holding NV (A) 53,735 $ 4,349,311Real estate – 98.7%Equity real estate investment trusts –98.7%Diversified REITs – 8.7%Empire State Realty Trust, Inc., Class A 127,744 1,796,081Essential Properties Realty Trust, Inc. 186,432 4,233,871Liberty Property Trust 89,074 4,642,537STORE Capital Corp. 407,957 15,404,456VEREIT, Inc. 1,204,379 11,742,695

37,819,640Health care REITs – 13.4%HCP, Inc. 442,914 15,373,545Medical Properties Trust, Inc. 616,011 11,451,644Omega Healthcare Investors, Inc. 176,709 7,188,522Physicians Realty Trust 44,109 763,968Welltower, Inc. 259,194 23,213,415

57,991,094Hotel and resort REITs – 3.8%Park Hotels & Resorts, Inc. 161,883 3,812,345Pebblebrook Hotel Trust 129,035 3,480,074Ryman Hospitality Properties, Inc. 112,923 8,995,446

16,287,865Industrial REITs – 10.3%Americold Realty Trust 260,164 9,475,173Prologis, Inc. 297,044 24,838,819Rexford Industrial Realty, Inc. 237,543 10,497,025

44,811,017Office REITs – 10.0%Alexandria Real Estate Equities, Inc. 92,807 13,906,201Douglas Emmett, Inc. 193,402 8,161,564Highwoods Properties, Inc. 59,273 2,561,186JBG SMITH Properties 152,797 5,846,013Kilroy Realty Corp. 103,444 8,054,150Paramount Group, Inc. 363,013 4,784,511

43,313,625Residential REITs – 19.9%American Campus Communities, Inc. 16,132 749,815American Homes 4 Rent, Class A 117,938 3,016,854Apartment Investment & Management

Company, A Shares 191,736 9,778,536Equity LifeStyle Properties, Inc. 101,091 13,618,980Equity Residential 235,665 19,974,965Essex Property Trust, Inc. 37,135 11,929,990Invitation Homes, Inc. 432,490 12,438,412Mid-America Apartment Communities, Inc. 116,322 14,735,671

86,243,223Retail REITs – 10.3%Agree Realty Corp. 113,634 8,487,323Kimco Realty Corp. 504,593 9,274,419Realty Income Corp. 141,482 10,442,786Regency Centers Corp. 129,241 8,337,337Simon Property Group, Inc. 54,351 8,095,038

44,636,903Specialized REITs – 22.3%American Tower Corp. 28,467 6,552,819CoreSite Realty Corp. 73,777 8,571,412Crown Castle International Corp. 37,028 5,375,355CubeSmart 315,192 11,312,241



Real Estate Securities Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)

CyrusOne, Inc. 136,994 $ 10,063,579Equinix, Inc. 51,177 28,468,743Extra Space Storage, Inc. 156,533 19,084,503Life Storage, Inc. 69,935 7,410,313

96,838,965427,942,332

TOTAL COMMON STOCKS (Cost $332,508,396) $ 432,291,643

SHORT-TERM INVESTMENTS – 0.9%Money market funds – 0.9%State Street Institutional U.S. Government

Money Market Fund, Premier Class,2.0691% (B) 3,632,781 3,632,781

TOTAL SHORT-TERM INVESTMENTS(Cost $3,632,781) $ 3,632,781Total Investments (Real Estate Securities

Fund)(Cost $336,141,177) – 100.6% $ 435,924,424

Other assets and liabilities, net – (0.6%) (2,434,890)TOTAL NET ASSETS – 100.0% $ 433,489,534

Security Abbreviations and Legend(A) Non-income producing security.(B) The rate shown is the annualized seven-day yield as of 8-31-19.

Science & Technology FundShares orPrincipalAmount Value

COMMON STOCKS – 91.7%Communication services – 19.9%Entertainment – 1.6%Electronic Arts, Inc. (A) 14,762 $ 1,382,904Netflix, Inc. (A) 4,050 1,189,688Take-Two Interactive Software, Inc. (A) 13,730 1,811,948Zynga, Inc., Class A (A) 45,105 257,550

4,642,090Interactive media and services – 18.0%58.com, Inc., ADR (A) 69,899 3,759,867Alphabet, Inc., Class C (A) 13,786 16,379,147Facebook, Inc., Class A (A) 108,817 20,204,052Mail.Ru Group, Ltd., GDR (A) 133,522 3,010,262Match Group, Inc. (B) 7,840 664,832NAVER Corp. 35,284 4,274,276Snap, Inc., Class A (A)(B) 163,045 2,581,002Yandex NV, Class A (A) 8,725 323,696

51,197,134Media – 0.3%News Corp., Class A 55,532 763,565

56,602,789Consumer discretionary – 14.8%Automobiles – 1.2%Tesla, Inc. (A)(B) 14,686 3,313,308Diversified consumer services – 0.2%GSX Techedu, Inc., ADR (A) 44,577 638,343Household durables – 0.4%Roku, Inc. (A) 7,695 1,164,715Internet and direct marketing retail – 13.0%Alibaba Group Holding, Ltd., ADR (A) 37,662 6,591,980Amazon.com, Inc. (A) 4,563 8,105,211Booking Holdings, Inc. (A) 3,418 6,721,189Ctrip.com International, Ltd., ADR (A) 232,818 7,538,647

Science & Technology Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Internet and direct marketing retail (continued)GrubHub, Inc. (A) 1,535 $ 91,087Naspers, Ltd., N Shares 15,032 3,420,767Zalando SE (A)(C) 92,475 4,587,900

37,056,78142,173,147

Health care – 1.1%Health care equipment and supplies – 0.9%Intuitive Surgical, Inc. (A) 5,063 2,588,914Health care technology – 0.2%Veeva Systems, Inc., Class A (A) 3,350 537,273

3,126,187Industrials – 0.4%Electrical equipment – 0.1%Bloom Energy Corp., Class A (A)(B) 44,110 197,613Industrial conglomerates – 0.2%Roper Technologies, Inc. 1,615 592,317Road and rail – 0.1%Lyft, Inc., Class A (A) 2,275 111,407Uber Technologies, Inc. (A)(B) 3,320 108,132

219,5391,009,469

Information technology – 55.3%Communications equipment – 0.1%Arista Networks, Inc. (A) 1,045 236,818Viavi Solutions, Inc. (A) 9,245 128,413

365,231Electronic equipment, instruments and components – 0.1%CDW Corp. 1,890 218,295Cognex Corp. 325 14,651Flex, Ltd. (A) 12,925 124,468

357,414IT services – 11.0%Akamai Technologies, Inc. (A) 27,630 2,462,662Capgemini SE 2,250 269,972DXC Technology Company 6,940 230,547Fidelity National Information Services, Inc. 14,522 1,978,187Fiserv, Inc. (A) 14,955 1,599,288Global Payments, Inc. 3,905 648,152Mastercard, Inc., Class A 17,610 4,954,926MongoDB, Inc. (A)(B) 18,345 2,794,127Okta, Inc. (A) 41,585 5,260,503PayPal Holdings, Inc. (A) 11,380 1,240,989Shopify, Inc., Class A (A) 2,565 988,525Square, Inc., Class A (A) 1,485 91,832Total System Services, Inc. 8,505 1,141,541Twilio, Inc., Class A (A) 41,320 5,391,020Visa, Inc., Class A 11,360 2,054,115

31,106,386Semiconductors and semiconductor equipment – 14.6%Advanced Micro Devices, Inc. (A) 96,420 3,032,409Analog Devices, Inc. 12,695 1,394,292Applied Materials, Inc. 38,894 1,867,690ASML Holding NV 8,047 1,789,706ASML Holding NV 1,265 281,602Broadcom, Inc. 4,780 1,351,019Cree, Inc. (A) 30,905 1,326,752Cypress Semiconductor Corp. 24,625 566,621Infineon Technologies AG 8,117 140,675KLA Corp. 12,985 1,920,482Lam Research Corp. 8,434 1,775,441Marvell Technology Group, Ltd. 49,211 1,179,588




COMMON STOCKS (continued)Semiconductors and semiconductor equipment (continued)Maxim Integrated Products, Inc. 43,145 $ 2,353,128Microchip Technology, Inc. 16,765 1,447,322Micron Technology, Inc. (A) 155,232 7,027,353NVIDIA Corp. 31,776 5,322,798NXP Semiconductors NV 8,219 839,489ON Semiconductor Corp. (A) 47,735 849,683QUALCOMM, Inc. 50,078 3,894,566Taiwan Semiconductor

Manufacturing Company, Ltd., ADR 6,660 283,916Teradyne, Inc. 26,085 1,381,722Texas Instruments, Inc. 6,985 864,394Xilinx, Inc. 5,925 616,556

41,507,204Software – 25.0%Alteryx, Inc., Class A (A) 35,380 5,039,881Aspen Technology, Inc. (A) 1,265 168,498Atlassian Corp. PLC, Class A (A) 20,075 2,700,288Autodesk, Inc. (A) 1,800 257,076AVEVA Group PLC 9,980 450,255Carbon Black, Inc. (A) 2,200 57,420Coupa Software, Inc. (A) 2,165 300,783Crowdstrike Holdings, Inc., Class A (A)(B) 8,220 668,122CyberArk Software, Ltd. (A) 6,970 783,010Dynatrace, Inc. (A) 2,620 60,208Elastic NV (A) 18,228 1,602,059ForeScout Technologies, Inc. (A) 8,080 289,506Fortinet, Inc. (A) 17,850 1,413,363Guidewire Software, Inc. (A) 1,260 121,187HubSpot, Inc. (A) 2,780 555,110Intuit, Inc. 3,758 1,083,657Microsoft Corp. 129,846 17,900,570Mimecast, Ltd. (A) 2,130 87,181Palo Alto Networks, Inc. (A) 6,210 1,264,480Paycom Software, Inc. (A) 28,585 7,149,680Proofpoint, Inc. (A) 16,985 1,929,666Rapid7, Inc. (A) 15,370 825,215RealPage, Inc. (A) 3,770 240,036RingCentral, Inc., Class A (A) 28,460 4,016,560salesforce.com, Inc. (A) 49,304 7,694,875ServiceNow, Inc. (A) 5,439 1,424,148Smartsheet, Inc., Class A (A) 6,190 300,834Splunk, Inc. (A) 1,350 150,957Symantec Corp. 242,218 5,631,569Synopsys, Inc. (A) 13,567 1,923,936Temenos AG (A) 3,085 519,759Workday, Inc., Class A (A) 8,665 1,536,131Zendesk, Inc. (A) 11,640 933,528Zscaler, Inc. (A) 26,870 1,847,044

70,926,592Technology hardware, storage and peripherals – 4.5%Apple, Inc. 7,005 1,462,224NetApp, Inc. 14,650 704,079Pure Storage, Inc., Class A (A) 212,567 3,460,591Samsung Electronics Company, Ltd. 194,483 7,080,926

12,707,820156,970,647

Materials – 0.2%Chemicals – 0.2%DuPont de Nemours, Inc. 8,360 567,895TOTAL COMMON STOCKS (Cost $222,671,701) $ 260,450,134

PREFERRED SECURITIES – 0.9%Consumer discretionary – 0.6%


PREFERRED SECURITIES (continued)Internet and direct marketing retail – 0.6%Airbnb, Inc., Series E (A)(D)(E) 16,398 $ 1,765,901Information technology – 0.3%Software – 0.3%DiDi Chuxing, Inc. (A)(D)(E) 16,798 855,557TOTAL PREFERRED SECURITIES (Cost $1,987,267) $ 2,621,458

EXCHANGE-TRADED FUNDS – 1.3%Altaba, Inc. (A) 50,870 3,534,956TOTAL EXCHANGE-TRADED FUNDS (Cost $3,005,207) $ 3,534,956


2.1920% (F)(G) 973,311 9,739,733TOTAL SECURITIES LENDING COLLATERAL(Cost $9,739,728) $ 9,739,733


Market Fund, Premier Class, 2.0691% (F) 1,870,151 1,870,151T. Rowe Price Government Reserve Fund,

2.7663% (F) 4,857,393 4,857,3936,727,544

Repurchase agreement – 3.8%Repurchase Agreement with State Street

Corp. dated 8-30-19 at 1.050% to berepurchased at $10,821,262 on 9-3-19,collateralized by $10,835,000U.S. Treasury Notes, 2.250% due3-31-21 (valued at $11,038,611,including interest) $ 10,820,000 10,820,000

TOTAL SHORT-TERM INVESTMENTS (Cost $17,547,544) $ 17,547,544Total Investments (Science & Technology Fund)

(Cost $254,951,447) – 103.5% $ 293,893,825Other assets and liabilities, net – (3.5%) (9,857,226)TOTAL NET ASSETS – 100.0% $ 284,036,599

Security Abbreviations and LegendADR American Depositary ReceiptGDR Global Depositary Receipt(A) Non-income producing security.(B) All or a portion of this security is on loan as of 8-31-19.(C) These securities are exempt from registration under Rule 144A of


(D) Direct placement securities are restricted as to resale, and the fundhas limited rights to registration under the Securities Act of 1933.For more information on this security refer to the Notes to financialstatements.

(E) Security is valued using significant unobservable inputs and isclassified as Level 3 in the fair value hierarchy.

(F) The rate shown is the annualized seven-day yield as of 8-31-19.(G) Investment is an affiliate of the fund, the advisor and/or subadvisor.


Small Company Value FundShares orPrincipalAmount Value

COMMON STOCKS – 98.3%Communication services – 2.2%



Small Company Value Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Entertainment – 0.4%Rosetta Stone, Inc. (A) 11,989 $ 218,799Media – 1.8%Cable One, Inc. 666 864,215Scholastic Corp. 5,258 184,398

1,048,6131,267,412

Consumer discretionary – 9.2%Auto components – 1.9%Dorman Products, Inc. (A) 5,609 398,688Garrett Motion, Inc. (A)(B) 19,700 193,848LCI Industries 3,595 304,676Visteon Corp. (A)(B) 2,324 160,286

1,057,498Distributors – 1.2%Pool Corp. 3,471 681,635Diversified consumer services – 1.7%American Public Education, Inc. (A) 7,473 181,071Strategic Education, Inc. 4,582 775,412

956,483Hotels, restaurants and leisure – 0.6%Marriott Vacations Worldwide Corp. 1,817 179,138Red Robin Gourmet Burgers, Inc. (A)(B) 4,215 141,160

320,298Household durables – 0.9%Cavco Industries, Inc. (A) 2,789 511,698Specialty retail – 2.0%Aaron’s, Inc. 12,055 772,846Express, Inc. (A) 14,830 31,440Lumber Liquidators Holdings, Inc. (A)(B) 4,890 46,015Monro, Inc. (B) 3,653 283,911

1,134,212Textiles, apparel and luxury goods – 0.9%Culp, Inc. 9,413 132,159Steven Madden, Ltd. 12,109 402,261

534,4205,196,244

Consumer staples – 3.0%Food and staples retailing – 0.1%Grocery Outlet Holding Corp. (A) 2,129 86,118Food products – 2.9%Nomad Foods, Ltd. (A) 38,922 784,278Post Holdings, Inc. (A) 4,122 410,922The Simply Good Foods Company (A) 13,966 413,813

1,609,0131,695,131

Energy – 5.5%Energy equipment and services – 1.8%Apergy Corp. (A) 8,300 215,634Cactus, Inc., Class A (A) 6,397 162,932Dril-Quip, Inc. (A) 3,204 146,903Frank’s International NV (A) 25,507 110,955Keane Group, Inc. (A)(B) 38,492 204,008TETRA Technologies, Inc. (A) 105,930 175,844

1,016,276Oil, gas and consumable fuels – 3.7%Centennial Resource Development, Inc.,

Class A (A) 32,246 155,426Delek US Holdings, Inc. (B) 3,099 101,492International Seaways, Inc. (A) 16,312 280,893Jagged Peak Energy, Inc. (A)(B) 25,512 176,033


COMMON STOCKS (continued)Oil, gas and consumable fuels (continued)Kimbell Royalty Partners LP (B) 8,652 $ 132,549Kosmos Energy, Ltd. 31,380 198,322Magnolia Oil & Gas Corp., Class A (A)(B) 15,700 160,297Matador Resources Company (A)(B) 16,453 257,489REX American Resources Corp. (A) 3,816 262,083WPX Energy, Inc. (A) 34,460 370,790

2,095,3743,111,650

Financials – 26.8%Banks – 15.7%Atlantic Capital Bancshares, Inc. (A) 8,462 137,931BankUnited, Inc. 18,129 575,777BOK Financial Corp. 3,487 265,500CenterState Bank Corp. 15,400 348,348Columbia Banking System, Inc. 14,968 516,546CrossFirst Bankshares, Inc. (A) 2,455 35,720East West Bancorp, Inc. 6,759 277,998FB Financial Corp. 9,575 343,455Glacier Bancorp, Inc. 11,355 450,680HarborOne Bancorp, Inc. (A) 18,600 185,256Heritage Commerce Corp. 14,088 163,280Heritage Financial Corp. 9,089 237,950Home BancShares, Inc. 47,112 834,825Hope Bancorp, Inc. 20,360 273,028Howard Bancorp, Inc. (A) 10,192 150,740Live Oak Bancshares, Inc. (B) 7,083 127,069National Bank Holdings Corp., Class A 13,594 443,708Origin Bancorp, Inc. 6,136 196,597Pinnacle Financial Partners, Inc. 8,913 469,448Popular, Inc. 8,088 425,186Prosperity Bancshares, Inc. 6,626 430,160SVB Financial Group (A) 622 121,054Texas Capital Bancshares, Inc. (A) 5,631 303,398Towne Bank 19,798 520,093Webster Financial Corp. 9,355 418,730Western Alliance Bancorp 7,310 317,400Wintrust Financial Corp. 4,648 292,034

8,861,911Capital markets – 2.4%Assetmark Financial Holdings, Inc. (A) 1,755 49,491Cboe Global Markets, Inc. 1,305 155,504Hercules Capital, Inc. 23,986 314,936Houlihan Lokey, Inc. 8,367 369,654Main Street Capital Corp. (B) 6,074 267,924Virtus Investment Partners, Inc. 1,929 205,805

1,363,314Consumer finance – 0.3%Green Dot Corp., Class A (A) 4,146 126,785SLM Corp. 3,400 28,696

155,481Diversified financial services – 0.2%Conyers Park II Acquisition Corp. (A) 8,096 84,117Insurance – 2.7%Assured Guaranty, Ltd. 3,378 143,734Axis Capital Holdings, Ltd. 2,259 138,680Employers Holdings, Inc. 6,026 259,901Palomar Holdings, Inc. (A) 734 24,978ProAssurance Corp. (B) 8,894 347,489Safety Insurance Group, Inc. 2,654 255,952State Auto Financial Corp. 10,178 325,391

1,496,125Mortgage real estate investment trusts – 1.1%Capstead Mortgage Corp. 31,097 226,075




COMMON STOCKS (continued)Mortgage real estate investment trusts (continued)PennyMac Mortgage Investment Trust 9,808 $ 213,422Redwood Trust, Inc. 11,726 194,652

634,149Thrifts and mortgage finance – 4.4%Meridian Bancorp, Inc. 19,234 336,210PCSB Financial Corp. 10,470 206,364PDL Community Bancorp (A) 10,645 148,924PennyMac Financial Services, Inc. (A) 16,145 477,731Radian Group, Inc. 20,980 473,099Sterling Bancorp, Inc. 13,455 125,535WSFS Financial Corp. 17,738 731,160

2,499,02315,094,120

Health care – 6.7%Biotechnology – 0.6%Momenta Pharmaceuticals, Inc. (A) 12,598 159,113Ultragenyx Pharmaceutical, Inc. (A) 908 49,459Xencor, Inc. (A) 3,622 135,028

343,600Health care equipment and supplies – 3.6%Atrion Corp. (B) 719 558,771Avanos Medical, Inc. (A) 10,608 351,973Mesa Laboratories, Inc. 1,151 254,636Quidel Corp. (A) 8,010 505,031West Pharmaceutical Services, Inc. 2,355 342,558

2,012,969Health care providers and services – 2.0%Molina Healthcare, Inc. (A) 2,169 282,577Select Medical Holdings Corp. (A) 23,572 382,338The Ensign Group, Inc. 9,601 479,090

1,144,005Health care technology – 0.3%Health Catalyst, Inc. (A)(B) 1,321 52,655Phreesia, Inc. (A) 3,075 82,318

134,973Pharmaceuticals – 0.2%Cara Therapeutics, Inc. (A) 5,088 119,263

3,754,810Industrials – 14.0%Aerospace and defense – 2.4%Cubic Corp. (B) 7,709 534,002Parsons Corp. (A) 6,114 207,998Triumph Group, Inc. (B) 29,764 618,496

1,360,496Building products – 0.8%Universal Forest Products, Inc. 11,603 453,677Commercial services and supplies – 2.5%Brady Corp., Class A 5,401 254,981McGrath RentCorp 6,407 410,240MSA Safety, Inc. 2,727 288,053Stericycle, Inc. (A)(B) 6,315 283,480The Brink’s Company 2,217 166,829

1,403,583Construction and engineering – 0.8%Aegion Corp. (A) 24,296 479,603Electrical equipment – 0.3%Thermon Group Holdings, Inc. (A) 8,586 186,746Machinery – 2.9%Blue Bird Corp. (A) 9,488 173,061CIRCOR International, Inc. (A)(B) 9,923 341,054


COMMON STOCKS (continued)Machinery (continued)ESCO Technologies, Inc. 6,756 $ 514,334Helios Technologies, Inc. (B) 7,771 332,521RBC Bearings, Inc. (A) 1,613 257,322

1,618,292Marine – 0.4%Kirby Corp. (A) 2,904 213,705Professional services – 1.7%FTI Consulting, Inc. (A) 6,911 747,356Huron Consulting Group, Inc. (A) 3,185 194,954

942,310Road and rail – 1.8%Genesee & Wyoming, Inc., Class A (A) 1,302 144,366Landstar System, Inc. 6,291 701,572Universal Logistics Holdings, Inc. 8,053 168,710

1,014,648Trading companies and distributors – 0.4%Beacon Roofing Supply, Inc. (A) 7,306 232,915

7,905,975Information technology – 8.8%Communications equipment – 0.8%Harmonic, Inc. (A) 71,676 472,345Electronic equipment, instruments and components – 3.6%Belden, Inc. 17,984 820,250Knowles Corp. (A) 25,011 507,223Littelfuse, Inc. 4,555 710,899

2,038,372IT services – 0.7%Conduent, Inc. (A) 14,170 92,247GTT Communications, Inc. (A)(B) 9,585 91,153I3 Verticals, Inc., Class A (A) 9,210 208,330

391,730Semiconductors and semiconductor equipment – 1.9%Cabot Microelectronics Corp. 3,698 460,956Entegris, Inc. 4,977 213,165MaxLinear, Inc. (A) 12,676 251,238Rudolph Technologies, Inc. (A) 5,888 129,477

1,054,836Software – 1.8%Ceridian HCM Holding, Inc. (A)(B) 7,513 434,026Cision, Ltd. (A) 13,805 95,531Q2 Holdings, Inc. (A)(B) 930 83,654RealPage, Inc. (A)(B) 2,779 176,939Zendesk, Inc. (A) 2,466 197,773

987,9234,945,206

Materials – 4.1%Chemicals – 1.3%American Vanguard Corp. 10,147 143,783Balchem Corp. (B) 651 57,802Minerals Technologies, Inc. 5,702 274,836Quaker Chemical Corp. (B) 1,742 276,734

753,155Containers and packaging – 0.7%Myers Industries, Inc. 23,352 393,014Metals and mining – 1.8%Carpenter Technology Corp. 8,925 434,112Constellium SE (A) 25,938 312,294Reliance Steel & Aluminum Company (B) 2,851 277,203

1,023,609




COMMON STOCKS (continued)Paper and forest products – 0.3%Clearwater Paper Corp. (A) 9,539 $ 152,815

2,322,593Real estate – 11.0%Equity real estate investment trusts – 10.3%Acadia Realty Trust 8,523 233,104American Campus Communities, Inc. 6,490 301,655Cedar Realty Trust, Inc. 101,431 240,391Douglas Emmett, Inc. 5,932 250,330EastGroup Properties, Inc. 3,967 493,971Hannon Armstrong Sustainable

Infrastructure Capital, Inc. 13,905 384,195Healthcare Realty Trust, Inc. 15,866 527,227JBG SMITH Properties 13,895 531,623Kilroy Realty Corp. 3,795 295,479PotlatchDeltic Corp. 11,382 437,979PS Business Parks, Inc. 2,986 536,315QTS Realty Trust, Inc., Class A 1,783 87,474Saul Centers, Inc. 5,869 294,800Sunstone Hotel Investors, Inc. 28,744 377,696Terreno Realty Corp. 13,015 658,038Washington Real Estate Investment Trust 5,733 151,867

5,802,144Real estate management and development – 0.7%The St. Joe Company (A)(B) 20,943 376,555

6,178,699Utilities – 7.0%Electric utilities – 2.4%MGE Energy, Inc. 3,434 260,469PNM Resources, Inc. 15,433 787,237Portland General Electric Company 5,299 301,460

1,349,166Gas utilities – 3.6%Atmos Energy Corp. 958 105,600Chesapeake Utilities Corp. 7,409 700,743ONE Gas, Inc. 7,902 723,902RGC Resources, Inc. 2,522 71,574Southwest Gas Holdings, Inc. (B) 4,728 431,335

2,033,154Multi-utilities – 0.4%NorthWestern Corp. 2,684 194,429Water utilities – 0.6%California Water Service Group 6,064 342,252



2.1920% (C)(D) 555,204 5,555,811TOTAL SECURITIES LENDING COLLATERAL(Cost $5,555,395) $ 5,555,811


Market Fund, Premier Class, 2.0691% (C) 525,991 525,991


SHORT-TERM INVESTMENTS (continued)Money market funds (continued)T. Rowe Price Government Reserve Fund,

2.7663% (C) 473,019 $ 473,019999,010

TOTAL SHORT-TERM INVESTMENTS (Cost $999,010) $ 999,010Total Investments (Small Company Value Fund)

(Cost $41,192,712) – 109.9% $ 61,945,662Other assets and liabilities, net – (9.9%) (5,581,533)TOTAL NET ASSETS – 100.0% $ 56,364,129

Security Abbreviations and Legend(A) Non-income producing security.(B) All or a portion of this security is on loan as of 8-31-19.(C) The rate shown is the annualized seven-day yield as of 8-31-19.(D) Investment is an affiliate of the fund, the advisor and/or subadvisor.


Strategic Equity Allocation FundShares orPrincipalAmount Value

COMMON STOCKS – 94.9%Communication services – 6.8%Diversified telecommunication services – 0.9%Anterix, Inc. (A) 1,232 $ 47,740AT&T, Inc. 225,324 7,944,924ATN International, Inc. 1,403 79,718Bandwidth, Inc., Class A (A) 2,048 178,565BCE, Inc. 29,960 1,417,666BT Group PLC 1,332,103 2,683,673Cellnex Telecom SA (A)(B) 32,057 1,284,668CenturyLink, Inc. 29,624 337,121China Telecom Corp., Ltd., H Shares 1,849,296 826,357China Tower Corp., Ltd., H Shares (B) 5,628,400 1,281,300China Unicom Hong Kong, Ltd. 817,816 812,484Chunghwa Telecom Company, Ltd. 570,479 1,978,446Cincinnati Bell, Inc. (A) 6,957 37,777Cogent Communications Holdings, Inc. 5,265 320,586Consolidated Communications

Holdings, Inc. 9,462 38,132Deutsche Telekom AG 367,044 6,127,667Elisa OYJ 4,948 248,909Frontier Communications Corp. (A)(C) 13,986 11,196HKT Trust & HKT, Ltd. 591,322 923,725IDT Corp., Class B (A) 2,383 21,018Iliad SA 3,991 417,945Intelsat SA (A) 8,610 178,055Iridium Communications, Inc. (A) 12,622 305,200Koninklijke KPN NV 960,114 3,040,979LG Uplus Corp. 15,341 167,454Nippon Telegraph & Telephone Corp. 89,600 4,295,231Ooma, Inc. (A) 2,805 35,063Orange Polska SA (A) 109,746 175,744Orange SA 301,654 4,583,149ORBCOMM, Inc. (A) 10,076 46,450Pareteum Corp. (A)(C) 14,025 30,014PCCW, Ltd. 637,000 345,013Proximus SADP 41,751 1,234,790Singapore Telecommunications, Ltd. 175,950 401,342Singapore Telecommunications, Ltd. 216,878 533,243Spark New Zealand, Ltd. 162,448 452,246Swisscom AG 3,893 1,948,969Telecom Italia SpA (A) 845,609 452,055Telecom Italia SpA 567,531 290,461



Strategic Equity Allocation Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Diversified telecommunication services (continued)Telefonica Deutschland Holding AG 95,461 $ 243,101Telefonica SA 775,699 5,389,132Telekom Malaysia BHD 117,518 104,640Telekomunikasi Indonesia Persero Tbk PT 3,740,560 1,176,075Telenor ASA 120,747 2,478,169Telia Company AB 468,846 2,052,381Telkom SA SOC, Ltd. 39,127 205,713Telstra Corp., Ltd. 643,603 1,611,222TELUS Corp. 38,604 1,398,431TPG Telecom, Ltd. 57,047 255,774True Corp. PCL 82,700 16,970True Corp. PCL, Foreign Quota Shares 1,512,600 310,382United Internet AG 13,568 445,686Verizon Communications, Inc. 127,689 7,426,392Vonage Holdings Corp. (A) 28,716 379,626

69,028,769Entertainment – 1.2%Activision Blizzard, Inc. 105,054 5,315,732Alibaba Pictures Group, Ltd. (A) 1,860,500 305,496AMC Entertainment Holdings, Inc.,

Class A (C) 6,745 74,937CD Projekt SA 11,349 720,237Cinemark Holdings, Inc. 29,166 1,112,975Electronic Arts, Inc. (A) 40,684 3,811,277Glu Mobile, Inc. (A) 14,783 65,637IMAX Corp. (A) 6,641 138,930iQIYI, Inc., ADR (A)(C) 16,800 307,272Konami Holdings Corp. 12,700 575,503Liberty Media Corp.-Liberty Braves,

Class A (A) 1,510 41,480Liberty Media Corp.-Liberty Braves,

Class C (A) 4,351 119,478Live Nation Entertainment, Inc. (A) 38,230 2,657,367NCSoft Corp. 2,286 1,013,435NetEase, Inc., ADR 9,404 2,398,020Netflix, Inc. (A) 59,962 17,613,838Netmarble Corp. (A)(B) 3,570 278,250Nexon Company, Ltd. (A) 68,200 920,331Nintendo Company, Ltd. 15,739 5,955,647Pearl Abyss Corp. (A) 889 143,065Reading International, Inc., Class A (A) 2,316 28,718Rosetta Stone, Inc. (A) 2,661 48,563Take-Two Interactive Software, Inc. (A) 15,434 2,036,825Tencent Music Entertainment Group,

ADR (A)(C) 12,300 163,590The Marcus Corp. 2,897 97,223The Walt Disney Company 239,413 32,861,828Toho Company, Ltd. (C) 15,600 661,019Ubisoft Entertainment SA (A) 12,618 1,017,388Viacom, Inc., Class B 48,500 1,211,530Vivendi SA 138,402 3,870,275World Wrestling Entertainment, Inc.,

Class A 11,951 853,66086,419,526

Interactive media and services – 2.9%58.com, Inc., ADR (A) 12,600 677,754Alphabet, Inc., Class A (A) 41,066 48,890,305Alphabet, Inc., Class C (A) 42,031 49,937,031Auto Trader Group PLC (B) 145,246 941,583Autohome, Inc., ADR (A)(C) 7,800 679,848Baidu, Inc., ADR (A) 37,200 3,886,284Care.com, Inc. (A) 2,890 28,582CarGurus, Inc. (A) 9,493 309,662Cars.com, Inc. (A) 25,242 224,906DHI Group, Inc. (A) 7,119 25,842


COMMON STOCKS (continued)Interactive media and services (continued)Eventbrite, Inc., Class A (A)(C) 4,729 $ 82,663Facebook, Inc., Class A (A) 329,494 61,177,151Kakaku.com, Inc. 18,600 465,144Kakao Corp. 6,940 772,039Liberty TripAdvisor Holdings, Inc.,

Class A (A) 9,394 82,104LINE Corp. (A)(C) 8,200 289,330Momo, Inc., ADR 19,300 709,854NAVER Corp. 19,475 2,359,186QuinStreet, Inc. (A) 5,842 66,891REA Group, Ltd. 8,000 561,850SINA Corp. (A) 8,600 354,062Tencent Holdings, Ltd. 765,912 31,621,079The Meet Group, Inc. (A) 9,732 33,575TripAdvisor, Inc. (A) 14,195 539,268TrueCar, Inc. (A) 13,511 53,504Twitter, Inc. (A) 100,142 4,271,056Weibo Corp., ADR (A)(C) 7,300 302,001Yahoo Japan Corp. 368,707 919,406Yelp, Inc. (A) 29,074 974,270YY, Inc., ADR (A) 6,500 371,475

211,607,705Media – 1.0%AMC Networks, Inc., Class A (A) 12,404 601,594Axel Springer SE 5,309 367,812Boston Omaha Corp., Class A (A) 1,399 28,652Cable One, Inc. 1,357 1,760,870Cardlytics, Inc. (A) 1,811 68,039CBS Corp., Class B 48,268 2,030,152Central European Media Enterprises, Ltd.,

Class A (A) 12,287 57,012Charter Communications, Inc., Class A (A) 23,592 9,663,047Cheil Worldwide, Inc. 9,436 205,873China Literature, Ltd. (A)(B)(C) 34,400 105,378Clear Channel Outdoor Holdings, Inc. (A) 5,833 15,166Comcast Corp., Class A 621,173 27,493,117comScore, Inc. (A) 6,720 12,499Cumulus Media, Inc., Class A (A) 1,940 26,384CyberAgent, Inc. 14,100 634,581Cyfrowy Polsat SA 42,502 310,920Daily Journal Corp. (A)(C) 146 29,270Dentsu, Inc. 30,044 1,025,494Discovery, Inc., Series A (A) 21,649 597,512Discovery, Inc., Series C (A) 49,447 1,287,105DISH Network Corp., Class A (A) 31,644 1,061,973Emerald Expositions Events, Inc. 3,445 32,934Entercom Communications Corp.,

Class A (C) 16,097 57,305Entravision Communications Corp.,

Class A 8,756 26,793Eutelsat Communications SA 26,094 454,028Fluent, Inc. (A) 5,828 17,367Fox Corp., Class A 48,597 1,611,962Fox Corp., Class B 22,267 730,358Gannett Company, Inc. 13,666 143,766Gray Television, Inc. (A) 11,627 177,893Grupo Televisa SAB 346,397 614,273Hakuhodo DY Holdings, Inc. 32,200 474,804Hemisphere Media Group, Inc. (A) 2,505 29,734Informa PLC 196,840 2,084,819ITV PLC 571,574 807,464JCDecaux SA 11,011 294,706John Wiley & Sons, Inc., Class A 12,329 548,641Liberty Latin America, Ltd., Class A (A) 6,366 104,530Liberty Latin America, Ltd., Class C (A) 13,987 230,646




COMMON STOCKS (continued)Media (continued)Loral Space & Communications, Inc. (A) 1,687 $ 62,402Marchex, Inc., Class B (A) 5,397 18,350Media General, Inc. (A)(D) 18,354 1,762Megacable Holdings SAB de CV 42,000 171,843Meredith Corp. 16,026 701,618MSG Networks, Inc., Class A (A) 7,487 122,787MultiChoice Group, Ltd. (A) 62,034 545,732National CineMedia, Inc. 8,602 70,536New Media Investment Group, Inc. (C) 8,105 71,162News Corp., Class A 52,869 726,949News Corp., Class B 16,979 240,423Omnicom Group, Inc. 30,195 2,296,632Pearson PLC 122,742 1,243,989Publicis Groupe SA 31,981 1,534,232Quebecor, Inc., Class B 34,388 774,595RTL Group SA (C) 4,172 194,478Schibsted ASA, B Shares 16,033 464,202Scholastic Corp. 3,735 130,986SES SA 54,982 886,533Shaw Communications, Inc., Class B 86,919 1,651,683Singapore Press Holdings, Ltd. 73,400 105,171Surya Citra Media Tbk PT 423,200 36,782TechTarget, Inc. (A) 3,031 71,956TEGNA, Inc. 86,769 1,241,664Telenet Group Holding NV 12,819 639,079The EW Scripps Company, Class A 7,136 88,201The Interpublic Group of Companies, Inc. 53,080 1,055,230The New York Times Company, Class A 38,886 1,135,471Tribune Publishing Company 2,672 20,441WideOpenWest, Inc. (A) 3,345 18,799WPP PLC 199,229 2,356,969

74,505,130Wireless telecommunication services – 0.8%1&1 Drillisch AG 5,903 162,298Advanced Info Service PCL 1,600 12,119Advanced Info Service PCL, Foreign

Quota Shares 154,000 1,166,497America Movil SAB de CV, Series L 4,839,000 3,539,642Axiata Group BHD 278,653 334,121Boingo Wireless, Inc. (A) 5,645 72,651China Mobile, Ltd. 823,470 6,813,869DiGi.Com BHD 314,920 375,405Empresa Nacional de Telecomunicaciones

SA (A) 7,969 69,397Far EasTone Telecommunications

Company, Ltd. 233,595 544,177Globe Telecom, Inc. 3,965 154,621Gogo, Inc. (A)(C) 7,744 31,131Intouch Holdings PCL 600 1,253Intouch Holdings PCL, Foreign

Quota Shares 268,900 561,749KDDI Corp. 246,667 6,570,177Maxis BHD 235,660 311,701Millicom International Cellular SA 10,895 554,671MTN Group, Ltd. 240,995 1,630,673NTT DOCOMO, Inc. 185,500 4,679,399PLDT, Inc. 10,295 233,281Rogers Communications, Inc., Class B 67,602 3,346,588Shenandoah Telecommunications Company 6,111 192,741SK Telecom Company, Ltd. 2,824 558,254Softbank Corp. 232,600 3,262,005SoftBank Group Corp. 229,952 10,419,971Spok Holdings, Inc. 2,790 32,783Taiwan Mobile Company, Ltd. 238,000 848,524Tele2 AB, B Shares 83,202 1,175,319


COMMON STOCKS (continued)Wireless telecommunication services (continued)Telephone & Data Systems, Inc. 25,718 $ 648,094TIM Participacoes SA 110,889 329,373T-Mobile US, Inc. (A) 9,759 761,690Total Access Communication PCL 17,200 34,498Total Access Communication PCL, Foreign

Quota Shares 91,700 183,920Turkcell Iletisim Hizmetleri AS 202,305 449,617Vodacom Group, Ltd. 91,143 691,869Vodafone Group PLC 4,220,218 7,984,727

58,738,805500,299,935

Consumer discretionary – 10.1%Auto components – 0.5%Adient PLC 34,990 705,748Aisin Seiki Company, Ltd. 22,600 668,754American Axle & Manufacturing

Holdings, Inc. (A) 14,239 90,275Aptiv PLC 48,305 4,017,527BorgWarner, Inc. 38,831 1,267,056Bridgestone Corp. 79,300 3,003,207Cheng Shin Rubber Industry

Company, Ltd. 282,730 395,918China First Capital Group, Ltd. (A) 396,700 151,594Cie Generale des Etablissements

Michelin SCA 25,896 2,726,312Continental AG 12,147 1,465,877Cooper Tire & Rubber Company 6,280 147,517Cooper-Standard Holdings, Inc. (A) 2,250 84,240Dana, Inc. 57,691 734,406Delphi Technologies PLC 24,151 319,518Denso Corp. 60,416 2,531,314Dorman Products, Inc. (A) 3,401 241,743Faurecia SE 11,610 508,023Fox Factory Holding Corp. (A) 4,797 345,576Fuyao Glass Industry Group

Company, Ltd., H Shares (B) 66,700 189,736Gentex Corp. 69,887 1,858,994Gentherm, Inc. (A) 4,282 157,149Hankook Tire & Technology

Company, Ltd. 10,292 248,063Hanon Systems 25,878 248,071Hyundai Mobis Company, Ltd. 9,490 1,950,615Koito Manufacturing Company, Ltd. 14,576 683,246LCI Industries 3,078 260,861Linamar Corp. 510 15,491Magna International, Inc. 58,867 2,947,329Modine Manufacturing Company (A) 6,386 65,201Motorcar Parts of America, Inc. (A) 2,587 37,589Nexteer Automotive Group, Ltd. 116,680 90,419NGK Spark Plug Company, Ltd. 21,900 377,097Nokian Renkaat OYJ 4,317 118,331Pirelli & C. SpA (B) 36,176 188,276Standard Motor Products, Inc. 2,636 116,801Stanley Electric Company, Ltd. 18,100 449,198Stoneridge, Inc. (A) 3,519 108,068Sumitomo Electric Industries, Ltd. 104,900 1,233,508Sumitomo Rubber Industries, Ltd. 23,300 262,515Tenneco, Inc., Class A 6,590 57,465The Goodyear Tire & Rubber Company 63,618 729,698The Yokohama Rubber Company, Ltd. 16,400 314,697Tower International, Inc. 2,634 81,470Toyoda Gosei Company, Ltd. 8,900 165,264Toyota Industries Corp. 20,429 1,120,523Valeo SA 36,499 998,713




COMMON STOCKS (continued)Auto components (continued)Visteon Corp. (A) 11,340 $ 782,120

35,261,113Automobiles – 1.0%Astra International Tbk PT 1,525,308 716,265BAIC Motor Corp., Ltd., H Shares (B) 222,700 125,182Bayerische Motoren Werke AG 36,325 2,429,428Brilliance China Automotive

Holdings, Ltd. 406,300 429,917BYD Company, Ltd., H Shares (C) 85,194 440,960Daimler AG 100,443 4,725,702Dongfeng Motor Group Company, Ltd.,

H Shares 361,680 335,134Ferrari NV 11,393 1,798,944Fiat Chrysler Automobiles NV 102,022 1,334,221Ford Motor Company 734,160 6,732,247Ford Otomotiv Sanayi AS 12,728 128,507Geely Automobile Holdings, Ltd. 663,000 1,021,329General Motors Company 247,132 9,166,126Great Wall Motor Company, Ltd.,

H Shares 413,750 261,941Guangzhou Automobile Group

Company, Ltd., H Shares 395,346 397,402Harley-Davidson, Inc. 29,802 950,684Honda Motor Company, Ltd. 227,527 5,391,205Hyundai Motor Company 20,704 2,200,723Isuzu Motors, Ltd. 77,200 829,090Kia Motors Corp. 36,755 1,326,707Mazda Motor Corp. 78,380 655,831Mitsubishi Motors Corp. 94,100 392,652NIO, Inc., ADR (A)(C) 88,000 251,680Nissan Motor Company, Ltd. 323,425 1,998,270Peugeot SA 89,397 1,998,662Renault SA 29,310 1,681,121Subaru Corp. 85,700 2,292,945Suzuki Motor Corp. 51,300 1,975,047Thor Industries, Inc. 14,315 657,202Toyota Motor Corp. 317,900 20,817,992Volkswagen AG 3,626 592,980Winnebago Industries, Inc. 3,942 126,223Yamaha Motor Company, Ltd. 39,100 638,401

74,820,720Distributors – 0.1%Core-Mark Holding Company, Inc. 5,792 187,603Funko, Inc., Class A (A) 2,205 52,898Genuine Parts Company 32,263 2,913,026Jardine Cycle & Carriage, Ltd. 4,954 110,042LKQ Corp. (A) 69,357 1,822,008Pool Corp. 10,886 2,137,793Weyco Group, Inc. 831 20,384

7,243,754Diversified consumer services – 0.2%Adtalem Global Education, Inc. (A) 22,632 966,839American Public Education, Inc. (A) 2,171 52,603Benesse Holdings, Inc. 9,900 253,211Career Education Corp. (A) 8,801 180,509Carriage Services, Inc. 2,341 49,793Chegg, Inc. (A) 14,761 585,126China Education Group Holdings, Ltd. 81,000 120,218Collectors Universe, Inc. 1,243 32,219Graham Holdings Company, Class B 1,191 838,535H&R Block, Inc. 27,525 666,656Houghton Mifflin Harcourt Company (A) 13,712 81,586K12, Inc. (A) 4,863 128,140Kroton Educacional SA 193,680 471,455


COMMON STOCKS (continued)Diversified consumer services (continued)Laureate Education, Inc., Class A (A) 12,031 $ 220,167New Oriental Education & Technology

Group, Inc., ADR (A) 19,200 2,177,280OneSpaWorld Holdings, Ltd. (A) 5,870 92,159Regis Corp. (A) 3,671 59,360Select Interior Concepts, Inc., Class A (A) 3,080 38,223Service Corp. International 49,879 2,309,398Sotheby’s (A) 13,103 756,698Strategic Education, Inc. 2,710 458,613TAL Education Group, ADR (A) 47,662 1,698,197Weight Watchers International, Inc. (A) 16,707 501,043

12,738,028Hotels, restaurants and leisure – 1.8%Accor SA 27,733 1,197,350Alsea SAB de CV (A) 77,500 165,507Altus San Nicolas Corp. (A)(D) 4,667 464Aristocrat Leisure, Ltd. 88,821 1,779,219BBX Capital Corp. 9,099 37,761BJ’s Restaurants, Inc. 2,674 97,441Bloomin’ Brands, Inc. 11,714 211,321Boyd Gaming Corp. 32,123 772,237Brinker International, Inc. (C) 15,015 570,570Caesars Entertainment Corp. (A) 160,185 1,843,729Carnival Corp. 54,213 2,389,709Carnival PLC 25,994 1,094,995Carrols Restaurant Group, Inc. (A) 4,816 35,157Century Casinos, Inc. (A) 4,315 33,139Chipotle Mexican Grill, Inc. (A) 3,302 2,768,463Churchill Downs, Inc. 14,136 1,742,403Chuy’s Holdings, Inc. (A) 2,269 57,565Compass Group PLC 250,055 6,341,979Cracker Barrel Old Country Store, Inc. 9,013 1,490,750Crown Resorts, Ltd. 57,252 463,340Darden Restaurants, Inc. 16,650 2,014,317Dave & Buster’s Entertainment, Inc. (C) 4,629 199,278Del Frisco’s Restaurant Group, Inc. (A) 4,762 37,953Del Taco Restaurants, Inc. (A) 3,963 44,306Denny’s Corp. (A) 7,647 180,393Dine Brands Global, Inc. 2,114 149,143Domino’s Pizza Enterprises, Ltd. 9,199 265,291Domino’s Pizza, Inc. 11,250 2,551,950Drive Shack, Inc. (A) 8,617 40,586Dunkin’ Brands Group, Inc. 22,619 1,864,710El Pollo Loco Holdings, Inc. (A) 2,948 30,099Eldorado Resorts, Inc. (A)(C) 26,194 1,008,731Everi Holdings, Inc. (A) 8,708 77,850Fiesta Restaurant Group, Inc. (A) 3,232 27,924Flight Centre Travel Group, Ltd. 8,572 268,827Flutter Entertainment PLC 12,648 1,040,752Galaxy Entertainment Group, Ltd. 345,000 2,159,175Genting BHD 222,100 316,405Genting Malaysia BHD 305,260 227,320Genting Singapore, Ltd. 296,400 189,835Golden Entertainment, Inc. (A) 2,544 36,074GVC Holdings PLC 92,255 707,853Hilton Worldwide Holdings, Inc. 39,408 3,640,117Huazhu Group, Ltd., ADR 17,700 584,631InterContinental Hotels Group PLC 27,056 1,693,436International Speedway Corp., Class A 9,505 427,915Jack in the Box, Inc. 10,330 881,356Jollibee Foods Corp. 51,800 236,515Kangwon Land, Inc. 16,389 382,531Lindblad Expeditions Holdings, Inc. (A) 3,074 57,361Marriott International, Inc., Class A 37,420 4,717,165Marriott Vacations Worldwide Corp. 16,270 1,604,059




COMMON STOCKS (continued)Hotels, restaurants and leisure (continued)McDonald’s Corp. 103,380 $ 22,533,739McDonald’s Holdings Company

Japan, Ltd. 8,900 417,483Melco Resorts & Entertainment, Ltd., ADR 33,100 688,480Merlin Entertainments PLC (B) 112,458 618,768MGM China Holdings, Ltd. (C) 152,200 227,299MGM Resorts International 69,097 1,938,862Minor International PCL 292,700 362,591Minor International PCL, Foreign

Quota Shares 68,130 84,398Monarch Casino & Resort, Inc. (A) 1,552 68,878Nathan’s Famous, Inc. 437 29,104Noodles & Company (A) 4,109 23,709Norwegian Cruise Line Holdings, Ltd. (A) 29,163 1,480,022Oriental Land Company, Ltd. 27,800 4,044,082Papa John’s International, Inc. (C) 9,001 447,890Penn National Gaming, Inc. (A) 43,387 831,729PlayAGS, Inc. (A) 3,505 34,139RCI Hospitality Holdings, Inc. 1,409 25,080Red Lion Hotels Corp. (A) 3,994 20,929Red Robin Gourmet Burgers, Inc. (A) 1,747 58,507Red Rock Resorts, Inc., Class A 8,991 187,462Restaurant Brands International, Inc. 44,192 3,465,590Royal Caribbean Cruises, Ltd. 23,276 2,427,221Ruth’s Hospitality Group, Inc. 3,735 72,646Sands China, Ltd. 387,252 1,753,181Scientific Games Corp. (A)(C) 22,472 415,283SeaWorld Entertainment, Inc. (A) 6,408 185,896Shake Shack, Inc., Class A (A) 3,594 356,381Shangri-La Asia, Ltd. 198,500 207,237Six Flags Entertainment Corp. 19,602 1,159,850SJM Holdings, Ltd. 316,384 298,197Sodexo SA 13,311 1,508,820Speedway Motorsports, Inc. 1,586 31,324Starbucks Corp. 163,988 15,834,681Tabcorp Holdings, Ltd. 311,247 987,783Target Hospitality Corp. (A) 4,372 26,669Texas Roadhouse, Inc. 26,951 1,386,898The Cheesecake Factory, Inc. 16,727 635,459The Habit Restaurants, Inc., Class A (A) 3,022 26,473The Stars Group, Inc. (A)(C) 41,134 625,012The Wendy’s Company 49,881 1,097,382TUI AG 69,859 697,178Twin River Worldwide Holdings, Inc. (C) 2,657 60,181Whitbread PLC 20,983 1,118,884Wingstop, Inc. 3,736 374,235Wyndham Destinations, Inc. 25,619 1,135,946Wyndham Hotels & Resorts, Inc. 26,629 1,368,198Wynn Macau, Ltd. 249,750 497,714Wynn Resorts, Ltd. 13,119 1,445,058Yum China Holdings, Inc. 48,308 2,194,632Yum! Brands, Inc. 41,427 4,837,845

131,111,962Household durables – 0.7%Arcelik AS (A) 37,363 109,789Barratt Developments PLC 160,235 1,236,957Bassett Furniture Industries, Inc. 1,646 20,048Beazer Homes USA, Inc. (A) 4,018 50,346Casio Computer Company, Ltd. (C) 27,100 378,356Cavco Industries, Inc. (A) 1,108 203,285Century Communities, Inc. (A) 3,304 93,107D.R. Horton, Inc. 52,000 2,572,440Electrolux AB, B Shares 37,837 846,763Ethan Allen Interiors, Inc. 3,166 54,455Garmin, Ltd. 18,567 1,514,510


COMMON STOCKS (continued)Household durables (continued)GoPro, Inc., Class A (A)(C) 15,559 $ 60,213Green Brick Partners, Inc. (A) 3,521 32,358Haier Electronics Group Company, Ltd. 169,200 440,553Hamilton Beach Brands Holding Company,

Class B 765 10,840Helen of Troy, Ltd. (A) 10,034 1,540,319Hooker Furniture Corp. 1,814 32,398Husqvarna AB, B Shares 69,706 541,012Iida Group Holdings Company, Ltd. 20,500 318,755Installed Building Products, Inc. (A) 2,910 165,608iRobot Corp. (A) 3,495 216,026KB Home 33,799 949,414La-Z-Boy, Inc. 5,715 182,137Leggett & Platt, Inc. 20,101 747,556Lennar Corp., A Shares 43,706 2,229,006LG Electronics, Inc. 14,909 755,183LGI Homes, Inc. (A)(C) 2,518 205,242M/I Homes, Inc. (A) 3,298 119,190MDC Holdings, Inc. 6,174 238,749Meritage Homes Corp. (A) 4,535 296,317Mohawk Industries, Inc. (A) 9,426 1,120,657Newell Brands, Inc. 59,604 989,426Nien Made Enterprise Company, Ltd. 24,300 212,556Nikon Corp. 44,800 553,866NVR, Inc. (A) 924 3,325,476Panasonic Corp. 308,620 2,377,275Persimmon PLC 50,277 1,167,412PulteGroup, Inc. 39,041 1,319,586Rinnai Corp. 4,600 288,408SEB SA 3,421 531,994Sekisui Chemical Company, Ltd. 51,700 743,778Sekisui House, Ltd. 86,600 1,535,913Sharp Corp. (C) 30,040 308,991Skyline Champion Corp. (A) 6,476 181,328Sonos, Inc. (A) 9,133 132,611Sony Corp. 177,000 10,082,346Tatung Company, Ltd. (A) 284,000 152,218Taylor Morrison Home Corp. (A) 13,529 322,802Taylor Wimpey PLC 519,192 924,047Tempur Sealy International, Inc. (A) 12,584 970,478The Berkeley Group Holdings PLC 19,275 920,573The Lovesac Company (A) 855 14,706Toll Brothers, Inc. 36,167 1,308,884TopBuild Corp. (A) 4,302 398,451TRI Pointe Group, Inc. (A) 56,793 795,102Tupperware Brands Corp. 19,659 255,764Universal Electronics, Inc. (A) 1,822 82,263Whirlpool Corp. 9,699 1,349,034William Lyon Homes, Class A (A) 4,058 71,705Woongjin Coway Company, Ltd. 7,214 500,146ZAGG, Inc. (A) 3,890 24,935

49,123,663Internet and direct marketing retail – 2.5%1-800-Flowers.com, Inc., Class A (A) 3,215 47,325Alibaba Group Holding, Ltd., ADR (A) 190,756 33,388,023Amazon.com, Inc. (A) 58,047 103,108,306B2W Cia Digital (A) 23,700 268,993Baozun, Inc., ADR (A)(C) 5,300 242,528Booking Holdings, Inc. (A) 6,076 11,947,907CJ ENM Company, Ltd. 1,493 198,682Ctrip.com International, Ltd., ADR (A) 54,800 1,774,424Delivery Hero SE (A)(B) 12,311 623,953Duluth Holdings, Inc., Class B (A) 1,512 13,895eBay, Inc. 114,987 4,632,826Expedia Group, Inc. 21,939 2,854,264




COMMON STOCKS (continued)Internet and direct marketing retail (continued)Groupon, Inc. (A) 57,904 $ 143,602GrubHub, Inc. (A) 26,466 1,570,492HengTen Networks Group, Ltd. (A)(C) 3,009,300 47,955JD.com, Inc., ADR (A) 98,600 3,007,300Liquidity Services, Inc. (A) 3,995 30,242Meituan Dianping, Class B (A) 134,000 1,268,054Mercari, Inc. (A) 10,300 240,454Naspers, Ltd., N Shares 62,439 14,208,972Ocado Group PLC (A) 71,703 1,131,627Overstock.com, Inc. (A)(C) 3,662 57,603PetMed Express, Inc. (C) 2,695 42,581Pinduoduo, Inc., ADR (A) 25,600 838,912Quotient Technology, Inc. (A) 10,181 74,729Rakuten, Inc. 119,742 1,126,689Shutterfly, Inc. (A) 4,393 223,516Shutterstock, Inc. (A) 2,466 86,581Stamps.com, Inc. (A) 2,171 139,726Stitch Fix, Inc., Class A (A)(C) 5,361 102,181The Rubicon Project, Inc. (A) 6,467 66,157Vipshop Holdings, Ltd., ADR (A) 58,700 491,319Waitr Holdings, Inc. (A) 6,983 12,081Zalando SE (A)(B) 13,816 685,444ZOZO, Inc. 28,200 561,690

185,259,033Leisure products – 0.1%Acushnet Holdings Corp. 4,485 116,475American Outdoor Brands Corp. (A) 7,052 42,383Bandai Namco Holdings, Inc. 27,800 1,633,461Brunswick Corp. 23,831 1,110,525Callaway Golf Company 11,897 211,291Clarus Corp. 3,329 36,652Giant Manufacturing Company, Ltd. 45,661 317,931Hasbro, Inc. 17,729 1,958,523HLB, Inc. (A) 4,665 163,217Johnson Outdoors, Inc., Class A 662 37,072Malibu Boats, Inc., Class A (A) 2,699 75,086MasterCraft Boat Holdings, Inc. (A) 2,523 38,223Mattel, Inc. (A)(C) 94,539 926,482Polaris, Inc. 15,711 1,288,616Sankyo Company, Ltd. 5,884 203,555Sega Sammy Holdings, Inc. 23,800 326,146Shimano, Inc. 10,300 1,479,398Sturm Ruger & Company, Inc. 2,126 87,187Vista Outdoor, Inc. (A) 7,738 43,255Yamaha Corp. 20,000 861,194YETI Holdings, Inc. (A)(C) 3,962 111,927

11,068,599Multiline retail – 0.3%Big Lots, Inc. 5,083 115,638Canadian Tire Corp., Ltd., Class A 11,227 1,134,000Dillard’s, Inc., Class A 6,231 364,638Dollar General Corp. 9,597 1,497,996Dollar Tree, Inc. (A) 8,826 896,104Dollarama, Inc. 55,127 2,109,599El Puerto de Liverpool SAB de CV,

Series C1 27,075 140,444Harvey Norman Holdings, Ltd. 81,856 241,368Hyundai Department Store Company, Ltd. 1,964 126,667Isetan Mitsukoshi Holdings, Ltd. 45,940 347,721J Front Retailing Company, Ltd. (C) 31,600 357,295J.C. Penney Company, Inc. (A)(C) 43,126 32,090Kohl’s Corp. 6,020 284,505Lojas Renner SA 103,125 1,258,867Lotte Shopping Company, Ltd. 1,573 177,027Macy’s, Inc. 11,475 169,371


COMMON STOCKS (continued)Multiline retail (continued)Magazine Luiza SA 79,600 $ 697,581Marks & Spencer Group PLC 306,161 718,799Marui Group Company, Ltd. 26,000 517,136Next PLC 21,652 1,567,365Nordstrom, Inc. (C) 3,907 113,186Ollie’s Bargain Outlet Holdings, Inc. (A) 14,248 790,052Pan Pacific International Holdings Corp. 61,200 957,411Robinson PCL 4,300 9,019Robinson PCL, Foreign Quota Shares 62,700 131,506Ryohin Keikaku Company, Ltd. (C) 33,000 568,180SACI Falabella 43,450 243,864Shinsegae, Inc. 1,039 198,644Target Corp. 19,034 2,037,399Wesfarmers, Ltd. 174,934 4,607,146Woolworths Holdings, Ltd. 139,382 507,109

22,917,727Specialty retail – 1.7%Aaron’s, Inc. 27,081 1,736,163ABC-Mart, Inc. (C) 4,367 278,929Abercrombie & Fitch Company, Class A 8,544 124,913Advance Auto Parts, Inc. 10,792 1,488,756American Eagle Outfitters, Inc. 65,346 1,099,120America’s Car-Mart, Inc. (A) 799 68,538Asbury Automotive Group, Inc. (A) 2,429 229,055At Home Group, Inc. (A) 6,230 41,990AutoNation, Inc. (A) 15,653 742,891AutoZone, Inc. (A) 3,690 4,065,236Bed Bath & Beyond, Inc. (C) 52,202 504,793Best Buy Company, Inc. 34,951 2,224,631Boot Barn Holdings, Inc. (A) 3,595 123,129Caleres, Inc. 5,309 106,976Camping World Holdings, Inc.,

Class A (C) 4,397 33,417CarMax, Inc. (A) 25,002 2,082,167Chico’s FAS, Inc. 15,387 48,007Citi Trends, Inc. 1,742 29,283Conn’s, Inc. (A)(C) 2,605 52,517Designer Brands, Inc., Class A 8,318 137,164Dick’s Sporting Goods, Inc. 18,479 629,025Dufry AG (A) 6,512 529,477Express, Inc. (A) 9,204 19,512Fast Retailing Company, Ltd. 8,100 4,738,588Five Below, Inc. (A) 15,316 1,881,877Foot Locker, Inc. 31,323 1,133,579GameStop Corp., Class A (C) 13,198 52,396Genesco, Inc. (A) 2,265 80,815GOME Retail Holdings, Ltd. (A)(C) 1,251,541 113,133Group 1 Automotive, Inc. 2,240 167,373Guess?, Inc. 7,336 132,562Haverty Furniture Companies, Inc. 2,499 47,856Hennes & Mauritz AB, B Shares 134,518 2,577,825Hibbett Sports, Inc. (A) 2,417 39,977Hikari Tsushin, Inc. 2,900 679,016Home Product Center PCL 10,100 5,934Home Product Center PCL, Foreign

Quota Shares 752,073 441,897Hotai Motor Company, Ltd. 46,000 647,968Hotel Shilla Company, Ltd. 4,400 286,823Hudson, Ltd., Class A (A) 5,130 55,661Industria de Diseno Textil SA 181,079 5,603,281Kingfisher PLC 333,194 788,893L Brands, Inc. 34,506 569,694Lithia Motors, Inc., Class A 2,803 367,389Lowe’s Companies, Inc. 117,781 13,215,028Lumber Liquidators Holdings, Inc. (A)(C) 3,887 36,577




COMMON STOCKS (continued)Specialty retail (continued)MarineMax, Inc. (A) 2,942 $ 42,541Monro, Inc. 4,143 321,994Mr. Price Group, Ltd. 36,178 409,153Murphy USA, Inc. (A) 12,027 1,075,214National Vision Holdings, Inc. (A) 8,799 249,540Nitori Holdings Company, Ltd. 11,100 1,600,336Office Depot, Inc. 69,641 90,533O’Reilly Automotive, Inc. (A) 11,776 4,519,158Party City Holdco, Inc. (A)(C) 6,958 32,703Petrobras Distribuidora SA 90,900 632,195Rent-A-Center, Inc. (A) 6,157 157,188RH (A) 2,326 333,200Ross Stores, Inc. 55,277 5,859,915Sally Beauty Holdings, Inc. (A) 48,267 590,305Shimamura Company, Ltd. 3,000 234,211Shoe Carnival, Inc. (C) 1,353 41,591Signet Jewelers, Ltd. 20,955 256,489Sleep Number Corp. (A) 3,810 159,410Sonic Automotive, Inc., Class A 3,154 84,874Sportsman’s Warehouse Holdings, Inc. (A) 5,997 25,307Tailored Brands, Inc. (C) 6,800 36,856The Buckle, Inc. 3,787 74,225The Cato Corp., Class A 3,055 52,332The Children’s Place, Inc. (C) 1,957 170,748The Foschini Group, Ltd. 33,012 327,436The Gap, Inc. 31,842 502,785The Home Depot, Inc. 165,526 37,725,031The Michaels Companies, Inc. (A) 35,840 203,213The TJX Companies, Inc. 182,432 10,028,287Tiffany & Company 16,255 1,379,562Tile Shop Holdings, Inc. 5,737 15,433Tilly’s, Inc., Class A 3,048 32,644Tractor Supply Company 18,149 1,849,020Truworths International, Ltd. 61,578 214,222Ulta Beauty, Inc. (A) 8,355 1,986,234Urban Outfitters, Inc. (A) 18,763 439,242USS Company, Ltd. 29,900 564,870Williams-Sonoma, Inc. 21,569 1,419,240Winmark Corp. 301 48,913Yamada Denki Company, Ltd. 83,700 393,723Zhongsheng Group Holdings, Ltd. 75,600 235,646Zumiez, Inc. (A) 2,624 68,172

124,543,522Textiles, apparel and luxury goods – 1.2%adidas AG 19,915 5,901,048ANTA Sports Products, Ltd. 144,000 1,194,485Burberry Group PLC 64,953 1,719,059Capri Holdings, Ltd. (A) 23,112 609,695Carter’s, Inc. 12,372 1,131,791CCC SA 4,875 150,937Cie Financiere Richemont SA 79,627 6,187,144Crocs, Inc. (A) 8,212 183,128Culp, Inc. 1,659 23,292Deckers Outdoor Corp. (A) 11,677 1,721,774Delta Apparel, Inc. (A) 911 20,443Eclat Textile Company, Ltd. 28,957 353,361EssilorLuxottica SA 42,725 6,308,288Feng TAY Enterprise Company, Ltd. 49,997 325,562Fila Korea, Ltd. 6,810 321,877Formosa Taffeta Company, Ltd. 122,000 132,203Fossil Group, Inc. (A)(C) 6,118 78,310G-III Apparel Group, Ltd. (A) 5,797 118,896Gildan Activewear, Inc. 38,780 1,421,700Hanesbrands, Inc. 55,350 756,081Hermes International 4,794 3,273,775


COMMON STOCKS (continued)Textiles, apparel and luxury goods (continued)HUGO BOSS AG 6,944 $ 387,737Kering SA 11,504 5,574,247Kontoor Brands, Inc. (A) 5,595 191,573Li Ning Company, Ltd. 265,500 783,034LPP SA 218 406,680LVMH Moet Hennessy Louis Vuitton SE 42,163 16,814,010Moncler SpA 16,636 625,929Movado Group, Inc. 2,083 44,826NIKE, Inc., Class B 192,434 16,260,673Oxford Industries, Inc. 2,105 146,887Pandora A/S 16,064 683,417Pou Chen Corp. 334,971 417,799Puma SE 9,129 694,381PVH Corp. 11,471 869,502Ralph Lauren Corp. 7,992 706,013Rocky Brands, Inc. 997 29,053Ruentex Industries, Ltd. (A) 53,079 117,711Shenzhou International Group

Holdings, Ltd. 100,800 1,367,585Skechers U.S.A., Inc., Class A (A) 36,779 1,164,423Steven Madden, Ltd. 10,806 358,975Superior Group of Companies, Inc. 1,250 17,725Tapestry, Inc. 44,427 917,418The Swatch Group AG 8,932 456,851The Swatch Group AG, Bearer Shares 4,408 1,197,804Under Armour, Inc., Class A (A) 28,789 535,763Under Armour, Inc., Class C (A) 29,747 503,319Unifi, Inc. (A) 1,986 38,211Vera Bradley, Inc. (A) 2,854 30,224VF Corp. 49,868 4,086,683Wolverine World Wide, Inc. 11,100 288,045Yue Yuen Industrial Holdings, Ltd. 115,000 293,959

87,943,306742,031,427

Consumer staples – 8.3%Beverages – 2.0%Ambev SA 618,505 2,796,043Anadolu Efes Biracilik Ve Malt Sanayii AS 38,007 167,055Anheuser-Busch InBev SA 210,721 19,917,208Arca Continental SAB de CV 63,042 329,750Asahi Group Holdings, Ltd. 50,561 2,357,184Brown-Forman Corp., Class B 22,866 1,348,865Carlsberg A/S, Class B 16,395 2,421,667China Resources Beer Holdings

Company, Ltd. 195,699 1,107,748Cia Cervecerias Unidas SA 8,359 94,873Coca-Cola Amatil, Ltd. 77,581 567,581Coca-Cola Bottlers Japan Holdings, Inc. 17,100 371,403Coca-Cola Consolidated, Inc. 599 201,629Coca-Cola European Partners PLC 595 33,441Coca-Cola European Partners PLC (New

York Stock Exchange) 63,341 3,568,632Coca-Cola Femsa SAB de CV 75,458 447,594Coca-Cola HBC AG (A) 31,600 1,051,397Constellation Brands, Inc., Class A 22,985 4,696,985Craft Brew Alliance, Inc. (A) 1,775 17,839Davide Campari-Milano SpA 53,022 498,145Diageo PLC 381,699 16,341,952Fomento Economico Mexicano SAB

de CV 279,686 2,558,154Fraser & Neave Holdings BHD 14,600 122,468Heineken Holding NV 31,066 3,074,496Heineken NV 69,888 7,435,926Kirin Holdings Company, Ltd. 114,527 2,260,266MGP Ingredients, Inc. (C) 1,667 80,299




COMMON STOCKS (continued)Beverages (continued)Molson Coors Brewing Company, Class B 25,813 $ 1,325,756Monster Beverage Corp. (A) 53,799 3,156,387National Beverage Corp. (C) 1,542 63,068New Age Beverages Corp. (A)(C) 9,481 28,822PepsiCo, Inc. 192,696 26,347,324Pernod Ricard SA 32,150 6,137,753Primo Water Corp. (A)(C) 4,706 57,554Remy Cointreau SA 3,369 508,872Suntory Beverage & Food, Ltd. 19,300 831,645The Boston Beer Company, Inc.,

Class A (A) 3,446 1,510,795The Coca-Cola Company 527,784 29,049,231Treasury Wine Estates, Ltd. 111,081 1,399,888Tsingtao Brewery Company, Ltd.,

H Shares 51,700 348,418144,634,113

Food and staples retailing – 1.5%Aeon Company, Ltd. (C) 90,800 1,609,404Alimentation Couche-Tard, Inc., Class B 80,394 5,060,100Atacadao SA 51,500 277,336Berli Jucker PCL 4,200 7,432Berli Jucker PCL, Foreign Quota Shares 156,500 276,933BGF retail Company, Ltd. 1,075 180,857Bid Corp., Ltd. 47,420 1,014,547BIM Birlesik Magazalar AS 78,040 629,650BJ’s Wholesale Club Holdings, Inc. (A) 14,425 378,801Carrefour SA 89,351 1,522,773Casey’s General Stores, Inc. 10,025 1,682,696Casino Guichard Perrachon SA (C) 8,291 349,156Cencosud SA 84,889 127,051Clicks Group, Ltd. 36,713 481,848Coles Group, Ltd. 174,255 1,624,206Colruyt SA 15,732 805,553Costco Wholesale Corp. 61,039 17,991,856CP ALL PCL, Foreign Quota Shares 752,500 2,063,095Dairy Farm International Holdings, Ltd. 52,800 377,650Dino Polska SA (A)(B) 8,234 318,109E-MART, Inc. 2,919 279,982Empire Company, Ltd., Class A 32,616 899,794FamilyMart UNY Holdings

Company, Ltd. (C) 35,200 810,430George Weston, Ltd. 14,791 1,201,699GS Retail Company, Ltd. 3,676 117,629HF Foods Group, Inc. (A) 1,081 20,950ICA Gruppen AB 15,003 736,223Ingles Markets, Inc., Class A 1,952 75,894J Sainsbury PLC 278,213 665,710Jeronimo Martins SGPS SA 39,430 650,680Koninklijke Ahold Delhaize NV 318,534 7,461,783Lawson, Inc. (C) 6,700 332,530Loblaw Companies, Ltd. 34,823 1,905,928METRO AG (C) 19,453 301,199Metro, Inc. 48,088 2,040,327Performance Food Group Company (A) 13,055 610,843Pick n Pay Stores, Ltd. 49,911 190,176President Chain Store Corp. 86,274 802,125PriceSmart, Inc. 2,924 176,697Raia Drogasil SA 30,186 670,930Rite Aid Corp. (A)(C) 7,138 46,111Seven & i Holdings Company, Ltd. 104,846 3,708,023Shoprite Holdings, Ltd. 66,873 498,532SpartanNash Company 4,778 51,459Sprouts Farmers Market, Inc. (A) 32,280 579,426Sun Art Retail Group, Ltd. 316,300 307,221Sundrug Company, Ltd. 9,800 304,637


COMMON STOCKS (continued)Food and staples retailing (continued)Sysco Corp. 65,629 $ 4,878,204Tesco PLC 1,545,720 4,131,559The Andersons, Inc. 4,063 93,124The Chefs’ Warehouse, Inc. (A) 3,104 119,752The Kroger Company 111,961 2,651,236The SPAR Group, Ltd. 26,559 304,318Tsuruha Holdings, Inc. 5,100 556,021United Natural Foods, Inc. (A) 6,696 53,836Village Super Market, Inc., Class A 1,252 31,262Walgreens Boots Alliance, Inc. 107,863 5,521,507Wal-Mart de Mexico SAB de CV 751,700 2,132,658Walmart, Inc. 194,144 22,182,893Weis Markets, Inc. 1,278 48,858Welcia Holdings Company, Ltd. (C) 6,500 339,272Wm Morrison Supermarkets PLC 368,323 821,551Woolworths Group, Ltd. 194,128 4,938,389

111,030,431Food products – 2.0%a2 Milk Company, Ltd. (A) 65,265 593,224Ajinomoto Company, Inc. 60,900 1,109,698Alico, Inc. 692 20,656Archer-Daniels-Midland Company 77,001 2,929,888Associated British Foods PLC 56,174 1,554,131B&G Foods, Inc. (C) 8,234 139,402Barry Callebaut AG 329 674,531BRF SA (A) 74,310 684,420Calavo Growers, Inc. 2,076 184,037Calbee, Inc. 11,000 335,239Cal-Maine Foods, Inc. 4,036 163,619Campbell Soup Company 26,494 1,192,230Charoen Pokphand Foods PCL 24,800 23,879Charoen Pokphand Foods PCL, Foreign

Quota Shares 492,000 473,735Charoen Pokphand Indonesia Tbk PT 563,103 199,128China Agri-Industries Holdings, Ltd. 324,400 91,278China Huishan Dairy Holdings

Company, Ltd. (A)(D) 280,500 4,114China Mengniu Dairy Company, Ltd. (A) 368,353 1,457,184Chocoladefabriken Lindt & Spruengli AG 15 1,234,199Chocoladefabriken Lindt & Spruengli AG,

Participation Certificates 164 1,215,509CJ CheilJedang Corp. 1,158 218,863Conagra Brands, Inc. 66,795 1,894,306Dali Foods Group Company, Ltd. (B) 268,300 178,408Danone SA 93,468 8,373,731Darling Ingredients, Inc. (A) 20,889 388,535Farmer Brothers Company (A) 1,634 19,837Flowers Foods, Inc. 50,353 1,148,048Fresh Del Monte Produce, Inc. 3,967 103,301Freshpet, Inc. (A) 3,988 195,731General Mills, Inc. 82,310 4,428,278Genting Plantations BHD 20,800 49,466Golden Agri-Resources, Ltd. 318,140 60,648Gruma SAB de CV, Class B 30,188 281,116Grupo Bimbo SAB de CV, Series A 235,100 410,456Hormel Foods Corp. 37,426 1,594,722Hostess Brands, Inc. (A) 12,680 177,774Indofood CBP Sukses Makmur Tbk PT 170,600 144,641Indofood Sukses Makmur Tbk PT 329,917 183,981Ingredion, Inc. 18,251 1,410,255IOI Corp. BHD 186,600 195,387J&J Snack Foods Corp. 1,911 368,938JBS SA 143,281 1,025,561John B. Sanfilippo & Son, Inc. 1,116 103,342Kellogg Company 34,168 2,145,750




COMMON STOCKS (continued)Food products (continued)Kerry Group PLC (London Stock

Exchange), Class A 2,564 $ 305,424Kerry Group PLC, Class A 22,944 2,730,834Kikkoman Corp. 20,200 907,930Kuala Lumpur Kepong BHD 41,600 237,097Lamb Weston Holdings, Inc. 20,107 1,415,332Lancaster Colony Corp. 7,737 1,128,828Landec Corp. (A) 3,611 39,685Limoneira Company 2,202 39,988M Dias Branco SA 12,902 112,787McCormick & Company, Inc. 16,833 2,741,591MEIJI Holdings Company, Ltd. 15,900 1,103,831Mondelez International, Inc., Class A 198,005 10,933,836Mowi ASA (C) 71,926 1,720,520Nestle Malaysia BHD 7,000 245,371Nestle SA 467,044 52,483,786NH Foods, Ltd. 11,800 452,906Nisshin Seifun Group, Inc. 27,400 515,008Nissin Foods Holdings Company, Ltd. 8,717 604,163Orion Corp. 3,308 246,443Orkla ASA 124,752 1,142,969Ottogi Corp. 170 80,241Post Holdings, Inc. (A) 18,259 1,820,240PPB Group BHD 57,020 252,747QL Resources BHD 62,700 103,335Sanderson Farms, Inc. 7,858 1,175,714Saputo, Inc. 43,976 1,321,856Seneca Foods Corp., Class A (A) 1,017 27,947Sime Darby Plantation BHD 207,300 244,966Standard Foods Corp. 58,402 115,572Thai Union Group PCL 6,200 3,520Thai Union Group PCL, Foreign

Quota Shares 417,900 237,259The Hain Celestial Group, Inc. (A) 24,514 466,992The Hershey Company 19,148 3,034,575The J.M. Smucker Company 15,636 1,644,282The Kraft Heinz Company 85,525 2,182,598The Simply Good Foods Company (A) 9,057 268,359Tiger Brands, Ltd. 22,631 312,084Tingyi Cayman Islands Holding Corp. 263,100 361,757Tootsie Roll Industries, Inc. (C) 7,172 263,069Toyo Suisan Kaisha, Ltd. 12,200 496,379TreeHouse Foods, Inc. (A) 15,366 778,288Tyson Foods, Inc., Class A 40,524 3,770,353Uni-President China Holdings, Ltd. 170,900 189,490Uni-President Enterprises Corp. 729,805 1,779,664Universal Robina Corp. 106,290 353,075Vitasoy International Holdings, Ltd. 118,000 548,413Want Want China Holdings, Ltd. 663,912 516,034WH Group, Ltd. (B) 1,522,270 1,219,891Wilmar International, Ltd. 95,600 262,046Yakult Honsha Company, Ltd. 16,600 955,355Yamazaki Baking Company, Ltd. 16,700 290,001Yihai International Holding, Ltd. (A) 63,500 379,723

143,945,330Household products – 1.2%Central Garden & Pet Company (A) 1,573 41,559Central Garden & Pet Company,

Class A (A) 5,164 124,246Church & Dwight Company, Inc. 37,338 2,978,826Colgate-Palmolive Company 130,190 9,653,589Energizer Holdings, Inc. (C) 17,401 669,939Essity AB, B Shares 101,361 3,166,344Henkel AG & Company KGaA 11,412 1,056,373Kimberly-Clark Corp. 52,135 7,356,770


COMMON STOCKS (continued)Household products (continued)Kimberly-Clark de Mexico SAB de CV,

Class A (A) 216,735 $ 444,468Lion Corp. 30,900 599,915Oil-Dri Corp. of America 738 22,701Pigeon Corp. 16,000 580,051Reckitt Benckiser Group PLC 111,642 8,724,919The Clorox Company 19,315 3,054,860The Procter & Gamble Company 380,378 45,732,847Unicharm Corp. 55,988 1,718,729Unilever Indonesia Tbk PT 113,445 390,343WD-40 Company 1,747 318,478

86,634,957Personal products – 0.9%Amorepacific Corp. 4,479 481,746AMOREPACIFIC Group 4,068 198,410Beiersdorf AG 10,992 1,385,537Coty, Inc., Class A 45,580 435,289Edgewell Personal Care Company (A) 21,716 604,573elf Beauty, Inc. (A) 3,496 57,055Hengan International Group Company, Ltd. 94,600 622,552Inter Parfums, Inc. 2,265 145,617Kao Corp. 68,000 4,906,798Kobayashi Pharmaceutical Company, Ltd. 6,800 508,844Kose Corp. 4,600 791,060LG Household & Health Care, Ltd. 1,307 1,275,119Lifevantage Corp. (A) 2,090 25,414L’Oreal SA 38,232 10,439,476Medifast, Inc. 1,444 144,342Natura Cosmeticos SA 25,240 402,158Nu Skin Enterprises, Inc., Class A 15,185 616,815Pola Orbis Holdings, Inc. 12,700 301,408Shiseido Company, Ltd. 55,700 4,551,765The Estee Lauder Companies, Inc.,

Class A 33,252 6,583,563Unilever NV 392,235 24,337,486Unilever PLC 175,080 11,061,237USANA Health Sciences, Inc. (A) 1,742 118,404

69,994,668Tobacco – 0.7%22nd Century Group, Inc. (A)(C) 16,171 31,695Altria Group, Inc. 257,179 11,249,009British American Tobacco Malaysia BHD 14,798 69,339British American Tobacco PLC 362,343 12,710,381Gudang Garam Tbk PT 36,382 178,030Hanjaya Mandala Sampoerna Tbk PT 706,600 133,756Imperial Brands PLC 151,207 3,918,231Japan Tobacco, Inc. 167,300 3,531,668KT&G Corp. 16,258 1,369,087Philip Morris International, Inc. 213,863 15,417,384Swedish Match AB 29,449 1,155,449Turning Point Brands, Inc. 1,100 39,435Universal Corp. 3,151 157,739Vector Group, Ltd. (C) 13,964 163,100

50,124,303606,363,802

Energy – 4.9%Energy equipment and services – 0.3%Apergy Corp. (A) 21,181 550,282Archrock, Inc. 16,605 161,235Baker Hughes, a GE Company 81,114 1,759,363C&J Energy Services, Inc. (A) 8,581 82,034Cactus, Inc., Class A (A) 5,987 152,489China Oilfield Services, Ltd., H Shares 211,700 261,295Core Laboratories NV (C) 12,138 480,543




COMMON STOCKS (continued)Energy equipment and services (continued)Dialog Group BHD 363,612 $ 300,508Diamond Offshore Drilling, Inc. (A)(C) 8,480 55,035DMC Global, Inc. 1,845 80,128Dril-Quip, Inc. (A) 4,609 211,323Era Group, Inc. (A) 2,965 28,108Exterran Corp. (A) 4,153 43,814Forum Energy Technologies, Inc. (A) 11,167 15,745Frank’s International NV (A) 14,025 61,009FTS International, Inc. (A) 4,696 11,787Geospace Technologies Corp. (A) 1,877 22,974Halliburton Company 137,678 2,593,854Helix Energy Solutions Group, Inc. (A) 18,288 132,405Helmerich & Payne, Inc. 17,409 654,404John Wood Group PLC 107,550 495,449Keane Group, Inc. (A) 7,139 37,837KLX Energy Services Holdings, Inc. (A) 2,772 27,803Liberty Oilfield Services, Inc., Class A (C) 5,837 62,864Matrix Service Company (A) 3,509 69,724McDermott International, Inc. (A)(C) 73,069 344,886Nabors Industries, Ltd. 45,561 76,542National Energy Services Reunited

Corp. (A) 3,154 24,160National Oilwell Varco, Inc. 60,793 1,242,001Natural Gas Services Group, Inc. (A) 1,903 20,514Newpark Resources, Inc. (A) 11,519 76,141Nine Energy Service, Inc. (A) 2,134 11,694Noble Corp. PLC (A) 32,937 52,699Oceaneering International, Inc. (A) 39,757 515,251Oil States International, Inc. (A) 7,734 106,652Pacific Drilling SA (A) 4,012 24,393Parker Drilling Company (A) 1,348 23,051Patterson-UTI Energy, Inc. 57,071 493,664ProPetro Holding Corp. (A) 10,153 108,129RigNet, Inc. (A) 2,223 17,428RPC, Inc. (C) 7,624 40,483Schlumberger, Ltd. 218,198 7,076,161SEACOR Holdings, Inc. (A) 2,245 105,448SEACOR Marine Holdings, Inc. (A) 2,200 28,666Seadrill, Ltd. (A)(C) 8,054 18,927Select Energy Services, Inc., Class A (A) 7,632 62,277Solaris Oilfield Infrastructure, Inc., Class A 3,984 54,780Superior Energy Services, Inc. (A) 22,119 7,405TechnipFMC PLC 66,348 1,648,084Tenaris SA 43,456 472,567TETRA Technologies, Inc. (A) 17,770 29,498Tidewater, Inc. (A) 4,947 77,965Transocean, Ltd. (A) 138,955 632,245U.S. Silica Holdings, Inc. (C) 9,550 97,124Valaris PLC (C) 53,884 251,099WorleyParsons, Ltd. 49,873 411,662

22,503,608Oil, gas and consumable fuels – 4.6%Abraxas Petroleum Corp. (A) 24,008 12,530Adaro Energy Tbk PT 1,089,345 86,140Aker BP ASA 17,638 465,930Altus Midstream Company, Class A (A) 7,125 16,459Apache Corp. 59,219 1,277,354Arch Coal, Inc., Class A (C) 2,134 163,379Ardmore Shipping Corp. (A) 4,880 30,451Banpu PCL 4,600 1,904Banpu PCL, Foreign Quota Shares 562,500 232,887Berry Petroleum Corp. 8,329 66,549Bonanza Creek Energy, Inc. (A) 2,535 57,190BP PLC 3,197,481 19,473,470Brigham Minerals, Inc., Class A 2,183 43,638


COMMON STOCKS (continued)Oil, gas and consumable fuels (continued)Bukit Asam Tbk PT 217,400 $ 37,776Cabot Oil & Gas Corp. 66,681 1,141,579California Resources Corp. (A)(C) 6,272 61,403Callon Petroleum Company (A) 91,904 377,725Caltex Australia, Ltd. 38,178 615,501Cameco Corp. 73,989 649,085Canadian Natural Resources, Ltd. 220,364 5,264,968Carrizo Oil & Gas, Inc. (A) 11,551 95,758Cenovus Energy, Inc. 192,449 1,679,629Chaparral Energy, Inc., Class A (A) 4,508 5,996Chesapeake Energy Corp. (A)(C) 286,161 412,072Chevron Corp. 300,081 35,325,535China Coal Energy Company, Ltd.,

H Shares 244,900 97,027China Petroleum & Chemical Corp.,

H Shares 3,420,139 1,995,087China Shenhua Energy Company, Ltd.,

H Shares 452,900 888,744Cimarex Energy Company 15,978 683,539Clean Energy Fuels Corp. (A) 17,991 35,802CNOOC, Ltd. 2,390,116 3,540,756CNX Resources Corp. (A) 78,349 624,442Concho Resources, Inc. 31,599 2,311,467ConocoPhillips 178,036 9,289,918CONSOL Energy, Inc. (A) 3,546 59,431Contura Energy, Inc. (A) 2,428 69,926Cosan SA 20,894 252,232CVR Energy, Inc. 3,769 149,931Delek US Holdings, Inc. 9,768 319,902Denbury Resources, Inc. (A)(C) 60,298 65,122Devon Energy Corp. 65,407 1,438,300DHT Holdings, Inc. 11,364 63,866Diamond S Shipping, Inc. (A) 2,953 32,188Diamondback Energy, Inc. 24,384 2,391,583Dorian LPG, Ltd. (A) 3,819 39,679Ecopetrol SA 522,256 415,663Empresas COPEC SA 22,615 203,742Enbridge, Inc. 369,698 12,364,918Encana Corp. (C) 277,889 1,231,444Energy Fuels, Inc. (A)(C) 12,869 23,550Eni SpA 236,492 3,569,485EOG Resources, Inc. 91,418 6,782,301EQT Corp. 69,939 711,280Equinor ASA 164,701 2,808,661Equitrans Midstream Corp. 55,838 753,255Evolution Petroleum Corp. 4,523 26,776Extraction Oil & Gas, Inc. (A)(C) 13,398 53,994Exxaro Resources, Ltd. 35,284 316,445Exxon Mobil Corp. 666,524 45,643,564Falcon Minerals Corp. 5,367 31,451Formosa Petrochemical Corp. 184,900 571,758Galp Energia SGPS SA 77,815 1,118,334GasLog, Ltd. 5,234 64,378Golar LNG, Ltd. 12,115 141,867Green Plains, Inc. 5,193 42,635Grupa Lotos SA 15,440 333,429GS Holdings Corp. 6,982 277,050Gulfport Energy Corp. (A) 20,883 50,119Hess Corp. 40,153 2,527,631HighPoint Resources Corp. (A) 15,912 18,617HollyFrontier Corp. 24,749 1,097,866Husky Energy, Inc. 68,822 459,537Idemitsu Kosan Company, Ltd. 27,428 735,462Imperial Oil, Ltd. 51,712 1,268,913




COMMON STOCKS (continued)Oil, gas and consumable fuels (continued)Inner Mongolia Yitai Coal Company, Ltd.,

Class B 127,800 $ 113,749Inpex Corp. 141,900 1,224,930Inter Pipeline, Ltd. (C) 75,811 1,382,523International Seaways, Inc. (A) 3,325 57,257IRPC PCL 52,800 6,811IRPC PCL, Foreign Quota Shares 1,398,000 180,349Jagged Peak Energy, Inc. (A) 8,780 60,582JXTG Holdings, Inc. 448,450 1,850,046Keyera Corp. 39,629 956,347Kinder Morgan, Inc. 306,683 6,216,464Koninklijke Vopak NV 18,623 888,345Laredo Petroleum, Inc. (A) 23,660 58,677Lundin Petroleum AB 31,122 948,925Magnolia Oil & Gas Corp., Class A (A)(C) 13,141 134,170Marathon Oil Corp. 128,847 1,525,548Marathon Petroleum Corp. 104,382 5,136,638Matador Resources Company (A) 42,698 668,224MOL Hungarian Oil & Gas PLC 62,862 614,741Murphy Oil Corp. 44,673 814,389NACCO Industries, Inc., Class A 531 26,433Neste OYJ 15,764 497,247Noble Energy, Inc. 75,336 1,701,087Nordic American Tankers, Ltd. (C) 19,215 34,203Northern Oil and Gas, Inc. (A)(C) 36,568 67,285Oasis Petroleum, Inc. (A) 115,125 359,190Occidental Petroleum Corp. 141,043 6,132,550Oil Search, Ltd. 209,746 935,186OMV AG 25,245 1,289,292ONEOK, Inc. 65,021 4,634,697Origin Energy, Ltd. 271,041 1,390,129Panhandle Oil and Gas, Inc., Class A 2,217 25,340Par Pacific Holdings, Inc. (A)(C) 4,416 96,004PBF Energy, Inc., Class A 32,802 777,407PDC Energy, Inc. (A) 8,537 271,903Peabody Energy Corp. 9,047 166,736Pembina Pipeline Corp. 94,233 3,449,689Penn Virginia Corp. (A) 1,798 51,243PetroChina Company, Ltd., H Shares 2,833,239 1,394,556Petroleo Brasileiro SA 389,109 2,656,390Petronas Dagangan BHD 22,100 120,168Phillips 66 65,797 6,489,558Pioneer Natural Resources Company 26,532 3,274,579Polski Koncern Naftowy ORLEN SA 50,514 1,149,290Polskie Gornictwo Naftowe i

Gazownictwo SA 289,000 344,302PrairieSky Royalty, Ltd. (C) 39,294 497,889PTT Exploration & Production PCL 2,600 10,545PTT Exploration & Production PCL,

Foreign Quota Shares 177,800 721,122PTT PCL 10,700 15,441PTT PCL, Foreign Quota Shares 1,480,800 2,136,869QEP Resources, Inc. 96,073 342,020Range Resources Corp. 57,059 203,130Renewable Energy Group, Inc. (A) 4,752 57,832Repsol SA 240,682 3,501,796REX American Resources Corp. (A) 734 50,411Ring Energy, Inc. (A) 8,907 13,004Royal Dutch Shell PLC, A Shares 698,375 19,403,086Royal Dutch Shell PLC, B Shares 591,692 16,383,848SandRidge Energy, Inc. (A) 4,606 21,556Santos, Ltd. 271,833 1,316,504Scorpio Tankers, Inc. 5,538 145,594SemGroup Corp., Class A 10,340 91,406Ship Finance International, Ltd. 10,268 144,471


COMMON STOCKS (continued)Oil, gas and consumable fuels (continued)SK Innovation Company, Ltd. 7,701 $ 1,051,244SM Energy Company 14,474 137,214S-Oil Corp. 6,215 497,386Southwestern Energy Company (A) 217,779 344,091SRC Energy, Inc. (A) 31,140 156,323Suncor Energy, Inc. 290,332 8,491,459Talos Energy, Inc. (A) 2,693 51,275TC Energy Corp. 169,205 8,669,945Teekay Corp. (C) 9,869 36,219Teekay Tankers, Ltd., Class A (A) 26,665 29,555Tellurian, Inc. (A)(C) 12,351 80,652Thai Oil PCL, Foreign Quota Shares 99,200 219,080The Williams Companies, Inc. 190,890 4,505,004TOTAL SA 360,474 18,001,582Tourmaline Oil Corp. 48,916 463,662Tupras Turkiye Petrol Rafinerileri AS 22,821 493,959Ultrapar Participacoes SA 92,702 367,584Unit Corp. (A) 7,093 21,492United Tractors Tbk PT 124,537 183,413Uranium Energy Corp. (A) 25,730 24,106Valero Energy Corp. 65,728 4,948,004Vermilion Energy, Inc. (C) 29,080 413,900W&T Offshore, Inc. (A) 12,529 54,877Washington H. Soul Pattinson &

Company, Ltd. 18,040 253,422Whiting Petroleum Corp. (A) 11,714 77,664Woodside Petroleum, Ltd. (C) 144,132 3,113,148World Fuel Services Corp. 26,868 1,031,731WPX Energy, Inc. (A) 108,643 1,168,999Yanzhou Coal Mining Company, Ltd.,

H Shares 236,010 203,868335,908,536358,412,144

Financials – 15.2%Banks – 7.4%1st Source Corp. 1,778 78,890ABN AMRO Bank NV (B) 114,011 2,022,010Absa Group, Ltd. 101,829 1,031,019ACNB Corp. 877 29,537Agricultural Bank of China, Ltd., H Shares 3,936,400 1,513,354AIB Group PLC 130,077 328,913Akbank T.A.S. (A) 528,060 627,678Alior Bank SA (A) 14,947 151,733Allegiance Bancshares, Inc. (A) 2,605 84,428Alliance Bank Malaysia BHD 88,940 63,359Amalgamated Bank, Class A 1,999 32,084Amerant Bancorp, Inc. (A) 2,627 43,503American National Bankshares, Inc. 1,176 40,219Ameris Bancorp 8,393 295,350Ames National Corp. 1,307 34,596AMMB Holdings BHD 170,400 169,968Aozora Bank, Ltd. 15,970 368,653Arrow Financial Corp. 1,502 48,304Associated Banc-Corp. 44,858 863,068Atlantic Capital Bancshares, Inc. (A) 3,489 56,871Atlantic Union Bankshares Corp. 10,387 375,075Australia & New Zealand Banking

Group, Ltd. 441,229 7,937,008Banc of California, Inc. 5,866 85,468BancFirst Corp. 2,406 129,371Banco Bilbao Vizcaya Argentaria SA 1,107,491 5,254,107Banco Bradesco SA 157,097 1,149,490Banco de Chile 1,655,352 235,823Banco de Credito e Inversiones SA 2,657 167,535Banco de Sabadell SA 937,025 802,903




COMMON STOCKS (continued)Banks (continued)Banco do Brasil SA 112,794 $ 1,259,501Banco Espirito Santo SA (A) 322,715 355Banco Santander Brasil SA 54,026 555,785Banco Santander Chile 3,646,656 260,512Banco Santander Mexico SA 263,910 335,393Banco Santander SA 2,697,598 10,216,289Bancolombia SA 24,398 280,503BancorpSouth Bank 37,246 1,027,617Bangkok Bank PCL 63,457 355,120Bank Central Asia Tbk PT 741,630 1,591,734Bank First Corp. (C) 832 45,286Bank Hapoalim BM (A) 156,951 1,151,524Bank Leumi Le-Israel BM 205,147 1,397,843Bank Mandiri Persero Tbk PT 1,406,556 715,160Bank Millennium SA (A) 98,652 165,193Bank Negara Indonesia Persero Tbk PT 565,353 306,138Bank of America Corp. 1,058,609 29,122,334Bank of China, Ltd., H Shares 10,667,122 4,078,810Bank of Commerce Holdings 2,801 28,010Bank of Communications Company, Ltd.,

H Shares 1,167,976 762,869Bank of Hawaii Corp. 11,218 927,504Bank of Ireland Group PLC 156,790 596,226Bank of Marin Bancorp 1,635 66,397Bank of Montreal 117,844 8,077,545Bank of Queensland, Ltd. 60,910 375,854Bank of the Philippine Islands 107,097 180,876Bank OZK 33,084 853,567Bank Polska Kasa Opieki SA 28,577 699,505Bank Rakyat Indonesia Persero Tbk PT 4,200,410 1,260,725Bank Tabungan Negara Persero Tbk PT 312,600 43,944BankFinancial Corp. 2,983 34,782Bankia SA 204,690 371,671Bankinter SA 109,188 636,269Bankwell Financial Group, Inc. 952 25,047Banner Corp. 4,389 236,611Bar Harbor Bankshares 2,014 44,449Barclays PLC 2,705,136 4,506,284Baycom Corp. (A) 1,455 32,156BB&T Corp. 91,693 4,369,171BCB Bancorp, Inc. 2,175 26,883BDO Unibank, Inc. 236,000 675,287Bendigo & Adelaide Bank, Ltd. 73,810 555,207Berkshire Hills Bancorp, Inc. 5,862 171,932BNK Financial Group, Inc. 38,087 210,905BNP Paribas SA 170,809 7,699,364BOC Hong Kong Holdings, Ltd. 589,000 1,980,938Boston Private Financial Holdings, Inc. 10,842 115,142Bridge Bancorp, Inc. 2,118 56,995Brookline Bancorp, Inc. 10,228 143,601Bryn Mawr Bank Corp. 2,627 89,581Business First Bancshares, Inc. 1,413 33,375Byline Bancorp, Inc. (A) 3,134 53,905C&F Financial Corp. 475 22,515Cadence BanCorp 15,960 245,305CaixaBank SA 596,510 1,353,583Cambridge Bancorp 442 32,681Camden National Corp. 2,042 84,661Canadian Imperial Bank of Commerce 82,369 6,380,288Capital City Bank Group, Inc. 1,517 36,984Capitec Bank Holdings, Ltd. 6,447 465,239Capstar Financial Holdings, Inc. 2,610 40,351Carolina Financial Corp. 2,546 86,946Carter Bank & Trust (A) 3,073 58,049Cathay General Bancorp 30,515 1,012,793


COMMON STOCKS (continued)Banks (continued)CBTX, Inc. 2,453 $ 66,059CenterState Bank Corp. 16,031 362,621Central Pacific Financial Corp. 3,515 97,787Central Valley Community Bancorp 1,540 30,153Century Bancorp, Inc., Class A 424 34,344Chang Hwa Commercial Bank, Ltd. 797,746 512,835Chemung Financial Corp. 524 21,060China CITIC Bank Corp., Ltd., H Shares 1,193,400 623,121China Construction Bank Corp., H Shares 12,908,296 9,592,340China Development Financial

Holding Corp. 1,886,000 545,513China Everbright Bank Company, Ltd.,

H Shares 407,595 169,746China Merchants Bank Company, Ltd.,

H Shares 524,674 2,380,425China Minsheng Banking Corp., Ltd.,

H Shares 935,200 614,480Chongqing Rural Commercial Bank

Company, Ltd., H Shares 318,800 153,828CIMB Group Holdings BHD 490,100 588,856Citigroup, Inc. 276,841 17,814,718Citizens & Northern Corp. 1,607 38,118Citizens Financial Group, Inc. 54,873 1,851,415City Holding Company 1,985 147,585Civista Bancshares, Inc. 1,897 38,756CNB Financial Corp. 1,861 49,205Codorus Valley Bancorp, Inc. 1,371 30,656Colony Bankcorp, Inc. 1,617 25,807Columbia Banking System, Inc. 9,350 322,669Comerica, Inc. 18,456 1,137,812Commerce Bancshares, Inc. 26,920 1,536,324Commerzbank AG 111,670 633,032Commonwealth Bank of Australia 273,180 14,530,217Community Bank System, Inc. 6,367 388,323Community Bankers Trust Corp. 3,473 26,950Community Trust Bancorp, Inc. 1,803 70,137Concordia Financial Group, Ltd. 149,900 514,163ConnectOne Bancorp, Inc. 4,351 89,108Credicorp, Ltd. 9,600 1,988,352Credit Agricole SA 173,991 1,983,388CTBC Financial Holding Company, Ltd. 2,804,090 1,816,284Cullen/Frost Bankers, Inc. 17,268 1,433,417Customers Bancorp, Inc. (A) 3,686 69,629CVB Financial Corp. 16,903 347,695Danske Bank A/S 103,210 1,358,771DBS Group Holdings, Ltd. 86,072 1,517,715DNB ASA 158,060 2,546,389DNB Financial Corp. 613 25,231E.Sun Financial Holding Company, Ltd. 1,569,646 1,261,376Eagle Bancorp, Inc. 4,276 174,204East West Bancorp, Inc. 39,833 1,638,331Enterprise Bancorp, Inc. 1,277 36,944Enterprise Financial Services Corp. 3,143 123,897Equity Bancshares, Inc., Class A (A) 2,111 53,408Erste Group Bank AG (A) 51,600 1,659,687Evans Bancorp, Inc. 701 23,911Farmers & Merchants Bancorp, Inc. 1,123 28,726Farmers National Banc Corp. 3,321 44,834FB Financial Corp. 2,145 76,941Fidelity D&D Bancorp, Inc. 366 20,134Fifth Third Bancorp 87,052 2,302,525Financial Institutions, Inc. 1,949 56,638FinecoBank Banca Fineco SpA 56,166 581,639First Bancorp (NC) 3,723 131,124First Bancorp (PR) 27,275 261,295




COMMON STOCKS (continued)Banks (continued)First Bancorp, Inc. 1,408 $ 35,763First Bank 2,501 26,411First Busey Corp. 6,535 160,108First Business Financial Services, Inc. 1,196 26,970First Choice Bancorp 1,304 27,306First Commonwealth Financial Corp. 12,279 151,891First Community Bankshares, Inc. 1,803 57,353First Financial Bancorp 12,476 292,188First Financial Bankshares, Inc. 53,594 1,641,048First Financial Corp. 1,686 68,452First Financial Holding Company, Ltd. 1,478,439 1,011,832First Foundation, Inc. 5,363 74,867First Horizon National Corp. 86,315 1,366,366First Internet Bancorp 1,642 33,201First Interstate BancSystem, Inc., Class A 4,759 185,601First Merchants Corp. 6,370 227,536First Mid Bancshares, Inc. 1,567 50,285First Midwest Bancorp, Inc. 13,565 260,448First Northwest Bancorp 1,495 23,890First Republic Bank 19,727 1,769,906Flushing Financial Corp. 3,334 64,313FNB Corp. 88,887 955,535FNCB Bancorp, Inc. 2,863 21,072Franklin Financial Network, Inc. 1,804 52,190Franklin Financial Services Corp. 849 26,811Fukuoka Financial Group, Inc. 24,300 417,364Fulton Financial Corp. 66,934 1,067,597FVCBankcorp, Inc. (A) 2,198 36,377German American Bancorp, Inc. 3,091 94,368Glacier Bancorp, Inc. 10,713 425,199Great Southern Bancorp, Inc. 1,428 80,454Great Western Bancorp, Inc. 7,243 216,059Grupo Financiero Banorte SAB de CV,

Series O 373,650 2,016,142Grupo Financiero Inbursa SAB de CV,

Series O 333,500 411,020Guaranty Bancshares, Inc. 1,328 40,026Hana Financial Group, Inc. 41,908 1,125,712Hancock Whitney Corp. 34,313 1,204,729Hang Seng Bank, Ltd. 121,295 2,526,708Hanmi Financial Corp. 4,045 72,446HarborOne Bancorp, Inc. (A) 3,786 37,709Heartland Financial USA, Inc. 4,230 184,978Heritage Commerce Corp. 5,770 66,874Heritage Financial Corp. 4,660 121,999Hilltop Holdings, Inc. 9,177 217,954Home BancShares, Inc. 62,038 1,099,313HomeTrust Bancshares, Inc. 2,305 58,132Hong Leong Bank BHD 65,400 257,882Hong Leong Financial Group BHD 21,800 87,348Hope Bancorp, Inc. 15,536 208,338Horizon Bancorp, Inc. 4,502 73,203Howard Bancorp, Inc. (A) 1,955 28,914HSBC Holdings PLC 3,164,626 22,784,246Hua Nan Financial Holdings

Company, Ltd. 1,159,108 736,004Huntington Bancshares, Inc. 125,276 1,659,907IBERIABANK Corp. 6,789 468,373Independent Bank Corp. (MA) 4,228 285,855Independent Bank Corp. (MI) 3,096 60,155Independent Bank Group, Inc. 4,660 227,921Industrial & Commercial Bank of

China, Ltd., H Shares 8,737,623 5,510,438Industrial Bank of Korea 35,057 359,138ING Groep NV 1,049,072 10,022,492


COMMON STOCKS (continued)Banks (continued)International Bancshares Corp. 21,991 $ 782,660Intesa Sanpaolo SpA 1,388,211 3,054,698Investar Holding Corp. 1,727 40,101Investors Bancorp, Inc. 28,829 320,002Israel Discount Bank, Ltd., Class A 164,957 686,503Itau CorpBanca 7,323,901 56,837Japan Post Bank Company, Ltd. 55,900 508,940JPMorgan Chase & Co. 388,357 42,664,900Kasikornbank PCL 116,800 609,801Kasikornbank PCL, Foreign Quota Shares 146,259 764,486KB Financial Group, Inc. 55,363 1,808,878KBC Group NV 68,910 3,988,069KeyCorp 120,707 2,003,736Komercni banka AS 9,088 323,205Krung Thai Bank PCL 1,700 955Krung Thai Bank PCL, Foreign

Quota Shares 404,300 227,096Lakeland Bancorp, Inc. 6,418 95,500Lakeland Financial Corp. 3,100 131,223LCNB Corp. 2,198 36,860LegacyTexas Financial Group, Inc. 6,201 250,520Level One Bancorp, Inc. 858 20,154Live Oak Bancshares, Inc. 3,503 62,844Lloyds Banking Group PLC 11,258,109 6,849,623M&T Bank Corp. 16,356 2,391,411Macatawa Bank Corp. 3,711 36,702MainStreet Bancshares, Inc. (A) 1,365 29,088Malayan Banking BHD 392,133 809,662Malvern Bancorp, Inc. (A) 1,108 23,434mBank SA (A) 2,437 197,419MBT Financial Corp. 3,452 33,968Mebuki Financial Group, Inc. 121,600 270,916Mediobanca Banca di Credito

Finanziario SpA 55,655 553,117Mega Financial Holding Company, Ltd. 1,637,275 1,498,036Mercantile Bank Corp. 1,962 60,371Metropolitan Bank & Trust Company 188,660 256,816Metropolitan Bank Holding Corp. (A) 1,046 37,865Mid Penn Bancorp, Inc. 1,392 33,756Midland States Bancorp, Inc. 2,963 76,357MidSouth Bancorp, Inc. 2,846 29,456MidWestOne Financial Group, Inc. 1,787 51,769Mitsubishi UFJ Financial Group, Inc. 1,715,100 8,255,204Mizrahi Tefahot Bank, Ltd. 20,123 463,574Mizuho Financial Group, Inc. 3,357,300 4,878,286Moneta Money Bank AS (B) 60,597 196,352MutualFirst Financial, Inc. 912 27,515National Australia Bank, Ltd. 428,681 7,900,574National Bank Holdings Corp., Class A 3,715 121,258National Bank of Canada 63,080 2,962,116National Bankshares, Inc. 973 32,596NBT Bancorp, Inc. 5,072 177,368Nedbank Group, Ltd. 52,337 780,339Nicolet Bankshares, Inc. (A) 1,099 69,655Nordea Bank ABP 542,658 3,393,944Northeast Bank 1,153 24,201Northrim BanCorp, Inc. 1,003 36,309Norwood Financial Corp. 860 26,419OFG Bancorp 6,396 131,246Old Line Bancshares, Inc. 2,267 59,894Old National Bancorp 21,856 367,181Old Second Bancorp, Inc. 3,682 43,411Opus Bank 2,915 60,515Origin Bancorp, Inc. 2,497 80,004Orrstown Financial Services, Inc. 1,923 41,037




COMMON STOCKS (continued)Banks (continued)OTP Bank Nyrt 34,515 $ 1,376,272Oversea-Chinese Banking Corp., Ltd. 153,478 1,176,263Pacific Mercantile Bancorp (A) 2,622 19,927Pacific Premier Bancorp, Inc. 7,878 232,086PacWest Bancorp 32,541 1,108,997Park National Corp. 1,713 154,307Parke Bancorp, Inc. 1,557 35,453PCB Bancorp 1,700 27,999Peapack Gladstone Financial Corp. 2,596 73,025Penns Woods Bancorp, Inc. 684 28,242Peoples Bancorp, Inc. 2,143 65,812Peoples Financial Services Corp. 915 40,965People’s United Financial, Inc. 47,214 678,465People’s Utah Bancorp 1,832 48,548Pinnacle Financial Partners, Inc. 19,800 1,042,866Postal Savings Bank of China

Company, Ltd., H Shares (B) 1,060,300 637,600Powszechna Kasa Oszczednosci Bank

Polski SA 147,211 1,448,477Preferred Bank 1,863 93,075Premier Financial Bancorp, Inc. 1,776 27,528Prosperity Bancshares, Inc. 18,166 1,179,337Public Bank BHD 312,862 1,510,290QCR Holdings, Inc. 2,056 72,597Raiffeisen Bank International AG 25,491 557,310RBB Bancorp 1,954 36,012Regions Financial Corp. 121,300 1,773,406Reliant Bancorp, Inc. 1,417 32,463Renasant Corp. 7,304 239,498Republic Bancorp, Inc., Class A 1,239 52,596Republic First Bancorp, Inc. (A) 7,031 28,440Resona Holdings, Inc. 291,700 1,143,311RHB Bank BHD 165,441 224,085Royal Bank of Canada 262,953 19,667,162S&T Bancorp, Inc. 4,190 143,382Sandy Spring Bancorp, Inc. 4,381 146,676Santander Bank Polska SA 5,978 457,780SB One Bancorp 1,621 36,181Seacoast Banking Corp. of Florida (A) 6,443 150,380Security Bank Corp. 25,900 101,459Select Bancorp, Inc. (A) 2,172 23,675ServisFirst Bancshares, Inc. 6,140 186,656Seven Bank, Ltd. 77,600 202,880Shinhan Financial Group Company, Ltd. 62,704 2,110,633Shinsei Bank, Ltd. 21,300 291,142Shore Bancshares, Inc. 2,226 34,191Sierra Bancorp 1,878 46,274Signature Bank 15,080 1,759,082Simmons First National Corp., Class A 11,600 278,400SinoPac Financial Holdings Company, Ltd. 1,580,772 596,138Skandinaviska Enskilda Banken AB,

A Shares 271,471 2,336,174SmartFinancial, Inc. (A) 1,748 33,876Societe Generale SA 116,728 2,954,925South State Corp. 4,454 327,725Southern First Bancshares, Inc. (A) 1,184 45,193Southern National Bancorp of

Virginia, Inc. 3,201 46,799Southside Bancshares, Inc. 4,028 132,642Spirit of Texas Bancshares, Inc. (A) 1,330 27,398Standard Bank Group, Ltd. 184,236 2,155,631Standard Chartered PLC 444,015 3,374,199Sterling Bancorp 57,312 1,092,940Stock Yards Bancorp, Inc. 2,547 92,456Sumitomo Mitsui Financial Group, Inc. 185,279 6,071,264


COMMON STOCKS (continued)Banks (continued)Sumitomo Mitsui Trust Holdings, Inc. 45,938 $ 1,498,957Summit Financial Group, Inc. 1,494 36,797SunTrust Banks, Inc. 53,133 3,268,211SVB Financial Group (A) 6,264 1,219,100Svenska Handelsbanken AB, A Shares 255,071 2,247,427Swedbank AB, A Shares 151,693 1,951,618Synovus Financial Corp. 43,106 1,531,987Taishin Financial Holding Company, Ltd. 1,406,296 599,721Taiwan Business Bank 563,307 220,464Taiwan Cooperative Financial Holding

Company, Ltd. 1,342,569 854,451TCF Financial Corp. 51,521 1,986,650Texas Capital Bancshares, Inc. (A) 13,758 741,281The Bancorp, Inc. (A) 6,854 62,577The Bank of East Asia, Ltd. 200,293 505,659The Bank of Kyoto, Ltd. 7,200 258,083The Bank of Nova Scotia 225,443 11,988,406The Bank of NT Butterfield & Son, Ltd. 6,932 191,046The Bank of Princeton 870 23,229The Chiba Bank, Ltd. 78,500 390,901The Community Financial Corp. 895 28,130The First Bancshares, Inc. 1,606 50,653The First of Long Island Corp. 3,097 67,391The PNC Financial Services Group, Inc. 54,045 6,968,022The Royal Bank of Scotland Group PLC 760,684 1,712,195The Shanghai Commercial & Savings

Bank, Ltd. 462,000 747,258The Shizuoka Bank, Ltd. 64,100 432,501The Siam Commercial Bank PCL 1,500 6,044The Siam Commercial Bank PCL, Foreign

Quota Shares 111,609 449,730The Toronto-Dominion Bank 335,477 18,192,459TMB Bank PCL, Foreign Quota Shares 1,409,200 71,798Tompkins Financial Corp. 1,815 143,567Towne Bank 7,687 201,937TriCo Bancshares 2,951 104,347TriState Capital Holdings, Inc. (A) 3,288 64,938Triumph Bancorp, Inc. (A) 3,210 96,268Trustmark Corp. 25,842 844,517Turkiye Garanti Bankasi AS (A) 426,664 653,554Turkiye Is Bankasi AS, Class C (A) 291,348 276,452U.S. Bancorp 179,160 9,439,940UMB Financial Corp. 17,688 1,102,316Umpqua Holdings Corp. 60,342 947,973UniCredit SpA 188,187 2,093,152United Bankshares, Inc. 40,224 1,483,461United Community Banks, Inc. 10,029 264,866United Overseas Bank, Ltd. 60,757 1,091,010Unity Bancorp, Inc. 1,116 21,907Univest Financial Corp. 3,784 95,773Valley National Bancorp 131,930 1,386,584Veritex Holdings, Inc. 6,698 158,073Washington Trust Bancorp, Inc. 1,748 81,107Webster Financial Corp. 25,219 1,128,802Wells Fargo & Company 484,242 22,551,150WesBanco, Inc. 6,759 231,293Westamerica Bancorporation 3,336 205,531Westpac Banking Corp. 532,259 10,099,969Wintrust Financial Corp. 15,508 974,368Woori Financial Group, Inc. 66,471 654,099Zions Bancorp NA 21,856 898,063

539,643,811Capital markets – 2.2%3i Group PLC 153,993 2,058,656Affiliated Managers Group, Inc. 6,485 496,946




COMMON STOCKS (continued)Capital markets (continued)Ameriprise Financial, Inc. 16,960 $ 2,187,501Amundi SA (B) 9,196 587,875Ares Management Corp., Class A 8,211 238,940Artisan Partners Asset Management, Inc.,

Class A 6,445 171,695ASX, Ltd. 29,917 1,737,792B. Riley Financial, Inc. 2,733 57,830B3 SA - Brasil Bolsa Balcao 270,076 2,921,856Banco BTG Pactual SA 28,900 408,829BlackRock, Inc. 15,070 6,367,979Blucora, Inc. (A) 6,184 139,635Brightsphere Investment Group, Inc. 9,174 83,392Brookfield Asset Management, Inc.,

Class A 155,911 8,040,295Cboe Global Markets, Inc. 14,148 1,685,876China Cinda Asset Management

Company, Ltd., H Shares 1,189,100 246,593China Ding Yi Feng Holdings, Ltd. (D) 152,000 380,659China Everbright, Ltd. 128,984 146,907China Galaxy Securities Company, Ltd.,

H Shares 476,600 226,639China Huarong Asset Management

Company, Ltd., H Shares (B) 1,358,200 212,538China International Capital Corp., Ltd., H

Shares (B) 162,600 280,387CI Financial Corp. 46,331 663,959CITIC Securities Company, Ltd., H Shares 277,600 495,143CME Group, Inc. 45,339 9,851,711Cohen & Steers, Inc. 2,902 156,505Cowen, Inc., Class A (A) 3,744 58,444Credit Suisse Group AG (A) 391,258 4,577,776Daiwa Securities Group, Inc. 212,618 914,836Deutsche Bank AG 217,627 1,570,886Deutsche Boerse AG 20,872 3,066,787Diamond Hill Investment Group, Inc. 441 59,491Donnelley Financial Solutions, Inc. (A) 4,139 43,998E*TRADE Financial Corp. 30,989 1,293,481Eaton Vance Corp. 31,217 1,346,077Evercore, Inc., Class A 11,239 896,423FactSet Research Systems, Inc. 10,467 2,847,966Federated Investors, Inc., Class B 38,515 1,234,021Focus Financial Partners, Inc., Class A (A) 3,938 80,808Franklin Resources, Inc. 37,285 979,850GF Securities Company, Ltd., H

Shares (A) 184,200 188,559Greenhill & Company, Inc. 2,363 33,177Guotai Junan Securities Company, Ltd., H

Shares (B) 102,900 146,396Haitong Securities Company, Ltd.,

H Shares 391,100 371,301Hamilton Lane, Inc., Class A 2,779 172,687Hargreaves Lansdown PLC 44,923 1,031,127Hong Kong Exchanges &

Clearing, Ltd. (C) 189,277 5,776,511Houlihan Lokey, Inc. 4,245 187,544Huatai Securities Company, Ltd., H

Shares (B) 221,500 321,878IGM Financial, Inc. 18,517 500,129Interactive Brokers Group, Inc., Class A 20,550 969,960Intercontinental Exchange, Inc. 71,416 6,675,968INTL. FCStone, Inc. (A) 2,086 81,792Invesco, Ltd. 50,735 796,540Investec PLC 107,553 555,017Investec, Ltd. 40,329 213,308Janus Henderson Group PLC 44,862 857,313


COMMON STOCKS (continued)Capital markets (continued)Japan Exchange Group, Inc. 70,898 $ 1,120,984Julius Baer Group, Ltd. (A) 34,293 1,361,109Korea Investment Holdings Company, Ltd. 5,908 353,521Ladenburg Thalmann Financial

Services, Inc. 12,795 25,078Legg Mason, Inc. 23,703 872,033London Stock Exchange Group PLC 49,498 4,198,638Macquarie Group, Ltd. 50,060 4,173,383MarketAxess Holdings, Inc. 4,774 1,898,238Meritz Securities Company, Ltd. 42,879 168,527Mirae Asset Daewoo Company, Ltd. 55,857 343,750Moelis & Company, Class A 6,084 203,997Moody’s Corp. 20,892 4,503,897Morgan Stanley 161,927 6,718,351MSCI, Inc. 10,725 2,516,407Nasdaq, Inc. 14,691 1,466,749Natixis SA 145,030 561,283NH Investment & Securities

Company, Ltd. 20,019 203,640Noah Holdings, Ltd., ADR (A) 4,200 126,000Nomura Holdings, Inc. 462,900 1,865,974Northern Trust Corp. 27,570 2,424,230Och-Ziff Capital Management Group, Inc.,

Class A 2,263 50,918Oppenheimer Holdings, Inc., Class A 1,368 37,976Partners Group Holding AG 2,839 2,310,745Piper Jaffray Companies 1,744 126,893PJT Partners, Inc., Class A 2,997 124,705Pzena Investment Management, Inc.,

Class A 2,587 21,032Raymond James Financial, Inc. 16,004 1,256,474Reinet Investments SCA 20,909 349,714S&P Global, Inc. 31,167 8,109,342Safeguard Scientifics, Inc. (A) 3,100 37,076Samsung Securities Company, Ltd. 8,880 259,182SBI Holdings, Inc. 33,064 660,200Schroders PLC 19,634 654,204SEI Investments Company 35,064 2,016,531Singapore Exchange, Ltd. 37,300 220,195St. James’s Place PLC 83,296 934,279Standard Life Aberdeen PLC 393,527 1,197,106State Street Corp. 47,263 2,425,065Stifel Financial Corp. 28,087 1,500,408T. Rowe Price Group, Inc. 29,951 3,313,180The Bank of New York Mellon Corp. 111,571 4,692,676The Charles Schwab Corp. 150,485 5,759,061The Goldman Sachs Group, Inc. 43,091 8,786,686UBS Group AG (A) 589,797 6,262,279Virtus Investment Partners, Inc. 862 91,967Waddell & Reed Financial, Inc., Class A 9,434 152,548Westwood Holdings Group, Inc. 1,231 33,791WisdomTree Investments, Inc. 17,439 83,882Yuanta Financial Holding Company, Ltd. 1,514,187 869,876

165,139,969Consumer finance – 0.4%Acom Company, Ltd. 54,700 192,870AEON Financial Service Company, Ltd. 15,800 231,118American Express Company 86,728 10,439,449Capital One Financial Corp. 59,476 5,151,811Credit Saison Company, Ltd. 22,400 248,918Curo Group Holdings Corp. (A) 2,454 33,423Discover Financial Services 41,002 3,278,930Encore Capital Group, Inc. (A) 3,961 146,161Enova International, Inc. (A) 4,277 102,220EZCORP, Inc., Class A (A) 6,761 53,209




COMMON STOCKS (continued)Consumer finance (continued)FirstCash, Inc. 5,387 $ 531,859Green Dot Corp., Class A (A) 19,422 593,925LendingClub Corp. (A) 8,485 111,069Medallion Financial Corp. (A) 3,151 14,967Muangthai Capital PCL 82,700 148,032Muangthai Capital PCL Foreign

Quota Shares 8,100 14,499Navient Corp. 58,281 742,500Nelnet, Inc., Class A 2,255 151,198PRA Group, Inc. (A) 5,820 198,695Regional Management Corp. (A) 1,319 33,964Samsung Card Company, Ltd. 3,849 105,465SLM Corp. 118,303 998,477Synchrony Financial 80,320 2,574,256World Acceptance Corp. (A) 848 112,699

26,209,714Diversified financial services – 1.0%AMP, Ltd. 519,567 592,992Banco Latinoamericano de Comercio

Exterior SA, Class E 4,018 72,846Berkshire Hathaway, Inc., Class B (A) 245,430 49,922,916Cannae Holdings, Inc. (A) 8,619 239,781Chailease Holding Company, Ltd. 182,784 724,224Challenger, Ltd. 85,197 385,326Eurazeo SE 5,987 396,021EXOR NV 10,236 695,432Far East Horizon, Ltd. 284,300 253,833FGL Holdings 18,848 150,407First Eagle Private Credit LLC (A)(D) 5,608 1,456FirstRand, Ltd. 479,417 1,897,040Groupe Bruxelles Lambert SA 22,234 2,077,636Grupo de Inversiones Suramericana SA 24,012 233,658Haci Omer Sabanci Holding AS 170,427 257,054Industrivarden AB, C Shares 28,563 598,544Investor AB, B Shares 76,498 3,593,654Jefferies Financial Group, Inc. 32,091 598,176Kinnevik AB, B Shares 40,368 1,101,068L E Lundbergforetagen AB, B Shares 12,887 483,159Marlin Business Services Corp. 1,196 25,869Metro Pacific Investments Corp. 1,675,600 159,308Mitsubishi UFJ Lease & Finance

Company, Ltd. 57,500 310,144Neoplux Company, Ltd. (A) 255 776On Deck Capital, Inc. (A) 9,035 29,364Onex Corp. 16,263 955,454ORIX Corp. 185,500 2,737,068Pargesa Holding SA, Bearer Shares 5,689 416,852PSG Group, Ltd. 21,054 278,109Remgro, Ltd. 75,220 852,163RMB Holdings, Ltd. 109,976 518,002Tokyo Century Corp. 6,100 245,423Wendel SA 4,110 576,073

71,379,828Insurance – 4.1%Admiral Group PLC 31,568 827,258Aegon NV (C) 503,210 1,915,551Aflac, Inc. 149,417 7,497,745Ageas 51,851 2,778,017AIA Group, Ltd. 1,927,109 18,648,151Alleghany Corp. (A) 3,953 2,962,022Allianz SE 47,275 10,433,776Ambac Financial Group, Inc. (A) 5,856 105,642American Equity Investment Life

Holding Company 11,489 247,588American Financial Group, Inc. 19,392 1,958,010


COMMON STOCKS (continued)Insurance (continued)American International Group, Inc. 174,328 $ 9,072,029AMERISAFE, Inc. 2,393 164,399Aon PLC 48,209 9,393,524Argo Group International Holdings, Ltd. 4,118 270,635Arthur J. Gallagher & Company 37,130 3,368,062Assicurazioni Generali SpA 106,512 1,936,118Assurant, Inc. 12,322 1,515,606Aviva PLC 636,773 2,749,039AXA SA 298,330 6,840,874Baloise Holding AG 7,834 1,339,945BB Seguridade Participacoes SA 95,408 752,712Brighthouse Financial, Inc. (A) 31,694 1,117,530Brown & Brown, Inc. 64,075 2,363,727Cathay Financial Holding Company, Ltd. 1,204,890 1,539,536China Life Insurance Company, Ltd. (A) 460,703 360,664China Life Insurance Company, Ltd.,

H Shares 1,013,076 2,367,978China Pacific Insurance Group

Company, Ltd., H Shares 360,579 1,439,275China Reinsurance Group Corp., H Shares 925,300 150,880China Taiping Insurance Holdings

Company, Ltd. 225,600 506,237Chubb, Ltd. 91,773 14,342,284Cincinnati Financial Corp. 30,407 3,420,483Citizens, Inc. (A)(C) 6,643 41,718CNO Financial Group, Inc. 64,170 929,182CNP Assurances 30,176 548,184Dai-ichi Life Holdings, Inc. 154,500 2,101,081DB Insurance Company, Ltd. 7,517 297,609Direct Line Insurance Group PLC 231,067 797,329Discovery, Ltd. 60,100 455,964eHealth, Inc. (A) 2,856 237,933EMC Insurance Group, Inc. 1,241 44,602Employers Holdings, Inc. 3,927 169,372Enstar Group, Ltd. (A) 1,447 258,463Everest Re Group, Ltd. 8,164 1,925,724Fairfax Financial Holdings, Ltd. 5,422 2,415,954FBL Financial Group, Inc., Class A 1,297 70,336FedNat Holding Company 1,789 21,879First American Financial Corp. 30,681 1,793,304Fubon Financial Holding Company, Ltd. 1,072,659 1,489,959Genworth Financial, Inc., Class A (A) 202,281 896,105Gjensidige Forsikring ASA 35,324 681,674Global Indemnity, Ltd. 1,068 27,501Globe Life, Inc. 20,273 1,809,568Goosehead Insurance, Inc., Class A 1,440 66,586Great-West Lifeco, Inc. 60,142 1,281,981Greenlight Capital Re, Ltd., Class A (A) 4,371 40,169Hallmark Financial Services, Inc. (A) 2,146 37,727Hannover Rueck SE 7,105 1,131,829Hanwha Life Insurance Company, Ltd. 21,011 44,095HCI Group, Inc. 905 35,268Health Insurance Innovations, Inc.,

Class A (A)(C) 1,298 23,805Heritage Insurance Holdings, Inc. 3,543 46,449Horace Mann Educators Corp. 5,285 231,853Hyundai Marine & Fire Insurance

Company, Ltd. 9,632 190,335iA Financial Corp., Inc. 23,473 976,190Independence Holding Company 631 23,360Insurance Australia Group, Ltd. 366,989 1,989,860Intact Financial Corp. 27,171 2,655,468Investors Title Company 199 29,293IRB Brasil Resseguros SA 31,200 817,484James River Group Holdings, Ltd. 3,691 181,892




COMMON STOCKS (continued)Insurance (continued)Japan Post Holdings Company, Ltd. 228,100 $ 2,072,768Kemper Corp. 17,105 1,197,008Kinsale Capital Group, Inc. 2,506 246,164Legal & General Group PLC 971,032 2,601,588Liberty Holdings, Ltd. 22,516 162,880Lincoln National Corp. 40,557 2,144,654Loews Corp. 53,777 2,585,060Mapfre SA 204,541 533,043Marsh & McLennan Companies, Inc. 102,491 10,237,826MBIA, Inc. (A) 10,894 98,046Medibank Pvt., Ltd. 439,963 1,077,933Mercury General Corp. 7,425 397,238MetLife, Inc. 190,485 8,438,486Momentum Metropolitan Holdings 148,712 161,610MS&AD Insurance Group Holdings, Inc. 68,568 2,176,363Muenchener

Rueckversicherungs-Gesellschaft AG 16,851 4,034,582National General Holdings Corp. 8,652 204,014National Western Life Group, Inc., Class A 296 76,315New China Life Insurance Company, Ltd.,

H Shares 114,000 448,451NI Holdings, Inc. (A) 1,456 24,461NN Group NV (C) 85,655 2,870,204Old Mutual, Ltd. 729,912 873,998Old Republic International Corp. 77,941 1,820,702Orange Life Insurance, Ltd. (B) 5,433 120,969Palomar Holdings, Inc. (A) 807 27,462PICC Property & Casualty Company, Ltd.,

H Shares 943,848 1,079,282Ping An Insurance Group Company of

China, Ltd., H Shares 753,610 8,646,172Porto Seguro SA 14,023 189,637Poste Italiane SpA (B) 53,805 580,223Power Corp. of Canada 62,479 1,317,249Power Financial Corp. 57,887 1,234,349Powszechny Zaklad Ubezpieczen SA 105,893 993,714Primerica, Inc. 11,589 1,381,061Principal Financial Group, Inc. 51,922 2,763,289ProAssurance Corp. 6,734 263,097Protective Insurance Corp., Class B 1,526 24,721Prudential Financial, Inc. 81,376 6,517,404Prudential PLC 413,213 6,887,465QBE Insurance Group, Ltd. 210,911 1,777,423Rand Merchant Investment Holdings, Ltd. 127,580 249,541Reinsurance Group of America, Inc. 17,123 2,636,428RenaissanceRe Holdings, Ltd. 12,087 2,182,308RLI Corp. 5,033 460,872RSA Insurance Group PLC 169,689 1,082,936Safety Insurance Group, Inc. 1,833 176,775Sampo OYJ, A Shares 18,611 739,435Samsung Fire & Marine

Insurance Company, Ltd. 4,479 847,215Samsung Life Insurance Company, Ltd. 10,465 589,541Sanlam, Ltd. 261,117 1,252,579SCOR SE 25,684 1,024,743Selective Insurance Group, Inc. 7,388 588,306Shin Kong Financial Holding

Company, Ltd. 1,723,694 504,423Sompo Holdings, Inc. 48,160 1,919,917Sony Financial Holdings, Inc. 22,800 525,552State Auto Financial Corp. 2,229 71,261Stewart Information Services Corp. 2,925 104,774Sul America SA 31,994 374,332Sun Life Financial, Inc. 113,976 4,671,526Suncorp Group, Ltd. 206,495 1,917,058


COMMON STOCKS (continued)Insurance (continued)Swiss Life Holding AG 5,377 $ 2,556,907Swiss Re AG 47,274 4,560,731T&D Holdings, Inc. 81,800 794,646The Allstate Corp. 66,765 6,836,068The Hanover Insurance Group, Inc. 11,140 1,483,291The Hartford Financial Services

Group, Inc. 72,456 4,222,736The People’s Insurance Company Group of

China, Ltd., H Shares 1,196,900 467,633The Progressive Corp. 117,050 8,872,390The Travelers Companies, Inc. 52,495 7,714,665Third Point Reinsurance, Ltd. (A) 9,661 91,007Tiptree, Inc. 3,738 25,942Tokio Marine Holdings, Inc. 91,814 4,722,018Trupanion, Inc. (A)(C) 3,725 89,735Tryg A/S 19,387 579,498United Fire Group, Inc. 2,646 119,493United Insurance Holdings Corp. 2,864 33,566Universal Insurance Holdings, Inc. 3,942 98,550Unum Group 42,469 1,079,137W.R. Berkley Corp. 39,597 2,821,286Watford Holdings, Ltd. (A) 2,659 61,689Willis Towers Watson PLC 25,903 5,128,017ZhongAn Online P&C Insurance

Company, Ltd., H Shares (A)(B)(C) 45,000 101,270Zurich Insurance Group AG 23,316 8,308,803

300,177,893Mortgage real estate investment trusts – 0.0%AG Mortgage Investment Trust, Inc. 4,323 64,802Anworth Mortgage Asset Corp. 14,462 44,832Apollo Commercial Real Estate

Finance, Inc. 18,685 346,607Ares Commercial Real Estate Corp. 3,743 56,108Arlington Asset Investment Corp., Class A 5,193 25,653ARMOUR Residential REIT, Inc. 7,328 120,326Blackstone Mortgage Trust, Inc., Class A 14,642 509,542Capstead Mortgage Corp. 10,767 78,276Cherry Hill Mortgage Investment Corp. 2,403 28,908Colony Credit Real Estate, Inc. 10,501 131,578Dynex Capital, Inc. 3,400 48,008Ellington Financial, Inc. 3,469 60,603Exantas Capital Corp. 4,422 49,571Granite Point Mortgage Trust, Inc. 6,520 119,251Great Ajax Corp. 2,772 40,416Invesco Mortgage Capital, Inc. 16,209 243,621KKR Real Estate Finance Trust, Inc. 2,851 53,912Ladder Capital Corp. 13,068 219,281New York Mortgage Trust, Inc. 26,406 162,397Orchid Island Capital, Inc. 7,106 38,586PennyMac Mortgage Investment Trust 9,293 202,216Ready Capital Corp. 4,103 60,232Redwood Trust, Inc. 11,807 195,996TPG RE Finance Trust, Inc. 5,786 112,306Western Asset Mortgage Capital Corp. 6,124 57,566

3,070,594Thrifts and mortgage finance – 0.1%Axos Financial, Inc. (A) 7,364 190,801Bridgewater Bancshares, Inc. (A) 3,765 41,904Capitol Federal Financial, Inc. 15,623 210,442Columbia Financial, Inc. (A) 6,777 102,739Dime Community Bancshares, Inc. 4,361 86,479Entegra Financial Corp. (A) 1,082 32,503ESSA Bancorp, Inc. 1,698 25,979Essent Group, Ltd. (A) 12,089 586,317




COMMON STOCKS (continued)Thrifts and mortgage finance (continued)Federal Agricultural Mortgage Corp.,

Class C 1,169 $ 96,267First Defiance Financial Corp. 2,599 67,964Flagstar Bancorp, Inc. 3,578 130,060FS Bancorp, Inc. 716 34,654Hingham Institution for Savings 207 37,281Home Bancorp, Inc. 1,050 39,144HomeStreet, Inc. (A) 3,272 86,283Kearny Financial Corp. 10,747 135,197LendingTree, Inc. (A) 2,045 634,134Luther Burbank Corp. 3,028 31,673Merchants Bancorp 1,260 19,984Meridian Bancorp, Inc. 6,355 111,085Meta Financial Group, Inc. 4,759 147,101MMA Capital Holdings, Inc. (A) 776 22,970Mr. Cooper Group, Inc. (A) 9,757 85,959New York Community Bancorp, Inc. 127,913 1,476,116NMI Holdings, Inc., Class A (A) 8,356 236,809Northfield Bancorp, Inc. 6,112 94,858Northwest Bancshares, Inc. 12,501 197,641OceanFirst Financial Corp. 6,534 137,345Ocwen Financial Corp. (A) 18,849 33,740Oritani Financial Corp. 5,373 92,039PCSB Financial Corp. 2,241 44,170PennyMac Financial Services, Inc. (A) 3,180 94,096Provident Financial Services, Inc. 7,727 183,980Radian Group, Inc. 26,463 596,741Riverview Bancorp, Inc. 4,140 29,187Southern Missouri Bancorp, Inc. 947 31,630Sterling Bancorp, Inc. 2,547 23,764Territorial Bancorp, Inc. 1,245 34,051Timberland Bancorp, Inc. 937 23,959TrustCo Bank Corp. 13,259 101,697United Community Financial Corp. 5,610 54,137United Financial Bancorp, Inc. 6,922 86,525Walker & Dunlop, Inc. 3,527 197,018Washington Federal, Inc. 32,093 1,142,511Waterstone Financial, Inc. 3,400 56,406Western New England Bancorp, Inc. 3,527 31,355WSFS Financial Corp. 6,698 276,092

8,232,7871,113,854,596

Health care – 11.7%Biotechnology – 1.8%3SBio, Inc. (A)(B) 169,800 260,651AbbVie, Inc. 256,224 16,844,166Abeona Therapeutics, Inc. (A) 4,799 7,390ACADIA Pharmaceuticals, Inc. (A) 13,501 373,438Acceleron Pharma, Inc. (A) 5,795 260,253Achillion Pharmaceuticals, Inc. (A) 18,278 79,509Acorda Therapeutics, Inc. (A) 6,104 19,716Adamas Pharmaceuticals, Inc. (A)(C) 3,412 21,530Adverum Biotechnologies, Inc. (A) 6,939 71,680Aeglea BioTherapeutics, Inc. (A) 4,033 31,478Affimed NV (A) 8,589 23,877Agenus, Inc. (A) 14,569 41,959Aimmune Therapeutics, Inc. (A) 5,818 118,629Akcea Therapeutics, Inc. (A)(C) 1,723 36,286Akebia Therapeutics, Inc. (A) 15,551 64,226Albireo Pharma, Inc. (A) 1,468 35,893Alder Biopharmaceuticals, Inc. (A) 9,493 84,962Aldeyra Therapeutics, Inc. (A) 3,442 15,179Alector, Inc. (A) 1,429 23,521Alexion Pharmaceuticals, Inc. (A) 38,865 3,916,037Allakos, Inc. (A)(C) 2,271 200,893


COMMON STOCKS (continued)Biotechnology (continued)Allogene Therapeutics, Inc. (A)(C) 5,028 $ 136,912AMAG Pharmaceuticals, Inc. (A) 4,671 51,007Amgen, Inc. 105,714 22,054,055Amicus Therapeutics, Inc. (A) 29,695 293,684AnaptysBio, Inc. (A) 3,169 128,820Anavex Life Sciences Corp. (A)(C) 6,397 16,888Anika Therapeutics, Inc. (A) 1,789 101,544Apellis Pharmaceuticals, Inc. (A) 6,249 181,846Arcus Biosciences, Inc. (A) 4,588 35,832Arena Pharmaceuticals, Inc. (A) 6,388 337,861ArQule, Inc. (A) 13,126 117,609Arrowhead Pharmaceuticals, Inc. (A) 11,932 407,716Assembly Biosciences, Inc. (A) 3,152 35,649Atara Biotherapeutics, Inc. (A) 5,768 77,868Athenex, Inc. (A)(C) 7,682 113,156Athersys, Inc. (A)(C) 19,254 25,608Audentes Therapeutics, Inc. (A) 5,665 176,182Avid Bioservices, Inc. (A) 7,957 54,903Avrobio, Inc. (A) 2,158 42,038BeiGene, Ltd., ADR (A) 5,700 819,375Beyondspring, Inc. (A) 1,537 27,743BioCryst Pharmaceuticals, Inc. (A) 14,966 44,748Biogen, Inc. (A) 33,606 7,384,919Biohaven Pharmaceutical Holding

Company, Ltd. (A) 4,269 167,302BioSpecifics Technologies Corp. (A) 834 45,937Blueprint Medicines Corp. (A) 6,245 478,804Calithera Biosciences, Inc. (A) 5,253 20,854CareDx, Inc. (A) 5,269 120,239CASI Pharmaceuticals, Inc. (A) 7,494 24,430Catalyst Pharmaceuticals, Inc. (A) 12,837 79,076Celgene Corp. (A) 122,235 11,832,348Celltrion, Inc. (A) 12,224 1,589,965Cellular Biomedicine Group, Inc. (A) 1,763 21,755CEL-SCI Corp. (A)(C) 3,577 25,647ChemoCentryx, Inc. (A) 5,417 36,077Chimerix, Inc. (A) 6,962 14,063Clovis Oncology, Inc. (A) 6,367 35,719Coherus Biosciences, Inc. (A) 7,973 176,921Concert Pharmaceuticals, Inc. (A) 3,164 31,861Constellation Pharmaceuticals, Inc. (A) 2,320 16,820Corbus Pharmaceuticals

Holdings, Inc. (A)(C) 8,054 41,720Crinetics Pharmaceuticals, Inc. (A) 1,505 23,869CSL, Ltd. 69,915 11,325,105Cue Biopharma, Inc. (A) 2,820 23,096Cyclerion Therapeutics, Inc. (A) 3,297 31,354Cytokinetics, Inc. (A) 7,267 102,101CytomX Therapeutics, Inc. (A) 6,036 52,996Deciphera Pharmaceuticals, Inc. (A) 2,003 72,669Denali Therapeutics, Inc. (A)(C) 6,206 111,708Dicerna Pharmaceuticals, Inc. (A) 6,731 93,561Dynavax Technologies Corp. (A)(C) 9,058 37,500Eagle Pharmaceuticals, Inc. (A) 1,218 68,683Editas Medicine, Inc. (A) 6,430 159,657Eidos Therapeutics, Inc. (A)(C) 1,461 61,084Eiger BioPharmaceuticals, Inc. (A) 3,333 36,330Emergent BioSolutions, Inc. (A) 5,833 255,485Enanta Pharmaceuticals, Inc. (A) 2,207 155,704Epizyme, Inc. (A) 10,086 130,815Esperion Therapeutics, Inc. (A) 3,204 117,395Exelixis, Inc. (A) 82,593 1,639,471Fate Therapeutics, Inc. (A) 6,761 110,340FibroGen, Inc. (A) 9,933 443,608Five Prime Therapeutics, Inc. (A) 4,870 26,444




COMMON STOCKS (continued)Biotechnology (continued)Flexion Therapeutics, Inc. (A) 4,581 $ 60,332Forty Seven, Inc. (A) 2,391 18,124G1 Therapeutics, Inc. (A) 4,389 159,321Galectin Therapeutics, Inc. (A)(C) 5,120 17,050Genmab A/S (A) 9,968 2,037,655Genomic Health, Inc. (A) 3,459 265,167Geron Corp. (A)(C) 24,491 34,287Gilead Sciences, Inc. 220,386 14,003,326Global Blood Therapeutics, Inc. (A) 6,965 320,251GlycoMimetics, Inc. (A) 4,592 15,291Gossamer Bio, Inc. (A) 2,690 56,382Grifols SA 49,392 1,567,559Gritstone Oncology, Inc. (A) 3,493 35,349Halozyme Therapeutics, Inc. (A) 18,416 304,232Helixmith Company, Ltd. (A) 2,669 403,931Heron Therapeutics, Inc. (A) 9,539 176,662Homology Medicines, Inc. (A)(C) 3,197 60,455ImmunoGen, Inc. (A) 20,014 54,438Immunomedics, Inc. (A) 22,402 286,746Incyte Corp. (A) 30,848 2,523,983Inovio Pharmaceuticals, Inc. (A)(C) 12,895 27,853Insmed, Inc. (A) 9,956 163,677Intellia Therapeutics, Inc. (A)(C) 4,863 69,006Intercept Pharmaceuticals, Inc. (A)(C) 3,168 203,322Intrexon Corp. (A)(C) 9,459 55,241Invitae Corp. (A) 11,100 269,286Iovance Biotherapeutics, Inc. (A) 14,700 308,847Ironwood Pharmaceuticals, Inc. (A) 19,960 185,828Kadmon Holdings, Inc. (A) 18,689 39,994KalVista Pharmaceuticals, Inc. (A) 1,600 24,992Karyopharm Therapeutics, Inc. (A)(C) 7,759 67,038Kindred Biosciences, Inc. (A) 5,232 39,031Kiniksa Pharmaceuticals, Ltd., Class A (A) 1,993 17,598Kodiak Sciences, Inc. (A) 3,270 35,970Krystal Biotech, Inc. (A) 1,162 52,290Kura Oncology, Inc. (A) 3,823 58,033La Jolla Pharmaceutical Company (A) 2,863 27,399Lexicon Pharmaceuticals, Inc. (A)(C) 5,849 7,721Ligand Pharmaceuticals, Inc. (A) 7,803 709,371MacroGenics, Inc. (A) 6,204 88,965Madrigal Pharmaceuticals, Inc. (A) 1,017 94,276Magenta Therapeutics, Inc. (A) 2,648 27,354MannKind Corp. (A)(C) 26,553 29,208Marker Therapeutics, Inc. (A)(C) 3,832 19,811MediciNova, Inc. (A)(C) 5,620 48,669Medy-Tox, Inc. 605 176,166MEI Pharma, Inc. (A) 10,728 18,345MeiraGTx Holdings PLC (A) 2,074 41,999Mersana Therapeutics, Inc. (A) 5,850 14,391Minerva Neurosciences, Inc. (A) 4,494 32,087Mirati Therapeutics, Inc. (A) 3,195 261,894Molecular Templates, Inc. (A) 2,552 12,837Momenta Pharmaceuticals, Inc. (A) 12,860 162,422Myriad Genetics, Inc. (A) 8,971 211,088Natera, Inc. (A) 7,203 237,339Novavax, Inc. (A)(C) 3,409 20,352OPKO Health, Inc. (A)(C) 44,322 81,552Palatin Technologies, Inc. (A) 28,371 25,565PDL BioPharma, Inc. (A) 16,025 37,499PeptiDream, Inc. (A) 12,900 674,993Pfenex, Inc. (A) 4,370 32,120PhaseBio Pharmaceuticals, Inc. (A) 1,935 16,718Pieris Pharmaceuticals, Inc. (A) 6,557 30,490Portola Pharmaceuticals, Inc. (A) 8,590 249,625Principia Biopharma, Inc. (A) 1,789 71,023


COMMON STOCKS (continued)Biotechnology (continued)Progenics Pharmaceuticals, Inc. (A) 11,426 $ 50,274Protagonist Therapeutics, Inc. (A) 2,208 28,770Prothena Corp. PLC (A) 5,564 46,793PTC Therapeutics, Inc. (A) 7,324 326,431Puma Biotechnology, Inc. (A) 4,066 43,710Ra Pharmaceuticals, Inc. (A) 4,037 109,806Radius Health, Inc. (A) 5,859 165,810Recro Pharma, Inc. (A) 2,697 31,717Regeneron Pharmaceuticals, Inc. (A) 13,630 3,953,382REGENXBIO, Inc. (A) 4,279 147,583Repligen Corp. (A) 6,051 561,593Replimune Group, Inc. (A) 1,740 18,061Retrophin, Inc. (A) 5,432 68,389Rhythm Pharmaceuticals, Inc. (A) 3,084 69,452Rigel Pharmaceuticals, Inc. (A) 23,010 38,887Rocket Pharmaceuticals, Inc. (A) 3,934 42,684Rubius Therapeutics, Inc. (A)(C) 4,627 42,939Sangamo Therapeutics, Inc. (A) 14,843 161,789Scholar Rock Holding Corp. (A) 2,143 22,694SillaJen, Inc. (A) 8,400 73,030Sorrento Therapeutics, Inc. (A) 15,553 32,817Spark Therapeutics, Inc. (A) 4,386 427,240Spectrum Pharmaceuticals, Inc. (A) 14,612 107,252Stemline Therapeutics, Inc. (A) 5,316 63,314Syndax Pharmaceuticals, Inc. (A) 2,997 25,205Synlogic, Inc. (A) 2,500 6,975Syros Pharmaceuticals, Inc. (A) 4,930 54,082TaiMed Biologics, Inc. (A) 26,000 120,837TG Therapeutics, Inc. (A) 10,303 63,982The Medicines Company (A) 9,033 379,025Tocagen, Inc. (A) 3,177 10,325Translate Bio, Inc. (A) 3,966 36,011Turning Point Therapeutics, Inc. (A) 900 49,077Twist Bioscience Corp. (A) 2,796 81,168Ultragenyx Pharmaceutical, Inc. (A) 6,995 381,018United Therapeutics Corp. (A) 11,990 989,894UNITY Biotechnology, Inc. (A)(C) 3,754 22,899UroGen Pharma, Ltd. (A) 2,500 84,875Vanda Pharmaceuticals, Inc. (A) 6,745 95,037Veracyte, Inc. (A) 5,952 157,728Vericel Corp. (A) 5,700 94,278Vertex Pharmaceuticals, Inc. (A) 44,391 7,991,268Viking Therapeutics, Inc. (A)(C) 8,455 58,762Voyager Therapeutics, Inc. (A) 3,148 56,255Xencor, Inc. (A) 6,086 226,886Y-mAbs Therapeutics, Inc. (A) 2,709 71,978ZIOPHARM Oncology, Inc. (A)(C) 20,735 103,468

130,311,025Health care equipment and supplies – 2.8%Abbott Laboratories 275,438 23,500,370ABIOMED, Inc. (A) 7,045 1,360,178Accuray, Inc. (A) 12,077 32,366Alcon, Inc. (A) 65,787 4,000,584Align Technology, Inc. (A) 11,367 2,081,411AngioDynamics, Inc. (A) 4,731 86,908Antares Pharma, Inc. (A) 21,358 69,200Apyx Medical Corp. (A) 4,630 32,919Asahi Intecc Company, Ltd. 27,100 604,400AtriCure, Inc. (A) 4,726 129,445Atrion Corp. 181 140,664Avanos Medical, Inc. (A) 19,042 631,814Axogen, Inc. (A) 4,414 69,962Axonics Modulation Technologies, Inc. (A) 2,000 66,540Baxter International, Inc. 74,076 6,514,984Becton, Dickinson and Company 42,113 10,693,333




COMMON STOCKS (continued)Health care equipment and supplies (continued)BioMerieux 6,238 $ 507,087BioSig Technologies, Inc. (A)(C) 2,366 16,728Boston Scientific Corp. (A) 217,119 9,277,495Cantel Medical Corp. 9,945 914,244Cardiovascular Systems, Inc. (A) 4,361 211,203Carl Zeiss Meditec AG, Bearer Shares 4,412 509,873Cerus Corp. (A) 17,862 95,919Cochlear, Ltd. 8,893 1,301,998Coloplast A/S, B Shares 18,243 2,174,733Conformis, Inc. (A) 8,566 18,331CONMED Corp. 3,446 347,253Corindus Vascular Robotics, Inc. (A) 12,170 51,723CryoLife, Inc. (A) 4,633 124,164CryoPort, Inc. (A) 3,551 77,270Cutera, Inc. (A) 1,961 56,614CytoSorbents Corp. (A) 4,414 19,686Danaher Corp. 98,364 13,976,541Demant A/S (A) 17,287 523,776DENTSPLY SIRONA, Inc. 36,530 1,905,040Edwards Lifesciences Corp. (A) 32,553 7,221,558Fisher & Paykel Healthcare Corp., Ltd. 51,199 536,457GenMark Diagnostics, Inc. (A) 7,427 44,488Glaukos Corp. (A) 4,534 291,582Globus Medical, Inc., Class A (A) 30,598 1,562,640Haemonetics Corp. (A) 20,515 2,739,368Hartalega Holdings BHD 152,100 185,364Heska Corp. (A) 903 63,382Hill-Rom Holdings, Inc. 18,276 1,967,960Hologic, Inc. (A) 41,850 2,066,135Hoya Corp. 53,100 4,317,222ICU Medical, Inc. (A) 4,570 739,198IDEXX Laboratories, Inc. (A) 13,428 3,890,629Inogen, Inc. (A) 7,264 336,832Integer Holdings Corp. (A) 4,130 299,012Integra LifeSciences Holdings Corp. (A) 19,417 1,165,408IntriCon Corp. (A) 1,160 20,184Intuitive Surgical, Inc. (A) 18,025 9,216,904Invacare Corp. 4,790 23,184iRhythm Technologies, Inc. (A) 3,163 240,768Koninklijke Philips NV 249,520 11,760,950Lantheus Holdings, Inc. (A) 4,878 106,145LeMaitre Vascular, Inc. 2,141 67,784LivaNova PLC (A) 19,397 1,505,789Masimo Corp. (A) 13,436 2,059,067Medtronic PLC 209,320 22,583,535Meridian Bioscience, Inc. 5,571 51,420Merit Medical Systems, Inc. (A) 6,820 237,200Mesa Laboratories, Inc. 429 94,908Misonix, Inc. (A) 1,062 20,794Natus Medical, Inc. (A) 4,318 119,522Neogen Corp. (A) 6,548 461,765Neuronetics, Inc. (A) 1,932 20,614Nevro Corp. (A) 3,770 315,662Novocure, Ltd. (A) 10,795 980,834NuVasive, Inc. (A) 20,802 1,321,343Olympus Corp. 162,124 1,895,730OraSure Technologies, Inc. (A) 8,081 53,335Orthofix Medical, Inc. (A) 2,312 117,542OrthoPediatrics Corp. (A) 1,143 36,793Pulse Biosciences, Inc. (A)(C) 1,674 20,071Quidel Corp. (A) 4,532 285,743ResMed, Inc. 22,388 3,118,648Rockwell Medical, Inc. (A) 8,131 20,815RTI Surgical Holdings, Inc. (A) 7,990 25,408SeaSpine Holdings Corp. (A) 2,361 25,947


COMMON STOCKS (continued)Health care equipment and supplies (continued)Senseonics Holdings, Inc. (A)(C) 15,129 $ 15,432Shandong Weigao Group Medical Polymer

Company, Ltd., H Shares 273,200 281,243Shockwave Medical, Inc. (A) 858 35,907SI-BONE, Inc. (A) 2,176 42,301Siemens Healthineers AG (B) 16,468 647,722Sientra, Inc. (A) 3,426 23,400Silk Road Medical, Inc. (A) 911 39,255Smith & Nephew PLC 137,822 3,302,612Sonova Holding AG 8,443 1,962,318STAAR Surgical Company (A) 5,734 172,651STERIS PLC 23,142 3,573,125Straumann Holding AG 1,571 1,235,100Stryker Corp. 48,349 10,668,690Surmodics, Inc. (A) 1,730 81,414Sysmex Corp. 23,300 1,484,979Tactile Systems Technology, Inc. (A) 2,326 117,323Tandem Diabetes Care, Inc. (A) 7,060 511,356Teleflex, Inc. 7,206 2,622,408Terumo Corp. 89,846 2,607,086The Cooper Companies, Inc. 7,726 2,393,129Top Glove Corp. BHD 154,400 174,199TransEnterix, Inc. (A) 25,213 23,088TransMedics Group, Inc. (A) 920 22,034Utah Medical Products, Inc. 493 48,472Varex Imaging Corp. (A) 4,833 127,350Varian Medical Systems, Inc. (A) 14,199 1,504,100ViewRay, Inc. (A)(C) 9,033 35,590West Pharmaceutical Services, Inc. 20,113 2,925,637Wright Medical Group NV (A) 16,042 334,476Zimmer Biomet Holdings, Inc. 31,975 4,450,920Zynex, Inc. (C) 2,223 19,874

207,843,586Health care providers and services – 1.8%Acadia Healthcare Company, Inc. (A) 24,276 642,343Addus HomeCare Corp. (A) 1,341 117,981Alfresa Holdings Corp. 26,200 592,593Amedisys, Inc. (A) 11,977 1,541,560AmerisourceBergen Corp. 24,282 1,997,680AMN Healthcare Services, Inc. (A) 5,836 340,822Anthem, Inc. 40,155 10,501,336Bangkok Dusit Medical Services PCL 22,600 17,404Bangkok Dusit Medical Services PCL,

Foreign Quota Shares 1,201,612 925,327BioTelemetry, Inc. (A) 4,255 168,711Brookdale Senior Living, Inc. (A) 23,885 195,379Bumrungrad Hospital PCL, Foreign

Quota Shares 30,900 139,650Cardinal Health, Inc. 46,536 2,007,098Catasys, Inc. (A)(C) 1,023 14,363Celltrion Healthcare Company, Ltd. (A) 7,011 258,181Centene Corp. (A) 64,538 3,008,762Chemed Corp. 4,363 1,873,603Cigna Corp. 59,244 9,121,799Community Health Systems, Inc. (A) 11,905 29,643CorVel Corp. (A) 1,138 95,854Covetrus, Inc. (A) 26,292 349,421Cross Country Healthcare, Inc. (A) 5,041 51,670CVS Health Corp. 202,824 12,356,038DaVita, Inc. (A) 19,745 1,113,026Diplomat Pharmacy, Inc. (A) 7,776 45,179Encompass Health Corp. 27,055 1,644,673Enzo Biochem, Inc. (A) 6,559 21,317Fresenius Medical Care AG &

Company KGaA 23,825 1,603,375




COMMON STOCKS (continued)Health care providers and services (continued)Fresenius SE & Company KGaA 46,063 $ 2,239,140Hanger, Inc. (A) 4,707 88,868HCA Healthcare, Inc. 41,686 5,010,657HealthEquity, Inc. (A) 26,695 1,584,615Henry Schein, Inc. (A) 23,275 1,434,206Humana, Inc. 21,083 5,970,916IHH Healthcare BHD 222,209 305,447Laboratory Corp. of America Holdings (A) 15,379 2,576,905LHC Group, Inc. (A) 3,829 453,737Life Healthcare Group Holdings, Ltd. 194,059 291,977Magellan Health, Inc. (A) 2,768 174,412McKesson Corp. 29,658 4,100,812Medipal Holdings Corp. 25,400 539,155MEDNAX, Inc. (A) 23,685 499,280Molina Healthcare, Inc. (A) 17,139 2,232,869National HealthCare Corp. 1,537 124,190National Research Corp. 1,555 99,567Netcare, Ltd. 162,073 174,116NMC Health PLC (C) 14,858 453,564Notre Dame Intermedica Participacoes SA 44,900 608,064Option Care Health, Inc. (A) 17,381 60,834Owens & Minor, Inc. 8,682 44,105Patterson Companies, Inc. 33,260 556,107PetIQ, Inc. (A) 2,470 78,200Quest Diagnostics, Inc. 20,980 2,147,723R1 RCM, Inc. (A) 13,101 152,758RadNet, Inc. (A) 5,554 77,256Ramsay Health Care, Ltd. 21,764 961,268Ryman Healthcare, Ltd. 35,902 294,466Select Medical Holdings Corp. (A) 14,127 229,140Shanghai Pharmaceuticals Holding

Company, Ltd., H Shares 109,300 206,019Sinopharm Group Company, Ltd.,

H Shares 159,100 574,194Sonic Healthcare, Ltd. 69,255 1,370,928Surgery Partners, Inc. (A) 3,509 22,598Suzuken Company, Ltd. 10,000 536,901Tenet Healthcare Corp. (A) 36,024 779,920The Ensign Group, Inc. 6,454 322,055The Joint Corp. (A) 1,801 30,221The Providence Service Corp. (A) 1,520 85,439Tivity Health, Inc. (A)(C) 6,127 111,879Triple-S Management Corp., Class B (A) 3,001 61,581UnitedHealth Group, Inc. 148,375 34,719,750Universal Health Services, Inc., Class B 12,940 1,870,865US Physical Therapy, Inc. 1,592 212,564WellCare Health Plans, Inc. (A) 7,855 2,126,663

127,370,719Health care technology – 0.1%Alibaba Health Information

Technology, Ltd. (A) 471,100 445,196Allscripts Healthcare Solutions, Inc. (A) 66,644 605,128Castlight Health, Inc., B Shares (A) 13,937 19,651Cerner Corp. 50,807 3,501,110Computer Programs & Systems, Inc. 1,713 36,230Evolent Health, Inc., Class A (A) 9,391 64,516HealthStream, Inc. (A) 3,397 85,842HMS Holdings Corp. (A) 11,093 405,227Inovalon Holdings, Inc., Class A (A)(C) 9,033 152,838Inspire Medical Systems, Inc. (A) 1,684 117,055M3, Inc. 58,700 1,244,084Medidata Solutions, Inc. (A) 17,041 1,560,615NextGen Healthcare, Inc. (A) 6,906 98,134Omnicell, Inc. (A) 5,208 373,934OptimizeRx Corp. (A) 1,693 27,782


COMMON STOCKS (continued)Health care technology (continued)Simulations Plus, Inc. 1,633 $ 58,968Tabula Rasa HealthCare, Inc. (A) 2,509 142,511Teladoc Health, Inc. (A)(C) 9,101 526,766Vocera Communications, Inc. (A) 3,890 89,276

9,554,863Life sciences tools and services – 0.7%Accelerate Diagnostics, Inc. (A)(C) 3,572 67,118Agilent Technologies, Inc. 42,515 3,023,242Bio-Rad Laboratories, Inc., Class A (A) 5,483 1,851,664Bio-Techne Corp. 10,366 1,985,815Cambrex Corp. (A) 4,338 259,976Charles River Laboratories

International, Inc. (A) 13,344 1,750,733ChromaDex Corp. (A) 5,770 22,561Codexis, Inc. (A) 6,728 94,394Eurofins Scientific SE (C) 1,738 796,062Fluidigm Corp. (A) 8,907 49,701Genscript Biotech Corp. (A) 123,400 275,613Illumina, Inc. (A) 19,778 5,564,343IQVIA Holdings, Inc. (A) 21,230 3,293,835Lonza Group AG (A) 11,359 4,031,705Luminex Corp. 5,386 110,413Medpace Holdings, Inc. (A) 3,529 285,531Mettler-Toledo International, Inc. (A) 3,337 2,191,708NanoString Technologies, Inc. (A) 4,249 108,265NeoGenomics, Inc. (A) 11,198 279,726Pacific Biosciences of California, Inc. (A) 18,262 101,354PerkinElmer, Inc. 14,924 1,234,215PRA Health Sciences, Inc. (A) 16,174 1,598,638QIAGEN NV (A) 25,302 881,760Quanterix Corp. (A) 1,285 33,834Samsung Biologics Company, Ltd. (A)(B) 2,314 515,011Sartorius Stedim Biotech 4,185 647,756Syneos Health, Inc. (A) 24,701 1,297,544Thermo Fisher Scientific, Inc. 53,816 15,448,421Waters Corp. (A) 9,348 1,980,748WuXi AppTec Company, Ltd., H

Shares (B) 20,280 226,973Wuxi Biologics Cayman, Inc. (A)(B) 74,200 778,763

50,787,422Pharmaceuticals – 4.5%AcelRx Pharmaceuticals, Inc. (A)(C) 11,283 26,289Aerie Pharmaceuticals, Inc. (A) 5,451 118,069Akorn, Inc. (A) 12,361 35,723Allergan PLC 43,588 6,961,875Amneal Pharmaceuticals, Inc. (A) 12,299 31,362Amphastar Pharmaceuticals, Inc. (A) 4,708 105,742ANI Pharmaceuticals, Inc. (A) 1,191 78,011Arvinas, Inc. (A) 2,367 61,566Aspen Pharmacare Holdings, Ltd. 55,689 289,339Assertio Therapeutics, Inc. (A) 8,932 12,862Astellas Pharma, Inc. 262,100 3,617,891AstraZeneca PLC 200,102 17,873,398Aurora Cannabis, Inc. (A)(C) 128,165 706,573Axsome Therapeutics, Inc. (A) 3,152 80,218Bausch Health Companies, Inc. (A) 58,288 1,242,024Bayer AG 103,017 7,656,608BioDelivery Sciences

International, Inc. (A) 11,169 47,915Bristol-Myers Squibb Company 231,385 11,122,677Canopy Growth Corp. (A)(C) 37,777 892,643Cara Therapeutics, Inc. (A)(C) 4,432 103,886Catalent, Inc. (A) 39,881 2,103,324Celltrion Pharm, Inc. (A) 2,135 58,532Chiasma, Inc. (A) 3,738 19,363




COMMON STOCKS (continued)Pharmaceuticals (continued)China Medical System Holdings, Ltd. 183,500 $ 228,185China Resources Pharmaceutical

Group, Ltd. (B) 208,500 214,913China Traditional Chinese Medicine

Holdings Company, Ltd. 308,400 144,431Chugai Pharmaceutical Company, Ltd. 31,200 2,228,323Collegium Pharmaceutical, Inc. (A) 4,320 50,026Corcept Therapeutics, Inc. (A) 12,558 158,356Corium International, Inc. (A)(D) 3,584 645CorMedix, Inc. (A)(C) 3,242 24,899Cronos Group, Inc. (A)(C) 33,761 372,502CSPC Pharmaceutical Group, Ltd. 627,100 1,249,471Cymabay Therapeutics, Inc. (A) 9,156 54,204Daiichi Sankyo Company, Ltd. 79,000 5,210,314Dermira, Inc. (A) 6,180 49,502Eisai Company, Ltd. 35,154 1,793,941Elanco Animal Health, Inc. (A) 1,002 26,072Elanco Animal Health, Inc. (A)(D) 6,772 171Eli Lilly & Company 122,224 13,807,645Eloxx Pharmaceuticals, Inc. (A) 3,293 20,417Endo International PLC (A) 29,028 68,796Evolus, Inc. (A)(C) 1,540 26,550GlaxoSmithKline PLC 783,926 16,336,518H Lundbeck A/S 10,653 387,278Hanmi Pharm Company, Ltd. 899 208,758Hanmi Science Company, Ltd. 1,863 63,006Hisamitsu Pharmaceutical

Company, Inc. (C) 7,300 294,881Hutchison China MediTech, Ltd., ADR (A) 8,100 176,499Hypera SA 49,379 383,608Innoviva, Inc. (A) 8,251 95,629Intersect ENT, Inc. (A) 3,989 65,340Intra-Cellular Therapies, Inc. (A) 5,954 50,966Ipsen SA 5,718 601,021Johnson & Johnson 375,575 48,208,807Kalbe Farma Tbk PT 1,577,910 187,923Kyowa Kirin Company, Ltd. 33,728 617,020Lannett Company, Inc. (A)(C) 4,370 45,011Luye Pharma Group, Ltd. (B) 154,100 119,307Mallinckrodt PLC (A)(C) 33,867 87,716Marinus Pharmaceuticals, Inc. (A) 7,156 8,229Merck & Company, Inc. 364,201 31,492,460Merck KGaA 14,242 1,525,828Mitsubishi Tanabe Pharma Corp. 31,000 341,771Mylan NV (A) 72,916 1,419,675MyoKardia, Inc. (A) 5,691 306,005Nektar Therapeutics (A) 24,657 433,223Novartis AG 330,686 29,812,881Novo Nordisk A/S, B Shares 265,780 13,847,768Ocular Therapeutix, Inc. (A)(C) 5,480 23,509Odonate Therapeutics, Inc. (A) 1,095 33,737Omeros Corp. (A)(C) 6,103 112,844Ono Pharmaceutical Company, Ltd. 53,000 977,460Optinose, Inc. (A)(C) 3,824 29,292Orion OYJ, Class B 3,812 141,673Otsuka Holdings Company, Ltd. 54,400 2,235,526Pacira BioSciences, Inc. (A) 5,212 194,095Perrigo Company PLC 17,698 827,912Pfizer, Inc. 785,340 27,918,837Phibro Animal Health Corp., Class A 2,679 55,321Prestige Consumer Healthcare, Inc. (A) 20,835 664,220Reata Pharmaceuticals, Inc., Class A (A) 2,583 199,149Recordati SpA 9,616 421,924resTORbio, Inc. (A) 2,206 21,222Revance Therapeutics, Inc. (A) 5,890 62,434


COMMON STOCKS (continued)Pharmaceuticals (continued)Richter Gedeon NYRT 21,599 $ 360,182Roche Holding AG 107,147 29,279,011Sanofi 170,358 14,635,054Santen Pharmaceutical Company, Ltd. 51,000 891,756Shanghai Fosun Pharmaceutical Group

Company, Ltd., H Shares 70,500 208,802Shionogi & Company, Ltd. 37,563 2,010,574SIGA Technologies, Inc. (A) 7,339 36,842Sihuan Pharmaceutical Holdings

Group, Ltd. 514,000 91,504Sino Biopharmaceutical, Ltd. 930,350 1,378,471SSY Group, Ltd. 203,300 179,278Sumitomo Dainippon Pharma

Company, Ltd. 22,200 386,966Supernus Pharmaceuticals, Inc. (A) 6,362 171,965Taisho Pharmaceutical Holdings

Company, Ltd. 5,000 347,627Takeda Pharmaceutical Company, Ltd. 206,928 6,976,762Teva Pharmaceutical Industries, Ltd.,

ADR (A) 146,836 1,013,168TherapeuticsMD, Inc. (A)(C) 26,175 75,646Theravance Biopharma, Inc. (A) 5,836 128,567Tong Ren Tang Technologies

Company, Ltd., H Shares 72,300 78,385Tricida, Inc. (A)(C) 2,854 99,576UCB SA 34,908 2,609,016Vifor Pharma AG 6,945 1,104,917WaVe Life Sciences, Ltd. (A)(C) 2,988 68,724Xeris Pharmaceuticals, Inc. (A) 3,782 43,833Yuhan Corp. 1,245 236,334Zoetis, Inc. 67,709 8,559,772Zogenix, Inc. (A) 5,472 233,600Zynerba Pharmaceuticals, Inc. (A)(C) 2,844 30,402

331,248,270857,115,885

Industrials – 9.2%Aerospace and defense – 1.3%AAR Corp. 4,305 184,943Aerojet Rocketdyne Holdings, Inc. (A) 9,292 485,321Aerovironment, Inc. (A) 2,760 142,223Airbus SE 88,386 12,179,000Arconic, Inc. 29,648 766,104Aselsan Elektronik Sanayi Ve Ticaret AS 63,871 200,356Astronics Corp. (A) 3,129 86,079AviChina Industry & Technology

Company, Ltd., H Shares 331,300 172,850Axon Enterprise, Inc. (A) 24,220 1,452,473BAE Systems PLC 504,629 3,355,845Bombardier, Inc., Class B (A) 393,475 508,320CAE, Inc. 49,719 1,301,417Cubic Corp. 3,982 275,833Curtiss-Wright Corp. 11,707 1,435,746Dassault Aviation SA 378 537,891Ducommun, Inc. (A) 1,440 59,299Embraer SA 91,208 395,359General Dynamics Corp. 20,163 3,856,577Huntington Ingalls Industries, Inc. 3,085 644,765Korea Aerospace Industries, Ltd. 10,203 331,499Kratos Defense & Security

Solutions, Inc. (A) 11,487 229,395L3Harris Technologies, Inc. 16,441 3,475,792Leonardo SpA 37,861 465,215Lockheed Martin Corp. 18,252 7,010,776Maxar Technologies, Inc. (C) 7,811 55,302Meggitt PLC 122,078 921,364




COMMON STOCKS (continued)Aerospace and defense (continued)Mercury Systems, Inc. (A) 6,774 $ 580,058Moog, Inc., Class A 3,873 314,681MTU Aero Engines AG 5,728 1,567,464National Presto Industries, Inc. 643 55,112Northrop Grumman Corp. 12,608 4,638,105Park Aerospace Corp. 2,593 43,822Parsons Corp. (A) 2,364 80,423Raytheon Company 20,683 3,832,974Rolls-Royce Holdings PLC (A) 269,067 2,528,764Safran SA 49,667 7,213,721Singapore Technologies Engineering, Ltd. 75,200 213,141Teledyne Technologies, Inc. (A) 9,918 3,060,596Textron, Inc. 17,284 777,780Thales SA 16,105 1,862,166The Boeing Company 38,853 14,145,989TransDigm Group, Inc. 3,633 1,955,717Triumph Group, Inc. 6,387 132,722United Technologies Corp. 60,230 7,844,355Vectrus, Inc. (A) 1,479 59,840Wesco Aircraft Holdings, Inc. (A) 6,859 75,449

91,512,623Air freight and logistics – 0.3%Air Transport Services Group, Inc. (A) 7,532 152,146Atlas Air Worldwide Holdings, Inc. (A) 2,997 77,472Bollore SA 131,615 558,785C.H. Robinson Worldwide, Inc. 10,725 906,155Deutsche Post AG 109,280 3,586,086Echo Global Logistics, Inc. (A) 3,628 72,705Expeditors International of

Washington, Inc. 13,508 960,419FedEx Corp. 18,828 2,986,309Forward Air Corp. 3,683 229,451Hub Group, Inc., Class A (A) 4,265 183,651Hyundai Glovis Company, Ltd. 2,635 348,268Radiant Logistics, Inc. (A) 5,489 26,786SG Holdings Company, Ltd. 19,900 531,787Sinotrans, Ltd., H Shares 274,200 88,227United Parcel Service, Inc., Class B 54,782 6,500,432XPO Logistics, Inc. (A) 25,167 1,783,334Yamato Holdings Company, Ltd. 42,700 738,427ZTO Express Cayman, Inc., ADR 42,600 873,726

20,604,166Airlines – 0.2%Air China, Ltd., H Shares 250,966 216,595AirAsia Group BHD 169,546 72,082Alaska Air Group, Inc. 9,700 579,284Allegiant Travel Company 1,652 234,567American Airlines Group, Inc. 31,093 818,057ANA Holdings, Inc. 16,000 546,682China Airlines, Ltd. 374,000 110,003China Eastern Airlines Corp., Ltd., H

Shares (A) 196,400 92,207China Southern Airlines Company, Ltd.,

H Shares 230,900 129,536Delta Air Lines, Inc. 46,787 2,707,096Deutsche Lufthansa AG 26,795 413,000easyJet PLC 25,300 297,663Eva Airways Corp. 331,185 149,137Hawaiian Holdings, Inc. 6,088 148,608Japan Airlines Company, Ltd. 16,100 502,507JetBlue Airways Corp. (A) 82,366 1,426,579Korean Air Lines Company, Ltd. 6,690 122,614Latam Airlines Group SA 17,967 150,884Mesa Air Group, Inc. (A) 2,968 19,173Singapore Airlines, Ltd. 27,140 172,711


COMMON STOCKS (continued)Airlines (continued)SkyWest, Inc. 6,366 $ 364,517Southwest Airlines Company 38,386 2,008,356Spirit Airlines, Inc. (A) 8,677 325,735Turk Hava Yollari AO (A) 102,580 199,406United Airlines Holdings, Inc. (A) 17,359 1,463,537

13,270,536Building products – 0.5%AAON, Inc. 5,209 249,876Advanced Drainage Systems, Inc. 4,644 145,775AGC, Inc. 25,584 737,339Allegion PLC 13,397 1,289,729American Woodmark Corp. (A) 1,965 161,857AO Smith Corp. 20,127 936,308Apogee Enterprises, Inc. 3,367 124,343Armstrong Flooring, Inc. (A) 3,186 21,569Assa Abloy AB, B Shares 167,788 3,502,433Builders FirstSource, Inc. (A) 14,637 284,690Caesarstone, Ltd. 3,097 46,424Cie de Saint-Gobain 74,809 2,697,385Continental Building Products, Inc. (A) 4,431 111,395Cornerstone Building Brands, Inc. (A) 6,127 28,736CSW Industrials, Inc. 1,876 127,962Daikin Industries, Ltd. 34,700 4,290,503Fortune Brands Home & Security, Inc. 19,947 1,018,494Geberit AG 5,615 2,559,879Gibraltar Industries, Inc. (A) 4,159 167,483Griffon Corp. 4,785 83,498Insteel Industries, Inc. 2,516 47,049JELD-WEN Holding, Inc. (A) 8,664 149,541Johnson Controls International PLC 113,480 4,844,461KCC Corp. 834 155,443Kingspan Group PLC 24,608 1,123,387Lennox International, Inc. 9,656 2,450,500LIXIL Group Corp. 37,100 607,026Masco Corp. 41,861 1,704,999Masonite International Corp. (A) 3,189 170,261Patrick Industries, Inc. (A) 2,916 105,384PGT Innovations, Inc. (A) 7,228 115,648Quanex Building Products Corp. 4,325 74,477Resideo Technologies, Inc. (A) 33,582 462,760Simpson Manufacturing Company, Inc. 5,648 362,602TOTO, Ltd. 19,800 715,527Trex Company, Inc. (A) 23,474 2,007,731Universal Forest Products, Inc. 7,601 297,199

33,979,673Commercial services and supplies – 0.6%ABM Industries, Inc. 8,416 313,580ACCO Brands Corp. 13,176 122,142Advanced Disposal Services, Inc. (A) 9,193 298,037Brady Corp., Class A 5,995 283,024Brambles, Ltd. 245,632 1,866,964BrightView Holdings, Inc. (A) 4,029 73,852Casella Waste Systems, Inc., Class A (A) 5,727 260,579CECO Environmental Corp. (A) 4,286 29,788China Everbright International, Ltd. 490,500 384,295Cimpress NV (A) 2,803 321,476Cintas Corp. 11,622 3,065,884Clean Harbors, Inc. (A) 13,916 1,023,522Copart, Inc. (A) 27,665 2,085,664Country Garden Services Holdings

Company, Ltd. 161,400 465,553Covanta Holding Corp. 15,116 259,995Dai Nippon Printing Company, Ltd. 33,500 724,128Deluxe Corp. 17,545 808,474Edenred 36,166 1,761,070




COMMON STOCKS (continued)Commercial services and supplies (continued)Ennis, Inc. 3,528 $ 70,948G4S PLC 243,626 516,472Greentown Service Group Company, Ltd. 147,000 134,007Healthcare Services Group, Inc. 29,766 671,223Heritage-Crystal Clean, Inc. (A) 2,072 50,764Herman Miller, Inc. 23,639 999,457HNI Corp. 17,448 544,203Interface, Inc. 7,759 85,737ISS A/S 23,856 606,149Kimball International, Inc., Class B 4,896 85,925Knoll, Inc. 6,348 146,385Matthews International Corp., Class A 4,007 117,445McGrath RentCorp 3,077 197,020Mobile Mini, Inc. 5,773 180,464MSA Safety, Inc. 14,109 1,490,334Park24 Company, Ltd. 16,000 328,190PICO Holdings, Inc. (A) 3,295 31,731Pitney Bowes, Inc. 23,535 83,785Quad/Graphics, Inc. 4,471 40,194Rentokil Initial PLC 290,275 1,594,954Republic Services, Inc. 29,564 2,638,587Rollins, Inc. 20,224 663,549RR Donnelley & Sons Company 10,551 25,533S-1 Corp. 2,326 193,827Secom Company, Ltd. 29,094 2,478,982Securitas AB, B Shares 51,925 778,653Societe BIC SA 3,765 240,585Sohgo Security Services Company, Ltd. 9,800 493,756SP Plus Corp. (A) 2,942 101,528Steelcase, Inc., Class A 11,138 172,973Stericycle, Inc. (A) 23,422 1,051,414Team, Inc. (A) 3,928 64,733Tetra Tech, Inc. 21,926 1,778,637The Brink’s Company 19,992 1,504,398Toppan Printing Company, Ltd. 39,000 621,220UniFirst Corp. 1,908 373,796US Ecology, Inc. 2,852 172,746Viad Corp. 2,515 162,544VSE Corp. 1,257 40,023Waste Management, Inc. 53,610 6,398,354

42,079,252Construction and engineering – 0.5%ACS Actividades de Construccion y

Servicios SA 43,546 1,647,849AECOM (A) 43,067 1,528,017Aegion Corp. (A) 4,138 81,684Ameresco, Inc., Class A (A) 3,018 43,459Arcosa, Inc. 6,205 201,600Argan, Inc. 1,836 75,845Bouygues SA 33,855 1,286,007China Communications

Construction Company, Ltd., H Shares 593,865 459,667China Communications Services Corp.,

Ltd., H Shares 319,200 178,288China Railway Construction Corp., Ltd.,

H Shares 262,100 282,471China Railway Group, Ltd., H Shares 510,200 333,136China State Construction International

Holdings, Ltd. 271,900 244,703CIMIC Group, Ltd. 15,306 319,393Comfort Systems USA, Inc. 4,612 178,300Construction Partners, Inc., Class A (A) 1,770 29,187Daelim Industrial Company, Ltd. 3,939 317,969Daewoo Engineering & Construction

Company, Ltd. (A) 27,245 94,121


COMMON STOCKS (continued)Construction and engineering (continued)Dycom Industries, Inc. (A) 12,502 $ 556,339Eiffage SA 11,819 1,224,724EMCOR Group, Inc. 22,392 1,957,956Ferrovial SA 80,516 2,291,778Fluor Corp. 38,298 676,726Gamuda BHD 178,400 152,438Granite Construction, Inc. 18,780 534,103Great Lakes Dredge & Dock Corp. (A) 7,875 85,365GS Engineering & Construction Corp. 8,496 227,723HDC Hyundai Development

Co-Engineering & Construction,Series E 3,764 111,534

HOCHTIEF AG 2,736 298,365Hyundai Engineering & Construction

Company, Ltd. 10,955 375,208IES Holdings, Inc. (A) 1,254 23,663IJM Corp. BHD 281,000 152,006Jacobs Engineering Group, Inc. 25,146 2,234,474JGC Corp. 30,900 358,318Kajima Corp. 63,300 769,440MasTec, Inc. (A) 24,486 1,539,435Metallurgical Corp. of China, Ltd.,

H Shares 388,800 86,672MYR Group, Inc. (A) 2,128 61,010Northwest Pipe Company (A) 1,406 32,338NV5 Global, Inc. (A) 1,307 80,681Obayashi Corp. 91,300 840,229Primoris Services Corp. 5,706 111,495Quanta Services, Inc. 31,135 1,055,477Samsung Engineering Company, Ltd. (A) 22,110 283,592Shimizu Corp. 83,000 691,404Sinopec Engineering Group

Company, Ltd., H Shares 186,100 121,351Skanska AB, B Shares 56,949 1,068,637SNC-Lavalin Group, Inc. 33,364 411,224Sterling Construction Company, Inc. (A) 3,548 39,702Taisei Corp. 28,300 1,000,131Tutor Perini Corp. (A) 5,058 50,529Valmont Industries, Inc. 5,982 810,561Vinci SA 77,161 8,430,398WillScot Corp. (A) 6,669 93,033WSP Global, Inc. 20,135 1,090,079

37,229,834Electrical equipment – 0.7%ABB, Ltd. 281,291 5,349,071Acuity Brands, Inc. 10,922 1,369,728Allied Motion Technologies, Inc. 1,005 32,371American Superconductor Corp. (A) 3,091 23,708AMETEK, Inc. 37,614 3,232,171Atkore International Group, Inc. (A) 5,898 171,101AZZ, Inc. 3,322 137,099Bloom Energy Corp., Class A (A)(C) 7,186 32,193Eaton Corp. PLC 69,848 5,638,131Emerson Electric Company 101,465 6,046,299Encore Wire Corp. 2,619 141,400EnerSys 17,210 963,760Fuji Electric Company, Ltd. 17,900 509,347Fullshare Holdings, Ltd. (A) 1,231,400 32,779Generac Holdings, Inc. (A) 7,739 603,565Hubbell, Inc. 14,919 1,956,478Legrand SA 40,372 2,850,355Melrose Industries PLC 769,824 1,701,494Mitsubishi Electric Corp. 255,418 3,074,319Nidec Corp. 31,200 4,059,891nVent Electric PLC 43,464 880,581




COMMON STOCKS (continued)Electrical equipment (continued)Plug Power, Inc. (A)(C) 29,798 $ 64,662Powell Industries, Inc. 1,205 43,766Preformed Line Products Company 499 25,574Prysmian SpA 22,550 494,876Regal Beloit Corp. 11,718 830,806Rockwell Automation, Inc. 19,540 2,985,517Schneider Electric SE 82,066 6,874,167Schneider Electric SE (Euronext

London Exchange) 1,474 123,167Shanghai Electric Group Company, Ltd.,

H Shares 341,436 107,428Siemens Gamesa Renewable Energy SA 39,731 542,265Sunrun, Inc. (A) 14,121 216,475Thermon Group Holdings, Inc. (A) 4,271 92,894TPI Composites, Inc. (A) 3,761 66,344Vestas Wind Systems A/S 30,088 2,212,516Vicor Corp. (A) 2,303 70,218Vivint Solar, Inc. (A)(C) 5,878 47,377WEG SA 109,698 596,041Xinjiang Goldwind Science & Technology

Company, Ltd., H Shares 104,400 122,646Zhuzhou CRRC Times Electric

Company, Ltd., H Shares 72,400 287,41454,609,994

Industrial conglomerates – 1.1%3M Company 88,333 14,285,213Aboitiz Equity Ventures, Inc. 239,920 248,303Alfa SAB de CV, Class A 440,600 377,472Alliance Global Group, Inc. 486,000 118,542Ayala Corp. 34,315 609,391Carlisle Companies, Inc. 15,618 2,263,985CITIC, Ltd. 778,333 920,213CJ Corp. 2,067 139,306CK Hutchison Holdings, Ltd. 429,972 3,737,670DCC PLC 15,454 1,317,029DMCI Holdings, Inc. 485,000 84,293Far Eastern New Century Corp. 488,133 442,901Fosun International, Ltd. 348,500 446,723General Electric Company 1,336,395 11,025,259Grupo Carso SAB de CV, Series A1 66,400 191,598GT Capital Holdings, Inc. 11,698 203,952HAP Seng Consolidated BHD 60,900 143,608Honeywell International, Inc. 111,521 18,358,587Jardine Matheson Holdings, Ltd. 35,132 1,910,392Jardine Strategic Holdings, Ltd. 35,300 1,116,097JG Summit Holdings, Inc. 348,610 481,570Keihan Holdings Company, Ltd. 13,000 544,345Keppel Corp., Ltd. 71,531 300,627KOC Holding AS 140,755 423,512LG Corp. 13,417 789,280Lotte Corp. 3,902 107,640NWS Holdings, Ltd. 247,230 425,002Raven Industries, Inc. 4,598 134,124Roper Technologies, Inc. 15,913 5,836,252Samsung C&T Corp. 12,015 858,198Sembcorp Industries, Ltd. 50,200 74,757Shanghai Industrial Holdings, Ltd. 64,270 125,071Siemens AG 84,513 8,451,498Sime Darby BHD 284,400 154,638SK Holdings Company, Ltd. 4,956 819,511SM Investments Corp. 29,135 574,065Smiths Group PLC 62,156 1,266,637The Bidvest Group, Ltd. 40,652 478,978Toshiba Corp. 77,400 2,402,266


COMMON STOCKS (continued)Industrial conglomerates (continued)Turkiye Sise ve Cam Fabrikalari AS 125,320 $ 93,315

82,281,820Machinery – 1.5%Actuant Corp., Class A 7,062 156,847AGCO Corp. 17,652 1,220,106Airtac International Group 19,000 195,473Alamo Group, Inc. 1,241 141,697Albany International Corp., Class A 3,686 303,063Alfa Laval AB 52,844 974,299Alstom SA 23,474 1,003,664Altra Industrial Motion Corp. 8,197 213,040Amada Holdings Company, Ltd. 47,800 496,872ANDRITZ AG 12,453 438,434Astec Industries, Inc. 2,962 81,751Atlas Copco AB, A Shares 112,337 3,358,693Atlas Copco AB, B Shares 65,755 1,754,547Barnes Group, Inc. 6,059 271,746Blue Bird Corp. (A) 2,076 37,866Briggs & Stratton Corp. 5,418 23,406Caterpillar, Inc. 47,903 5,700,457Chart Industries, Inc. (A) 4,517 283,848China Conch Venture Holdings, Ltd. 217,400 722,775CIRCOR International, Inc. (A) 2,522 86,681CNH Industrial NV 95,333 983,950Colfax Corp. (A)(C) 26,060 708,832Columbus McKinnon Corp. 2,974 96,268Commercial Vehicle Group, Inc. (A) 4,334 27,521Crane Company 13,931 1,062,099CRRC Corp., Ltd., H Shares 580,700 398,610Cummins, Inc. 12,137 1,811,690Daewoo Shipbuilding & Marine

Engineering Company, Ltd. (A) 5,210 117,765Daifuku Company, Ltd. 14,200 669,183Deere & Company 26,553 4,113,325Donaldson Company, Inc. 34,902 1,687,861Doosan Bobcat, Inc. 6,985 206,899Douglas Dynamics, Inc. 2,894 120,853Dover Corp. 12,173 1,141,097Energy Recovery, Inc. (A) 4,937 47,741EnPro Industries, Inc. 2,634 164,046Epiroc AB, A Shares 109,283 1,135,125Epiroc AB, B Shares 66,540 660,607ESCO Technologies, Inc. 3,222 245,291Evoqua Water Technologies Corp. (A) 9,719 150,256FANUC Corp. 27,000 4,675,657Federal Signal Corp. 7,598 225,737Flowserve Corp. 10,985 468,840Fortive Corp. 24,701 1,751,301Franklin Electric Company, Inc. 5,882 269,690GEA Group AG 16,949 456,854Graco, Inc. 45,575 2,076,853Graham Corp. 1,278 23,528Haitian International Holdings, Ltd. 85,200 159,958Harsco Corp. (A) 10,197 182,526Helios Technologies, Inc. 3,773 161,447Hillenbrand, Inc. 7,841 215,157Hino Motors, Ltd. 40,500 318,066Hitachi Construction Machinery

Company, Ltd. 15,300 326,107Hiwin Technologies Corp. 35,169 284,565Hoshizaki Corp. 7,500 538,893Hurco Companies, Inc. 965 30,793Hyster-Yale Materials Handling, Inc. 1,344 73,315Hyundai Heavy Industries Holdings

Company, Ltd. 1,379 377,934




COMMON STOCKS (continued)Machinery (continued)IDEX Corp. 6,342 $ 1,044,591IHI Corp. 20,600 400,494Illinois Tool Works, Inc. 25,105 3,762,235Ingersoll-Rand PLC 20,201 2,446,139ITT, Inc. 24,030 1,367,788John Bean Technologies Corp. 3,959 405,085JTEKT Corp. 29,200 316,037Kadant, Inc. 1,380 113,560Kawasaki Heavy Industries, Ltd. 19,900 389,444Kennametal, Inc. 32,968 985,414KION Group AG 7,182 348,049Knorr-Bremse AG 5,259 491,978Komatsu, Ltd. 129,200 2,735,918Kone OYJ, B Shares 12,742 737,364Korea Shipbuilding & Offshore

Engineering Company, Ltd. (A) 5,436 494,456Kubota Corp. 146,200 2,094,677Kurita Water Industries, Ltd. 13,689 355,503LB Foster Company, Class A (A) 1,438 28,631Lincoln Electric Holdings, Inc. 17,186 1,418,876Lindsay Corp. 1,382 121,975Luxfer Holdings PLC 3,558 55,896Lydall, Inc. (A) 2,317 46,595Makita Corp. 31,300 920,520Meritor, Inc. (A) 10,140 170,555Metso OYJ 3,962 148,716Milacron Holdings Corp. (A) 8,812 139,670Miller Industries, Inc. 1,496 46,810MINEBEA MITSUMI, Inc. 50,900 783,654MISUMI Group, Inc. 39,600 895,657Mitsubishi Heavy Industries, Ltd. 44,540 1,671,986Mueller Industries, Inc. 7,145 188,342Mueller Water Products, Inc., Class A 19,965 208,834Nabtesco Corp. 15,800 453,228Navistar International Corp. (A) 6,335 145,705NGK Insulators, Ltd. 36,600 490,376NN, Inc. 5,687 36,511Nordson Corp. 14,151 1,923,970NSK, Ltd. 50,800 406,497Omega Flex, Inc. 376 31,659Oshkosh Corp. 19,135 1,344,616PACCAR, Inc. 29,020 1,902,551Parker-Hannifin Corp. 10,746 1,781,364Park-Ohio Holdings Corp. 1,265 34,395Pentair PLC 13,247 475,832Proto Labs, Inc. (A) 3,424 324,390RBC Bearings, Inc. (A) 3,066 489,119REV Group, Inc. 3,580 46,146Rexnord Corp. (A) 13,335 349,110Samsung Heavy Industries

Company, Ltd. (A) 61,451 393,956Sandvik AB 189,746 2,725,350Schindler Holding AG 3,014 684,742Schindler Holding AG,

Participation Certificates 6,224 1,424,675Sinotruk Hong Kong, Ltd. 93,600 144,017SKF AB, B Shares 64,158 1,035,776SMC Corp. 7,996 3,014,523Snap-on, Inc. 4,641 690,024Spartan Motors, Inc. 4,781 60,288Spirax-Sarco Engineering PLC 11,557 1,132,601SPX Corp. (A) 5,514 209,256SPX FLOW, Inc. (A) 5,350 180,349Standex International Corp. 1,601 110,069Stanley Black & Decker, Inc. 12,693 1,686,392


COMMON STOCKS (continued)Machinery (continued)Sumitomo Heavy Industries, Ltd. 15,600 $ 447,638Techtronic Industries Company, Ltd. 218,500 1,507,151Tennant Company 2,288 156,476Terex Corp. 25,176 625,120The Eastern Company 728 16,060The Gorman-Rupp Company 2,257 67,417The Greenbrier Companies, Inc. 4,128 96,141The Manitowoc Company, Inc. (A) 4,669 58,363The Timken Company 18,749 753,335The Toro Company 29,130 2,097,651The Weir Group PLC 41,228 737,416THK Company, Ltd. 17,100 396,003Titan International, Inc. 7,105 18,473TriMas Corp. (A) 5,787 170,022Trinity Industries, Inc. 35,533 620,762Twin Disc, Inc. (A) 1,600 16,176Volvo AB, B Shares 249,876 3,458,037Wabash National Corp. 6,921 94,402Wabtec Corp. 15,250 1,055,453Wartsila OYJ ABP 16,827 206,777Watts Water Technologies, Inc., Class A 3,462 317,223Weichai Power Company, Ltd., H Shares 259,980 396,732Welbilt, Inc. (A) 16,518 259,993Woodward, Inc. 15,302 1,650,321Xylem, Inc. 15,072 1,154,666Yangzijiang Shipbuilding Holdings, Ltd. 124,900 81,663

111,153,912Marine – 0.1%A.P. Moller - Maersk A/S, Series A 580 577,672A.P. Moller - Maersk A/S, Series B 1,009 1,074,605COSCO SHIPPING Energy Transportation

Company, Ltd., H Shares 163,300 92,265COSCO SHIPPING Holdings

Company, Ltd., H Shares (A) 346,300 123,434Costamare, Inc. 6,889 39,887Eagle Bulk Shipping, Inc. (A) 6,180 28,428Evergreen Marine Corp. Taiwan, Ltd. (A) 334,748 136,917Kirby Corp. (A) 14,753 1,085,673Kuehne + Nagel International AG 8,150 1,187,405Matson, Inc. 5,459 193,958MISC BHD 116,200 200,441Mitsui OSK Lines, Ltd. 16,100 378,284Nippon Yusen KK 21,200 315,810Pan Ocean Company, Ltd. (A) 37,739 151,650Scorpio Bulkers, Inc. 7,583 48,000

5,634,429Professional services – 0.7%51job, Inc., ADR (A) 3,300 237,369Adecco Group AG 24,142 1,274,477ASGN, Inc. (A) 20,965 1,309,684Barrett Business Services, Inc. 936 81,554BG Staffing, Inc. 1,392 26,086Bureau Veritas SA 43,132 1,031,805CBIZ, Inc. (A) 6,469 144,517CRA International, Inc. 1,101 42,818Equifax, Inc. 16,578 2,426,688Experian PLC 143,442 4,411,644Exponent, Inc. 6,573 465,960Forrester Research, Inc. 1,395 48,644Franklin Covey Company (A) 1,351 49,703FTI Consulting, Inc. (A) 4,760 514,746GP Strategies Corp. (A) 1,852 23,854Heidrick & Struggles International, Inc. 2,457 65,233Huron Consulting Group, Inc. (A) 2,848 174,326ICF International, Inc. 2,293 194,125




COMMON STOCKS (continued)Professional services (continued)IHS Markit, Ltd. (A) 49,914 $ 3,274,858InnerWorkings, Inc. (A) 6,821 28,921Insperity, Inc. 15,193 1,505,019Intertek Group PLC 25,338 1,679,687Kelly Services, Inc., Class A 4,200 101,682Kforce, Inc. 2,916 94,887Korn Ferry 7,177 280,477ManpowerGroup, Inc. 16,372 1,338,247Mistras Group, Inc. (A) 2,550 37,230Navigant Consulting, Inc. 4,967 138,430Nielsen Holdings PLC 48,778 1,012,631Persol Holdings Company, Ltd. 24,800 501,967Randstad NV 32,325 1,509,336Recruit Holdings Company, Ltd. 165,500 5,011,374RELX PLC 252,641 6,062,436RELX PLC (Euronext

Amsterdam Exchange) 56,897 1,360,464Resources Connection, Inc. 4,119 68,169Robert Half International, Inc. 16,256 869,208SEEK, Ltd. 51,244 700,462SGS SA 806 1,985,382Teleperformance 8,738 1,908,267Thomson Reuters Corp. 37,793 2,597,027TriNet Group, Inc. (A) 5,688 381,835TrueBlue, Inc. (A) 5,090 98,797Upwork, Inc. (A) 7,079 102,362Verisk Analytics, Inc. 22,457 3,627,704Willdan Group, Inc. (A) 1,332 48,152Wolters Kluwer NV 75,286 5,419,514

54,267,758Road and rail – 1.0%ArcBest Corp. 3,368 99,726Aurizon Holdings, Ltd. 306,392 1,218,131Avis Budget Group, Inc. (A) 25,004 619,349BTS Group Holdings PCL 25,200 11,106BTS Group Holdings PCL, Foreign

Quota Shares 823,300 362,856Canadian National Railway Company 132,970 12,244,346Canadian Pacific Railway, Ltd. 25,837 6,220,946Central Japan Railway Company 20,088 3,971,895CJ Logistics Corp. (A) 1,271 150,041ComfortDelGro Corp., Ltd. 103,300 182,217Covenant Transportation Group, Inc.,

Class A (A) 1,879 27,020CSX Corp. 60,372 4,046,131Daseke, Inc. (A) 7,217 12,702DSV A/S 33,866 3,360,370East Japan Railway Company 42,500 4,044,957Genesee & Wyoming, Inc., Class A (A) 15,468 1,715,092Hankyu Hanshin Holdings, Inc. 31,700 1,200,460Heartland Express, Inc. 6,017 123,770Hertz Global Holdings, Inc. (A) 12,990 157,309J.B. Hunt Transport Services, Inc. 6,832 738,129Kansas City Southern 7,900 993,820Keikyu Corp. 30,300 555,274Keio Corp. 14,220 887,871Keisei Electric Railway Company, Ltd. 17,735 697,429Kintetsu Group Holdings Company, Ltd. 23,400 1,164,683Knight-Swift Transportation Holdings, Inc. 34,111 1,164,550Kyushu Railway Company 22,100 662,669Landstar System, Inc. 10,988 1,225,382Localiza Rent a Car SA 75,396 856,467Marten Transport, Ltd. 5,233 102,933MTR Corp., Ltd. 243,868 1,411,222Nagoya Railroad Company, Ltd. 24,600 733,084


COMMON STOCKS (continued)Road and rail (continued)Nippon Express Company, Ltd. 11,080 $ 571,957Norfolk Southern Corp. 20,888 3,635,556Odakyu Electric Railway Company, Ltd. 40,300 913,542Old Dominion Freight Line, Inc. 17,722 2,902,155Rumo SA (A) 142,400 759,971Ryder System, Inc. 14,586 702,608Saia, Inc. (A) 3,337 285,447Seibu Holdings, Inc. 28,100 476,856Tobu Railway Company, Ltd. 26,000 797,575Tokyu Corp. 69,193 1,236,433Union Pacific Corp. 55,592 9,003,680Universal Logistics Holdings, Inc. 1,234 25,852Werner Enterprises, Inc. 17,693 578,207West Japan Railway Company 22,600 1,904,028

74,755,804Trading companies and distributors – 0.5%AerCap Holdings NV (A) 35,800 1,919,596Aircastle, Ltd. 6,604 144,297Applied Industrial Technologies, Inc. 4,887 260,917Ashtead Group PLC 74,915 2,079,808Beacon Roofing Supply, Inc. (A) 8,643 275,539BlueLinx Holdings, Inc. (A)(C) 1,305 37,440BMC Stock Holdings, Inc. (A) 8,547 217,350BOC Aviation, Ltd. (B) 27,200 235,993Brenntag AG 16,993 820,156Bunzl PLC 52,728 1,293,275CAI International, Inc. (A) 2,234 47,316DXP Enterprises, Inc. (A) 2,132 69,183EVI Industries, Inc. (C) 641 19,108Fastenal Company 88,342 2,705,032Ferguson PLC 36,654 2,703,293Foundation Building Materials, Inc. (A) 1,996 34,191GATX Corp. 14,495 1,075,819GMS, Inc. (A) 4,120 121,375H&E Equipment Services, Inc. 4,118 100,026Herc Holdings, Inc. (A) 3,106 128,216ITOCHU Corp. 188,037 3,746,181Kaman Corp. 3,521 205,591Lawson Products, Inc. (A) 641 23,364Marubeni Corp. 220,400 1,406,658Mitsubishi Corp. 188,900 4,594,246Mitsui & Company, Ltd. 231,500 3,621,608MonotaRO Company, Ltd. 17,500 429,216MRC Global, Inc. (A) 10,302 129,496MSC Industrial Direct Company, Inc.,

Class A 12,309 832,335NOW, Inc. (A) 43,438 516,478Posco International Corp. 7,023 106,519Rush Enterprises, Inc., Class A 3,433 123,966Rush Enterprises, Inc., Class B 666 24,762SiteOne Landscape Supply, Inc. (A) 5,199 406,562Sumitomo Corp. 166,355 2,493,321Systemax, Inc. 1,641 32,935Textainer Group Holdings, Ltd. (A) 3,766 30,015Titan Machinery, Inc. (A) 2,522 37,981Toyota Tsusho Corp. 29,993 928,909Transcat, Inc. (A) 1,104 25,646Triton International, Ltd. 7,225 232,284United Rentals, Inc. (A) 12,136 1,366,028Veritiv Corp. (A) 1,809 29,957W.W. Grainger, Inc. 6,932 1,896,942Watsco, Inc. 8,821 1,442,675Willis Lease Finance Corp. (A) 446 27,549

38,999,154




COMMON STOCKS (continued)Transportation infrastructure – 0.2%Aena SME SA (B) 11,184 $ 2,019,354Aeroports de Paris 4,481 774,353Airports of Thailand PCL 4,900 11,510Airports of Thailand PCL, Foreign

Quota Shares 560,700 1,317,049Atlantia SpA 46,186 1,128,504Auckland International Airport, Ltd. 87,077 527,845Bangkok Expressway & Metro PCL 45,100 16,490Bangkok Expressway & Metro PCL,

Foreign Quota Shares 980,500 358,496Beijing Capital International Airport

Company, Ltd., H Shares 226,211 189,594CCR SA 158,715 622,825China Merchants Port Holdings

Company, Ltd. 178,031 277,321COSCO SHIPPING Ports, Ltd. 225,108 196,944Fraport AG Frankfurt Airport

Services Worldwide 4,511 377,884Getlink SE 65,337 919,373Grupo Aeroportuario del Pacifico SAB de

CV, B Shares 51,400 488,623Grupo Aeroportuario del Sureste SAB de

CV, B Shares 30,010 441,926International Container Terminal

Services, Inc. 120,820 315,239Japan Airport Terminal Company, Ltd. 7,000 278,596Jasa Marga Persero Tbk PT 161,154 63,559Jiangsu Expressway Company, Ltd.,

H Shares 158,055 209,315Kamigumi Company, Ltd. 14,600 341,906Malaysia Airports Holdings BHD 100,822 196,979Promotora y Operadora de Infraestructura

SAB de CV 32,250 269,180SATS, Ltd. 31,800 109,943Shenzhen International Holdings, Ltd. 126,000 237,873Sydney Airport 169,736 962,627Taiwan High Speed Rail Corp. 295,632 356,694TAV Havalimanlari Holding AS 33,383 135,382Transurban Group 412,640 4,153,570Westports Holdings BHD 85,000 84,773Zhejiang Expressway Company, Ltd.,

H Shares 190,982 159,52517,543,252

677,922,207Information technology – 18.0%Communications equipment – 1.0%Acacia Communications, Inc. (A) 4,764 300,370ADTRAN, Inc. 6,118 62,832Applied Optoelectronics, Inc. (A)(C) 2,649 23,576Arista Networks, Inc. (A) 12,263 2,779,041BYD Electronic International

Company, Ltd. 91,300 109,285CalAmp Corp. (A) 4,420 42,432Calix, Inc. (A) 6,177 37,124Casa Systems, Inc. (A) 4,447 25,615Ciena Corp. (A) 39,173 1,603,351Cisco Systems, Inc. 992,871 46,476,292Clearfield, Inc. (A) 1,566 16,741Comtech Telecommunications Corp. 3,070 82,123Digi International, Inc. (A) 3,827 48,909Extreme Networks, Inc. (A) 15,196 101,509F5 Networks, Inc. (A) 13,845 1,782,267Finisar Corp. (A)(C) 14,935 337,680Harmonic, Inc. (A) 11,463 75,541Infinera Corp. (A) 22,957 122,361


COMMON STOCKS (continued)Communications equipment (continued)Inseego Corp. (A)(C) 6,068 $ 26,942InterDigital, Inc. 12,725 625,688Juniper Networks, Inc. 79,862 1,849,604KVH Industries, Inc. (A) 2,266 21,074Lumentum Holdings, Inc. (A) 30,654 1,709,267Motorola Solutions, Inc. 38,220 6,914,380NETGEAR, Inc. (A) 4,027 139,817NetScout Systems, Inc. (A) 28,633 634,221Nokia OYJ 212,912 1,053,341Plantronics, Inc. 13,259 411,957Ribbon Communications, Inc. (A) 8,054 41,639Telefonaktiebolaget LM Ericsson, B Shares 513,722 4,019,963ViaSat, Inc. (A) 15,591 1,236,834Viavi Solutions, Inc. (A) 29,186 405,394ZTE Corp., H Shares (A) 101,715 251,813

73,368,983Electronic equipment, instruments and components – 1.3%AAC Technologies Holdings, Inc. 98,100 421,328Akoustis Technologies, Inc. (A)(C) 3,622 26,513Alps Alpine Company, Ltd. 29,200 507,962Amphenol Corp., Class A 69,287 6,065,384Anixter International, Inc. (A) 3,875 232,384Arlo Technologies, Inc. (A) 10,175 31,950Arrow Electronics, Inc. (A) 23,187 1,604,540AU Optronics Corp. 1,288,851 335,691Avnet, Inc. 29,092 1,218,664AVX Corp. 5,922 80,243Badger Meter, Inc. 3,616 186,513Bel Fuse, Inc., Class B 1,447 15,917Belden, Inc. 15,760 718,814Benchmark Electronics, Inc. 4,834 128,004China Railway Signal & Communication

Corp., Ltd., H Shares (B) 194,500 116,359Cognex Corp. 46,901 2,114,297Coherent, Inc. (A) 6,621 959,780Corning, Inc. 182,016 5,069,146CTS Corp. 4,142 118,171Daktronics, Inc. 5,486 39,664Delta Electronics, Inc. 295,898 1,379,240ePlus, Inc. (A) 1,717 140,313Fabrinet (A) 4,609 232,708FARO Technologies, Inc. (A) 2,223 109,461Fitbit, Inc., Class A (A)(C) 28,336 87,558FLIR Systems, Inc. 31,409 1,547,521Foxconn Technology Company, Ltd. 140,180 282,896Halma PLC 59,676 1,431,287Hamamatsu Photonics KK 19,300 665,914Hexagon AB, B Shares 43,622 1,942,778Hirose Electric Company, Ltd. 4,530 514,072Hitachi High-Technologies Corp. 9,600 517,423Hitachi, Ltd. 134,900 4,601,753Hon Hai Precision Industry Company, Ltd. 1,896,172 4,476,004II-VI, Inc. (A) 8,009 300,418Ingenico Group SA 9,084 900,858Innolux Corp. 1,270,300 283,999Insight Enterprises, Inc. (A) 4,516 217,039IPG Photonics Corp. (A) 8,258 1,021,762Iteris, Inc. (A) 4,446 24,186Itron, Inc. (A) 4,379 304,122Jabil, Inc. 38,103 1,097,747KEMET Corp. 7,255 121,521Keyence Corp. 12,703 7,506,195Keysight Technologies, Inc. (A) 43,644 4,227,358Kimball Electronics, Inc. (A) 3,372 44,544Kingboard Holdings, Ltd. 88,600 206,891




COMMON STOCKS (continued)Electronic equipment, instruments andcomponents (continued)Kingboard Laminates Holdings, Ltd. 147,500 $ 116,103Knowles Corp. (A) 10,327 209,432Kyocera Corp. 44,800 2,658,984Largan Precision Company, Ltd. 15,590 1,935,841LG Display Company, Ltd. (A) 32,561 376,348LG Innotek Company, Ltd. 2,001 163,025Littelfuse, Inc. 6,767 1,056,126Methode Electronics, Inc. 4,695 149,019MTS Systems Corp. 2,282 129,777Murata Manufacturing Company, Ltd. 80,097 3,329,864Napco Security Technologies, Inc. (A) 1,480 51,030National Instruments Corp. 30,678 1,288,476Nippon Electric Glass Company, Ltd. 11,200 232,055nLight, Inc. (A) 4,230 54,652Novanta, Inc. (A) 4,264 319,800Omron Corp. 26,967 1,331,695OSI Systems, Inc. (A) 2,109 221,466PAR Technology Corp. (A) 1,507 34,857PC Connection, Inc. 1,462 51,506PCM, Inc. (A) 1,251 43,798Plexus Corp. (A) 3,785 216,540Rogers Corp. (A) 2,355 311,849Samsung Electro-Mechanics

Company, Ltd. 7,858 579,070Samsung SDI Company, Ltd. 7,677 1,585,486Sanmina Corp. (A) 8,619 249,089ScanSource, Inc. (A) 3,286 92,862Shimadzu Corp. 30,900 767,292Sunny Optical Technology Group

Company, Ltd. 95,750 1,318,150SYNNEX Corp. 11,355 951,663Synnex Technology International Corp. 200,544 236,146TDK Corp. 18,100 1,435,931TE Connectivity, Ltd. 78,133 7,127,292Tech Data Corp. (A) 14,641 1,357,660Trimble, Inc. (A) 68,868 2,583,927TTM Technologies, Inc. (A) 12,812 136,576Venture Corp., Ltd. 13,400 146,032Vishay Intertechnology, Inc. 52,960 838,357Vishay Precision Group, Inc. (A) 1,378 43,063Walsin Technology Corp. 49,000 246,051WPG Holdings, Ltd. 222,360 281,426Yageo Corp. 39,726 286,592Yaskawa Electric Corp. (C) 33,500 1,122,260Yokogawa Electric Corp. 31,700 575,118Zebra Technologies Corp., Class A (A) 14,773 3,028,908Zhen Ding Technology Holding, Ltd. 67,817 250,574

93,698,660IT services – 3.3%Accenture PLC, Class A 86,450 17,131,797Adyen NV (A)(B) 2,788 2,021,276Akamai Technologies, Inc. (A) 22,241 1,982,340Alliance Data Systems Corp. 6,106 750,733Amadeus IT Group SA 72,746 5,424,727Atos SE 14,552 1,100,991Automatic Data Processing, Inc. 58,990 10,018,862Brightcove, Inc. (A) 5,162 63,647Broadridge Financial Solutions, Inc. 15,741 2,037,515CACI International, Inc., Class A (A) 6,807 1,513,128Capgemini SE 24,048 2,885,457Carbonite, Inc. (A) 4,272 51,478Cardtronics PLC, Class A (A) 4,919 145,701Cass Information Systems, Inc. 1,838 93,003CGI, Inc. (A) 45,773 3,589,918


COMMON STOCKS (continued)IT services (continued)Cielo SA 160,624 $ 300,612Cognizant Technology Solutions Corp.,

Class A 77,159 4,736,791Computershare, Ltd. 75,082 777,935Conduent, Inc. (A) 22,281 145,049CoreLogic, Inc. (A) 22,083 1,068,817CSG Systems International, Inc. 4,177 225,057DXC Technology Company 36,361 1,207,912Endurance International Group

Holdings, Inc. (A) 9,607 48,419EVERTEC, Inc. 7,679 267,690Evo Payments, Inc., Class A (A) 4,007 118,928ExlService Holdings, Inc. (A) 4,286 290,162Fidelity National Information Services, Inc. 83,259 11,341,541Fiserv, Inc. (A) 77,235 8,259,511FleetCor Technologies, Inc. (A) 11,682 3,485,909Fujitsu, Ltd. 27,300 2,105,332Gartner, Inc. (A) 12,211 1,632,244GDS Holdings, Ltd., ADR (A) 7,900 318,686Global Payments, Inc. 21,237 3,524,917GMO Payment Gateway, Inc. 5,700 441,012GTT Communications, Inc. (A)(C) 4,314 41,026I3 Verticals, Inc., Class A (A) 1,288 29,135IBM Corp. 120,173 16,287,047International Money Express, Inc. (A) 1,858 24,228Itochu Techno-Solutions Corp. 13,000 357,769Jack Henry & Associates, Inc. 10,464 1,516,861KBR, Inc. 56,660 1,445,963Leidos Holdings, Inc. 19,546 1,707,539Limelight Networks, Inc. (A) 15,483 37,624LiveRamp Holdings, Inc. (A) 27,557 1,167,315ManTech International Corp., Class A 3,391 238,319Mastercard, Inc., Class A 121,818 34,275,931MAXIMUS, Inc. 25,502 1,962,124NIC, Inc. 8,428 175,471Nomura Research Institute, Ltd. 47,000 933,639NTT Data Corp. 87,300 1,124,438Obic Company, Ltd. 9,000 1,027,749Otsuka Corp. 14,400 533,929Paychex, Inc. 43,353 3,541,940PayPal Holdings, Inc. (A) 159,247 17,365,885Paysign, Inc. (A)(C) 3,922 52,123Perficient, Inc. (A) 4,130 152,149Perspecta, Inc. 56,279 1,460,440Presidio, Inc. 6,053 96,969Sabre Corp. 75,187 1,777,421Samsung SDS Company, Ltd. 4,852 786,420Science Applications International Corp. 21,450 1,887,815Shopify, Inc., Class A (A) 17,965 6,919,642StarTek, Inc. (A) 2,653 16,528Sykes Enterprises, Inc. (A) 4,999 144,971The Hackett Group, Inc. 3,296 53,164The Western Union Company 58,376 1,291,277Total System Services, Inc. 22,067 2,961,833TravelSky Technology, Ltd., H Shares 122,900 246,302TTEC Holdings, Inc. 1,874 87,909Tucows, Inc., Class A (A)(C) 1,229 62,015Unisys Corp. (A)(C) 6,580 43,033USA Technologies, Inc. (A)(C) 7,781 64,038VeriSign, Inc. (A) 14,215 2,897,728Verra Mobility Corp. (A) 12,615 175,601Virtusa Corp. (A) 3,696 133,573Visa, Inc., Class A 235,698 42,618,912WEX, Inc. (A) 11,838 2,421,463Wirecard AG 12,949 2,074,720




COMMON STOCKS (continued)IT services (continued)Wix.com, Ltd. (A) 6,200 $ 869,550Worldline SA (A)(B) 12,389 855,661

243,052,286Semiconductors and semiconductor equipment – 4.0%Adesto Technologies Corp. (A) 3,768 38,434Advanced Energy Industries, Inc. (A) 4,855 250,712Advanced Micro Devices, Inc. (A) 170,760 5,370,402Advantest Corp. 27,800 1,138,129Alpha & Omega Semiconductor, Ltd. (A) 2,844 33,502Ambarella, Inc. (A) 3,994 223,145Amkor Technology, Inc. (A) 12,572 110,005Analog Devices, Inc. 71,191 7,818,908Applied Materials, Inc. 180,232 8,654,741Aquantia Corp. (A) 3,646 48,054ASE Technology Holding Company, Ltd. 523,422 1,190,834ASM Pacific Technology, Ltd. 48,300 551,955ASML Holding NV 114,592 25,486,017Axcelis Technologies, Inc. (A) 4,263 65,267AXT, Inc. (A) 5,479 18,574Broadcom, Inc. 76,214 21,541,125Brooks Automation, Inc. 9,035 301,137Cabot Microelectronics Corp. 3,687 459,585CEVA, Inc. (A) 2,917 91,623Cirrus Logic, Inc. (A) 23,428 1,256,678Cohu, Inc. 5,258 62,675Cree, Inc. (A) 28,805 1,236,599Cypress Semiconductor Corp. 100,152 2,304,498Diodes, Inc. (A) 5,204 190,206Disco Corp. 3,800 688,595DSP Group, Inc. (A) 2,942 40,717Enphase Energy, Inc. (A) 11,695 346,991First Solar, Inc. (A) 20,760 1,288,573FormFactor, Inc. (A) 9,464 161,740Globalwafers Company, Ltd. 33,000 302,978GSI Technology, Inc. (A) 2,317 19,463Hua Hong Semiconductor, Ltd. (B) 60,100 100,160Ichor Holdings, Ltd. (A) 2,830 60,166Impinj, Inc. (A) 1,914 69,631Infineon Technologies AG 137,906 2,390,033Inphi Corp. (A) 5,692 348,293Intel Corp. 861,973 40,866,140KLA Corp. 31,117 4,602,204Lam Research Corp. 28,866 6,076,582Lattice Semiconductor Corp. (A) 15,883 312,736MACOM Technology Solutions

Holdings, Inc. (A) 5,939 116,642Maxim Integrated Products, Inc. 52,451 2,860,678MaxLinear, Inc. (A) 8,291 164,328MediaTek, Inc. 228,752 2,675,786Microchip Technology, Inc. 45,809 3,954,691Micron Technology, Inc. (A) 213,074 9,645,860MKS Instruments, Inc. 14,877 1,164,720Monolithic Power Systems, Inc. 10,841 1,632,221Nanometrics, Inc. (A) 3,000 81,870Nanya Technology Corp. 190,196 425,954NeoPhotonics Corp. (A) 5,234 32,765Novatek Microelectronics Corp. 87,900 520,646NVE Corp. 645 41,409NVIDIA Corp. 117,253 19,641,050NXP Semiconductors NV 79,600 8,130,344PDF Solutions, Inc. (A) 3,880 45,435Phison Electronics Corp. 21,884 201,201Photronics, Inc. (A) 8,217 88,744Power Integrations, Inc. 3,586 319,226Powertech Technology, Inc. 109,199 260,810


COMMON STOCKS (continued)Semiconductors and semiconductor equipment (continued)Qorvo, Inc. (A) 22,941 $ 1,638,676QUALCOMM, Inc. 234,063 18,203,080Rambus, Inc. (A) 13,944 174,858Realtek Semiconductor Corp. 73,584 503,258Renesas Electronics Corp. (A) 104,700 652,530Rohm Company, Ltd. 13,200 939,430Rudolph Technologies, Inc. (A) 3,914 86,069Semiconductor Manufacturing International

Corp. (A)(C) 403,899 442,918Semtech Corp. (A) 26,636 1,117,913Silicon Laboratories, Inc. (A) 17,319 1,887,771SK Hynix, Inc. 76,015 4,868,052Skyworks Solutions, Inc. 33,249 2,502,652SMART Global Holdings, Inc. (A) 1,706 48,467STMicroelectronics NV 103,668 1,837,825SUMCO Corp. 34,800 429,449SunPower Corp. (A) 8,128 101,763Synaptics, Inc. (A) 13,844 443,285Taiwan Semiconductor Manufacturing

Company, Ltd. 3,730,915 30,655,528Teradyne, Inc. 46,910 2,484,823Texas Instruments, Inc. 180,636 22,353,705Tokyo Electron, Ltd. 21,915 3,907,702Ultra Clean Holdings, Inc. (A) 5,086 60,727United Microelectronics Corp. 1,781,774 763,983Universal Display Corp. 11,629 2,389,411Vanguard International

Semiconductor Corp. 135,302 275,738Veeco Instruments, Inc. (A) 6,322 58,542Versum Materials, Inc. 29,899 1,554,748Win Semiconductors Corp. 51,000 424,103Winbond Electronics Corp. 450,000 243,827Xilinx, Inc. 48,888 5,087,285Xinyi Solar Holdings, Ltd. 409,000 257,845Xperi Corp. 6,252 114,537

294,632,687Software – 4.6%8x8, Inc. (A) 11,898 289,240A10 Networks, Inc. (A) 7,528 52,244ACI Worldwide, Inc. (A) 44,123 1,313,983Adobe, Inc. (A) 82,677 23,522,433Agilysys, Inc. (A) 2,365 64,446Alarm.com Holdings, Inc. (A) 4,695 223,482Altair Engineering, Inc., Class A (A) 4,921 169,086American Software, Inc., Class A 4,053 63,875ANSYS, Inc. (A) 14,221 2,937,490Appfolio, Inc., Class A (A) 1,942 191,811Appian Corp. (A)(C) 3,987 237,107Autodesk, Inc. (A) 37,212 5,314,618Avaya Holdings Corp. (A) 14,149 199,784Benefitfocus, Inc. (A)(C) 3,850 100,562Blackbaud, Inc. 19,686 1,790,835BlackBerry, Ltd. (A) 97,096 666,560Blackline, Inc. (A) 5,444 277,263Bottomline Technologies DE, Inc. (A) 5,485 226,201Box, Inc., Class A (A) 18,272 267,319Cadence Design Systems, Inc. (A) 47,617 3,260,812Carbon Black, Inc. (A) 7,227 188,625CDK Global, Inc. 33,290 1,436,796ChannelAdvisor Corp. (A) 3,729 32,069Check Point Software

Technologies, Ltd. (A) 16,900 1,820,130Cision, Ltd. (A) 11,805 81,691Citrix Systems, Inc. 21,191 1,970,339Cloudera, Inc. (A)(C) 30,331 216,563




COMMON STOCKS (continued)Software (continued)CommVault Systems, Inc. (A) 14,874 $ 645,085Constellation Software, Inc. 3,718 3,621,126Cornerstone OnDemand, Inc. (A) 7,151 373,068CyberArk Software, Ltd. (A) 5,100 572,934Dassault Systemes SE 19,750 2,784,825Digimarc Corp. (A) 1,489 58,875Digital Turbine, Inc. (A) 10,428 79,357Domo, Inc., Class B (A) 2,248 55,818Ebix, Inc. (C) 2,987 105,800eGain Corp. (A) 3,000 21,540Envestnet, Inc. (A) 6,085 348,123Everbridge, Inc. (A) 4,144 357,213Fair Isaac Corp. (A) 7,935 2,798,833Five9, Inc. (A) 7,503 474,265ForeScout Technologies, Inc. (A) 5,221 187,068Fortinet, Inc. (A) 24,593 1,947,274GTY Technology Holdings, Inc. (A) 4,155 26,010Instructure, Inc. (A) 4,292 177,517Intelligent Systems Corp. (A) 941 49,769Intuit, Inc. 43,925 12,666,213j2 Global, Inc. 18,647 1,577,536Kingdee International Software Group

Company, Ltd. (C) 308,800 278,576Kingsoft Corp., Ltd. (A) 110,000 202,189LivePerson, Inc. (A) 7,808 310,290LogMeIn, Inc. 13,635 911,363Manhattan Associates, Inc. (A) 17,681 1,460,981Micro Focus International PLC 54,105 738,859Microsoft Corp. 1,298,363 178,992,323MicroStrategy, Inc., Class A (A) 1,035 148,305Mitek Systems, Inc. (A) 4,854 49,220MobileIron, Inc. (A) 12,687 87,540Model N, Inc. (A) 4,245 121,534Monotype Imaging Holdings, Inc. 5,263 103,944Nice, Ltd. (A) 8,395 1,285,522OneSpan, Inc. (A) 4,297 58,010Open Text Corp. 50,308 1,968,262Oracle Corp. 411,144 21,404,157Oracle Corp. Japan 5,200 447,215Progress Software Corp. 5,671 214,250PROS Holdings, Inc. (A) 4,192 297,716PTC, Inc. (A) 28,338 1,855,289Q2 Holdings, Inc. (A) 5,086 457,486QAD, Inc., Class A 1,470 59,564Qualys, Inc. (A) 4,322 344,118Rapid7, Inc. (A) 6,138 329,549SailPoint Technologies Holding, Inc. (A) 10,992 247,650salesforce.com, Inc. (A) 144,727 22,587,543SAP SE 108,414 12,942,173ShotSpotter, Inc. (A) 1,049 28,564SPS Commerce, Inc. (A) 4,590 231,979SVMK, Inc. (A) 10,763 180,173Symantec Corp. 104,745 2,435,321Synchronoss Technologies, Inc. (A) 5,292 42,124Synopsys, Inc. (A) 25,399 3,601,832Telaria, Inc. (A) 5,912 59,002Telenav, Inc. (A) 4,537 51,359Temenos AG (A) 9,692 1,632,901Tenable Holdings, Inc. (A) 4,752 108,346Teradata Corp. (A) 32,050 989,384The Sage Group PLC 169,946 1,453,640TiVo Corp. 15,954 120,134Trend Micro, Inc. 17,500 846,517Tyler Technologies, Inc. (A) 10,494 2,692,131Upland Software, Inc. (A) 2,868 108,984


COMMON STOCKS (continued)Software (continued)Varonis Systems, Inc. (A) 3,796 $ 259,343Verint Systems, Inc. (A) 8,306 442,627VirnetX Holding Corp. (A)(C) 7,989 42,022Workiva, Inc. (A) 4,459 214,522Yext, Inc. (A) 11,884 187,411Zix Corp. (A) 6,965 51,193Zuora, Inc., Class A (A) 10,957 164,903

339,691,653Technology hardware, storage and peripherals – 3.8%3D Systems Corp. (A)(C) 14,651 102,557Acer, Inc. 440,008 240,853Advantech Company, Ltd. 52,764 448,388Apple, Inc. 1,013,813 211,623,326AstroNova, Inc. 1,000 16,430Asustek Computer, Inc. 107,354 696,642Avid Technology, Inc. (A) 3,859 28,788Brother Industries, Ltd. 31,200 539,390Canon, Inc. 139,396 3,613,916Catcher Technology Company, Ltd. 100,475 704,205Chicony Electronics Company, Ltd. 86,224 242,068Compal Electronics, Inc. 632,148 361,090Cray, Inc. (A) 5,213 182,090Diebold Nixdorf, Inc. (A) 9,985 111,932FUJIFILM Holdings Corp. 50,115 2,143,437Hewlett Packard Enterprise Company 310,603 4,292,533HP, Inc. 349,368 6,389,941Immersion Corp. (A) 4,477 36,756Inventec Corp. 377,495 258,286Konica Minolta, Inc. 63,100 448,108Legend Holdings Corp., H Shares (B) 50,900 109,304Lenovo Group, Ltd. 965,764 633,519Lite-On Technology Corp. 321,018 510,670Meitu, Inc. (A)(B) 285,300 71,797Micro-Star International Company, Ltd. 103,300 275,409NCR Corp. (A) 32,870 1,035,734NEC Corp. 34,400 1,472,400NetApp, Inc. 57,283 2,753,021Pegatron Corp. 299,500 499,425Quanta Computer, Inc. 409,000 735,294Ricoh Company, Ltd. 92,800 857,716Samsung Electronics Company, Ltd. 664,202 24,182,910Seagate Technology PLC 58,431 2,933,821Seiko Epson Corp. 38,869 516,284Stratasys, Ltd. (A) 6,581 156,759Western Digital Corp. 67,958 3,891,955Wistron Corp. 432,580 342,681Xerox Holdings Corp. 45,327 1,314,030Xiaomi Corp., Class B (A)(B)(C) 460,700 499,454

275,272,9191,319,717,188

Materials – 3.8%Chemicals – 1.7%A. Schulman, Inc. (A)(D) 3,214 1,392Advanced Emissions Solutions, Inc. 2,375 29,973AdvanSix, Inc. (A) 3,665 81,876Air Liquide SA 65,085 9,068,325Air Products & Chemicals, Inc. 11,522 2,603,050Air Water, Inc. 20,800 352,922Akzo Nobel NV 61,340 5,498,278Albemarle Corp. (C) 5,547 342,416American Vanguard Corp. 3,850 54,555Amyris, Inc. (A)(C) 5,324 20,125Arkema SA 10,494 921,823Asahi Kasei Corp. 176,500 1,594,515




COMMON STOCKS (continued)Chemicals (continued)Ashland Global Holdings, Inc. 17,169 $ 1,257,458Balchem Corp. 4,124 366,170Barito Pacific Tbk PT 2,026,900 129,087BASF SE 101,511 6,716,672Cabot Corp. 16,034 641,360Celanese Corp. 6,625 751,076CF Industries Holdings, Inc. 11,573 557,703Chase Corp. 927 92,904Chr. Hansen Holding A/S 16,176 1,360,201Clariant AG (A) 30,327 560,183Corteva, Inc. 39,206 1,149,520Covestro AG (B) 19,349 879,286Croda International PLC 20,102 1,154,006Daicel Corp. 37,000 285,493Dow, Inc. 39,195 1,670,883DuPont de Nemours, Inc. 39,194 2,662,448Eastman Chemical Company 7,250 473,933Ecolab, Inc. 13,277 2,739,178EMS-Chemie Holding AG 1,233 736,253Evonik Industries AG 20,643 527,733Ferro Corp. (A) 10,476 106,750Flotek Industries, Inc. (A) 7,944 16,603FMC Corp. 6,892 594,986Formosa Chemicals & Fibre Corp. 534,471 1,498,291Formosa Plastics Corp. 678,040 2,030,410FutureFuel Corp. 3,475 37,461GCP Applied Technologies, Inc. (A) 6,890 120,920Givaudan SA 1,399 3,793,740Hawkins, Inc. 1,335 59,207HB Fuller Company 6,479 276,070Hitachi Chemical Company, Ltd. 14,500 452,466Incitec Pivot, Ltd. 248,181 535,806Indorama Ventures PCL, Foreign

Quota Shares 190,500 218,463Ingevity Corp. (A) 16,797 1,279,427Innophos Holdings, Inc. 2,612 73,371Innospec, Inc. 3,089 256,943International Flavors & Fragrances, Inc. 5,304 582,114Intrepid Potash, Inc. (A) 12,980 38,551Israel Chemicals, Ltd. 99,851 450,943Johnson Matthey PLC 30,535 1,085,648JSR Corp. 26,800 437,726Kaneka Corp. 6,900 206,525Kansai Paint Company, Ltd. 24,600 511,305Koninklijke DSM NV 48,948 6,087,365Koppers Holdings, Inc. (A) 2,471 65,506Kraton Corp. (A) 4,031 110,611Kronos Worldwide, Inc. 3,021 33,080Kumho Petrochemical Company, Ltd. 2,593 150,823Kuraray Company, Ltd. 44,700 509,203LANXESS AG 9,643 581,791LG Chem, Ltd. 6,406 1,752,559Linde PLC 28,409 5,366,744Livent Corp. (A) 18,854 115,952Lotte Chemical Corp. 2,404 447,418LyondellBasell Industries NV, Class A 14,386 1,113,189Methanex Corp. 12,876 417,401Mexichem SAB de CV 153,980 281,968Minerals Technologies, Inc. 14,162 682,608Mitsubishi Chemical Holdings Corp. 179,850 1,232,770Mitsubishi Gas Chemical Company, Inc. 23,300 279,765Mitsui Chemicals, Inc. 25,900 552,553Nan Ya Plastics Corp. 782,610 1,713,748NewMarket Corp. 2,388 1,133,703Nippon Paint Holdings Company, Ltd. 20,400 964,080


COMMON STOCKS (continued)Chemicals (continued)Nissan Chemical Corp. 17,600 $ 743,635Nitto Denko Corp. 21,844 1,015,378Novozymes A/S, B Shares 33,502 1,428,162Nutrien, Ltd. 110,881 5,584,025OCI Company, Ltd. 2,666 146,438Olin Corp. 45,120 766,138OMNOVA Solutions, Inc. (A) 6,186 62,169Orica, Ltd. 58,506 847,071Orion Engineered Carbons SA 7,608 105,827Petronas Chemicals Group BHD 249,445 410,496PolyOne Corp. 31,199 998,680PPG Industries, Inc. 12,358 1,369,143PQ Group Holdings, Inc. (A) 4,418 63,133PTT Global Chemical PCL 15,700 27,233PTT Global Chemical PCL, Foreign

Quota Shares 299,911 520,222Quaker Chemical Corp. 1,664 264,343Rayonier Advanced Materials, Inc. 6,538 22,948RPM International, Inc. 35,875 2,427,661Sasol, Ltd. 80,365 1,523,457Sensient Technologies Corp. 16,926 1,105,606Shin-Etsu Chemical Company, Ltd. 50,737 5,110,445Showa Denko KK 19,200 494,334Sika AG 19,411 2,793,786Sinopec Shanghai Petrochemical

Company, Ltd., H Shares 448,199 129,073Solvay SA 20,545 2,076,608Stepan Company 2,588 246,869Sumitomo Chemical Company, Ltd. 210,200 918,495Symrise AG 14,081 1,316,361Taiyo Nippon Sanso Corp. 18,100 358,314Teijin, Ltd. 24,700 443,512The Chemours Company 44,825 635,170The Mosaic Company 18,585 341,778The Scotts Miracle-Gro Company 10,779 1,146,023The Sherwin-Williams Company 4,252 2,239,741Toray Industries, Inc. 193,200 1,371,795Tosoh Corp. 36,700 470,334Trecora Resources (A) 2,775 25,114Tredegar Corp. 3,523 60,913Trinseo SA 5,246 184,082Tronox Holdings PLC, Class A 12,308 91,448Umicore SA 54,587 1,738,991Valvoline, Inc. 51,504 1,163,990Yara International ASA 29,290 1,269,271

127,595,572Construction materials – 0.3%Anhui Conch Cement Company, Ltd.,

H Shares 164,110 921,201Asia Cement Corp. 333,687 456,631BBMG Corp., H Shares 292,000 82,793Boral, Ltd. 181,719 520,006Cementos Argos SA 43,764 97,630Cemex SAB de CV 2,207,588 825,030China National Building Material

Company, Ltd., H Shares 522,900 446,423China Resources Cement Holdings, Ltd. 329,900 291,494CRH PLC 130,948 4,382,535Eagle Materials, Inc. 12,076 1,016,678Fletcher Building, Ltd. 76,578 214,104Grupo Argos SA 29,528 154,388HeidelbergCement AG 16,393 1,138,406Imerys SA 5,490 224,167Indocement Tunggal Prakarsa Tbk PT 137,920 210,714




COMMON STOCKS (continued)Construction materials (continued)James Hardie Industries PLC, CHESS

Depositary Interest 68,016 $ 1,031,797LafargeHolcim, Ltd. (A) 74,063 3,515,779Martin Marietta Materials, Inc. 3,270 829,828POSCO Chemical Company, Ltd. 3,298 143,867Semen Indonesia Persero Tbk PT 225,692 210,249Summit Materials, Inc., Class A (A) 14,400 302,112Taiheiyo Cement Corp. 16,700 421,031Taiwan Cement Corp. 744,367 910,674The Siam Cement PCL 1,200 16,289The Siam Cement PCL, Foreign

Quota Shares 100,063 1,358,236U.S. Concrete, Inc. (A) 2,046 82,904Vulcan Materials Company 6,914 976,603

20,781,569Containers and packaging – 0.2%Amcor PLC (A) 84,949 834,199AptarGroup, Inc. 17,296 2,113,917Avery Dennison Corp. 4,416 510,357Ball Corp. 17,521 1,408,864CCL Industries, Inc., Class B 28,045 1,270,809Greif, Inc., Class A 10,596 372,873Greif, Inc., Class B 670 27,879International Paper Company 20,797 813,163Klabin SA 90,142 327,829Myers Industries, Inc. 4,649 78,243Owens-Illinois, Inc. 42,481 432,032Packaging Corp. of America 4,946 497,469Sealed Air Corp. 8,149 324,493Silgan Holdings, Inc. 21,291 633,620Smurfit Kappa Group PLC 36,386 1,122,954Sonoco Products Company 27,382 1,566,250Toyo Seikan Group Holdings, Ltd. 19,400 282,300UFP Technologies, Inc. (A) 961 40,151Westrock Company 13,446 459,584

13,116,986Metals and mining – 1.5%1911 Gold Corp. (A) 2,060 450Agnico Eagle Mines, Ltd. 43,006 2,688,763AK Steel Holding Corp. (A)(C) 41,176 88,940Allegheny Technologies, Inc. (A) 50,569 1,002,278Alumina, Ltd. 379,047 553,713Aluminum Corp. of China, Ltd., H

Shares (A) 526,880 154,032Angang Steel Company, Ltd., H Shares 200,900 69,508Anglo American Platinum, Ltd. 7,555 462,783Anglo American PLC 166,352 3,604,765AngloGold Ashanti, Ltd. 58,291 1,324,905Antofagasta PLC 61,667 651,855ArcelorMittal 102,340 1,473,822Barrick Gold Corp. 320,238 6,208,009BHP Group PLC 333,267 7,209,763BHP Group, Ltd. 455,023 11,169,623BlueScope Steel, Ltd. 83,065 698,882Boliden AB 45,824 1,015,131Carpenter Technology Corp. 19,024 925,327Century Aluminum Company (A) 6,896 37,997China Hongqiao Group, Ltd. 231,800 151,663China Molybdenum Company, Ltd., H

Shares (C) 505,500 136,847China Oriental Group Company, Ltd. 162,600 64,163China Steel Corp. 1,759,958 1,296,810China Zhongwang Holdings, Ltd. 205,400 84,209Cia de Minas Buenaventura SAA, ADR 29,100 443,484Cia Siderurgica Nacional SA 82,466 285,972


COMMON STOCKS (continued)Metals and mining (continued)Cleveland-Cliffs, Inc. (C) 35,932 $ 285,300Coeur Mining, Inc. (A) 26,167 143,133Commercial Metals Company 47,352 742,006Compass Minerals International, Inc. 13,668 679,710Eregli Demir ve Celik Fabrikalari TAS 259,677 286,296Evraz PLC 79,981 483,094First Quantum Minerals, Ltd. 128,442 787,206Fortescue Metals Group, Ltd. 215,337 1,161,783Franco-Nevada Corp. 34,185 3,339,418Freeport-McMoRan, Inc. 75,930 697,797Fresnillo PLC 34,140 307,064Glencore PLC (A) 1,757,803 5,043,715Gold Fields, Ltd. 116,243 689,535Gold Resource Corp. 8,310 28,337Grupo Mexico SAB de CV, Series B 505,500 1,164,026Haynes International, Inc. 1,748 52,213Hecla Mining Company 62,096 110,531Hitachi Metals, Ltd. 29,700 319,274Hyundai Steel Company 11,236 346,628Industrias Penoles SAB de CV 19,630 236,052Jastrzebska Spolka Weglowa SA 9,087 67,759JFE Holdings, Inc. 69,000 806,231Jiangxi Copper Company, Ltd., H Shares 146,825 164,896Kaiser Aluminum Corp. 2,079 183,846KGHM Polska Miedz SA (A) 23,461 460,799Kinross Gold Corp. (A) 230,700 1,147,089Kirkland Lake Gold, Ltd. 36,696 1,784,362Kobe Steel, Ltd. 43,400 225,879Korea Zinc Company, Ltd. 1,168 419,905Kumba Iron Ore, Ltd. 9,199 238,640Lundin Mining Corp. (C) 125,704 599,535Maanshan Iron & Steel Company, Ltd.,

H Shares 228,500 85,514Maruichi Steel Tube, Ltd. 7,300 177,319Materion Corp. 2,599 152,925Mitsubishi Materials Corp. 15,000 363,176MMG, Ltd. (A) 328,700 67,589Newcrest Mining, Ltd. 118,124 2,952,353Newmont Goldcorp Corp. 42,901 1,711,321Nippon Steel Corp. 112,978 1,577,803Norsk Hydro ASA 220,876 693,137Novagold Resources, Inc. (A) 29,295 217,955Nucor Corp. 15,953 781,378POSCO 10,991 1,916,888Press Metal Aluminium Holdings BHD 135,500 158,286Reliance Steel & Aluminum Company 18,401 1,789,129Rio Tinto PLC 179,967 9,121,770Rio Tinto, Ltd. 57,386 3,384,206Royal Gold, Inc. 17,932 2,391,770Schnitzer Steel Industries, Inc., Class A 3,366 74,523South32, Ltd. 781,283 1,380,566Southern Copper Corp. 12,600 398,160Steel Dynamics, Inc. 60,825 1,642,275Sumitomo Metal Mining Company, Ltd. 32,400 910,676SunCoke Energy, Inc. (A) 8,538 53,277Synalloy Corp. 1,356 21,750Teck Resources, Ltd., Class B 93,887 1,598,632thyssenkrupp AG (C) 44,676 547,547TimkenSteel Corp. (A) 5,536 28,898United States Steel Corp. (C) 47,181 522,294Vale SA (A) 415,671 4,574,288voestalpine AG 20,003 460,585Warrior Met Coal, Inc. 6,564 137,188Wheaton Precious Metals Corp. 81,575 2,399,337Worthington Industries, Inc. 15,777 547,462




COMMON STOCKS (continued)Metals and mining (continued)Zhaojin Mining Industry Company, Ltd., H

Shares (C) 126,600 $ 166,022Zijin Mining Group Company, Ltd.,

H Shares 754,329 281,882108,093,634

Paper and forest products – 0.1%Boise Cascade Company 5,042 158,319Clearwater Paper Corp. (A) 2,214 35,468Domtar Corp. 17,269 569,014Empresas CMPC SA 68,566 158,207Indah Kiat Pulp & Paper Corp. Tbk PT 210,400 101,215Lee & Man Paper Manufacturing, Ltd. 176,500 93,189Louisiana-Pacific Corp. 49,449 1,188,754Mondi PLC 15,025 293,069Mondi PLC (London Stock Exchange) 61,534 1,200,123Neenah, Inc. 2,159 137,701Nine Dragons Paper Holdings, Ltd. 221,200 167,124Oji Holdings Corp. 120,300 559,589Pabrik Kertas Tjiwi Kimia Tbk PT 106,700 74,714PH Glatfelter Company 5,720 82,254Sappi, Ltd. 75,770 225,904Schweitzer-Mauduit International, Inc. 3,974 133,288Stora Enso OYJ, R Shares 22,509 252,388Suzano SA 71,267 500,470UPM-Kymmene OYJ 20,433 552,197Verso Corp., Class A (A) 4,483 45,771West Fraser Timber Company, Ltd. 10,332 363,956

6,892,714276,480,475

Real estate – 3.6%Equity real estate investment trusts – 2.8%Acadia Realty Trust 10,348 283,018Agree Realty Corp. 4,679 349,475Alexander & Baldwin, Inc. 27,361 626,293Alexander’s, Inc. 277 104,587Alexandria Real Estate Equities, Inc. 15,183 2,275,021American Assets Trust, Inc. 5,875 275,303American Campus Communities, Inc. 37,571 1,746,300American Finance Trust, Inc. 13,735 164,408American Tower Corp. 59,426 13,679,271Apartment Investment & Management

Company, A Shares 20,008 1,020,408Armada Hoffler Properties, Inc. 6,736 116,802Ascendas Real Estate Investment Trust 114,900 254,868Ashford Hospitality Trust, Inc. 13,081 36,627AvalonBay Communities, Inc. 18,741 3,983,587Bluerock Residential Growth REIT, Inc. 3,427 42,392Boston Properties, Inc. 20,774 2,667,797Braemar Hotels & Resorts, Inc. 4,170 38,239Brixmor Property Group, Inc. 81,559 1,503,132Camden Property Trust 26,462 2,864,512CapitaLand Commercial Trust 122,100 187,300CapitaLand Mall Trust 120,400 229,776CareTrust REIT, Inc. 12,173 289,596CatchMark Timber Trust, Inc., Class A 7,003 69,400CBL & Associates Properties, Inc. 25,340 23,059Cedar Realty Trust, Inc. 14,382 34,085Chatham Lodging Trust 5,861 97,234Chesapeake Lodging Trust 7,607 195,880City Office REIT, Inc. 5,504 74,524Clipper Realty, Inc. 2,622 28,685Community Healthcare Trust, Inc. 2,319 98,882CoreCivic, Inc. 47,757 809,481CorEnergy Infrastructure Trust, Inc. 1,726 77,860


COMMON STOCKS (continued)Equity real estate investment trusts (continued)CorePoint Lodging, Inc. 5,618 $ 51,124CoreSite Realty Corp. 10,100 1,173,418Corporate Office Properties Trust 30,630 884,901Cousins Properties, Inc. 39,773 1,380,123Covivio 6,635 706,052Crown Castle International Corp. 55,893 8,113,987CyrusOne, Inc. 30,977 2,275,570Daiwa House REIT Investment Corp. 247 651,864Dexus 168,339 1,462,078DiamondRock Hospitality Company 25,416 240,690Digital Realty Trust, Inc. 28,002 3,461,887Douglas Emmett, Inc. 44,277 1,868,489Duke Realty Corp. 48,322 1,607,673Easterly Government Properties, Inc. 8,539 175,476EastGroup Properties, Inc. 14,570 1,814,256EPR Properties 20,665 1,617,036Equinix, Inc. 11,302 6,287,077Equity Residential 49,806 4,221,557Essential Properties Realty Trust, Inc. 6,193 140,643Essex Property Trust, Inc. 8,835 2,838,332Extra Space Storage, Inc. 17,135 2,089,099Farmland Partners, Inc. 4,285 25,839Federal Realty Investment Trust 10,071 1,301,274Fibra Uno Administracion SA de CV 459,600 636,375First Industrial Realty Trust, Inc. 50,424 1,964,015Fortress REIT, Ltd., Class A 157,528 218,660Four Corners Property Trust, Inc. 8,629 245,840Franklin Street Properties Corp. 13,626 103,149Front Yard Residential Corp. 6,567 72,828Gecina SA 6,838 1,083,976Getty Realty Corp. 4,176 132,630Gladstone Commercial Corp. 4,107 93,106Gladstone Land Corp. 3,121 35,923Global Medical REIT, Inc. 4,161 45,480Global Net Lease, Inc. 10,649 204,248Goodman Group 252,060 2,462,017Growthpoint Properties, Ltd. 414,594 628,006H&R Real Estate Investment Trust 30,639 520,776Hannon Armstrong Sustainable

Infrastructure Capital, Inc. 7,853 216,978HCP, Inc. 64,261 2,230,499Healthcare Realty Trust, Inc. 51,458 1,709,949Hersha Hospitality Trust 4,582 63,690Highwoods Properties, Inc. 28,379 1,226,257Hospitality Properties Trust 44,999 1,086,276Host Hotels & Resorts, Inc. 99,606 1,597,680ICADE 4,249 375,761Independence Realty Trust, Inc. 11,472 159,576Industrial Logistics Properties Trust 8,155 174,435Innovative Industrial Properties, Inc. 1,196 106,635Investors Real Estate Trust 1,571 108,792Iron Mountain, Inc. 38,568 1,228,391iStar, Inc. 7,990 102,272Japan Prime Realty Investment Corp. 102 465,663Japan Real Estate Investment Corp. 179 1,191,228Japan Retail Fund Investment Corp. 348 696,379JBG SMITH Properties 33,033 1,263,843Jernigan Capital, Inc. 2,789 53,856Kilroy Realty Corp. 27,636 2,151,739Kimco Realty Corp. 56,740 1,042,881Kite Realty Group Trust 10,466 149,559Klepierre SA 30,783 939,560Lamar Advertising Company, Class A 23,419 1,795,066Land Securities Group PLC 109,465 1,033,951Lexington Realty Trust 29,088 302,224




COMMON STOCKS (continued)Equity real estate investment trusts (continued)Liberty Property Trust 40,583 $ 2,115,186Life Storage, Inc. 12,764 1,352,473Link REIT 334,925 3,754,614LTC Properties, Inc. 4,960 242,048Mack-Cali Realty Corp. 36,420 741,875Medical Properties Trust, Inc. 120,713 2,244,055Mid-America Apartment Communities, Inc. 15,326 1,941,498Mirvac Group 602,748 1,293,757Monmouth Real Estate Investment Corp. 11,596 152,140National Health Investors, Inc. 5,241 434,793National Retail Properties, Inc. 44,529 2,500,303National Storage Affiliates Trust 7,197 240,812New Senior Investment Group, Inc. 11,323 70,769NexPoint Residential Trust, Inc. 2,423 112,427Nippon Building Fund, Inc. 183 1,343,565Nippon Prologis REIT, Inc. 267 723,219Nomura Real Estate Master Fund, Inc. 527 920,126NorthStar Realty Europe Corp. 5,656 95,756Office Properties Income Trust 6,288 170,468Omega Healthcare Investors, Inc. 58,718 2,388,648One Liberty Properties, Inc. 2,194 58,755Pebblebrook Hotel Trust 52,254 1,409,290Pennsylvania Real Estate Investment Trust 9,669 49,699Physicians Realty Trust 23,345 404,335Piedmont Office Realty Trust, Inc.,

Class A 15,605 308,043PotlatchDeltic Corp. 27,004 1,039,114Preferred Apartment Communities, Inc.,

Class A 5,644 75,968Prologis, Inc. 84,805 7,091,394PS Business Parks, Inc. 7,944 1,426,822Public Storage 20,178 5,341,924QTS Realty Trust, Inc., Class A 6,932 340,084Rayonier, Inc. 35,475 950,730Realty Income Corp. 42,324 3,123,934Redefine Properties, Ltd. 754,657 390,842Regency Centers Corp. 22,466 1,449,282Retail Opportunity Investments Corp. 14,436 252,774Retail Value, Inc. 2,029 75,053Rexford Industrial Realty, Inc. 13,059 577,077RioCan Real Estate Investment Trust 31,437 625,245RLJ Lodging Trust 21,846 354,124RPT Realty 9,903 117,846Ryman Hospitality Properties, Inc. 5,808 462,665Sabra Health Care REIT, Inc. 71,903 1,554,543Safehold, Inc. 1,003 29,388Saul Centers, Inc. 1,540 77,354SBA Communications Corp. 15,225 3,995,497Scentre Group 820,130 2,229,197Segro PLC 168,934 1,616,178Senior Housing Properties Trust 95,462 810,472Seritage Growth Properties, Class A 4,165 162,810Simon Property Group, Inc. 41,540 6,186,968SL Green Realty Corp. 11,337 909,454SmartCentres Real Estate Investment Trust 16,435 390,816Spirit MTA REIT 6,539 54,928Spirit Realty Capital, Inc. 24,182 1,159,285STAG Industrial, Inc. 15,993 465,076Stockland 371,755 1,130,198Summit Hotel Properties, Inc. 13,543 151,140Sunstone Hotel Investors, Inc. 28,757 377,867Suntec Real Estate Investment Trust 80,600 112,013Tanger Factory Outlet Centers, Inc. 37,347 528,087Taubman Centers, Inc. 16,740 653,697Terreno Realty Corp. 7,826 395,683


COMMON STOCKS (continued)Equity real estate investment trusts (continued)The British Land Company PLC 141,112 $ 876,146The GEO Group, Inc. 48,349 829,669The GPT Group 298,296 1,282,671The Macerich Company 14,242 406,324UDR, Inc. 37,885 1,825,299UMH Properties, Inc. 4,992 64,197Unibail-Rodamco-Westfield 10,007 1,309,901Unibail-Rodamco-Westfield,

Stapled Shares 10,952 1,433,582United Urban Investment Corp. 387 725,574Uniti Group, Inc. 74,225 548,523Universal Health Realty Income Trust 1,634 157,991Urban Edge Properties 47,652 834,387Urstadt Biddle Properties, Inc., Class A 3,919 82,260Ventas, Inc. 49,664 3,644,841Vicinity Centres 499,626 870,936Vornado Realty Trust 23,338 1,411,249Washington Prime Group, Inc. 24,323 78,563Washington Real Estate Investment Trust 10,178 269,615Weingarten Realty Investors 32,741 867,309Welltower, Inc. 54,441 4,875,736Weyerhaeuser Company 100,130 2,634,420Whitestone REIT 5,083 63,131Xenia Hotels & Resorts, Inc. 14,385 290,721

205,693,644Real estate management and development – 0.8%Aeon Mall Company, Ltd. 13,700 215,342Agile Group Holdings, Ltd. 186,600 237,547Aroundtown SA 98,993 823,676Ayala Land, Inc. 890,910 809,089Azrieli Group, Ltd. 6,147 458,226BR Malls Participacoes SA 101,319 329,819Bumi Serpong Damai Tbk PT (A) 588,200 55,797CapitaLand, Ltd. 128,200 320,386CBRE Group, Inc., Class A (A) 42,045 2,197,692Central Pattana PCL, Foreign Quota Shares 272,300 597,261China Aoyuan Group, Ltd. 164,000 192,453China Evergrande Group 248,035 512,013China Jinmao Holdings Group, Ltd. 700,400 389,927China Overseas Land & Investment, Ltd. 515,297 1,625,518China Resources Land, Ltd. 372,705 1,511,009China Vanke Company, Ltd., H Shares 201,500 694,434CIFI Holdings Group Company, Ltd. 368,700 197,606City Developments, Ltd. 22,700 156,543CK Asset Holdings, Ltd. 412,198 2,791,543Consolidated-Tomoka Land Company 750 47,880Country Garden Holdings Company, Ltd. 1,021,167 1,264,704Cushman & Wakefield PLC (A) 13,055 219,846Daito Trust Construction Company, Ltd. 10,000 1,286,796Daiwa House Industry Company, Ltd. 79,000 2,474,645Dalian Wanda Commercial Properties

Company, Ltd., H Shares (A)(B) 37,400 251,865Deutsche Wohnen SE 39,039 1,383,895eXp World Holdings, Inc. (A)(C) 2,292 19,940First Capital Realty, Inc. 37,026 616,822Forestar Group, Inc. (A) 1,495 28,495FRP Holdings, Inc. (A) 1,003 49,338Future Land Development

Holdings, Ltd. (C) 240,800 189,685Guangzhou R&F Properties

Company, Ltd., H Shares 139,000 223,118Hang Lung Properties, Ltd. 321,000 724,040Henderson Land Development

Company, Ltd. 232,376 1,079,113Highwealth Construction Corp. 109,687 172,796




COMMON STOCKS (continued)Real estate management and development (continued)Hongkong Land Holdings, Ltd. 185,400 $ 1,010,994Hulic Company, Ltd. 35,600 339,493Hysan Development Company, Ltd. 97,557 394,424Jones Lang LaSalle, Inc. 14,867 1,992,921Kaisa Group Holdings, Ltd. (A) 331,800 114,280Kennedy-Wilson Holdings, Inc. 15,737 330,162Kerry Properties, Ltd. 104,768 352,599KWG Group Holdings, Ltd. (A) 174,500 151,491Land & Houses PCL 52,200 18,394Land & Houses PCL, Foreign

Quota Shares 1,090,300 384,205Lendlease Group 87,426 1,003,974Logan Property Holdings Company, Ltd. 186,500 262,029Longfor Group Holdings, Ltd. (B) 239,800 852,721Marcus & Millichap, Inc. (A) 2,957 106,689Megaworld Corp. 1,339,000 131,909Mitsubishi Estate Company, Ltd. 164,500 3,146,906Mitsui Fudosan Company, Ltd. 124,104 2,971,237Multiplan Empreendimentos

Imobiliarios SA 35,801 224,696NEPI Rockcastle PLC 52,754 467,945New World Development Company, Ltd. 976,257 1,214,903Newmark Group, Inc., Class A 18,715 162,446Nomura Real Estate Holdings, Inc. 17,200 364,212Pakuwon Jati Tbk PT 1,290,100 58,116Rafael Holdings, Inc., Class B (A) 1,443 29,149RE/MAX Holdings, Inc., Class A 2,342 60,119Realogy Holdings Corp. (C) 14,685 70,194Redfin Corp. (A)(C) 11,425 192,968Robinsons Land Corp. 245,800 117,998Ruentex Development Company, Ltd. (A) 85,080 115,226Shanghai Lujiazui Finance & Trade Zone

Development Company, Ltd., B Shares 132,951 149,057Shenzhen Investment, Ltd. 384,900 145,591Shimao Property Holdings, Ltd. 156,200 440,592Shui On Land, Ltd. 486,900 101,070Sime Darby Property BHD 241,600 50,500Sino Land Company, Ltd. 484,075 690,003Sino-Ocean Group Holding, Ltd. 410,858 146,335SM Prime Holdings, Inc. 1,221,000 827,672SOHO China, Ltd. 271,000 79,342SP Setia BHD Group 158,800 58,823Sumitomo Realty & Development

Company, Ltd. 46,183 1,735,154Sun Hung Kai Properties, Ltd. 254,000 3,590,300Sunac China Holdings, Ltd. 326,700 1,302,569Swire Pacific, Ltd., Class A 79,000 772,817Swire Properties, Ltd. 186,000 609,656Swiss Prime Site AG (A) 11,203 1,117,851Tejon Ranch Company (A) 2,968 49,684The RMR Group, Inc., Class A 954 44,447The St. Joe Company (A) 4,512 81,126The Wharf Holdings, Ltd. 195,125 426,140Tokyu Fudosan Holdings Corp. 84,900 526,026UOL Group, Ltd. 23,500 124,272Vonovia SE 53,983 2,693,712Wharf Real Estate Investment

Company, Ltd. 193,125 1,043,382Wheelock & Company, Ltd. 131,000 759,840Yuexiu Property Company, Ltd. 925,500 199,060Yuzhou Properties Company, Ltd. 235,600 98,879

58,655,159264,348,803

Utilities – 3.3%


COMMON STOCKS (continued)Electric utilities – 1.7%ALLETE, Inc. 20,678 $ 1,772,725Alliant Energy Corp. 31,885 1,672,368American Electric Power Company, Inc. 66,581 6,068,858AusNet Services 272,317 329,863Centrais Eletricas Brasileiras SA 28,600 317,287CEZ AS 19,530 430,393Chubu Electric Power Company, Inc. 89,700 1,321,877CK Infrastructure Holdings, Ltd. 104,500 703,495CLP Holdings, Ltd. 260,500 2,680,854Duke Energy Corp. 98,237 9,110,499Edison International 47,741 3,450,242EDP - Energias de Portugal SA 403,160 1,523,866El Paso Electric Company 5,189 346,106Electricite de France SA 91,502 1,112,736Emera, Inc. 12,381 536,380Endesa SA 52,525 1,349,938Enel Americas SA 2,306,935 377,882Enel Chile SA 1,804,698 155,610Enel SpA 761,349 5,523,424Energisa SA 22,000 252,301Entergy Corp. 25,627 2,891,751Equatorial Energia SA 22,078 510,604Evergy, Inc. 32,937 2,140,905Eversource Energy 43,327 3,471,793Exelon Corp. 131,014 6,191,722FirstEnergy Corp. 68,123 3,133,658Fortis, Inc. 80,259 3,313,683Fortum OYJ 16,621 365,909Genie Energy, Ltd., B Shares 2,403 17,205Hawaiian Electric Industries, Inc. 29,816 1,323,830HK Electric Investments & HK Electric

Investments, Ltd. 396,500 379,666Hydro One, Ltd. (B) 64,301 1,191,940Iberdrola SA 997,465 10,267,911IDACORP, Inc. 13,790 1,514,280Interconexion Electrica SA ESP 46,454 245,315Korea Electric Power Corp. (A) 35,879 758,106Kyushu Electric Power Company, Inc. 52,000 513,259Manila Electric Company 26,540 186,066MGE Energy, Inc. 4,515 342,463NextEra Energy, Inc. 64,624 14,157,826OGE Energy Corp. 54,787 2,348,719Orsted A/S (B) 29,067 2,774,044Otter Tail Corp. 4,754 240,647PGE Polska Grupa Energetyczna SA (A) 143,953 278,398Pinnacle West Capital Corp. 15,150 1,443,947PNM Resources, Inc. 31,908 1,627,627Portland General Electric Company 11,297 642,686Power Assets Holdings, Ltd. 219,000 1,456,220PPL Corp. 97,386 2,877,756Red Electrica Corp. SA 71,153 1,412,995SSE PLC 161,436 2,264,843Tenaga Nasional BHD 320,036 1,060,868Terna Rete Elettrica Nazionale SpA 127,457 803,119The Chugoku Electric Power

Company, Inc. 36,900 471,195The Kansai Electric Power Company, Inc. 98,100 1,192,811The Southern Company 140,442 8,182,151Tohoku Electric Power Company, Inc. 59,100 590,457Tokyo Electric Power Company

Holdings, Inc. (A) 213,700 1,017,110Verbund AG 11,710 697,244Xcel Energy, Inc. 69,446 4,459,822

127,797,255




COMMON STOCKS (continued)Gas utilities – 0.4%AltaGas, Ltd. 51,556 $ 700,115APA Group 181,577 1,345,199Atmos Energy Corp. 15,786 1,740,091Beijing Enterprises Holdings, Ltd. 67,714 322,025Chesapeake Utilities Corp. 2,019 190,957China Gas Holdings, Ltd. 237,400 978,616China Resources Gas Group, Ltd. 118,100 582,781Enagas SA 37,440 815,184ENN Energy Holdings, Ltd. 105,200 1,198,731Hong Kong & China Gas Company, Ltd. 1,610,989 3,106,649Infraestructura Energetica Nova SAB de

CV (A) 77,635 327,251Korea Gas Corp. 3,961 127,851Kunlun Energy Company, Ltd. 432,490 375,970National Fuel Gas Company 23,623 1,104,139Naturgy Energy Group SA 49,673 1,301,773New Jersey Resources Corp. 35,645 1,630,402Northwest Natural Holding Company 3,692 263,461ONE Gas, Inc. 20,994 1,923,260Osaka Gas Company, Ltd. 51,700 924,686Perusahaan Gas Negara Tbk PT 826,869 111,663Petronas Gas BHD 61,699 235,773RGC Resources, Inc. 1,068 30,310Snam SpA 191,559 971,478South Jersey Industries, Inc. 11,824 382,388Southwest Gas Holdings, Inc. 21,342 1,947,031Spire, Inc. 20,116 1,707,848Toho Gas Company, Ltd. 10,145 393,506Tokyo Gas Company, Ltd. 53,100 1,341,291Towngas China Company, Ltd. (A) 126,900 87,613UGI Corp. 57,089 2,778,522

28,946,564Independent power and renewable electricity producers –0.1%Aboitiz Power Corp. 175,900 128,392AES Corp. 89,557 1,372,909Atlantic Power Corp. (A) 16,751 38,360CGN Power Company, Ltd., H Shares (B) 1,396,700 368,219China Common Rich Renewable Energy

Investments, Ltd. (A)(D) 1,136,000 169,812China Longyuan Power Group Corp., Ltd.,

H Shares 424,300 232,932China Power International

Development, Ltd. 575,900 124,690China Resources Power Holdings

Company, Ltd. 254,332 335,506Clearway Energy, Inc., Class A 4,507 75,537Clearway Energy, Inc., Class C 9,374 165,920Colbun SA 497,491 88,591Datang International Power Generation

Company, Ltd., H Shares 393,200 86,110Electric Power Development

Company, Ltd. 20,300 470,049Electricity Generating PCL 9,800 107,519Electricity Generating PCL, Foreign

Quota Shares 37,900 415,813Energy Absolute PCL 20,300 31,242Energy Absolute PCL, Foreign

Quota Shares 222,170 341,924Engie Brasil Energia SA 26,683 289,834Gulf Energy Development PCL 20,700 97,924Gulf Energy Development PCL, Foreign

Quota Shares 71,600 338,713Huadian Power International Corp., Ltd.,

H Shares 211,100 82,304


COMMON STOCKS (continued)Independent power and renewable electricityproducers (continued)Huaneng Power International, Inc.,

H Shares 491,864 $ 269,951Huaneng Renewables Corp., Ltd.,

H Shares 645,300 178,687Meridian Energy, Ltd. 118,307 371,058NRG Energy, Inc. 36,047 1,312,111Ormat Technologies, Inc. 5,033 373,801Pattern Energy Group, Inc., Class A 11,497 312,144Ratch Group PCL 10,300 24,738Ratch Group PCL, Foreign Quota Shares 94,500 227,189TerraForm Power, Inc., Class A 9,412 159,628Uniper SE 22,003 667,613

9,259,220Multi-utilities – 0.9%AGL Energy, Ltd. 101,581 1,294,941Ameren Corp. 33,139 2,556,674Atco, Ltd., Class I 15,355 548,739Avista Corp. 8,350 391,615Black Hills Corp. 22,506 1,726,435Canadian Utilities, Ltd., Class A 25,907 748,178CenterPoint Energy, Inc. 67,759 1,876,247Centrica PLC 903,249 767,032CMS Energy Corp. 38,287 2,413,995Consolidated Edison, Inc. 44,137 3,923,779Dominion Energy, Inc. 108,265 8,404,612DTE Energy Company 24,721 3,205,325E.ON SE 242,244 2,253,763Engie SA 277,181 4,214,486Innogy SE (B) 14,887 741,642MDU Resources Group, Inc. 54,213 1,457,788National Grid PLC 537,765 5,632,866NiSource, Inc. 50,344 1,487,665NorthWestern Corp. 20,189 1,462,491Public Service Enterprise Group, Inc. 68,199 4,123,994RWE AG 60,365 1,720,821Sempra Energy 37,024 5,243,709Suez 51,001 791,843Unitil Corp. 1,912 115,427Veolia Environnement SA 80,995 1,936,915WEC Energy Group, Inc. 42,563 4,076,259YTL Corp. BHD 282,297 67,036

63,184,277Water utilities – 0.2%Aguas Andinas SA, Class A 137,980 75,912American States Water Company 4,622 427,674American Water Works Company, Inc. 24,358 3,101,261Aqua America, Inc. 59,048 2,615,236AquaVenture Holdings, Ltd. (A) 1,764 31,188Artesian Resources Corp., Class A 1,138 41,423Beijing Enterprises Water Group, Ltd. (A) 737,700 386,706Cadiz, Inc. (A)(C) 2,347 27,014California Water Service Group 6,123 345,582Cia de Saneamento Basico do Estado de

Sao Paulo 44,998 561,796Connecticut Water Service, Inc. 1,594 111,803Consolidated Water Company, Ltd. 2,675 39,216Guangdong Investment, Ltd. 389,980 820,964Middlesex Water Company 2,107 128,611Pure Cycle Corp. (A) 2,572 27,906Severn Trent PLC 36,881 929,908SJW Group 3,374 230,545The York Water Company 1,731 64,636




COMMON STOCKS (continued)Water utilities (continued)United Utilities Group PLC 106,432 $ 1,055,459

11,022,840240,210,156

TOTAL COMMON STOCKS (Cost $6,666,643,170) $ 6,956,756,618

PREFERRED SECURITIES – 0.4%Communication services – 0.0%Diversified consumer services – 0.0%GCI Liberty, Inc., 7.000% (C) 974 25,129Diversified telecommunication services – 0.0%Telefonica Brasil SA 58,754 761,489

786,618Consumer discretionary – 0.1%Automobiles – 0.1%Bayerische Motoren Werke AG 6,388 343,959Hyundai Motor Company 3,362 211,295Hyundai Motor Company, 2nd Preferred 5,170 369,353Porsche Automobil Holding SE 17,039 1,070,227Volkswagen AG 20,496 3,298,583

5,293,417Multiline retail – 0.0%Lojas Americanas SA 95,526 432,070

5,725,487Consumer staples – 0.0%Beverages – 0.0%Embotelladora Andina SA, B Shares 17,854 55,183Food and staples retailing – 0.0%Cia Brasileira de Distribuicao 20,800 439,809Household products – 0.0%Henkel AG & Company KGaA 19,684 1,975,301Personal products – 0.0%Amorepacific Corp. 1,302 77,674LG Household & Health Care, Ltd. 297 178,170

255,8442,726,137

Energy – 0.0%Oil, gas and consumable fuels – 0.0%Petroleo Brasileiro SA 550,733 3,391,377Financials – 0.2%Banks – 0.2%Banco Bradesco SA 529,086 4,209,945Bancolombia SA 46,691 579,662Grupo Aval Acciones y Valores SA 396,682 148,065Itau Unibanco Holding SA 634,867 5,203,426Itausa - Investimentos Itau SA 578,759 1,717,689

11,858,787Diversified financial services – 0.0%Grupo de Inversiones Suramericana SA 12,699 114,055

11,972,842Health care – 0.0%Health care equipment and supplies – 0.0%Sartorius AG 3,918 785,725Industrials – 0.0%Industrial conglomerates – 0.0%CJ Corp. (A) 289 13,361Information technology – 0.1%Technology hardware, storage and peripherals – 0.1%Samsung Electronics Company, Ltd. 114,775 3,496,911Materials – 0.0%


PREFERRED SECURITIES (continued)Chemicals – 0.0%Braskem SA, A Shares (A) 25,083 $ 170,935FUCHS PETROLUB SE 7,530 262,369LG Chem, Ltd. 1,081 160,834Sociedad Quimica y Minera de Chile SA,

B Shares 6,827 168,404762,542

Metals and mining – 0.0%Gerdau SA 142,583 443,140

1,205,682Utilities – 0.0%Electric utilities – 0.0%Centrais Eletricas Brasileiras SA, B Shares 31,379 355,770Cia Energetica de Minas Gerais 120,448 429,320

785,090TOTAL PREFERRED SECURITIES (Cost $32,249,289) $ 30,889,230

EXCHANGE-TRADED FUNDS – 1.5%iShares MSCI India ETF 1,911,534 61,513,164iShares MSCI Russia ETF 124,127 4,684,553KraneShares Bosera MSCI China A

ETF (C) 396,139 11,828,711VanEck Vectors Russia ETF (C) 1,254,826 27,932,427TOTAL EXCHANGE-TRADED FUNDS (Cost $105,290,609) $ 105,958,855

RIGHTS – 0.0%B2W Cia Digital (Expiration

Date: 9-23-19; Strike Price: BRL39.00) (A) 3,320 6,566

Pan American Silver Corp. (ExpirationDate: 2-22-29) (A)(D)(E) 37,553 9,681

TOTAL RIGHTS (Cost $11,142) $ 16,247

WARRANTS – 0.0%BTS Group Holdings PCL (Expiration

Date: 11-29-19; Strike Price: THB10.50) (A) 56,833 5,577

Minor International PCL (ExpirationDate: 10-01-21; Strike Price: THB48.00) (A) 1,847 244

TOTAL WARRANTS (Cost $0) $ 5,821


2.1920% (F)(G) 7,997,743 80,031,817TOTAL SECURITIES LENDING COLLATERAL(Cost $80,021,742) $ 80,031,817

SHORT-TERM INVESTMENTS – 2.7%U.S. Government Agency – 2.1%Federal Home Loan Bank Discount Note

1.515%, 10/15/2019 * $ 15,000,000 14,964,4751.695%, 10/04/2019 * 30,000,000 29,947,5582.020%, 09/20/2019 * 10,000,000 9,990,2252.020%, 10/01/2019 * 21,000,000 20,966,8432.170%, 09/10/2019 * 25,000,000 24,989,9382.270%, 09/04/2019 * 15,000,000 14,999,138

Federal National Mortgage AssociationDiscount Note1.990%, 10/04/2019 * 40,000,000 39,930,078

155,788,255




SHORT-TERM INVESTMENTS (continued)Repurchase agreement – 0.6%Repurchase Agreement with State Street

Corp. dated 8-30-19 at 1.050% to berepurchased at $45,769,339 on 9-3-19,collateralized by $45,830,000U.S. Treasury Notes, 2.250% due3-31-21 (valued at $46,691,237,including interest) $ 45,764,000 $ 45,764,000

TOTAL SHORT-TERM INVESTMENTS (Cost $201,532,810) $ 201,552,255Total Investments (Strategic Equity Allocation Fund)


Currency AbbreviationsBRL Brazilian Real

Strategic Equity Allocation Fund (continued)THB Thai Bhat

Security Abbreviations and LegendADR American Depositary Receipt(A) Non-income producing security.(B) These securities are exempt from registration under Rule 144A of


(C) All or a portion of this security is on loan as of 8-31-19.(D) Security is valued using significant unobservable inputs and is

classified as Level 3 in the fair value hierarchy.(E) Strike price and/or expiration date not available.(F) The rate shown is the annualized seven-day yield as of 8-31-19.(G) Investment is an affiliate of the fund, the advisor and/or subadvisor.



DERIVATIVES

FUTURES



dateNotional

basis^Notional

value^


(depreciation)Canadian Dollar Currency Futures 107 Long Sep 2019 $8,051,032 $8,034,095 $(16,937)MSCI EAFE Index Futures 869 Long Sep 2019 80,664,735 80,117,455 (547,280)MSCI Emerging Markets Index Futures 520 Long Sep 2019 25,953,444 25,584,000 (369,444)Russell 2000 E-Mini Index Futures 179 Long Sep 2019 13,680,374 13,373,090 (307,284)S&P 500 Index E-Mini Futures 643 Long Sep 2019 94,869,677 93,435,938 (1,433,739)S&P Mid 400 Index E-Mini Futures 95 Long Sep 2019 18,164,779 17,873,300 (291,479)S&P/TSX 60 Index Futures 53 Long Sep 2019 7,713,843 7,814,256 100,413

$(2,865,750)



U.S. Strategic Equity Allocation FundShares orPrincipalAmount Value

COMMON STOCKS – 97.6%Communication services – 7.3%Diversified telecommunication services – 0.4%Anterix, Inc. (A) 422 $ 16,353AT&T, Inc. 79,014 2,786,034ATN International, Inc. 479 27,217Bandwidth, Inc., Class A (A) 713 62,166CenturyLink, Inc. 10,856 123,541Cincinnati Bell, Inc. (A) 2,527 13,722Cogent Communications Holdings, Inc. 1,838 111,916Consolidated Communications

Holdings, Inc. 3,250 13,098Frontier Communications Corp. (A)(B) 4,979 3,986IDT Corp., Class B (A) 870 7,673Intelsat SA (A) 3,001 62,061Iridium Communications, Inc. (A) 4,409 106,610Ooma, Inc. (A) 955 11,938ORBCOMM, Inc. (A) 3,447 15,891Pareteum Corp. (A)(B) 5,068 10,846Verizon Communications, Inc. 44,769 2,603,765Vonage Holdings Corp. (A) 10,041 132,742

6,109,559

U.S. Strategic Equity Allocation Fund (continued)Shares orPrincipalAmount Value

COMMON STOCKS (continued)Entertainment – 1.6%Activision Blizzard, Inc. 36,847 $ 1,864,458AMC Entertainment Holdings, Inc.,

Class A (B) 2,284 25,375Cinemark Holdings, Inc. 10,220 389,995Electronic Arts, Inc. (A) 14,285 1,338,219Glu Mobile, Inc. (A) 5,113 22,702IMAX Corp. (A) 2,344 49,036Liberty Media Corp.-Liberty Braves,

Class A (A) 535 14,696Liberty Media Corp.-Liberty Braves,

Class C (A) 1,438 39,487Live Nation Entertainment, Inc. (A) 13,396 931,156Netflix, Inc. (A) 21,030 6,177,563Reading International, Inc., Class A (A) 814 10,094Rosetta Stone, Inc. (A) 924 16,863Take-Two Interactive Software, Inc. (A) 5,368 708,415The Marcus Corp. 999 33,526The Walt Disney Company 83,967 11,525,310Viacom, Inc., Class B 16,870 421,413World Wrestling Entertainment, Inc.,

Class A 4,187 299,07723,867,385




COMMON STOCKS (continued)Interactive media and services – 3.9%Alphabet, Inc., Class A (A) 14,403 $ 17,147,204Alphabet, Inc., Class C (A) 14,741 17,513,782Care.com, Inc. (A) 1,042 10,305CarGurus, Inc. (A) 3,312 108,037Cars.com, Inc. (A) 8,836 78,729DHI Group, Inc. (A) 2,581 9,369Eventbrite, Inc., Class A (A) 1,610 28,143Facebook, Inc., Class A (A) 115,560 21,456,025Liberty TripAdvisor Holdings, Inc.,

Class A (A) 3,254 28,440QuinStreet, Inc. (A) 2,003 22,934The Meet Group, Inc. (A) 3,563 12,292TripAdvisor, Inc. (A) 4,937 187,557TrueCar, Inc. (A) 4,544 17,994Twitter, Inc. (A) 35,124 1,498,039Yelp, Inc. (A) 10,173 340,897

58,459,747Media – 1.3%AMC Networks, Inc., Class A (A) 4,347 210,830Boston Omaha Corp., Class A (A) 505 10,342Cable One, Inc. 476 617,667Cardlytics, Inc. (A) 654 24,571CBS Corp., Class B 17,065 717,754Central European Media Enterprises, Ltd.,

Class A (A) 4,396 20,397Charter Communications, Inc., Class A (A) 8,274 3,388,948Clear Channel Outdoor Holdings, Inc. (A) 2,088 5,429Comcast Corp., Class A 217,853 9,642,174comScore, Inc. (A) 2,438 4,535Cumulus Media, Inc., Class A (A) 705 9,588Daily Journal Corp. (A)(B) 51 10,224Discovery, Inc., Series A (A) 7,530 207,828Discovery, Inc., Series C (A) 17,198 447,664DISH Network Corp., Class A (A) 11,006 369,361Emerald Expositions Events, Inc. 1,264 12,084Entercom Communications Corp., Class A 5,497 19,569Entravision Communications Corp.,

Class A 3,060 9,364Fluent, Inc. (A) 2,108 6,282Fox Corp., Class A 17,263 572,614Fox Corp., Class B 7,745 254,036Gannett Company, Inc. 4,727 49,728Gray Television, Inc. (A) 4,061 62,133Hemisphere Media Group, Inc. (A) 889 10,552John Wiley & Sons, Inc., Class A 4,321 192,285Liberty Latin America, Ltd., Class A (A) 2,146 35,237Liberty Latin America, Ltd., Class C (A) 4,954 81,691Loral Space & Communications, Inc. (A) 614 22,712Marchex, Inc., Class B (A) 1,928 6,555MDC Partners, Inc., Class A (A) 3,135 7,367Media General, Inc. (A)(C) 7,175 689Meredith Corp. 5,614 245,781MSG Networks, Inc., Class A (A) 2,614 42,870National CineMedia, Inc. 2,854 23,403New Media Investment Group, Inc. (B) 2,768 24,303News Corp., Class A 18,389 252,849News Corp., Class B 5,906 83,629Omnicom Group, Inc. 10,658 810,647Scholastic Corp. 1,297 45,486TechTarget, Inc. (A) 1,017 24,144TEGNA, Inc. 30,386 434,824The EW Scripps Company, Class A 2,476 30,603The Interpublic Group of Companies, Inc. 18,463 367,044The New York Times Company, Class A 13,626 397,879Tribune Publishing Company 987 7,551


COMMON STOCKS (continued)Media (continued)WideOpenWest, Inc. (A) 1,221 $ 6,862

19,828,085Wireless telecommunication services – 0.1%Boingo Wireless, Inc. (A) 1,936 24,916Gogo, Inc. (A)(B) 2,707 10,882Shenandoah Telecommunications Company 2,137 67,401Spok Holdings, Inc. 884 10,387Telephone & Data Systems, Inc. 9,012 227,102T-Mobile US, Inc. (A) 3,420 266,931

607,619108,872,395

Consumer discretionary – 10.2%Auto components – 0.3%Adient PLC 12,250 247,083American Axle & Manufacturing

Holdings, Inc. (A) 4,971 31,516Aptiv PLC 16,935 1,408,484BorgWarner, Inc. 13,601 443,801Cooper Tire & Rubber Company 2,196 51,584Cooper-Standard Holdings, Inc. (A) 782 29,278Dana, Inc. 20,201 257,159Delphi Technologies PLC 8,436 111,608Dorman Products, Inc. (A) 1,188 84,443Fox Factory Holding Corp. (A) 1,677 120,811Gentex Corp. 24,512 652,019Gentherm, Inc. (A) 1,493 54,793LCI Industries 1,076 91,191Modine Manufacturing Company (A) 2,193 22,391Motorcar Parts of America, Inc. (A) 926 13,455Standard Motor Products, Inc. 921 40,810Stoneridge, Inc. (A) 1,223 37,558Tenneco, Inc., Class A 2,290 19,969The Goodyear Tire & Rubber Company 22,296 255,735Tower International, Inc. 901 27,868Visteon Corp. (A) 3,970 273,811

4,275,367Automobiles – 0.4%Ford Motor Company 257,399 2,360,349General Motors Company 86,654 3,213,997Harley-Davidson, Inc. 10,510 335,269Tesla, Inc. (A) 1 226Thor Industries, Inc. 5,017 230,330Winnebago Industries, Inc. 1,374 43,995

6,184,166Distributors – 0.2%Core-Mark Holding Company, Inc. 2,021 65,460Funko, Inc., Class A (A) 799 19,168Genuine Parts Company 11,310 1,021,180LKQ Corp. (A) 24,311 638,650Pool Corp. 3,815 749,190Weyco Group, Inc. 295 7,236

2,500,884Diversified consumer services – 0.2%Adtalem Global Education, Inc. (A) 7,931 338,812American Public Education, Inc. (A) 732 17,736Career Education Corp. (A) 3,071 62,986Carriage Services, Inc. 826 17,569Chegg, Inc. (A) 5,150 204,146Collectors Universe, Inc. 448 11,612Graham Holdings Company, Class B 417 293,593H&R Block, Inc. 9,850 238,567Houghton Mifflin Harcourt Company (A) 4,658 27,715K12, Inc. (A) 1,700 44,795




COMMON STOCKS (continued)Diversified consumer services (continued)Laureate Education, Inc., Class A (A) 4,208 $ 77,006OneSpaWorld Holdings, Ltd. (A) 2,018 31,683Regis Corp. (A) 1,223 19,776Select Interior Concepts, Inc., Class A (A) 1,115 13,837Service Corp. International 17,478 809,231Sotheby’s (A) 4,584 264,726Strategic Education, Inc. 947 160,261Weight Watchers International, Inc. (A) 5,823 174,632

2,808,683Hotels, restaurants and leisure – 2.2%BBX Capital Corp. 3,301 13,699BJ’s Restaurants, Inc. 922 33,598Bloomin’ Brands, Inc. 4,074 73,495Boyd Gaming Corp. 11,247 270,378Brinker International, Inc. (B) 5,253 199,614Caesars Entertainment Corp. (A) 56,132 646,079Carnival Corp. 19,015 838,181Carrols Restaurant Group, Inc. (A) 1,739 12,695Century Casinos, Inc. (A) 1,360 10,445Chipotle Mexican Grill, Inc. (A) 1,158 970,890Churchill Downs, Inc. 4,950 610,137Chuy’s Holdings, Inc. (A) 742 18,825Cracker Barrel Old Country Store, Inc. 3,155 521,837Darden Restaurants, Inc. 5,840 706,523Dave & Buster’s Entertainment, Inc. (B) 1,611 69,354Del Frisco’s Restaurant Group, Inc. (A) 1,646 13,119Del Taco Restaurants, Inc. (A) 1,411 15,775Denny’s Corp. (A) 2,609 61,546Dine Brands Global, Inc. 737 51,995Domino’s Pizza, Inc. 3,942 894,203Drive Shack, Inc. (A) 3,179 14,973Dunkin’ Brands Group, Inc. 7,926 653,419El Pollo Loco Holdings, Inc. (A) 1,072 10,945Eldorado Resorts, Inc. (A) 9,169 353,098Everi Holdings, Inc. (A) 3,006 26,874Fiesta Restaurant Group, Inc. (A) 1,183 10,221Golden Entertainment, Inc. (A) 904 12,819Hilton Worldwide Holdings, Inc. 13,821 1,276,646International Speedway Corp., Class A 3,329 149,872J Alexander’s Holdings, Inc. (A) 733 8,649Jack in the Box, Inc. 3,615 308,432Lindblad Expeditions Holdings, Inc. (A) 1,072 20,004Marriott International, Inc., Class A 13,126 1,654,664Marriott Vacations Worldwide Corp. 5,697 561,667McDonald’s Corp. 36,257 7,902,938MGM Resorts International 24,227 679,810Monarch Casino & Resort, Inc. (A) 517 22,944Nathan’s Famous, Inc. 160 10,656Noodles & Company (A) 1,481 8,545Norwegian Cruise Line Holdings, Ltd. (A) 10,199 517,599Papa John’s International, Inc. (B) 3,146 156,545Penn National Gaming, Inc. (A) 15,191 291,211PlayAGS, Inc. (A) 1,178 11,474RCI Hospitality Holdings, Inc. 495 8,811Red Lion Hotels Corp. (A) 1,451 7,603Red Robin Gourmet Burgers, Inc. (A) 581 19,458Red Rock Resorts, Inc., Class A 3,141 65,490Royal Caribbean Cruises, Ltd. 8,164 851,342Ruth’s Hospitality Group, Inc. 1,268 24,663Scientific Games Corp. (A)(B) 7,864 145,327SeaWorld Entertainment, Inc. (A) 2,238 64,924Shake Shack, Inc., Class A (A) 1,253 124,247Six Flags Entertainment Corp. 6,869 406,439Speedway Motorsports, Inc. 587 11,593Starbucks Corp. 57,515 5,553,648


COMMON STOCKS (continued)Hotels, restaurants and leisure (continued)Target Hospitality Corp. (A) 1,588 $ 9,687Texas Roadhouse, Inc. 9,431 485,319The Cheesecake Factory, Inc. 5,851 222,279The Habit Restaurants, Inc., Class A (A) 1,090 9,548The Wendy’s Company 17,479 384,538Twin River Worldwide Holdings, Inc. 964 21,835Wingstop, Inc. 1,301 130,321Wyndham Destinations, Inc. 8,979 398,129Wyndham Hotels & Resorts, Inc. 9,331 479,427Wynn Resorts, Ltd. 4,587 505,258Yum! Brands, Inc. 14,531 1,696,930

32,323,209Household durables – 0.6%Beazer Homes USA, Inc. (A) 1,469 18,407Cavco Industries, Inc. (A) 386 70,819Century Communities, Inc. (A) 1,126 31,731D.R. Horton, Inc. 18,225 901,591Ethan Allen Interiors, Inc. 1,065 18,318Flexsteel Industries, Inc. 483 7,313Garmin, Ltd. 6,510 531,021GoPro, Inc., Class A (A) 5,309 20,546Green Brick Partners, Inc. (A) 1,325 12,177Hamilton Beach Brands Holding Company,

Class B 294 4,166Helen of Troy, Ltd. (A) 3,514 539,434Hooker Furniture Corp. 669 11,948Installed Building Products, Inc. (A) 1,015 57,764iRobot Corp. (A) 1,221 75,470KB Home 11,831 332,333La-Z-Boy, Inc. 1,998 63,676Leggett & Platt, Inc. 7,044 261,966Lennar Corp., A Shares 15,319 781,269LGI Homes, Inc. (A)(B) 880 71,729M/I Homes, Inc. (A) 1,137 41,091MDC Holdings, Inc. 2,159 83,489Meritage Homes Corp. (A) 1,585 103,564Mohawk Industries, Inc. (A) 3,304 392,813Newell Brands, Inc. 20,892 346,807NVR, Inc. (A) 324 1,166,076PulteGroup, Inc. 13,675 462,215Skyline Champion Corp. (A) 2,253 63,084Sonos, Inc. (A) 3,153 45,782Taylor Morrison Home Corp. (A) 4,727 112,786Tempur Sealy International, Inc. (A) 4,409 340,022The Lovesac Company (A) 312 5,366Toll Brothers, Inc. 12,694 459,396TopBuild Corp. (A) 1,502 139,115TRI Pointe Group, Inc. (A) 19,882 278,348Tupperware Brands Corp. 6,836 88,936Universal Electronics, Inc. (A) 608 27,451Whirlpool Corp. 3,399 472,767William Lyon Homes, Class A (A) 1,380 24,385ZAGG, Inc. (A) 1,458 9,346

8,474,517Internet and direct marketing retail – 2.9%1-800-Flowers.com, Inc., Class A (A) 1,094 16,104Amazon.com, Inc. (A) 20,358 36,161,712Booking Holdings, Inc. (A) 2,131 4,190,420Duluth Holdings, Inc., Class B (A) 545 5,009eBay, Inc. 40,331 1,624,936Expedia Group, Inc. 7,734 1,006,193Groupon, Inc. (A) 20,189 50,069GrubHub, Inc. (A) 9,254 549,132Leaf Group, Ltd. (A) 1,046 4,372Liquidity Services, Inc. (A) 1,451 10,984




COMMON STOCKS (continued)Internet and direct marketing retail (continued)Overstock.com, Inc. (A)(B) 1,241 $ 19,521PetMed Express, Inc. (B) 981 15,500Quotient Technology, Inc. (A) 3,518 25,822Shutterfly, Inc. (A) 1,532 77,948Shutterstock, Inc. (A) 846 29,703Stamps.com, Inc. (A) 750 48,270Stitch Fix, Inc., Class A (A) 1,870 35,642The Rubicon Project, Inc. (A) 2,342 23,959Waitr Holdings, Inc. (A) 2,526 4,370

43,899,666Leisure products – 0.1%Acushnet Holdings Corp. 1,559 40,487American Outdoor Brands Corp. (A) 2,464 14,809Brunswick Corp. 8,351 389,157Callaway Golf Company 4,164 73,953Clarus Corp. 1,087 11,968Hasbro, Inc. 6,215 686,571Johnson Outdoors, Inc., Class A 240 13,440Malibu Boats, Inc., Class A (A) 921 25,622MasterCraft Boat Holdings, Inc. (A) 917 13,893Mattel, Inc. (A)(B) 33,129 324,664Polaris, Inc. 5,506 451,602Sturm Ruger & Company, Inc. 739 30,306Vista Outdoor, Inc. (A) 2,551 14,260YETI Holdings, Inc. (A)(B) 1,386 39,155

2,129,887Multiline retail – 0.2%Big Lots, Inc. 1,773 40,336Dillard’s, Inc., Class A 2,175 127,281Dollar General Corp. 3,347 522,433Dollar Tree, Inc. (A) 3,078 312,509J.C. Penney Company, Inc. (A)(B) 15,628 11,629Kohl’s Corp. 2,100 99,246Macy’s, Inc. 4,002 59,070Nordstrom, Inc. (B) 1,363 39,486Ollie’s Bargain Outlet Holdings, Inc. (A) 4,993 276,862Target Corp. 6,639 710,639

2,199,491Specialty retail – 2.4%Aaron’s, Inc. 9,481 607,827Abercrombie & Fitch Company, Class A 2,974 43,480Advance Auto Parts, Inc. 3,785 522,141American Eagle Outfitters, Inc. 22,873 384,724America’s Car-Mart, Inc. (A) 270 23,161Asbury Automotive Group, Inc. (A) 850 80,155At Home Group, Inc. (A) 2,256 15,205AutoNation, Inc. (A) 5,476 259,891AutoZone, Inc. (A) 1,294 1,425,587Bed Bath & Beyond, Inc. (B) 18,292 176,884Best Buy Company, Inc. 12,255 780,031Boot Barn Holdings, Inc. (A) 1,250 42,813Caleres, Inc. 1,837 37,016Camping World Holdings, Inc.,

Class A (B) 1,596 12,130CarMax, Inc. (A) 8,768 730,199Chico’s FAS, Inc. 5,646 17,616Citi Trends, Inc. 594 9,985Conn’s, Inc. (A) 940 18,950Designer Brands, Inc., Class A 2,889 47,640Dick’s Sporting Goods, Inc. 6,477 220,477Express, Inc. (A) 3,189 6,761Five Below, Inc. (A) 5,367 659,443Foot Locker, Inc. 10,952 396,353GameStop Corp., Class A (B) 4,582 18,191


COMMON STOCKS (continued)Specialty retail (continued)Genesco, Inc. (A) 776 $ 27,688Group 1 Automotive, Inc. 785 58,655Guess?, Inc. 2,550 46,079Haverty Furniture Companies, Inc. 898 17,197Hibbett Sports, Inc. (A) 841 13,910Hudson, Ltd., Class A (A) 1,726 18,727L Brands, Inc. 12,281 202,759Lithia Motors, Inc., Class A 979 128,318Lowe’s Companies, Inc. 41,306 4,634,533Lumber Liquidators Holdings, Inc. (A)(B) 1,393 13,108MarineMax, Inc. (A) 1,011 14,619Monro, Inc. 1,448 112,539Murphy USA, Inc. (A) 4,211 376,463National Vision Holdings, Inc. (A) 3,070 87,065Office Depot, Inc. 24,299 31,589O’Reilly Automotive, Inc. (A) 4,130 1,584,929Party City Holdco, Inc. (A)(B) 2,531 11,896Rent-A-Center, Inc. (A) 2,147 54,813RH (A) 811 116,176Ross Stores, Inc. 19,372 2,053,626Sally Beauty Holdings, Inc. (A) 16,899 206,675Shoe Carnival, Inc. 463 14,233Signet Jewelers, Ltd. 7,328 89,695Sleep Number Corp. (A) 1,330 55,647Sonic Automotive, Inc., Class A 1,079 29,036Sportsman’s Warehouse Holdings, Inc. (A) 2,188 9,233Tailored Brands, Inc. (B) 2,470 13,387The Buckle, Inc. 1,293 25,343The Cato Corp., Class A 1,058 18,124The Children’s Place, Inc. (B) 682 59,505The Gap, Inc. 11,509 181,727The Home Depot, Inc. 58,051 13,230,403The Michaels Companies, Inc. (A) 12,403 70,325The TJX Companies, Inc. 63,940 3,514,782Tiffany & Company 5,698 483,589Tile Shop Holdings, Inc. 2,183 5,872Tilly’s, Inc., Class A 1,114 11,931Tractor Supply Company 6,366 648,568Ulta Beauty, Inc. (A) 2,931 696,787Urban Outfitters, Inc. (A) 6,577 153,968Williams-Sonoma, Inc. 7,558 497,316Winmark Corp. 105 17,063Zumiez, Inc. (A) 883 22,940

36,197,498Textiles, apparel and luxury goods – 0.7%Capri Holdings, Ltd. (A) 8,167 215,445Carter’s, Inc. 4,336 396,657Crocs, Inc. (A) 2,861 63,800Culp, Inc. 610 8,564Deckers Outdoor Corp. (A) 4,087 602,628Delta Apparel, Inc. (A) 332 7,450Fossil Group, Inc. (A) 2,051 26,253G-III Apparel Group, Ltd. (A) 2,022 41,471Hanesbrands, Inc. 19,422 265,305Kontoor Brands, Inc. (A) 1,953 66,871Movado Group, Inc. 723 15,559NIKE, Inc., Class B 67,464 5,700,708Oxford Industries, Inc. 734 51,219PVH Corp. 4,012 304,110Ralph Lauren Corp. 2,817 248,854Rocky Brands, Inc. 382 11,131Skechers U.S.A., Inc., Class A (A) 12,889 408,066Steven Madden, Ltd. 3,773 125,339Superior Group of Companies, Inc. 427 6,055Tapestry, Inc. 15,538 320,860




COMMON STOCKS (continued)Textiles, apparel and luxury goods (continued)Under Armour, Inc., Class A (A) 10,292 $ 191,534Under Armour, Inc., Class C (A) 10,686 180,807Unifi, Inc. (A) 720 13,853Vera Bradley, Inc. (A) 1,065 11,278VF Corp. 17,468 1,431,503Wolverine World Wide, Inc. 3,877 100,608

10,815,928151,809,296

Consumer staples – 6.6%Beverages – 1.6%Brown-Forman Corp., Class B 8,021 473,159Coca-Cola Consolidated, Inc. 209 70,351Constellation Brands, Inc., Class A 8,060 1,647,061Craft Brew Alliance, Inc. (A) 652 6,553MGP Ingredients, Inc. (B) 578 27,842Molson Coors Brewing Company, Class B 9,050 464,808Monster Beverage Corp. (A) 18,871 1,107,162National Beverage Corp. 538 22,004New Age Beverages Corp. (A)(B) 3,427 10,418PepsiCo, Inc. 67,581 9,240,350Primo Water Corp. (A) 1,586 19,397The Boston Beer Company, Inc.,

Class A (A) 1,206 528,735The Coca-Cola Company 185,098 10,187,794

23,805,634Food and staples retailing – 1.4%BJ’s Wholesale Club Holdings, Inc. (A) 5,032 132,140Casey’s General Stores, Inc. 3,513 589,657Costco Wholesale Corp. 21,407 6,309,927HF Foods Group, Inc. (A) 390 7,558Ingles Markets, Inc., Class A 638 24,805Performance Food Group Company (A) 4,560 213,362PriceSmart, Inc. 1,018 61,518Rite Aid Corp. (A)(B) 2,593 16,751SpartanNash Company 1,662 17,900Sprouts Farmers Market, Inc. (A) 11,313 203,068Sysco Corp. 23,017 1,710,854The Andersons, Inc. 1,406 32,226The Chefs’ Warehouse, Inc. (A) 1,075 41,474The Kroger Company 39,269 929,890United Natural Foods, Inc. (A) 2,244 18,042Village Super Market, Inc., Class A 449 11,212Walgreens Boots Alliance, Inc. 37,828 1,936,415Walmart, Inc. 68,086 7,779,506Weis Markets, Inc. 466 17,815

20,054,120Food products – 1.2%Alico, Inc. 255 7,612Archer-Daniels-Midland Company 26,994 1,027,122B&G Foods, Inc. (B) 2,878 48,725Calavo Growers, Inc. 724 64,183Cal-Maine Foods, Inc. 1,411 57,202Campbell Soup Company 9,282 417,690Conagra Brands, Inc. 23,422 664,248Darling Ingredients, Inc. (A) 7,292 135,631Farmer Brothers Company (A) 598 7,260Flowers Foods, Inc. 17,644 402,283Fresh Del Monte Produce, Inc. 1,371 35,701Freshpet, Inc. (A) 1,388 68,123General Mills, Inc. 28,865 1,552,937Hormel Foods Corp. 13,131 559,512Hostess Brands, Inc. (A) 4,442 62,277Ingredion, Inc. 6,396 494,219J&J Snack Foods Corp. 670 129,350


COMMON STOCKS (continued)Food products (continued)John B. Sanfilippo & Son, Inc. 385 $ 35,651Kellogg Company 11,981 752,407Lamb Weston Holdings, Inc. 7,052 496,390Lancaster Colony Corp. 2,710 395,389Landec Corp. (A) 1,236 13,584Limoneira Company 802 14,564McCormick & Company, Inc. 5,905 961,747Mondelez International, Inc., Class A 69,445 3,834,753Post Holdings, Inc. (A) 6,398 637,817Sanderson Farms, Inc. 2,750 411,455Seneca Foods Corp., Class A (A) 381 10,470The Hain Celestial Group, Inc. (A) 8,590 163,640The Hershey Company 6,716 1,064,352The J.M. Smucker Company 5,484 576,697The Kraft Heinz Company 29,991 765,370The Simply Good Foods Company (A) 3,163 93,720Tootsie Roll Industries, Inc. (B) 2,544 93,314TreeHouse Foods, Inc. (A) 5,384 272,700Tyson Foods, Inc., Class A 14,212 1,322,284

17,650,379Household products – 1.6%Central Garden & Pet Company (A) 580 15,324Central Garden & Pet Company,

Class A (A) 1,774 42,682Church & Dwight Company, Inc. 13,095 1,044,719Colgate-Palmolive Company 45,655 3,385,318Energizer Holdings, Inc. (B) 6,098 234,773Kimberly-Clark Corp. 18,279 2,579,350Oil-Dri Corp. of America 246 7,567The Clorox Company 6,773 1,071,218The Procter & Gamble Company 133,398 16,038,442WD-40 Company 613 111,750

24,531,143Personal products – 0.2%Coty, Inc., Class A 15,643 149,391Edgewell Personal Care Company (A) 7,606 211,751elf Beauty, Inc. (A) 1,163 18,980Inter Parfums, Inc. 793 50,982Lifevantage Corp. (A) 766 9,315Medifast, Inc. 504 50,380Nu Skin Enterprises, Inc., Class A 5,322 216,180The Estee Lauder Companies, Inc.,

Class A 11,662 2,308,959USANA Health Sciences, Inc. (A) 607 41,258

3,057,196Tobacco – 0.6%22nd Century Group, Inc. (A)(B) 5,892 11,548Altria Group, Inc. 90,191 3,944,954Philip Morris International, Inc. 75,002 5,406,894Turning Point Brands, Inc. 397 14,232Universal Corp. 1,097 54,916Vector Group, Ltd. (B) 4,857 56,730

9,489,27498,587,746

Energy – 4.4%Energy equipment and services – 0.5%Apergy Corp. (A) 7,423 192,850Archrock, Inc. 5,780 56,124Baker Hughes, a GE Company 28,454 617,167C&J Energy Services, Inc. (A) 2,924 27,953Cactus, Inc., Class A (A) 2,083 53,054Core Laboratories NV (B) 4,254 168,416Diamond Offshore Drilling, Inc. (A)(B) 2,844 18,458




COMMON STOCKS (continued)Energy equipment and services (continued)DMC Global, Inc. 636 $ 27,621Dril-Quip, Inc. (A) 1,608 73,727Era Group, Inc. (A) 1,095 10,381Exterran Corp. (A) 1,484 15,656Forum Energy Technologies, Inc. (A) 4,055 5,718Frank’s International NV (A) 4,777 20,780FTS International, Inc. (A) 1,695 4,254Geospace Technologies Corp. (A) 680 8,323Halliburton Company 48,284 909,671Helix Energy Solutions Group, Inc. (A) 6,352 45,988Helmerich & Payne, Inc. 6,107 229,562Keane Group, Inc. (A) 2,595 13,754KLX Energy Services Holdings, Inc. (A) 1,007 10,100Liberty Oilfield Services, Inc., Class A 1,989 21,422Matrix Service Company (A) 1,174 23,327McDermott International, Inc. (A)(B) 25,562 120,653Nabors Industries, Ltd. 15,677 26,337National Energy Services Reunited

Corp. (A) 1,148 8,794National Oilwell Varco, Inc. 21,323 435,629Natural Gas Services Group, Inc. (A) 691 7,449Newpark Resources, Inc. (A) 3,920 25,911Nine Energy Service, Inc. (A) 782 4,285Noble Corp. PLC (A) 10,983 17,573Oceaneering International, Inc. (A) 13,908 180,248Oil States International, Inc. (A) 2,673 36,861Pacific Drilling SA (A) 1,457 8,859Parker Drilling Company (A) 492 8,413Patterson-UTI Energy, Inc. 20,001 173,009ProPetro Holding Corp. (A) 3,544 37,744RPC, Inc. 2,767 14,693Schlumberger, Ltd. 76,527 2,481,771SEACOR Holdings, Inc. (A) 778 36,543SEACOR Marine Holdings, Inc. (A) 750 9,773Seadrill, Ltd. (A)(B) 2,918 6,857Select Energy Services, Inc., Class A (A) 2,584 21,085Solaris Oilfield Infrastructure, Inc., Class A 1,448 19,910Superior Energy Services, Inc. (A) 8,022 2,686TechnipFMC PLC 23,275 578,151TETRA Technologies, Inc. (A) 6,387 10,602Tidewater, Inc. (A) 1,712 26,981Transocean, Ltd. (A) 48,688 221,530U.S. Silica Holdings, Inc. (B) 3,276 33,317Valaris PLC 18,881 87,985

7,197,955Oil, gas and consumable fuels – 3.9%Abraxas Petroleum Corp. (A) 8,177 4,268Altus Midstream Company, Class A (A) 2,602 6,011Apache Corp. 20,762 447,836Arch Coal, Inc., Class A (B) 748 57,267Ardmore Shipping Corp. (A) 1,778 11,095Berry Petroleum Corp. 2,807 22,428Bonanza Creek Energy, Inc. (A) 903 20,372Brigham Minerals, Inc., Class A 783 15,652Cabot Oil & Gas Corp. 23,389 400,420California Resources Corp. (A) 2,141 20,960Callon Petroleum Company (A) 32,097 131,919Carrizo Oil & Gas, Inc. (A) 3,982 33,011Chaparral Energy, Inc., Class A (A) 1,601 2,129Chesapeake Energy Corp. (A)(B) 100,276 144,397Chevron Corp. 105,245 12,389,441Cimarex Energy Company 5,603 239,696Clean Energy Fuels Corp. (A) 6,619 13,172CNX Resources Corp. (A) 27,414 218,490Concho Resources, Inc. 11,085 810,868


COMMON STOCKS (continued)Oil, gas and consumable fuels (continued)ConocoPhillips 62,444 $ 3,258,328CONSOL Energy, Inc. (A) 1,201 20,129Contura Energy, Inc. (A) 829 23,875CVR Energy, Inc. 1,316 52,350Delek US Holdings, Inc. 3,411 111,710Denbury Resources, Inc. (A)(B) 19,991 21,590Devon Energy Corp. 22,937 504,385DHT Holdings, Inc. 4,041 22,710Diamond S Shipping, Inc. (A) 1,069 11,652Diamondback Energy, Inc. 8,555 839,074Dorian LPG, Ltd. (A) 1,440 14,962Energy Fuels, Inc. (A)(B) 4,638 8,488EOG Resources, Inc. 32,064 2,378,828EQT Corp. 24,505 249,216Equitrans Midstream Corp. 19,566 263,945Evolution Petroleum Corp. 1,596 9,448Extraction Oil & Gas, Inc. (A)(B) 4,819 19,421Exxon Mobil Corp. 233,755 16,007,542Falcon Minerals Corp. 1,922 11,263GasLog, Ltd. 1,770 21,771Golar LNG, Ltd. 4,235 49,592Goodrich Petroleum Corp. (A) 578 6,121Green Plains, Inc. 1,885 15,476Gulfport Energy Corp. (A) 6,970 16,728Hess Corp. 14,082 886,462HighPoint Resources Corp. (A) 5,765 6,745HollyFrontier Corp. 8,679 385,000International Seaways, Inc. (A) 1,158 19,941Jagged Peak Energy, Inc. (A) 2,892 19,955Kinder Morgan, Inc. 107,553 2,180,099Laredo Petroleum, Inc. (A) 8,182 20,291Magnolia Oil & Gas Corp., Class A (A) 4,547 46,425Marathon Oil Corp. 45,186 535,002Marathon Petroleum Corp. 36,607 1,801,430Matador Resources Company (A) 14,918 233,467Montage Resources Corp. (A) 1,153 3,436Murphy Oil Corp. 15,653 285,354NACCO Industries, Inc., Class A 184 9,160Noble Energy, Inc. 26,420 596,564Nordic American Tankers, Ltd. 6,890 12,264Northern Oil and Gas, Inc. (A) 13,177 24,246Oasis Petroleum, Inc. (A) 40,221 125,490Occidental Petroleum Corp. 49,458 2,150,434ONEOK, Inc. 22,799 1,625,113Panhandle Oil and Gas, Inc., Class A 783 8,950Par Pacific Holdings, Inc. (A) 1,518 33,001PBF Energy, Inc., Class A 11,495 272,432PDC Energy, Inc. (A) 2,971 94,626Peabody Energy Corp. 3,156 58,165Penn Virginia Corp. (A) 645 18,383Phillips 66 23,076 2,275,986Pioneer Natural Resources Company 9,306 1,148,547QEP Resources, Inc. 33,542 119,410Range Resources Corp. 19,992 71,172Renewable Energy Group, Inc. (A) 1,586 19,302REX American Resources Corp. (A) 266 18,269Ring Energy, Inc. (A) 3,171 4,630SandRidge Energy, Inc. (A) 1,622 7,591Scorpio Tankers, Inc. 1,921 50,503SemGroup Corp., Class A 3,595 31,780Ship Finance International, Ltd. 3,599 50,638SM Energy Company 5,019 47,580Southwestern Energy Company (A) 76,121 120,271SRC Energy, Inc. (A) 10,779 54,111Talos Energy, Inc. (A) 873 16,622




COMMON STOCKS (continued)Oil, gas and consumable fuels (continued)Teekay Corp. 3,372 $ 12,375Teekay Tankers, Ltd., Class A (A) 9,696 10,763Tellurian, Inc. (A)(B) 4,191 27,367The Williams Companies, Inc. 66,939 1,579,760Unit Corp. (A) 2,551 7,730Uranium Energy Corp. (A) 9,302 8,715Valero Energy Corp. 23,050 1,735,204W&T Offshore, Inc. (A) 4,499 19,706Whiting Petroleum Corp. (A) 4,070 26,984World Fuel Services Corp. 9,401 360,998WPX Energy, Inc. (A) 38,069 409,622

58,616,10765,814,062

Financials – 12.8%Banks – 4.9%1st Source Corp. 651 28,885ACNB Corp. 278 9,363Allegiance Bancshares, Inc. (A) 899 29,137Amalgamated Bank, Class A 732 11,749Amerant Bancorp, Inc. (A) 953 15,782American National Bankshares, Inc. 431 14,740Ameris Bancorp 2,937 103,353Ames National Corp. 387 10,244Arrow Financial Corp. 549 17,656Associated Banc-Corp. 15,720 302,453Atlantic Capital Bancshares, Inc. (A) 1,183 19,283Atlantic Union Bankshares Corp. 3,639 131,404Banc of California, Inc. 2,017 29,388BancFirst Corp. 845 45,436BancorpSouth Bank 13,055 360,187Bank First Corp. 305 16,601Bank of America Corp. 371,257 10,213,280Bank of Commerce Holdings 932 9,320Bank of Hawaii Corp. 3,931 325,015Bank of Marin Bancorp 604 24,528Bank OZK 11,594 299,125BankFinancial Corp. 951 11,089Bankwell Financial Group, Inc. 338 8,893Banner Corp. 1,540 83,021Bar Harbor Bankshares 669 14,765Baycom Corp. (A) 455 10,056BB&T Corp. 32,160 1,532,424BCB Bancorp, Inc. 763 9,431Berkshire Hills Bancorp, Inc. 2,041 59,863Boston Private Financial Holdings, Inc. 3,791 40,260Bridge Bancorp, Inc. 742 19,967Brookline Bancorp, Inc. 3,587 50,361Bryn Mawr Bank Corp. 914 31,167Business First Bancshares, Inc. 522 12,330Byline Bancorp, Inc. (A) 1,146 19,711C&F Financial Corp. 164 7,774Cadence BanCorp 5,589 85,903Cambridge Bancorp 180 13,309Camden National Corp. 709 29,395Capital City Bank Group, Inc. 543 13,238Capstar Financial Holdings, Inc. 862 13,327Carolina Financial Corp. 849 28,993Carter Bank & Trust (A) 1,079 20,382Cathay General Bancorp 10,710 355,465CBTX, Inc. 869 23,402CenterState Bank Corp. 5,619 127,102Central Pacific Financial Corp. 1,218 33,885Central Valley Community Bancorp 501 9,810Century Bancorp, Inc., Class A 156 12,636Chemung Financial Corp. 185 7,435


COMMON STOCKS (continued)Banks (continued)Citigroup, Inc. 97,086 $ 6,247,484Citizens & Northern Corp. 539 12,785Citizens Financial Group, Inc. 19,234 648,955City Holding Company 701 52,119Civista Bancshares, Inc. 672 13,729CNB Financial Corp. 649 17,160Codorus Valley Bancorp, Inc. 435 9,727Colony Bankcorp, Inc. 603 9,624Columbia Banking System, Inc. 3,278 113,124Comerica, Inc. 6,468 398,752Commerce Bancshares, Inc. 9,433 538,341Community Bank System, Inc. 2,235 136,313Community Bankers Trust Corp. 1,271 9,863Community Trust Bancorp, Inc. 621 24,157ConnectOne Bancorp, Inc. 1,509 30,904Cullen/Frost Bankers, Inc. 6,051 502,294Customers Bancorp, Inc. (A) 1,292 24,406CVB Financial Corp. 5,933 122,042DNB Financial Corp. 226 9,302Eagle Bancorp, Inc. 1,502 61,191East West Bancorp, Inc. 13,959 574,134Enterprise Financial Services Corp. 1,104 43,520Equity Bancshares, Inc., Class A (A) 704 17,811Esquire Financial Holdings, Inc. (A) 369 8,672Evans Bancorp, Inc. 265 9,039Farmers & Merchants Bancorp, Inc. 425 10,872Farmers National Banc Corp. 1,077 14,540FB Financial Corp. 784 28,122Fidelity D&D Bancorp, Inc. 132 7,261Fifth Third Bancorp 30,540 807,783Financial Institutions, Inc. 741 21,533First Bancorp (NC) 1,307 46,033First Bancorp (PR) 9,519 91,192First Bank 836 8,828First Busey Corp. 2,320 56,840First Business Financial Services, Inc. 427 9,629First Choice Bancorp 455 9,528First Commonwealth Financial Corp. 4,340 53,686First Community Bankshares, Inc. 637 20,263First Financial Bancorp 4,376 102,486First Financial Bankshares, Inc. 18,769 574,707First Financial Corp. 581 23,589First Foundation, Inc. 1,845 25,756First Horizon National Corp. 30,246 478,794First Internet Bancorp 605 12,233First Interstate BancSystem, Inc., Class A 1,676 65,364First Merchants Corp. 2,234 79,798First Mid Bancshares, Inc. 573 18,388First Midwest Bancorp, Inc. 4,766 91,507First Northwest Bancorp 558 8,917First Republic Bank 6,928 621,580Flushing Financial Corp. 1,122 21,643FNB Corp. 31,146 334,820FNCB Bancorp, Inc. 1,053 7,750Franklin Financial Network, Inc. 662 19,152Franklin Financial Services Corp. 270 8,527Fulton Financial Corp. 23,474 374,410FVCBankcorp, Inc. (A) 713 11,800German American Bancorp, Inc. 1,076 32,850Glacier Bancorp, Inc. 3,757 149,115Great Southern Bancorp, Inc. 523 29,466Great Western Bancorp, Inc. 2,537 75,679Guaranty Bancshares, Inc. 496 14,949Hancock Whitney Corp. 12,024 422,163Hanmi Financial Corp. 1,394 24,967




COMMON STOCKS (continued)Banks (continued)HarborOne Bancorp, Inc. (A) 1,395 $ 13,894Heartland Financial USA, Inc. 1,484 64,895Heritage Commerce Corp. 1,970 22,832Heritage Financial Corp. 1,638 42,883Hilltop Holdings, Inc. 3,214 76,333Home BancShares, Inc. 21,752 385,445HomeTrust Bancshares, Inc. 819 20,655Hope Bancorp, Inc. 5,442 72,977Horizon Bancorp, Inc. 1,592 25,886Howard Bancorp, Inc. (A) 748 11,063Huntington Bancshares, Inc. 43,946 582,285IBERIABANK Corp. 2,382 164,334Independent Bank Corp. (MA) 1,482 100,198Independent Bank Corp. (MI) 1,149 22,325Independent Bank Group, Inc. 1,631 79,772International Bancshares Corp. 7,707 274,292Investar Holding Corp. 565 13,119Investors Bancorp, Inc. 10,135 112,499JPMorgan Chase & Co. 136,202 14,963,152KeyCorp 42,311 702,363Lakeland Bancorp, Inc. 2,236 33,272Lakeland Financial Corp. 1,092 46,224LCNB Corp. 726 12,175LegacyTexas Financial Group, Inc. 2,166 87,506Live Oak Bancshares, Inc. 1,187 21,295M&T Bank Corp. 5,740 839,245Macatawa Bank Corp. 1,152 11,393MainStreet Bancshares, Inc. (A) 468 9,973Malvern Bancorp, Inc. (A) 379 8,016MBT Financial Corp. 1,105 10,873Mercantile Bank Corp. 682 20,985Metropolitan Bank Holding Corp. (A) 383 13,865Mid Penn Bancorp, Inc. 455 11,034Midland States Bancorp, Inc. 1,023 26,363MidSouth Bancorp, Inc. 895 9,263MidWestOne Financial Group, Inc. 662 19,178MutualFirst Financial, Inc. 298 8,991MVB Financial Corp. 432 8,139National Bank Holdings Corp., Class A 1,302 42,497National Bankshares, Inc. 300 10,050NBT Bancorp, Inc. 1,711 59,834Nicolet Bankshares, Inc. (A) 402 25,479Northeast Bank 402 8,438Northrim BanCorp, Inc. 317 11,475Norwood Financial Corp. 302 9,277OFG Bancorp 2,233 45,821Old Line Bancshares, Inc. 776 20,502Old National Bancorp 7,668 128,822Old Second Bancorp, Inc. 1,321 15,575Opus Bank 1,021 21,196Origin Bancorp, Inc. 916 29,349Orrstown Financial Services, Inc. 629 13,423Pacific Mercantile Bancorp (A) 953 7,243Pacific Premier Bancorp, Inc. 2,760 81,310PacWest Bancorp 11,397 388,410Park National Corp. 605 54,498Parke Bancorp, Inc. 503 11,453PCB Bancorp 587 9,668Peapack Gladstone Financial Corp. 887 24,951Penns Woods Bancorp, Inc. 232 9,579Peoples Bancorp of North Carolina, Inc. 313 8,723Peoples Bancorp, Inc. 764 23,462Peoples Financial Services Corp. 302 13,521People’s United Financial, Inc. 16,554 237,881People’s Utah Bancorp 670 17,755


COMMON STOCKS (continued)Banks (continued)Pinnacle Financial Partners, Inc. 6,938 $ 365,424Preferred Bank 648 32,374Premier Financial Bancorp, Inc. 616 9,548Prosperity Bancshares, Inc. 6,365 413,216QCR Holdings, Inc. 706 24,929RBB Bancorp 721 13,288Regions Financial Corp. 42,511 621,511Reliant Bancorp, Inc. 469 10,745Renasant Corp. 2,561 83,975Republic Bancorp, Inc., Class A 456 19,357Republic First Bancorp, Inc. (A) 2,588 10,468S&T Bancorp, Inc. 1,480 50,646Sandy Spring Bancorp, Inc. 1,550 51,894SB One Bancorp 529 11,807Seacoast Banking Corp. of Florida (A) 2,273 53,052Select Bancorp, Inc. (A) 802 8,742ServisFirst Bancshares, Inc. 2,148 65,299Shore Bancshares, Inc. 636 9,769Sierra Bancorp 660 16,262Signature Bank 5,284 616,379Simmons First National Corp., Class A 4,071 97,704SmartFinancial, Inc. (A) 533 10,330South State Corp. 1,564 115,079Southern First Bancshares, Inc. (A) 395 15,077Southern National Bancorp of

Virginia, Inc. 1,082 15,819Southside Bancshares, Inc. 1,413 46,530Sterling Bancorp 20,099 383,288Stock Yards Bancorp, Inc. 886 32,162Summit Financial Group, Inc. 535 13,177SunTrust Banks, Inc. 18,635 1,146,239SVB Financial Group (A) 2,200 428,164Synovus Financial Corp. 15,106 536,867TCF Financial Corp. 18,056 696,239Texas Capital Bancshares, Inc. (A) 4,822 259,809The Bancorp, Inc. (A) 2,300 20,999The Bank of NT Butterfield & Son, Ltd. 2,440 67,246The Bank of Princeton 335 8,945The Community Financial Corp. 293 9,209The First Bancshares, Inc. 589 18,577The First of Long Island Corp. 1,015 22,086The PNC Financial Services Group, Inc. 18,956 2,443,997Tompkins Financial Corp. 640 50,624Towne Bank 2,609 68,538TriCo Bancshares 967 34,193TriState Capital Holdings, Inc. (A) 1,154 22,792Triumph Bancorp, Inc. (A) 1,109 33,259Trustmark Corp. 9,058 296,015U.S. Bancorp 62,840 3,311,040UMB Financial Corp. 6,203 386,571Umpqua Holdings Corp. 21,146 332,204United Bankshares, Inc. 14,101 520,045United Community Banks, Inc. 3,515 92,831Univest Financial Corp. 1,320 33,409Valley National Bancorp 46,220 485,772Veritex Holdings, Inc. 2,359 55,672Washington Trust Bancorp, Inc. 610 28,304Webster Financial Corp. 8,837 395,544Wells Fargo & Company 169,821 7,908,564WesBanco, Inc. 2,373 81,204Westamerica Bancorporation 1,169 72,022Wintrust Financial Corp. 5,434 341,418Zions Bancorp NA 7,674 315,325

73,175,049




COMMON STOCKS (continued)Capital markets – 2.3%Affiliated Managers Group, Inc. 2,275 $ 174,333Ameriprise Financial, Inc. 5,950 767,431Ares Management Corp., Class A 2,866 83,401Artisan Partners Asset Management, Inc.,

Class A 2,254 60,047B. Riley Financial, Inc. 1,002 21,202BlackRock, Inc. 5,286 2,233,652Blucora, Inc. (A) 2,157 48,705Brightsphere Investment Group, Inc. 3,155 28,679Cboe Global Markets, Inc. 4,967 591,868CME Group, Inc. 15,904 3,455,780Cohen & Steers, Inc. 1,017 54,847Cowen, Inc., Class A (A) 1,256 19,606Diamond Hill Investment Group, Inc. 149 20,100Donnelley Financial Solutions, Inc. (A) 1,461 15,530E*TRADE Financial Corp. 10,876 453,964Eaton Vance Corp. 10,940 471,733Evercore, Inc., Class A 3,938 314,095FactSet Research Systems, Inc. 3,668 998,026Federated Investors, Inc., Class B 13,487 432,123Focus Financial Partners, Inc., Class A (A) 1,366 28,030Franklin Resources, Inc. 13,083 343,821Greenhill & Company, Inc. 814 11,429Hamilton Lane, Inc., Class A 972 60,400Houlihan Lokey, Inc. 1,487 65,696Interactive Brokers Group, Inc., Class A 7,201 339,887Intercontinental Exchange, Inc. 25,053 2,341,954INTL. FCStone, Inc. (A) 713 27,957Invesco, Ltd. 17,780 279,146Janus Henderson Group PLC 15,722 300,447Ladenburg Thalmann Financial

Services, Inc. 4,755 9,320Legg Mason, Inc. 8,306 305,578MarketAxess Holdings, Inc. 1,676 666,411Moelis & Company, Class A 2,127 71,318Moody’s Corp. 7,327 1,579,555Morgan Stanley 56,787 2,356,093MSCI, Inc. 3,762 882,678Nasdaq, Inc. 5,158 514,975Northern Trust Corp. 9,676 850,811Och-Ziff Capital Management Group, Inc.,

Class A 820 18,450Oppenheimer Holdings, Inc., Class A 497 13,797Piper Jaffray Companies 606 44,093PJT Partners, Inc., Class A 1,036 43,108Pzena Investment Management, Inc.,

Class A 890 7,236Raymond James Financial, Inc. 5,617 440,991S&P Global, Inc. 10,932 2,844,397Safeguard Scientifics, Inc. (A) 978 11,697SEI Investments Company 12,287 706,625State Street Corp. 16,575 850,463Stifel Financial Corp. 9,839 525,599T. Rowe Price Group, Inc. 10,510 1,162,616The Bank of New York Mellon Corp. 39,132 1,645,892The Charles Schwab Corp. 52,781 2,019,929The Goldman Sachs Group, Inc. 15,112 3,081,488Virtus Investment Partners, Inc. 296 31,580Waddell & Reed Financial, Inc., Class A 3,300 53,361Westwood Holdings Group, Inc. 448 12,298WisdomTree Investments, Inc. 6,047 29,086

34,823,334Consumer finance – 0.6%American Express Company 30,420 3,661,655Capital One Financial Corp. 20,862 1,807,066


COMMON STOCKS (continued)Consumer finance (continued)Curo Group Holdings Corp. (A) 887 $ 12,081Discover Financial Services 14,381 1,150,049Encore Capital Group, Inc. (A) 1,381 50,959Enova International, Inc. (A) 1,474 35,229EZCORP, Inc., Class A (A) 2,271 17,873FirstCash, Inc. 1,881 185,711Green Dot Corp., Class A (A) 6,797 207,852LendingClub Corp. (A) 2,953 38,655Medallion Financial Corp. (A) 1,141 5,420Navient Corp. 20,427 260,240Nelnet, Inc., Class A 782 52,433PRA Group, Inc. (A) 2,028 69,236Regional Management Corp. (A) 487 12,540SLM Corp. 41,458 349,906Synchrony Financial 28,173 902,945World Acceptance Corp. (A) 293 38,940

8,858,790Diversified financial services – 1.2%Banco Latinoamericano de Comercio

Exterior SA, Class E 1,376 24,947Berkshire Hathaway, Inc., Class B (A) 86,075 17,508,516Cannae Holdings, Inc. (A) 2,997 83,377FGL Holdings 6,589 52,580First Eagle Private Credit LLC (A)(C) 2,317 601Jefferies Financial Group, Inc. 11,261 209,905Marlin Business Services Corp. 450 9,734On Deck Capital, Inc. (A) 3,279 10,657

17,900,317Insurance – 3.5%Aflac, Inc. 52,317 2,625,267Alleghany Corp. (A) 1,385 1,037,794Ambac Financial Group, Inc. (A) 2,020 36,441American Equity Investment Life

Holding Company 4,018 86,588American Financial Group, Inc. 6,795 686,091American International Group, Inc. 61,261 3,188,022AMERISAFE, Inc. 842 57,845Aon PLC 16,880 3,289,068Argo Group International Holdings, Ltd. 1,439 94,571Arthur J. Gallagher & Company 13,001 1,179,321Assurant, Inc. 4,314 530,622Brighthouse Financial, Inc. (A) 11,107 391,633Brown & Brown, Inc. 22,452 828,254Chubb, Ltd. 32,211 5,033,935Cincinnati Financial Corp. 10,647 1,197,681Citizens, Inc. (A) 2,127 13,358CNO Financial Group, Inc. 22,466 325,308eHealth, Inc. (A) 995 82,893EMC Insurance Group, Inc. 450 16,173Employers Holdings, Inc. 1,371 59,131Enstar Group, Ltd. (A) 508 90,739Everest Re Group, Ltd. 2,859 674,381FBL Financial Group, Inc., Class A 444 24,078FedNat Holding Company 683 8,353First American Financial Corp. 10,751 628,396Genworth Financial, Inc., Class A (A) 70,778 313,547Global Indemnity, Ltd. 383 9,862Globe Life, Inc. 7,098 633,567Goosehead Insurance, Inc., Class A 484 22,380Greenlight Capital Re, Ltd., Class A (A) 1,484 13,638Hallmark Financial Services, Inc. (A) 725 12,746HCI Group, Inc. 341 13,289Health Insurance Innovations, Inc.,

Class A (A)(B) 470 8,620Heritage Insurance Holdings, Inc. 1,296 16,991




COMMON STOCKS (continued)Insurance (continued)Horace Mann Educators Corp. 1,846 $ 80,984Independence Holding Company 231 8,552Investors Title Company 70 10,304James River Group Holdings, Ltd. 1,297 63,916Kemper Corp. 5,994 419,460Kinsale Capital Group, Inc. 872 85,657Lincoln National Corp. 14,200 750,896Loews Corp. 18,829 905,110Marsh & McLennan Companies, Inc. 35,886 3,584,653MBIA, Inc. (A) 3,744 33,696Mercury General Corp. 2,601 139,154MetLife, Inc. 66,963 2,966,461National General Holdings Corp. 3,026 71,353National Western Life Group, Inc., Class A 101 26,040NI Holdings, Inc. (A) 537 9,022Old Republic International Corp. 27,312 638,008Palomar Holdings, Inc. (A) 293 9,971Primerica, Inc. 4,061 483,949Principal Financial Group, Inc. 18,180 967,540ProAssurance Corp. 2,350 91,815Protective Insurance Corp., Class B 555 8,991Prudential Financial, Inc. 28,493 2,282,004Reinsurance Group of America, Inc. 6,000 923,820RenaissanceRe Holdings, Ltd. 4,235 764,629RLI Corp. 1,758 160,980Safety Insurance Group, Inc. 646 62,300Selective Insurance Group, Inc. 2,582 205,605State Auto Financial Corp. 757 24,201Stewart Information Services Corp. 1,013 36,286The Allstate Corp. 23,378 2,393,673The Hanover Insurance Group, Inc. 3,904 519,818The Hartford Financial Services

Group, Inc. 25,370 1,478,564The Progressive Corp. 41,140 3,118,412The Travelers Companies, Inc. 18,381 2,701,272Third Point Reinsurance, Ltd. (A) 3,326 31,331Tiptree, Inc. 1,444 10,021Trupanion, Inc. (A)(B) 1,294 31,172United Fire Group, Inc. 924 41,728United Insurance Holdings Corp. 1,062 12,447Universal Insurance Holdings, Inc. 1,370 34,250Unum Group 14,870 377,847W.R. Berkley Corp. 13,874 988,523Watford Holdings, Ltd. (A) 887 20,578Willis Towers Watson PLC 9,070 1,795,588

52,601,164Mortgage real estate investment trusts – 0.1%AG Mortgage Investment Trust, Inc. 1,465 21,960Anworth Mortgage Asset Corp. 4,831 14,976Apollo Commercial Real Estate

Finance, Inc. 6,590 122,245Ares Commercial Real Estate Corp. 1,361 20,401Arlington Asset Investment Corp., Class A 1,910 9,435ARMOUR Residential REIT, Inc. 2,558 42,002Blackstone Mortgage Trust, Inc., Class A 5,151 179,255Capstead Mortgage Corp. 3,690 26,826Cherry Hill Mortgage Investment Corp. 837 10,069Colony Credit Real Estate, Inc. 3,688 46,211Dynex Capital, Inc. 1,129 15,941Ellington Financial, Inc. 1,268 22,152Exantas Capital Corp. 1,439 16,131Granite Point Mortgage Trust, Inc. 2,284 41,774Great Ajax Corp. 951 13,866Invesco Mortgage Capital, Inc. 5,677 85,325KKR Real Estate Finance Trust, Inc. 1,042 19,704


COMMON STOCKS (continued)Mortgage real estate investment trusts (continued)Ladder Capital Corp. 4,568 $ 76,651New York Mortgage Trust, Inc. 9,268 56,998Orchid Island Capital, Inc. 2,354 12,782PennyMac Mortgage Investment Trust 3,259 70,916Ready Capital Corp. 1,494 21,932Redwood Trust, Inc. 4,159 69,039TPG RE Finance Trust, Inc. 2,022 39,247Western Asset Mortgage Capital Corp. 2,221 20,877

1,076,715Thrifts and mortgage finance – 0.2%Axos Financial, Inc. (A) 2,576 66,744Bridgewater Bancshares, Inc. (A) 1,396 15,537Capitol Federal Financial, Inc. 5,269 70,973Columbia Financial, Inc. (A) 2,363 35,823Dime Community Bancshares, Inc. 1,496 29,666Entegra Financial Corp. (A) 393 11,806ESSA Bancorp, Inc. 544 8,323Essent Group, Ltd. (A) 4,231 205,204Federal Agricultural Mortgage Corp.,

Class C 399 32,858First Defiance Financial Corp. 888 23,221Flagstar Bancorp, Inc. 1,243 45,183FS Bancorp, Inc. 231 11,180Hingham Institution for Savings 78 14,048Home Bancorp, Inc. 376 14,017HomeStreet, Inc. (A) 1,128 29,745Kearny Financial Corp. 3,744 47,100LendingTree, Inc. (A) 716 222,024Luther Burbank Corp. 1,106 11,569Merchants Bancorp 460 7,296Meridian Bancorp, Inc. 2,223 38,858Meta Financial Group, Inc. 1,661 51,342MMA Capital Holdings, Inc. (A) 281 8,318Mr. Cooper Group, Inc. (A) 3,300 29,073New York Community Bancorp, Inc. 44,822 517,246NMI Holdings, Inc., Class A (A) 2,909 82,441Northfield Bancorp, Inc. 2,127 33,011Northwest Bancshares, Inc. 4,411 69,738OceanFirst Financial Corp. 2,305 48,451Ocwen Financial Corp. (A) 6,841 12,245OP Bancorp 828 7,866Oritani Financial Corp. 1,870 32,033PCSB Financial Corp. 579 11,412PDL Community Bancorp (A) 535 7,485PennyMac Financial Services, Inc. (A) 1,075 31,809Provident Financial Services, Inc. 2,727 64,930Radian Group, Inc. 9,242 208,407Riverview Bancorp, Inc. 1,323 9,327Southern Missouri Bancorp, Inc. 350 11,690Sterling Bancorp, Inc. 936 8,733Territorial Bancorp, Inc. 346 9,463Timberland Bancorp, Inc. 350 8,950TrustCo Bank Corp. 4,585 35,167United Community Financial Corp. 1,928 18,605United Financial Bancorp, Inc. 2,410 30,125Walker & Dunlop, Inc. 1,231 68,764Washington Federal, Inc. 11,248 400,429Waterstone Financial, Inc. 1,277 21,185Western New England Bancorp, Inc. 1,093 9,717WSFS Financial Corp. 2,351 96,908

2,886,045191,321,414

Health care – 14.1%




COMMON STOCKS (continued)Biotechnology – 2.6%AbbVie, Inc. 89,855 $ 5,907,068Abeona Therapeutics, Inc. (A) 1,751 2,697ACADIA Pharmaceuticals, Inc. (A) 4,716 130,445Acceleron Pharma, Inc. (A) 2,026 90,988Achillion Pharmaceuticals, Inc. (A) 6,212 27,022Acorda Therapeutics, Inc. (A) 2,230 7,203Adverum Biotechnologies, Inc. (A) 2,385 24,637Aeglea BioTherapeutics, Inc. (A) 1,483 11,575Affimed NV (A) 3,135 8,715Agenus, Inc. (A) 5,307 15,284Aimmune Therapeutics, Inc. (A) 2,027 41,331Akcea Therapeutics, Inc. (A) 618 13,015Akebia Therapeutics, Inc. (A) 5,202 21,484Albireo Pharma, Inc. (A) 536 13,105Alder Biopharmaceuticals, Inc. (A) 3,276 29,320Aldeyra Therapeutics, Inc. (A) 1,270 5,601Alector, Inc. (A) 523 8,609Alexion Pharmaceuticals, Inc. (A) 13,630 1,373,359Allakos, Inc. (A)(B) 773 68,380Allogene Therapeutics, Inc. (A) 1,759 47,898AMAG Pharmaceuticals, Inc. (A) 1,679 18,335Amgen, Inc. 37,073 7,734,169Amicus Therapeutics, Inc. (A) 10,371 102,569AnaptysBio, Inc. (A) 1,108 45,040Anavex Life Sciences Corp. (A)(B) 2,343 6,186Anika Therapeutics, Inc. (A) 623 35,361Apellis Pharmaceuticals, Inc. (A) 2,184 63,554Arcus Biosciences, Inc. (A) 1,679 13,113Arena Pharmaceuticals, Inc. (A) 2,233 118,103ArQule, Inc. (A) 4,582 41,055Arrowhead Pharmaceuticals, Inc. (A) 4,164 142,284Assembly Biosciences, Inc. (A) 1,150 13,007Atara Biotherapeutics, Inc. (A) 1,971 26,609Athenex, Inc. (A) 2,687 39,580Athersys, Inc. (A)(B) 7,077 9,412Audentes Therapeutics, Inc. (A) 1,978 61,516Avid Bioservices, Inc. (A) 2,775 19,148Avrobio, Inc. (A) 787 15,331Beyondspring, Inc. (A) 564 10,180BioCryst Pharmaceuticals, Inc. (A) 5,448 16,290Biogen, Inc. (A) 11,786 2,589,974Biohaven Pharmaceutical Holding

Company, Ltd. (A) 1,491 58,432BioSpecifics Technologies Corp. (A) 306 16,854Blueprint Medicines Corp. (A) 2,181 167,217CareDx, Inc. (A) 1,839 41,966CASI Pharmaceuticals, Inc. (A) 2,787 9,086Catalyst Pharmaceuticals, Inc. (A) 4,322 26,624Celgene Corp. (A) 42,869 4,149,719Cellular Biomedicine Group, Inc. (A) 646 7,972CEL-SCI Corp. (A) 1,302 9,335ChemoCentryx, Inc. (A) 1,972 13,134Chimerix, Inc. (A) 2,553 5,157Clovis Oncology, Inc. (A) 2,147 12,045Coherus Biosciences, Inc. (A) 2,786 61,821Concert Pharmaceuticals, Inc. (A) 1,162 11,701Constellation Pharmaceuticals, Inc. (A) 802 5,815Corbus Pharmaceuticals

Holdings, Inc. (A)(B) 2,940 15,229Crinetics Pharmaceuticals, Inc. (A) 550 8,723Cue Biopharma, Inc. (A) 1,035 8,477Cyclerion Therapeutics, Inc. (A) 1,207 11,479Cytokinetics, Inc. (A) 2,497 35,083CytomX Therapeutics, Inc. (A) 2,022 17,753Deciphera Pharmaceuticals, Inc. (A) 734 26,630


COMMON STOCKS (continued)Biotechnology (continued)Denali Therapeutics, Inc. (A) 2,163 $ 38,934Dicerna Pharmaceuticals, Inc. (A) 2,300 31,970Dynavax Technologies Corp. (A) 3,306 13,687Eagle Pharmaceuticals, Inc. (A) 413 23,289Editas Medicine, Inc. (A) 2,246 55,768Eidos Therapeutics, Inc. (A) 531 22,201Eiger BioPharmaceuticals, Inc. (A) 1,221 13,309Emergent BioSolutions, Inc. (A) 2,040 89,352Enanta Pharmaceuticals, Inc. (A) 772 54,465Epizyme, Inc. (A) 3,521 45,667Esperion Therapeutics, Inc. (A) 1,119 41,000Exelixis, Inc. (A) 28,942 574,499Fate Therapeutics, Inc. (A) 2,361 38,532FibroGen, Inc. (A) 3,470 154,970Five Prime Therapeutics, Inc. (A) 1,784 9,687Flexion Therapeutics, Inc. (A) 1,670 21,994Forty Seven, Inc. (A) 875 6,633G1 Therapeutics, Inc. (A) 1,523 55,285Galectin Therapeutics, Inc. (A)(B) 1,868 6,220Genomic Health, Inc. (A) 1,212 92,912Geron Corp. (A) 8,900 12,460Gilead Sciences, Inc. 77,286 4,910,752Global Blood Therapeutics, Inc. (A) 2,432 111,823GlycoMimetics, Inc. (A) 1,673 5,571Gossamer Bio, Inc. (A) 979 20,520Gritstone Oncology, Inc. (A) 1,276 12,913Halozyme Therapeutics, Inc. (A) 6,441 106,405Heron Therapeutics, Inc. (A) 3,331 61,690Homology Medicines, Inc. (A) 1,114 21,066ImmunoGen, Inc. (A) 7,349 19,989Immunomedics, Inc. (A) 7,818 100,070Incyte Corp. (A) 10,819 885,211Inovio Pharmaceuticals, Inc. (A)(B) 4,707 10,167Insmed, Inc. (A) 3,475 57,129Intellia Therapeutics, Inc. (A) 1,669 23,683Intercept Pharmaceuticals, Inc. (A) 1,108 71,111Intrexon Corp. (A)(B) 3,255 19,009Invitae Corp. (A) 3,876 94,032Iovance Biotherapeutics, Inc. (A) 5,133 107,844Ironwood Pharmaceuticals, Inc. (A) 6,965 64,844Kadmon Holdings, Inc. (A) 6,822 14,599KalVista Pharmaceuticals, Inc. (A) 583 9,106Karyopharm Therapeutics, Inc. (A) 2,615 22,594Kindred Biosciences, Inc. (A) 1,916 14,293Kiniksa Pharmaceuticals, Ltd., Class A (A) 734 6,481Kodiak Sciences, Inc. (A) 1,194 13,134Krystal Biotech, Inc. (A) 426 19,170Kura Oncology, Inc. (A) 1,299 19,719La Jolla Pharmaceutical Company (A) 1,092 10,450Lexicon Pharmaceuticals, Inc. (A)(B) 2,193 2,895Ligand Pharmaceuticals, Inc. (A) 2,734 248,548MacroGenics, Inc. (A) 2,124 30,458Madrigal Pharmaceuticals, Inc. (A) 348 32,260Magenta Therapeutics, Inc. (A) 964 9,958MannKind Corp. (A)(B) 9,652 10,617Marker Therapeutics, Inc. (A)(B) 1,408 7,279MediciNova, Inc. (A) 1,860 16,108MEI Pharma, Inc. (A) 3,953 6,760MeiraGTx Holdings PLC (A) 691 13,993Mersana Therapeutics, Inc. (A) 2,154 5,299Minerva Neurosciences, Inc. (A) 1,679 11,988Mirati Therapeutics, Inc. (A) 1,115 91,397Molecular Templates, Inc. (A) 932 4,688Momenta Pharmaceuticals, Inc. (A) 4,486 56,658Myriad Genetics, Inc. (A) 3,133 73,719




COMMON STOCKS (continued)Biotechnology (continued)Natera, Inc. (A) 2,515 $ 82,869Novavax, Inc. (A)(B) 1,245 7,433OPKO Health, Inc. (A)(B) 15,210 27,986Palatin Technologies, Inc. (A) 10,338 9,316PDL BioPharma, Inc. (A) 5,793 13,556Pfenex, Inc. (A) 1,600 11,760PhaseBio Pharmaceuticals, Inc. (A) 708 6,117Pieris Pharmaceuticals, Inc. (A) 2,396 11,141Portola Pharmaceuticals, Inc. (A) 3,000 87,180Principia Biopharma, Inc. (A) 605 24,019Progenics Pharmaceuticals, Inc. (A) 3,989 17,552Protagonist Therapeutics, Inc. (A) 809 10,541Prothena Corp. PLC (A) 1,848 15,542PTC Therapeutics, Inc. (A) 2,559 114,055Puma Biotechnology, Inc. (A) 1,478 15,889Ra Pharmaceuticals, Inc. (A) 1,413 38,434Radius Health, Inc. (A) 2,046 57,902Recro Pharma, Inc. (A) 1,020 11,995Regeneron Pharmaceuticals, Inc. (A) 4,780 1,386,439REGENXBIO, Inc. (A) 1,496 51,597Repligen Corp. (A) 2,116 196,386Replimune Group, Inc. (A) 626 6,498Retrophin, Inc. (A) 1,890 23,795Rhythm Pharmaceuticals, Inc. (A) 1,089 24,524Rigel Pharmaceuticals, Inc. (A) 7,610 12,861Rocket Pharmaceuticals, Inc. (A) 1,429 15,505Rubius Therapeutics, Inc. (A)(B) 1,557 14,449Sangamo Therapeutics, Inc. (A) 5,179 56,451Scholar Rock Holding Corp. (A) 785 8,313Sorrento Therapeutics, Inc. (A) 5,650 11,922Spark Therapeutics, Inc. (A) 1,532 149,232Spectrum Pharmaceuticals, Inc. (A) 5,066 37,184Stemline Therapeutics, Inc. (A) 1,799 21,426Syndax Pharmaceuticals, Inc. (A) 1,093 9,192Syros Pharmaceuticals, Inc. (A) 1,798 19,724TG Therapeutics, Inc. (A) 3,495 21,704The Medicines Company (A) 3,153 132,300Tocagen, Inc. (A) 1,162 3,777Translate Bio, Inc. (A) 1,456 13,220Turning Point Therapeutics, Inc. (A) 323 17,613Twist Bioscience Corp. (A) 963 27,956Ultragenyx Pharmaceutical, Inc. (A) 2,444 133,125United Therapeutics Corp. (A) 4,202 346,917UNITY Biotechnology, Inc. (A) 1,376 8,394UroGen Pharma, Ltd. (A) 855 29,027Vanda Pharmaceuticals, Inc. (A) 2,309 32,534Veracyte, Inc. (A) 2,077 55,041Vericel Corp. (A) 1,975 32,667Vertex Pharmaceuticals, Inc. (A) 15,568 2,802,551Viking Therapeutics, Inc. (A) 2,845 19,773Voyager Therapeutics, Inc. (A) 1,063 18,996Xencor, Inc. (A) 2,127 79,295Y-mAbs Therapeutics, Inc. (A) 910 24,179ZIOPHARM Oncology, Inc. (A)(B) 7,222 36,038

38,991,530Health care equipment and supplies – 3.9%Abbott Laboratories 96,606 8,242,424ABIOMED, Inc. (A) 2,447 472,442Accuray, Inc. (A) 4,399 11,789Align Technology, Inc. (A) 3,980 728,778AngioDynamics, Inc. (A) 1,638 30,090Antares Pharma, Inc. (A) 7,213 23,370Apyx Medical Corp. (A) 1,685 11,980AtriCure, Inc. (A) 1,657 45,385Atrion Corp. 64 49,738


COMMON STOCKS (continued)Health care equipment and supplies (continued)Avanos Medical, Inc. (A) 6,668 $ 221,244Axogen, Inc. (A) 1,501 23,791Axonics Modulation Technologies, Inc. (A) 678 22,557Baxter International, Inc. 25,985 2,285,381Becton, Dickinson and Company 14,772 3,750,906BioSig Technologies, Inc. (A) 862 6,094Boston Scientific Corp. (A) 76,157 3,254,189Cantel Medical Corp. 3,485 320,376Cardiovascular Systems, Inc. (A) 1,525 73,856Cerus Corp. (A) 6,180 33,187Conformis, Inc. (A) 3,107 6,649CONMED Corp. 1,207 121,629Corindus Vascular Robotics, Inc. (A) 4,405 18,721CryoLife, Inc. (A) 1,622 43,470CryoPort, Inc. (A) 1,213 26,395Cutera, Inc. (A) 682 19,689CytoSorbents Corp. (A) 1,616 7,207Danaher Corp. 34,501 4,902,247DENTSPLY SIRONA, Inc. 12,785 666,738Edwards Lifesciences Corp. (A) 11,418 2,532,969GenMark Diagnostics, Inc. (A) 2,703 16,191Glaukos Corp. (A) 1,584 101,867Globus Medical, Inc., Class A (A) 10,717 547,317Haemonetics Corp. (A) 7,182 959,012Heska Corp. (A) 307 21,548Hill-Rom Holdings, Inc. 6,404 689,583Hologic, Inc. (A) 14,668 724,159ICU Medical, Inc. (A) 1,601 258,962IDEXX Laboratories, Inc. (A) 4,711 1,364,965Inogen, Inc. (A) 2,544 117,965Integer Holdings Corp. (A) 1,444 104,546Integra LifeSciences Holdings Corp. (A) 6,804 408,376IntriCon Corp. (A) 425 7,395Intuitive Surgical, Inc. (A) 6,323 3,233,203Invacare Corp. 1,800 8,712iRhythm Technologies, Inc. (A) 1,105 84,113Lantheus Holdings, Inc. (A) 1,692 36,818LeMaitre Vascular, Inc. 725 22,954LivaNova PLC (A) 6,793 527,341Masimo Corp. (A) 4,708 721,501Medtronic PLC 73,417 7,920,960Meridian Bioscience, Inc. 1,876 17,315Merit Medical Systems, Inc. (A) 2,384 82,916Mesa Laboratories, Inc. 148 32,742Misonix, Inc. (A) 391 7,656Natus Medical, Inc. (A) 1,506 41,686Neogen Corp. (A) 2,291 161,561Neuronetics, Inc. (A) 713 7,608Nevro Corp. (A) 1,317 110,272Novocure, Ltd. (A) 3,769 342,451NuVasive, Inc. (A) 7,284 462,680OraSure Technologies, Inc. (A) 2,723 17,972Orthofix Medical, Inc. (A) 805 40,926OrthoPediatrics Corp. (A) 419 13,488Pulse Biosciences, Inc. (A) 612 7,338Quidel Corp. (A) 1,584 99,871ResMed, Inc. 7,856 1,094,341Rockwell Medical, Inc. (A)(B) 2,963 7,585RTI Surgical Holdings, Inc. (A) 2,905 9,238SeaSpine Holdings Corp. (A) 867 9,528Senseonics Holdings, Inc. (A)(B) 5,511 5,621Shockwave Medical, Inc. (A) 311 13,015SI-BONE, Inc. (A) 794 15,435Silk Road Medical, Inc. (A) 331 14,263STAAR Surgical Company (A) 2,000 60,220




COMMON STOCKS (continued)Health care equipment and supplies (continued)STERIS PLC 8,109 $ 1,252,030Stryker Corp. 16,961 3,742,614Surmodics, Inc. (A) 585 27,530Tactile Systems Technology, Inc. (A) 811 40,907Tandem Diabetes Care, Inc. (A) 2,465 178,540Teleflex, Inc. 2,529 920,354The Cooper Companies, Inc. 2,712 840,042TransEnterix, Inc. (A)(B) 9,161 8,389TransMedics Group, Inc. (A) 335 8,023Utah Medical Products, Inc. 181 17,796Varex Imaging Corp. (A) 1,694 44,637Varian Medical Systems, Inc. (A) 4,946 523,930ViewRay, Inc. (A) 3,090 12,175West Pharmaceutical Services, Inc. 7,048 1,025,202Wright Medical Group NV (A) 5,610 116,969Zimmer Biomet Holdings, Inc. 11,216 1,561,267Zynex, Inc. 802 7,170

58,834,082Health care providers and services – 2.7%Acadia Healthcare Company, Inc. (A) 8,507 225,095Addus HomeCare Corp. (A) 462 40,647Amedisys, Inc. (A) 4,191 539,424American Renal Associates

Holdings, Inc. (A) 1,006 6,237AmerisourceBergen Corp. 8,511 700,200AMN Healthcare Services, Inc. (A) 2,040 119,136Anthem, Inc. 14,087 3,684,032BioTelemetry, Inc. (A) 1,485 58,880Brookdale Senior Living, Inc. (A) 8,310 67,976Cardinal Health, Inc. 16,298 702,933Catasys, Inc. (A)(B) 366 5,139Centene Corp. (A) 22,642 1,055,570Chemed Corp. 1,529 656,598Cigna Corp. 20,781 3,199,651Community Health Systems, Inc. (A) 4,379 10,904CorVel Corp. (A) 392 33,018Covetrus, Inc. (A) 9,213 122,441Cross Country Healthcare, Inc. (A) 1,834 18,799CVS Health Corp. 71,130 4,333,240DaVita, Inc. (A) 6,820 384,443Diplomat Pharmacy, Inc. (A) 2,841 16,506Encompass Health Corp. 9,481 576,350Enzo Biochem, Inc. (A) 2,449 7,959Hanger, Inc. (A) 1,594 30,095HCA Healthcare, Inc. 14,626 1,758,045HealthEquity, Inc. (A) 9,395 557,687Henry Schein, Inc. (A) 8,095 498,814Humana, Inc. 7,397 2,094,904Laboratory Corp. of America Holdings (A) 5,395 903,986LHC Group, Inc. (A) 1,335 158,198Magellan Health, Inc. (A) 964 60,742McKesson Corp. 10,402 1,438,285MEDNAX, Inc. (A) 8,300 174,964Molina Healthcare, Inc. (A) 6,006 782,462National HealthCare Corp. 533 43,066National Research Corp. 533 34,128Option Care Health, Inc. (A) 6,366 22,281Owens & Minor, Inc. 2,925 14,859Patterson Companies, Inc. 11,658 194,922PetIQ, Inc. (A) 847 26,816Quest Diagnostics, Inc. 7,355 752,931R1 RCM, Inc. (A) 4,562 53,193RadNet, Inc. (A) 1,880 26,151Select Medical Holdings Corp. (A) 4,920 79,802Surgery Partners, Inc. (A) 1,262 8,127


COMMON STOCKS (continued)Health care providers and services (continued)Tenet Healthcare Corp. (A) 12,603 $ 272,855The Ensign Group, Inc. 2,251 112,325The Joint Corp. (A) 649 10,890The Providence Service Corp. (A) 516 29,004Tivity Health, Inc. (A) 2,102 38,383Triple-S Management Corp., Class B (A) 1,082 22,203UnitedHealth Group, Inc. 52,039 12,177,126Universal Health Services, Inc., Class B 4,528 654,658US Physical Therapy, Inc. 557 74,371WellCare Health Plans, Inc. (A) 2,753 745,347

40,416,798Health care technology – 0.2%Allscripts Healthcare Solutions, Inc. (A) 23,360 212,109Castlight Health, Inc., B Shares (A) 5,036 7,101Cerner Corp. 17,825 1,228,321Computer Programs & Systems, Inc. 625 13,219Evolent Health, Inc., Class A (A) 3,133 21,524HealthStream, Inc. (A) 1,162 29,364HMS Holdings Corp. (A) 3,868 141,298Inovalon Holdings, Inc., Class A (A)(B) 3,149 53,281Inspire Medical Systems, Inc. (A) 585 40,663Medidata Solutions, Inc. (A) 5,971 546,824NextGen Healthcare, Inc. (A) 2,395 34,033Omnicell, Inc. (A) 1,820 130,676OptimizeRx Corp. (A) 611 10,027Simulations Plus, Inc. 550 19,861Tabula Rasa HealthCare, Inc. (A) 874 49,643Teladoc Health, Inc. (A)(B) 3,175 183,769Vocera Communications, Inc. (A) 1,345 30,868

2,752,581Life sciences tools and services – 1.0%Accelerate Diagnostics, Inc. (A)(B) 1,203 22,604Agilent Technologies, Inc. 14,972 1,064,659Bio-Rad Laboratories, Inc., Class A (A) 1,921 648,741Bio-Techne Corp. 3,632 695,782Cambrex Corp. (A) 1,516 90,854Charles River Laboratories

International, Inc. (A) 4,676 613,491ChromaDex Corp. (A) 2,117 8,277Codexis, Inc. (A) 2,344 32,886Fluidigm Corp. (A) 3,080 17,186Illumina, Inc. (A) 6,937 1,951,656IQVIA Holdings, Inc. (A) 7,469 1,158,815Luminex Corp. 1,871 38,356Medpace Holdings, Inc. (A) 1,236 100,005Mettler-Toledo International, Inc. (A) 1,180 775,012NanoString Technologies, Inc. (A) 1,482 37,761NeoGenomics, Inc. (A) 3,899 97,397Pacific Biosciences of California, Inc. (A) 6,285 34,882PerkinElmer, Inc. 5,196 429,709PRA Health Sciences, Inc. (A) 5,668 560,225Quanterix Corp. (A) 468 12,322Syneos Health, Inc. (A) 8,645 454,122Thermo Fisher Scientific, Inc. 18,874 5,417,970Waters Corp. (A) 3,254 689,490

14,952,202Pharmaceuticals – 3.7%AcelRx Pharmaceuticals, Inc. (A)(B) 4,111 9,579Aerie Pharmaceuticals, Inc. (A) 1,899 41,132Akorn, Inc. (A) 4,417 12,765Allergan PLC 15,286 2,441,480Amneal Pharmaceuticals, Inc. (A) 4,467 11,391Amphastar Pharmaceuticals, Inc. (A) 1,622 36,430ANI Pharmaceuticals, Inc. (A) 411 26,921




COMMON STOCKS (continued)Pharmaceuticals (continued)Arvinas, Inc. (A) 793 $ 20,626Assertio Therapeutics, Inc. (A) 3,255 4,687Axsome Therapeutics, Inc. (A) 1,073 27,308BioDelivery Sciences

International, Inc. (A) 4,072 17,469Bristol-Myers Squibb Company 81,147 3,900,736Cara Therapeutics, Inc. (A) 1,533 35,934Catalent, Inc. (A) 13,975 737,042Chiasma, Inc. (A) 1,361 7,050Collegium Pharmaceutical, Inc. (A) 1,573 18,215Corcept Therapeutics, Inc. (A) 4,381 55,244Corium International, Inc. (A)(C) 1,251 225CorMedix, Inc. (A) 1,180 9,062Cymabay Therapeutics, Inc. (A) 3,033 17,955Dermira, Inc. (A) 2,143 17,165Elanco Animal Health, Inc. (A) 365 9,497Elanco Animal Health, Inc. (A)(C) 2,471 63Eli Lilly & Company 42,866 4,842,572Eloxx Pharmaceuticals, Inc. (A) 1,204 7,465Endo International PLC (A) 9,949 23,579Evolus, Inc. (A)(B) 559 9,637Innoviva, Inc. (A) 2,855 33,089Intersect ENT, Inc. (A) 1,358 22,244Intra-Cellular Therapies, Inc. (A) 2,166 18,541Johnson & Johnson 131,721 16,907,708Lannett Company, Inc. (A)(B) 1,594 16,418Mallinckrodt PLC (A) 11,712 30,334Marinus Pharmaceuticals, Inc. (A) 2,605 2,996Merck & Company, Inc. 127,730 11,044,813Mylan NV (A) 25,383 494,207MyoKardia, Inc. (A) 1,988 106,895Nektar Therapeutics (A) 8,798 154,581Ocular Therapeutix, Inc. (A) 2,002 8,589Odonate Therapeutics, Inc. (A) 401 12,355Omeros Corp. (A)(B) 2,104 38,903Optinose, Inc. (A)(B) 1,402 10,739Pacira BioSciences, Inc. (A) 1,821 67,814Perrigo Company PLC 6,315 295,416Pfizer, Inc. 275,426 9,791,394Phibro Animal Health Corp., Class A 915 18,895Prestige Consumer Healthcare, Inc. (A) 7,298 232,660Reata Pharmaceuticals, Inc., Class A (A) 901 69,467resTORbio, Inc. (A) 810 7,792Revance Therapeutics, Inc. (A) 1,994 21,136SIGA Technologies, Inc. (A) 2,677 13,439Supernus Pharmaceuticals, Inc. (A) 2,223 60,088TherapeuticsMD, Inc. (A)(B) 9,105 26,313Theravance Biopharma, Inc. (A) 2,027 44,655Tricida, Inc. (A) 979 34,157WaVe Life Sciences, Ltd. (A) 996 22,908Xeris Pharmaceuticals, Inc. (A) 1,381 16,006Zoetis, Inc. 23,748 3,002,222Zogenix, Inc. (A) 1,910 81,538Zynerba Pharmaceuticals, Inc. (A)(B) 1,036 11,075

55,060,616211,007,809

Industrials – 7.9%Aerospace and defense – 1.4%AAR Corp. 1,501 64,483Aerojet Rocketdyne Holdings, Inc. (A) 3,245 169,486Aerovironment, Inc. (A) 960 49,469Arconic, Inc. 10,177 262,974Astronics Corp. (A) 1,085 29,848Axon Enterprise, Inc. (A) 8,268 495,832Cubic Corp. 1,392 96,424


COMMON STOCKS (continued)Aerospace and defense (continued)Curtiss-Wright Corp. 4,102 $ 503,069Ducommun, Inc. (A) 478 19,684General Dynamics Corp. 7,072 1,352,661Huntington Ingalls Industries, Inc. 1,110 231,990Kratos Defense & Security

Solutions, Inc. (A) 4,004 79,960L3Harris Technologies, Inc. 5,766 1,218,990Lockheed Martin Corp. 6,402 2,459,072Maxar Technologies, Inc. (B) 2,833 20,058Mercury Systems, Inc. (A) 2,366 202,601Moog, Inc., Class A 1,369 111,231National Presto Industries, Inc. 234 20,056Northrop Grumman Corp. 4,423 1,627,089Park Aerospace Corp. 909 15,362Parsons Corp. (A) 807 27,454Raytheon Company 7,255 1,344,497Teledyne Technologies, Inc. (A) 3,475 1,072,350Textron, Inc. 5,946 267,570The Boeing Company 13,626 4,961,090TransDigm Group, Inc. 1,275 686,358Triumph Group, Inc. 2,226 46,256United Technologies Corp. 21,122 2,750,929Vectrus, Inc. (A) 492 19,906Wesco Aircraft Holdings, Inc. (A) 2,420 26,620

20,233,369Air freight and logistics – 0.3%Air Transport Services Group, Inc. (A) 2,626 53,045Atlas Air Worldwide Holdings, Inc. (A) 1,044 26,987C.H. Robinson Worldwide, Inc. 3,823 323,005Echo Global Logistics, Inc. (A) 1,228 24,609Expeditors International of

Washington, Inc. 4,802 341,422FedEx Corp. 6,595 1,046,033Forward Air Corp. 1,288 80,242Hub Group, Inc., Class A (A) 1,488 64,073Radiant Logistics, Inc. (A) 2,004 9,780United Parcel Service, Inc., Class B 19,201 2,278,391XPO Logistics, Inc. (A) 8,819 624,914

4,872,501Airlines – 0.2%Alaska Air Group, Inc. 3,326 198,629Allegiant Travel Company 576 81,786American Airlines Group, Inc. 11,129 292,804Delta Air Lines, Inc. 16,399 948,846Hawaiian Holdings, Inc. 2,137 52,164JetBlue Airways Corp. (A) 28,863 499,907Mesa Air Group, Inc. (A) 1,070 6,912SkyWest, Inc. 2,219 127,060Southwest Airlines Company 13,454 703,913Spirit Airlines, Inc. (A) 3,029 113,709United Airlines Holdings, Inc. (A) 6,097 514,038

3,539,768Building products – 0.4%AAON, Inc. 1,824 87,497Advanced Drainage Systems, Inc. 1,619 50,820Allegion PLC 4,694 451,891American Woodmark Corp. (A) 687 56,588AO Smith Corp. 7,049 327,919Apogee Enterprises, Inc. 1,179 43,540Armstrong Flooring, Inc. (A) 1,188 8,043Builders FirstSource, Inc. (A) 5,103 99,253Caesarstone, Ltd. 1,163 17,433Continental Building Products, Inc. (A) 1,536 38,615Cornerstone Building Brands, Inc. (A) 2,221 10,416




COMMON STOCKS (continued)Building products (continued)CSW Industrials, Inc. 658 $ 44,882Fortune Brands Home & Security, Inc. 6,987 356,756Gibraltar Industries, Inc. (A) 1,452 58,472Griffon Corp. 1,625 28,356Insteel Industries, Inc. 876 16,381JELD-WEN Holding, Inc. (A) 3,023 52,177Johnson Controls International PLC 39,791 1,698,678Lennox International, Inc. 3,385 859,045Masco Corp. 14,662 597,183Masonite International Corp. (A) 1,116 59,583Patrick Industries, Inc. (A) 1,018 36,791PGT Innovations, Inc. (A) 2,512 40,192Quanex Building Products Corp. 1,483 25,537Resideo Technologies, Inc. (A) 11,768 162,163Simpson Manufacturing Company, Inc. 1,980 127,116Trex Company, Inc. (A) 8,218 702,886Universal Forest Products, Inc. 2,656 103,850

6,162,063Commercial services and supplies – 0.7%ABM Industries, Inc. 2,945 109,731ACCO Brands Corp. 4,561 42,280Advanced Disposal Services, Inc. (A) 3,215 104,230Brady Corp., Class A 2,102 99,235BrightView Holdings, Inc. (A) 1,365 25,020Casella Waste Systems, Inc., Class A (A) 1,997 90,864CECO Environmental Corp. (A) 1,570 10,912Cimpress NV (A) 979 112,282Cintas Corp. 4,077 1,075,513Clean Harbors, Inc. (A) 4,876 358,630Copart, Inc. (A) 9,707 731,811Covanta Holding Corp. 5,287 90,936Deluxe Corp. 6,144 283,116Ennis, Inc. 1,183 23,790Healthcare Services Group, Inc. 10,415 234,858Heritage-Crystal Clean, Inc. (A) 686 16,807Herman Miller, Inc. 8,283 350,205HNI Corp. 6,115 190,727Interface, Inc. 2,694 29,769Kimball International, Inc., Class B 1,678 29,449Knoll, Inc. 2,220 51,193Matthews International Corp., Class A 1,396 40,917McGrath RentCorp 1,079 69,088Mobile Mini, Inc. 2,015 62,989MSA Safety, Inc. 4,943 522,129PICO Holdings, Inc. (A) 1,057 10,179Pitney Bowes, Inc. 7,902 28,131Quad/Graphics, Inc. 1,613 14,501Republic Services, Inc. 10,373 925,790Rollins, Inc. 7,001 229,703RR Donnelley & Sons Company 3,859 9,339SP Plus Corp. (A) 1,017 35,097Steelcase, Inc., Class A 3,899 60,551Stericycle, Inc. (A) 8,208 368,457Team, Inc. (A) 1,316 21,688Tetra Tech, Inc. 7,664 621,704The Brink’s Company 7,000 526,750UniFirst Corp. 668 130,868US Ecology, Inc. 997 60,388Viad Corp. 879 56,810VSE Corp. 461 14,678Waste Management, Inc. 18,804 2,244,257

10,115,372Construction and engineering – 0.3%AECOM (A) 15,091 535,429Aegion Corp. (A) 1,398 27,597


COMMON STOCKS (continued)Construction and engineering (continued)Ameresco, Inc., Class A (A) 1,094 $ 15,754Arcosa, Inc. 2,165 70,341Argan, Inc. 628 25,943Comfort Systems USA, Inc. 1,612 62,320Construction Partners, Inc., Class A (A) 641 10,570Dycom Industries, Inc. (A) 4,375 194,688EMCOR Group, Inc. 7,841 685,617Fluor Corp. 13,420 237,131Granite Construction, Inc. 6,574 186,965Great Lakes Dredge & Dock Corp. (A) 2,679 29,040IES Holdings, Inc. (A) 455 8,586Jacobs Engineering Group, Inc. 8,892 790,143MasTec, Inc. (A) 8,571 538,859MYR Group, Inc. (A) 721 20,671Northwest Pipe Company (A) 483 11,109NV5 Global, Inc. (A) 452 27,902Primoris Services Corp. 1,982 38,728Quanta Services, Inc. 10,830 367,137Sterling Construction Company, Inc. (A) 1,263 14,133Tutor Perini Corp. (A) 1,830 18,282Valmont Industries, Inc. 2,096 284,008WillScot Corp. (A) 2,306 32,169

4,233,122Electrical equipment – 0.6%Acuity Brands, Inc. 3,827 479,944Allied Motion Technologies, Inc. 368 11,853American Superconductor Corp. (A) 1,120 8,590AMETEK, Inc. 13,190 1,133,417Atkore International Group, Inc. (A) 2,065 59,906AZZ, Inc. 1,159 47,832Bloom Energy Corp., Class A (A)(B) 2,437 10,918Eaton Corp. PLC 24,489 1,976,752Emerson Electric Company 35,573 2,119,795Encore Wire Corp. 914 49,347EnerSys 6,030 337,680Generac Holdings, Inc. (A) 2,706 211,041Hubbell, Inc. 5,228 685,600nVent Electric PLC 15,244 308,843Plug Power, Inc. (A)(B) 10,000 21,700Powell Industries, Inc. 449 16,308Preformed Line Products Company 185 9,481Regal Beloit Corp. 4,107 291,186Rockwell Automation, Inc. 6,850 1,046,612Sunrun, Inc. (A) 4,928 75,546Thermon Group Holdings, Inc. (A) 1,484 32,277TPI Composites, Inc. (A) 1,297 22,879Vicor Corp. (A) 780 23,782Vivint Solar, Inc. (A)(B) 2,124 17,119

8,998,408Industrial conglomerates – 1.2%3M Company 30,977 5,009,600Carlisle Companies, Inc. 5,473 793,366General Electric Company 468,685 3,866,651Honeywell International, Inc. 39,110 6,438,288Raven Industries, Inc. 1,609 46,935Roper Technologies, Inc. 5,582 2,047,254

18,202,094Machinery – 1.4%Actuant Corp., Class A 2,483 55,147AGCO Corp. 6,186 427,576Alamo Group, Inc. 432 49,326Albany International Corp., Class A 1,286 105,735Altra Industrial Motion Corp. 2,869 74,565Astec Industries, Inc. 1,021 28,180




COMMON STOCKS (continued)Machinery (continued)Barnes Group, Inc. 2,123 $ 95,217Blue Bird Corp. (A) 724 13,206Briggs & Stratton Corp. 1,890 8,165Caterpillar, Inc. 16,792 1,998,248Chart Industries, Inc. (A) 1,578 99,162CIRCOR International, Inc. (A) 868 29,833Colfax Corp. (A)(B) 9,133 248,418Columbus McKinnon Corp. 1,035 33,503Commercial Vehicle Group, Inc. (A) 1,549 9,836Crane Company 4,882 372,204Cummins, Inc. 4,286 639,771Deere & Company 9,309 1,442,057Donaldson Company, Inc. 12,231 591,491Douglas Dynamics, Inc. 1,007 42,052Dover Corp. 4,217 395,302Energy Recovery, Inc. (A) 1,713 16,565EnPro Industries, Inc. 921 57,360ESCO Technologies, Inc. 1,128 85,875Evoqua Water Technologies Corp. (A) 3,392 52,440Federal Signal Corp. 2,654 78,850Flowserve Corp. 3,805 162,397Fortive Corp. 8,730 618,957Franklin Electric Company, Inc. 2,060 94,451Graco, Inc. 15,970 727,753Graham Corp. 485 8,929Harsco Corp. (A) 3,554 63,617Helios Technologies, Inc. 1,318 56,397Hillenbrand, Inc. 2,751 75,487Hurco Companies, Inc. 334 10,658Hyster-Yale Materials Handling, Inc. 460 25,093IDEX Corp. 2,222 365,986Illinois Tool Works, Inc. 8,797 1,318,318Ingersoll-Rand PLC 7,100 859,739ITT, Inc. 8,421 479,323John Bean Technologies Corp. 1,384 141,611Kadant, Inc. 484 39,828Kennametal, Inc. 11,546 345,110LB Foster Company, Class A (A) 513 10,214Lincoln Electric Holdings, Inc. 6,023 497,259Lindsay Corp. 482 42,541Luxfer Holdings PLC 1,196 18,789Lydall, Inc. (A) 845 16,993Meritor, Inc. (A) 3,541 59,560Milacron Holdings Corp. (A) 3,083 48,866Miller Industries, Inc. 541 16,928Mueller Industries, Inc. 2,491 65,663Mueller Water Products, Inc., Class A 6,991 73,126Navistar International Corp. (A) 2,210 50,830NN, Inc. 2,075 13,322Nordson Corp. 4,959 674,226Omega Flex, Inc. 136 11,451Oshkosh Corp. 6,706 471,231PACCAR, Inc. 10,240 671,334Parker-Hannifin Corp. 3,796 629,263Park-Ohio Holdings Corp. 455 12,371Pentair PLC 4,589 164,837Proto Labs, Inc. (A) 1,197 113,404RBC Bearings, Inc. (A) 1,073 171,176REV Group, Inc. 1,301 16,770Rexnord Corp. (A) 4,667 122,182Snap-on, Inc. 1,608 239,077Spartan Motors, Inc. 1,580 19,924SPX Corp. (A) 1,931 73,281SPX FLOW, Inc. (A) 1,869 63,004Standex International Corp. 557 38,294


COMMON STOCKS (continued)Machinery (continued)Stanley Black & Decker, Inc. 4,486 $ 596,010Tennant Company 807 55,191Terex Corp. 8,825 219,125The Gorman-Rupp Company 774 23,119The Greenbrier Companies, Inc. 1,434 33,398The Manitowoc Company, Inc. (A) 1,590 19,875The Timken Company 6,570 263,983The Toro Company 10,208 735,078Titan International, Inc. 2,587 6,726TriMas Corp. (A) 2,031 59,671Trinity Industries, Inc. 12,452 217,536Wabash National Corp. 2,395 32,668Wabtec Corp. 5,342 369,720Watts Water Technologies, Inc., Class A 1,214 111,239Welbilt, Inc. (A) 5,774 90,883Woodward, Inc. 5,362 578,292Xylem, Inc. 5,221 399,981

20,662,149Marine – 0.0%Costamare, Inc. 2,470 14,301Eagle Bulk Shipping, Inc. (A) 2,225 10,235Kirby Corp. (A) 5,170 380,460Matson, Inc. 1,907 67,756Scorpio Bulkers, Inc. 2,644 16,737

489,489Professional services – 0.4%Acacia Research Corp. (A) 3,085 8,052ASGN, Inc. (A) 7,341 458,592Barrett Business Services, Inc. 320 27,882BG Staffing, Inc. 508 9,520CBIZ, Inc. (A) 2,252 50,310CRA International, Inc. 355 13,806Equifax, Inc. 5,815 851,200Exponent, Inc. 2,291 162,409Forrester Research, Inc. 484 16,877Franklin Covey Company (A) 496 18,248FTI Consulting, Inc. (A) 1,660 179,512GP Strategies Corp. (A) 686 8,836Heidrick & Struggles International, Inc. 833 22,116Huron Consulting Group, Inc. (A) 994 60,843ICF International, Inc. 800 67,728IHS Markit, Ltd. (A) 17,511 1,148,897InnerWorkings, Inc. (A) 2,464 10,447Insperity, Inc. 5,319 526,900Kelly Services, Inc., Class A 1,457 35,274Kforce, Inc. 1,007 32,768Korn Ferry 2,509 98,052ManpowerGroup, Inc. 5,737 468,942Mistras Group, Inc. (A) 940 13,724Navigant Consulting, Inc. 1,722 47,992Nielsen Holdings PLC 17,089 354,768Resources Connection, Inc. 1,381 22,856Robert Half International, Inc. 5,701 304,832TriNet Group, Inc. (A) 1,983 133,119TrueBlue, Inc. (A) 1,767 34,297Upwork, Inc. (A) 2,455 35,499Verisk Analytics, Inc. 7,882 1,273,258Willdan Group, Inc. (A) 482 17,424

6,514,980Road and rail – 0.7%ArcBest Corp. 1,159 34,318Avis Budget Group, Inc. (A) 8,753 216,812Covenant Transportation Group, Inc.,

Class A (A) 687 9,879




COMMON STOCKS (continued)Road and rail (continued)CSX Corp. 21,165 $ 1,418,478Daseke, Inc. (A) 2,632 4,632Genesee & Wyoming, Inc., Class A (A) 5,420 600,970Heartland Express, Inc. 2,101 43,218Hertz Global Holdings, Inc. (A) 4,531 54,870J.B. Hunt Transport Services, Inc. 2,343 253,138Kansas City Southern 2,809 353,372Knight-Swift Transportation Holdings, Inc. 11,955 408,144Landstar System, Inc. 3,852 429,575Marten Transport, Ltd. 1,814 35,681Norfolk Southern Corp. 7,321 1,274,220Old Dominion Freight Line, Inc. 6,211 1,017,113Ryder System, Inc. 5,112 246,245Saia, Inc. (A) 1,164 99,569Union Pacific Corp. 19,488 3,156,276Universal Logistics Holdings, Inc. 438 9,176Werner Enterprises, Inc. 6,175 201,799

9,867,485Trading companies and distributors – 0.3%Aircastle, Ltd. 2,285 49,927Applied Industrial Technologies, Inc. 1,707 91,137Beacon Roofing Supply, Inc. (A) 3,020 96,278BlueLinx Holdings, Inc. (A)(B) 481 13,800BMC Stock Holdings, Inc. (A) 2,982 75,832CAI International, Inc. (A) 805 17,050DXP Enterprises, Inc. (A) 720 23,364EVI Industries, Inc. (B) 234 6,976Fastenal Company 30,971 948,332Foundation Building Materials, Inc. (A) 730 12,505GATX Corp. 5,070 376,295GMS, Inc. (A) 1,396 41,126H&E Equipment Services, Inc. 1,435 34,856Herc Holdings, Inc. (A) 1,083 44,706Kaman Corp. 1,234 72,053Lawson Products, Inc. (A) 239 8,712MRC Global, Inc. (A) 3,556 44,699MSC Industrial Direct Company, Inc.,

Class A 4,314 291,713NOW, Inc. (A) 15,227 181,049Rush Enterprises, Inc., Class A 1,178 42,538Rush Enterprises, Inc., Class B 255 9,481SiteOne Landscape Supply, Inc. (A) 1,818 142,168Systemax, Inc. 595 11,942Textainer Group Holdings, Ltd. (A) 1,348 10,744Titan Machinery, Inc. (A) 830 12,500Transcat, Inc. (A) 410 9,524Triton International, Ltd. 2,526 81,211United Rentals, Inc. (A) 4,256 479,055Veritiv Corp. (A) 655 10,847W.W. Grainger, Inc. 2,430 664,970Watsco, Inc. 3,091 505,533Willis Lease Finance Corp. (A) 158 9,760

4,420,683118,311,483

Information technology – 25.1%Communications equipment – 1.6%Acacia Communications, Inc. (A) 1,663 104,852ADTRAN, Inc. 2,062 21,177Applied Optoelectronics, Inc. (A)(B) 910 8,099Arista Networks, Inc. (A) 4,282 970,387CalAmp Corp. (A) 1,636 15,706Calix, Inc. (A) 2,250 13,523Casa Systems, Inc. (A) 1,612 9,285Ciena Corp. (A) 13,727 561,846


COMMON STOCKS (continued)Communications equipment (continued)Cisco Systems, Inc. 348,206 $ 16,299,523Clearfield, Inc. (A) 577 6,168Comtech Telecommunications Corp. 1,051 28,114Digi International, Inc. (A) 1,259 16,090Extreme Networks, Inc. (A) 5,259 35,130F5 Networks, Inc. (A) 4,835 622,410Finisar Corp. (A)(B) 5,220 118,024Harmonic, Inc. (A) 3,945 25,998Infinera Corp. (A) 7,854 41,862Inseego Corp. (A)(B) 2,199 9,764InterDigital, Inc. 4,458 219,200Juniper Networks, Inc. 27,890 645,932KVH Industries, Inc. (A) 830 7,719Lumentum Holdings, Inc. (A) 10,730 598,305Motorola Solutions, Inc. 13,417 2,427,269NETGEAR, Inc. (A) 1,403 48,712NetScout Systems, Inc. (A) 10,029 222,142Plantronics, Inc. 4,642 144,227Ribbon Communications, Inc. (A) 2,931 15,153ViaSat, Inc. (A) 5,463 433,380Viavi Solutions, Inc. (A) 10,198 141,650

23,811,647Electronic equipment, instruments and components – 1.1%Akoustis Technologies, Inc. (A)(B) 1,318 9,648Amphenol Corp., Class A 24,335 2,130,286Anixter International, Inc. (A) 1,355 81,259Arlo Technologies, Inc. (A) 3,748 11,769Arrow Electronics, Inc. (A) 8,125 562,250Avnet, Inc. 10,195 427,069AVX Corp. 2,036 27,588Badger Meter, Inc. 1,264 65,197Bel Fuse, Inc., Class B 546 6,006Belden, Inc. 5,513 251,448Benchmark Electronics, Inc. 1,689 44,725Cognex Corp. 16,435 740,890Coherent, Inc. (A) 2,320 336,307Corning, Inc. 64,001 1,782,428CTS Corp. 1,448 41,311Daktronics, Inc. 1,885 13,629ePlus, Inc. (A) 599 48,950Fabrinet (A) 1,613 81,440FARO Technologies, Inc. (A) 772 38,013Fitbit, Inc., Class A (A) 9,862 30,474FLIR Systems, Inc. 10,969 540,443II-VI, Inc. (A) 2,799 104,990Insight Enterprises, Inc. (A) 1,576 75,743IPG Photonics Corp. (A) 2,884 356,837Iteris, Inc. (A) 1,653 8,992Itron, Inc. (A) 1,529 106,189Jabil, Inc. 13,343 384,412KEMET Corp. 2,532 42,411Keysight Technologies, Inc. (A) 15,242 1,476,340Kimball Electronics, Inc. (A) 1,150 15,192Knowles Corp. (A) 3,606 73,130Littelfuse, Inc. 2,372 370,198Methode Electronics, Inc. 1,641 52,085MTS Systems Corp. 798 45,382Napco Security Technologies, Inc. (A) 560 19,309National Instruments Corp. 10,750 451,500nLight, Inc. (A) 1,432 18,501Novanta, Inc. (A) 1,491 111,825OSI Systems, Inc. (A) 737 77,392PAR Technology Corp. (A) 545 12,606PC Connection, Inc. 535 18,848PCM, Inc. (A) 454 15,895




COMMON STOCKS (continued)Electronic equipment, instruments andcomponents (continued)Plexus Corp. (A) 1,328 $ 75,975Rogers Corp. (A) 822 108,849Sanmina Corp. (A) 3,014 87,105ScanSource, Inc. (A) 1,140 32,216SYNNEX Corp. 3,979 333,480TE Connectivity, Ltd. 27,420 2,501,252Tech Data Corp. (A) 5,126 475,334Trimble, Inc. (A) 24,133 905,470TTM Technologies, Inc. (A) 4,458 47,522Vishay Intertechnology, Inc. 18,553 293,694Vishay Precision Group, Inc. (A) 479 14,969Zebra Technologies Corp., Class A (A) 5,177 1,061,440

17,046,213IT services – 4.9%Accenture PLC, Class A 30,320 6,008,514Akamai Technologies, Inc. (A) 7,804 695,571Alliance Data Systems Corp. 2,141 263,236Automatic Data Processing, Inc. 20,690 3,513,990Brightcove, Inc. (A) 1,728 21,306Broadridge Financial Solutions, Inc. 5,522 714,768CACI International, Inc., Class A (A) 2,385 530,162Carbonite, Inc. (A) 1,460 17,593Cardtronics PLC, Class A (A) 1,697 50,265Cass Information Systems, Inc. 632 31,979Cognizant Technology Solutions Corp.,

Class A 27,062 1,661,336Conduent, Inc. (A) 7,750 50,453CoreLogic, Inc. (A) 7,739 374,568CSG Systems International, Inc. 1,457 78,503DXC Technology Company 12,751 423,588Endurance International Group

Holdings, Inc. (A) 3,474 17,509EVERTEC, Inc. 2,681 93,460Evo Payments, Inc., Class A (A) 1,387 41,166ExlService Holdings, Inc. (A) 1,493 101,076Fidelity National Information Services, Inc. 29,132 3,968,361Fiserv, Inc. (A) 27,089 2,896,898FleetCor Technologies, Inc. (A) 4,098 1,222,843Gartner, Inc. (A) 4,284 572,642Global Payments, Inc. 7,450 1,236,551GTT Communications, Inc. (A)(B) 1,566 14,893I3 Verticals, Inc., Class A (A) 480 10,858IBM Corp. 42,145 5,711,912International Money Express, Inc. (A) 677 8,828Jack Henry & Associates, Inc. 3,673 532,438KBR, Inc. 19,827 505,985Leidos Holdings, Inc. 6,856 598,940Limelight Networks, Inc. (A) 5,683 13,810LiveRamp Holdings, Inc. (A) 9,639 408,308ManTech International Corp., Class A 1,186 83,352Mastercard, Inc., Class A 42,726 12,021,815MAXIMUS, Inc. 8,925 686,690NIC, Inc. 2,942 61,252Paychex, Inc. 15,206 1,242,330PayPal Holdings, Inc. (A) 55,853 6,090,770Paysign, Inc. (A)(B) 1,418 18,845Perficient, Inc. (A) 1,437 52,939Perspecta, Inc. 19,704 511,319Presidio, Inc. 2,056 32,937Sabre Corp. 26,347 622,843Science Applications International Corp. 7,510 660,955StarTek, Inc. (A) 951 5,925Sykes Enterprises, Inc. (A) 1,741 50,489The Hackett Group, Inc. 1,135 18,308


COMMON STOCKS (continued)IT services (continued)The Western Union Company 20,470 $ 452,796Total System Services, Inc. 7,741 1,038,997TTEC Holdings, Inc. 637 29,882Tucows, Inc., Class A (A) 445 22,455Unisys Corp. (A) 2,300 15,042USA Technologies, Inc. (A) 2,775 22,838VeriSign, Inc. (A) 4,987 1,016,600Verra Mobility Corp. (A) 4,405 61,318Virtusa Corp. (A) 1,288 46,548Visa, Inc., Class A 82,666 14,947,666WEX, Inc. (A) 4,148 848,473

73,055,694Semiconductors and semiconductor equipment – 4.8%Adesto Technologies Corp. (A) 1,367 13,943Advanced Energy Industries, Inc. (A) 1,697 87,633Advanced Micro Devices, Inc. (A) 59,887 1,883,446Alpha & Omega Semiconductor, Ltd. (A) 1,086 12,793Ambarella, Inc. (A) 1,398 78,106Amkor Technology, Inc. (A) 4,328 37,870Analog Devices, Inc. 24,970 2,742,455Applied Materials, Inc. 63,210 3,035,344Aquantia Corp. (A) 1,317 17,358Axcelis Technologies, Inc. (A) 1,431 21,909AXT, Inc. (A) 2,042 6,922Broadcom, Inc. 26,730 7,554,967Brooks Automation, Inc. 3,153 105,089Cabot Microelectronics Corp. 1,288 160,549CEVA, Inc. (A) 991 31,127Cirrus Logic, Inc. (A) 8,192 439,419Cohu, Inc. 1,792 21,361Cree, Inc. (A) 10,094 433,335Cypress Semiconductor Corp. 35,096 807,559Diodes, Inc. (A) 1,820 66,521DSP Group, Inc. (A) 1,072 14,836Enphase Energy, Inc. (A) 4,078 120,994First Solar, Inc. (A) 7,275 451,559FormFactor, Inc. (A) 3,313 56,619GSI Technology, Inc. (A) 843 7,081Ichor Holdings, Ltd. (A) 954 20,282Impinj, Inc. (A) 645 23,465Inphi Corp. (A) 1,989 121,707Intel Corp. 302,309 14,332,470KLA Corp. 10,914 1,614,181Lam Research Corp. 10,124 2,131,203Lattice Semiconductor Corp. (A) 5,542 109,122MACOM Technology Solutions

Holdings, Inc. (A) 2,061 40,478Maxim Integrated Products, Inc. 18,397 1,003,372MaxLinear, Inc. (A) 2,896 57,399Microchip Technology, Inc. 16,067 1,387,064Micron Technology, Inc. (A) 74,727 3,382,891MKS Instruments, Inc. 5,213 408,126Monolithic Power Systems, Inc. 3,799 571,977Nanometrics, Inc. (A) 1,038 28,327NeoPhotonics Corp. (A) 1,901 11,900NVE Corp. 235 15,087NVIDIA Corp. 41,122 6,888,346PDF Solutions, Inc. (A) 1,342 15,715Photronics, Inc. (A) 2,806 30,305Power Integrations, Inc. 1,255 111,720Qorvo, Inc. (A) 8,048 574,869QUALCOMM, Inc. 82,089 6,384,062Rambus, Inc. (A) 4,885 61,258Rudolph Technologies, Inc. (A) 1,373 30,192Semtech Corp. (A) 9,326 391,412




COMMON STOCKS (continued)Semiconductors and semiconductor equipment (continued)Silicon Laboratories, Inc. (A) 6,064 $ 660,976Skyworks Solutions, Inc. 11,663 877,874SMART Global Holdings, Inc. (A) 623 17,699SunPower Corp. (A) 2,774 34,730Synaptics, Inc. (A) 4,851 155,329Teradyne, Inc. 16,438 870,721Texas Instruments, Inc. 63,353 7,839,934Ultra Clean Holdings, Inc. (A) 1,700 20,298Universal Display Corp. 4,075 837,290Veeco Instruments, Inc. (A) 2,143 19,844Versum Materials, Inc. 10,477 544,804Xilinx, Inc. 17,147 1,784,317Xperi Corp. 2,185 40,029

71,659,570Software – 7.2%8x8, Inc. (A) 4,155 101,008A10 Networks, Inc. (A) 2,620 18,183ACI Worldwide, Inc. (A) 15,449 460,071Adobe, Inc. (A) 28,999 8,250,505Agilysys, Inc. (A) 820 22,345Alarm.com Holdings, Inc. (A) 1,637 77,921Altair Engineering, Inc., Class A (A) 1,720 59,099American Software, Inc., Class A 1,340 21,118ANSYS, Inc. (A) 4,991 1,030,941Appfolio, Inc., Class A (A) 679 67,065Appian Corp. (A)(B) 1,392 82,782Autodesk, Inc. (A) 13,052 1,864,087Avaya Holdings Corp. (A) 4,943 69,795Benefitfocus, Inc. (A) 1,324 34,583Blackbaud, Inc. 6,893 627,056Blackline, Inc. (A) 1,902 96,869Bottomline Technologies DE, Inc. (A) 1,917 79,057Box, Inc., Class A (A) 6,385 93,413Cadence Design Systems, Inc. (A) 16,708 1,144,164Carbon Black, Inc. (A) 2,523 65,850CDK Global, Inc. 11,666 503,505ChannelAdvisor Corp. (A) 1,361 11,705Cision, Ltd. (A) 4,114 28,469Citrix Systems, Inc. 7,436 691,399Cloudera, Inc. (A)(B) 10,575 75,506CommVault Systems, Inc. (A) 5,208 225,871Cornerstone OnDemand, Inc. (A) 2,494 130,112Digimarc Corp. (A) 501 19,810Digital Turbine, Inc. (A) 3,441 26,186Domo, Inc., Class B (A) 753 18,697Ebix, Inc. 1,037 36,731eGain Corp. (A) 1,085 7,790Envestnet, Inc. (A) 2,122 121,400Everbridge, Inc. (A) 1,447 124,731Fair Isaac Corp. (A) 2,780 980,562Five9, Inc. (A) 2,615 165,294ForeScout Technologies, Inc. (A) 1,820 65,211Fortinet, Inc. (A) 8,629 683,244GTY Technology Holdings, Inc. (A) 1,508 9,440Instructure, Inc. (A) 1,497 61,916Intelligent Systems Corp. (A) 341 18,035Intuit, Inc. 15,408 4,443,051j2 Global, Inc. 6,528 552,269LivePerson, Inc. (A) 2,716 107,934LogMeIn, Inc. 4,778 319,362Manhattan Associates, Inc. (A) 6,195 511,893Microsoft Corp. 455,363 62,776,343MicroStrategy, Inc., Class A (A) 361 51,728Mitek Systems, Inc. (A) 1,681 17,045MobileIron, Inc. (A) 4,349 30,008


COMMON STOCKS (continued)Software (continued)Model N, Inc. (A) 1,457 $ 41,714Monotype Imaging Holdings, Inc. 1,809 35,728OneSpan, Inc. (A) 1,441 19,454Oracle Corp. 144,200 7,507,052Progress Software Corp. 1,981 74,842PROS Holdings, Inc. (A) 1,463 103,902PTC, Inc. (A) 9,930 650,117Q2 Holdings, Inc. (A) 1,778 159,931QAD, Inc., Class A 514 20,827Qualys, Inc. (A) 1,510 120,226Rapid7, Inc. (A) 2,142 115,004SailPoint Technologies Holding, Inc. (A) 3,831 86,312salesforce.com, Inc. (A) 50,761 7,922,269ShotSpotter, Inc. (A) 381 10,375SPS Commerce, Inc. (A) 1,598 80,763SVMK, Inc. (A) 3,757 62,892Symantec Corp. 36,740 854,205Synchronoss Technologies, Inc. (A) 1,924 15,315Synopsys, Inc. (A) 8,914 1,264,094Telaria, Inc. (A) 2,152 21,477Telenav, Inc. (A) 1,704 19,289Tenable Holdings, Inc. (A) 1,659 37,825Teradata Corp. (A) 11,231 346,701TiVo Corp. 5,547 41,769Tyler Technologies, Inc. (A) 3,677 943,298Upland Software, Inc. (A) 998 37,924Varonis Systems, Inc. (A) 1,326 90,592Verint Systems, Inc. (A) 2,903 154,701VirnetX Holding Corp. (A) 2,768 14,560Workiva, Inc. (A) 1,554 74,763Yext, Inc. (A) 4,147 65,398Zix Corp. (A) 2,318 17,037Zuora, Inc., Class A (A) 3,827 57,596

108,149,111Technology hardware, storage and peripherals – 5.5%3D Systems Corp. (A) 5,100 35,700Apple, Inc. 355,562 74,219,984AstroNova, Inc. 367 6,030Avid Technology, Inc. (A) 1,387 10,347Cray, Inc. (A) 1,817 63,468Diebold Nixdorf, Inc. (A) 3,473 38,932Hewlett Packard Enterprise Company 109,399 1,511,894HP, Inc. 122,642 2,243,122Immersion Corp. (A) 1,627 13,358NCR Corp. (A) 11,519 362,964NetApp, Inc. 20,005 961,440Seagate Technology PLC 20,406 1,024,585Stratasys, Ltd. (A) 2,292 54,595Western Digital Corp. 23,945 1,371,330Xerox Holdings Corp. 15,829 458,883

82,376,632376,098,867

Materials – 1.7%Chemicals – 1.0%A. Schulman, Inc. (A)(C) 1,188 514Advanced Emissions Solutions, Inc. 875 11,043AdvanSix, Inc. (A) 1,263 28,215Air Products & Chemicals, Inc. 4,053 915,654Albemarle Corp. (B) 1,951 120,435American Vanguard Corp. 1,397 19,795Amyris, Inc. (A)(B) 1,928 7,288Ashland Global Holdings, Inc. 6,016 440,612Balchem Corp. 1,442 128,035Cabot Corp. 5,607 224,280




COMMON STOCKS (continued)Chemicals (continued)Celanese Corp. 2,331 $ 264,265CF Industries Holdings, Inc. 4,070 196,133Chase Corp. 319 31,970Corteva, Inc. 13,785 404,176Dow, Inc. 13,785 587,655DuPont de Nemours, Inc. 13,785 936,415Eastman Chemical Company 2,551 166,759Ecolab, Inc. 4,670 963,468Ferro Corp. (A) 3,648 37,173Flotek Industries, Inc. (A) 2,872 6,002FMC Corp. 2,424 209,264FutureFuel Corp. 1,259 13,572GCP Applied Technologies, Inc. (A) 2,401 42,138Hawkins, Inc. 446 19,780HB Fuller Company 2,264 96,469Ingevity Corp. (A) 5,880 447,880Innophos Holdings, Inc. 882 24,775Innospec, Inc. 1,079 89,751International Flavors & Fragrances, Inc. 1,866 204,794Intrepid Potash, Inc. (A) 4,699 13,956Koppers Holdings, Inc. (A) 831 22,030Kraton Corp. (A) 1,403 38,498Kronos Worldwide, Inc. 1,099 12,034Linde PLC 9,928 1,875,498Livent Corp. (A) 6,558 40,332LyondellBasell Industries NV, Class A 5,060 391,543Minerals Technologies, Inc. 4,956 238,879NewMarket Corp. 837 397,366Olin Corp. 15,811 268,471OMNOVA Solutions, Inc. (A) 2,063 20,733Orion Engineered Carbons SA 2,660 37,001PolyOne Corp. 10,921 349,581PPG Industries, Inc. 4,347 481,604PQ Group Holdings, Inc. (A) 1,632 23,321Quaker Chemical Corp. 582 92,457Rayonier Advanced Materials, Inc. 2,416 8,480RPM International, Inc. 12,571 850,680Sensient Technologies Corp. 5,928 387,217Stepan Company 903 86,137The Chemours Company 15,725 222,823The Mosaic Company 6,534 120,160The Scotts Miracle-Gro Company 3,777 401,571The Sherwin-Williams Company 1,496 788,018Trecora Resources (A) 1,091 9,874Tredegar Corp. 1,275 22,045Trinseo SA 1,826 64,074Tronox Holdings PLC, Class A 4,287 31,852Valvoline, Inc. 18,049 407,907

14,342,452Construction materials – 0.1%Eagle Materials, Inc. 4,231 356,208Martin Marietta Materials, Inc. 1,150 291,836Summit Materials, Inc., Class A (A) 5,023 105,383U.S. Concrete, Inc. (A) 706 28,607United States Lime & Minerals, Inc. 105 8,103Vulcan Materials Company 2,432 343,520

1,133,657Containers and packaging – 0.2%Amcor PLC (A) 29,881 293,431AptarGroup, Inc. 6,061 740,775Avery Dennison Corp. 1,554 179,596Ball Corp. 6,163 495,567Greif, Inc., Class A 3,681 129,534Greif, Inc., Class B 246 10,236International Paper Company 7,315 286,017


COMMON STOCKS (continued)Containers and packaging (continued)Myers Industries, Inc. 1,584 $ 26,659Owens-Illinois, Inc. 14,888 151,411Packaging Corp. of America 1,740 175,009Sealed Air Corp. 2,867 114,164Silgan Holdings, Inc. 7,462 222,069Sonoco Products Company 9,595 548,834UFP Technologies, Inc. (A) 350 14,623Westrock Company 4,732 161,740

3,549,665Metals and mining – 0.3%1911 Gold Corp. (A) 781 170AK Steel Holding Corp. (A)(B) 14,173 30,614Allegheny Technologies, Inc. (A) 17,693 350,675Carpenter Technology Corp. 6,655 323,699Century Aluminum Company (A) 2,487 13,703Cleveland-Cliffs, Inc. (B) 12,547 99,623Coeur Mining, Inc. (A) 9,085 49,695Commercial Metals Company 16,575 259,730Compass Minerals International, Inc. 4,783 237,859Freeport-McMoRan, Inc. 26,705 245,419Gold Resource Corp. 3,010 10,264Haynes International, Inc. 601 17,952Hecla Mining Company 21,540 38,341Kaiser Aluminum Corp. 723 63,935Materion Corp. 907 53,368Newmont Goldcorp Corp. 15,089 601,900Novagold Resources, Inc. (A) 10,237 76,163Nucor Corp. 5,611 274,827Reliance Steel & Aluminum Company 6,448 626,939Royal Gold, Inc. 6,284 838,160Schnitzer Steel Industries, Inc., Class A 1,149 25,439Steel Dynamics, Inc. 21,315 575,505SunCoke Energy, Inc. (A) 2,890 18,034Synalloy Corp. 500 8,020TimkenSteel Corp. (A) 1,995 10,414United States Steel Corp. (B) 16,534 183,031Warrior Met Coal, Inc. 2,285 47,757Worthington Industries, Inc. 5,512 191,266

5,272,502Paper and forest products – 0.1%Boise Cascade Company 1,755 55,107Clearwater Paper Corp. (A) 823 13,184Domtar Corp. 6,052 199,413Louisiana-Pacific Corp. 17,317 416,301Neenah, Inc. 755 48,154PH Glatfelter Company 1,966 28,271Schweitzer-Mauduit International, Inc. 1,386 46,486Verso Corp., Class A (A) 1,517 15,489

822,40525,120,681

Real estate – 4.1%Equity real estate investment trusts – 4.0%Acadia Realty Trust 3,621 99,034Agree Realty Corp. 1,639 122,417Alexander & Baldwin, Inc. 9,569 219,034Alexander’s, Inc. 97 36,624Alexandria Real Estate Equities, Inc. 5,325 797,898American Assets Trust, Inc. 2,060 96,532American Campus Communities, Inc. 13,164 611,863American Finance Trust, Inc. 4,798 57,432American Tower Corp. 20,842 4,797,620Apartment Investment & Management

Company, A Shares 7,018 357,918Armada Hoffler Properties, Inc. 2,342 40,610




COMMON STOCKS (continued)Equity real estate investment trusts (continued)Ashford Hospitality Trust, Inc. 4,761 $ 13,331AvalonBay Communities, Inc. 6,574 1,397,369Bluerock Residential Growth REIT, Inc. 1,101 13,619Boston Properties, Inc. 7,287 935,797Braemar Hotels & Resorts, Inc. 1,513 13,874Brixmor Property Group, Inc. 28,579 526,711Camden Property Trust 9,272 1,003,694CareTrust REIT, Inc. 4,252 101,155CatchMark Timber Trust, Inc., Class A 2,371 23,497CBL & Associates Properties, Inc. 9,368 8,525Cedar Realty Trust, Inc. 4,515 10,701Chatham Lodging Trust 2,036 33,777Chesapeake Lodging Trust 2,661 68,521City Office REIT, Inc. 1,853 25,090Clipper Realty, Inc. 968 10,590Community Healthcare Trust, Inc. 796 33,941CoreCivic, Inc. 16,724 283,472CorEnergy Infrastructure Trust, Inc. 583 26,299CorePoint Lodging, Inc. 1,886 17,163CoreSite Realty Corp. 3,539 411,161Corporate Office Properties Trust 10,734 310,105Cousins Properties, Inc. 13,937 483,614Crown Castle International Corp. 19,601 2,845,477CyrusOne, Inc. 10,854 797,335DiamondRock Hospitality Company 8,857 83,876Digital Realty Trust, Inc. 9,819 1,213,923Douglas Emmett, Inc. 15,515 654,733Duke Realty Corp. 16,951 563,960Easterly Government Properties, Inc. 3,005 61,753EastGroup Properties, Inc. 5,103 635,426EPR Properties 7,241 566,608Equinix, Inc. 3,964 2,205,094Equity Residential 17,469 1,480,672Essential Properties Realty Trust, Inc. 2,156 48,963Essex Property Trust, Inc. 3,100 995,906Extra Space Storage, Inc. 6,010 732,739Farmland Partners, Inc. 1,568 9,455Federal Realty Investment Trust 3,535 456,757First Industrial Realty Trust, Inc. 17,661 687,896Four Corners Property Trust, Inc. 3,022 86,097Franklin Street Properties Corp. 4,700 35,579Front Yard Residential Corp. 2,229 24,720Getty Realty Corp. 1,454 46,179Gladstone Commercial Corp. 1,410 31,965Gladstone Land Corp. 994 11,441Global Medical REIT, Inc. 1,513 16,537Global Net Lease, Inc. 3,747 71,867Hannon Armstrong Sustainable

Infrastructure Capital, Inc. 2,742 75,761HCP, Inc. 22,531 782,051Healthcare Realty Trust, Inc. 18,022 598,871Hersha Hospitality Trust 1,557 21,642Highwoods Properties, Inc. 9,945 429,723Hospitality Properties Trust 15,771 380,712Host Hotels & Resorts, Inc. 34,908 559,924Independence Realty Trust, Inc. 4,014 55,835Industrial Logistics Properties Trust 2,877 61,539Innovative Industrial Properties, Inc. 416 37,091Investors Real Estate Trust 542 37,534Iron Mountain, Inc. 13,509 430,262iStar, Inc. 2,754 35,251JBG SMITH Properties 11,575 442,860Jernigan Capital, Inc. 937 18,093Kilroy Realty Corp. 9,684 753,996Kimco Realty Corp. 19,875 365,303


COMMON STOCKS (continued)Equity real estate investment trusts (continued)Kite Realty Group Trust 3,673 $ 52,487Lamar Advertising Company, Class A 8,207 629,067Lexington Realty Trust 10,165 105,614Liberty Property Trust 14,221 741,199Life Storage, Inc. 4,472 473,853LTC Properties, Inc. 1,741 84,961Mack-Cali Realty Corp. 12,755 259,819Medical Properties Trust, Inc. 42,144 783,457Mid-America Apartment Communities, Inc. 5,377 681,158Monmouth Real Estate Investment Corp. 4,072 53,425National Health Investors, Inc. 1,840 152,646National Retail Properties, Inc. 15,602 876,052National Storage Affiliates Trust 2,521 84,353New Senior Investment Group, Inc. 3,845 24,031NexPoint Residential Trust, Inc. 834 38,698NorthStar Realty Europe Corp. 1,940 32,844Office Properties Income Trust 2,190 59,371Omega Healthcare Investors, Inc. 20,575 836,991One Liberty Properties, Inc. 769 20,594Pebblebrook Hotel Trust 18,301 493,578Pennsylvania Real Estate Investment Trust 3,231 16,607Physicians Realty Trust 8,175 141,591Piedmont Office Realty Trust, Inc.,

Class A 5,459 107,761PotlatchDeltic Corp. 9,455 363,828Preferred Apartment Communities, Inc.,

Class A 1,924 25,897Prologis, Inc. 29,742 2,487,026PS Business Parks, Inc. 2,785 500,214Public Storage 7,077 1,873,565QTS Realty Trust, Inc., Class A 2,427 119,069Rayonier, Inc. 12,433 333,204Realty Income Corp. 14,843 1,095,562Regency Centers Corp. 7,885 508,661Retail Opportunity Investments Corp. 5,056 88,531Retail Value, Inc. 689 25,486Rexford Industrial Realty, Inc. 4,566 201,772RLJ Lodging Trust 7,654 124,071RPT Realty 3,457 41,138Ryman Hospitality Properties, Inc. 2,035 162,108Sabra Health Care REIT, Inc. 25,185 544,500Safehold, Inc. 377 11,046Saul Centers, Inc. 558 28,028SBA Communications Corp. 5,341 1,401,639Senior Housing Properties Trust 33,411 283,659Seritage Growth Properties, Class A 1,455 56,876Simon Property Group, Inc. 14,565 2,169,311SL Green Realty Corp. 3,972 318,634Spirit MTA REIT 2,172 18,245Spirit Realty Capital, Inc. 8,376 401,545STAG Industrial, Inc. 5,596 162,732Summit Hotel Properties, Inc. 4,756 53,077Sunstone Hotel Investors, Inc. 10,072 132,346Tanger Factory Outlet Centers, Inc. 13,082 184,979Taubman Centers, Inc. 5,866 229,067Terreno Realty Corp. 2,738 138,433The GEO Group, Inc. 16,931 290,536The Macerich Company 4,975 141,937UDR, Inc. 13,291 640,360UMH Properties, Inc. 1,682 21,631Uniti Group, Inc. 25,973 191,940Universal Health Realty Income Trust 573 55,403Urban Edge Properties 16,697 292,364Urstadt Biddle Properties, Inc., Class A 1,342 28,169Ventas, Inc. 17,413 1,277,940




COMMON STOCKS (continued)Equity real estate investment trusts (continued)Vornado Realty Trust 8,183 $ 494,826Washington Prime Group, Inc. 8,302 26,815Washington Real Estate Investment Trust 3,561 94,331Weingarten Realty Investors 11,475 303,973Welltower, Inc. 19,091 1,709,790Weyerhaeuser Company 35,102 923,534Whitestone REIT 1,713 21,275Xenia Hotels & Resorts, Inc. 5,030 101,656

59,891,280Real estate management and development – 0.1%CBRE Group, Inc., Class A (A) 14,754 771,192Consolidated-Tomoka Land Company 274 17,492Cushman & Wakefield PLC (A) 4,566 76,891eXp World Holdings, Inc. (A) 827 7,195Forestar Group, Inc. (A) 561 10,693FRP Holdings, Inc. (A) 364 17,905Jones Lang LaSalle, Inc. 5,215 699,071Kennedy-Wilson Holdings, Inc. 5,503 115,453Marcus & Millichap, Inc. (A) 1,017 36,693Newmark Group, Inc., Class A 6,512 56,524Rafael Holdings, Inc., Class B (A) 521 10,524RE/MAX Holdings, Inc., Class A 788 20,228Realogy Holdings Corp. 4,969 23,752Redfin Corp. (A)(B) 3,986 67,324Tejon Ranch Company (A) 977 16,355The RMR Group, Inc., Class A 344 16,027The St. Joe Company (A) 1,554 27,941

1,991,26061,882,540

Utilities – 3.4%Electric utilities – 1.8%ALLETE, Inc. 7,247 621,285Alliant Energy Corp. 11,195 587,178American Electric Power Company, Inc. 23,352 2,128,535Duke Energy Corp. 34,451 3,194,986Edison International 16,740 1,209,800El Paso Electric Company 1,814 120,994Entergy Corp. 8,985 1,013,867Evergy, Inc. 11,557 751,205Eversource Energy 15,199 1,217,896Exelon Corp. 45,945 2,171,361FirstEnergy Corp. 23,883 1,098,618Genie Energy, Ltd., B Shares 873 6,251Hawaiian Electric Industries, Inc. 10,448 463,891IDACORP, Inc. 4,832 530,602MGE Energy, Inc. 1,581 119,919NextEra Energy, Inc. 22,665 4,965,448OGE Energy Corp. 19,198 823,018Otter Tail Corp. 1,613 81,650Pinnacle West Capital Corp. 5,316 506,668PNM Resources, Inc. 11,172 569,884Portland General Electric Company 3,956 225,057PPL Corp. 34,137 1,008,748Spark Energy, Inc., Class A 721 6,821The Southern Company 49,251 2,869,363Xcel Energy, Inc. 24,362 1,564,528

27,857,573Gas utilities – 0.3%Atmos Energy Corp. 5,542 610,895Chesapeake Utilities Corp. 716 67,719National Fuel Gas Company 8,277 386,867New Jersey Resources Corp. 12,510 572,207Northwest Natural Holding Company 1,307 93,268ONE Gas, Inc. 7,371 675,257


COMMON STOCKS (continued)Gas utilities (continued)South Jersey Industries, Inc. 4,142 $ 133,952Southwest Gas Holdings, Inc. 7,483 682,674Spire, Inc. 7,068 600,073UGI Corp. 19,996 973,205

4,796,117Independent power and renewable electricity producers –0.1%AES Corp. 31,388 481,178Atlantic Power Corp. (A) 5,314 12,169Clearway Energy, Inc., Class A 1,584 26,548Clearway Energy, Inc., Class C 3,250 57,525NRG Energy, Inc. 12,638 460,023Ormat Technologies, Inc. 1,763 130,938Pattern Energy Group, Inc., Class A 4,007 108,790TerraForm Power, Inc., Class A 3,293 55,849

1,333,020Multi-utilities – 1.0%Ameren Corp. 11,628 897,100Avista Corp. 2,920 136,948Black Hills Corp. 7,886 604,935CenterPoint Energy, Inc. 23,749 657,610CMS Energy Corp. 13,430 846,762Consolidated Edison, Inc. 15,479 1,376,083Dominion Energy, Inc. 37,964 2,947,145DTE Energy Company 8,672 1,124,412MDU Resources Group, Inc. 18,998 510,856NiSource, Inc. 17,654 521,676NorthWestern Corp. 7,077 512,658Public Service Enterprise Group, Inc. 23,920 1,446,442Sempra Energy 12,985 1,839,066Unitil Corp. 675 40,750WEC Energy Group, Inc. 14,931 1,429,942

14,892,385Water utilities – 0.2%American States Water Company 1,636 151,379American Water Works Company, Inc. 8,547 1,088,204Aqua America, Inc. 20,691 916,404AquaVenture Holdings, Ltd. (A) 658 11,633Cadiz, Inc. (A) 884 10,175California Water Service Group 2,153 121,515Connecticut Water Service, Inc. 573 40,190Consolidated Water Company, Ltd. 882 12,930Middlesex Water Company 745 45,475Pure Cycle Corp. (A) 894 9,700SJW Group 1,197 81,791The York Water Company 577 21,545

2,510,94151,390,036

TOTAL COMMON STOCKS (Cost $1,381,787,407) $ 1,460,216,329

PREFERRED SECURITIES – 0.0%Communication services – 0.0%Diversified consumer services – 0.0%GCI Liberty, Inc., 7.000% 361 9,314TOTAL PREFERRED SECURITIES (Cost $2,897) $ 9,314

RIGHTS – 0.0%Pan American Silver Corp. (Expiration

Date: 2-22-29) (A)(C)(D) 13,589 3,503TOTAL RIGHTS (Cost $4,020) $ 3,503





2.1920% (E)(F) 413,890 $ 4,141,717TOTAL SECURITIES LENDING COLLATERAL(Cost $4,141,407) $ 4,141,717

SHORT-TERM INVESTMENTS – 2.4%U.S. Government Agency – 1.6%Federal Home Loan Bank Discount Note

2.015%, 10/04/2019 * $ 20,000,000 19,965,0392.270%, 09/04/2019 * 5,000,000 4,999,713

24,964,752Repurchase agreement – 0.8%Repurchase Agreement with State Street

Corp. dated 8-30-19 at 1.050% to berepurchased at $11,816,378 on 9-3-19,collateralized by $11,835,000U.S. Treasury Notes, 2.250% due3-31-21 (valued at $12,057,403,including interest) 11,815,000 11,815,000

TOTAL SHORT-TERM INVESTMENTS (Cost $36,777,113) $ 36,779,752Total Investments (U.S. Strategic Equity Allocation Fund)


U.S. Strategic Equity Allocation Fund (continued)Security Abbreviations and Legend(A) Non-income producing security.(B) All or a portion of this security is on loan as of 8-31-19.(C) Security is valued using significant unobservable inputs and is

classified as Level 3 in the fair value hierarchy.(D) Strike price and/or expiration date not available.(E) The rate shown is the annualized seven-day yield as of 8-31-19.(F) Investment is an affiliate of the fund, the advisor and/or subadvisor.



DERIVATIVES

FUTURES



dateNotional

basis^Notional

value^


(depreciation)Russell 2000 E-Mini Index Futures 71 Long Sep 2019 $5,481,585 $5,304,410 $(177,175)S&P 500 Index E-Mini Futures 205 Long Sep 2019 30,548,911 29,789,064 (759,847)S&P Mid 400 Index E-Mini Futures 35 Long Sep 2019 6,737,618 6,584,900 (152,718)

$(1,089,740)





The following funds had the following country composition as a percentage of net assets on 8-31-19:

Capital Appreciation FundUnited States 86.0%China 4.2%France 3.5%United Kingdom 1.8%Canada 1.7%Germany 1.5%Netherlands 1.3%TOTAL 100.0%

Health Sciences FundUnited States 86.5%Switzerland 3.7%United Kingdom 2.3%Netherlands 1.4%Denmark 1.4%Japan 1.4%Other countries 3.3%TOTAL 100.0%

Mid Value FundUnited States 84.4%Canada 7.9%Ireland 2.5%Denmark 1.9%Switzerland 1.1%Other countries 2.2%TOTAL 100.0%

Science & Technology FundUnited States 82.0%China 6.8%South Korea 4.0%Germany 1.7%South Africa 1.2%Russia 1.2%Netherlands 1.0%Other countries 2.1%TOTAL 100.0%

Strategic Equity Allocation FundUnited States 60.0%Japan 6.2%United Kingdom 4.8%Canada 3.5%Switzerland 3.1%France 3.1%China 2.5%Australia 2.0%Netherlands 2.0%Germany 1.7%Other countries 11.1%TOTAL 100.0%


The accompanying notes are an integral part of the financial statements.

127

Assets

CapitalAppreciation

Fund

CapitalAppreciation

Value FundHealth Sciences

Fund

InternationalGrowth Stock

Fund

Unaffiliated investments, at value $1,720,361,331 $1,630,773,568 $271,715,500 $57,722,894Affiliated investments, at value 25,457,039 — — —Total investments, at value 1,745,818,370 1,630,773,568 271,715,500 57,722,894Cash — — — 39,762Foreign currency, at value 700,819 6 5,504 123,624Dividends and interest receivable 1,635,909 6,775,999 268,771 649,768Receivable for fund shares sold 63,468 — 6,424 —Receivable for investments sold 17,816,883 5,358,957 726,848 328,931Receivable for securities lending income — 8,508 — —Other assets 38,222 39,959 7,956 16,921Total assets 1,766,073,671 1,642,956,997 272,731,003 58,881,900

Liabilities

Written options, at value — 18,104,429 — —Payable for investments purchased 1,720,907 12,604,783 630,956 —Payable for fund shares repurchased 1,863,165 4,985,568 48 163,541Payable upon return of securities loaned 25,445,309 — — —Payable to affiliates

Accounting and legal services fees 106,614 98,324 16,751 3,785Trustees’ fees 979 891 152 571

Other liabilities and accrued expenses 122,312 124,587 70,640 66,670Total liabilities 29,259,286 35,918,582 718,547 234,567Net assets $1,736,814,385 $1,607,038,415 $272,012,456 $58,647,333

Net assets consist of

Paid-in capital $711,638,269 $1,210,110,687 $225,083,193 $(76,502,308)Total distributable earnings (loss) 1,025,176,116 396,927,728 46,929,263 135,149,641Net assets $1,736,814,385 $1,607,038,415 $272,012,456 $58,647,333Unaffiliated investments, including repurchase agreements, at

cost $824,992,509 $1,361,675,728 $229,523,021 $37,560,146Affiliated investments, at cost $25,453,468 — — —Foreign currency, at cost $702,222 $7 $5,520 $136,572Premiums received on written options — $8,247,386 — —Securities loaned, at value $24,939,867 — — —

Net asset value per share

The funds have an unlimited number of shares authorized with no par value. Netasset value is calculated by dividing the net assets of each class of shares by thenumber of outstanding shares in the class.

Class 1Net assets $584,098,863 — — —Shares outstanding 37,290,015 — — —Net asset value, offering price and redemption price per share $15.66 — — —

Class NAVNet assets $1,152,715,522 $1,607,038,415 $272,012,456 $58,647,333Shares outstanding 73,360,655 136,774,650 60,051,970 4,307,976Net asset value, offering price and redemption price per share $15.71 $11.75 $4.53 $13.61

John Hancock Funds IIStatements of assets and liabilities — August 31, 2019


128

AssetsInternational

Small Cap Fund

InternationalStrategic EquityAllocation Fund

InternationalValue Fund

Mid Cap StockFund

Unaffiliated investments, at value $115,385,195 $1,624,058,854 $243,059,309 $1,565,142,491Affiliated investments, at value 5,044,710 — 937,826 26,551,791Repurchase agreements, at value — — — 33,800,000Total investments, at value 120,429,905 1,624,058,854 243,997,135 1,625,494,282Receivable for futures variation margin — 322,476 — —Cash 4,189,496 87,166 613,593 81,548Foreign currency, at value 193,419 405,667 891,551 1,002Collateral held at broker for futures contracts — 3,401,847 — —Dividends and interest receivable 339,579 6,608,156 1,113,914 266,833Receivable for fund shares sold — — 24,130 18,326Receivable for investments sold 104,086 — 848,811 —Receivable for securities lending income 16,889 45 3,016 —Other assets 12,255 49,084 26,990 225,929Total assets 125,285,629 1,634,933,295 247,519,140 1,626,087,920

Liabilities

Payable for investments purchased 150,463 168 2,590,438 7,474,816Payable for fund shares repurchased 246,139 968,367 159,219 610,260Payable upon return of securities loaned 5,042,548 — 927,223 26,550,450Payable to affiliates

Accounting and legal services fees 7,399 99,482 15,155 101,394Trustees’ fees 398 1,166 777 1,093

Other liabilities and accrued expenses 71,059 243,524 86,175 233,971Total liabilities 5,518,006 1,312,707 3,778,987 34,971,984Net assets $119,767,623 $1,633,620,588 $243,740,153 $1,591,115,936


Paid-in capital $40,621,559 $1,712,819,603 $219,160,898 $1,047,256,956Total distributable earnings (loss) 79,146,064 (79,199,015) 24,579,255 543,858,980Net assets $119,767,623 $1,633,620,588 $243,740,153 $1,591,115,936Unaffiliated investments, including repurchase agreements, at

cost $94,199,876 $1,632,523,344 $231,414,897 $1,180,388,818Affiliated investments, at cost $5,042,393 — $937,786 $26,551,752Foreign currency, at cost $193,656 $406,699 $891,551 $985Securities loaned, at value $5,571,802 — $1,317,491 $25,997,004



Class 1Net assets $56,503,324 — $125,525,127 $438,454,206Shares outstanding 3,375,715 — 8,949,499 19,713,322Net asset value, offering price and redemption price per share $16.74 — $14.03 $22.24

Class NAVNet assets $63,264,299 $1,633,620,588 $118,215,026 $1,152,661,730Shares outstanding 3,780,858 181,225,015 8,452,678 51,183,607Net asset value, offering price and redemption price per share $16.73 $9.01 $13.99 $22.52



129

Assets Mid Value Fund

Multi-IndexLifestyle

AggressivePortfolio

Multi-IndexLifestyleBalancedPortfolio


ConservativePortfolio

Unaffiliated investments, at value $1,225,747,430 $113,476,817 $555,148,158 $163,445,053Affiliated investments, at value 10,825,459 226,266,576 397,122,752 33,541,470Total investments, at value 1,236,572,889 339,743,393 952,270,910 196,986,523Foreign currency, at value 64 — — —Dividends and interest receivable 2,278,617 260 1,150 609Receivable for fund shares sold 170 8 — —Receivable for investments sold 3,800,154 307,167 1,253,632 40,438Receivable for securities lending income — — 10,249 2,710Receivable from affiliates — — — 2,278Other assets 14,197 1,672 5,943 5,060Total assets 1,242,666,091 340,052,500 953,541,884 197,037,618

Liabilities

Due to custodian — 70,476 426,484 —Payable for investments purchased 1,040,449 — — 170,370Payable for fund shares repurchased 54,962 325,038 2,474,431 33,006Payable upon return of securities loaned 10,843,920 — 53,570,365 12,590,370Payable to affiliates

Accounting and legal services fees 75,570 20,620 54,039 10,741Transfer agent fees — 35 54 2Trustees’ fees 698 189 485 94

Other liabilities and accrued expenses 102,820 34,348 36,231 33,782Total liabilities 12,118,419 450,706 56,562,089 12,838,365Net assets $1,230,547,672 $339,601,794 $896,979,795 $184,199,253


Paid-in capital $1,137,360,360 $330,760,308 $859,795,196 $177,461,977Total distributable earnings (loss) 93,187,312 8,841,486 37,184,599 6,737,276Net assets $1,230,547,672 $339,601,794 $896,979,795 $184,199,253Unaffiliated investments, including repurchase agreements, at

cost $1,116,993,612 $99,425,157 $513,763,323 $156,337,446Affiliated investments, at cost $10,823,361 $248,973,703 $425,688,690 $34,372,165Foreign currency, at cost $65 — — —Securities loaned, at value $10,438,783 — $52,439,992 $12,307,960



Class R6Net assets — $3,515,320 $5,553,916 $242,376Shares outstanding — 303,905 493,191 22,366Net asset value, offering price and redemption price per share — $11.57 $11.26 $10.84

Class 1Net assets — $336,086,474 $891,425,879 $183,956,877Shares outstanding — 29,075,025 79,187,906 16,985,710Net asset value, offering price and redemption price per share — $11.56 $11.26 $10.83

Class NAVNet assets $1,230,547,672 — — —Shares outstanding 86,218,354 — — —Net asset value, offering price and redemption price per share $14.27 — — —



130

Assets

Multi-IndexLifestyleGrowth

Portfolio


ModeratePortfolio

Real EstateSecurities Fund

Science &Technology

Fund

Unaffiliated investments, at value $394,757,723 $196,358,502 $435,924,424 $273,334,092Affiliated investments, at value 450,771,671 79,007,831 — 9,739,733Repurchase agreements, at value — — — 10,820,000Total investments, at value 845,529,394 275,366,333 435,924,424 293,893,825Cash — — — 728Foreign currency, at value — — — 214,653Dividends and interest receivable 645 837 168,609 181,728Receivable for fund shares sold 413,245 9,752 — —Receivable for investments sold 251,704 562,020 2,994,917 311,076Receivable for securities lending income — 3,743 — 2,772Other assets 5,778 3,410 11,816 8,835Total assets 846,200,766 275,946,095 439,099,766 294,613,617

Liabilities

Due to custodian 276,812 467,228 — —Payable for investments purchased — 94,895 4,886,608 209,859Payable for fund shares repurchased 491 11 628,350 547,680Payable upon return of securities loaned 16,547,265 12,170,475 — 9,739,815Payable to affiliates

Accounting and legal services fees 49,952 15,650 25,357 17,307Transfer agent fees 58 11 — —Trustees’ fees 453 138 221 159

Other liabilities and accrued expenses 46,484 34,063 69,696 62,198Total liabilities 16,921,515 12,782,471 5,610,232 10,577,018Net assets $829,279,251 $263,163,624 $433,489,534 $284,036,599


Paid-in capital $798,610,602 $252,919,419 $315,081,058 $229,305,718Total distributable earnings (loss) 30,668,649 10,244,205 118,408,476 54,730,881Net assets $829,279,251 $263,163,624 $433,489,534 $284,036,599Unaffiliated investments, including repurchase agreements, at

cost $357,815,858 $184,592,059 $336,141,177 $245,211,719Affiliated investments, at cost $495,101,519 $84,106,694 — $9,739,728Foreign currency, at cost — — — $214,128Securities loaned, at value $16,143,026 $11,870,504 — $9,518,272



Class R6Net assets $5,822,159 $1,089,889 — —Shares outstanding 503,732 98,355 — —Net asset value, offering price and redemption price per share $11.56 $11.08 — —

Class 1Net assets $823,457,092 $262,073,735 $433,489,534 —Shares outstanding 71,353,392 23,656,007 29,798,400 —Net asset value, offering price and redemption price per share $11.54 $11.08 $14.55 —

Class NAVNet assets — — — $284,036,599Shares outstanding — — — 73,428,732Net asset value, offering price and redemption price per share — — — $3.87



131

AssetsSmall Company

Value FundStrategic EquityAllocation Fund

U.S. StrategicEquity

Allocation Fund

Unaffiliated investments, at value $56,389,851 $7,249,415,026 $1,485,193,898Affiliated investments, at value 5,555,811 80,031,817 4,141,717Repurchase agreements, at value — 45,764,000 11,815,000Total investments, at value 61,945,662 7,375,210,843 1,501,150,615Receivable for futures variation margin — 431,314 —Cash — 2,119 3,139Foreign currency, at value — 1,447,881 —Collateral held at broker for futures contracts — 20,807,340 2,982,200Dividends and interest receivable 43,663 18,371,292 2,512,679Receivable for investments sold 216,206 — —Receivable for securities lending income 2,742 — —Other assets 5,578 176,754 21,853Total assets 62,213,851 7,416,447,543 1,506,670,486

Liabilities

Payable for futures variation margin — — 207,675Payable for investments purchased — 157 —Payable for fund shares repurchased 244,625 6,588,197 5,139,850Payable upon return of securities loaned 5,553,021 80,037,084 4,143,845Payable to affiliates

Accounting and legal services fees 3,614 444,339 93,181Trustees’ fees 33 4,078 866

Other liabilities and accrued expenses 48,429 542,355 130,380Total liabilities 5,849,722 87,616,210 9,715,797Net assets $56,364,129 $7,328,831,333 $1,496,954,689


Paid-in capital $(27,801,092) $7,002,997,829 $1,356,420,681Total distributable earnings (loss) 84,165,221 325,833,504 140,534,008Net assets $56,364,129 $7,328,831,333 $1,496,954,689Unaffiliated investments, including repurchase agreements, at cost $35,637,317 $7,005,727,020 $1,418,571,437Affiliated investments, at cost $5,555,395 $80,021,742 $4,141,407Foreign currency, at cost — $1,449,861 —Securities loaned, at value $5,416,241 $77,473,921 $4,035,856


The funds have an unlimited number of shares authorized with no par value. Net asset value is calculatedby dividing the net assets of each class of shares by the number of outstanding shares in the class.

Class 1Net assets $56,364,129 — —Shares outstanding 2,256,580 — —Net asset value, offering price and redemption price per share $24.98 — —

Class NAVNet assets — $7,328,831,333 $1,496,954,689Shares outstanding — 657,932,630 151,820,621Net asset value, offering price and redemption price per share — $11.14 $9.86



132

Investment income

CapitalAppreciation

Fund

CapitalAppreciation

Value FundHealth Sciences

Fund

InternationalGrowth Stock

Fund

Dividends $13,468,166 $19,184,589 $2,458,598 $8,731,647Interest 185,764 21,240,764 48,212 9,089Securities lending 118,666 259,842 — —Less foreign taxes withheld (155,756) (51,663) (51,110) (706,161)Total investment income 13,616,840 40,633,532 2,455,700 8,034,575

Expenses

Investment management fees 12,549,268 13,377,060 2,913,419 3,163,837Distribution and service fees 305,608 — — —Accounting and legal services fees 315,347 292,868 50,178 68,975Trustees’ fees 34,371 32,049 5,439 10,116Custodian fees 200,226 163,683 35,812 159,931Printing and postage 14,356 14,327 13,892 13,879Professional fees 79,532 85,736 58,992 65,777Other 83,183 57,163 22,017 33,740Total expenses 13,581,891 14,022,886 3,099,749 3,516,255Less expense reductions (132,735) (662,756) (170,158) (29,746)Net expenses 13,449,156 13,360,130 2,929,591 3,486,509Net investment income (loss) 167,684 27,273,402 (473,891) 4,548,066

Realized and unrealized gain (loss)

Net realized gain (loss) onUnaffiliated investments and foreign currency transactions 161,867,836 147,024,969 11,280,327 125,840,498Affiliated investments 11,986 (2,529) — —Written options — 6,165,225 — —

161,879,822 153,187,665 11,280,327 125,840,498Change in net unrealized appreciation (depreciation) ofUnaffiliated investments and translation of assets and liabilities in

foreign currencies (150,942,361) (26,449,999) (23,699,008) (136,175,603)Affiliated investments (2,723) (491) — —Written options — (1,779,613) — —

(150,945,084) (28,230,103) (23,699,008) (136,175,603)Net realized and unrealized gain (loss) 10,934,738 124,957,562 (12,418,681) (10,335,105)

Increase (decrease) in net assets from operations $11,102,422 $152,230,964 $(12,892,572) $(5,787,039)

John Hancock Funds IIStatements of operations — For the year ended August 31, 2019


133

Investment incomeInternational

Small Cap Fund

InternationalStrategic EquityAllocation Fund

InternationalValue Fund

Mid Cap StockFund

Dividends $5,810,745 $57,224,791 $15,241,369 $4,392,898Interest 473,825 2,842,124 315,774 1,394,596Securities lending 564,772 591,208 129,370 164,768Less foreign taxes withheld (716,772) (5,196,002) (1,181,214) (41,193)Total investment income 6,132,570 55,462,121 14,505,299 5,911,069

Expenses

Investment management fees 3,301,588 10,480,873 5,123,246 13,171,323Distribution and service fees 31,605 — 73,248 212,145Accounting and legal services fees 58,437 303,792 111,830 281,317Trustees’ fees 9,049 32,991 18,012 29,892Custodian fees 143,917 586,145 242,812 159,476Printing and postage 13,742 15,495 14,006 13,260Professional fees 57,219 117,911 66,134 90,776Other 28,484 60,270 39,351 62,692Total expenses 3,644,041 11,597,477 5,688,639 14,020,881Less expense reductions (25,065) (2,197,765) (48,497) (118,745)Net expenses 3,618,976 9,399,712 5,640,142 13,902,136Net investment income (loss) 2,513,594 46,062,409 8,865,157 (7,991,067)


Net realized gain (loss) onUnaffiliated investments and foreign currency transactions 59,486,195 (83,458,481) 27,993,119 155,992,524Affiliated investments 5,515 6,278 1,898 29,672Futures contracts — (923,407) — —

59,491,710 (84,375,610) 27,995,017 156,022,196Change in net unrealized appreciation (depreciation) ofUnaffiliated investments and translation of assets and liabilities in

foreign currencies (96,070,142) (33,558,829) (105,118,007) (70,247,883)Affiliated investments (4,128) (10,811) (2,702) (21,240)Futures contracts — 531,019 — —

(96,074,270) (33,038,621) (105,120,709) (70,269,123)Net realized and unrealized gain (loss) (36,582,560) (117,414,231) (77,125,692) 85,753,073

Increase (decrease) in net assets from operations $(34,068,966) $(71,351,822) $(68,260,535) $77,762,006



134

Investment income Mid Value Fund


AggressivePortfolio

Multi-IndexLifestyleBalancedPortfolio


ConservativePortfolio

Dividends $29,582,733 $2,292,022 $16,653,658 $4,869,810Interest 2,163,696 3,456 14,954 5,529Securities lending 136,712 7,582 445,127 134,040Income distributions received from affiliated investments — 3,856,473 6,394,439 371,375Less foreign taxes withheld (366,571) — — —Total investment income 31,516,570 6,159,533 23,508,178 5,380,754

Expenses

Investment management fees 12,377,162 624,592 2,738,465 720,668Distribution and service fees — 160,842 433,482 82,345Accounting and legal services fees 233,199 58,840 157,903 29,942Transfer agent fees — 439 651 20Trustees’ fees 25,561 6,277 17,059 3,241Custodian fees 127,150 16,296 16,296 16,296State registration fees — 4,332 4,476 3,288Printing and postage 14,307 16,897 17,439 16,734Professional fees 77,627 25,479 36,449 22,272Other 42,576 15,045 27,085 12,557Total expenses 12,897,582 929,039 3,449,305 907,363Less expense reductions (684,505) — — (19,778)Net expenses 12,213,077 929,039 3,449,305 887,585Net investment income 19,303,493 5,230,494 20,058,873 4,493,169


Net realized gain (loss) onUnaffiliated investments and foreign currency transactions 9,679,151 (4,784) (603,129) (183,913)Affiliated investments 9,462 (5,851,608) (14,988,833) (1,385,927)Capital gain distributions received from affiliated investments — 26,275,134 43,566,949 2,530,274

9,688,613 20,418,742 27,974,987 960,434Change in net unrealized appreciation (depreciation) ofUnaffiliated investments and translation of assets and liabilities in

foreign currencies (153,076,976) (407,120) 20,806,775 7,862,296Affiliated investments (13,847) (27,659,551) (38,709,200) (1,671,438)

(153,090,823) (28,066,671) (17,902,425) 6,190,858Net realized and unrealized gain (loss) (143,402,210) (7,647,929) 10,072,562 7,151,292

Increase (decrease) in net assets from operations $(124,098,717) $(2,417,435) $30,131,435 $11,644,461



135

Investment income

Multi-IndexLifestyleGrowth

Portfolio


ModeratePortfolio

Real EstateSecurities Fund

Science &Technology

Fund

Dividends $10,278,529 $6,071,130 $12,233,329 $1,438,792Interest 10,968 5,705 33,264 301,851Securities lending 205,557 170,236 — 61,583Income distributions received from affiliated investments 7,355,349 1,169,673 — —Less foreign taxes withheld — — — (55,929)Total investment income 17,850,403 7,416,744 12,266,593 1,746,297

Expenses

Investment management fees 1,973,084 917,984 2,816,302 2,570,829Distribution and service fees 386,072 121,982 201,164 —Accounting and legal services fees 140,779 44,420 71,917 44,270Transfer agent fees 690 126 — —Trustees’ fees 14,931 4,779 7,692 4,563Custodian fees 16,296 16,296 41,949 50,763State registration fees 4,477 4,474 — —Printing and postage 17,329 16,816 13,900 13,818Professional fees 34,492 23,887 57,771 62,424Other 22,607 13,832 28,704 22,684Total expenses 2,610,757 1,164,596 3,239,399 2,769,351Less expense reductions — — (30,159) (114,584)Net expenses 2,610,757 1,164,596 3,209,240 2,654,767Net investment income (loss) 15,239,646 6,252,148 9,057,353 (908,470)


Net realized gain (loss) onUnaffiliated investments and foreign currency transactions (1,494,872) (372,544) 20,387,808 19,963,516Affiliated investments (8,723,558) (3,022,753) — 1,509Capital gain distributions received from affiliated investments 50,113,872 7,969,286 — —

39,895,442 4,573,989 20,387,808 19,965,025Change in net unrealized appreciation (depreciation) ofUnaffiliated investments and translation of assets and liabilities in

foreign currencies 10,948,316 9,652,616 34,474,373 (10,987,830)Affiliated investments (54,172,399) (6,875,471) — (881)

(43,224,083) 2,777,145 34,474,373 (10,988,711)Net realized and unrealized gain (loss) (3,328,641) 7,351,134 54,862,181 8,976,314

Increase in net assets from operations $11,911,005 $13,603,282 $63,919,534 $8,067,844



136

Investment incomeSmall Company

Value FundStrategic EquityAllocation Fund

U.S. StrategicEquity

Allocation Fund

Dividends $2,871,024 $197,594,750 $33,259,081Interest 82,028 4,347,974 772,301Securities lending 98,244 1,240,277 87,389Less foreign taxes withheld (3,516) (9,458,495) (1,771)Total investment income 3,047,780 193,724,506 34,117,000

Expenses

Investment management fees 1,700,404 45,404,569 9,672,770Distribution and service fees 32,976 — —Accounting and legal services fees 28,436 1,312,785 276,886Trustees’ fees 4,493 141,261 30,893Custodian fees 15,817 1,254,154 169,860Printing and postage 13,881 16,268 15,007Professional fees 43,082 229,856 99,716Other 18,834 173,363 53,547Total expenses 1,857,923 48,532,256 10,318,679Less expense reductions (99,831) (9,520,908) (2,028,237)Net expenses 1,758,092 39,011,348 8,290,442Net investment income 1,289,688 154,713,158 25,826,558


Net realized gain (loss) onUnaffiliated investments and foreign currency transactions 69,395,087 105,602,571 103,491,830Affiliated investments 440 14,131 4,877Futures contracts — (6,996,287) 294,577Forward foreign currency contracts — 4,031,266 —

69,395,527 102,651,681 103,791,284Change in net unrealized appreciation (depreciation) ofUnaffiliated investments and translation of assets and liabilities in foreign currencies (99,768,000) (379,852,435) (132,997,141)Affiliated investments (2,106) (9,501) (4,428)Futures contracts — (2,085,278) (1,681,288)Forward foreign currency contracts — (1,180,872) —

(99,770,106) (383,128,086) (134,682,857)Net realized and unrealized gain (loss) (30,374,579) (280,476,405) (30,891,573)

Decrease in net assets from operations $(29,084,891) $(125,763,247) $(5,065,015)



137

Capital Appreciation FundCapital Appreciation Value

Fund Health Sciences Fund

Increase (decrease) in net assetsYear ended

8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18

From operationsNet investment income (loss) $167,684 $2,429,398 $27,273,402 $42,148,899 $(473,891) $(934,087)Net realized gain 161,879,822 325,251,056 153,187,665 151,610,447 11,280,327 17,778,722Change in net unrealized appreciation

(depreciation) (150,945,084) 101,107,960 (28,230,103) 8,478,268 (23,699,008) 47,102,203Increase (decrease) in net assets resulting

from operations 11,102,422 428,788,414 152,230,964 202,237,614 (12,892,572) 63,946,838Distributions to shareholdersFrom net investment income and net

realized gainClass 1 (94,592,357) — — — — —Class NAV (183,726,482) — (198,551,204) — (16,432,088) —

From net investment incomeClass 1 — (413,971) — — — —Class NAV — (1,309,672) — (25,903,482) — —

From net realized gainClass 1 — (122,735,798) — — — —Class NAV — (235,231,678) — (167,496,641) — (53,030,597)

Total distributions (278,318,839) (359,691,119) (198,551,204) (193,400,123) (16,432,088) (53,030,597)From fund share transactions

From fund share transactions 188,522,934 (58,038,624) (131,905,276) (103,988,750) (8,101,801) (21,862,280)Total increase (decrease) (78,693,483) 11,058,671 (178,225,516) (95,151,259) (37,426,461) (10,946,039)

Net assets

Beginning of year 1,815,507,868 1,804,449,197 1,785,263,931 1,880,415,190 309,438,917 320,384,956End of year $1,736,814,385 $1,815,507,868 $1,607,038,415 $1,785,263,931 $272,012,456 $309,438,917

Undistributed net investment income (loss) (a) $2,405,261 (a) $33,697,652 (a) $(940,104)

(a) Not applicable for August 31, 2019. The SEC eliminated the requirement to disclose undistributed net investment income in the current reporting period.

John Hancock Funds IIStatements of changes in net assets


138

International Growth StockFund

International Small CapFund

International StrategicEquity Allocation Fund


8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18

From operationsNet investment income $4,548,066 $12,209,062 $2,513,594 $7,992,967 $46,062,409 $42,620,485Net realized gain (loss) 125,840,498 26,087,754 59,491,710 68,749,166 (84,375,610) 253,981,585Change in net unrealized appreciation

(depreciation) (136,175,603) (37,439,447) (96,074,270) (53,993,167) (33,038,621) (249,661,388)Increase (decrease) in net assets resulting

from operations (5,787,039) 857,369 (34,068,966) 22,748,966 (71,351,822) 46,940,682Distributions to shareholdersFrom net investment income and net

realized gainClass 1 — — (9,482,159) — — —Class NAV (18,878,775) — (69,934,814) — (260,793,663) —

From net investment incomeClass 1 — — — (987,038) — —Class NAV — (20,790,426) — (6,306,166) — (48,834,637)

From net realized gainClass NAV — — — — — (86,313,353)


From fund share transactions (681,298,119) (36,175,182) (333,826,920) (66,075,100) 133,266,961 (128,083,063)Total decrease (705,963,933) (56,108,239) (447,312,859) (50,619,338) (198,878,524) (216,290,371)

Net assets

Beginning of year 764,611,266 820,719,505 567,080,482 617,699,820 1,832,499,112 2,048,789,483End of year $58,647,333 $764,611,266 $119,767,623 $567,080,482 $1,633,620,588 $1,832,499,112

Undistributed net investment income (loss) (a) $(1,126,957) (a) $6,754,165 (a) $29,741,067




139

International Value Fund Mid Cap Stock Fund Mid Value Fund


8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18

From operationsNet investment income (loss) $8,865,157 $21,161,441 $(7,991,067) $(6,424,896) $19,303,493 $9,989,773Net realized gain 27,995,017 46,734,684 156,022,196 253,971,622 9,688,613 70,708,813Change in net unrealized appreciation

(depreciation) (105,120,709) (62,602,688) (70,269,123) 161,566,444 (153,090,823) 85,786,428Increase (decrease) in net assets resulting

from operations (68,260,535) 5,293,437 77,762,006 409,113,170 (124,098,717) 166,485,014Distributions to shareholdersFrom net investment income and net

realized gainClass 1 (3,239,198) — (64,739,364) — — —Class NAV (19,064,587) — (185,441,862) — (101,535,887) —

From net investment incomeClass 1 — (4,629,635) — — — —Class NAV — (23,439,685) — — — (10,768,549)

From net realized gainClass 1 — — — (34,657,303) — —Class NAV — — — (110,968,976) — (65,769,230)


From fund share transactions (774,957,085) (61,261,952) 34,142,711 (168,863,357) 16,774,061 124,964,945Issued in reorganization — — 24,403,159 — — —Fund share transactions (774,957,085) (61,261,952) 58,545,870 (168,863,357) 16,774,061 124,964,945

Total increase (decrease) (865,521,405) (84,037,835) (113,873,350) 94,623,534 (208,860,543) 214,912,180

Net assets

Beginning of year 1,109,261,558 1,193,299,393 1,704,989,286 1,610,365,752 1,439,408,215 1,224,496,035End of year $243,740,153 $1,109,261,558 $1,591,115,936 $1,704,989,286 $1,230,547,672 $1,439,408,215

Undistributed net investment income (loss) (a) $16,969,042 (a) — (a) $3,835,608




140

Multi-Index LifestyleAggressive Portfolio

Multi-Index LifestyleBalanced Portfolio

Multi-Index LifestyleConservative Portfolio


8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18

From operationsNet investment income $5,230,494 $4,487,519 $20,058,873 $16,869,695 $4,493,169 $3,608,330Net realized gain 20,418,742 27,738,340 27,974,987 43,676,676 960,434 2,209,272Change in net unrealized appreciation

(depreciation) (28,066,671) 1,421,642 (17,902,425) (4,448,955) 6,190,858 (3,592,163)Increase (decrease) in net assets resulting

from operations (2,417,435) 33,647,501 30,131,435 56,097,416 11,644,461 2,225,439Distributions to shareholdersFrom net investment income and net

realized gainClass R6 (326,422) — (356,263) — (3,952) —Class 1 (31,418,938) — (61,891,267) — (6,753,201) —

From net investment incomeClass R6 — (17,845) — (58,057) — (5,566)Class 1 — (4,498,431) — (15,979,737) — (3,400,395)

From net realized gainClass R6 — (44,294) — (66,696) — (2,984)Class 1 — (11,432,597) — (19,912,911) — (1,441,009)


From fund share transactions 45,895,143 64,991,064 59,371,272 130,805,550 22,980,029 28,803,225Total increase 11,732,348 82,645,398 27,255,177 150,885,565 27,867,337 26,178,710

Net assets

Beginning of year 327,869,446 245,224,048 869,724,618 718,839,053 156,331,916 130,153,206End of year $339,601,794 $327,869,446 $896,979,795 $869,724,618 $184,199,253 $156,331,916

Undistributed net investment income (loss) (a) $172,848 (a) $1,714,945 (a) $582,803




141

Multi-Index LifestyleGrowth Portfolio

Multi-Index LifestyleModerate Portfolio Real Estate Securities Fund


8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18

From operationsNet investment income $15,239,646 $12,979,201 $6,252,148 $5,186,954 $9,057,353 $9,226,199Net realized gain 39,895,442 51,401,062 4,573,989 7,371,485 20,387,808 10,043,526Change in net unrealized appreciation

(depreciation) (43,224,083) (61,953) 2,777,145 (3,142,313) 34,474,373 4,311,769Increase in net assets resulting from

operations 11,911,005 64,318,310 13,603,282 9,416,126 63,919,534 23,581,494Distributions to shareholdersFrom net investment income and net

realized gainClass R6 (438,039) — (53,451) — — —Class 1 (63,603,024) — (13,629,279) — (16,428,402) —

From net investment incomeClass R6 — (41,542) — (23,075) — —Class 1 — (11,993,755) — (4,871,069) — (5,992,330)

From net realized gainClass R6 — (77,719) — (17,239) — —Class 1 — (22,812,765) — (3,281,187) — (25,590,309)


From fund share transactions 120,071,681 120,365,726 22,829,438 40,647,557 (34,907,359) (73,247,819)Total increase (decrease) 67,941,623 149,758,255 22,749,990 41,871,113 12,583,773 (81,248,964)

Net assets

Beginning of year 761,337,628 611,579,373 240,413,634 198,542,521 420,905,761 502,154,725End of year $829,279,251 $761,337,628 $263,163,624 $240,413,634 $433,489,534 $420,905,761

Undistributed net investment income (loss) (a) $2,779,094 (a) $762,929 (a) $3,417,381




142

Science & Technology Fund Small Company Value FundStrategic Equity Allocation

Fund


8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18Year ended

8-31-19Year ended

8-31-18

From operationsNet investment income (loss) $(908,470) $(1,300,763) $1,289,688 $914,271 $154,713,158 $125,840,749Net realized gain 19,965,025 104,166,965 69,395,527 24,544,779 102,651,681 1,228,793,928Change in net unrealized appreciation

(depreciation) (10,988,711) (26,681,571) (99,770,106) 27,175,005 (383,128,086) (447,279,548)Increase (decrease) in net assets resulting

from operations 8,067,844 76,184,631 (29,084,891) 52,634,055 (125,763,247) 907,355,129Distributions to shareholdersFrom net investment income and net

realized gainClass 1 — — (6,657,778) — — —Class NAV (77,599,763) — (18,268,271)1 — (1,038,737,526) —

From net investment incomeClass 1 — — — (228,734) — —Class NAV — — — (645,291) — (135,027,969)

From net realized gainClass 1 — — — (8,942,989) — —Class NAV — (190,090,318) — (21,735,059) — (979,359,364)

Total distributions (77,599,763) (190,090,318) (24,926,049) (31,552,073) (1,038,737,526) (1,114,387,333)From fund share transactions

From fund share transactions 101,198,431 10,937,127 (186,247,519) 23,806,626 803,092,859 260,826,547Total increase (decrease) 31,666,512 (102,968,560) (240,258,459) 44,888,608 (361,407,914) 53,794,343

Net assets

Beginning of year 252,370,087 355,338,647 296,622,588 251,733,980 7,690,239,247 7,636,444,904End of year $284,036,599 $252,370,087 $56,364,129 $296,622,588 $7,328,831,333 $7,690,239,247

Undistributed net investment income (loss) (a) $(18,339) (a) $279,967 (a) $83,064,081

(a) Not applicable for August 31, 2019. The SEC eliminated the requirement to disclose undistributed net investment income in the current reporting period.1 Class NAV shares were liquidated on March 13, 2019.

U.S. Strategic EquityAllocation Fund


8-31-19Year ended

8-31-18

From operationsNet investment income $25,826,558 $23,637,552Net realized gain 103,791,284 321,382,527Change in net unrealized appreciation (depreciation) (134,682,857) 6,960,111Increase (decrease) in net assets resulting from operations (5,065,015) 351,980,190Distributions to shareholdersFrom net investment income and net realized gain

Class NAV (347,530,083) —From net investment income

Class NAV — (25,755,420)From net realized gain

Class NAV — (87,315,949)Total distributions (347,530,083) (113,071,369)From fund share transactions

From fund share transactions 135,353,560 (479,911,077)Total decrease (217,241,538) (241,002,256)

Net assets

Beginning of year 1,714,196,227 1,955,198,483End of year $1,496,954,689 $1,714,196,227

Undistributed net investment income (loss) (a) $14,725,890




143

Per share operating performance for a share outstanding throughout each period Ratios and supplemental data

Income (loss) frominvestment operations Less distributions Ratios to average net assets

Period ended

Net assetvalue,

beginningof period ($)

Netinvestment

income(loss) ($)1

Net real-ized and

unrealizedgain (loss)on invest-ments ($)

Total frominvestmentoperations

($)

From netinvestmentincome ($)

From netrealizedgain ($)

Totaldistribu-tions ($)

Net assetvalue,

end ofperiod ($)

Totalreturn

(%)2

Expensesbefore

reductions(%)

Expensesincluding

reductions(%)

Netinvest-ment

income(loss) (%)

Netassets,end ofperiod

(in millions)

Portfolioturnover

(%)

Capital Appreciation FundClass 1

08-31-2019 18.80 —3 (0.46) (0.46) (0.02 ) (2.66) (2.68) 15.66 0.84 0.80 0.79 (0.03) 584 5008-31-2018 18.56 0.02 4.25 4.27 (0.01 ) (4.02) (4.03) 18.80 26.71 0.79 0.78 0.11 687 3908-31-2017 16.60 0.01 3.89 3.90 (0.01 ) (1.93) (1.94) 18.56 26.53 0.79 0.78 0.07 582 4508-31-2016 18.12 0.01 0.83 0.84 —3 (2.36) (2.36) 16.60 4.41 0.79 0.78 0.05 551 3208-31-2015 18.30 —3 1.22 1.22 — (1.40) (1.40) 18.12 7.01 0.78 0.77 0.01 588 33

Class NAV

08-31-2019 18.85 —3 (0.45) (0.45) (0.03 ) (2.66) (2.69) 15.71 0.89 0.75 0.74 0.03 1,153 5008-31-2018 18.60 0.03 4.26 4.29 (0.02 ) (4.02) (4.04) 18.85 26.76 0.74 0.73 0.15 1,128 3908-31-2017 16.63 0.02 3.90 3.92 (0.02 ) (1.93) (1.95) 18.60 26.62 0.74 0.73 0.11 1,222 4508-31-2016 18.15 0.02 0.83 0.85 (0.01 ) (2.36) (2.37) 16.63 4.45 0.74 0.73 0.10 1,413 3208-31-2015 18.32 0.01 1.22 1.23 — (1.40) (1.40) 18.15 7.06 0.73 0.72 0.06 1,519 331. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Less than $0.005 pershare.

Capital Appreciation Value FundClass NAV

08-31-2019 12.27 0.19 0.76 0.95 (0.33 ) (1.14) (1.47) 11.75 10.07 0.85 0.81 1.66 1,607 6308-31-2018 12.26 0.27 1.06 1.33 (0.18 ) (1.14) (1.32) 12.27 11.61 0.85 0.81 2.28 1,785 7808-31-2017 11.62 0.18 1.06 1.24 (0.20 ) (0.40) (0.60) 12.26 11.26 0.85 0.81 1.51 1,880 6108-31-2016 11.86 0.16 1.03 1.19 (0.18 ) (1.25) (1.43) 11.62 10.94 0.85 0.81 1.39 2,101 6408-31-2015 12.70 0.14 0.59 0.73 (0.17 ) (1.40) (1.57) 11.86 5.90 0.84 0.80 1.22 2,000 901. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods.

Health Sciences FundClass NAV

08-31-2019 5.10 (0.01 ) (0.28) (0.29) — (0.28) (0.28) 4.53 (4.87) 1.11 1.05 (0.17) 272 4208-31-2018 5.01 (0.01 ) 0.95 0.94 — (0.85) (0.85) 5.10 22.04 1.10 1.04 (0.30) 309 4608-31-2017 5.59 (0.01 ) 0.74 0.73 — (1.31) (1.31) 5.01 18.48 1.14 1.07 (0.27) 320 13108-31-2016 18.69 (0.03 ) (0.64) (0.67) (0.02 ) (12.41) (12.43) 5.59 (8.77) 1.10 1.04 (0.32) 216 4608-31-2015 20.26 0.01 4.41 4.42 — (5.99) (5.99) 18.69 26.42 0.99 0.94 0.06 368 441. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods.

International Growth Stock FundClass NAV

08-31-2019 13.45 0.15 0.46 0.61 (0.21 ) (0.24) (0.45) 13.61 5.16 0.90 0.89 1.17 59 3108-31-2018 13.83 0.21 (0.23) (0.02) (0.36 ) — (0.36) 13.45 (0.17) 0.86 0.85 1.51 765 4108-31-2017 12.53 0.19 1.29 1.48 (0.18 ) — (0.18) 13.83 12.02 0.85 0.84 1.50 821 3708-31-2016 12.31 0.19 0.40 0.59 (0.16 ) (0.21) (0.37) 12.53 4.80 0.85 0.85 1.59 780 2308-31-2015 14.25 0.20 (1.51) (1.31) (0.25 ) (0.38) (0.63) 12.31 (9.39) 0.88 0.87 1.49 751 221. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods.

International Small Cap FundClass 1

08-31-2019 21.69 0.21 (2.20) (1.99) (0.31 ) (2.65) (2.96) 16.74 (7.94) 1.14 1.13 1.23 57 5808-31-2018 21.25 0.29 0.40 0.69 (0.25 ) — (0.25) 21.69 3.24 1.09 1.08 1.28 75 3008-31-2017 17.74 0.25 3.53 3.78 (0.27 ) — (0.27) 21.25 21.75 1.10 1.09 1.36 88 2008-31-2016 18.03 0.24 (0.36) (0.12) (0.17 ) — (0.17) 17.74 (0.69) 1.063 1.053 1.30 78 4208-31-2015 19.47 0.21 (1.55) (1.34) (0.10 ) — (0.10) 18.03 (6.89) 1.09 1.09 1.14 98 29

Class NAV

08-31-2019 21.68 0.12 (2.10) (1.98) (0.32 ) (2.65) (2.97) 16.73 (7.89) 1.09 1.08 0.65 63 5808-31-2018 21.25 0.30 0.39 0.69 (0.26 ) — (0.26) 21.68 3.23 1.04 1.03 1.31 492 3008-31-2017 17.74 0.26 3.53 3.79 (0.28 ) — (0.28) 21.25 21.82 1.05 1.04 1.39 530 2008-31-2016 18.03 0.25 (0.36) (0.11) (0.18 ) — (0.18) 17.74 (0.64) 1.013 1.003 1.39 536 4208-31-2015 19.46 0.23 (1.55) (1.32) (0.11 ) — (0.11) 18.03 (6.79) 1.04 1.04 1.24 696 291. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Includes reimbursementfor overbilling of custody expenses in prior years of 0.01%.

John Hancock Funds IIFinancial highlights


144



Period ended

Net assetvalue,


Netinvestment

income(loss) ($)1

Net real-ized and



($)




Net assetvalue,

end ofperiod ($)

Totalreturn

(%)2

Expensesbefore

reductions(%)

Expensesincluding

reductions(%)

Netinvest-ment

income(loss) (%)


(in millions)

Portfolioturnover

(%)

International Strategic Equity Allocation FundClass NAV

08-31-2019 11.21 0.26 (0.85) (0.59) (0.26) (1.35) (1.61) 9.01 (3.97 ) 0.69 0.56 2.74 1,634 5708-31-2018 11.78 0.25 (0.01) 0.24 (0.29) (0.52) (0.81) 11.21 1.81 0.68 0.55 2.15 1,832 9408-31-20173 10.00 0.23 1.59 1.82 (0.03) (0.01) (0.04) 11.78 18.264 0.695 0.565 2.435 2,049 1121. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Period from 10-17-16(commencement of operations) to 8-31-17. 4. Not annualized. 5. Annualized.

International Value FundClass 1

08-31-2019 16.45 0.35 (2.44) (2.09) (0.33) — (0.33) 14.03 (12.73 ) 0.93 0.92 2.32 126 3608-31-2018 16.82 0.29 (0.27) 0.02 (0.39) — (0.39) 16.45 0.06 0.91 0.90 1.72 169 2908-31-2017 14.80 0.29 2.09 2.38 (0.36) — (0.36) 16.82 16.35 0.91 0.90 1.85 206 3108-31-2016 14.53 0.29 0.25 0.54 (0.27) — (0.27) 14.80 3.86 0.90 0.90 2.06 186 2408-31-2015 18.11 0.26 (3.42) (3.16) (0.42) — (0.42) 14.53 (17.54 ) 0.93 0.92 1.62 205 32

Class NAV

08-31-2019 16.41 0.17 (2.25) (2.08) (0.34) — (0.34) 13.99 (12.71 ) 0.88 0.87 1.11 118 3608-31-2018 16.77 0.31 (0.27) 0.04 (0.40) — (0.40) 16.41 0.17 0.86 0.85 1.81 940 2908-31-2017 14.76 0.29 2.08 2.37 (0.36) — (0.36) 16.77 16.38 0.86 0.85 1.85 987 3108-31-2016 14.49 0.28 0.27 0.55 (0.28) — (0.28) 14.76 3.93 0.85 0.85 2.06 1,347 2408-31-2015 18.07 0.27 (3.42) (3.15) (0.43) — (0.43) 14.49 (17.55 ) 0.88 0.87 1.69 1,569 321. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods.

Mid Cap Stock FundClass 1

08-31-2019 25.90 (0.12) 0.28 0.16 — (3.82) (3.82) 22.24 5.71 0.92 0.92 (0.54 ) 438 613

08-31-2018 22.14 (0.10) 6.01 5.91 — (2.15) (2.15) 25.90 28.68 0.92 0.91 (0.44 ) 447 6708-31-2017 18.86 (0.03) 3.40 3.37 — (0.09) (0.09) 22.14 17.86 0.92 0.91 (0.16 ) 365 8908-31-2016 20.57 (0.04) 0.61 0.57 — (2.28) (2.28) 18.86 3.02 0.92 0.91 (0.23 ) 340 7908-31-2015 22.57 (0.06) 1.03 0.97 — (2.97) (2.97) 20.57 4.81 0.91 0.91 (0.29 ) 366 79

Class NAV

08-31-2019 26.16 (0.11) 0.29 0.18 — (3.82) (3.82) 22.52 5.74 0.87 0.87 (0.49 ) 1,153 613

08-31-2018 22.33 (0.09) 6.07 5.98 — (2.15) (2.15) 26.16 28.75 0.87 0.86 (0.39 ) 1,258 6708-31-2017 19.01 (0.02) 3.43 3.41 — (0.09) (0.09) 22.33 17.99 0.87 0.86 (0.12 ) 1,245 8908-31-2016 20.71 (0.03) 0.61 0.58 — (2.28) (2.28) 19.01 3.06 0.87 0.86 (0.18 ) 1,147 7908-31-2015 22.69 (0.05) 1.04 0.99 — (2.97) (2.97) 20.71 4.83 0.86 0.86 (0.24 ) 1,195 791. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Excludes merger activity.

Mid Value FundClass NAV

08-31-2019 17.08 0.22 (1.81) (1.59) (0.15) (1.07) (1.22) 14.27 (8.82 ) 0.99 0.94 1.48 1,231 4208-31-2018 16.00 0.12 1.90 2.02 (0.13) (0.81) (0.94) 17.08 12.96 0.99 0.94 0.72 1,439 3908-31-2017 15.88 0.16 1.52 1.68 (0.14) (1.42) (1.56) 16.00 10.83 0.99 0.94 0.98 1,224 5508-31-2016 15.45 0.17 1.94 2.11 (0.20) (1.48) (1.68) 15.88 15.18 0.99 0.93 1.17 922 5608-31-2015 18.20 0.15 (0.72) (0.57) (0.14) (2.04) (2.18) 15.45 (3.55 ) 1.03 0.97 0.88 957 471. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods.



145



Period ended

Net assetvalue,


Netinvestment

income(loss) ($)1

Net real-ized and



($)




Net assetvalue,

end ofperiod ($)

Totalreturn

(%)2

Expensesbefore

reductions(%)

Expensesincluding

reductions(%)

Netinvest-ment

income(loss) (%)


(in millions)

Portfolioturnover

(%)

Multi-Index Lifestyle Aggressive PortfolioClass R6

08-31-2019 13.12 0.193 (0.50) (0.31) (0.20) (1.04) (1.24) 11.57 (0.88) 0.254 0.254 1.623 4 1408-31-2018 12.31 0.123 1.42 1.54 (0.21) (0.52) (0.73) 13.12 12.73 0.264 0.254 0.933 4 1508-31-2017 10.94 0.183 1.54 1.72 (0.19) (0.16) (0.35) 12.31 16.07 0.274 0.254 1.573 —5 1308-31-2016 10.19 0.163 0.78 0.94 (0.15) (0.04) (0.19) 10.94 9.34 0.324 0.264 1.443 —5 1408-31-2015 10.77 0.213 (0.63) (0.42) (0.14) (0.02) (0.16) 10.19 (3.97) 0.594 0.284 1.933 —5 14

Class 1

08-31-2019 13.12 0.193 (0.51) (0.32) (0.20) (1.04) (1.24) 11.56 (1.01) 0.294 0.294 1.613 336 1408-31-2018 12.31 0.193 1.34 1.53 (0.20) (0.52) (0.72) 13.12 12.69 0.294 0.294 1.523 324 1508-31-2017 10.94 0.163 1.55 1.71 (0.18) (0.16) (0.34) 12.31 16.04 0.314 0.294 1.373 245 1308-31-2016 10.19 0.133 0.81 0.94 (0.15) (0.04) (0.19) 10.94 9.30 0.354 0.294 1.423 105 1408-31-2015 10.77 0.103 (0.51) (0.41) (0.15) (0.02) (0.17) 10.19 (3.93) 0.574 0.304 0.973 45 141. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Net investment income isaffected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 4. Ratios do not include expenses indirectly incurred fromunderlying funds and can vary based on the mix of underlying funds held by the portfolio. 5. Less than $500,000.

Multi-Index Lifestyle Balanced PortfolioClass R6

08-31-2019 11.79 0.263 0.03 0.29 (0.26) (0.56) (0.82) 11.26 3.26 0.364 0.364 2.323 6 2108-31-2018 11.48 0.213 0.63 0.84 (0.24) (0.29) (0.53) 11.79 7.38 0.364 0.364 1.863 5 1708-31-2017 10.78 0.233 0.80 1.03 (0.23) (0.10) (0.33) 11.48 9.79 0.364 0.364 2.143 —5 2208-31-2016 10.17 0.263 0.59 0.85 (0.22) (0.02) (0.24) 10.78 8.49 0.374 0.374 2.383 —5 1108-31-2015 10.64 0.213 (0.49) (0.28) (0.18) (0.01) (0.19) 10.17 (2.69) 0.574 0.404 2.023 —5 18

Class 1

08-31-2019 11.78 0.253 0.05 0.30 (0.26) (0.56) (0.82) 11.26 3.31 0.404 0.404 2.303 891 2108-31-2018 11.48 0.243 0.58 0.82 (0.23) (0.29) (0.52) 11.78 7.25 0.404 0.404 2.063 865 1708-31-2017 10.78 0.213 0.81 1.02 (0.22) (0.10) (0.32) 11.48 9.75 0.404 0.404 1.903 719 2208-31-2016 10.17 0.203 0.64 0.84 (0.21) (0.02) (0.23) 10.78 8.44 0.414 0.414 2.093 350 1108-31-2015 10.64 0.173 (0.45) (0.28) (0.18) (0.01) (0.19) 10.17 (2.67) 0.504 0.414 1.583 141 181. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Net investment income isaffected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 4. Ratios do not include expenses indirectly incurred fromunderlying funds and can vary based on the mix of underlying funds held by the portfolio. 5. Less than $500,000.

Multi-Index Lifestyle Conservative PortfolioClass R6

08-31-2019 10.57 0.243 0.47 0.71 (0.28) (0.16) (0.44) 10.84 7.09 0.514 0.504 2.353 —5 2108-31-2018 10.75 0.283 (0.11) 0.17 (0.25) (0.10) (0.35) 10.57 1.61 0.534 0.504 2.623 —5 2408-31-2017 10.65 0.243 0.17 0.41 (0.24) (0.07) (0.31) 10.75 3.95 0.554 0.504 2.323 —5 3608-31-2016 10.13 0.303 0.47 0.77 (0.24) (0.01) (0.25) 10.65 7.71 0.604 0.504 2.723 —5 2108-31-2015 10.49 0.223 (0.38) (0.16) (0.19) (0.01) (0.20) 10.13 (1.57) 1.084 0.524 2.123 —5 18

Class 1

08-31-2019 10.56 0.283 0.43 0.71 (0.28) (0.16) (0.44) 10.83 7.05 0.554 0.544 2.733 184 2108-31-2018 10.74 0.253 (0.09) 0.16 (0.24) (0.10) (0.34) 10.56 1.57 0.574 0.544 2.413 156 2408-31-2017 10.65 0.233 0.16 0.39 (0.23) (0.07) (0.30) 10.74 3.82 0.594 0.544 2.193 130 3608-31-2016 10.13 0.223 0.54 0.76 (0.23) (0.01) (0.24) 10.65 7.68 0.634 0.534 2.433 74 2108-31-2015 10.49 0.223 (0.38) (0.16) (0.19) (0.01) (0.20) 10.13 (1.56) 1.074 0.534 2.123 29 181. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Net investment income isaffected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 4. Ratios do not include expenses indirectly incurred fromunderlying funds and can vary based on the mix of underlying funds held by the portfolio. 5. Less than $500,000.



146



Period ended

Net assetvalue,


Netinvestment

income(loss) ($)1

Net real-ized and



($)




Net assetvalue,

end ofperiod ($)

Totalreturn

(%)2

Expensesbefore

reductions(%)

Expensesincluding

reductions(%)

Netinvest-ment

income(loss) (%)


(in millions)

Portfolioturnover

(%)

Multi-Index Lifestyle Growth PortfolioClass R6

08-31-2019 12.56 0.233 (0.21) 0.02 (0.23) (0.79) (1.02) 11.56 1.30 0.304 0.304 1.993 6 1308-31-2018 12.02 0.173 1.00 1.17 (0.22) (0.41) (0.63) 12.56 9.85 0.304 0.304 1.443 5 1608-31-2017 10.97 0.223 1.15 1.37 (0.20) (0.12) (0.32) 12.02 12.82 0.314 0.314 1.903 1 1508-31-2016 10.25 0.223 0.69 0.91 (0.16) (0.03) (0.19) 10.97 8.95 0.324 0.324 2.013 1 1108-31-2015 10.71 0.093 (0.41) (0.32) (0.13) (0.01) (0.14) 10.25 (3.04) 0.444 0.324 0.843 1 11

Class 1

08-31-2019 12.54 0.223 (0.20) 0.02 (0.23) (0.79) (1.02) 11.54 1.27 0.344 0.344 1.963 823 1308-31-2018 12.01 0.223 0.93 1.15 (0.21) (0.41) (0.62) 12.54 9.75 0.344 0.344 1.833 756 1608-31-2017 10.96 0.193 1.18 1.37 (0.20) (0.12) (0.32) 12.01 12.78 0.344 0.344 1.673 611 1508-31-2016 10.24 0.163 0.75 0.91 (0.16) (0.03) (0.19) 10.96 8.92 0.364 0.354 1.713 277 1108-31-2015 10.71 0.133 (0.45) (0.32) (0.14) (0.01) (0.15) 10.24 (3.05) 0.464 0.354 1.193 116 111. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Net investment income isaffected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 4. Ratios do not include expenses indirectly incurred fromunderlying funds and can vary based on the mix of underlying funds held by the portfolio.

Multi-Index Lifestyle Moderate PortfolioClass R6

08-31-2019 11.15 0.283 0.28 0.56 (0.29) (0.34) (0.63) 11.08 5.58 0.444 0.444 2.563 1 2108-31-2018 11.08 0.263 0.21 0.47 (0.24) (0.16) (0.40) 11.15 4.37 0.454 0.444 2.373 1 2008-31-2017 10.67 0.253 0.45 0.70 (0.23) (0.06) (0.29) 11.08 6.75 0.474 0.444 2.303 1 2408-31-2016 10.12 0.263 0.55 0.81 (0.24) (0.02) (0.26) 10.67 8.17 0.514 0.444 2.533 1 1508-31-2015 10.55 0.223 (0.45) (0.23) (0.19) (0.01) (0.20) 10.12 (2.25) 0.884 0.454 2.143 1 16

Class 1

08-31-2019 11.14 0.273 0.29 0.56 (0.28) (0.34) (0.62) 11.08 5.64 0.484 0.484 2.553 262 2108-31-2018 11.07 0.253 0.22 0.47 (0.24) (0.16) (0.40) 11.14 4.34 0.494 0.484 2.283 239 2008-31-2017 10.67 0.233 0.46 0.69 (0.23) (0.06) (0.29) 11.07 6.61 0.504 0.474 2.103 198 2408-31-2016 10.12 0.223 0.59 0.81 (0.24) (0.02) (0.26) 10.67 8.13 0.554 0.474 2.373 88 1508-31-2015 10.54 0.213 (0.43) (0.22) (0.19) (0.01) (0.20) 10.12 (2.15) 0.814 0.474 1.993 43 161. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Net investment income isaffected by the timing and frequency of the declaration of dividends by the underlying funds in which the portfolio invests. 4. Ratios do not include expenses indirectly incurred fromunderlying funds and can vary based on the mix of underlying funds held by the portfolio.

Real Estate Securities FundClass 1

08-31-2019 12.97 0.29 1.82 2.11 (0.26) (0.27) (0.53) 14.55 17.35 0.81 0.80 2.25 433 13208-31-2018 13.12 0.26 0.49 0.75 (0.17) (0.73) (0.90) 12.97 6.20 0.81 0.80 2.11 421 15808-31-2017 14.95 0.28 (0.52) (0.24) (0.50) (1.09) (1.59) 13.12 (0.86) 0.79 0.79 2.09 502 15908-31-2016 13.39 0.453 2.79 3.24 (0.27) (1.41) (1.68) 14.95 25.93 0.79 0.78 3.203 665 14108-31-2015 14.68 0.23 (0.15) 0.08 (0.25) (1.12) (1.37) 13.39 (0.30) 0.79 0.78 1.57 521 1691. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Net investment income(loss) per share and ratio of net investment income (loss) to average net assets reflect a special dividend received by the fund, which amounted to $0.12 and 0.88%, respectively.

Science & Technology FundClass NAV

08-31-2019 5.99 (0.01 ) (0.32) (0.33) — (1.79) (1.79) 3.87 3.19 1.10 1.06 (0.36 ) 284 11008-31-2018 13.85 (0.03 ) 2.33 2.30 — (10.16) (10.16) 5.99 30.59 1.10 1.05 (0.47 ) 252 10808-31-2017 11.75 (0.02 ) 3.17 3.15 (0.02) (1.03) (1.05) 13.85 29.39 1.07 1.03 (0.13 ) 355 9308-31-2016 12.56 0.02 2.03 2.05 — (2.86) (2.86) 11.75 18.08 1.07 1.02 0.18 766 9808-31-2015 14.54 (0.04 ) 0.06 0.02 — (2.00) (2.00) 12.56 (0.23) 1.05 1.01 (0.29 ) 829 1131. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods.

Small Company Value FundClass 1

08-31-2019 31.31 0.09 (3.68) (3.59) (0.17) (2.57) (2.74) 24.98 (10.16) 1.18 1.11 0.37 56 2508-31-2018 29.04 0.09 5.65 5.74 (0.09) (3.38) (3.47) 31.31 20.90 1.15 1.09 0.29 80 3108-31-2017 28.49 0.13 4.01 4.14 (0.23) (3.36) (3.59) 29.04 14.65 1.15 1.09 0.44 81 2208-31-2016 32.83 0.23 3.68 3.91 (0.30) (7.95) (8.25) 28.49 15.69 1.14 1.08 0.82 84 2908-31-2015 37.30 0.30 (1.53) (1.23) (0.23) (3.01) (3.24) 32.83 (3.69) 1.13 1.07 0.87 85 311. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods.



147



Period ended

Net assetvalue,


Netinvestment

income(loss) ($)1

Net real-ized and



($)




Net assetvalue,

end ofperiod ($)

Totalreturn

(%)2

Expensesbefore

reductions(%)

Expensesincluding

reductions(%)

Netinvest-ment

income(loss) (%)


(in millions)

Portfolioturnover

(%)

Strategic Equity Allocation FundClass NAV

08-31-2019 13.46 0.24 (0.75) (0.51) (0.23) (1.58) (1.81) 11.14 (1.78 ) 0.67 0.54 2.12 7,329 8008-31-2018 13.99 0.22 1.42 1.64 (0.26) (1.91) (2.17) 13.46 12.48 0.66 0.54 1.64 7,690 11508-31-2017 13.14 0.24 1.85 2.09 (0.24) (1.00) (1.24) 13.99 17.12 0.66 0.53 1.78 7,636 6708-31-2016 12.88 0.23 0.79 1.02 (0.21) (0.55) (0.76) 13.14 8.25 0.67 0.53 1.83 7,139 4708-31-2015 13.96 0.23 (0.72) (0.49) (0.24) (0.35) (0.59) 12.88 (3.71 ) 0.66 0.53 1.67 6,118 321. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods.

U.S. Strategic Equity Allocation FundClass NAV

08-31-2019 13.13 0.17 (0.72) (0.55) (0.19) (2.53) (2.72) 9.86 (0.34 ) 0.66 0.53 1.66 1,497 9208-31-2018 11.57 0.15 2.14 2.29 (0.17) (0.56) (0.73) 13.13 20.43 0.66 0.53 1.26 1,714 12808-31-20173 10.00 0.15 1.46 1.61 (0.04) — (0.04) 11.57 16.084 0.665 0.535 1.455 1,955 1191. Based on average daily shares outstanding. 2. Total returns would have been lower had certain expenses not been reduced during the applicable periods. 3. Period from 9-26-16(commencement of operations) to 8-31-17. 4. Not annualized. 5. Annualized.



148

1. Organization

John Hancock Funds II (the Trust) is an open-end management investment company organized as a Massachusetts business trust. The Trust is registeredunder the Investment Company Act of 1940, as amended (the 1940 Act). It is a series company with multiple investment series (the funds), nineteen ofwhich are presented in this report.

Multi-Index Lifestyle Aggressive Portfolio, Multi-Index Lifestyle Balanced Portfolio, Multi-Index Lifestyle Conservative Portfolio, Multi-Index LifestyleGrowth Portfolio and Multi-Index Lifestyle Moderate Portfolio (collectively, the Multi-Index Lifestyle Portfolios) operate as “funds of funds,” investing inshares of mutual funds (underlying funds). The accounting policies of the John Hancock underlying funds in which the funds invest are outlined in theunderlying funds’ shareholder reports, which include the underlying funds’ financial statements, available without charge by calling 800-344-1029 orvisiting jhinvestments.com, or on the Securities and Exchange Commission (SEC) website at sec.gov.

The funds may offer multiple classes of shares. The shares currently offered by a specific fund are detailed in the Statements of assets and liabilities.Class R6 shares are only available to certain retirement plans, institutions and other investors. Class 1 shares are offered only to certain affiliates of ManulifeFinancial Corporation. Class NAV shares are offered to John Hancock affiliated funds of funds, retirement plans for employees of John Hancock and/orManulife Financial Corporation, and certain 529 plans. Shareholders of each class have exclusive voting rights to matters that affect that class. Thedistribution and service fees, if any, and transfer agent fees for each class may differ.

Effective September 20, 2019, U.S. Strategic Equity Allocation Fund changed its name to U.S. Sector Rotation Fund.

2. Significant accounting policies

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP),which require management to make certain estimates and assumptions as of the date of the financial statements. Actual results could differ from thoseestimates and those differences could be significant. The funds qualify as investment companies under Topic 946 of Accounting Standards Codification ofUS GAAP.

Events or transactions occurring after the end of the fiscal period through the date that the financial statements were issued have been evaluated in thepreparation of the financial statements. The following summarizes the significant accounting policies of the funds:

Security valuation. Investments are stated at value as of the scheduled close of regular trading on the New York Stock Exchange (NYSE), normally at 4:00P.M., Eastern Time. In case of emergency or other disruption resulting in the NYSE not opening for trading or the NYSE closing at a time other than theregularly scheduled close, the net asset value (NAV) may be determined as of the regularly scheduled close of the NYSE pursuant to the funds’ ValuationPolicies and Procedures.

In order to value the securities, the funds use the following valuation techniques: Equity securities, including exchange-traded or closed-end funds, aretypically valued at the last sale price or official closing price on the exchange or principal market where the security trades. In the event there were no salesduring the day or closing prices are not available, the securities are valued using the last available bid price. Investments in open-end mutual funds,including John Hancock Collateral Trust (JHCT), are valued at their respective NAVs each business day. Debt obligations typically are valued based on theevaluated prices provided by an independent pricing vendor. Independent pricing vendors utilize matrix pricing which takes into account factors such asinstitutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, aswell as broker supplied prices. Options listed on an exchange are valued at the mid-price of the last quoted bid and ask prices from the primary exchangewhere the option trades. Unlisted options are generally valued using evaluated prices obtained from an independent pricing vendor. Futures contracts aretypically valued at the last traded price on the exchange on which they trade. Foreign equity index futures that trade in the electronic trading marketsubsequent to the close of regular trading may be valued at the last traded price in the electronic trading market as of 4:00 p.m. ET, or may be fair valuedbased on fair value adjustment factors provided by an independent pricing vendor in order to adjust for events that may occur between the close of foreignexchanges or markets and the close of the NYSE. Forward foreign currency contracts are valued at the prevailing forward rates which are based on foreigncurrency exchange spot rates and forward points supplied by an independent pricing vendor. Foreign securities and currencies are valued in U.S. dollarsbased on foreign currency exchange rates supplied by an independent pricing vendor.

In certain instances, the Pricing Committee may determine to value equity securities using prices obtained from another exchange or market if trading onthe exchange or market on which prices are typically obtained did not open for trading as scheduled, or if trading closed earlier than scheduled, andtrading occurred as normal on another exchange or market.

Other portfolio securities and assets, for which reliable market quotations are not readily available, are valued at fair value as determined in good faith bythe funds’ Pricing Committee following procedures established by the Board of Trustees. The frequency with which these fair valuation procedures are usedcannot be predicted and fair value of securities may differ significantly from the value that would have been used had a ready market for such securitiesexisted. Trading in foreign securities may be completed before the scheduled daily close of trading on the NYSE. Significant events at the issuer or marketlevel 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 asignificant event occurs, these securities may be fair valued, as determined in good faith by the funds’ Pricing Committee, following procedures establishedby the Board of Trustees. The funds use fair value adjustment factors provided by an independent pricing vendor to value certain foreign securities in orderto adjust for events that may occur between the close of foreign exchanges or markets and the close of the NYSE.

The funds use a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1includes securities valued using quoted prices in active markets for identical securities, including registered investment companies. Level 2 includessecurities valued using other significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepaymentspeeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on anevaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available orreliable, including the funds’ own assumptions in determining the fair value of investments. Factors used in determining value may include market orissuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily anindication of the risks associated with investing in those securities. Changes in valuation techniques and related inputs may result in transfers into or out ofan assigned level within the disclosure hierarchy.

John Hancock Funds IINotes to financial statements

149

The following is a summary of the values by input classification of the funds’ investments as of August 31, 2019, by major securitycategory or type:

Totalvalue at8-31-19

Level 1quoted

price

Level 2significantobservable

inputs

Level 3significant

unobservableinputs

Capital Appreciation Fund

Investments in securities:

AssetsCommon stocks

Communication services $258,970,543 $231,012,770 $27,957,773 —Consumer discretionary 333,167,796 300,331,204 32,836,592 —Consumer staples 86,265,265 86,265,265 — —Financials 38,083,627 38,083,627 — —Health care 188,272,281 188,272,281 — —Industrials 113,195,613 73,360,047 39,835,566 —Information technology 672,805,834 650,033,849 22,771,985 —Real estate 29,344,750 29,344,750 — —

Securities lending collateral 25,457,039 25,457,039 — —Short-term investments 255,622 255,622 — —

Total investments in securities $1,745,818,370 $1,622,416,454 $123,401,916 —

Capital Appreciation Value Fund


AssetsCommon stocks

Communication services $58,744,493 $58,744,493 — —Consumer discretionary 84,024,544 84,024,544 — —Consumer staples 7,843,737 7,843,737 — —Energy 3,942,785 3,942,785 — —Financials 108,098,672 108,098,672 — —Health care 213,024,374 189,127,847 $23,896,527 —Industrials 125,635,133 125,635,133 — —Information technology 273,127,548 273,127,548 — —Materials 2,765,498 2,765,498 — —Real estate 10,450,626 10,450,626 — —Utilities 115,517,079 115,517,079 — —

Preferred securitiesFinancials 30,702,678 30,702,678 — —Health care 27,189,094 27,189,094 — —Industrials 3,796,472 — 3,796,472 —Utilities 37,504,353 37,504,353 — —

Corporate bonds 314,263,866 — 314,263,866 —Term loans 76,770,917 — 76,770,917 —Short-term investments 137,371,699 137,371,699 — —


Derivatives:

LiabilitiesWritten options $(18,104,429) — $(18,104,429) —

Health Sciences Fund


AssetsCommon stocks

Consumer discretionary $283,034 — — $283,034Health care 266,040,161 $248,929,820 $16,647,538 462,803Industrials 567,146 567,146 — —

Preferred securitiesConsumer discretionary 632,006 — — 632,006Health care 1,601,497 653,533 947,964 —

150


Level 1quoted

price


inputs

Level 3significant

unobservableinputs

Health Sciences Fund (continued)Information technology $367,131 — — $367,131

Short-term investments 2,224,525 $2,224,525 — —Total investments in securities $271,715,500 $252,375,024 $17,595,502 $1,744,974

International Growth Stock Fund


AssetsCommon stocks

Australia $471,471 — $471,471 —Brazil 2,425,276 $2,425,276 — —Canada 5,747,288 5,747,288 — —China 4,230,611 2,777,978 1,452,633 —Denmark 1,062,905 — 1,062,905 —France 5,456,740 — 5,456,740 —Germany 4,707,360 — 4,707,360 —Hong Kong 913,175 — 913,175 —Ireland 462,570 462,570 — —Italy 1,226,860 — 1,226,860 —Japan 5,555,063 — 5,555,063 —Mexico 1,093,671 1,093,671 — —Netherlands 2,728,236 — 2,728,236 —Singapore 817,651 — 817,651 —South Korea 1,497,902 — 1,497,902 —Spain 859,873 — 859,873 —Sweden 1,475,833 — 1,475,833 —Switzerland 3,395,193 — 3,395,193 —Taiwan 1,413,260 — 1,413,260 —Turkey 461,009 — 461,009 —United Kingdom 6,850,434 — 6,850,434 —United States 3,101,752 3,101,752 — —

Short-term investments 1,768,761 1,768,761 — —Total investments in securities $57,722,894 $17,377,296 $40,345,598 —

International Small Cap Fund


AssetsCommon stocks

Bahamas $2,588,930 $2,588,930 — —Belgium 3,477,236 — $3,477,236 —Brazil 3,041,385 3,041,385 — —Canada 6,933,974 6,933,974 — —China 4,511,481 965,386 3,546,095 —Denmark 1,348,131 — 1,348,131 —Finland 2,742,721 — 2,742,721 —France 1,077,110 — 1,077,110 —Germany 4,473,439 — 4,473,439 —Hong Kong 4,297,882 — 4,297,882 —India 1,271,571 — 1,271,571 —Indonesia 799,602 — 799,602 —Italy 4,383,015 — 4,383,015 —Japan 26,306,351 — 26,306,351 —Luxembourg 2,274,402 — 2,274,402 —Netherlands 6,479,028 — 6,479,028 —Norway 68,037 — 68,037 —Poland 513,249 — 513,249 —

151


Level 1quoted

price


inputs

Level 3significant

unobservableinputs

International Small Cap Fund (continued)Singapore $546,928 — — $546,928South Korea 1,760,940 — $1,760,940 —Spain 1,571,160 — 1,571,160 —Sweden 5,888,151 — 5,888,151 —Switzerland 4,081,770 $930,502 3,151,268 —Taiwan 7,975,706 — 7,975,706 —United Kingdom 7,893,349 — 7,893,349 —

Preferred securities 1,304,226 1,304,226 — —Exchange-traded funds 7,775,421 7,775,421 — —Securities lending collateral 5,044,710 5,044,710 — —

Total investments in securities $120,429,905 $28,584,534 $91,298,443 $546,928

International Strategic Equity Allocation Fund


AssetsCommon stocks

Australia $79,915,680 — $79,915,680 —Austria 2,731,398 — 2,731,398 —Belgium 20,250,110 — 20,250,110 —Brazil 18,172,699 $18,172,699 — —Canada 135,064,352 135,064,352 — —Chile 1,647,562 1,307,592 339,970 —China 97,463,423 31,460,090 66,000,766 $2,567Colombia 757,703 757,703 — —Czech Republic 515,053 — 515,053 —Denmark 20,004,319 — 20,004,319 —Finland 4,530,850 — 4,530,850 —France 121,085,658 — 121,085,658 —Germany 63,520,511 — 63,520,511 —Hong Kong 55,093,374 462,154 54,410,838 220,382Hungary 1,258,385 — 1,258,385 —Indonesia 4,617,104 — 4,617,104 —Ireland 10,866,795 1,034,866 9,831,929 —Isle of Man 385,611 — 385,611 —Israel 5,435,010 2,210,853 3,224,157 —Italy 13,913,971 — 13,913,971 —Japan 243,583,755 — 243,583,755 —Luxembourg 2,986,747 — 2,986,747 —Macau 1,318,382 — 1,318,382 —Malaysia 5,972,520 — 5,972,520 —Mexico 10,446,015 10,287,878 158,137 —Netherlands 75,962,089 4,340,950 71,621,139 —New Zealand 1,591,767 — 1,591,767 —Norway 7,635,004 — 7,635,004 —Peru 1,519,913 1,519,913 — —Philippines 3,858,117 — 3,857,843 274Poland 4,721,844 — 4,721,844 —Portugal 1,768,992 — 1,768,992 —Romania 250,276 — 250,276 —Russia 251,045 — 251,045 —Singapore 4,522,751 — 4,522,751 —South Africa 21,761,157 — 21,761,157 —South Korea 42,935,519 — 42,935,519 —Spain 34,022,937 — 34,022,937 —Sweden 28,319,128 — 28,319,128 —Switzerland 109,927,049 — 109,927,049 —

152


Level 1quoted

price


inputs

Level 3significant

unobservableinputs

International Strategic Equity Allocation Fund (continued)Taiwan $47,744,942 — $47,744,942 —Thailand 11,004,361 — 11,004,361 —Turkey 2,742,790 — 2,742,790 —United Arab Emirates 236,550 — 236,550 —United Kingdom 169,511,457 $1,917,645 167,593,812 —United States 1,300,166 661,853 638,313 —

Preferred securitiesBrazil 9,415,269 9,415,269 — —Chile 126,275 126,275 — —Colombia 452,567 452,567 — —Germany 4,131,558 — 4,131,558 —South Korea 2,394,840 — 2,394,840 —

Exchange-traded funds 56,857,278 56,857,278 — —Rights 12,825 3,408 9,417 —Warrants 3,521 3,521 — —Short-term investments 57,539,880 — 57,539,880 —

Total investments in securities $1,624,058,854 $276,056,866 $1,347,778,765 $223,223

Derivatives:

AssetsFutures $57,182 $57,182 — —

LiabilitiesFutures (442,406) (442,406) — —

International Value Fund


AssetsCommon stocks

Canada $13,211,665 $13,211,665 — —China 10,057,787 2,772,634 $7,285,153 —Denmark 2,562,428 — 2,562,428 —France 25,859,904 — 25,859,904 —Germany 14,557,100 — 14,557,100 —Hong Kong 12,859,481 — 12,859,481 —India 1,682,355 — 1,682,355 —Ireland 1,971,503 — 1,971,503 —Israel 2,093,115 2,093,115 — —Italy 4,934,102 — 4,934,102 —Japan 33,657,267 — 33,657,267 —Luxembourg 5,025,548 — 5,025,548 —Netherlands 21,524,603 4,259,238 17,265,365 —Norway 1,326,731 — 1,326,731 —Portugal 1,202,678 — 1,202,678 —Singapore 3,177,621 38,505 3,139,116 —South Korea 23,140,069 5,773,223 17,366,846 —Switzerland 7,826,637 — 7,826,637 —Taiwan 4,354,814 — 4,354,814 —Thailand 1,440,748 — 1,440,748 —United Kingdom 31,593,153 — 31,593,153 —

Securities lending collateral 937,826 937,826 — —Short-term investments 19,000,000 — 19,000,000 —

Total investments in securities $243,997,135 $29,086,206 $214,910,929 —

153


Level 1quoted

price


inputs

Level 3significant

unobservableinputs

Mid Cap Stock Fund


AssetsCommon stocks

Communication services $121,791,439 $110,978,797 $10,812,642 —Consumer discretionary 272,178,934 271,217,725 — $961,209Consumer staples 52,035,808 52,035,808 — —Energy 15,713,993 15,713,993 — —Financials 17,017,572 17,017,572 — —Health care 404,218,705 379,649,863 24,568,842 —Industrials 175,598,767 149,993,538 25,605,229 —Information technology 450,176,707 443,896,186 — 6,280,521

Preferred securities 56,410,566 — — 56,410,566Securities lending collateral 26,551,791 26,551,791 — —Short-term investments 33,800,000 — 33,800,000 —

Total investments in securities $1,625,494,282 $1,467,055,273 $94,786,713 $63,652,296

Mid Value Fund


AssetsCommon stocks

Communication services $48,804,117 $48,804,117 — —Consumer discretionary 42,716,123 42,716,123 — —Consumer staples 121,791,218 97,749,287 $24,041,931 —Energy 126,810,964 122,431,373 4,379,591 —Financials 209,822,359 199,440,254 10,382,105 —Health care 184,297,820 178,629,977 5,667,843 —Industrials 107,706,526 102,852,078 4,854,448 —Information technology 47,320,142 47,320,142 — —Materials 134,420,614 134,420,614 — —Real estate 79,757,283 79,757,283 — —Utilities 45,181,803 45,181,803 — —

Preferred securities 3,176,349 3,176,349 — —Securities lending collateral 10,825,459 10,825,459 — —Short-term investments 73,942,112 73,942,112 — —


Multi-Index Lifestyle Aggressive Portfolio


AssetsAffiliated investment companies $226,266,576 $226,266,576 — —Unaffiliated investment companies 113,475,816 113,475,816 — —Short-term investments 1,001 1,001 — —

Total investments in securities $339,743,393 $339,743,393 — —

Multi-Index Lifestyle Balanced Portfolio


AssetsAffiliated investment companies $343,540,970 $343,540,970 — —Unaffiliated investment companies 555,147,117 555,147,117 — —Securities lending collateral 53,581,782 53,581,782 — —Short-term investments 1,041 1,041 — —


154


Level 1quoted

price


inputs

Level 3significant

unobservableinputs

Multi-Index Lifestyle Conservative Portfolio




Multi-Index Lifestyle Growth Portfolio




Multi-Index Lifestyle Moderate Portfolio




Real Estate Securities Fund


AssetsCommon stocks $432,291,643 $432,291,643 — —Short-term investments 3,632,781 3,632,781 — —


Science & Technology Fund


AssetsCommon stocks

Communication services $56,602,789 $49,318,251 $7,284,538 —Consumer discretionary 42,173,147 34,164,480 8,008,667 —Health care 3,126,187 3,126,187 — —Industrials 1,009,469 1,009,469 — —Information technology 156,970,647 146,719,354 10,251,293 —Materials 567,895 567,895 — —

Preferred securities 2,621,458 — — $2,621,458Exchange-traded funds 3,534,956 3,534,956 — —Securities lending collateral 9,739,733 9,739,733 — —Short-term investments 17,547,544 6,727,544 10,820,000 —

Total investments in securities $293,893,825 $254,907,869 $36,364,498 $2,621,458

155


Level 1quoted

price


inputs

Level 3significant

unobservableinputs

Small Company Value Fund


AssetsCommon stocks $55,390,841 $55,390,841 — —Securities lending collateral 5,555,811 5,555,811 — —Short-term investments 999,010 999,010 — —


Strategic Equity Allocation Fund


AssetsCommon stocks

Communication services $500,299,935 $333,625,054 $166,673,119 $1,762Consumer discretionary 742,031,427 495,924,435 246,106,528 464Consumer staples 606,363,802 309,957,225 296,402,463 4,114Energy 358,412,144 238,850,438 119,561,706 —Financials 1,113,854,596 652,317,890 461,154,591 382,115Health care 857,115,885 608,084,588 249,030,481 816Industrials 677,922,207 370,154,488 307,767,719 —Information technology 1,319,717,188 1,101,369,787 218,347,401 —Materials 276,480,475 109,237,044 167,242,039 1,392Real estate 264,348,803 179,948,419 84,400,384 —Utilities 240,210,156 156,837,933 83,202,411 169,812

Preferred securitiesCommunication services 786,618 786,618 — —Consumer discretionary 5,725,487 432,070 5,293,417 —Consumer staples 2,726,137 494,992 2,231,145 —Energy 3,391,377 3,391,377 — —Financials 11,972,842 11,972,842 — —Health care 785,725 — 785,725 —Industrials 13,361 — 13,361 —Information technology 3,496,911 — 3,496,911 —Materials 1,205,682 782,479 423,203 —Utilities 785,090 785,090 — —

Exchange-traded funds 105,958,855 105,958,855 — —Rights 16,247 6,566 — 9,681Warrants 5,821 5,821 — —Securities lending collateral 80,031,817 80,031,817 — —Short-term investments 201,552,255 — 201,552,255 —

Total investments in securities $7,375,210,843 $4,760,955,828 $2,613,684,859 $570,156

Derivatives:

AssetsFutures $100,413 $100,413 — —

LiabilitiesFutures (2,966,163) (2,966,163) — —

U.S. Strategic Equity Allocation Fund


AssetsCommon stocks

Communication services $108,872,395 $108,871,706 — $689Consumer discretionary 151,809,296 151,805,130 $4,166 —Consumer staples 98,587,746 98,587,746 — —Energy 65,814,062 65,814,062 — —

156


Level 1quoted

price


inputs

Level 3significant

unobservableinputs

U.S. Strategic Equity Allocation Fund (continued)Financials $191,321,414 $191,320,813 — $601Health care 211,007,809 211,007,521 — 288Industrials 118,311,483 118,311,483 — —Information technology 376,098,867 376,098,867 — —Materials 25,120,681 25,120,167 — 514Real estate 61,882,540 61,882,540 — —Utilities 51,390,036 51,390,036 — —

Preferred securities 9,314 9,314 — —Rights 3,503 — — 3,503Securities lending collateral 4,141,717 4,141,717 — —Short-term investments 36,779,752 — $36,779,752 —

Total investments in securities $1,501,150,615 $1,464,361,102 $36,783,918 $5,595

Derivatives:

LiabilitiesFutures $(1,089,740) $(1,089,740) — —

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. Transfers into or out ofLevel 3, if any, represent the beginning value of any security or instrument where a change in the level has occurred from the beginning to the end of theperiod and in all cases were transferred into or out of Level 2. Securities were transferred out of Level 3 since observable market data became available dueto the increased market activity of these securities.

Mid Cap Stock FundCommon

stocksPreferredsecurities Total

Balance as of 8-31-18 $7,487,414 $98,980,340 $106,467,754Realized gain (loss) 562,399 82,160 644,559Change in unrealized appreciation (depreciation) (402,451) (23,549,448) (23,951,899)Purchases1 407,500 1,208,024 1,615,524Sales (813,132) (1,165,158) (1,978,290)Transfers into Level 3 — — —Transfers out of Level 3 — (19,145,352) (19,145,352)Balance as of 8-31-19 $7,241,730 $56,410,566 $63,652,296Change in unrealized at period end2 $286,737 $(1,429,190) $(1,142,453)

1 Additional shares acquired in merger with Small Cap Stock Fund.2 Change in unrealized appreciation (depreciation) attributable to Level 3 securities held at period end.

The valuation techniques and significant amounts of unobservable inputs used in the fair value measurement of the funds’ Level 3 securities are outlined inthe table below.

Mid Cap Stock FundFair Value

at period end Valuation techniqueSignificant

unobservable inputs Input/Range*

Common Stocks $ 7,202,831 Market Approach EV to revenue multipleDiscount

3.11x - 5.31x (weighted average 3.40x)12.5% - 17.5% (weighted average 16.83%)

$ 38,899 Market Approach Expected future valueDiscount

$0.1050%

$ 7,241,730

Preferred Securities $ 18,689,940 Market Approach Prior/Recent transactions $54$ 11,319,150 Market Approach EV to revenue multiple

Discount1.58x - 5.31x (weighted average 2.29x)

12.5% - 17.5% (weighted average 16.55%)$ 13,115,660 Market Approach Prior/recent transactions $5.70$ 13,201,054 Market Approach EV to revenue multiple

DiscountOPM - Volatility

2.81x - 5.21x (weighted average 3.38x)25%

20% - 45% (weighted average 34.48%)$ 84,762 Market Approach Expected future value

Discount$0.3655%

$ 56,410,566

Total $63,652,296

157

Mid Cap Stock FundFair Value

at period end Valuation techniqueSignificant

unobservable inputs Input/Range*

* A weighted average is an average in which each input in the grouping is assigned a weighting before summing to a single average value. The weighting of the input is determinedbased on a security’s fair value as a percentage of the total fair value.

A change to unobservable inputs of a fund’s Level 3 securities as of August 31, 2019, could have resulted in changes to the fair value measurement, asfollows:

Significant Unobservable InputImpact to Valuation

if input had increasedImpact to Valuation

if input had decreased

Discount Decrease IncreaseEnterprise value (“EV”) to revenue multiple Increase DecreaseExpected future value Increase DecreaseOptions Pricing Method (OPM) - Volatility Variable VariablePrior/recent transactions Increase Decrease

Repurchase agreements. The funds may enter into repurchase agreements. When the funds enter into a repurchase agreement, they receive collateral thatis held in a segregated account by the funds’ custodian, or for tri-party repurchase agreements, collateral is held at a third-party custodian bank in asegregated account for the benefit of the funds. The collateral amount is marked-to-market and monitored on a daily basis to ensure that the collateral heldis in an amount not less than the principal amount of the repurchase agreement plus any accrued interest. Collateral received by the fund for repurchaseagreements is disclosed in the Portfolio of 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 RepurchaseAgreement (collectively, MRA). Upon an event of default, the non-defaulting party may close out all transactions traded under the MRA and net amountsowed. Absent an event of default, assets and liabilities resulting from repurchase agreements are not offset in the Statements of assets and liabilities. In theevent of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the collateral value may decline or thecounterparty may have insufficient assets to pay back claims resulting from close-out of the transactions.

Security transactions and related investment income. Investment security transactions are accounted for on a trade date plus one basis for daily NAVcalculations. However, for financial reporting purposes, investment transactions are reported on trade date. Interest income is accrued as earned. Interestincome includes coupon interest and amortization/accretion of premiums/discounts on debt securities. Debt obligations may be placed in a non-accrualstatus and related interest income may be reduced by stopping current accruals and writing off interest receivable when the collection of all or a portion ofinterest has become doubtful. Income and capital gain distributions from underlying funds are recorded on ex-date. Dividend income is recorded on theex-date, except for dividends of foreign securities where the dividend may not be known until after the ex-date. In those cases, dividend income, net ofwithholding taxes, is recorded when the fund becomes aware of the dividends. Non-cash dividends, if any, are recorded at the fair market value of thesecurities received. Distributions received on securities that represent a tax return of capital and/or capital gain, if any, are recorded as a reduction of cost ofinvestments and/or as a realized gain, if amounts are estimable. Gains and losses on securities sold are determined on the basis of identified cost and mayinclude proceeds from litigation.

Real estate investment trusts. The funds may invest in real estate investment trusts (REITs). Distributions from REITs may be recorded as income andsubsequently characterized by the REIT at the end of the fiscal year as a reduction of cost of investments and/or as a realized gain. As a result, the funds willestimate the components of distributions from these securities. Such estimates are revised when the actual components of the distributions are known.

Securities lending. The funds may lend their securities to earn additional income. The funds receive collateral from the borrower in an amount not lessthan the market value of the loaned securities. The funds will invest their cash collateral in JHCT, an affiliate of the funds, which has a floating NAV and isregistered with the Securities and Exchange Commission (SEC) as an investment company. JHCT invests in short-term money market investments. Eachfund will receive the benefit of any gains and bear any losses generated by JHCT with respect to the cash collateral.

The funds have the right to recall loaned securities on demand. If a borrower fails to return loaned securities when due, then the lending agent isresponsible and indemnifies the funds for the lent securities. The lending agent uses the collateral received from the borrower to purchase replacementsecurities of the same issue, type, class and series of the loaned securities. If the value of the collateral is less than the purchase cost of replacementsecurities, the lending agent is responsible for satisfying the shortfall but only to the extent that the shortfall is not due to any decrease in the value ofJHCT.

Although the risk of loss on securities lent is mitigated by receiving collateral from the borrower and through lending agent indemnification, the fundscould experience a delay in recovering securities or could experience a lower than expected return if the borrower fails to return the securities on a timelybasis. The funds receive compensation for lending their securities by retaining a portion of the return on the investment of the collateral and compensationfrom fees earned from borrowers of the securities. Securities lending income received by the funds is net of fees retained by the securities lending agent. Netincome received from JHCT is a component of securities lending income as recorded on the Statements of operations.

Obligations to repay collateral received by the funds are shown on the Statements of assets and liabilities as Payable upon return of securities loaned andare secured by the loaned securities. The following table summarizes the values of securities loaned by the funds and the corresponding cash collateralreceived at August 31, 2019:

Fund Market value of securities on loan Cash collateral received

Capital Appreciation Fund $24,939,867 $25,445,309International Small Cap Fund 5,571,802 5,042,548International Value Fund 1,317,491 927,223Mid Cap Stock Fund 25,997,004 26,550,450Mid Value Fund 10,438,783 10,843,920Multi-Index Lifestyle Balanced Portfolio 52,439,992 53,570,365Multi-Index Lifestyle Conservative Portfolio 12,307,960 12,590,370

158

Fund Market value of securities on loan Cash collateral received

Multi-Index Lifestyle Growth Portfolio $16,143,026 $16,547,265Multi-Index Lifestyle Moderate Portfolio 11,870,504 12,170,475Science & Technology Fund 9,518,272 9,739,815Small Company Value Fund 5,416,241 5,553,021Strategic Equity Allocation Fund 77,473,921 80,037,084U.S. Strategic Equity Allocation Fund 4,035,856 4,143,845

In addition, non-cash collateral of approximately $792,049, $453,044 and $994,634 in the form of U.S. Treasuries was pledged to International Small CapFund, International Value Fund and Strategic Equity Allocation Fund, respectively. This non-cash collateral cannot be sold or repledged by the funds, andaccordingly, is not reflected in the funds’ net assets.

Foreign investing. Assets, including investments, and liabilities denominated in foreign currencies are translated into U.S. dollar values each day at theprevailing exchange rate. Purchases and sales of securities, income and expenses are translated into U.S. dollars at the prevailing exchange rate on the dateof the transaction. The effect of changes in foreign currency exchange rates on the value of securities is reflected as a component of the realized andunrealized gains (losses) on investments. Foreign investments are subject to a decline in the value of a foreign currency versus the U.S. dollar, whichreduces the dollar value of securities denominated in that currency.

Funds that invest internationally generally carry more risk than funds that invest strictly in U.S. securities. These risks are heightened for investments inemerging markets. Risks can result from differences in economic and political conditions, regulations, market practices (including higher transactioncosts), accounting standards and other factors.

Foreign taxes. The funds may be subject to withholding tax on income, capital gains or repatriation taxes imposed by certain countries, a portion of whichmay be recoverable. Foreign taxes are accrued based upon the fund’s understanding of the tax rules and rates that exist in the foreign markets in which itinvests. Taxes are accrued based on gains realized by the fund as a result of certain foreign security sales. In certain circumstances, estimated taxes areaccrued based on unrealized appreciation of such securities. Investment income is recorded net of foreign withholding taxes.

Overdraft. The funds may have the ability to borrow from banks for temporary or emergency purposes, including meeting redemption requests thatotherwise might require the untimely sale of securities. Pursuant to the funds’ custodian agreement, the custodian may loan money to the funds to makeproperly authorized payments. The funds are obligated to repay the custodian for any overdraft, including any related costs or expenses. The custodian mayhave a lien, security interest or security entitlement in any fund property that is not otherwise segregated or pledged, to the extent of any overdraft, and tothe maximum extent permitted by law. Overdrafts at period end, if any, are presented under the caption Due to custodian in the Statements of assets andliabilities.

Line of credit. The funds and other affiliated funds, excluding Real Estate Securities Fund, have entered into a syndicated line of credit agreement withCitibank, N.A. as the administrative agent that enables them to participate in a $750 million unsecured committed line of credit. Excluding commitmentsdesignated for a certain fund and subject to the needs of all other affiliated funds, a fund can borrow up to an aggregate commitment amount of$500 million, subject to asset coverage and other limitations as specified in the agreement. Real Estate Securities Fund and other affiliated funds haveentered into a separate unsecured $50 million line of credit agreement with BNP Paribas. Subject to the needs of other affiliated funds, Real EstateSecurities Fund can borrow up to the $50 million, subject to asset coverage and other limitations as specified in the agreement.

A commitment fee payable at the end of each calendar quarter, based on the average daily unused portion of each line of credit, is charged to eachparticipating fund based on a combination of fixed and asset based allocations and is reflected in Other expenses on the Statements of operations.

Commitment fees for the year ended August 31, 2019 were as follows:

Fund Commitment fee

Capital Appreciation Fund $6,121Capital Appreciation Value Fund 5,834Health Sciences Fund 2,667International Growth Stock Fund 2,766International Small Cap Fund 2,734International Strategic Equity Allocation Fund 5,918International Value Fund 3,435Mid Cap Stock Fund 5,699Mid Value Fund 5,024Multi-Index Lifestyle Aggressive Portfolio 2,767Multi-Index Lifestyle Balanced Portfolio 4,025Multi-Index Lifestyle Conservative Portfolio 2,396Multi-Index Lifestyle Growth Portfolio 3,821Multi-Index Lifestyle Moderate Portfolio 2,581Real Estate Securities Fund 8,068Science & Technology Fund 2,613Small Company Value Fund 2,375Strategic Equity Allocation Fund 18,935U.S. Strategic Equity Allocation Fund 5,628

159

Expenses. Within the John Hancock group of funds complex, expenses that are directly attributable to an individual fund are allocated to such fund.Expenses that are not readily attributable to a specific fund are allocated among all funds in an equitable manner, taking into consideration, among otherthings, the nature and type of expense and the fund’s relative net assets. Expense estimates are accrued in the period to which they relate and adjustmentsare made when actual amounts are known.

Class allocations. Income, common expenses and realized and unrealized gains (losses) are determined at the fund level and allocated daily to each class ofshares based on the net assets of the class. Class-specific expenses, such as distribution and service fees, if any, and transfer agent fees, for all classes, arecharged daily at the class level based on the net assets of each class and the specific expense rates applicable to each class.

Federal income taxes. Each fund intends to continue to qualify as a regulated investment company by complying with the applicable provisions of theInternal Revenue Code and will not be subject to federal income tax on taxable income that is distributed to shareholders. Therefore, no federal income taxprovision is required.

For federal income tax purposes, as of August 31, 2019, certain funds have capital loss carryforwards available to offset future net realized capital gains.The following table details the capital loss carryforward available as of August 31, 2019:

No Expiration Date

Fund Short Term Long Term

International Strategic Equity Allocation Fund $40,192,222 $42,140,436

As of August 31, 2019, the funds had no uncertain tax positions that would require financial statement recognition, derecognition or disclosure. The funds’federal tax returns are subject to examination by the Internal Revenue Service for a period of three years.

For federal income tax purposes, the costs of investments owned on August 31, 2019, including short-term investments, were as follows:

FundAggregate

costUnrealized

appreciationUnrealized

(depreciation)

Net unrealizedappreciation/

(depreciation)

Capital Appreciation Fund $860,035,435 $893,909,191 $(8,126,256) $885,782,935Capital Appreciation Value Fund 1,361,226,574 273,926,361 (22,483,796) 251,442,565Health Sciences Fund 233,093,211 48,752,655 (10,130,366) 38,622,289International Growth Stock Fund 40,460,377 17,824,403 (561,886) 17,262,517International Small Cap Fund 100,411,779 29,478,772 (9,460,646) 20,018,126International Strategic Equity Allocation Fund 1,656,608,991 119,190,764 (152,126,125) (32,935,361)International Value Fund 235,959,211 27,567,272 (19,529,348) 8,037,924Mid Cap Stock Fund 1,210,208,857 465,311,316 (50,025,891) 415,285,425Mid Value Fund 1,162,173,860 202,081,161 (127,682,132) 74,399,029Multi-Index Lifestyle Aggressive Portfolio 357,072,839 15,343,274 (32,672,720) (17,329,446)Multi-Index Lifestyle Balanced Portfolio 955,434,756 28,222,796 (31,386,642) (3,163,846)Multi-Index Lifestyle Conservative Portfolio 193,495,740 4,811,045 (1,320,262) 3,490,783Multi-Index Lifestyle Growth Portfolio 866,460,364 39,320,530 (60,251,500) (20,930,970)Multi-Index Lifestyle Moderate Portfolio 273,598,843 7,637,413 (5,869,923) 1,767,490Real Estate Securities Fund 340,301,839 96,123,856 (501,271) 95,622,585Science & Technology Fund 260,652,323 38,505,164 (5,263,662) 33,241,502Small Company Value Fund 43,150,644 20,889,688 (2,094,670) 18,795,018Strategic Equity Allocation Fund 7,218,866,010 579,854,711 (426,375,628) 153,479,083U.S. Strategic Equity Allocation Fund 1,452,330,353 118,153,628 (70,423,106) 47,730,522

Distribution of income and gains. Distributions to shareholders from net investment income and net realized gains, if any, are recorded on the ex-date.Multi-Index Lifestyle Balanced Portfolio, Multi-Index Lifestyle Conservative Portfolio and Multi-Index Lifestyle Moderate Portfolio generally declare andpay dividends from net investment income quarterly. All other funds generally declare and pay dividends from net investment income annually. All fundsgenerally declare and pay capital gain distributions, if any, annually.

The tax character of distributions for the year ended August 31, 2019 was as follows:

FundOrdinary

IncomeLong Term

Capital Gains Total

Capital Appreciation Fund $11,919,725 $266,399,114 $278,318,839Capital Appreciation Value Fund 44,516,205 154,034,999 198,551,204Health Sciences Fund — 16,432,088 16,432,088International Growth Stock Fund 8,773,590 10,105,185 18,878,775International Small Cap Fund 8,521,519 70,895,454 79,416,973International Strategic Equity Allocation Fund 41,415,757 219,377,906 260,793,663International Value Fund 22,303,785 — 22,303,785Mid Cap Stock Fund 59,418,099 190,763,127 250,181,226Mid Value Fund 31,551,690 69,984,197 101,535,887Multi-Index Lifestyle Aggressive Portfolio 6,082,583 25,662,777 31,745,360Multi-Index Lifestyle Balanced Portfolio 21,518,874 40,728,656 62,247,530Multi-Index Lifestyle Conservative Portfolio 4,490,140 2,267,013 6,757,153Multi-Index Lifestyle Growth Portfolio 16,222,008 47,819,055 64,041,063

160

FundOrdinary

IncomeLong Term

Capital Gains Total

Multi-Index Lifestyle Moderate Portfolio $6,532,885 $7,149,845 $13,682,730Real Estate Securities Fund 8,152,614 8,275,788 16,428,402Science & Technology Fund 15,409,629 62,190,134 77,599,763Small Company Value Fund 2,173,231 22,752,818 24,926,049Strategic Equity Allocation Fund 165,817,425 872,920,101 1,038,737,526U.S. Strategic Equity Allocation Fund 48,217,685 299,312,398 347,530,083

The tax character of distributions for the year ended August 31, 2018 was as follows:

FundOrdinary

IncomeLong Term

Capital Gains Total

Capital Appreciation Fund $24,123,692 $335,567,427 $359,691,119Capital Appreciation Value Fund 43,930,389 149,469,734 193,400,123Health Sciences Fund 2,963,673 50,066,924 53,030,597International Growth Stock Fund 20,790,426 — 20,790,426International Small Cap Fund 7,293,204 — 7,293,204International Strategic Equity Allocation Fund 117,797,413 17,350,577 135,147,990International Value Fund 28,069,320 — 28,069,320Mid Cap Stock Fund 31,077,104 114,549,175 145,626,279Mid Value Fund 28,122,812 48,414,967 76,537,779Multi-Index Lifestyle Aggressive Portfolio 6,764,081 9,229,086 15,993,167Multi-Index Lifestyle Balanced Portfolio 19,995,400 16,022,001 36,017,401Multi-Index Lifestyle Conservative Portfolio 3,568,850 1,281,104 4,849,954Multi-Index Lifestyle Growth Portfolio 16,055,676 18,870,105 34,925,781Multi-Index Lifestyle Moderate Portfolio 5,427,524 2,765,046 8,192,570Real Estate Securities Fund 5,992,330 25,590,309 31,582,639Science & Technology Fund 55,154,140 134,936,178 190,090,318Small Company Value Fund 1,983,072 29,569,001 31,552,073Strategic Equity Allocation Fund 202,352,724 912,034,609 1,114,387,333U.S. Strategic Equity Allocation Fund 83,729,869 29,341,500 113,071,369

Distributions paid by the funds with respect to each class of shares are calculated in the same manner, at the same time and in the same amount, except forthe effect of class level expenses that may be applied differently to each class. Qualified late year ordinary losses are treated as occurring on September 1,2019, the first day of the funds’ next taxable year. As of August 31, 2019, the components of distributable earnings on a tax basis were as follows:

FundUndistributed

Ordinary Income

UndistributedLong Term

Capital GainsCapital Loss

Carryforward

QualifiedLate Year

Ordinary Losses

Capital Appreciation Fund $156,946 $139,235,598 — —Capital Appreciation Value Fund 17,013,457 128,471,707 — —Health Sciences Fund — 8,529,337 — $222,119International Growth Stock Fund 1,603,379 116,318,693 — —International Small Cap Fund 704,565 58,429,168 — —International Strategic Equity Allocation Fund 36,125,635 — $82,332,658 —International Value Fund 5,031,350 11,537,580 — —Mid Cap Stock Fund — 129,013,289 — 619,606Mid Value Fund 12,615,660 6,179,874 — —Multi-Index Lifestyle Aggressive Portfolio 274,303 25,896,629 — —Multi-Index Lifestyle Balanced Portfolio 1,876,718 38,471,727 — —Multi-Index Lifestyle Conservative Portfolio 699,720 2,546,773 — —Multi-Index Lifestyle Growth Portfolio 3,615,402 47,984,219 — —Multi-Index Lifestyle Moderate Portfolio 792,784 7,683,931 — —Real Estate Securities Fund 10,507,531 12,278,360 — —Science & Technology Fund — 22,122,985 — 633,140Small Company Value Fund — 65,370,203 — —Strategic Equity Allocation Fund 112,687,803 59,699,344 — —U.S. Strategic Equity Allocation Fund 16,032,056 76,771,430 — —

Such distributions and distributable earnings, on a tax basis, are determined in conformity with income tax regulations, which may differ from US GAAP.Distributions in excess of tax basis earnings and profits, if any, are reported in the funds’ financial statements as a return of capital. Short-term gains fromunderlying funds are treated as ordinary income for tax purposes.

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Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or theresults of operations. Temporary book-tax differences, if any, will reverse in a subsequent period. Book-tax differences are primarily attributable to netoperating losses, foreign currency transactions, investments in passive foreign investment companies, wash sale loss deferrals, characterization ofdistributions, derivative transactions and amortization and accretion on debt securities.

3. Derivative instruments

The funds may invest in derivatives in order to meet their investment objective. Derivatives include a variety of different instruments that may be traded inthe over-the-counter (OTC) market, on a regulated exchange or through a clearing facility. The risks in using derivatives vary depending upon the structureof the instruments, including the use of leverage, optionality, the liquidity or lack of liquidity of the contract, the creditworthiness of the counterparty orclearing organization and the volatility of the position. Some derivatives involve risks that are potentially greater than the risks associated with investingdirectly in the referenced securities or other referenced underlying instrument. Specifically, the funds are exposed to the risk that the counterparty to anOTC derivatives contract will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. OTC derivatives transactionstypically can only be closed out with the other party to the transaction.

Derivatives which are typically traded through the OTC market are regulated by the Commodity Futures Trading Commission (the CFTC). Derivativecounterparty risk is managed through an ongoing evaluation of the creditworthiness of all potential counterparties and, if applicable, designated clearingorganizations. The funds attempt to reduce their exposure to counterparty risk for derivatives traded in the OTC market, whenever possible, by enteringinto an International Swaps and Derivatives Association (ISDA) Master Agreement with each of their OTC counterparties. The ISDA gives each party to theagreement the right to terminate all transactions traded under the agreement if there is certain deterioration in the credit quality or contractual default ofthe other party, as defined in the ISDA. Upon an event of default or a termination of the ISDA, the non-defaulting party has the right to close out alltransactions and to net amounts owed.

As defined by the ISDA, the funds may have collateral agreements with certain counterparties to mitigate counterparty risk on OTC derivatives. Subject toestablished minimum levels, collateral for OTC transactions is generally determined based on the net aggregate unrealized gain or loss on contracts with aparticular counterparty. Collateral pledged to the funds, if any, are held in a segregated account by a third-party agent or held by the custodian bank for thebenefit of the funds and can be in the form of cash or debt securities issued by the U.S. government or related agencies; collateral posted by the funds, ifany, for OTC transactions is held in a segregated account at the funds’ custodian and is noted in the accompanying portfolio of investments, or if cash isposted, on the Statements of assets and liabilities. The funds’ risk of loss due to counterparty risk is equal to the asset value of outstanding contracts offsetby collateral received.

Certain derivatives are traded or cleared on an exchange or central clearinghouse. Exchange-traded or centrally-cleared transactions generally present lesscounterparty risk to a fund than OTC transactions. The exchange or clearinghouse stands between the funds and the broker to the contract and therefore,credit risk is generally limited to the failure of the exchange or clearinghouse and the clearing member.

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 imperfectlycorrelated to movements in the underlying financial instrument and potential losses in excess of the amounts recognized on the Statements of assets andliabilities. 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 contractssubjects the funds to unlimited risk of loss.

Upon entering into a futures contract, the fund is required to deposit initial margin with the broker in the form of cash or securities. The amount ofrequired margin is set by the broker and is generally based on a percentage of the contract value. The margin deposit must then be maintained at theestablished level over the life of the contract. Cash that has been pledged by a fund is detailed in the Statements of assets and liabilities as Collateral held atbroker for futures contracts. Securities pledged by the funds, if any, are identified in the Portfolio of investments. Subsequent payments, referred to asvariation margin, are made or received by a fund periodically and are based on changes in the market value of open futures contracts. Futures contracts aremarked-to-market daily and unrealized gain or loss is recorded by the fund. Receivable/Payable for futures variation margin is included on the Statementsof assets and liabilities. When the contract is closed, a fund records a realized gain or loss equal to the difference between the value of the contract at thetime it was opened and the value at the time it was closed.

The following table details how the funds used futures contracts during the year ended August 31, 2019. In addition, the table summarizes the range ofnotional contract amounts held by the funds, as measured at each quarter end:

Fund Reason USD Notional range

International Strategic Equity AllocationFund

To manage against anticipated currency exchange rates, manage against anticipatedchanges in securities, gain exposure to certain securities markets, and to maintaindiversity of the fund.

$34.4 million to $127.3 million

Strategic Equity Allocation Fund To gain exposure to certain securities markets, to manage against anticipated changes incurrency exchange rates and to maintain diversity and liquidity of the fund.


U.S. Strategic Equity Allocation Fund To gain exposure to certain securities markets and to maintain diversity and liquidity ofthe fund.


Forward foreign currency contracts. A forward foreign currency contract is an agreement between two parties to buy and sell specific currencies at a pricethat 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 relatedto the use of forwards include the possible failure of counterparties to meet the terms of the forward agreement, the failure of the counterparties to timelypost collateral if applicable, and the risk that currency movements will not favor the fund thereby reducing the fund’s total return, and the potential forlosses in excess of the amounts recognized on the Statements of assets and liabilities.

The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts aremarked-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 differencebetween 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 orsettlement with the counterparty.

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The following table details how the funds used forward foreign currency contracts during the year ended August 31, 2019. In addition, the tablesummarizes the range of notional contract amounts held by the funds, as measured at each quarter end:

Fund Reason USD Notional range

Strategic Equity Allocation Fund To manage against anticipated changes in currency exchange rates, manage currencyexposure, and maintain diversity and liquidity of the fund. At August 31, 2019, there were noopen forward foreign currency contracts.

Up to $278.0 million

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 purchaserof 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 theoption the right to sell (and the writer the obligation to buy) the underlying instrument at the exercise price. Writing puts and buying calls may increasethe 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 exchangeand movements in underlying security values, and for written options, potential losses in excess of the amounts recognized on the Statements of assets andliabilities. In addition, OTC options are subject to the risks of all OTC derivatives contracts.

When a fund purchases an option, the premium paid is included in the portfolio of investments and subsequently “marked-to-market” to reflect currentmarket value. If the purchased option expires, a fund realizes a loss equal to the cost of the option. If a fund exercises a call option, the cost of the securitiesacquired by exercising the call is increased by the premium paid to buy the call. If a fund exercises a put option, it realizes a gain or loss from the sale of theunderlying security and the proceeds from such sale are decreased by the premium paid. If a fund enters into a closing sale transaction, it realizes a gain orloss, depending on whether proceeds from the closing sale are greater or less than the original cost.

The following table details how the funds used purchased options contracts during the year ended August 31, 2019. In addition, the table summarizes therange of notional contract amounts held by the funds, as measured at each quarter end:

Fund Reason Market value range

Capital Appreciation Value Fund To manage against anticipated changes in securities markets Up to $353,000

The following table details how the funds used written options contracts during the year ended August 31, 2019. In addition, the table summarizes therange of notional contract amounts held by the funds, as measured at each quarter end:

Fund Reason Market value range

Capital Appreciation Value Fund To manage against anticipated changes in securities markets $5.9 million to $18.1 million

Fair value of derivative instruments by risk category

The table below summarizes the fair value of derivatives held by the fund at August 31, 2019 by risk category:

Fund Risk

Statements ofassets and

liabilities location

Financialinstrumentslocation

Assetsderivativesfair value

Liabilitiesderivativesfair value

Capital Appreciation Value Fund Equity Written options, at value Written options — $(18,104,429)— $(18,104,429)

International Strategic EquityAllocation Fund

Foreign currency Receivable/payable for futuresvariation margin

Futures1 — $(1,368)

Equity Receivable/payable for futuresvariation margin

Futures1 $57,182 (441,038)

$57,182 $(442,406)Strategic Equity Allocation Fund Foreign currency Receivable/payable for futures

variation marginFutures1 — $(16,937)


Futures1 $100,413 (2,949,226)

$100,413 $(2,966,163)U.S. Strategic Equity AllocationFund


Futures1 — $(1,089,740)

— $(1,089,740)

1 Reflects cumulative appreciation/depreciation on futures as disclosed in the Portfolio of investments. Only the year end variation margin is separately disclosed on the Statements of assetsand liabilities.

For financial reporting purposes, the funds do not offset OTC derivative assets or liabilities that are subject to master netting arrangements, as defined bythe ISDAs, in the Statements of assets and liabilities. In the event of default by the counterparty or a termination of the agreement, the ISDA allows an offsetof amounts across the various transactions between the fund and the applicable counterparty.

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Effect of derivative instruments on the Statements of operations

The table below summarizes the net realized gain (loss) included in the net increase (decrease) in net assets from operations, classified byderivative instrument and risk category, for the year ended August 31, 2019:

Statements of operations location - Net realized gain (loss) on:

Fund Risk

Unaffiliatedinvestments andforeign currency

transactions1 Futures contractsForward foreign

currency contracts Written options Total

Capital Appreciation Value Fund Equity $357,742 — — $6,165,225 $6,522,967Total $357,742 — — $6,165,225 $6,522,967

International Strategic Equity AllocationFund

Foreign currency — $1,896,755 — — $1,896,755

Equity — (2,820,162) — — (2,820,162)Total — $(923,407) — — $(923,407)

Strategic Equity Allocation Fund Foreign currency — $(217,257) $4,031,266 — $3,814,009Equity — (6,779,030) — — (6,779,030)Total — $(6,996,287) $4,031,266 — $(2,965,021)

U.S. Strategic Equity Allocation Fund Equity — $294,577 — — $294,577Total — $294,577 — — $294,577

1 Realized gain/loss associated with purchased options is included in this caption on the Statements of operations.

The table below summarizes the net change in unrealized appreciation (depreciation) included in the net increase (decrease) in net assets from operations,classified by derivative instrument and risk category, for the year ended August 31, 2019:

Statements of operations location - Change in net unrealized appreciation (depreciation) of:

Fund Risk Futures contractsForward foreign

currency contracts Written options Total

Capital Appreciation Value Fund Equity — — $(1,779,613) $(1,779,613)Total — — $(1,779,613) $(1,779,613)

International Strategic Equity Allocation Fund Foreign currency $(631,441) — — $(631,441)Equity 1,162,460 — — 1,162,460Total $531,019 — — $531,019

Strategic Equity Allocation Fund Foreign currency $20,007 $(1,180,872) — $(1,160,865)Equity (2,105,285) — — (2,105,285)Total $(2,085,278) $(1,180,872) — $(3,266,150)

U.S. Strategic Equity Allocation Fund Equity $(1,681,288) — — $(1,681,288)Total $(1,681,288) — — $(1,681,288)

4. Guarantees and indemnifications

Under the Trust’s organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their dutiesto the Trust, including the funds. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain generalindemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be madeagainst the Trust that have not yet occurred. The risk of material loss from such claims is considered remote.

5. Fees and transactions with affiliates

John Hancock Investment Management LLC (the Advisor) serves as investment advisor for the funds. John Hancock Investment ManagementDistributors LLC (the Distributor), an affiliate of the Advisor, serves as principal underwriter of the funds. The Advisor and the Distributor are indirect,wholly owned subsidiaries of Manulife Financial Corporation (MFC). Prior to June 28, 2019, the Advisor was known as John Hancock Advisers, LLC andthe Distributor was known as John Hancock Funds, LLC.

Management fee. The funds have an investment management agreement with the Advisor under which the funds pay a monthly management fee to theAdvisor equivalent on an annual basis as detailed below. Aggregate net assets generally include the net assets of the funds and the net assets of a similarfund of John Hancock Variable Insurance Trust (JHVIT), unless otherwise noted below. JHVIT funds are advised by an affiliate of the Advisor, JohnHancock Variable Trust Advisers LLC, and are distributed by an affiliate of the Advisor, John Hancock Distributors, LLC. Prior to June 28, 2019, JohnHancock Variable Trust Advisers LLC was known as John Hancock Investment Management Services, LLC.

• Capital Appreciation Fund — a) 0.800% of the first $500 million of aggregate net assets; b) 0.700% of the next $500 million of aggregate net assets; andc) 0.670% of the excess over $1 billion of aggregate net assets. Prior to July 1, 2019 — a) 0.850% of the first $300 million of aggregate net assets; b)0.800% of the next $200 million of aggregate net assets; c) 0.700% of the next $500 million of aggregate net assets; and d) 0.670% of the excess over$1 billion of aggregate net assets.

• Capital Appreciation Value Fund — If net assets are less than $500 million, then the following fee schedule shall apply: a) 0.950% of the first$250 million of aggregate net assets and b) 0.850% of the excess over $250 million of aggregate net assets. If net assets equal or exceed $500 million butare less than $2 billion, then the following fee schedule shall apply: a) 0.850% of the first $1 billion of aggregate net assets and b) 0.800% of the excessover $1 billion of aggregate net assets. If net assets equal or exceed $2 billion but are less than $3 billion, then the following fee schedule shall apply: a)

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0.850% of the first $500 million of aggregate net assets and b) 0.800% of the excess over $500 million of aggregate net assets. If net assets equal orexceed $3 billion, then the management fee to be paid is 0.800% of aggregate net assets.

• Health Sciences Fund — a) 1.050% of the first $500 million of aggregate net assets and b) 1.000% of the next $250 million of aggregate net assets; and c)0.950% of excess over $750 million of aggregate net assets. However, when aggregate net assets exceed $750 million, the management fee is 0.95% on allnet assets.

• International Growth Stock Fund — a) 0.850% of the first $250 million of aggregate net assets; b) 0.800% of the next $500 million of aggregate netassets; and c) 0.750% of the excess over $750 million of aggregate net assets.

• International Small Cap Fund — a) 1.050% of the first $200 million of average net assets; b) 0.950% of the next $300 million of average net assets; andc) 0.850% of the excess over $500 million of average net assets.

• International Strategic Equity Allocation Fund, Strategic Equity Allocation Fund and U.S. Strategic Equity Allocation Fund — Aggregate net assetsinclude these three funds and JHVIT Strategic Equity Allocation. The management fee paid is as follows: a) 0.675% of the first $2.5 billion of aggregatenet assets; b) 0.650% of the next $5 billion of aggregate net assets; c) 0.625% of the next $2.5 billion of aggregate net assets; d) 0.600% of the next$5 billion of aggregate net assets; e) 0.595% of the next $10 billion of aggregate net assets; and f) 0.590% of the excess over $25 billion of aggregate netassets.

• International Value Fund — Aggregate net assets are the aggregate net assets of the fund, JHF II International Small Cap Fund, JHVIT International ValueTrust, JHVIT Mutual Shares Trust and JHVIT Global Trust. The management fee paid is as follows: a) 0.950% of the first $150 million of aggregate netassets; b) 0.850% of the next $150 million of aggregate net assets; and c) 0.800% of the excess over $300 million of aggregate net assets. However, whenaggregate net assets exceed $300 million, then the management fee rate is 0.800% of aggregate net assets.

• Mid Cap Stock Fund — a) 0.875% of the first $200 million of aggregate net assets; b) 0.850% of the next $300 million of aggregate net assets; and c)0.825% of the excess over $500 million of aggregate net assets.

• Mid Value Fund — a) 1.050% of the first $20 million of aggregate net assets; b) 0.950% of the next $30 million of aggregate net assets; and c) 0.950% ofthe excess over $50 million of aggregate net assets. However, when aggregate net assets exceed $50 million, then the management fee rate is 0.950% of allaggregate net assets of the fund.

• Multi-Index Lifestyle Portfolios — Each fund pays the Advisor a management fee for its services to the fund. The management fee has two components:(a) a fee on assets invested in a fund of John Hancock Funds II (JHF II), John Hancock Funds III (JHF III) or John Hancock Variable Insurance Trust(JHVIT); and (b) a fee on assets invested in investments other than a fund of JHF II, JHF III or JHVIT (other assets). The fee on assets invested in a fundof JHF II, JHF III or JHVIT is stated as an annual percentage of the current value of the net assets of the fund (together with the assets of theMultimanager Lifestyle Portfolios, JHVIT Lifestyle PS Series and Lifestyle MVPs) and is equivalent to the sum of a) 0.050% for the first $7.5 billion ofaggregate net assets and b) 0.040% of the excess over $7.5 billion of aggregate net assets. The fee on other assets is stated as an annual percentage of thecurrent value of the net assets of the fund and is equivalent to the sum of: a) 0.500% of the first $7.5 billion of aggregate net assets and b) 0.490% of theexcess over $7.5 billion of aggregate net assets.

• Real Estate Securities Fund — 0.700% of aggregate net assets.

• Science & Technology Fund — a) 1.050% of the first $500 million of aggregate net assets and (b) 1.000% of the excess over $500 million of aggregatenet assets.

• Small Company Value Fund — a) 1.050% of the first $500 million of aggregate net assets and b) 1.000% of the excess over $500 million of aggregate netassets.

The organizations described below act as the subadvisors to the Trust and its funds pursuant to Subadvisory Agreements with the Advisor. Fundmanagement is allocated among the following managers:

Fund Subadvisor(s)

Science & Technology Fund Allianz Global Investors U.S. LLC; T. Rowe Price Associates, Inc.Real Estate Securities Fund DWS Investment Management Americas Inc.International Small Cap Fund Franklin Templeton Investments Corp.International Growth Stock Fund Invesco Advisers, Inc.Capital Appreciation Fund Jennison Associates, LLCMulti-Index Lifestyle Aggressive PortfolioMulti-Index Lifestyle Balanced PortfolioMulti-Index Lifestyle Conservative PortfolioMulti-Index Lifestyle Growth PortfolioMulti-Index Lifestyle Moderate Portfolio

Manulife Investment Management (North America) Limited1,2,4 and Manulife Investment Management (US) LLC1,3

International Strategic Equity Allocation FundStrategic Equity Allocation FundU.S. Strategic Equity Allocation Fund

Manulife Investment Management (US) LLC1,3

Capital Appreciation Value FundHealth Sciences FundMid Value FundSmall Company Value Fund

T. Rowe Price Associates, Inc.

International Value Fund Templeton Investment Counsel, LLCMid Cap Stock Fund Wellington Management Company LLP

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1 An affiliate of the Advisor.2 Prior to May 7, 2019, Manulife Investment Management (North America) Limited was known as John Hancock Asset Management a division of Manulife Asset Management (North

America) Limited.3 Prior to May 7, 2019, Manulife Investment Management (US) LLC was known as John Hancock Asset Management a division of Manulife Asset Management (US) LLC.4 Effective December 31, 2018, Manulife Investment Management (North America) Limited was terminated as a subadvisor.

The funds are not responsible for payment of the subadvisory fees.

Expense reimbursements. The Advisor has voluntarily agreed to waive a portion of its management fee if certain expenses of the respective funds exceedthe percentage of average net assets as detailed below. Expenses excluded from this waiver are taxes, brokerage commissions, interest expense, litigationand indemnification expenses and other extraordinary expenses not incurred in the ordinary course of the funds’ business, management fees, class specificexpenses, acquired fund fees and short dividends. This expense reduction will continue in effect until terminated by the Advisor.

Fund

Expenselimitation as apercentage ofaverage net

assets

Capital Appreciation Fund 0.20Capital Appreciation Value Fund 0.20Health Sciences Fund 0.20International Growth Stock Fund 0.25International Small Cap Fund 0.25International Strategic Equity Allocation Fund 0.25International Value Fund 0.25

Fund

Expenselimitation as apercentage ofaverage net

assets

Mid Cap Stock Fund 0.20Mid Value Fund 0.20Real Estate Securities Fund 0.20Science & Technology Fund 0.20Small Company Value Fund 0.20Strategic Equity Allocation Fund 0.20U.S. Strategic Equity Allocation Fund 0.20

The Advisor has contractually agreed to waive a portion of its management fee and/or reimburse expenses for certain funds of the John Hancock group offunds complex, including the fund (the participating portfolios). This waiver is based upon aggregate net assets of all the participating portfolios. Theamount of the reimbursement is calculated daily and allocated among all the participating portfolios in proportion to the daily net assets of each fund.During the year ended August 31, 2019, this waiver amounted to 0.01% of the fund’s average daily net assets. This arrangement expires on July 31, 2021,unless renewed by mutual agreement of the fund and the Advisor based upon a determination that this is appropriate under the circumstances at that time.

The Advisor has contractually agreed to waive its management fee on International Value Fund so that the amount retained by the Advisor after payment ofthe subadvisory fees for the fund does not exceed 0.45% of the fund’s average net assets. The current expense limitation agreement expires onDecember 31, 2019, unless renewed by mutual agreement of the fund and the advisor based upon a determination that this is appropriate under thecircumstances at that time.

The Advisor has contractually agreed to waive all or a portion of its management fee and/or reimburse or pay operating expenses of each Multi-IndexLifestyle Portfolio in an amount equal to the amount by which the expenses of the portfolio exceed 0.05% of the average net assets, excluding taxes,brokerage commissions, interest expense, litigation and indemnification expenses and other extraordinary expenses not incurred in the ordinary course ofthe portfolios’ business, acquired fund fees, short dividend expense, management fees, and class specific expenses. This expense limitation shall continue ineffect until December 31, 2019, unless renewed by mutual agreement of the portfolios and the Advisor.

The Advisor has voluntarily agreed to waive its management fee on International Strategic Equity Allocation Fund, Strategic Equity Allocation Fund andU.S. Strategic Equity Allocation Fund so that the amount retained by the Advisor after payment of the subadvisory fees for the fund does not exceed 0.45%of the funds’ average net assets. This voluntary expense reimbursement may be terminated at any time by the Advisor on notice to the Trust.

The Advisor has voluntarily agreed to waive a portion of its management fees for the funds subadvised by T. Rowe Price Associates, Inc. which includeCapital Appreciation Value Fund, Health Sciences Fund, Mid Value Fund, Science & Technology Fund and Small Company Value Fund. This voluntarywaiver equals the amount by which the subadvisory fee paid to T. Rowe Price Associates, Inc. is reduced. This voluntary expense reimbursement mayterminate at any time.

The Advisor has voluntarily agreed to waive its advisory fee for each Multi-Index Lifestyle Portfolio so that the aggregate advisory fee retained by theAdvisor with respect to both the portfolio and its underlying investments after payment of subadvisory fees does not exceed 0.50% of the funds’ first$7.5 billion of average annual net assets and 0.49% of the funds’ average annual net assets in excess of $7.5 billion. This voluntary waiver shall continue ineffect until December 31, 2019, unless renewed by mutual agreement of the Trust and the Advisor.

For the year ended August 31, 2019, the expense reductions described above amounted to the following:Expense Reimbursement by Class

Fund Class R6 Class 1 Class NAV Total

Capital Appreciation Fund — $45,897 $86,838 $132,735Capital Appreciation Value Fund — — 662,756 662,756Health Sciences Fund — — 170,158 170,158International Growth Stock Fund — — 29,746 29,746International Small Cap Fund — 4,770 20,295 25,065International Strategic Equity Allocation Fund — — 2,197,765 2,197,765International Value Fund — 11,111 37,386 48,497Mid Cap Stock Fund — 31,848 86,897 118,745Mid Value Fund — — 684,505 684,505Multi-Index Lifestyle Conservative Portfolio $15 19,763 — 19,778Real Estate Securities Fund — 30,159 — 30,159Science & Technology Fund — — 114,584 114,584

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Expense Reimbursement by Class

Fund Class R6 Class 1 Class NAV Total

Small Company Value Fund — $40,637 $59,194 $99,831Strategic Equity Allocation Fund — — 9,520,908 9,520,908U.S. Strategic Equity Allocation Fund — — 2,028,237 2,028,237Expenses waived or reimbursed in the current fiscal period are not subject to recapture in future fiscal periods.

The investment management fees, including the impact of the waivers and reimbursements as described above, incurred for the year ended August 31,2019, were equivalent to a net annual effective rate of the funds’ average daily net assets as follows:

Fund Net Annual Effective Rate

Capital Appreciation Fund 0.70%Capital Appreciation Value Fund 0.77%Health Sciences Fund 0.98%International Growth Stock Fund 0.80%International Small Cap Fund 0.99%International Strategic Equity Allocation Fund 0.49%International Value Fund 0.79%Mid Cap Stock Fund 0.82%Mid Value Fund 0.90%Multi-Index Lifestyle Aggressive Portfolio 0.19%

Fund Net Annual Effective Rate

Multi-Index Lifestyle Balanced Portfolio 0.31%Multi-Index Lifestyle Conservative Portfolio 0.43%Multi-Index Lifestyle Growth Portfolio 0.25%Multi-Index Lifestyle Moderate Portfolio 0.37%Real Estate Securities Fund 0.69%Science & Technology Fund 0.98%Small Company Value Fund 0.99%Strategic Equity Allocation Fund 0.49%U.S. Strategic Equity Allocation Fund 0.49%

Accounting and legal services. Pursuant to a service agreement, the funds reimburse the Advisor for all expenses associated with providing theadministrative, financial, legal, compliance, accounting and recordkeeping services to the funds, including the preparation of all tax returns, periodicreports to shareholders and regulatory reports, among other services. These expenses are allocated to each share class based on its relative net assets at thetime the expense was incurred. These accounting and legal services fees incurred for the year ended August 31, 2019 amounted to an annual rate of 0.02%of the funds’ average daily net assets.

Distribution and service plans. The funds have a distribution agreement with the Distributor. The funds have adopted distribution and service planspursuant to Rule 12b-1 under the 1940 Act, to pay the Distributor for services provided as the distributor of shares of the funds. The funds may pay up tothe following contractual rates of distribution and service fees under these arrangements, expressed as an annual percentage of average daily net assets foreach class of the funds’ shares:

Class Rule 12b-1 Fee

Class 1 0.05%

Transfer agent fees. The John Hancock group of funds has a complex-wide transfer agent agreement with John Hancock Signature Services, Inc. (SignatureServices), an affiliate of the Advisor. The transfer agent fees paid to Signature Services are determined based on the cost to Signature Services (SignatureServices Cost) of providing recordkeeping services. It also includes out-of-pocket expenses, including payments made to third-parties for recordkeepingservices provided to their clients who invest in one or more John Hancock funds. In addition, Signature Services Cost may be reduced by certain fees thatSignature Services receives in connection with retirement and small accounts. Signature Services Cost is calculated monthly and allocated, as applicable, tofive categories of share classes: Retail Share and Institutional Share Classes of Non-Municipal Bond Funds, Class R6 Shares, Retirement Share Classes andMunicipal Bond Share Classes. Within each of these categories, the applicable costs are allocated to the affected John Hancock affiliated funds and/orclasses, based on the relative average daily net assets.

Class level expenses. Class level expenses for the year ended August 31, 2019 were as follows:

Fund Class Distribution and service fees Transfer agent fees

Capital Appreciation Fund Class 1 $305,608 —Total $305,608 —

International Small Cap Fund Class 1 $31,605 —Total $31,605 —

International Value Fund Class 1 $73,248 —Total $73,248 —

Mid Cap Stock Fund Class 1 $212,145 —Total $212,145 —

Multi-Index Lifestyle Aggressive Portfolio Class R6 — $439Class 1 $160,842 —Total $160,842 $439

Multi-Index Lifestyle Balanced Portfolio Class R6 — $651Class 1 $433,482 —Total $433,482 $651

Multi-Index Lifestyle Conservative Portfolio Class R6 — $20Class 1 $82,345 —Total $82,345 $20

Multi-Index Lifestyle Growth Portfolio Class R6 — $690Class 1 $386,072 —Total $386,072 $690

167

Fund Class Distribution and service fees Transfer agent fees

Multi-Index Lifestyle Moderate Portfolio Class R6 — $126Class 1 $121,982 —Total $121,982 $126

Real Estate Securities Fund Class 1 $201,164 —Total $201,164 —

Small Company Value Fund Class 1 $32,976 —Total $32,976 —

Trustee expenses. The funds compensate each Trustee who is not an employee of the Advisor or its affiliates. The costs of paying Trustee compensationand expenses are allocated to each fund based on their net assets relative to other funds within the John Hancock group of funds complex.

Interfund lending program. Pursuant to an Exemptive Order issued by the SEC, the funds, along with certain other funds advised by the Advisor or itsaffiliates, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lendmoney to, other participating affiliated funds. At period end, no interfund loans were outstanding. Interest expense is included in Other expenses on theStatements of operations. The funds’ activity in this program during the period for which loans were outstanding was as follows:

FundBorroweror Lender

Weighted AverageLoan Balance

DaysOutstanding

Weighted AverageInterest Rate

Interest Income(Expense)

Capital Appreciation Fund Borrower $15,647,051 9 2.349% $(9,188)International Growth Stock Fund Borrower 5,291,382 4 2.341% (1,376)International Small Cap Fund Borrower 5,697,605 3 2.357% (1,119)International Value Fund Borrower 8,700,069 1 2.350% (568)Multi-Index Lifestyle BalancedPortfolio

Borrower 29,510,268 1 2.355% (1,930)

Capital Appreciation Fund Lender 3,285,366 3 2.225% 609Capital Appreciation Value Fund Lender 19,512,221 5 2.225% 6,030Health Sciences Fund Lender 4,348,333 6 2.347% 1,701Mid Cap Stock Fund Lender 10,840,752 1 2.340% 705Mid Value Fund Lender 8,273,564 3 2.217% 1,529Science & Technology Fund Lender 3,431,349 2 2.362% 450Strategic Equity Allocation Fund Lender 5,257,449 2 2.369% 692Small Company Value Fund Lender 2,680,330 3 2.255% 504

6. Fund share transactions

Transactions in funds’shares for the years ended August 31, 2019 and 2018 were as follows:

Capital Appreciation Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class 1 sharesSold 659,621 $10,868,208 2,059,953 $37,211,997Distributions reinvested 7,430,664 94,592,357 7,653,808 123,149,769Repurchased (7,372,687) (113,680,615) (4,502,733) (80,529,470)Net increase (decrease) 717,598 $(8,220,050) 5,211,028 $79,832,296Class NAV sharesSold 19,030,365 $325,951,570 2,388,705 $41,956,421Distributions reinvested 14,387,352 183,726,482 14,664,684 236,541,350Repurchased (19,909,514) (312,935,068) (22,916,720) (416,368,691)Net increase (decrease) 13,508,203 $196,742,984 (5,863,331) $(137,870,920)Total net increase (decrease) 14,225,801 $188,522,934 (652,303) $(58,038,624)

Capital Appreciation Value Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class NAV sharesSold 3,528,204 $40,074,942 1,365,330 $16,328,847Distributions reinvested 20,157,483 198,551,204 16,935,212 193,400,123Repurchased (32,434,022) (370,531,422) (26,193,826) (313,717,720)Net decrease (8,748,335) $(131,905,276) (7,893,284) $(103,988,750)Total net decrease (8,748,335) $(131,905,276) (7,893,284) $(103,988,750)

Health Sciences Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class NAV sharesSold 7,679,171 $34,013,118 3,227,929 $14,738,620Distributions reinvested 4,191,859 16,432,088 12,361,444 53,030,597Repurchased (12,486,593) (58,547,007) (18,856,218) (89,631,497)

168

Health Sciences Fund , Cont’d Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Net decrease (615,563) $(8,101,801) (3,266,845) $(21,862,280)Total net decrease (615,563) $(8,101,801) (3,266,845) $(21,862,280)

International Growth Stock Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class NAV sharesSold 78,303 $1,026,389 490,455 $6,928,101Distributions reinvested 1,650,243 18,878,775 1,479,746 20,790,426Repurchased (54,248,529) (701,203,283) (4,483,093) (63,893,709)Net decrease (52,519,983) $(681,298,119) (2,512,892) $(36,175,182)Total net decrease (52,519,983) $(681,298,119) (2,512,892) $(36,175,182)

International Small Cap Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class 1 sharesSold 163,999 $2,921,983 389,331 $8,864,794Distributions reinvested 618,133 9,482,159 44,302 987,038Repurchased (863,523) (15,564,735) (1,099,325) (24,585,709)Net decrease (81,391) $(3,160,593) (665,692) $(14,733,877)Class NAV sharesSold 1,167,368 $23,444,619 582,981 $12,880,359Distributions reinvested 4,561,958 69,934,814 283,169 6,306,166Repurchased (24,642,935) (424,045,760) (3,120,844) (70,527,748)Net decrease (18,913,609) $(330,666,327) (2,254,694) $(51,341,223)Total net decrease (18,995,000) $(333,826,920) (2,920,386) $(66,075,100)

International Strategic Equity Allocation Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class NAV sharesSold 6,614,176 $63,373,855 963,399 $11,175,489Distributions reinvested 31,573,083 260,793,663 11,670,811 135,147,990Repurchased (20,499,255) (190,900,557) (22,974,008) (274,406,542)Net increase (decrease) 17,688,004 $133,266,961 (10,339,798) $(128,083,063)Total net increase (decrease) 17,688,004 $133,266,961 (10,339,798) $(128,083,063)

International Value Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class 1 sharesSold 337,642 $5,136,956 353,050 $6,069,938Distributions reinvested 228,757 3,239,198 271,852 4,629,635Repurchased (1,879,815) (28,355,098) (2,602,870) (44,381,769)Net decrease (1,313,416) $(19,978,944) (1,977,968) $(33,682,196)Class NAV sharesSold 1,577,002 $23,694,626 2,399,074 $40,665,330Distributions reinvested 1,351,140 19,064,587 1,380,429 23,439,685Repurchased (51,781,258) (797,737,354) (5,343,564) (91,684,771)Net decrease (48,853,116) $(754,978,141) (1,564,061) $(27,579,756)Total net decrease (50,166,532) $(774,957,085) (3,542,029) $(61,261,952)

Mid Cap Stock Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class 1 sharesSold 1,590,063 $35,169,709 1,609,413 $38,067,540Distributions reinvested 3,855,829 64,739,364 1,612,718 34,657,303Repurchased (2,970,307) (63,445,438) (2,488,768) (56,260,308)Net increase 2,475,585 $36,463,635 733,363 $16,464,535Class NAV sharesSold 2,064,538 $44,825,098 878,155 $19,850,202Issued in reorganization 1,098,683 24,403,159 — —Distributions reinvested 10,914,765 185,441,862 5,113,778 110,968,976Repurchased (11,002,507) (232,587,884) (13,635,230) (316,147,070)Net increase (decrease) 3,075,479 $22,082,235 (7,643,297) $(185,327,892)Total net increase (decrease) 5,551,064 $58,545,870 (6,909,934) $(168,863,357)

169

Mid Value Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class NAV sharesSold 5,731,177 $83,364,648 10,587,469 $175,276,419Distributions reinvested 7,628,541 101,535,887 4,710,017 76,537,779Repurchased (11,401,030) (168,126,474) (7,589,384) (126,849,253)Net increase 1,958,688 $16,774,061 7,708,102 $124,964,945Total net increase 1,958,688 $16,774,061 7,708,102 $124,964,945

Multi-Index Lifestyle Aggressive Portfolio Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class R6 sharesSold 43,277 $498,740 340,399 $4,465,533Distributions reinvested 32,448 326,422 4,955 62,139Repurchased (55,542) (658,450) (75,890) (959,812)Net increase 20,183 $166,712 269,464 $3,567,860Class 1 sharesSold 4,377,332 $50,813,098 6,117,435 $78,408,321Distributions reinvested 3,123,155 31,418,938 1,270,417 15,931,028Repurchased (3,140,442) (36,503,605) (2,585,535) (32,916,145)Net increase 4,360,045 $45,728,431 4,802,317 $61,423,204Total net increase 4,380,228 $45,895,143 5,071,781 $64,991,064

Multi-Index Lifestyle Balanced Portfolio Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class R6 sharesSold 46,205 $516,028 442,651 $5,242,309Distributions reinvested 34,982 356,263 10,638 122,527Repurchased (4,540) (48,691) (47,502) (548,796)Net increase 76,647 $823,600 405,787 $4,816,040Class 1 sharesSold 10,600,350 $117,247,628 14,139,095 $164,864,626Distributions reinvested 6,086,235 61,891,267 3,112,966 35,892,648Repurchased (10,887,677) (120,591,223) (6,464,248) (74,767,764)Net increase 5,798,908 $58,547,672 10,787,813 $125,989,510Total net increase 5,875,555 $59,371,272 11,193,600 $130,805,550

Multi-Index Lifestyle Conservative Portfolio Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class R6 sharesSold 25,147 $259,880 3,597 $38,504Distributions reinvested 172 1,828 806 8,550Repurchased (2,983) (31,908) (31,425) (328,683)Net increase (decrease) 22,336 $229,800 (27,022) $(281,629)Class 1 sharesSold 3,245,428 $33,943,916 4,354,922 $46,338,603Distributions reinvested 667,118 6,753,201 457,698 4,841,404Repurchased (1,729,603) (17,946,888) (2,095,900) (22,095,153)Net increase 2,182,943 $22,750,229 2,716,720 $29,084,854Total net increase 2,205,279 $22,980,029 2,689,698 $28,803,225

Multi-Index Lifestyle Growth Portfolio Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class R6 sharesSold 73,347 $842,497 514,443 $6,451,755Distributions reinvested 43,199 438,039 9,832 119,261Repurchased (16,426) (184,667) (189,642) (2,347,168)Net increase 100,120 $1,095,869 334,633 $4,223,848Class 1 sharesSold 10,941,267 $125,625,346 12,233,923 $150,906,278Distributions reinvested 6,284,884 63,603,024 2,871,825 34,806,520Repurchased (6,158,025) (70,252,558) (5,672,640) (69,570,920)Net increase 11,068,126 $118,975,812 9,433,108 $116,141,878Total net increase 11,168,246 $120,071,681 9,767,741 $120,365,726

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Multi-Index Lifestyle Moderate Portfolio Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class R6 sharesSold 11,120 $119,556 79,833 $897,222Distributions reinvested 5,247 53,451 3,654 40,314Repurchased (317) (3,423) (53,875) (591,774)Net increase 16,050 $169,584 29,612 $345,762Class 1 sharesSold 3,959,082 $42,560,307 5,239,152 $58,204,475Distributions reinvested 1,339,142 13,629,279 738,849 8,152,256Repurchased (3,132,869) (33,529,732) (2,363,718) (26,054,936)Net increase 2,165,355 $22,659,854 3,614,283 $40,301,795Total net increase 2,181,405 $22,829,438 3,643,895 $40,647,557

Real Estate Securities Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class 1 sharesSold 1,334,399 $17,975,699 556,083 $6,624,072Distributions reinvested 1,419,914 16,428,402 2,601,535 31,582,639Repurchased (5,419,890) (69,311,460) (8,969,166) (111,454,530)Net decrease (2,665,577) $(34,907,359) (5,811,548) $(73,247,819)Total net decrease (2,665,577) $(34,907,359) (5,811,548) $(73,247,819)

Science & Technology Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class NAV sharesSold 21,844,302 $87,505,672 1,361,343 $8,488,588Distributions reinvested 25,953,098 77,599,763 37,791,316 190,090,318Repurchased (16,478,950) (63,907,004) (22,700,748) (187,641,779)Net increase 31,318,450 $101,198,431 16,451,911 $10,937,127Total net increase 31,318,450 $101,198,431 16,451,911 $10,937,127

Small Company Value Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class 1 sharesSold 103,464 $2,734,068 113,787 $3,346,023Distributions reinvested 306,246 6,657,778 320,690 9,171,723Repurchased (713,517) (18,551,660) (661,617) (19,483,071)Net decrease (303,807) $(9,159,814) (227,140) $(6,965,325)Class NAV shares1

Sold 430,755 $11,540,301 1,098,486 $33,564,463Distributions reinvested 841,856 18,268,271 783,626 22,380,350Repurchased (8,194,154) (206,896,277) (847,188) (25,172,862)Net increase (decrease) (6,921,543) $(177,087,705) 1,034,924 $30,771,951Total net increase (decrease) (7,225,350) $(186,247,519) 807,784 $23,806,626

1 Class NAV shares were liquidated on March 13, 2019.

Strategic Equity Allocation Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class NAV sharesSold 44,961,697 $519,426,105 18,670,861 $246,293,127Distributions reinvested 106,756,169 1,038,737,526 86,453,633 1,114,387,333Repurchased (65,156,903) (755,070,772) (79,546,351) (1,099,853,913)Net increase 86,560,963 $803,092,859 25,578,143 $260,826,547Total net increase 86,560,963 $803,092,859 25,578,143 $260,826,547

U.S. Strategic Equity Allocation Fund Year Ended 8-31-19 Year Ended 8-31-18Shares Amount Shares Amount

Class NAV sharesSold 9,756,848 $101,975,614 2,733,618 $32,778,764Distributions reinvested 41,720,298 347,530,083 9,469,964 113,071,369Repurchased (30,176,253) (314,152,137) (50,643,140) (625,761,210)Net increase (decrease) 21,300,893 $135,353,560 (38,439,558) $(479,911,077)Total net increase (decrease) 21,300,893 $135,353,560 (38,439,558) $(479,911,077)

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Affiliates of the Trust owned 21% of shares of Class R6 of Multi-Index Lifestyle Conservative Portfolio on August 31, 2019. Affiliates of the Trust alsoowned 100% of Class 1 and Class NAV, respectively, with the exception of Capital Appreciation Fund and International Value Fund, where affiliates held77.8% and 0.0% of Class NAV, respectively on August 31, 2019. Such concentration of shareholders’ capital could have a material effect on the fund if suchshareholders redeem from the fund.

7. Purchase and sale of securities

Purchases and sales of securities, other than short-term investments, amounted to the following for the year ended August 31, 2019:

Purchases Sales

Fund U.S. Government Other issuers U.S. Government Other issuers

Capital Appreciation Fund — $881,770,974 — $980,926,399Capital Appreciation Value Fund $55,202,753 939,797,453 $132,646,067 1,174,517,568Health Sciences Fund — 117,973,152 — 146,504,290International Growth Stock Fund — 115,891,591 — 782,632,308International Small Cap Fund — 184,927,106 — 567,834,555International Strategic Equity Allocation Fund — 937,941,897 — 1,026,709,018International Value Fund — 216,357,469 — 965,093,561Mid Cap Stock Fund — 942,823,451 — 1,088,126,652Mid Value Fund — 499,787,077 — 519,156,454Multi-Index Lifestyle Aggressive Portfolio — 92,049,696 — 46,228,644Multi-Index Lifestyle Balanced Portfolio — 242,314,675 — 179,217,295Multi-Index Lifestyle Conservative Portfolio — 58,132,382 — 34,787,053Multi-Index Lifestyle Growth Portfolio — 224,039,149 — 102,371,008Multi-Index Lifestyle Moderate Portfolio — 73,824,509 — 50,280,981Real Estate Securities Fund — 531,377,349 — 572,054,491Science & Technology Fund — 275,464,951 — 260,892,257Small Company Value Fund — 39,555,691 — 246,277,216Strategic Equity Allocation Fund — 5,704,092,658 — 5,736,625,568U.S. Strategic Equity Allocation Fund — 1,406,669,275 — 1,601,135,575

8. Industry or sector risk

Certain funds generally invest a large percentage of its assets in one or more particular industries or sectors of the economy. If a large percentage of thefund’s assets are economically tied to a single or small number of industries or sectors of the economy, the fund will be less diversified than a more broadlydiversified fund, and it may cause the fund to underperform if that industry or sector underperforms. In addition, focusing on a particular industry orsector may make the fund’s NAV more volatile. Further, a fund that invests in particular industries or sectors is particularly susceptible to the impact ofmarket, economic, regulatory and other factors affecting those industries or sectors. Financial services companies can be hurt by economic declines,changes in interest rates regulatory and market impacts.

9. Investment in affiliated underlying funds

John Hancock Multi-Index Lifestyle Portfolios invest primarily in affiliated underlying funds that are managed by the Advisor and its affiliates. The fundsdo not invest in the affiliated underlying funds for the purpose of exercising management or control; however, the funds’ investment may represent asignificant portion of each underlying funds’ net assets. At August 31, 2019, the following funds held 5% or more of the net assets of the underlying fundsshown below:

Fund Affiliated Class NAV

Percentage ofunderlying fund

net assets

Multi-Index Lifestyle Growth Portfolio Strategic Equity Allocation Fund 5.9%

Information regarding the funds’ fiscal year to date purchases and sales of the affiliated underlying funds as well as income and capitalgains earned by the funds, if any, is as follows:

Dividends and distributions

Affiliate

Beginningshare

amountShares

purchasedShares

sold

Endingshare

amount

Incomedistributions

received

Capital gaindistributions

received

Realizedgain

(loss)

Change inunrealized

appreciation(depreciation)

Endingvalue

Capital Appreciation FundJohn Hancock Collateral Trust* 3,072,318 46,456,318 (46,984,662) 2,543,974 — — $11,986 $(2,723) $25,457,039Capital Appreciation Value FundJohn Hancock Collateral Trust* 3,134,913 7,273,545 (10,408,458) — — — $(2,529) $(491) —International Small Cap FundJohn Hancock Collateral Trust* 2,110,894 13,577,997 (15,184,778) 504,113 — — $5,515 $(4,128) $5,044,710International Strategic Equity Allocation Fund

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Dividends and distributions

Affiliate

Beginningshare

amountShares

purchasedShares

sold

Endingshare

amount

Incomedistributions

received

Capital gaindistributions

received

Realizedgain

(loss)

Change inunrealized

appreciation(depreciation)

Endingvalue

John Hancock Collateral Trust* 5,510,937 55,197,504 (60,708,441) — — — $6,278 $(10,811) —International Value FundJohn Hancock Collateral Trust* 1,356,003 27,594,780 (28,857,067) 93,716 — — $1,898 $(2,702) $937,826Mid Cap Stock FundJohn Hancock Collateral Trust* 8,076,355 62,159,512 (67,582,492) 2,653,375 — — $29,672 $(21,240) $26,551,791Mid Value FundJohn Hancock Collateral Trust* 9,486,141 26,627,350 (35,031,681) 1,081,810 — — $9,462 $(13,847) $10,825,459Multi-Index Lifestyle Aggressive PortfolioJohn Hancock Collateral Trust* — 11,598,402 (11,598,402) — — — $2,238 — —Strategic Equity Allocation 16,193,308 5,744,176 (1,626,301) 20,311,183 $3,856,473 $26,275,134 (5,853,846) $(27,659,551) $226,266,576

$3,856,473 $26,275,134 $(5,851,608) $(27,659,551) $226,266,576Multi-Index Lifestyle Balanced PortfolioJohn Hancock Collateral Trust* 2,520,301 60,839,558 (58,005,322) 5,354,537 — — $13,869 $(640) $53,581,782Strategic Equity Allocation 25,613,800 10,186,989 (4,962,282) 30,838,507 $6,394,439 $43,566,949 (15,002,702) (38,708,560) 343,540,970

$6,394,439 $43,566,949 $(14,988,833) $(38,709,200) $397,122,752Multi-Index Lifestyle Conservative PortfolioJohn Hancock Collateral Trust* 515,277 17,946,715 (17,203,865) 1,258,127 — — $4,026 $(632) $12,589,826Strategic Equity Allocation 1,404,814 989,192 (513,248) 1,880,758 $371,375 $2,530,274 (1,389,953) (1,670,806) 20,951,644

$371,375 $2,530,274 $(1,385,927) $(1,671,438) $33,541,470Multi-Index Lifestyle Growth PortfolioJohn Hancock Collateral Trust* 1,412,330 49,361,912 (49,120,624) 1,653,618 — — $4,114 $(54,172,161) $16,547,429Strategic Equity Allocation 29,901,875 11,322,072 (2,245,110) 38,978,837 $7,355,349 $50,113,872 (8,727,672) (238) 434,224,242

$7,355,349 $50,113,872 $(8,723,558) $(54,172,399) $450,771,671Multi-Index Lifestyle Moderate PortfolioJohn Hancock Collateral Trust* 792,912 30,391,595 (29,968,360) 1,216,147 — — $4,666 $(801) $12,169,739Strategic Equity Allocation 4,624,884 2,356,907 (981,962) 5,999,829 $1,169,673 $7,969,286 (3,027,419) (6,874,670) 66,838,092

$1,169,673 $7,969,286 $(3,022,753) $(6,875,471) $79,007,831Science & Technology FundJohn Hancock Collateral Trust* 834,886 11,160,331 (11,021,906) 973,311 — — $1,509 $(881) $9,739,733Small Company Value FundJohn Hancock Collateral Trust* 1,501,334 5,328,436 (6,274,566) 555,204 — — $440 $(2,106) $5,555,811Strategic Equity Allocation FundJohn Hancock Collateral Trust* 8,329,959 131,397,483 (131,729,699) 7,997,743 — — $14,131 $(9,501) $80,031,817U.S. Strategic Equity Allocation FundJohn Hancock Collateral Trust* 1,585,967 8,638,483 (9,810,560) 413,890 — — $4,877 $(4,428) $4,141,717* Refer to the Securities lending note within Note 2 for details regarding this investment.

10. Investment by affiliated funds

Certain investors in the funds are affiliated funds that are managed by the Advisor and its affiliates. The affiliated funds do not invest in the fund for thepurpose of exercising management or control; however, this investment may represent a significant portion of the funds’ net assets. The following fund(s)had an affiliate ownership of 5% or more of the funds’ net assets:

Fund Affiliated Concentration

Capital Appreciation Fund 51.6%Capital Appreciation Value Fund 99.4%Health Sciences Fund 100.0%International Growth Stock Fund 87.0%International Small Cap Fund 52.8%International Strategic Equity Allocation Fund 100.0%Mid Cap Stock Fund 72.5%Mid Value Fund 100.0%Science & Technology Fund 100.0%Strategic Equity Allocation Fund 100.0%U.S. Strategic Equity Allocation Fund 100.0%

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11. Interfund trading

The funds are permitted to purchase or sell securities from or to certain other affiliated funds, as set forth in Rule 17a-7 of the 1940 Act, under specifiedconditions outlined in procedures adopted by the Board of Trustees of the Trust. The procedures have been designed to ensure that any purchase or sale ofsecurities by the funds from or to another fund that is or could be considered an affiliate complies with Rule 17a-7 of the 1940 Act. Further, as definedunder the procedures, each transaction is effected at the current market price. Pursuant to these procedures, for the year ended August 31, 2019, the fundsengaged in securities purchases and sales with affiliated funds, some of which have different fiscal reporting periods, as follows:

Fund Purchases Sales

Capital Appreciation Fund $154,700,296 —Capital Appreciation Value Fund 2,822,427 $1,291,160International Small Cap Fund — 6,596,716Mid Value Fund 4,443,974 1,188,689Small Company Value Fund 11,155 33,568

12. Direct placement securities

The funds may hold private placement securities which are restricted as to resale and the funds have limited rights to registration under the Securities Actof 1933. Disposal may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult to achieve. The followingtable summarizes the direct placement securities held at August 31, 2019:

Issuer,Description

Originalacquisition date

Acquisitioncost

Beginningshare

amountShares

purchasedShares

sold

Endingshare

amount

Value as apercentage of

net assetsEnding

value

Health Sciences FundAcerta Pharma BV, Class B 2-8-16 $146,475 4,892,850 — — 4,892,850 0.2% $442,314Doximity, Inc. 4-10-14 307,268 63,738 — — 63,738 0.2% 367,131JAND, Inc., Class A 4-23-15 194,538 16,938 — — 16,938 0.1% 283,034JAND, Inc., Series D 4-23-15 434,397 37,822 — — 37,822 0.2% 632,006

$1,724,485Mid Cap Stock FundCoupang LLC 11-20-14 $7,607,320 2,300,670 — — 2,300,670 0.8% $13,115,660DraftKings, Inc. 12-4-14 3,666,693 2,143,227 151,487* — 2,294,714 0.4% 6,241,622Essence Group Holdings Corp. 5-1-14 5,083,384 2,958,957 — — 2,958,957 0.6% 9,172,767JAND, Inc., Class A 4-23-15 635,744 57,523 — — 57,523 0.1% 961,209JAND, Inc., Series D 4-23-15 1,419,614 128,449 — — 128,449 0.2% 2,146,383Lookout, Inc., Series F 7-31-14 4,276,874 392,767 — — 392,767 0.2% 2,388,023MarkLogic Corp., Series F 4-27-15 6,431,120 507,686 72,325* — 580,011 0.3% 5,736,309The Honest Company, Inc., Series C 8-20-14 3,966,620 142,030 — — 142,030 0.3% 4,587,569The Honest Company, Inc.,Series D

8-3-15 490,560 — 12,795* — 12,795 0.0%** 489,153

The We Company, Inc., Series D1 12-8-14 3,335,927 205,905 — (21,577) 184,328 0.6% 9,953,712The We Company, Inc., Series D2 12-8-14 3,472,011 161,782 — — 161,782 0.6% 8,736,228

$63,528,635Science & Technology FundAirbnb, Inc., Series E 7-14-15 $1,526,562 16,398 — — 16,398 0.6% $1,765,901DiDi Chuxing, Inc. 10-19-15 460,705 16,798 — — 16,798 0.3% 855,557

$2,621,458* Additional shares acquired in merger with Small Cap Stock Fund.

** Less than 0.05%.

13. Reorganization

On August 9, 2019, the shareholders of John Hancock Funds II Small Cap Stock Fund (the Acquired Fund) voted to approve an Agreement and Plan ofReorganization (the Agreement) which provided for an exchange of shares of Mid Cap Stock Fund (the Acquiring Fund) with a value equal to the netassets transferred.

The Agreement provided for (a) the acquisition of all the assets, subject to all of the liabilities, of the Acquired Fund in exchange for shares of theAcquiring Fund with a value equal to the net assets transferred; (b) the liquidation of the Acquired Fund; and (c) the distribution to Acquired Fund’sshareholders of such Acquiring Fund’s shares. The reorganization was intended to consolidate the Acquired Fund with a fund with a similar objective andachieve economies of scale. As a result of the reorganization, the Acquiring Fund is the legal and accounting survivor.

The reorganization did not qualify as a tax-free reorganization for federal income tax purposes; however, it is not expected to be a taxable event for contractowners. Thus, the investments were transferred to the Acquiring Fund at market value. All distributable amounts of net income and realized gains from theAcquired Fund were distributed prior to the reorganization. In addition, the expenses of the reorganization were borne by the Acquired Fund. The effectivetime of the reorganization occurred immediately after the close of regularly scheduled trading on the New York Stock Exchange (NYSE) on August 23,2019. The following outlines the reorganization:

174

AcquiringFund

AcquiredFund

Net AssetValue of the

AcquiredFund

SharesRedeemed

by theAcquired

Fund

SharesIssuedby the

AcquiringFund

AcquiringFund

Net AssetsPrior to

Combination

AcquiringFund

Total NetAssets After

Combination

Mid Cap Stock Fund Small Cap Stock Fund $24,403,159 2,727,995 1,098,683 $1,571,513,969 $1,595,917,128

Because the combined fund has been managed as a single integrated fund since the reorganization was completed, it is not practicable to separate theamounts of net investment income and gains attributable to the Acquired Fund that have been included in the Acquiring Fund’s Statement of operations atAugust 31, 2019. See Note 6 for capital shares issued in connection with the above referenced reorganizations.

14. Subsequent events

On June 26, 2019, the Board of Trustees approved a plan of liquidation for International Growth Stock Fund, International Small Cap Fund, and SmallCompany Value Fund. The funds were liquidated on October 18, 2019.

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of John Hancock Funds II and Shareholders of John Hancock Capital Appreciation Fund, John Hancock CapitalAppreciation Value Fund, John Hancock Health Sciences Fund, John Hancock International Growth Stock Fund, John Hancock InternationalSmall Cap Fund, John Hancock International Strategic Equity Allocation Fund, John Hancock International Value Fund, John Hancock MidCap Stock Fund, John Hancock Mid Value Fund, John Hancock Multi-Index Lifestyle Aggressive Portfolio, John Hancock Multi-Index Life-style Balanced Portfolio, John Hancock Multi-Index Lifestyle Conservative Portfolio, John Hancock Multi-Index Lifestyle Growth Portfolio,John Hancock Multi-Index Lifestyle Moderate Portfolio, John Hancock Real Estate Securities Fund, John Hancock Science & TechnologyFund, John Hancock Small Company Value Fund, John Hancock Strategic Equity Allocation Fund and John Hancock U.S. Strategic EquityAllocation Fund

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the Portfolio of investments, of John Hancock Capital Appre-ciation Fund, John Hancock Capital Appreciation Value Fund, John Hancock Health Sciences Fund, John Hancock International Growth StockFund, John Hancock International Small Cap Fund, John Hancock International Strategic Equity Allocation Fund, John Hancock InternationalValue Fund, John Hancock Mid Cap Stock Fund, John Hancock Mid Value Fund, John Hancock Multi-Index Lifestyle Aggressive Portfolio, JohnHancock Multi-Index Lifestyle Balanced Portfolio, John Hancock Multi-Index Lifestyle Conservative Portfolio, John Hancock Multi-Index Life-style Growth Portfolio, John Hancock Multi-Index Lifestyle Moderate Portfolio, John Hancock Real Estate Securities Fund, John Hancock Sci-ence & Technology Fund, John Hancock Small Company Value Fund, John Hancock Strategic Equity Allocation Fund and John HancockU.S. Strategic Equity Allocation Fund (nineteen of the funds constituting John Hancock Funds II, hereafter collectively referred to as the�Funds�) as of August 31, 2019, the related statements of operations for the year ended August 31, 2019, the statements of changes in net assetsfor each of the two years in the period ended August 31, 2019, including the related notes, and the financial highlights for each of the periodsindicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all materialrespects, the financial position of each of the Funds as of August 31, 2019, the results of each of their operations for the year then ended, thechanges in each of their net assets for each of the two years in the period ended August 31, 2019 and each of the financial highlights for each ofthe periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financialstatements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board(United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws andthe applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we planand perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due toerror or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error orfraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding theamounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant esti-mates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation ofsecurities owned as of August 31, 2019 by correspondence with the custodians, transfer agents, agent banks and brokers; when replies were notreceived from transfer agents, agent banks and brokers, we performed other auditing procedures. We believe that our audits provide a reason-able basis for our opinions.

/s/ PricewaterhouseCoopers LLP

Boston, Massachusetts

October 24, 2019

We have served as the auditor of one or more investment companies in the John Hancock group of funds since 1988.

John Hancock Funds II

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For federal income tax purposes, the following information is furnished with respect to the distributions of the funds, if any, paid during its tax-able year ended August 31, 2019.

Dividend Received Deduction The funds report the maximum amount allowable of their net taxable income as eligible for the corporatedividends-received deduction.

Qualified Dividend Income The funds report the maximum amount allowable of their net taxable income as qualified dividend income as pro-vided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.

Each fund reports the maximum amount allowable of its Section 199A dividends as defined in Proposed Treasury Regulation §1.199A-3(d).

Foreign Tax Credit The following table details the income derived from foreign sources and the amounts the funds intend to pass through asforeign tax credits for the year ended August 31, 2019:

Fund Foreign sourced income Foreign tax credit

International Growth Stock Fund $7,583,519 $686,818International Small Cap Fund 5,810,869 574,403International Strategic Equity Allocation Fund 56,848,806 3,832,674International Value Fund 15,239,696 934,429Multi-Index Lifestyle Growth Portfolio 1,908,400 108,244

Long Term Capital Gains The funds below paid the following amounts in capital gain dividends.

Fund Long term capital gains

Capital Appreciation Fund $266,399,114Capital Appreciation Value Fund 154,034,999Health Sciences Fund 16,432,088International Growth Stock Fund 10,105,185International Small Cap Fund 70,895,454International Strategic Equity Allocation Fund 219,377,906Mid Cap Stock Fund 190,763,127Mid Value Fund 69,984,197Multi-Index Lifestyle Aggressive Portfolio 25,662,777Multi-Index Lifestyle Balanced Portfolio 40,728,656Multi-Index Lifestyle Conservative Portfolio 2,267,013Multi-Index Lifestyle Growth Portfolio 47,819,055Multi-Index Lifestyle Moderate Portfolio 7,149,845Real Estate Securities Fund 8,275,788Science & Technology Fund 62,190,134Small Company Value Fund 22,752,818Strategic Equity Allocation Fund 872,920,101U.S. Strategic Equity Allocation Fund 299,312,398

Eligible shareholders will be mailed a 2019 Form 1099-DIV in early 2020. This will reflect the tax character of all distributions paid in calendaryear 2019.

Please consult a tax advisor regarding the tax consequences of your investment in the fund.

John Hancock Funds IIFederal tax information (Unaudited)

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This section describes the evaluation by the Board of Trustees (the “Board”) ofJohn Hancock Funds II (the “Trust”) of the Advisory Agreement (the “AdvisoryAgreement”) with John Hancock Investment Management LLC (the “Advisor” ,formerly known as “John Hancock Advisers, LLC”) and each of the SubadvisoryAgreements (collectively, the “Subadvisory Agreements”) with respect to each ofthe portfolios of the Trust included in this report (the “Funds”). The AdvisoryAgreement and Subadvisory Agreements are collectively referred to as theAgreements. Prior to the June 23-16, 2019 in-person meeting at which theAgreements were approved, the Board also discussed and considered informationregarding the proposed continuation of the Agreements at an in-person meetingheld on May 28–30, 2019.

Approval of Advisory and Subadvisory Agreements

At in-person meetings held on June 23-26, 2019, the Board, including theTrustees who are not parties to any Agreement or considered to be interestedpersons of the Trust under the Investment Company Act of 1940, as amended(the 1940 Act) (the “Independent Trustees”), reapproved for an annual period,the continuation of the Advisory Agreement between the Trust and the Advisorand the applicable Subadvisory Agreements between the Advisor and the invest-ment subadvisors (each, “Subadvisor” and collectively, the “Subadvisors”) withrespect to each of the Funds identified below in Appendix A.

In considering the Advisory Agreement and the Subadvisory Agreements withrespect to each Fund, the Board received in advance of the meetings a variety ofmaterials relating to each Fund, the Advisor and each Subadvisor, including com-parative performance, fee and expense information for peer groups of similarfunds prepared by an independent third-party provider of fund data; perfor-mance information for the Funds’ benchmark indices; and, with respect to eachSubadvisor, comparative performance information for comparably managedaccounts, as applicable; and other information provided by the Advisor and theSubadvisors regarding the nature, extent and quality of services provided by theAdvisor and the Subadvisors under their respective Agreements, as well as infor-mation regarding the Advisor’s revenues and costs of providing services to theFunds and any compensation paid to affiliates of the Advisor. At the meetings atwhich the renewal of the Advisory Agreement and Subadvisory Agreements areconsidered, particular focus is given to information concerning Fund perfor-mance, comparability of fees and total expenses, and profitability. However, theBoard notes that the evaluation process with respect to the Advisor and theSubadvisors is an ongoing one. In this regard, the Board also took into accountdiscussions with management and information provided to the Board (includingits various committees) at prior meetings with respect to the services provided bythe Advisor and the Subadvisors to the Funds, including quarterly performancereports prepared by management containing reviews of investment results, andprior presentations from the Subadvisors with respect to the Funds they manage.The information received and considered by the Board in connection with theMay and June meetings and throughout the year was both written and oral. TheBoard noted the affiliation of certain of the Subadvisors with the Advisor, notingany potential conflicts of interest. The Board also considered the nature, quality,and extent of the services, if any, to be provided to the Funds by the Advisor’saffiliates, including distribution services. The Board considered the AdvisoryAgreement and the Subadvisory Agreement separately in the course of its review.In doing so, the Board noted the respective roles of the Advisor and Subadvisorin providing services to the Funds. In addition, although the Board approved therenewal of the Agreements for all the Funds at the June meeting, the Board con-sidered each Fund separately.

Throughout the process, the Board asked questions of and requested additionalinformation from management. The Board is assisted by counsel for the Trust andthe Independent Trustees are also separately assisted by independent legal counselthroughout the process. The Independent Trustees also received a memorandumfrom their independent legal counsel discussing the legal standards for theirconsideration of the proposed continuation of the Agreements and discussed theproposed continuation of the Agreements in private sessions with their indepen-dent legal counsel at which no representatives of management were present.

Approval of Advisory Agreement

In approving the Advisory Agreement with respect to each Fund, the Board,including the Independent Trustees, considered a variety of factors, includingthose discussed below. The Board also considered other factors (including condi-tions and trends prevailing generally in the economy, the securities markets andthe industry) and did not treat any single factor as determinative, and eachTrustee may have attributed different weights to different factors. The Board’sconclusions may be based in part on its consideration of the advisory andsubadvisory arrangements in prior years and on the Board’s ongoing regularreview of Fund performance and operations throughout the year.

Nature, Extent and Quality of Services. Among the informationreceived by the Board from the Advisor relating to the nature, extent and qualityof services provided to the Funds, the Board reviewed information provided bythe Advisor relating to its operations and personnel, descriptions of its organiza-tional and management structure, and information regarding the Advisor’s com-pliance and regulatory history, including its Form ADV. The Board also notedthat on a regular basis it receives and reviews information from the Trust’s ChiefCompliance Officer (“CCO”) regarding the Funds’ compliance policies andprocedures established pursuant to Rule 38a-1 under the 1940 Act. The Boardobserved that the scope of services provided by the Advisor, and of the under-takings required of the Advisor in connection with those services, includingmaintaining and monitoring its own and the fund’s compliance programs, riskmanagement programs, liquidity management programs and cybersecurityprograms, had expanded over time as a result of regulatory, market and otherdevelopments. The Board considered that the Advisor is responsible for themanagement of the day-to-day operations of the Funds, including but not limitedto, general supervision of and coordination of the services provided by theSubadvisors, and is also responsible for monitoring and reviewing the activities ofthe Subadvisors and other third-party service providers. The Board also consid-ered the significant risk assumed by the Advisor in connection with the servicesprovided to the Funds including entrepreneurial risk in sponsoring new Fundsand ongoing risks including investment, operational, enterprise, litigation, regula-tory and compliance risks with respect to all Funds.

In considering the nature, extent and quality of the services provided by theAdvisor, the Trustees also took into account their knowledge of the Advisor’smanagement and the quality of the performance of the Advisor’s duties, throughBoard meetings, discussions and reports during the preceding year and througheach Trustee’s experience as a Trustee of the Trust and of the other trusts inthe complex.

In the course of their deliberations regarding the Advisory Agreement, the Boardconsidered, among other things:

(a) the skills and competency with which the Advisor has in the past managedthe Trust’s affairs and its subadvisory relationships, the Advisor’s oversight andmonitoring of the Subadvisors’ investment performance and compliance pro-grams, such as the Subadvisors’ compliance with fund policies and objectives,review of brokerage matters including with respect to trade allocation and bestexecution, and the Advisor’s timeliness in responding to performance issues;

(b) the background, qualifications and skills of the Advisor’s personnel;

(c) the Advisor’s compliance policies and procedures and its responsiveness toregulatory changes and fund industry developments;

(d) the Advisor’s administrative capabilities, including its ability to supervise theother service providers for the Funds, as well as the Advisor’s oversight of anysecurities lending activity, its monitoring of class action litigation and collection ofclass action settlements on behalf of the fund, and bringing loss recovery actionson behalf of the fund;

(e) the financial condition of the Advisor and whether it has the financial where-withal to provide a high level and quality of services to the Funds;

Evaluation of advisory and subadvisory agreements by the board of trustees

178

(f) the Advisor’s initiative intended to improve various aspects of the Trust’soperations and investor experience with the Funds; and

(g) the Advisor’s reputation and experience in serving as an investment adviser tothe Trust and the benefit to shareholders of investing in funds that are part of afamily of funds offering a variety of investments.

The Board concluded that the Advisor may reasonably be expected to continue toprovide a high quality of services under the Advisory Agreement with respect tothe Funds.

Investment Performance. In considering each Fund’s performance, theBoard noted that it reviews at its regularly scheduled meetings information aboutthe Funds’ performance results. In connection with the consideration of theAdvisory Agreement, the Board:

(a) reviewed information prepared by management regarding the Funds’performance;

(b) considered the comparative performance of each Fund’s respectivebenchmark;

(c) considered the performance of comparable funds, if any, as included in thereport prepared by an independent third-party provider of fund data; and

(d) took into account the Advisor’s analysis of each Fund’s performance and itsplans and recommendations regarding the Trust’s subadvisory arrangementsgenerally and with respect to particular Funds.

The Board noted that while it found the data provided by the independent third-party generally useful it recognized its limitations, including in particular that thedata may vary depending on the end date selected and that the results of theperformance comparisons may vary depending on the selection of the peergroup. The Board reviewed Fund performance against each Fund’s respectivebenchmarks and also concluded that the performance of each of the Funds hasgenerally been in line with or generally outperformed the historical performanceof comparable funds and/or each Fund’s respective benchmark, with certainexceptions noted in Appendix A. In such cases, the Board concluded that suchperformance is being monitored and reasonably addressed, where appropriate.

Fees and Expenses. The Board reviewed comparative information preparedby an independent third-party provider of fund data including, among otherdata, each Fund’s contractual and net management fees (and subadvisory fees,to the extent available) and total expenses as compared to similarly situatedinvestment companies deemed to be comparable to the Fund in light of thenature, extent and quality of the management and advisory and subadvisoryservices provided by the Advisor and the Subadvisor. The Board considered eachFund’s ranking within a smaller group of peer funds chosen by the independentthird-party provider, as well as the Fund’s ranking within broader groups offunds. In comparing each Fund’s contractual and net management fees to thatof comparable funds, the Board noted that such fees include both advisory andadministrative costs.

The Board took into account management’s discussion of the Funds’ expenses.The Board took into account management’s discussion with respect to the overallmanagement fee and the fees of the Subadvisor, including the amount of theadvisory fee retained by the Advisor after payment of the subadvisory fee, in eachcase in light of the services rendered for those amounts and the risks undertakenby the Advisor. The Board also noted that the Advisor pays the subadvisory feesof the Funds, and that such fees are negotiated at arm’s length with respect to theunaffiliated Subadvisors. The Board also took into account that management hadagreed to implement an overall fee waiver across the complex, which is discussedfurther below. The Board also noted management’s discussion of the Funds’expenses, as well as any actions taken over the past several years to reduce theFunds’ operating expenses. The Board reviewed information provided by theAdvisor concerning investment advisory fee charged by the Advisor or one of itsadvisory affiliates to other clients (including other funds in the complex) having

similar investment mandates, if any. The Board considered any differencesbetween the Advisor’s and each Subadvisor’s services to a Fund and the servicesthey provide to other comparable clients or funds. The Board concluded that theadvisory fee paid with respect to each of the Funds is reasonable in light of thenature, extent and quality of the services provided to the Funds under theAdvisory Agreement.

In addition, in the case of the Multi-Index Lifestyle Funds (each a “Fund ofFunds”), the Trustees reviewed the advisory fee to be paid to the Advisor for eachFund of Funds, and concluded that such fee is based on services provided thatare in addition to, rather than duplicative of, the services provided pursuant tothe advisory agreements for the underlying funds of the Fund of Funds, and thatthe additional services are necessary because of the differences between theinvestment policies, strategies and techniques of a Fund of Funds and those of itsunderlying funds.

Profitability/Fall out benefits. In considering the costs of the servicesto be provided and the profits to be realized by the Advisor and its affiliates(including the Subadvisors that are affiliated with the Advisor) from the Advisor’srelationship with the Trust, the Board:

(a) reviewed financial information of the Advisor;

(b) reviewed and considered information presented by the Advisor regarding thenet profitability to the Advisor and its affiliates, of each Fund;

(c) received and reviewed profitability information with respect to the JohnHancock fund complex as a whole and with respect to each Fund;

(d) received information with respect to the Advisor’s allocation methodologiesused in preparing the profitability data and considered that the Advisor hired anindependent third-party consultant to provide an analysis of the Advisor’s alloca-tion methodologies;

(e) considered that the John Hancock insurance companies that are affiliatesof the Advisor, as shareholders of the Trust directly or through their separateaccounts, receive certain tax credits or deductions relating to foreign taxes paidand dividends received by certain Funds of the Trust and noted that these taxbenefits, which are not available to participants in qualified retirement plansunder applicable income tax law, are reflected in the profitability analysisreviewed by the Board;

(f) considered that the Advisor also provides administrative services to the Fundson a cost basis pursuant to an administrative services agreement;

(g) noted that certain of the Funds’ Subadvisors are affiliates of the Advisor;

(h) noted that affiliates of the Advisor provide transfer agency services anddistribution services to the fund, and that the fund’s distributor also receivesRule 12b-1 payments to support distribution of the fund;

(i) noted that the Advisor also derives reputational and other indirect benefitsfrom providing advisory services to the Funds;

(j) noted that the subadvisory fees for the Funds are paid by the Advisor and arenegotiated at arms’ length with respect to the unaffiliated Subadvisors;

(k) with respect to each Fund of Funds, the Board noted that the advisory fee isin addition to the fees received by the Advisor and its affiliates with regard to theunderlying portfolios in which each Fund of Funds may invest;

(l) considered the Advisor’s ongoing costs and expenditures necessary to improveservices, meet new regulatory and compliance requirements, and adapt to otherchallenges impacting the fund industry; and

(m) considered that the Advisor should be entitled to earn a reasonable level ofprofits in exchange for the level of services it provides to each Fund and the risksthat it assumes as Advisor, including entrepreneurial, operational, reputational,litigation and regulatory risk.


179

Based upon its review, the Board concluded that the level of profitability, if any,of the Advisor and its affiliates (including any Subadvisors that are affiliatedwith the Advisor), from their relationship with each Fund was reasonable andnot excessive.

Economies of Scale. In considering the extent to which a Fund may realizeany economies of scale and whether fee levels reflect these economies of scale forthe benefit of Fund shareholders, the Board:

(a) considered that the Advisor has contractually agreed to waive a portion of itsmanagement fee for certain funds of the John Hancock Fund Complex, includingthe fund (the participating portfolios) or otherwise reimburse the expenses of theparticipating portfolios (the reimbursement). This waiver is based upon aggregatenet assets of all the participating portfolios. The amount of the reimbursement iscalculated daily and allocated among all the participating portfolios in proportionto the daily net assets of each fund. The Multi-Index Lifestyle Funds benefit fromthe waiver through their investment, to the extent that they invest in participatingportfolios and;

(b) reviewed the Trust’s advisory fee structure and the incorporation therein ofany subadvisory fee breakpoints in the advisory fees charged and concludedthat (i) most of the Funds’ fee structures contain breakpoints at the subadvisoryfee level and that such breakpoints are reflected as breakpoints in the advisoryfees for Funds and (ii) although economies of scale cannot be measured withprecision, these arrangements permit shareholders of Funds with advisory feebreakpoints to benefit from economies of scale if those Funds grow. The Boardalso took into account management’s discussion of the Funds’ advisory feestructure, including with respect to those Funds that did not currently havebreakpoints; and

(c) considered the effect of the Funds’ growth in size on their performance andfees. The Board also noted that if the Funds’ assets increase over time, the Fundsmay realize other economies of scale.

Approval of Subadvisory Agreements

In making its determination with respect to approval of the SubadvisoryAgreements, the Board reviewed:

(1) information relating to each Subadvisor’s business, including current sub-advisory services to the Trust (and other funds in the John Hancock familyof funds);

(2) the historical and current performance of each Fund and comparative perfor-mance information relating to the Fund’s benchmark and comparable funds;

(3) the subadvisory fee for each Fund, and comparative fee information, whereavailable, prepared by an independent third party provider of fund data; and

(4) information relating to the nature and scope of any material relationships andtheir significance to the Trust’s Advisor and unaffiliated Subadvisors.

Nature, Extent and Quality of Services. With respect to the servicesprovided by each of the Subadvisors with respect to each Fund, the Boardreceived information provided to the Board by each Subadvisor, including eachSubadvisor’s Form ADV, as well as took into account information presentedthroughout the past year. The Board considered each Subadvisor’s current levelof staffing and its overall resources, as well as received information relating toa Subadvisor’s compensation program. The Board reviewed each Subadvisor’shistory and investment experience, as well as information regarding the qualifica-tions, background and responsibilities of each Subadvisor’s investment andcompliance personnel who provide services to the Funds. The Board alsoconsidered, among other things, each Subadvisor’s compliance program and anydisciplinary history. The Board also considered each Subadvisor’s risk assessmentand monitoring process. The Board reviewed each Subadvisor’s regulatory history,including whether it was involved in any regulatory actions or investigationsas well as material litigation, and any settlements and amelioratory actionsundertaken, as appropriate. The Board noted that the Advisor conducts regular,periodic reviews of each Subadvisor and its operations, including regarding

investment processes and organizational and staffing matters. The Board alsonoted that the CCO and his staff conduct regular, periodic compliance reviewswith each of the Subadvisors and present reports to the Independent Trusteesregarding the same, which includes evaluating the regulatory compliance systemsof the Subadvisors and procedures reasonably designed by them to assure com-pliance with the federal securities laws. The Board also took into account thefinancial condition of each Subadvisor.

The Board considered each Subadvisor’s investment process and philosophy. TheBoard took into account that each Subadvisor’s responsibilities include the devel-opment and maintenance of an investment program for the applicable Fund thatis consistent with the Fund’s investment objective, the selection of investmentsecurities and the placement of orders for the purchase and sale of such securi-ties, as well as the implementation of compliance controls related to performanceof these services. The Board also received information with respect to eachSubadvisor’s brokerage policies and practices, including with respect to bestexecution and soft dollars.

Subadvisor Compensation. In considering the cost of services to beprovided by each Subadvisor and the profitability to that Subadvisor of its rela-tionship with the Fund, the Board noted that the fees under the SubadvisoryAgreements are paid by the Advisor and not the Funds. The Board also receivedinformation and took into account any other potential conflicts of interest theAdvisor might have in connection with the Subadvisory Agreements. The Boardalso relied on the ability of the Advisor to negotiate each Subadvisory Agreementwith Subadvisors that are not affiliated with the Advisor and the fees thereunderat arm’s length. As a result, the costs of the services to be provided and the profitsto be realized by unaffiliated Subadvisors from their relationship with the Trustwere not a material factor in the Board’s consideration of the SubadvisoryAgreements.

The Board also received information regarding the nature and scope (includingtheir significance to the Advisor and its affiliates and to unaffiliated Subadvisors)of any material relationships with respect to the unaffiliated Subadvisors, whichinclude arrangements in which unaffiliated Subadvisors or their affiliates provideadvisory, distribution or management services in connection with financialproducts sponsored by the Trust’s Advisor or its affiliates, and may include sharesof the Trust, other registered investment companies, a 529 education savingsplan, managed separate accounts and exempt group annuity contracts sold toqualified plans.

In addition, the Board considered other potential indirect benefits that theSubadvisors and their affiliates may receive from a Subadvisor’s relationship withthe Fund, such as the opportunity to provide advisory services to additionalfunds in the John Hancock fund complex and reputational benefits.

Subadvisory Fees. The Board considered that the Fund pays an advisoryfee to the Advisor and that, in turn, the Advisor pays subadvisory fees to eachSubadvisor. As noted above, the Board also considered, if available, each Fund’ssubadvisory fees as compared to similarly situated investment companies deemedto be comparable to the Fund as included in the report prepared by the indepen-dent third party provider of fund data, to the extent applicable. The Board notedthat the limited size of the Lipper peer group was not sufficient for comparativepurposes. The Board also took into account the subadvisory fees paid by theAdvisor to a Subadvisor with respect to the Funds to fees charged by each Fund’sSubadvisor to manage other subadvised portfolios and portfolios not subject toregulation under the 1940 Act, as applicable.

Subadvisor Performance. As noted above, the Board considered eachFund’s performance as compared to the Fund’s respective peer group and thebenchmark index and noted that the Board reviews information about the Fund’sperformance results at its regularly scheduled meetings. The Board noted theAdvisor’s expertise and resources in monitoring the performance, investment style,and risk-adjusted performance of each Subadvisor. The Board was mindful of theAdvisor’s focus on each Subadvisor’s performance. The Board also noted eachSubadvisor’s long-term performance record for similar accounts, as applicable.


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The Board’s decision to approve the Subadvisory Agreements with respect to eachFund was based on a number of determinations, including the following:

(1) each Subadvisor has extensive experience and demonstrated skills as amanager;

(2) although not without variation, the performance of each Fund managed by aSubadvisor generally has been in line with or outperformed the historicalperformance of comparable funds and/or each Fund’s respective benchmark,with the exceptions noted in Appendix A (with respect to such exceptions,the Board concluded that performance is being monitored and reasonablyaddressed);

(3) the subadvisory fees are reasonable in relation to the level and quality ofservices being provided under the Subadvisory Agreements; and

(4) the subadvisory fees are paid by the Advisor and not the Funds, and thatthe fee structure for certain of the Funds contains breakpoints, certain break-points are reflected as breakpoints in the advisory fees for the Funds inorder to permit shareholders to benefit from economies of scale if thoseFunds grow.

In addition, in the case of each Fund of Funds, the Trustees reviewed the subad-visory fee to be paid to the Subadvisor for the Fund of Funds and concluded that

the subadvisory fee to be paid to the Subadvisor with respect to each Fund ofFunds is based on services provided that are in addition to, rather than duplica-tive of, the services provided pursuant to the subadvisory agreements for theunderlying portfolios of the Fund of Funds and that the additional services arenecessary because of the differences between the investment policies, strategiesand techniques of a Fund of Funds and those of its underlying portfolios.Additional information relating to each Fund’s fees and expenses and perfor-mance that the Board considered in approving the Advisory Agreement andSubadvisory Agreements for a particular Fund is set forth in Appendix A.

* * *

Based on the Board’s evaluation of all factors that the Board deemed to bematerial, including those factors described above, the Board, including theIndependent Trustees, concluded that renewal of the Advisory Agreement andeach of the Subadvisory Agreements with respect to each Fund would be in thebest interest of each of the respective Funds and its shareholders. Accordingly,the Board, and the Independent Trustees voting separately, approved the AdvisoryAgreement and Subadvisory Agreements with respect to each Fund for anadditional one-year period.


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Portfolio(subadvisors)

Performance of fund,as of 12.31.2018 Fees and expenses Comments

JHF II Capital Appreciation Fund

(Jennison Associates LLC)

Benchmark Index — The fundoutperformed for the one-yearperiod and underperformed forthe three-, five- and ten-yearperiods.

Lipper Category — The fundoutperformed the average for theone-, three-, five- and ten-yearperiods.

Subadvisory fee comparative datanot provided due to limited sizeof Lipper peer group for thispurpose.

Net management fees for thisfund are higher than the peergroup median.

Total expenses for this fund arelower than the peer groupmedian.

The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tobenchmark index for the one-year period and the peer groupfor the one-, three-, five- andten-year periods.

The Board took into accountmanagement’s discussion of thefund’s expenses.

JHF II Capital Appreciation ValueFund

(T. Rowe Price Associates, Inc.)

Benchmark Index — The fundoutperformed for the one-, three-and five-year periods.

Lipper Category — The fundoutperformed the average for theone-, three- and five-yearperiods.




The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe benchmark index and peergroup for the one-, three- andfive-year periods.


JHF II Health Sciences Fund


Benchmark Index — The fundunderperformed for the one- andthree-year periods andoutperformed for the five-yearperiod.


Subadvisor fee comparative datanot provided due to limited sizeof Lipper peer group for thispurpose.


Total expenses for this fund arehigher than the peer groupmedian.

The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe benchmark index for thefive-year period and to the peergroup for the one-, three- andfive-year periods.


JHF II International Growth StockFund

(Invesco Advisers, Inc.)

Benchmark Index — The fundunderperformed for the one-,three- and five-year periods.

Lipper Category — The fundunderperformed the average forthe one-, three- and five-yearperiods.

The Subadvisory fee for the fundis lower than the peer groupmedian.

Net management fees for thisfund are equal to the peer groupmedian.


The Board took into accountmanagement’s discussion of thefund’s performance.

The Board concluded that thefund’s performance is beingmonitored and reasonablyaddressed, where appropriate.

Appendix A

182



JHF II International Small Cap Fund

(Franklin Templeton InvestmentsCorp.)

Benchmark Index — The fundunderperformed for the one-,three-, five- and ten-year periods.

Lipper Category — The fundoutperformed the average for theone-, three- and ten-year periodsand underperformed the averagefor the five-year periods.




The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe peer group for the one-,three- and ten-year periods.

The Board took into accountpotential actions managementwas considering taking withrespect to the fund andconcluded that the fund’sperformance is being monitoredand reasonably addressed, whereappropriate.


JHF II International Strategic EquityAllocation Fund

(Manulife Investment Management(United States))

Benchmark Index — The fundunderperformed for the one-yearperiod.

Lipper Category — The fundoutperformed the average for theone-year period.


Net management fees for thisfund are lower than the peergroup median.


The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe peer group for the one-yearperiod. The Board concludedthat the fund’s performance isbeing monitored and reasonablyaddressed, where appropriate.

The Board also noted therelatively short performancehistory of the fund.

JHF II International Value Fund

(Templeton Investment Counsel,LLC)

Benchmark Index — The fundunderperformed for the one-,five- and ten-year periods andoutperformed for the three-yearperiod.

Lipper Category — The fundoutperformed the average for theone-, three- and ten-year periodsand underperformed the averagefor five-year period.




The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe benchmark for the three-yearperiod and to the peer group forthe one-, three- and ten-yearperiods.


JHF II Mid Cap Stock Fund

(Wellington Management Company,LLP)

Benchmark Index — The fundoutperformed for the one-yearperiod and underperformed forthe three-, five- and ten-yearperiods.

Lipper Category — The fundoutperformed the average for theone-, three- and five-year periodsand underperformed the averagefor the ten-year period.




The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe benchmark for the one-yearperiod and the peer group forthe one-, three- and five-yearperiods.


Appendix A

183



JHF II Mid Value Fund


Benchmark Index — The fundoutperformed for the one-, three-and five-year periods..





The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe benchmark index and peergroup for the one-, three- andfive-year periods.


Multi-Index Lifestyle AggressivePortfolio

(Manulife Investment Management(US))


Lipper Category — The fundoutperformed the average for theone-,three- and five-year periods.




The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe peer group for the one-,three- and five-year periods.


Multi-Index Lifestyle BalancedPortfolio









Multi-Index Lifestyle ConservativePortfolio







The Board took into accountmanagement’s discussion of thefund’s performance including thefavorable performance relative tothe peer group for the one-,three- and five-year periods.


Multi-Index Lifestyle GrowthPortfolio









Appendix A

184



Multi-Index Lifestyle ModeratePortfolio









JHF II Real Estate Securities Fund

(Deutsche Investment ManagementAmericas Inc./RREEF America LLC)

Benchmark Index — The fundoutperformed for the one-,three-, five- and ten-year periods.

Lipper Category — The fundoutperformed the average for theone-, three-, five- and ten-yearperiods.




The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe benchmark and peer groupfor the one-, three-, five- andten-year periods.

JHF II Science & Technology Fund

(Allianz Global Investors U.S. LLC)


Benchmark Index — The fundoutperformed for the one-,three-and five-year periods.





The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe benchmark index and to thepeer group for the one-,three-and five-year periods.


JHF II Small Cap Stock Fund

(Wellington Management Company,LLP)

Benchmark Index — The fundoutperformed for the one-yearperiod and underperformed forthe three-,five- and ten-yearperiods.

Lipper Category — The fundunderperformed the average forthe one-, three-, five- and ten-year periods.




The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe benchmark index for theone-year period. The Boardconcluded that the fund’sperformance is being monitoredand reasonably addressed, whereappropriate.


Appendix A

185



JHF II Small Company Value Fund


Benchmark Index — The fundoutperformed for the one-,three-, five-and ten-year periods.

Lipper Category — The fundoutperformed the average for theone-, three- and five-year periodsand underperformed the averagefor the ten-year period.




The Board took into accountmanagement’s discussion of thefund’s performance including thefavorable performance relative tothe benchmark index for theone-, three-, five- and ten-yearperiods and to the peer groupfor the one-, three- and five-yearperiods.


JHF II Strategic Equity AllocationFund








JHF II U.S. Strategic EquityAllocation Fund


Benchmark Index — The fundunderperformed for the one-yearperiod.

Lipper Category — The fundoutperformed for the one-yearperiod.




The Board took into accountmanagement’s discussion of thefund’s performance, including thefavorable performance relative tothe peer group for the one-yearperiod.

The Board also noted therelatively short performancehistory of the fund.

Appendix A

186

This chart provides information about the Trustees and Officers of John Hancock Funds II who oversee your John Hancock funds. Officerselected by the Trustees manage the day-to-day operations of the Funds and execute policies formulated by the Trustees.

INDEPENDENT TRUSTEES

Name, Year of Birth Position with the Trust1Principal Occupation(s) andOther Directorships During Past Five Years

Hassell H. McClellanBorn: 1945

Trustee (since 2005)and Chairperson of theBoard (since 2017)

Director/Trustee, Virtus Funds (since 2008); Director, The BarnesGroup (since 2010); Associate Professor, The Wallace E. CarrollSchool of Management, Boston College (retired 2013).

Trustee (since 2005) and Chairperson of the Board (since 2017) ofvarious trusts within the John Hancock Fund Complex.

Charles L. Bardelis2

Born: 1941Trustee(since 2005)

Director, Island Commuter Corp. (marine transport).

Trustee of various trusts within the John Hancock Fund Complex(since 1988).

James R. BoyleBorn: 1959

Trustee(since 2015)

Chief Executive Officer, Foresters Financial (since 2018); Chairman andChief Executive Officer, Zillion Group, Inc. (formerly HealthFleet, Inc.)(healthcare) (2014–2018); Executive Vice President and Chief ExecutiveOfficer, U.S. Life Insurance Division of Genworth Financial, Inc.(insurance) (January 2014–July 2014); Senior Executive Vice President,Manulife Financial, President and Chief Executive Officer, JohnHancock (1999–2012); Chairman and Director, John HancockInvestment Management LLC, John Hancock Investment ManagementDistributors LLC, and John Hancock Variable Trust Advisers LLC(2005–2010).

Trustee of various trusts within the John Hancock Fund Complex(2005–2014 and since 2015).

Peter S. Burgess2


Consultant (financial, accounting, and auditing matters) (since1999); Certified Public Accountant; Partner, Arthur Andersen(independent public accounting firm) (prior to 1999); Director,Lincoln Educational Services Corporation (since 2004); Director,Symetra Financial Corporation (2010–2016); Director, PMA CapitalCorporation (2004–2010).


William H. CunninghamBorn: 1944

Trustee(since 2012 and 2005-2006)

Professor, University of Texas, Austin, Texas (since 1971); formerChancellor, University of Texas System and former President of theUniversity of Texas, Austin, Texas; Chairman (since 2009) andDirector (since 2006), Lincoln National Corporation (insurance);Director, Southwest Airlines (since 2000); former Director, LINTelevision (2009–2014).


Grace K. FeyBorn: 1946

Trustee(since 2008)

Chief Executive Officer, Grace Fey Advisors (since 2007); Directorand Executive Vice President, Frontier Capital ManagementCompany (1988–2007); Director, Fiduciary Trust (since 2009).


Trustees and officers information

187


Deborah C. JacksonBorn: 1952

Trustee(since 2012)

President, Cambridge College, Cambridge, Massachusetts (since2011); Board of Directors, National Association of CorporateDirectors/New England (since 2015); Board of Directors, Associationof Independent Colleges and Universities of Massachusetts (since2014); Chief Executive Officer, American Red Cross of MassachusettsBay (2002–2011); Board of Directors of Eastern Bank Corporation(since 2001); Board of Directors of Eastern Bank CharitableFoundation (since 2001); Board of Directors of American StudentAssistance Corporation (1996–2009); Board of Directors of BostonStock Exchange (2002–2008); Board of Directors of Harvard PilgrimHealthcare (health benefits company) (2007–2011).


James M. Oates2


Managing Director, Wydown Group (financial consulting firm)(since 1994); Chairman and Director, Emerson InvestmentManagement, Inc. (2000–2015); Independent Chairman, HudsonCastle Group, Inc. (formerly IBEX Capital Markets, Inc.) (financialservices company) (1997–2011); Director, Stifel Financial (since1996); Director, Investor Financial Services Corporation(1995–2007); Director, Connecticut River Bancorp (1998–2014);Director/Trustee, Virtus Funds (since 1988).

Trustee (since 2004) and Chairperson of the Board (2005–2016) ofvarious trusts within the John Hancock Fund Complex.

Steven R. PruchanskyBorn: 1944

Trustee and Vice Chairpersonof the Board(since 2012)

Managing Director, Pru Realty (since 2017); Chairman and ChiefExecutive Officer, Greenscapes of Southwest Florida, Inc.(2000–2014); Director and President, Greenscapes of SouthwestFlorida, Inc. (until 2000); Member, Board of Advisors, FirstAmerican Bank (until 2010); Managing Director, Jon James, LLC(real estate) (since 2000); Partner, Right Funding, LLC (2014–2017);Director, First Signature Bank & Trust Company (until 1991);Director, Mast Realty Trust (until 1994); President, Maxwell BuildingCorp. (until 1991).

Trustee (since 1992), Chairperson of the Board (2011–2012), andVice Chairperson of the Board (since 2012) of various trusts withinthe John Hancock Fund Complex.

Gregory A RussoBorn: 1949

Trustee(since 2012)

Director and Audit Committee Chairman (since 2012), and Member,Audit Committee and Finance Committee (since 2011), NCHHealthcare System, Inc. (holding company for multi-entity healthcaresystem); Director and Member (2012–2018), and FinanceCommittee Chairman (2014–2018), The Moorings, Inc. (nonprofitcontinuing care community); Vice Chairman, Risk & RegulatoryMatters, KPMG LLP (KPMG) (2002–2006); Vice Chairman,Industrial Markets, KPMG (1998–2002); Chairman and Treasurer,Westchester County, New York, Chamber of Commerce(1986–1992); Director, Treasurer and Chairman of Audit andFinance Committees, Putnam Hospital Center (1989–1995); Directorand Chairman of Fundraising Campaign, United Way of Westchesterand Putnam Counties, New York (1990–1995).



188

NON-INDEPENDENT TRUSTEES3


Andrew G. ArnottBorn: 1971

President and Non-IndependentTrustee(Since 2017)

Head of Wealth and Asset Management, United States and Europe, forJohn Hancock and Manulife (since 2018); Executive Vice President,John Hancock Financial Services (since 2009, including priorpositions); Director and Executive Vice President, John HancockInvestment Management LLC (since 2005, including prior positions);Director and Executive Vice President, John Hancock Variable TrustAdvisers LLC (since 2006, including prior positions); President,John Hancock Investment Management Distributors LLC (since 2004,including prior positions); President of various trusts within theJohn Hancock Fund Complex (since 2007, including prior positions).


Marianne HarrisonBorn: 1963

Non-Independent Trustee(since 2018)

President and CEO, John Hancock (since 2017); President and CEO,Manulife Canadian Division (2013–2017); Member, Board ofDirectors, American Council of Life Insurers (ACLI) (since 2018);Member, Board of Directors, Communitech, an industry-ledinnovation center that fosters technology companies in Canada(since 2017); Member, Board of Directors, Manulife AssuranceCanada (2015–2017); Board Member, St. Mary’s General HospitalFoundation (2014–2017); Member, Board of Directors, ManulifeBank of Canada (2013–2017); Member, Standing Committee ofthe Canadian Life & Health Assurance Association (2013–2017);Member, Board of Directors, John Hancock USA, John HancockLife & Health, John Hancock New York (2012–2013).



189

PRINCIPAL OFFICERS WHO ARE NOT TRUSTEES

Name, Year of Birth Position with the TrustPrincipal Occupation(s) andOther Directorships During Past Five Years

Francis V. Knox, Jr.Born: 1947

Chief Compliance Officer(since 2005)

Vice President, John Hancock Financial Services (since 2005); ChiefCompliance Officer, various trusts within the John Hancock FundComplex, John Hancock Investment Management LLC, and JohnHancock Variable Trust Advisers LLC (since 2005).

Charles A. RizzoBorn: 1957

Chief Financial Officer(since 2007)

Chief Financial Officer Vice President, John Hancock FinancialServices (since 2008); Senior Vice President, John HancockInvestment Management LLC and John Hancock Variable TrustAdvisers LLC (since 2008); Chief Financial Officer of various trustswithin the John Hancock Fund Complex (since 2007).

Salvatore SchiavoneBorn: 1965

Treasurer(2007-2009 and since 2010,including prior positions)

Assistant Vice President, John Hancock Financial Services (since2007); Vice President, John Hancock Investment Management LLCand John Hancock Variable Trust Advisers LLC (since 2007);Treasurer of various trusts within the John Hancock Fund Complex(since 2007, including prior positions).

Christopher (Kit) SechlerBorn: 1973

Chief Legal Officer andSecretary(since 2018)

Vice President and Deputy Chief Counsel, John HancockInvestments (since 2015); Assistant Vice President and SeniorCounsel (2009 -2015), John Hancock Investment Management;Chief Legal Officer and Secretary of various trusts within theJohn Hancock Fund Complex (since 2018); Assistant Secretaryof John Hancock Investment Management LLC and John HancockVariable Trust Advisers LLC (since 2009).

1 Each Trustee holds office until his or her successor is elected and qualified, or until the Trustee’s death, retirement, resignation, or removal.Mr. Boyle has served as Trustee at various timesprior to the date listed in the table.

2 Member of the Audit Committee.

3 The Trustee is a Non-Independent Trustee due to current or former positions with the Advisor and certain affiliates.

The business address for all Trustees and Officers is 200 Berkeley Street, Boston, Massachusetts 02116-5010.

The Statement of Additional Information of the fund includes additional information about members of the Board of Trustees of the Trust and is available without charge, upon request, bycalling 1-800-225-5291.


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The Statement of Additional Information, a separate document with supplemental information not contained in the prospectus, includes additional information on the Board of Trusteesand can be obtained without charge by calling 800-344-1029 or on the Securities and Exchange Commission (SEC) website at sec.gov.

PROXY VOTING POLICY A description of the trust’s proxy voting policies and procedures and information regarding how the trust voted proxies relating to portfolio securities duringthe most recent twelve-month period ended June 30 is available without charge, upon request, by calling 800-344-1029 or on the SEC website at sec.gov.

QUARTERLY PORTFOLIO DISCLOSURE The Trust’s complete schedule of portfolio holdings as of the end of the third month of every fiscal quarter are filed with the SEC on Form N-PORTwithin 60 days of the end of the fiscal quarter. N-PORT filings are available on our website and the SEC’s website, sec.gov.

The report is certified under the Sarbanes-Oxley Act, which requires mutual funds and other public companies to affirm that, to the best of their knowledge, the information in their financialreports is fairly and accurately stated in all material respects.

John Hancock Funds IIFor more information

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Management of the trust

Trustees

Hassell H. McClellan, ChairpersonSteven R. Pruchansky, Vice ChairpersonAndrew G. Arnott†Charles L. Bardelis*James R. BoylePeter S. Burgess*William H. CunninghamGrace K. FeyMarianne Harrison†Deborah C. JacksonJames M. Oates*Gregory A. Russo

OfficersAndrew G. Arnott. PresidentFrancis V. Knox, Jr., Chief Compliance OfficerCharles A. Rizzo, Chief Financial OfficerSalvatore Schiavone, TreasurerChristopher (Kit) Sechler, Secretary and

Chief Legal Officer#

* Member of the Audit Committee† Non-Independent Trustee# Effective 9-13-18

Investment advisorJohn Hancock Investment Management LLCBoston, Massachusetts

Principal distributor

John Hancock InvestmentManagement Distributors LLC

Custodians

Citibank, N.A.State Street Bank and Trust Company

Legal counsel

K&L Gates LLP

200 Berkeley StreetBoston MA 02116-5010

JHF2A 8/1910/19

JOHN HANCOCK Funds II€¦ · resolved. As the period ended, markets declined again on trade...

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