SMALL CAP INDEX PORTFOLIO Schedule of Investments as … · SMALL CAP INDEX PORTFOLIO Schedule of Investments as of March 29, 2019 (unaudited) The accompanying Notes to Schedule of

Small Cap Index portfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.1

Shares Common Stock (98.5%) ValueCommunications Services (1.7%)

8,740 ATN International, Inc. $510,15440,429 Cincinnati Bell, Inc.a 204,97533,106 Cogent Communications Holdings 1,824,14157,175 Consolidated Communications

Holdings, Inc. 272,15343,273 E.W. Scripps Company 574,66684,575 Frontier Communications

Corporationa,b 73,32791,074 Gannett Company, Inc. 978,13576,837 Iridium Communications, Inc.a 1,635,09148,056 New Media Investment Group, Inc.b 423,37336,446 QuinStreet, Inc.a 458,85524,508 Scholastic Corporation 925,42214,448 Spok Holdings, Inc. 172,509

180,818 Vonage Holdings Corporationa 2,043,243Total 10,096,044

Consumer Discretionary (13.9%) 50,173 Abercrombie & Fitch Company 782,69989,739 American Axle & Manufacturing

Holdings, Inc.a 737,65512,751 American Public Education, Inc.a 284,85715,373 Asbury Automotive Group, Inc.a 1,573,11929,413 Barnes & Noble Education, Inc.a 91,76930,994 Big Lots, Inc. 759,35316,257 BJ's Restaurants, Inc. 631,42268,993 Bloomin' Brands, Inc. 1,306,03822,753 Boot Barn Holdings, Inc.a 794,08022,834 Buckle, Inc.b 470,38033,778 Caleres, Inc. 790,74374,763 Callaway Golf Company 1,451,15056,039 Career Education Corporationa 890,46017,363 Cato Corporation 305,762

6,808 Cavco Industries, Inc.a 1,307,74920,799 Century Communities, Inc.a 637,07393,566 Chico's FAS, Inc. 377,07112,372 Children's Place, Inc.b 952,52013,194 Chuy's Holdings, Inc.a 326,68315,157 Conn's, Inc.a,b 376,80339,868 Cooper Tire & Rubber Company 1,041,35213,430 Cooper-Standard Holdings, Inc.a 549,01836,454 Core-Mark Holding Company, Inc. 1,170,72049,782 Crocs, Inc.a 1,381,94824,438 Dave & Buster's Entertainment, Inc. 951,86043,840 Designer Brands, Inc. 750,54113,647 Dine Brands Global, Inc. 1,035,26123,174 Dorman Products, Inc.a 1,843,26016,391 El Pollo Loco Holdings, Inc.a 179,64519,435 Ethan Allen Interiors, Inc. 371,20955,039 Express, Inc.a 189,33417,029 Fiesta Restaurant Group, Inc.a 177,44236,656 Fossil, Inc.a,b 458,56730,510 Fox Factory Holding Corporationa 1,898,94272,243 GameStop Corporationb 398,78159,448 Garrett Motion, Inc.a 592,10211,295 Genesco, Inc.a 452,02626,207 Gentherm, Inc.a 1,076,71534,142 G-III Apparel Group, Ltd.a 879,83913,870 Group 1 Automotive, Inc. 1,280,34033,886 Guess ?, Inc. 627,90814,435 Haverty Furniture Companies, Inc. 292,59714,207 Hibbett Sports, Inc.a,b 325,34016,934 Installed Building Products, Inc.a 970,99622,430 iRobot Corporationa,b 1,383,258

237,386 J.C. Penney Company, Inc.a,b 211,01237,220 Kontoor Brands, Inc. 1,306,422

Shares Common Stock (98.5%) ValueConsumer Discretionary (13.9%) - continued

37,052 La-Z-Boy, Inc. $1,244,57719,884 LCI Industries 1,826,34515,858 LGI Homes, Inc.a,b 1,321,28921,400 Liquidity Services, Inc.a 158,36017,810 Lithia Motors, Inc. 2,357,68822,986 Lumber Liquidators Holdings, Inc.a,b 226,87239,412 M.D.C. Holdings, Inc. 1,698,65722,104 M/I Homes, Inc.a 832,21618,262 Marcus Corporation 675,87717,330 MarineMax, Inc.a 268,26828,591 Meritage Homes Corporationa 2,011,37764,155 Michaels Companies, Inc.a,b 628,077

9,499 Monarch Casino & Resort, Inc.a 396,01326,398 Monro, Inc. 2,085,70615,106 Motorcar Parts of America, Inc.a 255,29113,252 Movado Group, Inc. 329,445

434,496 Office Depot, Inc. 762,54113,523 Oxford Industries, Inc. 969,59916,089 PetMed Express, Inc.b 289,92410,413 Red Robin Gourmet Burgers, Inc.a 346,33619,576 Regis Corporationa 395,82738,808 Rent-A-Center, Inc. 1,000,85812,704 RHa,b 2,170,22422,024 Ruth's Hospitality Group, Inc. 449,62024,304 Shake Shack, Inc.a 2,382,764

7,354 Shoe Carnival, Inc.b 238,34315,144 Shutterstock, Inc.a 547,00141,526 Signet Jewelers, Ltd. 695,97623,299 Sleep Number Corporationa 962,71519,119 Sonic Automotive, Inc. 600,52813,015 Stamps.com, Inc.a 968,96715,962 Standard Motor Products, Inc. 774,95562,032 Steven Madden, Ltd. 2,220,12517,442 Strategic Education, Inc. 2,370,01913,198 Sturm, Ruger & Company, Inc. 551,14940,235 Tailored Brands, Inc.b 177,03418,236 TechTarget, Inc.a 410,76629,127 Tile Shop Holdings, Inc. 92,91527,239 TopBuild Corporationa 2,626,65738,768 Tupperware Brands Corporation 615,24811,666 Unifi, Inc.a 255,71911,088 Universal Electronics, Inc.a 564,37918,758 Vera Bradley, Inc.a 189,45646,254 Vista Outdoor, Inc.a 286,31212,557 Vitamin Shoppe, Inc.a 81,87226,255 William Lyon Homesa 534,55223,394 Wingstop, Inc. 2,041,82825,122 Winnebago Industries, Inc. 963,42967,738 Wolverine World Wide, Inc. 1,914,27616,172 Zumiez, Inc.a 512,248

Total 82,924,041

Consumer Staples (4.2%) 25,902 Andersons, Inc. 580,982

352,252 Avon Products, Inc.a 1,549,90952,232 B&G Foods, Inc. 987,70713,002 Calavo Growers, Inc.b 1,237,53024,064 Cal-Maine Foods, Inc. 961,477

8,292 Central Garden & Pet Companya 242,37532,951 Central Garden & Pet Company,

Class Aa 913,56720,217 Chefs' Warehouse, Inc.a 815,1503,688 Coca-Cola Consolidated, Inc. 1,120,673

130,902 Darling Ingredients, Inc.a 2,504,15573,449 Dean Foods Companyb 85,20124,148 Fresh Del Monte Produce, Inc. 823,688


(unaudited)


Shares Common Stock (98.5%) ValueConsumer Staples (4.2%) - continued

13,994 Inter Parfums, Inc. $979,16011,826 J & J Snack Foods Corporation 2,270,592

6,986 John B. Sanfilippo & Son, Inc. 674,8489,404 Medifast, Inc.b 974,537

10,551 MGP Ingredients, Inc. 524,1749,262 National Beverage Corporationb 410,862

17,724 PriceSmart, Inc. 1,260,1765,319 Seneca Foods Corporationa 165,847

28,875 SpartanNash Company 341,59142,138 United Natural Foods, Inc.a 485,43019,841 Universal Corporation 1,087,48510,257 USANA Health Sciences, Inc.a 701,47691,207 Vector Group, Ltd. 1,086,27510,908 WD-40 Company 2,002,054

Total 24,786,921

Energy (3.7%) 101,433 Archrock, Inc. 1,011,287

14,755 Bonanza Creek Energy, Inc.a 330,36452,461 C&J Energy Services, Inc.a 562,907

181,513 Callon Petroleum Companya,b 787,76673,538 Carrizo Oil & Gas, Inc.a 631,32421,665 CONSOL Energy, Inc.a 338,624

369,812 Denbury Resources, Inc.a,b 440,07651,880 Diamond Offshore Drilling, Inc.a,b 288,45328,768 Dril-Quip, Inc.a 1,443,57815,688 Era Group, Inc.a 165,66523,555 Exterran Corporationa 307,62810,949 Geospace Technologies Corporationa 168,28628,728 Green Plains, Inc. 304,37310,049 Gulf Island Fabrication, Inc.a 53,762

115,914 Gulfport Energy Corporationa 314,127112,329 Helix Energy Solutions Group, Inc.a 905,372

88,763 HighPoint Resources Corporationa 141,13347,364 Jagged Peak Energy, Inc.a 343,86316,692 KLX Energy Services Holdings, Inc.a 144,302

143,399 Laredo Petroleum Holdings, Inc.a 345,59221,512 Matrix Service Companya 368,716

144,393 McDermott International, Inc.a,b 291,674268,572 Nabors Industries, Ltd. 502,230

71,559 Newpark Resources, Inc.a 545,280199,750 Noble Corporationa 253,683

48,077 Oil States International, Inc.a 639,42429,181 Par Pacific Holdings, Inc.a 667,07846,791 PDC Energy, Inc.a 1,298,45010,798 Penn Virginia Corporationa 313,89865,427 ProPetro Holding Corporationa 594,731

189,035 QEP Resources, Inc. 699,429165,773 Range Resources Corporationb 633,253

30,955 Renewable Energy Group, Inc.a,b 464,4804,450 REX American Resources

Corporationa 339,66847,927 Ring Energy, Inc.a 78,60040,919 RPC, Inc.b 229,55613,850 SEACOR Holdings, Inc.a 651,91984,291 SM Energy Company 816,780

193,474 SRC Energy, Inc.a 901,589100,966 TETRA Technologies, Inc.a 202,942

58,754 U.S. Silica Holdings, Inc. 561,68844,347 Unit Corporationa 149,893

157,220 Valaris plcb 756,22840,976 Warrior Met Coal, Inc. 799,85273,083 Whiting Petroleum Corporationa,b 586,856

Total 22,376,379

Shares Common Stock (98.5%) ValueFinancials (17.3%)

36,417 Ambac Financial Group, Inc.a $711,95272,288 American Equity Investment Life

Holding Company 1,749,37051,923 Ameris Bancorp 2,089,38115,333 AMERISAFE, Inc. 1,013,665

113,450 Apollo Commercial Real Estate Finance, Inc. 2,174,836

47,031 ARMOUR Residential REIT, Inc. 787,76942,329 Axos Financial, Inc.a 1,170,39735,643 Banc of California, Inc. 503,99227,471 Banner Corporation 1,543,04634,785 Berkshire Hills Bancorp, Inc. 1,018,85338,714 Blucora, Inc.a 837,77166,665 Boston Private Financial Holdings,

Inc. 776,98163,432 Brookline Bancorp, Inc. 934,353

102,268 Cadence Bancorporation 1,793,78175,693 Capstead Mortgage Corporation 556,34422,890 Central Pacific Financial Corporation 650,07613,028 City Holding Company 993,38557,954 Columbia Banking System, Inc. 2,138,50340,995 Community Bank System, Inc. 2,528,98222,966 Customers Bancorp, Inc.a 476,315

105,784 CVB Financial Corporation 2,207,71224,640 Dime Community Bancshares, Inc. 527,54224,800 Donnelley Financial Solutions, Inc.a 305,53627,446 Eagle Bancorp, Inc. 1,224,64015,946 eHealth, Inc.a 1,065,03325,358 Employers Holdings, Inc. 1,105,10221,962 Encore Capital Group, Inc.a,b 731,88426,898 Enova International, Inc.a 558,13342,146 EZCORP, Inc.a 272,052

172,669 First BanCorp 1,723,23778,263 First Commonwealth Financial

Corporation 1,039,33378,320 First Financial Bancorp 1,916,88287,777 First Midwest Bancorp, Inc. 1,709,89622,440 Flagstar Bancorp, Inc. 838,13410,575 Franklin Financial Network, Inc. 319,47168,064 Glacier Bancorp, Inc. 2,753,86943,584 Granite Point Mortgage Trust, Inc. 816,76445,241 Great Western Bancorp, Inc. 1,492,95312,635 Greenhill & Company, Inc. 165,77124,836 Hanmi Financial Corporation 466,420

5,200 HCI Group, Inc. 218,60829,305 Heritage Financial Corporation 790,06319,526 HomeStreet, Inc.a 533,450

100,659 Hope Bancorp, Inc. 1,443,45032,734 Horace Mann Educators Corporation 1,516,56627,306 Independent Bank Corporation 2,038,39312,872 INTL FCStone, Inc.a 528,524

113,464 Invesco Mortgage Capital. Inc. 1,737,13424,149 James River Group Holdings, Ltd. 1,237,39538,803 Legacy Texas Financial Group, Inc. 1,689,09527,690 Meta Financial Group, Inc. 902,97124,742 National Bank Holdings Corporation 845,92934,783 NBT Bancorp, Inc. 1,272,710

208,169 New York Mortgage Trust, Inc. 1,267,74953,995 NMI Holdings, Inc.a 1,417,90934,439 Northfield Bancorp, Inc. 553,09079,650 Northwest Bancshares, Inc. 1,305,46340,798 OFG Bancorp 893,476

136,847 Old National Bancorp 2,354,45317,350 Opus Bank 377,70930,712 Oritani Financial Corporation 543,44947,960 Pacific Premier Bancorp, Inc. 1,495,872


(unaudited)


Shares Common Stock (98.5%) ValueFinancials (17.3%) - continued

69,767 PennyMac Mortgage Investment Trust $1,550,920

11,285 Piper Jaffray Companies 851,79236,080 PRA Group, Inc.a 1,219,14311,063 Preferred Bank 579,48042,715 ProAssurance Corporation 1,720,13348,171 Provident Financial Services, Inc. 1,181,63589,061 Redwood Trust, Inc. 1,461,49131,671 RLI Corporation 2,942,55327,454 S&T Bancorp, Inc. 1,002,89511,664 Safety Insurance Group, Inc. 1,181,91340,889 Seacoast Banking Corporation of

Floridaa 1,034,90136,582 ServisFirst Bancshares, Inc. 1,212,69376,655 Simmons First National Corporation 1,908,70925,206 Southside Bancshares, Inc. 859,77718,840 Stewart Information Services

Corporation 730,80463,510 Third Point Reinsurance, Ltd.a 634,465

9,837 Tompkins Financial Corporation 798,07619,156 Triumph Bancorp, Inc.a 610,88577,703 TrustCo Bank Corporation 633,27962,832 United Community Banks, Inc. 1,781,28717,144 United Fire Group, Inc. 805,42516,488 United Insurance Holdings

Corporation 230,66724,971 Universal Insurance Holdings, Inc. 748,88038,683 Veritex Holdings, Inc. 938,643

5,187 Virtus Investment Partners, Inc. 573,52758,062 Waddell & Reed Financial, Inc.b 997,50522,616 Walker & Dunlop, Inc. 1,264,91321,439 Westamerica Bancorporation 1,333,07794,703 WisdomTree Investments, Inc. 494,823

5,062 World Acceptance Corporationa 645,456Total 102,583,321

Health Care (12.0%) 38,201 Acorda Therapeutics, Inc.a 109,63710,444 Addus HomeCare Corporationa 828,00075,645 Akorn, Inc.a 287,45126,997 AMAG Pharmaceuticals, Inc.a,b 311,81537,075 AMN Healthcare Services, Inc.a 2,134,03727,392 Amphastar Pharmaceuticals, Inc.a 543,18329,827 AngioDynamics, Inc.a 549,413

7,387 ANI Pharmaceuticals, Inc.a 538,36510,951 Anika Therapeutics, Inc.a 601,10075,659 Arrowhead Research Corporationa,b 2,132,07151,353 Assertio Therapeutics, Inc.a 65,73226,992 Biotelemetry, Inc.a 1,099,38426,766 Cambrex Corporationa 1,592,57727,968 Cardiovascular Systems, Inc.a 1,329,03922,389 Care.com, Inc.a 233,96593,349 Community Health Systems, Inc.a,b 336,056

9,923 Computer Programs and Systems, Inc. 224,359

22,480 CONMED Corporation 2,161,45281,299 Corcept Therapeutics, Inc.a 1,149,161

7,247 CorVel Corporationa 548,59829,026 Cross Country Healthcare, Inc.a 298,96829,793 CryoLife, Inc.a 808,88011,167 Cutera, Inc.a 326,41146,359 Cytokinetics, Inc.a 527,56545,460 Diplomat Pharmacy, Inc.a 222,754

8,036 Eagle Pharmaceuticals, Inc.a 454,59734,849 Emergent Biosolutions, Inc.a 1,821,90612,739 Enanta Pharmaceuticals, Inc.a 765,359

Shares Common Stock (98.5%) ValueHealth Care (12.0%) - continued

160,408 Endo International plca $514,91039,784 Ensign Group, Inc. 1,886,95517,171 Genomic Health, Inc.a 1,164,53720,513 HealthStream, Inc.a 531,082

5,578 Heska Corporationa 395,31369,407 HMS Holdings Corporationa 2,392,11253,112 Innoviva, Inc.a 559,80014,392 Inogen, Inc.a 689,52125,939 Integer Holdings Corporationa 1,959,95126,661 Invacare Corporation 199,95726,647 Lannett Company, Inc.a 298,44630,960 Lantheus Holdings, Inc.a 776,01212,931 LeMaitre Vascular, Inc. 441,98223,533 LHC Group, Inc.a 2,672,40733,369 Luminex Corporation 689,07017,255 Magellan Health Services, Inc.a 1,071,53658,634 Medicines Companya,b 2,931,70021,556 Medpace Holdings, Inc.a 1,811,56634,125 Meridian Bioscience, Inc. 323,84643,978 Merit Medical Systems, Inc.a 1,339,570

3,183 Mesa Laboratories, Inc. 756,82278,428 Momenta Pharmaceuticals, Inc.a 1,016,42758,849 Myriad Genetics, Inc.a 1,684,84727,128 Natus Medical, Inc.a 863,75641,671 Neogen Corporationa 2,838,21282,521 NeoGenomics, Inc.a 1,577,80238,435 NextGen Healthcare, Inc.a 602,27633,098 Omnicell, Inc.a 2,391,99249,525 OraSure Technologies, Inc.a 369,95215,121 Orthifix Medical, Inc.a 801,71550,012 Owens & Minor, Inc. 290,57033,002 Pacira Pharmaceuticals, Inc.a 1,256,38616,291 Phibro Animal Health Corporation 347,48767,902 Progenics Pharmaceuticals, Inc.a 343,245

9,175 Providence Service Corporationa 545,54624,858 REGENXBIO, Inc.a 884,94586,206 Select Medical Holdings Corporationa 1,428,43389,670 Spectrum Pharmaceuticals, Inc.a 743,81341,674 Supernus Pharmaceuticals, Inc.a 1,145,20210,828 Surmodics, Inc.a 495,27315,620 Tabula Rasa HealthCare, Inc.a,b 858,16315,071 Tactile Systems Technology, Inc.a 637,80534,205 Tivity Health, Inc.a 568,82910,189 U.S. Physical Therapy, Inc. 1,330,17442,281 Vanda Pharmaceuticals, Inc.a 561,49230,615 Varex Imaging Corporationa 873,75239,139 Xencor, Inc.a,b 1,320,158

Total 71,187,182

Industrials (18.1%) 20,663 A. Schulman, Inc. CVRa,c 14,25732,293 AAON, Inc. 1,483,54026,213 AAR Corporation 1,080,23852,771 ABM Industries, Inc. 1,916,64343,460 Actuant Corporation 953,51224,547 Aegion Corporationa 524,81557,511 Aerojet Rocketdyne Holdings, Inc.a 2,904,88117,104 Aerovironment, Inc.a 916,0907,732 Alamo Group, Inc. 910,211

24,357 Albany International Corporation 2,196,02710,494 Allegiant Travel Company 1,570,53212,368 American Woodmark Corporationa 1,099,63921,071 Apogee Enterprises, Inc. 821,55830,667 Applied Industrial Technologies, Inc. 1,741,88620,277 ArcBest Corporation 617,43538,446 Arcosa, Inc. 1,315,238


(unaudited)


Shares Common Stock (98.5%) ValueIndustrials (18.1%) - continued

18,014 Astec Industries, Inc. $560,23520,681 Atlas Air Worldwide Holdings, Inc.a 521,78220,779 AZZ, Inc. 905,13337,796 Barnes Group, Inc. 1,948,00639,299 Brady Corporation 2,084,81233,817 Briggs & Stratton Corporation 204,93128,436 Chart Industries, Inc.a 1,773,26915,948 CIRCOR International, Inc.a 598,84729,282 Comfort Systems USA, Inc. 1,295,14324,773 Cubic Corporation 1,744,76212,841 DXP Enterprises, Inc.a 445,84021,677 Echo Global Logistics, Inc.a 490,98416,611 Encore Wire Corporation 934,86716,362 EnPro Industries, Inc. 1,123,25120,643 ESCO Technologies, Inc. 1,642,35741,252 Exponent, Inc. 2,883,51547,955 Federal Signal Corporation 1,570,047

8,402 Forrester Research, Inc. 270,04022,496 Forward Air Corporation 1,433,44530,559 Franklin Electric Company, Inc. 1,461,02629,828 FTI Consulting, Inc.a 3,161,47025,604 Gibraltar Industries, Inc.a 1,176,24833,084 GMS, Inc.a 950,17225,982 Greenbrier Companies, Inc. 782,57833,839 Griffon Corporation 709,60463,786 Harsco Corporationa 1,209,38337,574 Hawaiian Holdings, Inc. 986,69337,127 Heartland Express, Inc. 798,60215,247 Heidrick & Struggles International,

Inc. 416,24349,792 Hillenbrand, Inc. 1,537,57726,552 Hub Group, Inc.a 1,234,66814,666 Insteel Industries, Inc. 301,09346,428 Interface, Inc. 670,42025,158 John Bean Technologies Corporation 2,501,46022,147 Kaman Corporation 1,316,86126,351 Kelly Services, Inc. 638,22144,476 Korn Ferry 1,718,553

8,570 Lindsay Corporationb 795,72414,092 Lydall, Inc.a 351,03231,061 Marten Transport, Ltd. 645,44834,051 Matson, Inc. 1,277,25325,019 Matthews International Corporation 885,42244,071 Mercury Systems, Inc.a 3,577,24335,512 Mobile Mini, Inc. 1,308,97225,825 Moog, Inc. 2,094,92445,024 Mueller Industries, Inc. 1,291,28813,305 MYR Group, Inc.a 416,313

4,037 National Presto Industries, Inc. 359,65630,427 Navigant Consulting, Inc. 850,43517,827 Patrick Industries, Inc.a 764,42246,650 PGT Innovations, Inc.a 805,646

136,779 Pitney Bowes, Inc. 625,0807,039 Powell Industries, Inc. 275,577

21,359 Proto Labs, Inc.a 2,180,75426,349 Quanex Building Products

Corporation 476,39056,578 R.R. Donnelley & Sons Company 213,29928,546 Raven Industries, Inc. 955,14923,952 Resources Connection, Inc. 406,94420,584 Saia, Inc.a 1,928,72132,302 Simpson Manufacturing Company,

Inc. 2,240,79040,458 SkyWest, Inc. 2,322,28934,936 SPX Corporationa 1,397,78933,819 SPX FLOW, Inc.a 1,334,498

Shares Common Stock (98.5%) ValueIndustrials (18.1%) - continued

9,896 Standex International Corporation $721,81424,153 Team, Inc.a,b 435,96214,553 Tennant Company 1,028,89740,423 Titan International, Inc. 109,14239,775 Triumph Group, Inc. 910,05231,838 TrueBlue, Inc.a 671,78217,551 U.S. Ecology, Inc. 1,122,21112,202 UniFirst Corporation 2,380,85448,905 Universal Forest Products, Inc. 1,950,33110,217 Veritiv Corporationa 184,72316,224 Viad Corporation 1,089,44214,503 Vicor Corporationa 428,12943,269 Wabash National Corporation 627,83321,962 Watts Water Technologies, Inc. 2,058,498

Total 107,569,368

Information Technology (14.0%) 93,297 3D Systems Corporationa,b 760,37178,890 8x8, Inc.a 1,634,60138,372 ADTRAN, Inc. 435,33030,439 Advanced Energy Industries, Inc.a 1,747,50316,178 Agilysys, Inc.a 414,31928,894 Alarm.com Holdings, Inc.a 1,347,61623,848 Anixter International, Inc.a 1,648,37415,171 Applied Optoelectronics, Inc.a,b 170,21959,639 Arlo Technologies, Inc.a 203,36925,689 Axcelis Technologies, Inc.a 439,02523,133 Badger Meter, Inc. 1,242,242

8,090 Bel Fuse, Inc. 121,59329,897 Benchmark Electronics, Inc. 868,80730,239 Bottomline Technologies (de), Inc.a 1,189,90557,386 Brooks Automation, Inc. 2,125,00423,071 Cabot Microelectronics Corporation 3,257,85626,861 CalAmp Corporationa 309,43929,153 Cardtronics, Inc.a 881,58717,591 CEVA, Inc.a 525,26732,688 Cohu, Inc. 441,45119,200 Comtech Telecommunications

Corporation 624,00026,227 CSG Systems International, Inc. 1,355,41125,957 CTS Corporation 839,96929,644 Daktronics, Inc. 218,92160,979 Diebold Nixdorf, Inc.a 682,96522,228 Digi International, Inc.a 302,74532,820 Diodes, Inc.a 1,317,72318,213 DSP Group, Inc.a 256,53017,664 Ebix, Inc.b 743,65410,731 ePlus, Inc.a 816,52247,436 EVERTEC, Inc. 1,480,95227,154 ExlService Holdings, Inc.a 1,818,23295,962 Extreme Networks, Inc.a 698,12429,286 Fabrineta 1,531,65813,857 FARO Technologies, Inc.a 669,98659,818 FormFactor, Inc.a 1,115,30771,224 Harmonic, Inc.a 468,65417,858 Ichor Holdings, Ltd.a 431,806

163 II-VI, Inc.a 5,73928,515 Insight Enterprises, Inc.a 1,588,00027,904 Itron, Inc.a 2,063,78046,412 KEMET Corporation 843,77068,052 Knowles Corporationa 1,384,17850,381 Kulicke and Soffa Industries, Inc. 1,182,94648,421 LivePerson, Inc.a,b 1,728,63021,350 ManTech International Corporation 1,524,60351,369 MaxLinear, Inc.a 1,149,63829,471 Methode Electronics, Inc. 991,404


(unaudited)


Shares Common Stock (98.5%) ValueInformation Technology (14.0%) - continued

6,559 MicroStrategy, Inc.a $973,15932,990 Monotype Imaging Holdings, Inc. 653,53214,378 MTS Systems Corporation 794,38418,741 Nanometrics, Inc.a 611,33124,721 NETGEAR, Inc.a 796,51153,203 NIC, Inc. 1,098,64225,959 OneSpan, Inc.a 376,40513,498 OSI Systems, Inc.a 1,370,85715,471 Park Aerospace Corporation 271,67122,293 PDF Solutions, Inc.a 291,36926,094 Perficient, Inc.a 1,006,70753,847 Photronics, Inc.a 585,85523,265 Plexus Corporationa 1,454,29523,305 Power Integrations, Inc. 2,107,47135,574 Progress Software Corporation 1,353,94626,813 Qualys, Inc.a 2,026,25888,296 Rambus, Inc.a 1,158,88514,747 Rogers Corporationa 2,016,06224,823 Rudolph Technologies, Inc.a 654,33455,170 Sanmina Corporationa 1,771,50920,055 ScanSource, Inc.a 612,68010,453 SMART Global Holdings, Inc.a 266,34238,116 Solaredge Technology, Ltd.a 3,191,07227,716 SPS Commerce, Inc.a 1,304,59230,733 Sykes Enterprises, Inc.a 941,659

100,235 TiVo Corp 763,29011,449 TTEC Holdings, Inc. 548,17877,952 TTM Technologies, Inc.a 950,62531,334 Ultra Clean Holdings, Inc.a 458,57340,981 Unisys Corporationa 304,48938,583 Veeco Instruments, Inc.a 450,649

181,837 Viavi Solutions, Inc.a 2,546,62724,033 Virtusa Corporationa 865,66939,403 Xperi Corporation 814,854

Total 82,992,207

Materials (4.5%) 22,101 AdvanSix, Inc.a 568,438

251,385 AK Steel Holding Corporationa 570,64420,909 American Vanguard Corporation 328,27125,709 Balchem Corporation 2,550,07631,089 Boise Cascade Company 1,013,19039,626 Century Aluminum Companya 262,91813,221 Clearwater Paper Corporationa 279,22811,637 DMC Global, Inc.b 511,79565,505 Ferro Corporationa 776,88920,728 FutureFuel Corporation 247,49242,728 GCP Applied Technologies, Inc.a 822,51440,457 H.B. Fuller Company 1,883,678

7,542 Hawkins, Inc. 320,53510,053 Haynes International, Inc. 360,30015,751 Innophos Holdings, Inc. 511,27719,455 Innospec, Inc. 1,734,21912,715 Kaiser Aluminum Corporation 1,258,40416,504 Koppers Holdings, Inc.a 482,08225,193 Kraton Performance Polymers, Inc.a 813,482

115,989 Livent Corporationa 775,96616,428 LSB Industries, Inc.a 85,09716,254 Materion Corporation 997,34531,809 Mercer International, Inc. 398,88528,393 Myers Industries, Inc. 501,13613,397 Neenah, Inc. 872,413

7,339 Olympic Steel, Inc. 105,68235,350 PH Glatfelter Company 544,03610,247 Quaker Chemical Corporation 1,620,46139,577 Rayonier Advanced Materials, Inc. 171,368

Shares Common Stock (98.5%) ValueMaterials (4.5%) - continued

24,549 Schweitzer-Mauduit International, Inc. $919,115

15,951 Stepan Company 1,548,20471,939 SunCoke Energy, Inc.a 405,73631,541 TimkenSteel Corporationa 198,39319,611 Tredegar Corporation 382,80731,942 Trinseo SA 1,371,90912,702 US Concrete, Inc.a 702,167

Total 26,896,152

Real Estate (6.8%) 67,102 Acadia Realty Trust 1,917,77533,345 Agree Realty Corporation 2,439,18737,962 American Assets Trust, Inc. 1,774,34441,910 Armada Hoffler Properties, Inc. 758,15275,925 CareTrust REIT, Inc. 1,784,617

139,319 CBL & Associates Properties, Inc. 179,72269,180 Cedar Realty Trust, Inc. 207,54037,393 Chatham Lodging Trust 678,68314,495 Community Healthcare Trust, Inc. 645,752

159,067 DiamondRock Hospitality Company 1,630,43756,590 Easterly Government Properties, Inc. 1,205,36754,362 Four Corners Property Trust, Inc. 1,537,35785,201 Franklin Street Properties

Corporation 720,80027,243 Getty Realty Corporation 873,41167,338 Global Net Lease, Inc. 1,313,09128,954 Hersha Hospitality Trust 430,83671,686 Independence Realty Trust, Inc. 1,025,8278,982 Innovative Industrial Properties, Inc. 829,667

46,924 iSTAR Financial, Inc. 612,35866,728 Kite Realty Group Trust 1,077,657

196,860 Lexington Realty Trust 2,017,81531,585 LTC Properties, Inc. 1,617,78418,636 Marcus and Millichap, Inc.a 661,39247,114 National Storage Affiliates Trust 1,572,19438,228 Office Properties Income Trust 1,171,30647,833 Pennsylvania REIT 273,60514,259 RE/MAX Holdings, Inc. 458,56991,148 Realogy Holdings Corporationb 608,86990,827 Retail Opportunity Investments

Corporation 1,655,77663,850 RPT Realty 865,167

9,298 Saul Centers, Inc. 506,83483,529 Summit Hotel Properties, Inc. 968,93610,056 Universal Health Realty Income Trust 1,033,75723,751 Urstadt Biddle Properties, Inc. 562,899

149,448 Washington Prime Group, Inc. 618,71563,631 Washington REIT 1,740,94431,948 Whitestone REIT 439,60489,500 Xenia Hotels & Resorts, Inc. 1,890,240

Total 40,306,986

Utilities (2.3%) 29,265 American States Water Company 2,629,75352,568 Avista Corporation 2,546,39438,250 California Water Service Group 2,024,57332,473 El Paso Electric Company 2,178,28924,189 Northwest Natural Holding Company 1,725,64373,409 South Jersey Industries, Inc. 2,415,890

Total 13,520,542

Total Common Stock (cost $505,818,201) 585,239,143


(unaudited)


SharesCollateral Held for Securities Loaned (4.7%) Value

27,869,978 Thrivent Cash Management Trust $27,869,978Total Collateral Held for Securities Loaned (cost $27,869,978) 27,869,978

SharesRegistered Investment Companies (1.3%) Value

Unaffiliated (1.3%)99,575 iShares Core S&P Small-Cap ETF 7,750,918

Total 7,750,918

Total Registered Investment Companies (cost $7,607,376) 7,750,918

Shares or Principal Amount Short-Term Investments (0.3%) Value

Federal Home Loan Bank Discount Notes

200,000 1.995%, 10/30/2019d,e 199,697Thrivent Core Short-Term Reserve

Fund141,915 2.230% 1,419,150

Total Short-Term Investments (cost $1,618,829) 1,618,847Total Investments (cost $542,914,384) 104.8% $622,478,886Other Assets and Liabilities, Net (4.8%) (28,676,025)Total Net Assets 100.0% $593,802,861

a Non-income producing security.b All or a portion of the security is on loan. c Security is valued using significant unobservable inputs. Further

information on valuation can be found in the Notes to Financial Statements.

d The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase.

e All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts.

The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Small Cap Index Portfolio as of September 30, 2019:

Securities Lending TransactionsCommon Stock $27,309,502Total lending $27,309,502Gross amount payable upon return of collateral for securities loaned $27,869,978Net amounts due to counterparty $560,476

Definitions:ETF - Exchange Traded Fund

REIT - Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets.

/


(unaudited)


Fair Valuation Measurements The following table is a summary of the inputs used, as of September 30, 2019, in valuing Small Cap Index Portfolio's assets carried at fair value.

Investments in Securities Total Level 1 Level 2 Level 3Common Stock

Communications Services 10,096,044 10,096,044 – –Consumer Discretionary 82,924,041 82,924,041 – –Consumer Staples 24,786,921 24,786,921 – –Energy 22,376,379 22,376,379 – –Financials 102,583,321 102,583,321 – –Health Care 71,187,182 71,187,182 – –Industrials 107,569,368 107,555,111 – 14,257Information Technology 82,992,207 82,992,207 – –Materials 26,896,152 26,896,152 – –Real Estate 40,306,986 40,306,986 – –Utilities 13,520,542 13,520,542 – –

Registered Investment CompaniesUnaffiliated 7,750,918 7,750,918 – –

Short-Term Investments 199,697 – 199,697 –Subtotal Investments in Securities $593,189,758 $592,975,804 $199,697 $14,257Other Investments * TotalAffiliated Short-Term Investments 1,419,150 Collateral Held for Securities Loaned 27,869,978 Subtotal Other Investments $29,289,128

Total Investments at Value $622,478,886

* Certain investments are measured at fair value using a net asset value per share that is not publicly available (practical expedient). According to disclosure requirements of Accounting Standards Codification (ASC) 820, Fair Value Measurement, securities valued using the practical expedient are not classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities.

Other Financial Instruments Total Level 1 Level 2 Level 3Liability Derivatives

Futures Contracts 34,344 34,344 – –Total Liability Derivatives $34,344 $34,344 $– $–

There were no significant transfers between Levels during the period ended September 30, 2019. Transfers between Levels are identified as of the end of the period.

The following table presents Small Cap Index Portfolio's futures contracts held as of September 30, 2019. Investments and/or cash totaling $99,849 were pledged as the initial margin deposit for these contracts.

Futures Contracts Description

Number of Contracts

Long/(Short)Expiration

DateNotional Principal

AmountValue and Unrealized

CME E-mini Russell 2000 Index 11 December 2019 $873,094 ($34,344)Total Futures Long Contracts $873,094 ($34,344)Total Futures Contracts $873,094 ($34,344)

Reference Description:CME - Chicago Mercantile Exchange


(unaudited)


Investment in Affiliates Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio's holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio. The Portfolio owns shares of Thrivent Cash Management Trust for the purpose of securities lending and Thrivent Core Short-Term Reserve Fund, a series of Thrivent Core Funds, primarily to serve as a cash sweep vehicle for the Portfolio. Thrivent Cash Management Trust and Thrivent Core Funds are established solely for investment by Thrivent entities.

A summary of transactions (in thousands; values shown as zero are less than $500) for the fiscal year to date, in Small Cap Index Portfolio, is as follows:

PortfolioValue

12/31/2018Gross

PurchasesGross Sales

Value 9/30/2019

Shares Held at 9/30/2019

% of Net Assets 9/30/2019

Affiliated Short-Term Investments Core Short-Term Reserve, 2.230% $504 $63,107 $62,192 $1,419 142 0.3%

Total Affiliated Short-Term Investments 504 1,419 0.3Collateral held for Securities Loaned

Cash Management Trust- Collateral Investment 18,790 102,742 93,662 27,870 27,870 4.7Total Collateral Held for Securities Loaned 18,790 27,870 4.7Total Value $19,294 $29,289

PortfolioNet Realized Gain/(Loss)

Change in Unrealized

Appreciation/(Depreciation)

Distributions of Realized Capital

Gains

Income Earned 1/1/2019

- 9/30/2019Affiliated Short-Term Investments

Core Short-Term Reserve, 2.230% $– $– – $17Total Income from Affiliated Investments $17Collateral Held for Securities Loaned

Cash Management Trust- Collateral Investment – – – 74Total Affiliated Income from Securities Loaned, Net $74Total Value $– $– $–

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

9

SIGNIFICANT ACCOUNTING POLICIES

Valuation of Investments — Securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the last sale price on the principal exchange as of the close of regular trading on such exchange or the official closing price of the national market system. Over-the-counter securities and listed securities for which no price is readily available are valued at the current bid price considered best to represent the value at that time. Security prices are based on quotes that are obtained from an independent pricing service approved by the Fund's Board of Directors (the “Board”). The pricing service, in determining values of fixed-income securities, takes into consideration such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities which cannot be valued by the approved pricing service are valued using valuations from dealers that make markets in the securities. Exchange-listed options and futures contracts are valued at the primary exchange settle price. Exchange cleared swap agreements are valued using a vendor provided settlement or clearing price used by the clearinghouse. Swap agreements not cleared on exchanges will be valued using the mid-price from the primary approved pricing service. Forward foreign currency exchange contracts are marked-to-market based upon foreign currency exchange rates provided by the pricing service. Investments in open-ended mutual funds are valued at their net asset value at the close of each business day.

Securities held by the Money Market Portfolio are valued on the basis of amortized cost (which approximates market value), whereby a portfolio security is valued at its cost initially and thereafter valued to reflect a constant amortization to maturity of any discount or premium. The Money Market Portfolio and the Adviser follow procedures designed to help maintain a constant net asset value of $1.00 per share.

The Board has delegated responsibility for daily valuation of the Portfolios' securities to the Adviser. The Adviser has formed a Valuation Committee (“Committee”) that is responsible for overseeing the Portfolios’ valuation policies in accordance with Valuation Policies and Procedures. The Committee meets on a monthly and on an as-needed basis to review price challenges, price overrides, stale prices, shadow prices, manual prices, money market pricing, international fair valuation, and other securities requiring fair valuation.

The Committee monitors for significant events occurring prior to the close of trading on the New York Stock Exchange that could have a material impact on the value of any securities that are held by the Portfolios. Examples of such events include trading halts, national news/events, and issuer-

specific developments. If the Committee decides that such events warrant using fair value estimates, the Committee will take such events into consideration in determining the fair value of such securities. If market quotations or prices are not readily available or determined to be unreliable, the securities will be valued at fair value as determined in good faith pursuant to procedures adopted by the Board.

In accordance with U.S. Generally Accepted Accounting Principles (“GAAP”), the various inputs used to determine the fair value of the Portfolios’ investments are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities, typically included in this level are U.S. equity securities, futures, options and registered investment company funds. Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically included in this level are fixed income securities, international securities, swaps and forward contracts. Level 3 includes significant unobservable inputs such as the Adviser’s own assumptions and broker evaluations in determining the fair value of investments. Of the Level 3 securities, those for which market values were not readily available or were deemed unreliable were fair valued as determined in good faith pursuant to procedures established by the Board. The valuation levels are not necessarily an indication of the risk associated with investing in these securities or other investments. Investments measured using net asset value per share as a practical expedient for fair value and that are not publicly available-for-sale are not categorized within the fair value hierarchy.

Valuation of International Securities — The Portfolios value certain foreign securities traded on foreign exchanges that close prior to the close of the New York Stock Exchange using a fair value pricing service. The fair value pricing service uses a multi-factor model that may take into account the local close, relevant general and sector indices, currency fluctuation, prices of other securities (including ADRs, New York registered shares, and ETFs), and futures, as applicable, to determine price adjustments for each security in order to reflect the effects of post-closing events. The Board has authorized the Adviser to make fair valuation determinations pursuant to policies approved by the Board.

Foreign Currency Translation — The accounting records of each Portfolio are maintained in U.S. dollars. Securities and other assets and liabilities that are denominated in foreign currencies are translated into U.S. dollars at the daily closing rates of exchange.

Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. Net realized and unrealized currency gains and losses are recorded from closed currency contracts, disposition of foreign


(unaudited)

10

currencies, exchange gains or losses between the trade date and settlement date on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. The Portfolios do not separately report the effect of changes in foreign exchange rates from changes in prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments in the Statement of Operations.

For federal income tax purposes, the Portfolios treat the effect of changes in foreign exchange rates arising from actual foreign currency transactions and the changes in foreign exchange rates between the trade date and settlement date as ordinary income.

Foreign Denominated Investments — Foreign denominated assets and currency contracts may involve more risks than domestic transactions including currency risk, political and economic risk, regulatory risk, and market risk. Certain Portfolios may also invest in securities of companies located in emerging markets. Future economic or political developments could adversely affect the liquidity or value, or both, of such securities.

Derivative Financial Instruments — Each of the Portfolios, with the exception of the Money Market Portfolio, may invest in derivatives. Derivatives, a category that includes options, futures, swaps, foreign currency forward contracts and hybrid instruments, are financial instruments whose value is derived from another security, an index or a currency. Each applicable Portfolio may use derivatives for hedging (attempting to offset a potential loss in one position by establishing an interest in an opposite position). This includes the use of currency-based derivatives to manage the risk of its positions in foreign securities. Each applicable Portfolio may also use derivatives for replication of a certain asset class or speculation (investing for potential income or capital gain). These contracts may be transacted on an exchange or over-the-counter ("OTC").

A derivative may incur a mark to market loss if the value of the derivative decreases due to an unfavorable change in the market rates or values of the underlying derivative. Losses can also occur if the counterparty does not perform under the derivative. A Portfolio’s risk of loss from the counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Portfolio. With exchange traded futures and centrally cleared swaps, there is minimal counterparty credit risk to the Portfolios because the exchange’s clearinghouse, as counterparty to such derivatives, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the derivative; thus, the credit risk is limited to the failure of the clearinghouse. However, credit risk still exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers

are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all of the broker’s customers, potentially resulting in losses to the Portfolios. Using derivatives to hedge can guard against potential risks, but it also adds to the Portfolios’ expenses and can eliminate some opportunities for gains. In addition, a derivative used for mitigating exposure or replication may not accurately track the value of the underlying asset. Another risk with derivatives is that some types can amplify a gain or loss, potentially earning or losing substantially more money than the actual cost of the derivative.

In order to define their contractual rights and to secure rights that will help the Portfolios mitigate their counterparty risk, the Portfolios may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and foreign exchange contracts and typically includes, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Portfolio may, under certain circumstances, offset with the counterparty certain derivatives' payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy and insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

Collateral and margin requirements vary by type of derivative. Margin requirements are established by the broker or clearinghouse for exchange traded and centrally cleared derivatives (futures, options, and centrally cleared swaps). Brokers can ask for margining in excess of the minimum in certain situations. Collateral terms are contract specific for OTC derivatives (foreign currency exchange contracts, options, and swaps). For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Portfolio and the counterparty. For financial reporting purposes, non-cash collateral that has been pledged to cover obligations of the Portfolio has been noted in the Schedule of Investments. To the extent amounts due to a Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from


(unaudited)

11

counterparty nonperformance. The Portfolios attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

Options — All Portfolios, with the exception of the Money Market Portfolio, may buy put and call options and write put and covered call options. The Portfolios intend to use such derivative instruments as hedges to facilitate buying or selling securities or to provide protection against adverse movements in security prices or interest rates. The Portfolios may also enter into options contracts to protect against adverse foreign exchange rate fluctuations. Option contracts are valued daily and unrealized appreciation or depreciation is recorded. A Portfolio will realize a gain or loss upon expiration or closing of the option transaction. When an option is exercised, the proceeds upon sale for a written call option or the cost of a security for purchased put and call options is adjusted by the amount of premium received or paid.

Buying put options tends to decrease a Portfolio’s exposure to the underlying security while buying call options tends to increase a Portfolio’s exposure to the underlying security. The risk associated with purchasing put and call options is limited to the premium paid. There is no significant counterparty risk on exchange-traded options as the exchange guarantees the contract against default. Writing put options tends to increase a Portfolio’s exposure to the underlying security while writing call options tends to decrease a Portfolio’s exposure to the underlying security. The writer of an option has no control over whether the underlying security may be bought or sold, and therefore bears the market risk of an unfavorable change in the price of the underlying security. The counterparty risk for purchased options arises when the Portfolio has purchased an option, exercises that option, and the counterparty doesn’t buy from the Portfolio or sell to the Portfolio the underlying asset as required. In the case where the Portfolio has written an option, the Portfolio doesn’t have counterparty risk. Counterparty risk on purchased over-the-counter options is partially mitigated by the Portfolio’s collateral posting requirements. As the option increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Government Bond, Income, Limited Maturity Bond, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, and Opportunity Income Plus used treasury options to manage the duration of the Portfolio versus the benchmark. Options on mortgage backed securities were used to generate income and/or to manage the duration of the Portfolio.

Futures Contracts — All Portfolios, with the exception of the Money Market Portfolio, may use futures contracts to manage the exposure to interest rate and market or currency fluctuations. Gains or losses on futures contracts can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the required “initial margin deposit” are held on deposit with and pledged to the broker. Additional securities held by the Portfolios may be earmarked to cover open futures contracts. A futures contract’s daily change in value (“variation margin”) is either paid to or received from the broker, and is recorded as an unrealized gain or loss. When the contract is closed, realized gain or loss is recorded equal to the difference between the value of the contract when opened and the value of the contract when closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Exchange-traded futures have no significant counterparty risk as the exchange guarantees the contracts against default.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Government Bond, Income, International Allocation, Limited Maturity Bond, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, Multidimensional Income, and Opportunity Income Plus used treasury futures to manage the duration and yield curve exposure of the respective Portfolio versus its benchmark.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Global Stock, International Allocation, Large Cap Index, Low Volatility Equity, Mid Cap Index, Moderate Allocation, Moderately Aggressive Allocation, Moderately Conservative Allocation, Opportunity Income Plus, and Small Cap Index used equity futures to manage exposure to the equities market.

During the period ended September 30, 2019, Aggressive Allocation, Balanced Income Plus, Diversified Income Plus, Global Stock, International Allocation, Moderate Allocation, Moderately Aggressive Allocation, and Moderately Conservative Allocation used foreign exchange futures to hedge currency risk.

Foreign Currency Forward Contracts — In connection with purchases and sales of securities denominated in foreign currencies, all Portfolios, with the exception of the Money Market Portfolio, may enter into foreign currency forward contracts. Additionally, the Portfolios may enter into such contracts to mitigate currency and counterparty exposure to other foreign-currency-denominated investments. These contracts are recorded at value and the realized and change in unrealized foreign exchange gains and losses are included in the Statement of Operations. In the event


(unaudited)

12

that counterparties fail to settle these forward contracts, the Portfolios could be exposed to foreign currency fluctuations. Foreign currency contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time a forward contract is closed. These contracts are over-the-counter and a Portfolio is exposed to counterparty risk equal to the discounted net amount of payments to the Portfolio.

During the period ended September 30, 2019, Partner Healthcare used foreign currency forward contracts in order to hedge unwanted currency exposure.

During the period ended September 30, 2019, International Allocation used foreign currency forward contracts in order to gain active currency exposure and to hedge unwanted currency exposure.

Swap Agreements — All Portfolios, with the exception of the Money Market Portfolio, may enter into swap transactions, which involve swapping one or more investment characteristics of a security or a basket of securities with another party. Such transactions include market risk, risk of default by the other party to the transaction, risk of imperfect correlation and manager risk and may involve commissions or other costs. Swap transactions generally do not involve delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to swap transactions is generally limited to the net amount of payments that the Portfolio is contractually obligated to make, or in the case of the counterparty defaulting, the net amount of payments that the Portfolio is contractually entitled to receive. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. If there is a default by the counterparty, the Portfolio may have contractual remedies pursuant to the agreements related to the transaction. The contracts are valued daily and unrealized appreciation or depreciation is recorded. Swap agreements are valued at the clearinghouse end of day prices as furnished by an independent pricing service. The pricing service takes into account such factors as swap curves, default probabilities, recent trades, recovery rates and other factors it deems relevant in determining valuations. Daily fluctuations in the value of the centrally cleared credit default contracts are recorded in variation margin in the Statement of Assets and Liabilities and recorded as unrealized gain or loss. The Portfolio accrues for the periodic payment and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount recorded as realized gains or losses in the Statement of Operations. Receipts and payments received or made as a result of a credit event or termination of the contract are also recognized as realized gains or losses in the Statement of Operations. Collateral, in the form of

cash or securities, may be required to be held with the Portfolio’s custodian, or a third party, in connection with these agreements. Certain swap agreements are over-the-counter. In these types of transactions, the Portfolio is exposed to counterparty risk, which is the discounted net amount of payments owed to the Portfolio. This risk is partially mitigated by the Portfolio’s collateral posting requirements. As the swap increases in value to the Portfolio, the Portfolio receives collateral from the counterparty. Certain interest rate and credit default index swaps must be cleared through a clearinghouse or central counterparty.

Credit Default Swaps — A credit default swap is a swap agreement between two parties to exchange the credit risk of a particular issuer, basket of securities or reference entity. In a credit default swap transaction, a buyer pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. The seller collects periodic fees from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. A buyer of a credit default swap is said to buy protection whereas a seller of a credit default swap is said to sell protection. The Portfolios may be either the protection buyer or the protection seller.

Certain Portfolios enter into credit default derivative contracts directly through credit default swaps ("CDS") or through credit default swap indices ("CDX Indices"). CDX Indices are static pools of equally weighted credit default swaps referencing corporate bonds and/or loans designed to provide diversified credit exposure to these asset classes. Portfolios sell default protection and assume long-risk positions in individual credits or indices. Index positions are entered into to gain exposure to the corporate bond and/or loan markets in a cost-efficient and diversified structure. In the event that a position defaults, by going into bankruptcy and failing to pay interest or principal on borrowed money, within any given CDX Index held, the maximum potential amount of future payments required would be equal to the pro-rata share of that position within the index based on the notional amount of the index. In the event of a default under a CDS contract, the maximum potential amount of future payments would be the notional amount. For CDS, the default events could be bankruptcy and failing to pay interest or principal on borrowed money or a restructuring. A restructuring is a change in the underlying obligations which would include reduction in interest or principal, maturity extension and subordination to other obligations.

During the period ended September 30, 2019, High Yield, Income, Moderate Allocation, Moderately Aggressive


(unaudited)

13

Allocation, and Moderately Conservative Allocation used CDX indices (comprised of credit default swaps) to help manage credit risk exposure within the fund.

Total Return Swaps— A total return swap is a swap agreement between two parties to exchange the total return of a particular reference asset. A total return swap involves commitments to pay interest in exchange for a market linked return based on a notional amount. To the extent that the total return of the security, group of securities, or index underlying the transactions exceeds or falls short of the offsetting interest obligation, the Portfolios will receive a payment from or make a payment to the counterparty. The Portfolios may take a "long" or "short" position with respect to the underlying referenced asset.

During the period ended September 30, 2019, International Allocation used total return swaps to achieve exposure to foreign equity markets where liquidity and/or access is limited.

For financial reporting purposes, the Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.

Additional information for the Portfolio's policy regarding valuation of investments and other significant accounting policies can be obtained by referring to the Portfolio's most recent annual or semiannual shareholder report.

SMALL CAP INDEX PORTFOLIO Schedule of Investments as … · SMALL CAP INDEX PORTFOLIO Schedule of Investments as of March 29, 2019 (unaudited) The accompanying Notes to Schedule of

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