InternatIonal allocatIon 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 (84.0%) ValueAustralia (3.6%)

131,115 AGL Energy, Ltd. $1,696,231106,326 Altium, Ltd. 2,399,529

40,269 Ansell, Ltd. 745,436193,457 Aristocrat Leisure, Ltd. 3,999,747362,090 Australia and New Zealand Banking

Group, Ltd. 6,955,636789,764 Beach Energy, Ltd. 1,348,062332,299 BHP Group, Ltd. 8,211,300

61,200 Breville Group, Ltd. 665,46242,848 BWP Trust 114,283

335,942 Charter Hall Group 2,642,1608,491 Collins Foods, Ltd. 57,407

75,161 Computershare, Ltd. 821,64766,530 CSL, Ltd. 10,519,193

373,127 Evolution Mining, Ltd. 1,138,40671,798 FlexiGroup, Ltd. 123,802

356,647 G8 Education, Ltd. 623,760352,257 Genworth Mortgage Insurance

Australia, Ltd. 809,004202,862 Inghams Group, Ltd. 431,594236,225 IPH, Ltd. 1,389,593

39,734 JB Hi-Fi, Ltd. 912,30943,186 Jumbo Interactive, Ltd. 705,429

326,347 Metcash, Ltd. 658,942162,151 NIB Holdings, Ltd. 799,54321,504 Nick Scali, Ltd. 108,929

216,854 Northern Star Resources, Ltd. 1,611,661768,504 Regis Resources, Ltd. 2,535,482

89,572 Rio Tinto, Ltd. 5,610,34139,951 Sandfire Resources NL 177,091

658,051 Saracen Mineral Holdings, Ltd.a 1,529,19146,870 Smartgroup Corporation, Ltd. 386,563

236,742 Super Retail Group, Ltd. 1,585,302132,688 Tassal Group, Ltd. 383,618226,814 Technology One, Ltd. 1,100,516831,604 Vita Group, Ltd. 682,726

43,083 Wisetech Global, Ltd. 1,012,459Total 64,492,354

Austria (0.1%) 6,443 AMS AGa 287,4979,971 EVN AG 175,408

45,139 UNIQA Insurance Group AG 407,6691,506 Vienna Insurance Group AG 39,231

54,744 Wienerberger AG 1,332,647Total 2,242,452

Belgium (0.2%) 726 Akka Technologies 49,998

9,434 Barco NV 1,863,1514,217 Gimv NV 254,5549,730 KBC Ancora 432,217

14,603 SA D'Ieteren NV 791,557Total 3,391,477

Bermuda (0.1%) 184,000 Cafe de Coral Holdings, Ltd. 492,726

7,430 Golden Ocean Group, Ltd. 43,150271,000 Shanghai Industrial Urban

Development Group, Ltd. 34,208874,000 Yuexiu Transport Infrastructure, Ltd. 755,235

Total 1,325,319

Brazil (0.7%) 51,500 AES Tiete Energia SA 150,474

116,800 Banco ABC Brasil SA 504,312

Shares Common Stock (84.0%) ValueBrazil (0.7%) - continued

27,469 Banco Bradesco SA ADR $223,59810,600 Banco BTG Pactual SA 149,346

267,200 BR Malls Participacoes SA 931,83513,935 Centrais Eletricas Brasileiras SA ADR 133,49773,334 Companhia Energetica de Minas

Gerais ADR 248,60287,300 Companhia Energetica de Sao Paulo 598,606

3,771 Companhia Paranaense de Energia ADR 45,290

21,000 Cosan SA 269,33955,507 Embraer SA ADR 957,49629,200 GOL Linhas Aereas Inteligentes SAa 226,645

122,000 Iochpe-Maxion SA 560,532248,216 Itau Unibanco Holding SA ADR 2,087,496

71,000 JBS SA 559,121825,900 Metalurgica Gerdau SA 1,236,380273,078 Petroleo Brasileiro SA 1,808,05473,783 Petroleo Brasileiro SA ADR 1,067,64024,400 Qualicorp Consultoria e Corretora de

Seguros SA 182,10759,300 Randon SA Implementos e

Participacoes 137,29815,500 Ser Educacional SAb 84,01032,800 Tupy SA 141,70132,210 Vale SA ADRa 370,415

Total 12,673,794

Canada (4.6%) 117,881 Alaris Royalty Corporation 1,751,955

50,076 Allied Properties REIT 2,024,81164,785 Bank of Montreal 4,771,650

185,090 CGI, Inc.a 14,635,641985,944 CI Financial Corporation 14,385,249

72,068 Dream Global REIT 904,080175,646 First Capital Realty, Inc. 2,925,997114,010 Granite REIT 5,520,430254,389 Laurentian Bank of Canadac 8,646,365181,183 Manulife Financial Corporation 3,323,204

6,395 MTY Food Group, Inc. 306,029238,325 Northland Power, Inc. 4,572,760

17,849 Northview Apartment REIT 388,27768,616 RioCan REIT 1,366,26018,688 TMX Group, Ltd. 1,612,851

253,328 Toronto-Dominion Bank 14,771,173Total 81,906,732

Cayman Islands (1.5%) 182,500 3SBio, Inc.a,b 301,802

57,763 Alibaba Group Holding, Ltd. ADRa 9,659,7061,560 Autohome, Inc. ADRa 129,683

261,000 China Medical System Holdings, Ltd. 310,00599,000 China Mengniu Dairy Company, Ltd. 370,584

525,334 China Resources Land, Ltd. 2,200,428540,000 China SCE Group Holdings, Ltd. 248,857135,000 China Shineway Pharmaceutical

Group, Ltd. 117,808290,000 Consun Pharmaceutical Group, Ltd. 160,155

7,947 Ctrip.com International, Ltd. ADRa 232,768121,000 Fu Shou Yuan International Group,

Ltd. 106,918234,000 Goodbaby International Holdings,

Ltd.a 35,239208,500 Kingboard Holdings, Ltd. 552,383139,000 Li Ning Company, Ltd. 398,794

95,500 Longfor Group Holdings, Ltd.b 356,67134,500 NetDragon Websoft, Inc. 80,069

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.2

Shares Common Stock (84.0%) ValueCayman Islands (1.5%) - continued

5,165 NetEase, Inc. ADR $1,374,8193,092,000 Shui On Land, Ltd. 615,508

232,724 Tencent Holdings, Ltd. 9,734,36140,000 Tingyi (Cayman Islands) Holding

Corporation 56,313820,000 Value Partners Group, Ltd. 413,601

48,000 Wisdom Marine Lines Company, Ltd. 46,415Total 27,502,887

Chile (0.1%) 58,693 Banco Santander Chile SA ADR 1,643,40482,162 CAP SA 715,152

969,784 Colbun SA 174,862Total 2,533,418

China (1.3%) 111,500 Anhui Conch Cement Company, Ltd. 661,679

9,739 Baidu.com, Inc. ADRa 1,000,7802,881,000 Bank of China, Ltd. 1,129,8461,450,000 China Cinda Asset Management

Company, Ltd. 284,865758,000 China CITIC Bank Corporation, Ltd. 404,138

1,035,000 China Coal Energy Company, Ltd. 421,3102,283,000 China Construction Bank Corporation 1,739,553

440,000 China Everbright Bank Company, Ltd. 187,43664,400 China International Capital

Corporation, Ltd.b 124,993354,000 China National Building Material

Company, Ltd. 317,51483,600 China Pacific Insurance (Group)

Company, Ltd. 306,7523,788 China Petroleum & Chemical

Corporation ADR 222,35697,872 China Resources Sanjiu Medical and

Pharmaceutical Company, Ltd. 399,3333,460,000 China Telecom Corporation, Ltd. 1,575,543

647,000 CNOOC, Ltd. 990,641159,800 Guangzhou Haige Communications

Group, Inc. Company 219,3132,277,000 Industrial and Commercial Bank of

China, Ltd. 1,525,443375,449 Inner Mongolia Eerduosi Resources

Company, Ltd. 416,66421,755 JD.com, Inc. ADRa 613,709

158,000 Jiangxi Copper Company, Ltd. 182,9846,792 Kweichow Moutai Company, Ltd. 1,094,999

108,633 Midea Group Company, Ltd. 778,8303,778 New Oriental Education & Technology

Group, Inc. ADRa 418,451430,278 Ping An Insurance Company of China,

Ltd. 4,945,493288,000 Shandong Weigao Group Medical

Polymer Company, Ltd. 296,583124,600 Shanghai Pharmaceuticals Holding

Company, Ltd. 225,67069,200 Sinopharm Group Company, Ltd. 216,317

141,000 Tong Ren Tang Technologies Company, Ltd. 128,151

54,000 Tsingtao Brewery Company, Ltd. 325,8031,053,100 Xiamen C&D, Inc. 1,285,182

Total 22,440,331

Colombia (<0.1%) 5,036 Bancolombia SA ADR 249,030

Total 249,030

Shares Common Stock (84.0%) ValueDenmark (2.5%)

27,448 Coloplast AS $3,302,43080,173 DSV AS 7,620,449

2,418 FLSmidth & Company AS 105,186111,953 GN Store Nord AS 4,538,182355,973 Novo Nordisk AS 18,395,326

7,014 Per Aarsleff Holding AS 226,94811,069 Royal Unibrew AS 911,97523,255 Scandinavian Tobacco Group ASb 272,10226,247 SimCorp AS 2,305,237

147,929 Topdanmark AS 7,140,862Total 44,818,697

Faroe Islands (<0.1%) 1,343 Bakkafrost PF 79,371

Total 79,371

Finland (0.7%) 8,208 Adapteo Oyja 93,870

17,931 Cramo Oyj 191,92236,260 Finnair Oyj 253,45427,164 Raisio Oyj 96,52032,791 Rovio Entertainment Oyjb 146,28816,380 Tokmanni Group Corporation 182,105

286,903 UPM-Kymmene Oyj 8,471,88427,174 Uponor Oyj 288,897

144,899 Valmet Oyj 2,810,943Total 12,535,883

France (4.3%) 178,843 Air France-KLMa 1,871,387183,233 AXA SA 4,678,649

12,759 Beneteau SA 134,12323,398 Capgemini SA 2,755,151

228,584 CNP Assurances 4,417,31456,130 Coface SA 637,48675,847 Derichebourg 264,79313,111 Gaztransport Et Technigaz SA 1,297,185

4,518 Hermes International 3,120,4995,885 Ipsos SA 167,6428,370 Jacquet Metal Servicec 141,410

12,149 Kaufman & Broad SA 483,90913,307 Kering SA 6,781,069

227,217 Klepierre SA 7,716,4237,286 Lagardere SCA 161,144

187,638 Legrand SA 13,391,75826,538 LVMH Moet Hennessy Louis Vuitton

SE 10,529,2505,653 Maisons du Monde SAb 89,287

31,183 Metropole Television SA 511,36021,738 Quadient SAS 449,941

163,528 Schneider Electric SE 14,299,28222,319 Vinci SA 2,404,191

Total 76,303,253

Germany (3.8%) 52,529 Aareal Bank AG 1,596,59120,920 Adidas AG 6,513,34415,492 ADVA Optical Networking SEa 107,73073,419 Allianz SE 17,089,94556,434 Alstria Office REIT AG 968,175

7,375 Amadeus Fire AG 815,74856,050 Borussia Dortmund GmbH &

Company KGaA 563,87815,535 CANCOM SE 836,958

877 Cewe Stiftung & Company KGaA 73,66823,039 CompuGroup Medical SE 1,386,152

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.3

Shares Common Stock (84.0%) ValueGermany (3.8%) - continued

72,129 Deutsche Boerse AG $11,249,2119,600 Deutsche EuroShop AG 270,786

583,620 Deutsche Pfandbriefbank AGb 7,115,42493,308 Deutz AG 540,96467,905 Dialog Semiconductor plca 3,216,051

121,749 Evotec SEa 2,707,98631,314 Gerresheimer AG 2,245,214

4,158 Isra Vision AG 174,48426,079 Jungheinrich AG 562,39021,003 Nemetschek SE 1,070,190

800 New Work SE 217,991144,232 ProSiebenSat.1 Media AG 1,987,087

10,757 Rheinmetall AG 1,360,68818,060 Siltronic AG 1,372,01426,128 Software AG 717,338

1,229 STO SE & Company 128,46357,868 TAG Immobilien AG 1,320,58524,471 Takkt AG 324,33537,581 TLG Immobilien AG 1,021,991

Total 67,555,381

Greece (<0.1%) 13,877 LAMDA Development SAa 117,99969,796 Mytilineos SA 728,930

Total 846,929

Guernsey (<0.1%) 44,292 Regional REIT, Ltd.b 56,180

Total 56,180

Hong Kong (0.8%) 270,624 China Mobile, Ltd. 2,241,782233,500 China Resources Pharmaceutical

Group, Ltd.b 218,447412,000 China Traditional Medicine Holdings

Company, Ltd. 189,02754,443 China Unicom (Hong Kong), Ltd. ADR 571,107

753,000 CITIC Telecom International Holdings, Ltd. 273,666

1,960,000 CITIC, Ltd. 2,474,123210,000 CSPC Pharmaceutical Group, Ltd. 421,433367,000 Far East Horizon, Ltd. 340,844186,000 Fosun International, Ltd. 230,223718,000 Haitong International Securities

Group, Ltd. 203,511597,778 Hang Lung Group, Ltd. 1,489,57484,000 Hang Lung Properties, Ltd. 190,63732,500 Hengan International Group Company,

Ltd. 212,9616,231 Hong Kong Exchanges & Clearing,

Ltd. 182,631751,000 Kerry Properties, Ltd. 2,312,410463,000 Melco International Development,

Ltd. 1,099,92374,000 Road King Infrastructure, Ltd. 125,003

271,000 Shanghai Industrial Holdings, Ltd. 504,904174,000 Shun Tak Holdings, Ltd. 69,182289,000 Sun Hung Kai & Company, Ltd. 125,054

75,000 Sunlight Real Estate Investment Trust 50,128128,000 Weichai Power Company, Ltd. 184,656

1,062,000 Yuexiu Property Company, Ltd. 230,404Total 13,941,630

India (0.9%) 386,562 Coal India, Ltd. 1,091,345

38,994 Container Corporation of India, Ltd. 333,047

Shares Common Stock (84.0%) ValueIndia (0.9%) - continued

11,784 Divi's Laboratories, Ltd. $277,2682,928 Dr. Lal PathLabs, Ltd.b 57,5567,924 Dr. Reddy's Laboratories, Ltd. ADR 300,241

22,723 Greaves Cotton, Ltd. 46,88452,124 HCL Technologies, Ltd. 794,92940,862 Heidelberg Cement India, Ltd. 108,64421,060 Hero Motocorp, Ltd. 804,53831,446 Hindustan Unilever, Ltd. 879,892

126,682 Housing Development Finance Corporation 3,535,983

60,407 Infosys, Ltd. ADR 686,82823,474 Just Dial, Ltd.a 228,776

118,826 LIC Housing Finance, Ltd. 632,12715,944 PVR, Ltd. 414,99125,784 Reliance Industries, Ltd. 485,47640,980 Syngene International, Ltd.b 179,64575,938 Tata Consultancy Services, Ltd. 2,249,46280,448 Tata Elxsi, Ltd. 769,20560,168 Tech Mahindra, Ltd. 607,005

219,170 Wipro, Ltd. ADR 799,970Total 15,283,812

Indonesia (0.3%) 3,942,456 Astra International Tbk PT 1,833,0021,121,578 PT Bank Central Asia Tbk 2,397,899

569,600 PT Industri Jamu Dan Farmasi Sido Muncul Tbk 49,357

2,063,100 PT Mitra Adiperkasa Tbk 149,636Total 4,429,894

Ireland (0.1%) 65,699 C & C Group plc 297,177

112,817 Glanbia plc 1,401,80519,359 Greencore Group plc 53,66611,400 UDG Healthcare plc 105,131

Total 1,857,779

Israel (1.6%) 26,684 AudioCodes, Ltd.c 504,594

1,070,770 Bank Leumi Le-Israel BM 7,623,698120,429 First International Bank of Israel, Ltd. 3,205,748

3,580,549 Israel Discount Bank, Ltd. 15,737,194842 Paz Oil Company, Ltd. 123,418

149,925 Plus500, Ltd. 1,406,878Total 28,601,530

Italy (2.0%) 610,323 A2A SPA 1,120,049

17,808 Acea SPA 355,53229,731 Amplifon SPA 729,41439,358 ASTM SPA 1,258,63917,266 Azimut Holding SPA 324,02477,218 Banca Generali SPA 2,381,474

2,288 Banca IFIS SPA 38,13732,676 Banca Popolare Di Sondrio SCRL 59,808

3,277 Biesse SPA 37,92311,580 Buzzi Unicem SPA 265,54626,102 De'Longhi SPA 492,16714,703 DiaSorin SPA 1,709,938

135,550 Enav SPAb 765,310505,840 Eni SPA 7,731,674419,836 Iren SPA 1,224,543

13,206 La Doria SPA 129,689955,793 Piaggio & C. SPA 2,827,347329,174 Recordati SPA 14,117,923

3,845 Reply SPA 225,729

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.4

Shares Common Stock (84.0%) ValueItaly (2.0%) - continued

202,190 Saras SPA $345,80541,656 Unipol Gruppo SPA 221,808

Total 36,362,479

Japan (20.7%) 23,700 Adeka Corporation 295,684

436 AEON REIT Investment Corporation 600,42075,800 Aichi Corporation 485,87130,200 Aida Engineering, Ltd. 245,78014,800 Aisan Industry Company, Ltd. 126,31939,000 AOKI Holdings, Inc. 376,12879,200 Aoyama Trading Company, Ltd. 1,382,29319,900 Arcland Sakamoto Company, Ltd. 232,17916,500 Arcs Company, Ltd. 346,937

5,300 Argo Graphics, Inc. 127,9126,800 ARUHI Corporation 152,267

12,000 BayCurrent Consulting, Inc. 531,28265,400 Benesse Holdings, Inc. 1,703,67849,500 Broadleaf Company, Ltd. 267,82235,000 Bunka Shutter Company, Ltd. 300,34836,600 Canon Electronics, Inc. 623,182

182,156 Canon, Inc. 4,871,24847,700 Capcom Company, Ltd. 1,269,564

7,200 Cawachi, Ltd. 139,1365,300 Central Glass Company, Ltd. 111,874

88,000 Chiyoda Company, Ltd. 1,382,2848,000 Chiyoda Integre Company, Ltd. 158,694

20,200 Chugoku Marine Paints, Ltd. 166,070599,426 Citizen Watch Company, Ltd. 2,940,767

7,200 Cocokara Fine, Inc. 388,97515,800 Computer Engineering & Consulting,

Ltd. 297,27812,000 Cosel Company, Ltd. 114,33528,900 Cosmo Energy Holdings Company,

Ltd. 598,4552,900 COSMOS Pharmaceutical Corporation 568,198

123,272 Daido Steel Company, Ltd. 4,869,1866,600 Daiichi Jitsugyo Company, Ltd. 190,242

29,300 Daiichikosho Company, Ltd. 1,356,41953,300 Daito Trust Construction Company,

Ltd. 6,826,58230,800 DCM Holdings Company, Ltd. 302,565

145,600 Dena Company, Ltd. 2,574,057186,400 Denso Corporation 8,236,533

11,700 DOWA Holdings Company, Ltd. 401,761122,022 DTS Corporation 2,551,130

35,500 EDION Corporation 343,14714,400 EPS Holdings, Inc. 171,55927,600 ES-CON JAPAN, Ltd. 210,931

133,000 Exedy Corporation 2,607,791112,000 F@N Communications, Inc. 560,225

21,000 Fancl Corporation 560,86020,300 Financial Products Group Company,

Ltd. 203,4297,500 Foster Electric Company, Ltd. 127,644

11 Frontier Real Estate Investment Corporation 46,876

18,300 Fuji Oil Holdings, Inc. 532,2811,600 Fuji Soft, Inc. 67,9642,500 Fujibo Holdings, Inc. 69,7456,800 Fuyo General Lease Company, Ltd. 410,036

27,200 Geo Holdings Corporation 323,76566,500 Glory, Ltd. 1,869,08524,700 Goldcrest Company, Ltd. 485,415

4,200 GOLDWIN, Inc. 360,980125,700 Gree, Inc. 573,441

Shares Common Stock (84.0%) ValueJapan (20.7%) - continued

310,021 GS Yuasa Corporation $5,384,51721,500 H2O Retailing Corporation 236,16263,400 Hachijuni Bank, Ltd. 259,740

167 Hankyu REIT, Inc. 249,35994,500 Hanwa Company, Ltd. 2,594,57035,400 Hazama Ando Corporation 264,21624,800 Heiwa Corporation 511,533

985 Heiwa Real Estate REIT, Inc. 1,268,104510,133 Hino Motors, Ltd. 4,227,50729,300 Hitachi Capital Corporation 597,99218,200 Hogy Medical Company, Ltd. 522,91783,900 Hokuetsu Corporation 421,591

2,700 Hokuhoku Financial Group, Inc. 26,249162,000 Honda Motor Company, Ltd. 4,241,880

54,100 IBIDEN Company, Ltd. 1,092,0421,776 Ichigo Real Estate Investment

Corporation 1,847,86133,300 Iida Group Holdings Company, Ltd. 543,70125,200 INES Corporation 273,205

2,700 Information Services International-Dentsu, Ltd. 84,558

126,000 Isuzu Motors, Ltd. 1,395,7524,900 Izumi Company, Ltd. 192,1848,200 JAFCO Company, Ltd. 311,804

32,000 Japan Aviation Electronics Industry, Ltd. 457,024

1,118 Japan Excellent, Inc. 1,825,183536 Japan Logistics Fund, Inc. 1,325,562

5,300 Japan Petroleum Exploration Company, Ltd. 134,838

875 Japan Rental Housing Investments, Inc. 805,254

868,200 Japan Tobacco, Inc. 19,021,951291,257 JSR Corporation 4,689,459266,600 JVCKENWOOD Corporation 789,721576,920 JXTG Holdings, Inc. 2,637,070

17,900 Kadokawa Dwango Corporation 251,22912,500 Kanamoto Company, Ltd. 311,919

479,911 Kandenko Company, Ltd. 4,305,2959,600 Kanematsu Corporation 108,4405,100 Kanematsu Electronics, Ltd. 145,8842,300 Kawasaki Kisen Kaisha, Ltd.a 26,947

12,900 Keihin Corporation 190,543143 Kenedix Retail REIT Corporation 358,266

78,800 Kewpie Corporation 1,845,64211,800 Kintetsu World Express, Inc. 166,92940,000 KITZ Corporation 267,890

6,900 Kohnan Shoji Company, Ltd. 152,76055,100 Kokuyo Company, Ltd. 772,53985,200 Komatsu, Ltd. 1,964,69414,400 KOMEDA Holdings Company, Ltd. 268,90173,800 Konoike Transport Company, Ltd. 1,094,875

167,800 K's Holdings Corporation 1,827,51315,900 Kureha Corporation 951,56916,800 Kyokuto Kaihatsu Kogyo Company,

Ltd. 202,96155,700 KYORIN Holdings, Inc. 924,66189,600 Lintec Corporation 1,783,631

1,100 M&A Capital Partners Corporation, Ltd.a 66,154

17,000 Macnica Fuji Electronics Holdings, Inc. 219,724

113,100 Maeda Corporation 991,83126,500 Makino Milling Machine Company,

Ltd. 1,161,58826,200 Mandom Corporation 652,517

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.5

Shares Common Stock (84.0%) ValueJapan (20.7%) - continued

1,564,900 Marubeni Corporation $10,436,26938,168 Maruichi Steel Tube, Ltd. 1,013,72424,100 Matsumotokiyoshi Holdings Company,

Ltd. 884,390609 MCUBS MidCity Investment

Corporation 669,414600 MegaChips Corporation 9,264

16,200 Meiko Network Japan Company, Ltd. 132,0211,800 Mimasu Semiconductor Industry

Company, Ltd. 29,13820,900 Ministop Company, Ltd. 269,32021,100 Miraca Holdings, Inc. 482,649

314,500 Mitsubishi Corporation 7,743,90763,400 Mitsubishi Gas Chemical Company,

Inc. 852,7245,800 Mitsubishi Research Institute, Inc. 193,165

12,600 Mitsubishi Shokuhin Company, Ltd. 316,79754,400 Mitsubishi Tanabe Pharma

Corporation 599,505902,200 Mitsui & Company, Ltd. 14,819,913

39,400 Mitsui Engineering & Shipbuilding Company, Ltd.a 348,030

87,000 Mitsui Mining and Smelting Company, Ltd. 2,076,914

7,700 Mitsui Sugar Company, Ltd. 159,26810,100 Morinaga and Company, Ltd. 491,63093,200 NEC Networks & System Integration

Corporation 2,538,15448,800 Net One Systems Company, Ltd. 1,323,87610,000 Nextage Company, Ltd. 107,608

434,800 NHK Spring Company, Ltd. 3,335,5083,500 Nichiha Corporation 95,881

51,900 Nichi-Iko Pharmaceutical Company, Ltd. 579,683

111,200 Nichirei Corporation 2,540,7479,700 Nihon Chouzai Company, Ltd. 333,715

26,300 Nihon M&A Center, Inc. 743,94523,200 Nihon Unisys, Ltd. 749,89218,800 Nikkon Holdings Company, Ltd. 430,19724,200 Nippon Flour Mills Company, Ltd. 379,371

1,372,000 Nippon Light Metal Holdings Company, Ltd. 2,476,860

101 Nippon REIT Investment Corporation 421,7466,200 Nippon Shokubai Company, Ltd. 353,973

817,996 Nippon Steel Corporation 11,462,03726,300 Nippon Steel Trading Corporation 1,031,39726,300 Nipro Corporation 296,18981,922 Nishimatsu Construction Company,

Ltd. 1,531,28515,800 Nishi-Nippon Financial Holdings, Inc. 111,382

9,600 Nishio Rent All Company, Ltd. 247,1452,792,705 Nissan Motor Company, Ltd. 17,435,850

27,500 Nisshin Oillio Group, Ltd. 865,30919,700 Nisshinbo Holdings, Inc. 154,170

1,600 Nitto Kogyo Corporation 30,42212,700 Nojima Corporation 214,09821,000 Nomura Company, Ltd. 265,647

3,500 Noritake Company, Ltd. 129,59826,700 North Pacific Bank, Ltd. 56,91022,000 NS Solutions Corporation 722,08019,700 NSD Company, Ltd. 567,895

437,600 NSK, Ltd. 3,708,6908,400 OBIC Business Consultants Company,

Ltd. 342,2581,300 Ohsho Food Service Corporation 84,185

11,350 Okinawa Electric Power Company, Inc. 178,780

Shares Common Stock (84.0%) ValueJapan (20.7%) - continued

18,200 Okuma Corporation $992,67676 One REIT, Inc. 223,200

693,900 Onward Holdings Company, Ltd. 3,615,21688,200 ORIX Corporation 1,319,384

111,700 Otsuka Corporation 4,470,40624,700 OUTSOURCING Inc. 236,60312,800 Paramount Bed Holdings Company,

Ltd. 467,687232,402 Park24 Company, Ltd. 5,398,939

1,333 Premier Investment Corporation 1,957,01632,500 Pressance Corporation 526,112

215,697 Relia, Inc. 2,696,18844,000 Rengo Company, Ltd. 317,98482,500 Rinnai Corporation 5,559,06060,600 Riso Kyoiku Corporation, Ltd. 247,26397,300 Round One Corporation 1,459,12657,300 Ryoyo Electro Corporation 982,899

9,700 Saint Marc Holdings Company, Ltd. 213,86168,000 Samty Corporation, Ltd. 1,189,76390,600 Sanyo Special Steel Company, Ltd. 1,214,62411,900 Sato Holdings Corporation 322,67727,200 Sawai Pharmaceutical Company, Ltd. 1,407,22810,100 SBS Holdings, Inc. 147,02331,500 SCSK Corporation 1,482,38945,100 Seiko Holdings Corporation 1,000,73068,600 Seino Holdings Company, Ltd. 861,208

1,662 Sekisui House REIT, Inc. 1,490,9533,600 Seria Company, Ltd. 87,602

17,800 SHIMAMURA Company, Ltd. 1,414,16472,300 Shinko Electric Industries Company,

Ltd. 620,48115,300 Ship Healthcare Holdings, Inc. 652,30482,300 SKY Perfect JSAT Holdings, Inc. 333,819

1,979,500 Sojitz Corporation 6,157,9824,200 Square ENIX Holdings Company, Ltd. 204,177

45 Star Asia Investment Corporation 48,5787,000 Starts Corporation, Inc. 171,374

172,300 Sugi Holdings Company, Ltd. 9,350,785420,600 Sumitomo Corporation 6,584,687

1,143,300 Sumitomo Electric Industries, Ltd. 14,590,14315,800 Sumitomo Forestry Company, Ltd. 210,968

484,500 Sumitomo Rubber Industries, Ltd. 5,769,41436,900 Sumitomo Warehouse Company, Ltd. 488,220

443,302 Sundrug Company, Ltd. 13,987,6712,100 Systena Corporation 31,307

800 T. Hasegawa Company, Ltd. 14,83423,500 Taiho Kogyo Company, Ltd. 167,99725,700 Takara Holdings, Inc. 255,300

146,600 Takara Leben Company, Ltd. 568,53249,500 Takuma Company, Ltd. 563,21734,600 TANSEISHA Company, Ltd. 389,01656,400 TIS, Inc. 3,258,692

3,600 TKC Corporation 156,51714,000 Toa Corporation 169,67048,000 Toho Holdings Company, Ltd. 1,115,25398,600 Tokyo Dome Corporation 950,583

175,700 Tokyo Seimitsu Company, Ltd. 5,210,153127,000 Tokyo Tatemono Company, Ltd. 1,792,563

13,300 Tokyotokeiba Company, Ltd. 404,68972,500 Tosei Corporation 858,77435,000 Towa Pharmaceutical Company, Ltd. 814,26718,500 Toyo Tanso Company, Ltd. 400,62137,700 Toyoda Gosei Company, Ltd. 758,953

6,400 Transcosmos, Inc. 154,67154,559 Trend Micro, Inc. 2,607,29090,100 Tsubakimoto Chain Company 2,900,090

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.6

Shares Common Stock (84.0%) ValueJapan (20.7%) - continued

369,600 TV Asahi Holdings Corporation $5,834,65315,900 Ube Industries, Ltd. 323,01246,300 United Arrows, Ltd. 1,355,55919,100 Universal Entertainment Corporation 619,71330,300 Vision, Inc.a 439,57114,000 Wacoal Holdings Corporation 361,46448,100 Wakita & Company, Ltd. 475,22019,100 Yellow Hat, Ltd. 282,72121,300 Yokohama Reito Company, Ltd. 204,71326,400 Zenrin Company, Ltd. 448,749

Total 368,622,510

Jersey (0.2%) 638,197 boohoo group plca 2,079,287605,631 Man Group plc 1,300,235

15,278 Sanne Group PLC 102,002Total 3,481,524

Luxembourg (<0.1%) 177,065 B&M European Value Retail SA 825,596

Total 825,596

Malaysia (0.2%) 11,800 AEON Credit Service (M) Berhad 41,090

771,500 Bermaz Auto Berhad 420,1142,355,900 Bumi Armada Berhada 182,768

455,400 Digi.Com Berhad 516,497390,068 Public Bank Berhad 1,870,047

Total 3,030,516

Mexico (0.2%) 488,000 Corporacion Inmobiliaria Vesta, SAB

de CV 748,79116,072 Fomento Economico Mexicano SAB

de CV ADR 1,471,87495,733 Grupo Financiero Banorte SAB de CV

ADR 515,970350,800 Wal-Mart de Mexico, SAB de CV 1,039,743

Total 3,776,378

Netherlands (4.5%) 116,342 Aalberts NV 4,607,270

57,865 ASM International NV 5,323,71444,112 ASML Holding NV 10,940,40781,034 ASR Nederland NV 2,990,13171,557 BE Semiconductor Industries NV 2,238,40398,969 Euronext NVb 8,103,703

7,007 Ferrari NV 1,081,2752,711 Flow Tradersb 70,976

46,989 Intertrust NVb 919,22539,272 Koninklijke DSM NV 4,727,653

249,076 Koninklijke Philips NV 11,509,61114,596 Koninklijke VolkerWessels NV 258,362

3,713 NSI NV 160,464509,035 Signify NVb 13,989,654108,679 TomTom NV 1,218,635195,259 Unilever NV 11,724,838

4,815 Vastned Retail NV 143,7995,737 Wereldhave NVc 127,515

Total 80,135,635

New Zealand (0.2%) 134,981 Air New Zealand, Ltd. 236,770370,868 Contact Energy, Ltd. 1,983,525

Shares Common Stock (84.0%) ValueNew Zealand (0.2%) - continued

416,884 Z Energy, Ltd. $1,462,565Total 3,682,860

Norway (1.2%) 11,082 Atea ASA 142,52073,006 Austevoll Seafood ASA 693,299

615,873 DnB ASA 10,856,600393,546 Elkem ASAb 958,994225,185 Entra ASAb 3,531,832219,045 Europris ASA 605,764

53,302 Grieg Seafood ASA 652,456183,504 Leroy Seafood Group ASA 1,116,301

51,542 SalMar ASA 2,262,8199,770 SpareBank 1 Nord-Norge 72,950

27,541 SpareBank 1 SMN 298,32811,694 Storebrand ASA 73,92733,858 TGS Nopec Geophysical Company ASA 856,98611,329 Veidekke ASA 127,209

Total 22,249,985

Panama (<0.1%) 36,985 Avianca Holdings SA ADR 134,625

Total 134,625

Philippines (<0.1%) 286,540 Bank of the Philippine Islands 514,260

31,630 Manila Electric Company 225,653Total 739,913

Poland (<0.1%) 20,404 Asseco Poland SA 259,91988,781 Enea SAa 190,39619,134 KGHM Polska Miedz SAa 381,914

Total 832,229

Portugal (<0.1%) 6,184,256 Banco Espirito Santo SAa,d,e 674

103,931 NOS SGPS SA 567,43578,972 Sonae 73,531

Total 641,640

Russia (0.7%) 233,607 Gazprom OAO ADR 1,611,888

35,993 Lukoil ADR 2,973,104111,330 M.Video PJSCa 724,405

1,530,470 Moscow Exchange MICEX-RTS PJSC 2,235,67018,032 Novolipetsk Steel OJSC GDR 395,254

266 PAO Transneft 614,398102,536 Sberbank of Russia PJSC 359,203222,879 Surgutneftegas ADR 1,192,403

2,531,000 Surgutneftegas PJSC 1,461,228Total 11,567,553

Singapore (0.5%) 144,300 China Aviation Oil (Singapore)

Corporation, Ltd. 121,1394,256 China Yuchai International, Ltd. 55,115

431,300 DBS Group Holdings, Ltd. 7,802,698144,900 Frasers Commercial Trust 168,787310,100 Yanlord Land Group, Ltd. 262,803

Total 8,410,542

South Africa (0.5%) 115,033 Absa Group, Ltd. 1,161,821

15,677 Adcock Ingram Holdings, Ltd. 58,74354,652 AECI, Ltd. 346,280

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.7

Shares Common Stock (84.0%) ValueSouth Africa (0.5%) - continued

5,366 AngloGold Ashanti, Ltd. ADR $98,03757,693 Barloworld, Ltd. 439,553

177,311 DataTec, Ltd. 390,91548,666 Emira Property Fund, Ltd. 39,588

178,369 FirstRand, Ltd. 732,84227,798 Foschini Group, Ltd. 300,28782,478 Harmony Gold Mining Company, Ltd.

ADRa 234,23716,564 Impala Platinum Holdings, Ltd.a 104,231

240,830 Investec, Ltd. 1,269,744514,166 Momentum Metropolitan Holdings 633,15958,199 Motus Holdings, Ltd. 264,25544,026 MultiChoice Group, Ltd.a 342,73616,385 Naspers, Ltd. 2,480,840

Total 8,897,268

South Korea (1.1%) 2,637 AK holdings, Inc. 69,3403,041 Binggrae Company, Ltd. 148,2182,649 Celltrion, Inc.a 362,394

29,034 Cheil Worldwide, Inc. 601,9676,579 CJ CGV Corporation, Ltd. 183,472

33,373 Dongkuk Steel Mill Corporation , Ltd.a 181,10385,711 Doosan Heavy Construction

Corporation, Ltd.a 487,14837,373 Doosan Infracore Corporation , Ltd.a 196,661

442 Green Cross Corporation 41,9121,318 GS Home Shopping, Inc. 170,8413,134 Handsome Corporation 76,446

19,831 Hanwha Corporation 418,12724,108 Hanwha Investment & Securities

Corporation, Ltd.a 42,4757,925 Huchems Fine Chemical Corporation 141,7795,260 Hyundai Motor Company 588,9368,333 Hyundai Steel Company 270,7233,824 Hyundai Wia Corporation 162,8472,272 Innocean Worldwide, Inc. 126,502

65,180 JB Financial Group Corporation, Ltd. 306,1971,948 Kakao Corporation 220,5433,729 KEPCO Plant Service & Engineering

Company, Ltd. 107,69829,451 Kia Motors Corporation 1,122,882

4,197 Korea Zinc Company, Ltd. 1,570,944261 LG Household & Health Care, Ltd. 284,861

33,199 LG International Corporation 475,8286,926 LS Corporation 274,4912,928 NAVER Corporation 384,0529,655 Nexen Tire Corporation 72,914

45,773 NH Investment & Securities Company, Ltd. 485,425

9,443 Poongsan Corporation 175,8371,720 POSCO 326,040

22,023 Samsung Card Corporation, Ltd. 646,748152,743 Samsung Electronics Company, Ltd. 6,253,918

12,183 Samsung Securities Corporation, Ltd. 359,4574,480 SeAH Besteel Corporation 61,390

24,198 Seegene, Inc.a 413,20618,029 Shinhan Financial Group Company,

Ltd. 629,98711,872 SK Hynix, Inc. 815,373

3,301 Soulbrain Company, Ltd. 201,38023,065 Sungwoo Hitech Corporation, Ltd. 73,699

431 Taekwang Industrial Corporation, Ltd. 407,16527,955 Woori Financial Group, Inc. 290,588

Shares Common Stock (84.0%) ValueSouth Korea (1.1%) - continued

87 YoungPoong Corporation $44,184Total 20,275,698

Spain (2.1%) 96,105 ACS Actividades de Construccion y

Servicios, SA 3,839,98280,587 Amadeus IT Holding SA 5,774,20764,652 Applus Services SA 838,464

559,492 Banco Bilbao Vizcaya Argentaria SA 2,912,437373,963 Bankinter SA 2,359,825197,452 CIA De Distribucion Integral 3,847,379

6,609 Construcciones y Auxiliar de Ferrocarriles SA 300,026

217,050 Enagas SA 5,017,45428,492 Global Dominion Access SAa,b 114,618

117,397 Grifols SA 3,460,65433,555 Lar Espana Real Estate SOCIMI SA 281,981

8,997 Let's GOWEX SAa,d,e 1634,270 Mediaset Espana Comunicacion SAc 4,088,415266,271 Merlin Properties Socimi SA 3,717,511

31,005 Neinor Homes SAa,b 416,959Total 36,969,913

Sweden (2.0%) 25,873 AAK AB 501,450

241,137 AB Industrivarden 5,275,12490,324 Arjo AB 342,204

6,331 Axfood AB 134,41632,962 Betsson AB 159,53150,088 Bilia AB 397,558

2,475 BioGaia AB 108,69241,100 Biotage AB 427,04026,219 Bure Equity AB 383,034

172,750 Castellum AB 3,698,403596,374 Cloetta AB 1,710,74635,758 Dios Fastigheter AB 311,92311,664 Dustin Group ABb 93,252

3,471 Evolution Gaming Group ABb 68,21113,143 Fortnox AB 220,56288,732 Getinge AB 1,240,29985,451 Granges AB 872,034

145,155 Hemfosa Fastigheter AB 1,469,761386,094 Kungsleden AB 3,505,513

9,621 Lifco AB 453,47948,051 Lindab International AB 489,704

4,755 Loomis AB 166,97062,336 Micronic Mydata AB 771,169

187,840 NetEnt AB 579,12692,437 Nobia AB 535,907

381,215 Nobina ABb 2,382,43328,504 Nolato AB 1,520,89261,377 Resurs Holding ABb 363,664

110,231 Skandinaviska Enskilda Banken AB 1,012,880225,066 SKF AB 3,716,548

8,166 SkiStar AB 104,35615,117 Svenska Cellulosa AB SCA 134,70620,650 SWECO AB 586,32615,113 Vitrolife AB 247,05773,786 Wihlborgs Fastigheter AB 1,199,056

Total 35,184,026

Switzerland (7.3%) 55,660 Baloise Holding AG 9,972,867

5,239 Bucher Industries AG 1,638,85714,352 DKSH Holding AG 716,415

1,232 dorma+kaba Holding AG 794,578

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.8

Shares Common Stock (84.0%) ValueSwitzerland (7.3%) - continued

30,163 Ferrexpo plc $59,78712,665 Flughafen Zuerich AG 2,344,291

116 Forbo Holding AG 172,27034,700 Galenica AGb 1,993,02717,492 Helvetia Holding AG 2,414,18710,812 Huber & Suhner AG 696,253

75 Inficon Holding AG 48,6292,858 Kardex AG 394,624

13,170 Landis+Gyr Group AG 1,180,50279,477 Logitech International SA 3,229,740

214,540 Nestle SA 23,267,837302,240 Novartis AG 26,230,500

22,132 OC Oerlikon Corporation AG 222,18031,910 PSP Swiss Property AG 4,051,357

114,406 Roche Holding AG 33,310,99012,078 Roche Holding AG-BR 3,496,232

1,408 Siegfried Holding AG 554,11838,069 Sonova Holding AG 8,857,926

3,706 Straumann Holding AG 3,031,3197,032 Tecan Group AG 1,680,802

Total 130,359,288

Taiwan (1.6%) 28,000 A-DATA Technology Company, Ltd. 45,355

112,000 Ardentec Corporation 100,592160,000 Capital Securities Corporation 45,447111,000 Cheng Uei Precision Industry

Company, Ltd. 124,469296,000 Chicony Electronics Company, Ltd. 871,913

2,084,000 China Development Financial Holding Corporation 620,692

434,520 China Man-Made Fiber Corporation 114,200497,000 China Steel Corporation 368,406170,000 Coretronic Corporation 204,175142,000 Delta Electronics, Inc. 606,682440,000 Far Eastern Department Stores, Ltd. 338,939

42,000 Feng Hsin Iron & Steel Company, Ltd. 69,57218,000 Formosa International Hotels

Corporation 91,695368,000 Formosa Plastics Corporation 1,121,037503,000 Fubon Financial Holding Company,

Ltd. 722,166236,000 Hon Hai Precision Industry Company,

Ltd. 556,870417,130 IBF Financial Holdings Company, Ltd. 143,863225,000 King Yuan Electronics Company, Ltd. 252,662

41,000 MediaTek, Inc. 487,80658,000 Namchow Holdings Company, Ltd. 94,01844,000 PharmaEngine, Inc. 110,634

703,000 Pou Chen Corporation 901,185201,000 Powertech Technology, Inc. 564,805

25,000 Realtek Semiconductor Corporation 185,352188,000 SerComm Corporation 478,614962,000 Shinkong Synthetic Fibers

Corporation 353,004114,000 Sigurd Microelectronics Corporation 121,577

37,000 Sitronix Technology Corporation 198,615110,000 Sunonwealth Electric Machine

Industry Company, Ltd. 133,707270,000 Supreme Electronics Company, Ltd. 252,324150,000 Systex Corporation 352,765

80,000 Taiwan Hon Chuan Enterprise Company, Ltd. 142,640

1,141,515 Taiwan Semiconductor Manufacturing Company, Ltd. 10,138,405

54,000 Taiwan Styrene Monomer Corporation 37,864

Shares Common Stock (84.0%) ValueTaiwan (1.6%) - continued

105,000 Topco Scientific Company, Ltd. $322,989166,000 Transcend Information, Inc. 344,509

84,000 Tung Ho Steel Enterprise Corporation 58,339231,000 TXC Corporation 290,131

1,018,000 Uni-President Enterprises Corporation 2,456,582203,000 Unitech Printed Circuit Board

Corporation 231,3021,518,000 United Microelectronics Corporation 650,914

114,000 WT Microelectronics Company, Ltd. 142,3724,031,000 Yuanta Financial Holding Company,

Ltd. 2,405,278669,000 Yulon Motor Company, Ltd. 423,807

Total 28,278,273

Thailand (0.3%) 100,000 Advanced Info Service Public

Company, Ltd. NVDR 719,888900,300 Bangkok Dusit Medical Services

Public Company, Ltd. NVDR 712,267681,300 Charoen Pokphand Foods Public

Company, Ltd. NVDR 584,966176,600 Com7 Public Company, Ltd. NVDR 140,891567,200 CP ALL Public Company, Ltd. NVDR 1,505,458485,800 GFPT Public Company, Ltd. NVDR 284,374

82,500 Intouch Holdings Public Company, Ltd. NVDR 176,790

833,500 Major Cineplex Group Public Company, Ltd. NVDR 651,603

20,800 PTT Exploration and Production Public Company, Ltd. NVDR 82,331

86,200 Supalai Public Company, Ltd. NVDR 50,7441,269,600 Thai Union Group Public Company,

Ltd. NVDR 693,280256,000 Thai Vegetable Oil Public Company,

Ltd. NVDR 217,416Total 5,820,008

Turkey (0.1%) 621,165 Haci Omer Sabanci Holding AS 1,051,493

72,641 Koza Anadolu Metal Madencilik Isletmeleri ASa 118,602

74,768 Turk Hava Yollari Anonim Ortakligia 163,618Total 1,333,713

United Kingdom (11.4%) 285,293 3i Group plc 4,083,197138,933 Abcam plc 1,957,822

49,166 Ascential plcb 229,22372,616 Ashmore Group plc 451,785

259,854 Assura plc 227,805256,424 Auto Trader Group plcb 1,607,171172,100 Aviva plc 844,867106,286 Barratt Developments plc 846,101

39,639 Beazley plc 302,94172,790 Bellway plc 2,992,392

459,406 BHP Group plc 9,812,53761,345 Bodycote plc 540,09759,915 Bovis Homes Group plc 820,97163,283 Brewin Dolphin Holdings plc 247,41527,837 Britvic plc 336,3294,892 Close Brothers Group plc 84,692

221,118 Compass Group plc 5,689,93926,372 Computacenter plc 418,41266,172 Daily Mail and General Trust plc 693,94422,642 Diploma plc 462,968

1,252,389 Direct Line Insurance Group plc 4,620,681

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.9

Shares Common Stock (84.0%) ValueUnited Kingdom (11.4%) - continued

846 EMIS Group plc $10,56812,916 Empiric Student Property plc 14,81715,030 Euromoney Institutional Investor plc 273,50557,867 Fevertree Drinks plc 1,721,30419,630 Forterra plcb 68,667

3,002 Games Workshop Group plc 173,8901,232,433 GlaxoSmithKline plc 26,416,585

266,572 Great Portland Estates plc 2,458,21468,940 Greggs plc 1,772,362

246,790 Halma plc 5,973,626526,170 Hansteen Holdings plc 596,179328,713 Hays plc 609,388132,491 HomeServe plc 1,932,035

4,820 Howden Joinery Group plc 33,1731,960,801 HSBC Holdings plc 15,024,088

211,961 Ibstock plcb 615,573347,967 IG Group Holdings plc 2,578,167

97,483 Inchcape plc 756,74155,251 Intermediate Capital Group plc 987,969

187,879 JD Sports Fashion plc 1,734,083481,812 Jupiter Fund Management plc 2,106,038

4,562,224 Lloyds TSB Group plc 3,024,37632,203 Marshalls plc 262,11971,362 Mondi plc 1,366,390

2,255,991 Moneysupermarket.com Group plc 10,491,4941,150,958 National Express Group plc 6,127,612

69,328 PageGroup plc 373,725261,191 Paragon Banking Group plc 1,548,84846,432 Playtech plc 243,28311,775 QinetiQ Group plc 41,807

236,320 Redrow plc 1,794,715183,392 RELX plc 4,355,487

82,413 Rio Tinto plc 4,284,020245,934 Rotork plc 940,698552,918 Royal Dutch Shell plc, Class A 16,215,873608,338 Royal Dutch Shell plc, Class B 17,979,608

50,774 RWS Holdings plc 366,45751,373 Safestore Holdings plc 422,260

739,277 Sage Group plc 6,282,46147,089 Senior plc 108,617

207,349 Smith & Nephew plc 4,993,336178,512 Sophos Group plcb 879,205126,136 SSP Group plc 960,478863,068 Taylor Wimpey plc 1,713,122268,502 Tritax Big Box REIT plc 493,829

4,095 Ultra Electronics Holdings plc 101,698241,385 Unilever plc 14,507,638

1,935 Vesuvius plc 10,835Total 203,018,252

Total Common Stock (cost $1,454,326,369) 1,499,698,557

SharesCollateral Held for Securities Loaned (0.6%)

10,211,455 Thrivent Cash Management Trust 10,211,455Total Collateral Held for Securities Loaned (cost $10,211,455) 10,211,455

Shares Preferred Stock (<0.1%) ValueSouth Korea (0.1%)

60,075 Samsung Electronics Company, Ltd. $1,983,021Total 1,983,021

Total Preferred Stock (cost $956,869) 1,983,021

Principal Amount Long-Term Fixed Income (<0.1%)

Venezuela (0.1%) Petroleos de Venezuela SA

$11,370,000 6.000%, 10/28/2022f 682,200 7,010,000 6.000%, 5/16/2024f 560,800 1,326,000 6.000%, 11/15/2026f 106,080 1,410,000 5.375%, 4/12/2027f 112,800

210,000 5.500%, 4/12/2037f 16,800Total 1,478,680

Total Long-Term Fixed Income (cost $7,583,707) 1,478,680

Shares or Principal Amount Short-Term Investments (15.0%)

Federal Home Loan Bank Discount Notes

1,200,000 1.940%, 11/8/2019g,h 1,197,6193,000,000 1.941%, 11/12/2019g,h 2,993,4207,500,000 1.947%, 11/19/2019g,h 7,480,8081,400,000 1.910%, 12/5/2019g,h 1,395,2739,100,000 1.920%, 12/11/2019g,h 9,066,438

Thrivent Core Short-Term Reserve Fund

24,569,766 2.230% 245,697,658Total Short-Term Investments (cost $267,829,244) 267,831,216Total Investments (cost $1,740,907,644) 99.8% $1,781,202,929Other Assets and Liabilities, Net 0.2% 2,806,234Total Net Assets 100.0% $1,784,009,163

a Non-income producing security.b Denotes securities sold under Rule 144A of the Securities Act of

1933, which exempts them from registration. These securities may be resold to other dealers in the program or to other qualified institutional buyers. As of September 30, 2019, the value of these investments was $46,174,102 or 2.6% of total net assets.

c All or a portion of the security is on loan. d Security is valued using significant unobservable inputs. Further

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

e In bankruptcy. Interest is not being accrued.f Defaulted security. Interest is not being accrued.g The interest rate shown reflects the yield, coupon rate or the

discount rate at the date of purchase.h 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.

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.10

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 International Allocation Portfolio as of September 30, 2019:

Securities Lending TransactionsCommon Stock $7,257,926Total lending $7,257,926Gross amount payable upon return of collateral for securities loaned $10,211,455Net amounts due to counterparty $2,953,529

Definitions:ADR - American Depositary Receipt, which are certificates for an

underlying foreign security's shares held by an issuing U.S. depository bank.

GDR - Global Depository Receipts, which are certificates for shares of an underlying foreign security’s shares held by an issuing depository bank from more than one country.

NVDR - Non-Voting Depository ReceiptsREIT - Real Estate Investment Trust is a company that buys,

develops, manages and/or sells real estate assets.

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.11

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

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

Communications Services 48,435,657 1,701,570 46,734,086 1Consumer Discretionary 183,936,551 10,924,634 173,011,917 –Consumer Staples 131,898,994 1,471,874 130,427,120 –Energy 65,758,638 4,094,287 61,664,351 –Financials 283,819,038 4,203,528 279,614,836 674Health Care 190,863,911 300,241 190,563,670 –Industrials 240,592,491 1,147,236 239,445,255 –Information Technology 149,488,897 3,366,211 146,122,686 –Materials 99,617,415 1,097,943 98,519,472 –Real Estate 87,319,258 – 87,319,258 –Utilities 17,967,707 427,389 17,540,318 –

Preferred StockInformation Technology 1,983,021 – 1,983,021 –

Long-Term Fixed IncomeEnergy 1,478,680 – 1,478,680 –

Short-Term Investments 22,133,558 – 22,133,558 –Subtotal Investments in Securities $1,525,293,816 $28,734,913 $1,496,558,228 $675Other Investments * TotalAffiliated Short-Term Investments 245,697,658 Collateral Held for Securities Loaned 10,211,455 Subtotal Other Investments $255,909,113

Total Investments at Value $1,781,202,929

* 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 3Asset Derivatives

Futures Contracts 3,498,787 3,498,787 – –Total Asset Derivatives $3,498,787 $3,498,787 $– $–Liability Derivatives

Futures Contracts 1,941,748 1,941,748 – –Total Liability Derivatives $1,941,748 $1,941,748 $– $–

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.

InternatIonal allocatIon PortfolIo Schedule of Investments as of September 30, 2019

(unaudited)

The accompanying Notes to Schedule of Investments are an integral part of this schedule.12

The following table presents International Allocation Portfolio's futures contracts held as of September 30, 2019. Investments and/or cash totaling $22,163,511 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 Euro Foreign Exchange Currency 896 December 2019 $123,952,658 ($1,172,658)Eurex Euro STOXX 50 Index 3,222 December 2019 123,215,224 1,630,384FTSE 100 Index 1 December 2019 89,851 809ICE mini MSCI EAFE Index 1,655 December 2019 157,861,690 ( 769,090)SFE S&P ASX Share Price Index 200 1 December 2019 112,207 544TSE Tokyo Price Index 1 December 2019 141,941 4,926Total Futures Long Contracts $405,373,571 ($305,085)ICE US mini MSCI Emerging Markets Index (1,100) December 2019 ($56,966,624) $1,862,124Total Futures Short Contracts ($56,966,624) $1,862,124Total Futures Contracts $348,406,947 $1,557,039

Reference Description:ASX - Australian Securities ExchangeCME - Chicago Mercantile ExchangeEAFE - Europe, Australasia and Far East FTSE - Financial Times Stock ExchangeICE - Intercontinental ExchangeMSCI - Morgan Stanley Capital InternationalS&P - Standard & Poor'sSFE - Sydney Futures ExchangeTSE - Tokyo Stock Exchange

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 International Allocation 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% $29,341 $702,272 $485,915 $245,698 24,570 13.8%

Total Affiliated Short-Term Investments 29,341 245,698 13.8Collateral held for Securities Loaned

Cash Management Trust- Collateral Investment 9,299 183,438 182,526 10,211 10,211 0.6Total Collateral Held for Securities Loaned 9,299 10,211 0.6Total Value $38,640 $255,909

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% $– $– – $3,062Total Income from Affiliated Investments $3,062Collateral Held for Securities Loaned

Cash Management Trust- Collateral Investment – – – 374Total Affiliated Income from Securities Loaned, Net $374Total Value $– $– $–

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

13

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

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

14

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

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

15

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

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

16

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

Notes to schedule of INvestmeNtsas of September 30, 2019

(unaudited)

17

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.