09/05/2024 | Press release | Distributed by Public on 09/05/2024 15:03
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23500
Natixis ETF Trust II
(Exact name of Registrant as specified in charter)
888 Boylston Street, Suite 800 Boston, Massachusetts 02199-8197
(Address of principal executive offices) (Zip code)
Susan McWhan Tobin, Esq.
Natixis Distribution, LLC
888 Boylston Street, Suite 800
Boston, Massachusetts 02199-8197
(Name and address of agent for service)
Registrant's telephone number, including area code: (617) 449-2139
Date of fiscal year end: December 31
Date of reporting period: June 30, 2024
Item 1. Reports to Stockholders.
(a) |
The Registrant's Tailored Shareholder Reports transmitted to shareholders pursuant to Rule 30e-1under the Investment Company Act of 1940 are as follows: |
This semi-annual shareholder report contains important information about Natixis Loomis Sayles Focused Growth ETF for the period of January 1, 2024 to June 30, 2024.You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly.
Fund Name
|
Cost of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
Natixis Loomis Sayles Focused Growth ETF
|
$32
|
0.59%
|
Total Net Assets
|
$175,531,893
|
# of Portfolio Holdings (including overnight repurchase agreements)
|
23
|
Portfolio Turnover Rate
|
0%
|
Total Advisory Fees Paid
|
$147,902
|
Value
|
Value
|
Other investments less than 3% of net assetsFootnote Reference*
|
11.8%
|
Aerospace & Defense
|
3.5%
|
Financial Services
|
3.7%
|
Automobiles
|
4.9%
|
Entertainment
|
7.1%
|
Biotechnology
|
7.6%
|
Broadline Retail
|
8.3%
|
Semiconductors & Semiconductor Equipment
|
13.8%
|
Interactive Media & Services
|
17.3%
|
Software
|
22.0%
|
Footnote | Description |
Footnote*
|
Net of other assets less liabilities |
NVIDIA Corp.
|
13.8%
|
Meta Platforms, Inc., Class A
|
8.7%
|
Alphabet, Inc., Class A
|
8.6%
|
Amazon.com, Inc.
|
8.3%
|
Microsoft Corp.
|
7.4%
|
Tesla, Inc.
|
4.9%
|
Netflix, Inc.
|
4.9%
|
Vertex Pharmaceuticals, Inc.
|
4.8%
|
Oracle Corp.
|
4.5%
|
Autodesk, Inc.
|
4.0%
|
There were no material fund changes during the period.
There were no changes in or disagreements with Accountants during the period.
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: [email protected]
TFG88-0624
This semi-annual shareholder report contains important information about Natixis Vaughan Nelson Mid Cap ETF for the period of January 1, 2024 to June 30, 2024.You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly.
Fund Name
|
Cost of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
Natixis Vaughan Nelson Mid Cap ETF
|
$44
|
0.85%
|
Total Net Assets
|
$4,172,806
|
# of Portfolio Holdings (including overnight repurchase agreements)
|
59
|
Portfolio Turnover Rate
|
57%
|
Total Advisory Fees Paid
|
$0
|
Value
|
Value
|
Other investments less than 3% of net assetsFootnote Reference*
|
26.5%
|
Chemicals
|
3.0%
|
Software
|
3.0%
|
Metals & Mining
|
3.2%
|
Specialty Retail
|
3.3%
|
Machinery
|
3.6%
|
Banks
|
3.7%
|
Insurance
|
4.2%
|
Oil, Gas & Consumable Fuels
|
4.3%
|
Ground Transportation
|
4.7%
|
Electrical Equipment
|
4.8%
|
Building Products
|
6.1%
|
Capital Markets
|
6.7%
|
Life Sciences Tools & Services
|
7.3%
|
Hotels, Restaurants & Leisure
|
7.6%
|
Semiconductors & Semiconductor Equipment
|
8.0%
|
Footnote | Description |
Footnote*
|
Net of other assets less liabilities |
Royal Caribbean Cruises Ltd.
|
4.1%
|
Monolithic Power Systems, Inc.
|
3.8%
|
Constellium SE
|
3.2%
|
Nasdaq, Inc.
|
3.1%
|
Tyler Technologies, Inc.
|
3.0%
|
Corteva, Inc.
|
3.0%
|
Saia, Inc.
|
2.7%
|
IQVIA Holdings, Inc.
|
2.7%
|
Vulcan Materials Co.
|
2.6%
|
Marvell Technology, Inc.
|
2.5%
|
On June 12, 2024, the Board of Trustees approved a plan to liquidate Natixis Vaughan Nelson Mid Cap ETF. Liquidation took place on July 30, 2024.
There were no changes in or disagreements with Accountants during the period.
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: [email protected]
TVNMCE88-0624
This semi-annual shareholder report contains important information about Natixis Vaughan Nelson Select ETF for the period of January 1, 2024 to June 30, 2024.You can find additional information (including tax information) about the Fund at im.natixis.com/funddocuments.You can also request the information by contacting us at 800-225-5478 or by contacting your financial intermediary directly.
Fund Name
|
Cost of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
Natixis Vaughan Nelson Select ETF
|
$41
|
0.80%
|
Total Net Assets
|
$33,210,015
|
# of Portfolio Holdings (including overnight repurchase agreements)
|
27
|
Portfolio Turnover Rate
|
40%
|
Total Advisory Fees Paid
|
$34,088
|
Value
|
Value
|
Other investments less than 3% of net assetsFootnote Reference*
|
4.5%
|
Short-Term Investments
|
3.1%
|
Life Sciences Tools & Services
|
3.0%
|
Insurance
|
3.1%
|
Health Care Equipment & Supplies
|
3.5%
|
Financial Services
|
3.7%
|
Capital Markets
|
3.8%
|
Specialty Retail
|
3.9%
|
Entertainment
|
3.9%
|
Oil, Gas & Consumable Fuels
|
4.2%
|
Pharmaceuticals
|
4.5%
|
Banks
|
5.1%
|
Ground Transportation
|
5.3%
|
Chemicals
|
6.0%
|
Broadline Retail
|
6.2%
|
Interactive Media & Services
|
6.3%
|
Software
|
13.4%
|
Semiconductors & Semiconductor Equipment
|
16.5%
|
Footnote | Description |
Footnote*
|
Net of other assets less liabilities |
Microsoft Corp.
|
7.5%
|
NVIDIA Corp.
|
7.0%
|
Alphabet, Inc., Class A
|
6.3%
|
Amazon.com, Inc.
|
6.2%
|
Monolithic Power Systems, Inc.
|
5.7%
|
JPMorgan Chase & Co.
|
5.1%
|
Zoetis, Inc.
|
4.5%
|
Walt Disney Co.
|
3.9%
|
O'Reilly Automotive, Inc.
|
3.9%
|
Intercontinental Exchange, Inc.
|
3.8%
|
There were no material fund changes during the period.
There were no changes in or disagreements with Accountants during the period.
For additional information about the Fund, including its prospectus, financial information, holdings and proxy information, scan the QR code or visit im.natixis.com/funddocuments
Phone: 800-225-5478
Email: [email protected]
TVNSE88-0624
(b) |
Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Schedule of Investments.
The Schedule of Investments are incorporated by reference as part of the Financial Statements and Other Important Information for Open-EndManagement Investment Companies filed as Item 7 herewith.
Item 7. Financial Statements and Financial Highlights for Open-EndManagement Investment Companies.
The Registrant's Financial Statements and Other Important Information are as follows:
Natixis Gateway Quality Income ETF
|
Natixis Loomis Sayles Focused Growth ETF
|
Natixis Loomis Sayles Short Duration Income ETF
|
Natixis Vaughan Nelson Mid Cap ETF
|
Natixis Vaughan Nelson Select ETF
|
Portfolio of Investments (Form
N-CSR Item 6)
|
1
|
Financial Statements (Form N-CSR
Item 7)
|
13
|
Notes to Financial Statements
(Form N-CSR Item 7)
|
23
|
Trustees Fees and Expenses (Form
N-CSR Item 10)
|
33
|
Board Approval of Existing Advisory
and Sub-Advisory Agreements
(Form N-CSR Item 11)
|
37
|
Shares
|
Description
|
Value († )
|
Common Stocks - 90.2% of Net Assets
|
||
Aerospace & Defense - 0.1%
|
||
250
|
Lockheed Martin Corp.
|
$116,775
|
Air Freight & Logistics - 0.8%
|
||
2,340
|
C.H. Robinson Worldwide, Inc.
|
206,201
|
2,917
|
Expeditors International of Washington, Inc.
|
364,012
|
1,548
|
United Parcel Service, Inc., Class B
|
211,844
|
|
782,057
|
|
Automobiles - 1.0%
|
||
5,406
|
Tesla, Inc.(a)
|
1,069,739
|
Beverages - 0.1%
|
||
1,689
|
Monster Beverage Corp.(a)
|
84,366
|
Biotechnology - 1.0%
|
||
3,742
|
Incyte Corp.(a)
|
226,840
|
200
|
Regeneron Pharmaceuticals, Inc.(a)
|
210,206
|
1,350
|
Vertex Pharmaceuticals, Inc.(a)
|
632,772
|
|
1,069,818
|
|
Broadline Retail - 3.9%
|
||
20,834
|
Amazon.com, Inc.(a)
|
4,026,171
|
Building Products - 0.7%
|
||
2,468
|
A.O. Smith Corp.
|
201,833
|
2,478
|
Builders FirstSource, Inc.(a)
|
342,980
|
3,214
|
Masco Corp.
|
214,277
|
|
759,090
|
|
Capital Markets - 0.2%
|
||
762
|
MarketAxess Holdings, Inc.
|
152,804
|
Chemicals - 0.3%
|
||
1,161
|
CF Industries Holdings, Inc.
|
86,053
|
2,624
|
LyondellBasell Industries NV, Class A
|
251,012
|
|
337,065
|
|
Commercial Services & Supplies - 1.0%
|
||
998
|
Cintas Corp.
|
698,860
|
5,638
|
Rollins, Inc.
|
275,078
|
|
973,938
|
|
Communications Equipment - 0.2%
|
||
638
|
Arista Networks, Inc.(a)
|
223,606
|
Consumer Staples Distribution & Retail - 6.9%
|
||
2,546
|
Costco Wholesale Corp.
|
2,164,074
|
13,298
|
Kroger Co.
|
663,969
|
9,997
|
Sysco Corp.
|
713,686
|
9,276
|
Target Corp.
|
1,373,219
|
14,399
|
Walgreens Boots Alliance, Inc.
|
174,156
|
29,115
|
Walmart, Inc.
|
1,971,377
|
|
7,060,481
|
|
Distributors - 0.2%
|
||
777
|
Pool Corp.
|
238,795
|
Electrical Equipment - 0.2%
|
||
1,125
|
GE Vernova, Inc.(a)
|
192,949
|
Electronic Equipment, Instruments & Components - 0.8%
|
||
2,546
|
CDW Corp.
|
569,897
|
2,556
|
Jabil, Inc.
|
278,067
|
|
847,964
|
|
Entertainment - 0.2%
|
||
218
|
Netflix, Inc.(a)
|
147,124
|
Shares
|
Description
|
Value (†)
|
Financial Services - 2.8%
|
||
4,629
|
Mastercard, Inc., Class A
|
$2,042,130
|
3,258
|
Visa, Inc., Class A
|
855,127
|
|
2,897,257
|
|
Food Products - 1.7%
|
||
10,713
|
Archer-Daniels-Midland Co.
|
647,601
|
2,914
|
Bunge Global SA
|
311,128
|
3,013
|
Hershey Co.
|
553,880
|
4,669
|
Tyson Foods, Inc., Class A
|
266,786
|
|
1,779,395
|
|
Ground Transportation - 0.9%
|
||
1,643
|
J.B. Hunt Transport Services, Inc.
|
262,880
|
3,595
|
Old Dominion Freight Line, Inc.
|
634,877
|
|
897,757
|
|
Health Care Equipment & Supplies - 1.1%
|
||
1,427
|
Align Technology, Inc.(a)
|
344,521
|
1,670
|
IDEXX Laboratories, Inc.(a)
|
813,624
|
|
1,158,145
|
|
Health Care Providers & Services - 6.9%
|
||
4,889
|
Cardinal Health, Inc.
|
480,686
|
3,323
|
Cencora, Inc.
|
748,672
|
10,734
|
Centene Corp.(a)
|
711,664
|
14,824
|
CVS Health Corp.
|
875,505
|
1,375
|
Elevance Health, Inc.
|
745,058
|
2,456
|
Humana, Inc.
|
917,684
|
2,641
|
McKesson Corp.
|
1,542,450
|
1,165
|
Molina Healthcare, Inc.(a)
|
346,355
|
1,363
|
UnitedHealth Group, Inc.
|
694,121
|
|
7,062,195
|
|
Hotels, Restaurants & Leisure - 2.0%
|
||
422
|
Booking Holdings, Inc.
|
1,671,753
|
703
|
Domino's Pizza, Inc.
|
362,980
|
|
2,034,733
|
|
Household Durables - 0.5%
|
||
62
|
NVR, Inc.(a)
|
470,491
|
Household Products - 2.2%
|
||
2,492
|
Clorox Co.
|
340,083
|
9,589
|
Colgate-Palmolive Co.
|
930,516
|
6,763
|
Kimberly-Clark Corp.
|
934,647
|
|
2,205,246
|
|
Interactive Media & Services - 7.7%
|
||
25,556
|
Alphabet, Inc., Class A
|
4,655,025
|
6,476
|
Meta Platforms, Inc., Class A
|
3,265,329
|
|
7,920,354
|
|
IT Services - 2.2%
|
||
5,717
|
Accenture PLC, Class A
|
1,734,595
|
2,648
|
Cognizant Technology Solutions Corp., Class A
|
180,064
|
1,160
|
EPAM Systems, Inc.(a)
|
218,207
|
812
|
VeriSign, Inc.(a)
|
144,374
|
|
2,277,240
|
|
Life Sciences Tools & Services - 1.0%
|
||
429
|
Mettler-Toledo International, Inc.(a)
|
599,566
|
1,386
|
West Pharmaceutical Services, Inc.
|
456,535
|
|
1,056,101
|
Shares
|
Description
|
Value (†)
|
Machinery - 1.4%
|
||
507
|
Cummins, Inc.
|
$140,404
|
5,464
|
Illinois Tool Works, Inc.
|
1,294,749
|
|
1,435,153
|
|
Metals & Mining - 0.9%
|
||
3,445
|
Nucor Corp.
|
544,586
|
3,055
|
Steel Dynamics, Inc.
|
395,622
|
|
940,208
|
|
Oil, Gas & Consumable Fuels - 5.0%
|
||
7,253
|
APA Corp.
|
213,528
|
9,421
|
Devon Energy Corp.
|
446,556
|
11,107
|
EOG Resources, Inc.
|
1,398,038
|
7,394
|
Marathon Petroleum Corp.
|
1,282,711
|
4,865
|
Phillips 66
|
686,792
|
6,840
|
Valero Energy Corp.
|
1,072,239
|
|
5,099,864
|
|
Passenger Airlines - 0.3%
|
||
11,984
|
Southwest Airlines Co.
|
342,862
|
Pharmaceuticals - 1.2%
|
||
355
|
Eli Lilly & Co.
|
321,410
|
5,025
|
Johnson & Johnson
|
734,454
|
984
|
Merck & Co., Inc.
|
121,819
|
527
|
Zoetis, Inc.
|
91,361
|
|
1,269,044
|
|
Professional Services - 0.6%
|
||
524
|
Paycom Software, Inc.
|
74,953
|
2,089
|
Robert Half, Inc.
|
133,654
|
1,369
|
Verisk Analytics, Inc.
|
369,014
|
|
577,621
|
|
Semiconductors & Semiconductor Equipment - 10.2%
|
||
5,761
|
Applied Materials, Inc.
|
1,359,538
|
719
|
Enphase Energy, Inc.(a)
|
71,692
|
722
|
Lam Research Corp.
|
768,822
|
761
|
Monolithic Power Systems, Inc.
|
625,298
|
57,122
|
NVIDIA Corp.
|
7,056,852
|
1,773
|
QUALCOMM, Inc.
|
353,146
|
1,254
|
Teradyne, Inc.
|
185,956
|
|
10,421,304
|
|
Software - 9.9%
|
||
2,400
|
Adobe, Inc.(a)
|
1,333,296
|
4,510
|
Cadence Design Systems, Inc.(a)
|
1,387,952
|
13,729
|
Microsoft Corp.
|
6,136,177
|
1,775
|
Palo Alto Networks, Inc.(a)
|
601,743
|
808
|
ServiceNow, Inc.(a)
|
635,629
|
154
|
Synopsys, Inc.(a)
|
91,639
|
|
10,186,436
|
|
Specialty Retail - 3.9%
|
||
3,849
|
Best Buy Co., Inc.
|
324,432
|
6,125
|
Home Depot, Inc.
|
2,108,470
|
11,024
|
TJX Cos., Inc.
|
1,213,743
|
974
|
Ulta Beauty, Inc.(a)
|
375,837
|
|
4,022,482
|
|
Technology Hardware, Storage & Peripherals - 7.4%
|
||
36,220
|
Apple, Inc.
|
7,628,656
|
Textiles, Apparel & Luxury Goods - 1.3%
|
||
84
|
Deckers Outdoor Corp.(a)
|
81,308
|
Shares
|
Description
|
Value (†)
|
Textiles, Apparel & Luxury Goods - continued
|
||
2,306
|
Lululemon Athletica, Inc.(a)
|
$688,802
|
7,192
|
NIKE, Inc., Class B
|
542,061
|
|
1,312,171
|
|
Trading Companies & Distributors - 1.5%
|
||
11,492
|
Fastenal Co.
|
722,157
|
890
|
W.W. Grainger, Inc.
|
802,994
|
|
1,525,151
|
|
Total Common Stocks
(Identified Cost $86,085,443)
|
92,602,608
|
Principal
Amount
|
|
|
Equity-Linked Notes - 9.2%
|
||
$2,164,864
|
BNP Paribas Issuance BV, (S&P 500 Index),
58.270%, 7/08/2024(b)
|
1,984,480
|
2,144,753
|
BNP Paribas Issuance BV, (S&P 500 Index),
66.900%, 7/19/2024(b)
|
2,061,817
|
1,975,331
|
Royal Bank of Canada, (S&P 500 Index),
69.110%, 7/26/2024(b)
|
1,993,423
|
2,050,988
|
Royal Bank of Canada, (S&P 500 Index),
68.230%, 8/02/2024(b)
|
2,056,335
|
1,497,449
|
UBS AG, (S&P 500 Index), 70.100%, 7/12/2024(b)
|
1,359,968
|
Total Equity-Linked Notes
(Identified Cost $9,833,385)
|
9,456,023
|
|
Short-Term Investments - 0.3%
|
||
289,674
|
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 6/28/2024 at 3.500% to
be repurchased at $289,759 on 7/01/2024
collateralized by $236,600 U.S. Treasury Inflation
Indexed Note, 0.125% due 7/15/2026 valued at
$295,706 including accrued interest (Note 2 of
Notes to Financial Statements)
(Identified Cost $289,674)
|
289,674
|
Total Investments - 99.7%
(Identified Cost $96,208,502)
|
102,348,305
|
|
Other assets less liabilities - 0.3%
|
349,075
|
|
Net Assets - 100.0%
|
$102,697,380
|
(† )
|
See Note 2 of Notes to Financial Statements.
|
(a)
|
Non-income producing security.
|
(b)
|
All or a portion of these securities are exempt from registration
under Rule 144A of the Securities Act of 1933. These securities may
be resold in transactions exempt from registration, normally to
qualified institutional buyers. At June 30, 2024, the value of
Rule 144A holdings amounted to $9,456,023 or 9.2% of net assets.
|
Semiconductors & Semiconductor Equipment
|
10.2
%
|
Software
|
9.9
|
Interactive Media & Services
|
7.7
|
Technology Hardware, Storage & Peripherals
|
7.4
|
Health Care Providers & Services
|
6.9
|
Consumer Staples Distribution & Retail
|
6.9
|
Oil, Gas & Consumable Fuels
|
5.0
|
Broadline Retail
|
3.9
|
Specialty Retail
|
3.9
|
Financial Services
|
2.8
|
IT Services
|
2.2
|
Household Products
|
2.2
|
Hotels, Restaurants & Leisure
|
2.0
|
Other Investments, less than 2% each
|
19.2
|
Equity-Linked Notes
|
9.2
|
Short-Term Investments
|
0.3
|
Total Investments
|
99.7
|
Other assets less liabilities
|
0.3
|
Net Assets
|
100.0
%
|
Shares
|
Description
|
Value († )
|
Common Stocks - 99.0% of Net Assets
|
||
Aerospace & Defense - 3.5%
|
||
33,646
|
Boeing Co.(a)
|
$6,123,909
|
Automobiles - 4.9%
|
||
43,818
|
Tesla, Inc.(a)
|
8,670,706
|
Beverages - 2.9%
|
||
101,237
|
Monster Beverage Corp.(a)
|
5,056,788
|
Biotechnology - 7.6%
|
||
3,160
|
GRAIL, Inc.(a)
|
48,564
|
4,723
|
Regeneron Pharmaceuticals, Inc.(a)
|
4,964,015
|
17,861
|
Vertex Pharmaceuticals, Inc.(a)
|
8,371,808
|
|
13,384,387
|
|
Broadline Retail - 8.3%
|
||
75,733
|
Amazon.com, Inc.(a)
|
14,635,402
|
Capital Markets - 2.3%
|
||
9,736
|
FactSet Research Systems, Inc.
|
3,974,917
|
Entertainment - 7.1%
|
||
12,828
|
Netflix, Inc.(a)
|
8,657,360
|
38,182
|
Walt Disney Co.
|
3,791,091
|
|
12,448,451
|
|
Financial Services - 3.7%
|
||
24,952
|
Visa, Inc., Class A
|
6,549,151
|
Health Care Equipment & Supplies - 2.9%
|
||
11,276
|
Intuitive Surgical, Inc.(a)
|
5,016,129
|
Hotels, Restaurants & Leisure - 1.6%
|
||
35,972
|
Starbucks Corp.
|
2,800,420
|
Interactive Media & Services - 17.3%
|
||
82,905
|
Alphabet, Inc., Class A
|
15,101,146
|
30,303
|
Meta Platforms, Inc., Class A
|
15,279,378
|
|
30,380,524
|
|
Life Sciences Tools & Services - 1.1%
|
||
18,958
|
Illumina, Inc.(a)
|
1,978,836
|
Semiconductors & Semiconductor Equipment - 13.8%
|
||
195,762
|
NVIDIA Corp.
|
24,184,438
|
Software - 22.0%
|
||
28,663
|
Autodesk, Inc.(a)
|
7,092,659
|
29,246
|
Microsoft Corp.
|
13,071,500
|
55,473
|
Oracle Corp.
|
7,832,788
|
26,474
|
Salesforce, Inc.
|
6,806,465
|
16,790
|
Workday, Inc., Class A(a)
|
3,753,572
|
|
38,556,984
|
|
Total Common Stocks
(Identified Cost $160,001,344)
|
173,761,042
|
Principal
Amount
|
Description
|
Value (†)
|
Short-Term Investments - 0.3%
|
||
$537,743
|
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 6/28/2024 at 3.500% to be
repurchased at $537,900 on 7/01/2024 collateralized
by $439,100 U.S. Treasury Inflation Indexed Note,
0.125% due 7/15/2026 valued at $548,646 including
accrued interest (Note 2 of Notes to Financial
Statements)
(Identified Cost $537,743)
|
$537,743
|
Total Investments - 99.3%
(Identified Cost $160,539,087)
|
174,298,785
|
|
Other assets less liabilities - 0.7%
|
1,233,108
|
|
Net Assets - 100.0%
|
$175,531,893
|
(† )
|
See Note 2 of Notes to Financial Statements.
|
(a)
|
Non-income producing security.
|
Software
|
22.0
%
|
Interactive Media & Services
|
17.3
|
Semiconductors & Semiconductor Equipment
|
13.8
|
Broadline Retail
|
8.3
|
Biotechnology
|
7.6
|
Entertainment
|
7.1
|
Automobiles
|
4.9
|
Financial Services
|
3.7
|
Aerospace & Defense
|
3.5
|
Beverages
|
2.9
|
Health Care Equipment & Supplies
|
2.9
|
Capital Markets
|
2.3
|
Other Investments, less than 2% each
|
2.7
|
Short-Term Investments
|
0.3
|
Total Investments
|
99.3
|
Other assets less liabilities
|
0.7
|
Net Assets
|
100.0
%
|
Principal
Amount
|
Description
|
Value († )
|
Bonds and Notes - 99.7% of Net Assets
|
||
ABS Car Loan - 16.0%
|
||
$60,000
|
American Credit Acceptance Receivables Trust,
Series 2023-3, Class C, 6.440%, 10/12/2029(a)
|
$60,503
|
30,000
|
American Credit Acceptance Receivables Trust,
Series 2023-4, Class B, 6.630%, 2/14/2028(a)
|
30,244
|
55,000
|
AmeriCredit Automobile Receivables Trust,
Series 2021-3, Class C, 1.410%, 8/18/2027
|
51,634
|
105,000
|
AmeriCredit Automobile Receivables Trust,
Series 2023-1, Class B, 5.570%, 3/20/2028
|
105,411
|
45,000
|
AmeriCredit Automobile Receivables Trust,
Series 2024-1, Class A3, 5.430%, 1/18/2029
|
45,063
|
85,000
|
AmeriCredit Automobile Receivables Trust ,
Series 2022-1, Class B, 2.770%, 4/19/2027
|
82,295
|
18,779
|
Avid Automobile Receivables Trust , Series 2023-1,
Class A, 6.630%, 7/15/2026(a)
|
18,790
|
100,000
|
Avis Budget Rental Car Funding AESOP LLC,
Series 2024-1A, Class A, 5.360%, 6/20/2030(a)
|
99,854
|
85,000
|
Bridgecrest Lending Auto Securitization Trust,
Series 2024-2, Class A3, 5.840%, 6/15/2028
|
85,462
|
13,108
|
Canada Pacer Auto Receivables Trust,
Series 2021-1A, Class A3, 0.500%, 10/20/2025(a)
|
12,974
|
60,000
|
Capital One Prime Auto Receivables Trust,
Series 2023-2, Class A3, 5.820%, 6/15/2028
|
60,647
|
105,000
|
Capital One Prime Auto Receivables Trust ,
Series 2023-1, Class A3, 4.870%, 2/15/2028
|
104,372
|
45,000
|
Carvana Auto Receivables Trust, Series 2023-P1,
Class A3, 5.980%, 12/10/2027(a)
|
45,104
|
25,000
|
Carvana Auto Receivables Trust, Series 2024-P2,
Class A3, 5.330%, 7/10/2029
|
25,039
|
42,958
|
DT Auto Owner Trust, Series 2021-4A, Class C,
1.500%, 9/15/2027(a)
|
42,150
|
50,000
|
DT Auto Owner Trust, Series 2022-3A, Class B,
6.740%, 7/17/2028(a)
|
50,206
|
60,000
|
DT Auto Owner Trust, Series 2023-2A, Class B,
5.410%, 2/15/2029(a)
|
59,687
|
9,745
|
Enterprise Fleet Financing LLC, Series 2021-2,
Class A2, 0.480%, 5/20/2027(a)
|
9,636
|
61,746
|
Exeter Automobile Receivables Trust,
Series 2022-5A, Class B, 5.970%, 3/15/2027
|
61,727
|
25,000
|
Exeter Automobile Receivables Trust,
Series 2023-5A, Class A3, 6.320%, 3/15/2027
|
25,076
|
90,000
|
First Investors Auto Owner Trust , Series 2022-1A,
Class C, 3.130%, 5/15/2028(a)
|
86,634
|
160,000
|
Flagship Credit Auto Trust, Series 2023-2, Class C,
5.810%, 5/15/2029(a)
|
159,984
|
5,179
|
Flagship Credit Auto Trust , Series 2020-4, Class C,
1.280%, 2/16/2027(a)
|
5,122
|
66,533
|
Ford Credit Auto Lease Trust , Series 2023-A,
Class A3, 4.940%, 3/15/2026
|
66,370
|
1,506
|
Ford Credit Auto Owner Trust, Series 2021-A,
Class A3, 0.300%, 8/15/2025
|
1,502
|
85,000
|
Ford Credit Auto Owner Trust, Series 2023-B,
Class A3, 5.230%, 5/15/2028
|
84,935
|
41,541
|
GLS Auto Select Receivables Trust, Series 2023-2A,
Class A2, 6.370%, 6/15/2028(a)
|
41,775
|
35,000
|
GLS Auto Select Receivables Trust, Series 2024-3A,
Class A2, 5.590%, 10/15/2029(a)
|
35,023
|
45,000
|
GM Financial Consumer Automobile Receivables
Trust, Series 2023-4, Class A3, 5.780%, 8/16/2028
|
45,432
|
30,000
|
Harley-Davidson Motorcycle Trust, Series 2023-B,
Class A3, 5.690%, 8/15/2028
|
30,193
|
Principal
Amount
|
Description
|
Value (†)
|
ABS Car Loan - continued
|
||
$25,000
|
Harley-Davidson Motorcycle Trust, Series 2023-B,
Class A4, 5.780%, 4/15/2031
|
$25,274
|
35,000
|
Huntington Auto Trust, Series 2024-1A, Class A3,
5.230%, 1/16/2029(a)
|
34,910
|
25,000
|
Hyundai Auto Receivables Trust, Series 2023-C,
Class A3, 5.540%, 10/16/2028
|
25,160
|
20,000
|
Hyundai Auto Receivables Trust, Series 2024-A,
Class A3, 4.990%, 2/15/2029
|
19,910
|
15,000
|
LAD Auto Receivables Trust, Series 2023-4A, Class B,
6.390%, 10/16/2028(a)
|
15,201
|
25,000
|
LAD Auto Receivables Trust, Series 2024-1A,
Class A3, 5.230%, 1/18/2028(a)
|
24,816
|
65,000
|
Nissan Auto Receivables Owner Trust,
Series 2024-A, Class A3, 5.280%, 12/15/2028
|
65,291
|
120,000
|
Prestige Auto Receivables Trust, Series 2023-1A,
Class C, 5.650%, 2/15/2028(a)
|
119,421
|
20,000
|
Santander Drive Auto Receivables Trust,
Series 2023-3, Class C, 5.770%, 11/15/2030
|
20,136
|
50,000
|
Santander Drive Auto Receivables Trust,
Series 2023-4, Class B, 5.770%, 12/15/2028
|
50,348
|
75,000
|
Santander Drive Auto Receivables Trust,
Series 2023-5, Class B, 6.160%, 12/17/2029
|
76,332
|
10,000
|
SBNA Auto Receivables Trust, Series 2024-A,
Class A3, 5.320%, 12/15/2028(a)
|
9,974
|
140,000
|
SFS Auto Receivables Securitization Trust,
Series 2023-1A, Class A3, 5.470%, 10/20/2028(a)
|
140,193
|
20,000
|
SFS Auto Receivables Securitization Trust,
Series 2024-2A, Class A3, 5.330%, 11/20/2029(a)
|
19,997
|
29,303
|
Toyota Auto Receivables Owner Trust, Series 2021-C,
Class A3, 0.430%, 1/15/2026
|
28,845
|
105,000
|
Toyota Lease Owner Trust, Series 2023-A, Class A3,
4.930%, 4/20/2026(a)
|
104,554
|
105,000
|
VStrong Auto Receivables Trust, Series 2023-A,
Class A3, 6.870%, 11/15/2027(a)
|
105,966
|
5,000
|
VStrong Auto Receivables Trust, Series 2024-A,
Class B, 5.770%, 7/15/2030(a)
|
5,039
|
100,000
|
Westlake Automobile Receivables Trust,
Series 2023-3A, Class C, 6.020%, 9/15/2028(a)
|
100,211
|
25,000
|
Westlake Automobile Receivables Trust,
Series 2024-2A, Class A3, 5.560%, 2/15/2028(a)
|
25,031
|
20,000
|
World Omni Auto Receivables Trust, Series 2023-D,
Class A3, 5.790%, 2/15/2029
|
20,246
|
|
2,669,699
|
|
ABS Credit Card - 3.2%
|
||
105,000
|
Brex Commercial Charge Card Master Trust,
Series 2024-1, Class A1, 6.050%, 7/15/2027(a)
|
104,993
|
170,000
|
Capital One Multi-Asset Execution Trust,
Series 2021-A1, Class A1, 0.550%, 7/15/2026
|
169,619
|
85,000
|
Synchrony Card Funding LLC, Series 2023-A2,
Class A, 5.740%, 10/15/2029
|
85,965
|
175,000
|
World Financial Network Credit Card Master Trust,
Series 2023-A, Class A, 5.020%, 3/15/2030
|
173,634
|
|
534,211
|
|
ABS Other - 4.1%
|
||
74,663
|
Chesapeake Funding II LLC, Series 2023-1A,
Class A1, 5.650%, 5/15/2035(a)
|
74,632
|
100,000
|
Dell Equipment Finance Trust, Series 2023-3,
Class A3, 5.930%, 4/23/2029(a)
|
100,729
|
180,000
|
HPEFS Equipment Trust , Series 2023-1A, Class A3,
5.410%, 2/22/2028(a)
|
179,690
|
Principal
Amount
|
Description
|
Value (†)
|
ABS Other - continued
|
||
$22,151
|
Marlette Funding Trust, Series 2023-2A, Class A,
6.040%, 6/15/2033(a)
|
$22,143
|
68,957
|
SCF Equipment Leasing LLC, Series 2022-1A,
Class A3, 2.920%, 7/20/2029(a)
|
67,939
|
75,000
|
Verizon Master Trust, Series 2024-4, Class A1A,
5.210%, 6/20/2029
|
74,951
|
162,955
|
Wheels Fleet Lease Funding 1 LLC, Series 2023-1A,
Class A, 5.800%, 4/18/2038(a)
|
163,072
|
|
683,156
|
|
ABS Student Loan - 0.5%
|
||
101,403
|
Navient Private Education Refi Loan Trust,
Series 2021-EA, Class A, 0.970%, 12/16/2069(a)
|
88,205
|
Aerospace & Defense - 0.9%
|
||
20,000
|
Boeing Co., 4.875%, 5/01/2025
|
19,788
|
25,000
|
Boeing Co., 6.298%, 5/01/2029(a)
|
25,352
|
20,000
|
Bombardier, Inc., 7.250%, 7/01/2031(a)
|
20,534
|
20,000
|
Huntington Ingalls Industries, Inc., 3.844%, 5/01/2025
|
19,680
|
65,000
|
RTX Corp., 5.750%, 11/08/2026
|
65,695
|
|
151,049
|
|
Agency Commercial Mortgage-Backed Securities - 0.1%
|
||
7,863
|
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF81,
Class AL, 30 day USD SOFR Average +0.474%,
5.799%, 6/25/2027(b)
|
7,845
|
5,719
|
Federal Home Loan Mortgage Corp. Multifamily
Structured Pass-Through Certificates, Series KF81,
Class AS, 30 day USD SOFR Average +0.400%,
5.724%, 6/25/2027(b)
|
5,692
|
|
13,537
|
|
Airlines - 0.4%
|
||
55,000
|
Southwest Airlines Co., 5.250%, 5/04/2025
|
54,748
|
15,000
|
United Airlines, Inc., 4.375%, 4/15/2026(a)
|
14,490
|
|
69,238
|
|
Automotive - 2.2%
|
||
60,000
|
General Motors Financial Co., Inc., 5.550%, 7/15/2029
|
59,998
|
25,000
|
General Motors Financial Co., Inc., 5.600%, 6/18/2031
|
24,813
|
45,000
|
General Motors Financial Co., Inc.,
6.050%, 10/10/2025
|
45,162
|
10,000
|
Harley-Davidson Financial Services, Inc.,
5.950%, 6/11/2029(a)
|
9,979
|
5,000
|
Harley-Davidson Financial Services, Inc.,
6.500%, 3/10/2028(a)
|
5,109
|
30,000
|
Hyundai Capital America, 5.300%, 6/24/2029(a)
|
29,838
|
75,000
|
Hyundai Capital America, 5.950%, 9/21/2026(a)
|
75,598
|
40,000
|
PACCAR Financial Corp., 5.000%, 5/13/2027
|
40,091
|
30,000
|
Toyota Motor Credit Corp., MTN, 5.000%, 8/14/2026
|
29,932
|
45,000
|
Toyota Motor Credit Corp., 5.050%, 5/16/2029
|
45,157
|
|
365,677
|
|
Banking - 4.4%
|
||
20,000
|
Ally Financial, Inc., 7.100%, 11/15/2027
|
20,838
|
55,000
|
Bank of America Corp., MTN, (fixed rate to 4/02/2025,
variable rate thereafter), 3.384%, 4/02/2026
|
54,015
|
65,000
|
Bank of Montreal, 5.511%, 6/04/2031
|
65,688
|
30,000
|
Bank of Nova Scotia, GMTN, 5.450%, 8/01/2029
|
30,295
|
40,000
|
Canadian Imperial Bank of Commerce,
5.237%, 6/28/2027
|
39,936
|
35,000
|
Capital One Financial Corp., (fixed rate to 10/29/2026,
variable rate thereafter), 7.149%, 10/29/2027
|
36,171
|
Principal
Amount
|
Description
|
Value (†)
|
Banking - continued
|
||
$15,000
|
Comerica, Inc., (fixed rate to 1/30/2029, variable rate
thereafter), 5.982%, 1/30/2030
|
$14,780
|
40,000
|
Goldman Sachs Bank USA, (fixed rate to 3/18/2026,
variable rate thereafter), 5.283%, 3/18/2027
|
39,869
|
80,000
|
Goldman Sachs Bank USA, (fixed rate to 5/21/2026,
variable rate thereafter), 5.414%, 5/21/2027
|
79,868
|
40,000
|
Huntington Bancshares, Inc., (fixed rate to 8/21/2028,
variable rate thereafter), 6.208%, 8/21/2029
|
40,841
|
25,000
|
PNC Financial Services Group, Inc., (fixed rate to
5/14/2029, variable rate thereafter), 5.492%, 5/14/2030
|
25,139
|
60,000
|
Royal Bank of Canada, GMTN, 5.200%, 7/20/2026
|
59,922
|
20,000
|
Santander Holdings USA, Inc., (fixed rate to
5/31/2034, variable rate thereafter), 6.342%, 5/31/2035
|
19,943
|
55,000
|
State Street Corp., 4.993%, 3/18/2027
|
54,934
|
60,000
|
Synchrony Financial, 4.875%, 6/13/2025
|
59,395
|
60,000
|
Wells Fargo & Co., MTN, (fixed rate to 4/25/2025,
variable rate thereafter), 3.908%, 4/25/2026
|
59,100
|
30,000
|
Wells Fargo & Co., MTN, (fixed rate to 4/22/2027,
variable rate thereafter), 5.707%, 4/22/2028
|
30,260
|
|
730,994
|
|
Brokerage - 0.4%
|
||
40,000
|
Brookfield Finance, Inc., 5.675%, 1/15/2035
|
39,572
|
20,000
|
Cantor Fitzgerald LP, 7.200%, 12/12/2028(a)
|
20,569
|
15,000
|
Jefferies Financial Group, Inc., 5.875%, 7/21/2028
|
15,151
|
|
75,292
|
|
Building Materials - 0.2%
|
||
35,000
|
Builders FirstSource, Inc., 6.375%, 3/01/2034(a)
|
34,650
|
Cable Satellite - 0.4%
|
||
65,000
|
Charter Communications Operating LLC/Charter
Communications Operating Capital, 6.100%, 6/01/2029
|
65,213
|
Chemicals - 1.3%
|
||
60,000
|
Celanese U.S. Holdings LLC, 6.165%, 7/15/2027
|
60,895
|
65,000
|
EIDP, Inc., 4.500%, 5/15/2026
|
64,075
|
25,000
|
Nutrien Ltd., 5.400%, 6/21/2034
|
24,627
|
75,000
|
Nutrien Ltd., 5.900%, 11/07/2024
|
75,021
|
|
224,618
|
|
Collateralized Mortgage Obligations - 0.4%
|
||
325
|
Government National Mortgage Association,
Series 2012-H28, Class FA, 1 mo. USD SOFR +0.694%,
6.017%, 9/20/2062(b)(c)
|
314
|
366
|
Government National Mortgage Association,
Series 2013-H04, Class BA, 1.650%, 2/20/2063(c)
|
320
|
2,834
|
Government National Mortgage Association,
Series 2013-H11, Class JA, 3.500%, 4/20/2063(c)
|
2,689
|
2,943
|
Government National Mortgage Association,
Series 2016-H13, Class FT, 1 mo. USD SOFR +0.694%,
6.017%, 5/20/2066(b)(c)
|
2,914
|
4,305
|
Government National Mortgage Association,
Series 2019-H01, Class FT, 1 mo. USD SOFR +0.514%,
5.837%, 10/20/2068(b)
|
4,296
|
6,899
|
Government National Mortgage Association,
Series 2019-H05, Class FT, 1 yr. CMT +0.430%,
5.610%, 4/20/2069(b)
|
6,896
|
Principal
Amount
|
Description
|
Value (†)
|
Collateralized Mortgage Obligations - continued
|
||
$11,952
|
Government National Mortgage Association,
Series 2019-H13, Class FT, 1 yr. CMT +0.450%,
5.630%, 8/20/2069(b)
|
$11,932
|
32,911
|
Government National Mortgage Association,
Series 2020-H01, Class FT, 1 yr. CMT +0.500%,
5.680%, 1/20/2070(b)
|
32,749
|
|
62,110
|
|
Construction Machinery - 1.0%
|
||
85,000
|
Caterpillar Financial Services Corp.,
5.000%, 5/14/2027
|
85,052
|
35,000
|
CNH Industrial Capital LLC, 5.450%, 10/14/2025
|
34,969
|
40,000
|
John Deere Capital Corp., MTN, 4.850%, 6/11/2029
|
39,871
|
|
159,892
|
|
Consumer Cyclical Services - 0.4%
|
||
66,000
|
Expedia Group, Inc., 6.250%, 5/01/2025(a)
|
66,105
|
Consumer Products - 0.1%
|
||
20,000
|
Hasbro, Inc., 6.050%, 5/14/2034
|
19,968
|
Diversified Manufacturing - 0.3%
|
||
45,000
|
Ingersoll Rand, Inc., 5.176%, 6/15/2029
|
44,998
|
Electric - 5.7%
|
||
45,000
|
AES Corp., 3.300%, 7/15/2025(a)
|
43,870
|
35,000
|
Alliant Energy Finance LLC, 5.400%, 6/06/2027(a)
|
35,091
|
60,000
|
Ameren Corp., 5.700%, 12/01/2026
|
60,475
|
20,000
|
American Electric Power Co., Inc., 5.699%, 8/15/2025
|
20,016
|
85,000
|
CenterPoint Energy, Inc., 5.250%, 8/10/2026
|
84,785
|
30,000
|
Dominion Energy, Inc., 3.071%, 8/15/2024
|
29,881
|
90,000
|
DTE Energy Co., 4.220%, 11/01/2024
|
89,477
|
40,000
|
Duke Energy Corp., 4.850%, 1/05/2027
|
39,691
|
15,000
|
Duke Energy Corp., 5.450%, 6/15/2034
|
14,826
|
50,000
|
Edison International, 4.700%, 8/15/2025
|
49,428
|
40,000
|
Florida Power & Light Co., 5.150%, 6/15/2029
|
40,335
|
50,000
|
Georgia Power Co., 5.004%, 2/23/2027
|
49,842
|
85,000
|
ITC Holdings Corp., 4.950%, 9/22/2027(a)
|
84,203
|
40,000
|
National Rural Utilities Cooperative Finance Corp.,
MTN, 5.100%, 5/06/2027
|
39,993
|
45,000
|
National Rural Utilities Cooperative Finance Corp.,
MTN, 5.600%, 11/13/2026
|
45,400
|
50,000
|
NextEra Energy Capital Holdings, Inc.,
5.749%, 9/01/2025
|
50,108
|
30,000
|
Puget Sound Energy, Inc., 5.330%, 6/15/2034
|
29,994
|
85,000
|
Vistra Operations Co. LLC, 5.125%, 5/13/2025(a)
|
84,453
|
60,000
|
WEC Energy Group, Inc., 5.600%, 9/12/2026
|
60,227
|
|
952,095
|
|
Environmental - 0.5%
|
||
80,000
|
Waste Management, Inc., 4.950%, 7/03/2027
|
79,877
|
Finance Companies - 4.2%
|
||
80,000
|
Air Lease Corp., 0.800%, 8/18/2024
|
79,471
|
35,000
|
Air Lease Corp., MTN, 5.200%, 7/15/2031
|
34,205
|
40,000
|
Aircastle Ltd., 2.850%, 1/26/2028(a)
|
36,191
|
10,000
|
Aircastle Ltd., 5.950%, 2/15/2029(a)
|
9,997
|
5,000
|
Aircastle Ltd., 6.500%, 7/18/2028(a)
|
5,094
|
10,000
|
Ares Capital Corp., 3.250%, 7/15/2025
|
9,715
|
20,000
|
Ares Capital Corp., 5.950%, 7/15/2029
|
19,661
|
20,000
|
Ares Capital Corp., 7.000%, 1/15/2027
|
20,335
|
20,000
|
Ares Strategic Income Fund, 6.350%, 8/15/2029(a)
|
19,836
|
35,000
|
Aviation Capital Group LLC, 5.375%, 7/15/2029(a)
|
34,592
|
35,000
|
Avolon Holdings Funding Ltd., 5.500%, 1/15/2026(a)
|
34,723
|
15,000
|
Bain Capital Specialty Finance, Inc.,
2.550%, 10/13/2026
|
13,757
|
Principal
Amount
|
Description
|
Value (†)
|
Finance Companies - continued
|
||
$10,000
|
Blackstone Secured Lending Fund,
5.875%, 11/15/2027
|
$9,927
|
30,000
|
Blue Owl Capital Corp., 3.750%, 7/22/2025
|
29,245
|
15,000
|
Blue Owl Capital Corp. II, 8.450%, 11/15/2026(a)
|
15,476
|
25,000
|
Blue Owl Credit Income Corp., 7.950%, 6/13/2028
|
25,850
|
25,000
|
Blue Owl Technology Finance Corp. II,
6.750%, 4/04/2029(a)
|
24,458
|
50,000
|
FS KKR Capital Corp., 6.875%, 8/15/2029
|
49,581
|
30,000
|
GATX Corp., 5.400%, 3/15/2027
|
30,027
|
5,000
|
Goldman Sachs BDC, Inc., 6.375%, 3/11/2027
|
5,039
|
30,000
|
Golub Capital BDC, Inc., 2.500%, 8/24/2026
|
27,595
|
25,000
|
HPS Corporate Lending Fund, 6.250%, 9/30/2029(a)
|
24,721
|
25,000
|
Main Street Capital Corp., 3.000%, 7/14/2026
|
23,404
|
5,000
|
Main Street Capital Corp., 6.500%, 6/04/2027
|
5,004
|
25,000
|
Navient Corp., 11.500%, 3/15/2031
|
27,536
|
10,000
|
New Mountain Finance Corp., 6.875%, 2/01/2029
|
9,763
|
45,000
|
PennyMac Financial Services, Inc.,
7.125%, 11/15/2030(a)
|
44,861
|
25,000
|
Sixth Street Lending Partners, 6.500%, 3/11/2029(a)
|
24,716
|
10,000
|
Sixth Street Specialty Lending, Inc.,
6.125%, 3/01/2029
|
9,871
|
|
704,651
|
|
Food & Beverage - 1.3%
|
||
65,000
|
Campbell Soup Co., 5.200%, 3/19/2027
|
65,098
|
85,000
|
Conagra Brands, Inc., 5.300%, 10/01/2026
|
84,899
|
75,000
|
General Mills, Inc., 4.700%, 1/30/2027
|
74,058
|
|
224,055
|
|
Gaming - 0.4%
|
||
65,000
|
GLP Capital LP/GLP Financing II, Inc.,
5.250%, 6/01/2025
|
64,456
|
Government Owned - No Guarantee - 1.2%
|
||
200,000
|
NBN Co. Ltd., 0.875%, 10/08/2024(a)
|
197,409
|
Health Insurance - 0.7%
|
||
60,000
|
Health Care Service Corp. A Mutual Legal Reserve
Co., 5.200%, 6/15/2029(a)
|
59,741
|
50,000
|
UnitedHealth Group, Inc., 5.150%, 10/15/2025
|
49,927
|
|
109,668
|
|
Healthcare - 0.8%
|
||
25,000
|
IQVIA, Inc., 6.250%, 2/01/2029
|
25,695
|
40,000
|
Smith & Nephew PLC, 5.150%, 3/20/2027
|
39,866
|
75,000
|
Solventum Corp., 5.450%, 2/25/2027(a)
|
74,927
|
|
140,488
|
|
Home Construction - 0.1%
|
||
20,000
|
Forestar Group, Inc., 3.850%, 5/15/2026(a)
|
19,136
|
Independent Energy - 0.8%
|
||
30,000
|
Crescent Energy Finance LLC, 7.375%, 1/15/2033(a)
|
30,065
|
15,000
|
Crescent Energy Finance LLC, 9.250%, 2/15/2028(a)
|
15,848
|
65,000
|
Pioneer Natural Resources Co., 5.100%, 3/29/2026
|
64,856
|
25,000
|
Sitio Royalties Operating Partnership LP/Sitio
Finance Corp., 7.875%, 11/01/2028(a)
|
25,849
|
|
136,618
|
|
Life Insurance - 4.5%
|
||
85,000
|
Athene Global Funding, 5.620%, 5/08/2026(a)
|
85,062
|
120,000
|
Brighthouse Financial Global Funding,
1.750%, 1/13/2025(a)
|
117,311
|
45,000
|
CNO Global Funding, 5.875%, 6/04/2027(a)
|
45,147
|
95,000
|
Corebridge Global Funding, 5.750%, 7/02/2026(a)
|
95,341
|
10,000
|
F&G Annuities & Life, Inc., 6.500%, 6/04/2029
|
9,967
|
Principal
Amount
|
Description
|
Value (†)
|
Life Insurance - continued
|
||
$40,000
|
F&G Global Funding, 5.875%, 6/10/2027(a)
|
$39,790
|
45,000
|
MetLife, Inc., 5.300%, 12/15/2034
|
44,876
|
90,000
|
Mutual of Omaha Cos Global Funding,
5.350%, 4/09/2027(a)
|
90,005
|
60,000
|
New York Life Global Funding, 4.900%, 4/02/2027(a)
|
59,743
|
35,000
|
New York Life Global Funding, 5.000%, 6/06/2029(a)
|
34,888
|
60,000
|
Northwestern Mutual Global Funding,
5.070%, 3/25/2027(a)
|
60,092
|
45,000
|
Reinsurance Group of America, Inc.,
5.750%, 9/15/2034
|
44,837
|
20,000
|
RGA Global Funding, 5.448%, 5/24/2029(a)
|
20,047
|
|
747,106
|
|
Lodging - 0.6%
|
||
5,000
|
Choice Hotels International, Inc., 5.850%, 8/01/2034
|
4,928
|
35,000
|
Hyatt Hotels Corp., 5.250%, 6/30/2029
|
34,713
|
65,000
|
Hyatt Hotels Corp., 5.750%, 1/30/2027
|
65,642
|
|
105,283
|
|
Media Entertainment - 0.5%
|
||
10,000
|
Take-Two Interactive Software, Inc.,
5.400%, 6/12/2029
|
10,057
|
70,000
|
Warnermedia Holdings, Inc., 3.755%, 3/15/2027
|
66,460
|
|
76,517
|
|
Metals & Mining - 0.8%
|
||
45,000
|
ArcelorMittal SA, 6.000%, 6/17/2034
|
44,966
|
30,000
|
Mineral Resources Ltd., 9.250%, 10/01/2028(a)
|
31,486
|
45,000
|
Nucor Corp., 3.950%, 5/23/2025
|
44,384
|
5,000
|
Steel Dynamics, Inc., 5.375%, 8/15/2034
|
4,914
|
|
125,750
|
|
Midstream - 1.7%
|
||
20,000
|
Energy Transfer LP, 5.250%, 7/01/2029
|
19,875
|
70,000
|
Kinetik Holdings LP, 6.625%, 12/15/2028(a)
|
71,117
|
125,000
|
TransCanada PipeLines Ltd., SOFR Index +1.520%,
6.891%, 3/09/2026(b)
|
125,055
|
75,000
|
Williams Cos., Inc., 5.400%, 3/02/2026
|
74,928
|
|
290,975
|
|
Natural Gas - 1.0%
|
||
10,000
|
CenterPoint Energy Resources Corp.,
5.400%, 7/01/2034
|
9,902
|
25,000
|
NiSource, Inc., 5.200%, 7/01/2029
|
24,903
|
65,000
|
Sempra, 5.400%, 8/01/2026
|
64,941
|
70,000
|
Spire, Inc., 5.300%, 3/01/2026
|
69,842
|
|
169,588
|
|
Non-Agency Commercial Mortgage-Backed Securities - 2.0%
|
||
30,000
|
Bank, Series 2023-5YR3, Class A3,
6.724%, 9/15/2056(b)
|
31,362
|
8,656
|
Bank, Series 2023-5YR4, Class A3, 6.500%, 12/15/2056
|
8,979
|
25,000
|
BBCMS Mortgage Trust, Series 2024-5C25, Class A3,
5.946%, 3/15/2057
|
25,614
|
75,000
|
Benchmark Mortgage Trust, Series 2023-V2,
Class A3, 5.812%, 5/15/2055(b)
|
75,869
|
100,000
|
Credit Suisse Mortgage Trust, Series 2014-USA,
Class A2, 3.953%, 9/15/2037(a)
|
88,925
|
104,745
|
MSBAM Commercial Mortgage Securities Trust,
Series 2012-CKSV, Class A2, 3.277%, 10/15/2030(a)
|
95,318
|
|
326,067
|
|
Office REITs - 0.2%
|
||
30,000
|
Hudson Pacific Properties LP, 5.950%, 2/15/2028
|
25,501
|
Principal
Amount
|
Description
|
Value (†)
|
Oil Field Services - 0.5%
|
||
$90,000
|
Schlumberger Holdings Corp., 5.000%, 11/15/2029(a)
|
$89,325
|
Other REITs - 0.8%
|
||
45,000
|
Public Storage Operating Co., SOFR Index +0.700%,
6.056%, 4/16/2027(b)
|
45,139
|
95,000
|
Starwood Property Trust, Inc., 3.750%, 12/31/2024(a)
|
93,560
|
|
138,699
|
|
Packaging - 0.8%
|
||
40,000
|
Amcor Flexibles North America, Inc.,
4.000%, 5/17/2025
|
39,420
|
40,000
|
Berry Global, Inc., 5.800%, 6/15/2031(a)
|
39,941
|
50,000
|
Sonoco Products Co., 1.800%, 2/01/2025
|
48,803
|
|
128,164
|
|
Pharmaceuticals - 0.5%
|
||
90,000
|
Royalty Pharma PLC, 5.150%, 9/02/2029
|
89,240
|
Property & Casualty Insurance - 1.1%
|
||
15,000
|
Allstate Corp., 5.050%, 6/24/2029
|
14,931
|
20,000
|
AmWINS Group, Inc., 6.375%, 2/15/2029(a)
|
20,055
|
40,000
|
Enact Holdings, Inc., 6.250%, 5/28/2029
|
40,012
|
30,000
|
Essent Group Ltd., 6.250%, 7/01/2029
|
29,979
|
20,000
|
NMI Holdings, Inc., 6.000%, 8/15/2029
|
19,818
|
30,000
|
Radian Group, Inc., 6.200%, 5/15/2029
|
30,295
|
25,000
|
SiriusPoint Ltd., 7.000%, 4/05/2029
|
25,318
|
|
180,408
|
|
Retail REITs - 0.1%
|
||
10,000
|
Agree LP, 5.625%, 6/15/2034
|
9,897
|
Retailers - 2.0%
|
||
30,000
|
Advance Auto Parts, Inc., 5.900%, 3/09/2026
|
30,004
|
50,000
|
AutoZone, Inc., 5.050%, 7/15/2026
|
49,809
|
80,000
|
AutoZone, Inc., 5.100%, 7/15/2029
|
79,668
|
85,000
|
Lowe's Cos., Inc., 4.400%, 9/08/2025
|
83,904
|
50,000
|
O'Reilly Automotive, Inc., 5.750%, 11/20/2026
|
50,464
|
45,000
|
Tapestry, Inc., 7.350%, 11/27/2028
|
46,705
|
|
340,554
|
|
Technology - 1.6%
|
||
80,000
|
Dell International LLC/EMC Corp., 5.850%, 7/15/2025
|
80,194
|
45,000
|
Flex Ltd., 6.000%, 1/15/2028
|
45,595
|
60,000
|
Global Payments, Inc., 1.500%, 11/15/2024
|
59,087
|
35,000
|
NXP BV/NXP Funding LLC/NXP USA, Inc.,
3.150%, 5/01/2027
|
33,094
|
45,000
|
PayPal Holdings, Inc., 5.150%, 6/01/2034
|
44,446
|
10,000
|
Zebra Technologies Corp., 6.500%, 6/01/2032(a)
|
10,113
|
|
272,529
|
|
Tobacco - 0.2%
|
||
35,000
|
Altria Group, Inc., 6.200%, 11/01/2028
|
36,293
|
Transportation Services - 0.5%
|
||
60,000
|
Element Fleet Management Corp.,
5.643%, 3/13/2027(a)
|
60,145
|
25,000
|
Penske Truck Leasing Co. LP/PTL Finance Corp.,
5.250%, 7/01/2029(a)
|
24,789
|
|
84,934
|
|
Treasuries - 28.0%
|
||
540,000
|
U.S. Treasury Notes, 3.875%, 4/30/2025
|
534,189
|
2,060,000
|
U.S. Treasury Notes, 4.625%, 6/30/2025(d)
|
2,050,022
|
330,000
|
U.S. Treasury Notes, 4.625%, 6/30/2026
|
329,407
|
45,000
|
U.S. Treasury Notes, 4.750%, 7/31/2025
|
44,840
|
Principal
Amount
|
Description
|
Value (†)
|
Treasuries - continued
|
||
$1,260,000
|
U.S. Treasury Notes, 4.875%, 4/30/2026
|
$1,261,870
|
460,000
|
U.S. Treasury Notes, 4.875%, 5/31/2026
|
460,934
|
|
4,681,262
|
|
Wirelines - 0.3%
|
||
50,000
|
Verizon Communications, Inc., 3.000%, 3/22/2027
|
47,307
|
Total Bonds and Notes
(Identified Cost $16,725,676)
|
16,652,464
|
|
Short-Term Investments - 1.5%
|
||
254,878
|
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 6/28/2024 at 3.500% to be
repurchased at $254,953 on 7/01/2024 collateralized
by $272,200 U.S. Treasury Note, 1.875% due 6/30/2026
valued at $260,019 including accrued interest
(Note 2 of Notes to Financial Statements)
(Identified Cost $254,878)
|
254,878
|
Total Investments - 101.2%
(Identified Cost $16,980,554)
|
16,907,342
|
|
Other assets less liabilities - (1.2)%
|
(205,362
)
|
|
Net Assets - 100.0%
|
$16,701,980
|
(† )
|
See Note 2 of Notes to Financial Statements.
|
(a)
|
All or a portion of these securities are exempt from registration
under Rule 144A of the Securities Act of 1933. These securities may
be resold in transactions exempt from registration, normally to
qualified institutional buyers. At June 30, 2024, the value of
Rule 144A holdings amounted to $4,784,083 or 28.6% of net assets.
|
(b)
|
Variable rate security. Rate as of June 30, 2024 is disclosed. Issuers
comprised of various lots with differing coupon rates have been
aggregated for the purpose of presentation in the Portfolio of
Investments and show a weighted average rate. Certain variable
rate securities are not based on a published reference rate and
spread, rather are determined by the issuer or agent and are based
on current market conditions. These securities may not indicate a
reference rate and/or spread in their description.
|
(c)
|
Level 3 security. Value has been determined using significant
unobservable inputs. See Note 3 of Notes to Financial Statements.
|
(d)
|
Security (or a portion thereof) has been pledged as collateral for
open derivative contracts.
|
ABS
|
Asset-Backed Securities
|
CMT
|
Constant Maturity Treasury
|
GMTN
|
Global Medium Term Note
|
MTN
|
Medium Term Note
|
REITs
|
Real Estate Investment Trusts
|
SOFR
|
Secured Overnight Financing Rate
|
Financial Futures
|
Expiration
Date
|
Contracts
|
Notional
Amount
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
CBOT 2 Year U.S. Treasury Notes Futures
|
9/30/2024
|
11
|
$2,239,689
|
$2,246,406
|
$6,717
|
Financial Futures
|
Expiration
Date
|
Contracts
|
Notional
Amount
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
CBOT 10 Year U.S. Treasury Notes Futures
|
9/19/2024
|
8
|
$872,095
|
$879,875
|
$(7,780
)
|
Ultra 10-Year U.S. Treasury Notes Futures
|
9/19/2024
|
1
|
112,328
|
113,531
|
(1,203
)
|
Total
|
$(8,983
)
|
Treasuries
|
28.0
%
|
ABS Car Loan
|
16.0
|
Electric
|
5.7
|
Life Insurance
|
4.5
|
Banking
|
4.4
|
Finance Companies
|
4.2
|
ABS Other
|
4.1
|
ABS Credit Card
|
3.2
|
Automotive
|
2.2
|
Non-Agency Commercial Mortgage-Backed Securities
|
2.0
|
Retailers
|
2.0
|
Other Investments, less than 2% each
|
23.4
|
Short-Term Investments
|
1.5
|
Total Investments
|
101.2
|
Other assets less liabilities (including futures contracts)
|
(1.2
)
|
Net Assets
|
100.0
%
|
Shares
|
Description
|
Value († )
|
Common Stocks - 99.3% of Net Assets
|
||
Aerospace & Defense - 2.4%
|
||
336
|
Axon Enterprise, Inc.(a)
|
$98,865
|
Banks - 3.7%
|
||
979
|
Comerica, Inc.
|
49,968
|
826
|
Western Alliance Bancorp
|
51,889
|
1,231
|
Zions Bancorp NA
|
53,389
|
|
155,246
|
|
Building Products - 6.1%
|
||
945
|
AAON, Inc.
|
82,442
|
601
|
Allegion PLC
|
71,008
|
1,571
|
AZEK Co., Inc.(a)
|
66,186
|
240
|
Builders FirstSource, Inc.(a)
|
33,219
|
|
252,855
|
|
Capital Markets - 6.7%
|
||
411
|
ARES Management Corp., Class A
|
54,778
|
111
|
MSCI, Inc.
|
53,474
|
2,131
|
Nasdaq, Inc.
|
128,414
|
346
|
Raymond James Financial, Inc.
|
42,769
|
|
279,435
|
|
Chemicals - 3.0%
|
||
2,325
|
Corteva, Inc.
|
125,410
|
Communications Equipment - 1.1%
|
||
115
|
Motorola Solutions, Inc.
|
44,396
|
Construction Materials - 2.6%
|
||
444
|
Vulcan Materials Co.
|
110,414
|
Consumer Staples Distribution & Retail - 1.7%
|
||
1,080
|
Performance Food Group Co.(a)
|
71,399
|
Containers & Packaging - 0.5%
|
||
95
|
Avery Dennison Corp.
|
20,772
|
Electrical Equipment - 4.8%
|
||
252
|
AMETEK, Inc.
|
42,011
|
139
|
Hubbell, Inc.
|
50,801
|
1,103
|
nVent Electric PLC
|
84,501
|
261
|
Vertiv Holdings Co.
|
22,595
|
|
199,908
|
|
Electronic Equipment, Instruments & Components - 1.7%
|
||
326
|
CDW Corp.
|
72,972
|
Energy Equipment & Services - 1.5%
|
||
2,441
|
TechnipFMC PLC
|
63,832
|
Financial Services - 2.2%
|
||
783
|
Apollo Global Management, Inc.
|
92,449
|
Ground Transportation - 4.7%
|
||
238
|
Saia, Inc.(a)
|
112,881
|
563
|
TFI International, Inc.
|
81,725
|
|
194,606
|
|
Health Care Providers & Services - 1.5%
|
||
282
|
Cencora, Inc.
|
63,535
|
Hotels, Restaurants & Leisure - 7.6%
|
||
3,560
|
Carnival Corp.(a)
|
66,643
|
751
|
DoorDash, Inc., Class A(a)
|
81,694
|
1,063
|
Royal Caribbean Cruises Ltd.(a)
|
169,474
|
|
317,811
|
|
Independent Power & Renewable Electricity Producers - 0.7%
|
||
341
|
Vistra Corp.
|
29,319
|
Shares
|
Description
|
Value (†)
|
Industrial REITs - 2.4%
|
||
599
|
EastGroup Properties, Inc.
|
$101,890
|
Insurance - 4.2%
|
||
195
|
Allstate Corp.
|
31,134
|
1,332
|
Kemper Corp.
|
79,027
|
310
|
Reinsurance Group of America, Inc.
|
63,634
|
|
173,795
|
|
Life Sciences Tools & Services - 7.3%
|
||
448
|
Agilent Technologies, Inc.
|
58,074
|
2,530
|
Avantor, Inc.(a)
|
53,636
|
1,271
|
Bruker Corp.
|
81,102
|
524
|
IQVIA Holdings, Inc.(a)
|
110,795
|
|
303,607
|
|
Machinery - 3.6%
|
||
337
|
Crane Co.
|
48,858
|
1,646
|
Flowserve Corp.
|
79,173
|
218
|
Otis Worldwide Corp.
|
20,985
|
|
149,016
|
|
Metals & Mining - 3.2%
|
||
7,161
|
Constellium SE(a)
|
134,985
|
Oil, Gas & Consumable Fuels - 4.3%
|
||
106
|
Diamondback Energy, Inc.
|
21,220
|
13,601
|
Kosmos Energy Ltd.(a)
|
75,349
|
2,475
|
Range Resources Corp.
|
82,987
|
|
179,556
|
|
Professional Services - 2.8%
|
||
161
|
CACI International, Inc., Class A(a)
|
69,251
|
191
|
Equifax, Inc.
|
46,310
|
|
115,561
|
|
Semiconductors & Semiconductor Equipment - 8.0%
|
||
1,494
|
Marvell Technology, Inc.
|
104,431
|
191
|
Monolithic Power Systems, Inc.
|
156,941
|
1,046
|
ON Semiconductor Corp.(a)
|
71,703
|
|
333,075
|
|
Software - 3.0%
|
||
253
|
Tyler Technologies, Inc.(a)
|
127,203
|
Specialized REITs - 2.2%
|
||
579
|
Extra Space Storage, Inc.
|
89,982
|
Specialty Retail - 3.3%
|
||
21
|
AutoZone, Inc.(a)
|
62,246
|
575
|
Best Buy Co., Inc.
|
48,467
|
266
|
Floor & Decor Holdings, Inc., Class A(a)
|
26,443
|
|
137,156
|
|
Textiles, Apparel & Luxury Goods - 1.3%
|
||
794
|
Skechers USA, Inc., Class A(a)
|
54,881
|
Trading Companies & Distributors - 1.2%
|
||
424
|
SiteOne Landscape Supply, Inc.(a)
|
51,478
|
Total Common Stocks
(Identified Cost $3,677,345)
|
4,145,409
|
Principal
Amount
|
Description
|
Value (†)
|
Short-Term Investments - 1.8%
|
||
$73,507
|
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 6/28/2024 at 3.500% to be
repurchased at $73,529 on 7/01/2024 collateralized by
$80,500 U.S. Treasury Note, 0.875% due 6/30/2026
valued at $75,028 including accrued interest (Note 2 of
Notes to Financial Statements)
(Identified Cost $73,507)
|
$73,507
|
Total Investments - 101.1%
(Identified Cost $3,750,852)
|
4,218,916
|
|
Other assets less liabilities - (1.1)%
|
(46,110
)
|
|
Net Assets - 100.0%
|
$4,172,806
|
(† )
|
See Note 2 of Notes to Financial Statements.
|
(a)
|
Non-income producing security.
|
REITs
|
Real Estate Investment Trusts
|
Semiconductors & Semiconductor Equipment
|
8.0
%
|
Hotels, Restaurants & Leisure
|
7.6
|
Life Sciences Tools & Services
|
7.3
|
Capital Markets
|
6.7
|
Building Products
|
6.1
|
Electrical Equipment
|
4.8
|
Ground Transportation
|
4.7
|
Oil, Gas & Consumable Fuels
|
4.3
|
Insurance
|
4.2
|
Banks
|
3.7
|
Machinery
|
3.6
|
Specialty Retail
|
3.3
|
Metals & Mining
|
3.2
|
Software
|
3.0
|
Chemicals
|
3.0
|
Professional Services
|
2.8
|
Construction Materials
|
2.6
|
Industrial REITs
|
2.4
|
Aerospace & Defense
|
2.4
|
Financial Services
|
2.2
|
Specialized REITs
|
2.2
|
Other Investments, less than 2% each
|
11.2
|
Short-Term Investments
|
1.8
|
Total Investments
|
101.1
|
Other assets less liabilities
|
(1.1
)
|
Net Assets
|
100.0
%
|
Shares
|
Description
|
Value († )
|
Common Stocks - 97.6% of Net Assets
|
||
Banks - 5.1%
|
||
8,413
|
JPMorgan Chase & Co.
|
$1,701,613
|
Beverages - 1.0%
|
||
309
|
Coca-Cola Consolidated, Inc.
|
335,265
|
Broadline Retail - 6.2%
|
||
10,626
|
Amazon.com, Inc.(a)
|
2,053,474
|
Capital Markets - 3.8%
|
||
9,164
|
Intercontinental Exchange, Inc.
|
1,254,460
|
Chemicals - 6.0%
|
||
19,055
|
Corteva, Inc.
|
1,027,827
|
3,235
|
Sherwin-Williams Co.
|
965,421
|
|
1,993,248
|
|
Entertainment - 3.9%
|
||
13,127
|
Walt Disney Co.
|
1,303,380
|
Financial Services - 3.7%
|
||
3,061
|
Berkshire Hathaway, Inc., Class B(a)
|
1,245,215
|
Ground Transportation - 5.3%
|
||
2,314
|
Saia, Inc.(a)
|
1,097,507
|
2,929
|
Union Pacific Corp.
|
662,716
|
|
1,760,223
|
|
Health Care Equipment & Supplies - 3.5%
|
||
10,225
|
Dexcom, Inc.(a)
|
1,159,311
|
Hotels, Restaurants & Leisure - 1.9%
|
||
5,920
|
DoorDash, Inc., Class A(a)
|
643,978
|
Insurance - 3.1%
|
||
2,699
|
Kinsale Capital Group, Inc.
|
1,039,871
|
Interactive Media & Services - 6.3%
|
||
11,442
|
Alphabet, Inc., Class A
|
2,084,160
|
Life Sciences Tools & Services - 3.0%
|
||
4,009
|
Danaher Corp.
|
1,001,649
|
Oil, Gas & Consumable Fuels - 4.2%
|
||
22,195
|
Antero Resources Corp.(a)
|
724,223
|
119,179
|
Kosmos Energy Ltd.(a)
|
660,252
|
|
1,384,475
|
|
Personal Care Products - 2.3%
|
||
7,026
|
Estee Lauder Cos., Inc., Class A
|
747,566
|
Pharmaceuticals - 4.5%
|
||
8,645
|
Zoetis, Inc.
|
1,498,697
|
Semiconductors & Semiconductor Equipment - 16.5%
|
||
2,318
|
Monolithic Power Systems, Inc.
|
1,904,654
|
18,690
|
NVIDIA Corp.
|
2,308,963
|
18,261
|
ON Semiconductor Corp.(a)
|
1,251,791
|
|
5,465,408
|
|
Software - 13.4%
|
||
1,775
|
Intuit, Inc.
|
1,166,548
|
5,612
|
Microsoft Corp.
|
2,508,283
|
1,005
|
ServiceNow, Inc.(a)
|
790,603
|
|
4,465,434
|
Shares
|
Description
|
Value (†)
|
Specialty Retail - 3.9%
|
||
1,217
|
O'Reilly Automotive, Inc.(a)
|
$1,285,225
|
Total Common Stocks
(Identified Cost $26,574,127)
|
32,422,652
|
Principal
Amount
|
|
|
Short-Term Investments - 3.1%
|
||
$1,023,201
|
Tri-Party Repurchase Agreement with Fixed Income
Clearing Corporation, dated 6/28/2024 at 3.500% to be
repurchased at $1,023,499 on 7/01/2024 collateralized
by $1,092,700 U.S. Treasury Note, 1.875% due
6/30/2026 valued at $1,043,764 including accrued
interest (Note 2 of Notes to Financial Statements)
(Identified Cost $1,023,201)
|
1,023,201
|
Total Investments - 100.7%
(Identified Cost $27,597,328)
|
33,445,853
|
|
Other assets less liabilities - (0.7)%
|
(235,838
)
|
|
Net Assets - 100.0%
|
$33,210,015
|
(† )
|
See Note 2 of Notes to Financial Statements.
|
(a)
|
Non-income producing security.
|
Semiconductors & Semiconductor Equipment
|
16.5
%
|
Software
|
13.4
|
Interactive Media & Services
|
6.3
|
Broadline Retail
|
6.2
|
Chemicals
|
6.0
|
Ground Transportation
|
5.3
|
Banks
|
5.1
|
Pharmaceuticals
|
4.5
|
Oil, Gas & Consumable Fuels
|
4.2
|
Entertainment
|
3.9
|
Specialty Retail
|
3.9
|
Capital Markets
|
3.8
|
Financial Services
|
3.7
|
Health Care Equipment & Supplies
|
3.5
|
Insurance
|
3.1
|
Life Sciences Tools & Services
|
3.0
|
Personal Care Products
|
2.3
|
Other Investments, less than 2% each
|
2.9
|
Short-Term Investments
|
3.1
|
Total Investments
|
100.7
|
Other assets less liabilities
|
(0.7
)
|
Net Assets
|
100.0
%
|
|
Natixis
Gateway
Quality
Income
ETF
|
Natixis
Loomis
Sayles
Focused
Growth
ETF
|
Natixis
Loomis
Sayles Short
Duration Income
ETF
|
Natixis
Vaughan
Nelson
Mid Cap
ETF
|
Natixis
Vaughan
Nelson
Select
ETF
|
ASSETS
|
|||||
Investments at cost
|
$96,208,502
|
$160,539,087
|
$16,980,554
|
$3,750,852
|
$27,597,328
|
Net unrealized appreciation (depreciation)
|
6,139,803
|
13,759,698
|
(73,212
)
|
468,064
|
5,848,525
|
Investments at value
|
102,348,305
|
174,298,785
|
16,907,342
|
4,218,916
|
33,445,853
|
Cash
|
116,454
|
-
|
112
|
-
|
-
|
Receivable from investment adviser(Note 6)
|
494
|
-
|
12,601
|
2,131
|
-
|
Receivable for securities sold
|
-
|
1,353,076
|
228,904
|
-
|
-
|
Dividends and interest receivable
|
300,801
|
157
|
157,046
|
3,243
|
4,278
|
Receivable for variation margin on futures contracts(Note 2)
|
-
|
-
|
2,366
|
-
|
-
|
Prepaid expenses
|
-
|
588
|
312
|
312
|
312
|
TOTAL ASSETS
|
102,766,054
|
175,652,606
|
17,308,683
|
4,224,602
|
33,450,443
|
LIABILITIES
|
|||||
Payable for securities purchased
|
-
|
-
|
484,055
|
-
|
164,443
|
Management fees payable(Note 6)
|
-
|
43,856
|
-
|
-
|
481
|
Deferred Trustees' fees(Note 6)
|
1,573
|
3,330
|
49,156
|
17,417
|
17,709
|
Administrative fees payable(Note 6)
|
3,610
|
5,758
|
631
|
152
|
1,203
|
Audit and tax services fees payable
|
25,598
|
29,133
|
27,425
|
12,073
|
26,968
|
Other accounts payable and accrued expenses
|
37,893
|
38,636
|
45,436
|
22,154
|
29,624
|
TOTAL LIABILITIES
|
68,674
|
120,713
|
606,703
|
51,796
|
240,428
|
COMMITMENTS AND CONTINGENCIES(a)
|
-
|
-
|
-
|
-
|
-
|
NET ASSETS
|
$102,697,380
|
$175,531,893
|
$16,701,980
|
$4,172,806
|
$33,210,015
|
NET ASSETS CONSIST OF:
|
|||||
Paid-in capital
|
$98,259,316
|
$161,969,640
|
$19,020,091
|
$4,288,024
|
$28,723,999
|
Accumulated earnings (loss)
|
4,438,064
|
13,562,253
|
(2,318,111
)
|
(115,218
)
|
4,486,016
|
NET ASSETS
|
$102,697,380
|
$175,531,893
|
$16,701,980
|
$4,172,806
|
$33,210,015
|
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE:
|
|||||
Net assets
|
$102,697,380
|
$175,531,893
|
$16,701,980
|
$4,172,806
|
$33,210,015
|
Shares of beneficial interest
|
1,910,000
|
5,170,000
|
700,000
|
120,400
|
1,010,400
|
Net asset value, offering and redemption price per share
|
$53.77
|
$33.95
|
$23.86
|
$34.66
|
$32.87
|
(a)
|
As disclosed in the Notes to Financial Statements, if applicable.
|
|
Natixis
Gateway
Quality
Income
ETF
|
Natixis
Loomis
Sayles
Focused
Growth
ETF
|
Natixis
Loomis
Sayles Short
Duration Income
ETF
|
Natixis
Vaughan
Nelson
Mid Cap
ETF
|
Natixis
Vaughan
Nelson
Select
ETF
|
INVESTMENT INCOME
|
|||||
Interest
|
$2,638,907
|
$5,673
|
$449,381
|
$915
|
$11,137
|
Dividends
|
362,404
|
124,388
|
-
|
25,124
|
99,923
|
Less net foreign taxes withheld
|
-
|
-
|
-
|
(65
)
|
-
|
|
3,001,311
|
130,061
|
449,381
|
25,974
|
111,060
|
Expenses
|
|||||
Management fees(Note 6)
|
89,966
|
251,562
|
28,150
|
14,971
|
115,376
|
Administrative fees(Note 6)
|
16,854
|
22,544
|
4,238
|
896
|
7,431
|
Trustees' fees and expenses(Note 6)
|
9,523
|
11,607
|
13,697
|
11,230
|
11,036
|
Transfer agent fees and expenses(Notes 6 and 7)
|
7,800
|
7,800
|
7,800
|
7,800
|
7,800
|
Audit and tax services fees
|
23,098
|
24,909
|
22,996
|
7,850
|
22,749
|
Custodian fees and expenses(Note 7)
|
17,608
|
9,487
|
15,703
|
11,091
|
9,132
|
Legal fees
|
15,417
|
12,193
|
161
|
6,580
|
752
|
Registration fees
|
5,820
|
19,660
|
-
|
-
|
-
|
Regulatory filing fees(Note 7)
|
6,500
|
6,500
|
6,500
|
6,500
|
6,500
|
Shareholder reporting expenses(Note 7)
|
21,841
|
12,329
|
14,351
|
7,845
|
15,926
|
Miscellaneous expenses
|
15,688
|
21,912
|
17,100
|
15,636
|
16,444
|
Total expenses
|
230,115
|
400,503
|
130,696
|
90,399
|
213,146
|
Less waiver and/or expense reimbursement(Note 6)
|
(102,663
)
|
(103,660
)
|
(97,855
)
|
(73,432
)
|
(81,288
)
|
Net expenses
|
127,452
|
296,843
|
32,841
|
16,967
|
131,858
|
Net investment income (loss)
|
2,873,859
|
(166,782
)
|
416,540
|
9,007
|
(20,798
)
|
Net realized and unrealized gain (loss) on Investments and
Futures contracts
|
|||||
Net realized gain (loss) on:
|
|||||
Investments
|
(2,160,938
)
|
(29,239
)
|
(2,741
)
|
253,470
|
432,337
|
Futures contracts
|
-
|
-
|
4,388
|
-
|
-
|
Net change in unrealized appreciation (depreciation) on:
|
|||||
Investments
|
5,468,831
|
13,112,928
|
(67,034
)
|
(66,895
)
|
1,818,205
|
Futures contracts
|
-
|
-
|
(4,901
)
|
-
|
-
|
Net realized and unrealized gain (loss) on Investments and Futures contracts
|
3,307,893
|
13,083,689
|
(70,288
)
|
186,575
|
2,250,542
|
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
|
$6,181,752
|
$12,916,907
|
$346,252
|
$195,582
|
$2,229,744
|
|
Natixis Gateway
Quality Income ETF
|
Natixis Loomis Sayles
Focused Growth ETF
|
||
|
Six Months Ended
June 30,2024
(Unaudited)
|
Period Ended
December 31,2023(a)
|
Six Months Ended
June 30,2024
(Unaudited)
|
Period Ended
December 31,2023(b)
|
FROM OPERATIONS:
|
||||
Net investment income (loss)
|
$2,873,859
|
$124,678
|
$(166,782
)
|
$(8,543
)
|
Net realized gain (loss) on investments
|
(2,160,938
)
|
(553
)
|
(29,239
)
|
8,731
|
Net change in unrealized appreciation on investments
|
5,468,831
|
670,972
|
13,112,928
|
646,770
|
Net increase in net assets resulting from operations
|
6,181,752
|
795,097
|
12,916,907
|
646,958
|
FROM DISTRIBUTIONS TO SHAREHOLDERS:
|
||||
|
(2,414,039
)
|
(126,036
)
|
-
|
(1,785
)
|
NET INCREASE IN NET ASSETS
FROM CAPITAL SHARES TRANSACTIONS
(Note 10)
|
57,760,606
|
40,500,000
|
156,719,813
|
5,250,000
|
Net increase in net assets
|
61,528,319
|
41,169,061
|
169,636,720
|
5,895,173
|
NET ASSETS
|
||||
Beginning of the period
|
41,169,061
|
-
|
5,895,173
|
-
|
End of the period
|
$102,697,380
|
$41,169,061
|
$175,531,893
|
$5,895,173
|
(a)
|
From commencement of operations on December 12, 2023 through December 31, 2023.
|
(b)
|
From commencement of operations on June 28, 2023 through December 31, 2023.
|
|
Natixis Loomis Sayles Short
Duration Income ETF
|
Natixis Vaughan Nelson Mid
Cap ETF
|
||
|
Six Months Ended
June 30,2024
(Unaudited)
|
Year Ended
December 31,2023
|
Six Months Ended
June 30,2024
(Unaudited)
|
Year Ended
December 31,2023
|
FROM OPERATIONS:
|
||||
Net investment income
|
$416,540
|
$1,071,117
|
$9,007
|
$31,700
|
Net realized gain (loss) on investments and futures contracts
|
1,647
|
(687,696
)
|
253,470
|
563,990
|
Net change in unrealized appreciation (depreciation) on investments and
futures contracts
|
(71,935
)
|
1,068,178
|
(66,895
)
|
158,443
|
Net increase in net assets resulting from operations
|
346,252
|
1,451,599
|
195,582
|
754,133
|
FROM DISTRIBUTIONS TO SHAREHOLDERS:
|
||||
|
(410,700
)
|
(1,104,265
)
|
(614
)
|
(39,071
)
|
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL SHARES TRANSACTIONS
(Note 10)
|
(3,587,271
)
|
(16,491,540
)
|
367,707
|
(4,182,980
)
|
Net increase (decrease) in net assets
|
(3,651,719
)
|
(16,144,206
)
|
562,675
|
(3,467,918
)
|
NET ASSETS
|
||||
Beginning of the period
|
20,353,699
|
36,497,905
|
3,610,131
|
7,078,049
|
End of the period
|
$16,701,980
|
$20,353,699
|
$4,172,806
|
$3,610,131
|
|
Natixis Vaughan Nelson
Select ETF
|
|
|
Six Months Ended
June 30,2024
(Unaudited)
|
Year Ended
December 31,2023
|
FROM OPERATIONS:
|
||
Net investment income (loss)
|
$(20,798
)
|
$63,023
|
Net realized gain on investments
|
432,337
|
383,763
|
Net change in unrealized appreciation on investments
|
1,818,205
|
4,426,530
|
Net increase in net assets resulting from operations
|
2,229,744
|
4,873,316
|
FROM DISTRIBUTIONS TO SHAREHOLDERS:
|
||
|
(1,633
)
|
(65,857
)
|
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL SHARES TRANSACTIONS
(Note 10)
|
(1,001,632
)
|
15,344,668
|
Net increase in net assets
|
1,226,479
|
20,152,127
|
NET ASSETS
|
||
Beginning of the period
|
31,983,536
|
11,831,409
|
End of the period
|
$33,210,015
|
$31,983,536
|
|
Natixis Gateway Quality Income ETF
|
|
|
Six Months
Ended
June 30,
2024
(Unaudited)
|
Period Ended
December 31,
2023*
|
Net asset value, beginning of the period
|
$50.83
|
$50.00
|
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
|
||
Net investment income(a)
|
1.99
|
0.15
(b)
|
Net realized and unrealized gain
|
2.65
|
0.84
|
Total from Investment Operations
|
4.64
|
0.99
|
LESS DISTRIBUTIONS FROM:
|
||
Net investment income
|
(1.70
)
|
(0.16
)
|
Net asset value, end of the period
|
$53.77
|
$50.83
|
Total return(c)(d)
|
9.26
%
|
1.97
%(b)
|
RATIOS TO AVERAGE NET ASSETS:
|
||
Net assets, end of the period (000's)
|
$102,697
|
$41,169
|
Net expenses(e)(f)
|
0.34
%
|
0.34
%
|
Gross expenses(f)
|
0.61
%
|
2.30
%
|
Net investment income(f)
|
7.67
%
|
5.83
%(b)
|
Portfolio turnover rate(g)
|
25
%
|
0
%
|
*
|
From commencement of operations on December 12, 2023 through December 31, 2023.
|
(a)
|
Per share net investment income has been calculated using the average shares outstanding during the period.
|
(b)
|
Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.13, total return would have been 1.91% and the ratio
of net investment income to average net assets would have been 4.92%.
|
(c)
|
Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during
the period, total returns would have been lower.
|
(d)
|
Periods less than one year are not annualized.
|
(e)
|
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund's expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
|
(f)
|
Computed on an annualized basis for periods less than one year.
|
(g)
|
Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.
|
|
Natixis Loomis Sayles Focused Growth ETF
|
|
|
Six Months
Ended
June 30,
2024
(Unaudited)
|
Period Ended
December 31,
2023*
|
Net asset value, beginning of the period
|
$28.07
|
$25.00
|
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
|
||
Net investment loss(a)
|
(0.05
)
|
(0.04
)
|
Net realized and unrealized gain
|
5.93
|
3.12
|
Total from Investment Operations
|
5.88
|
3.08
|
LESS DISTRIBUTIONS FROM:
|
||
Net realized capital gains
|
-
|
(0.01
)
|
Net asset value, end of the period
|
$33.95
|
$28.07
|
Total return(b)(c)
|
20.95
%
|
12.31
%
|
RATIOS TO AVERAGE NET ASSETS:
|
||
Net assets, end of the period (000's)
|
$175,532
|
$5,895
|
Net expenses(d)(e)
|
0.59
%
|
0.59
%
|
Gross expenses(e)
|
0.80
%
|
3.97
%
|
Net investment loss(e)
|
(0.33
)%
|
(0.31
)%
|
Portfolio turnover rate(f)
|
0
%
|
4
%
|
*
|
From commencement of operations on June 28, 2023 through December 31, 2023.
|
(a)
|
Per share net investment loss has been calculated using the average shares outstanding during the period.
|
(b)
|
Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during
the period, total returns would have been lower.
|
(c)
|
Periods less than one year are not annualized.
|
(d)
|
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund's expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
|
(e)
|
Computed on an annualized basis for periods less than one year.
|
(f)
|
Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.
|
|
Natixis Loomis Sayles Short Duration Income ETF
|
|||||
|
Six Months
Ended
June 30,
2024
(Unaudited)
|
Year Ended
December 31,
2023
|
Year Ended
December 31,
2022
|
Year Ended
December 31,
2021
|
Year Ended
December 31,
2020
|
Year Ended
December 31,
2019
|
Net asset value, beginning of the period
|
$23.95
|
$23.55
|
$24.90
|
$25.58
|
$25.28
|
$24.62
|
INCOME (LOSS) FROM INVESTMENT
OPERATIONS:
|
||||||
Net investment income(a)
|
0.53
|
0.87
|
0.41
|
0.17
|
0.49
|
0.64
|
Net realized and unrealized gain (loss)
|
(0.09
)
|
0.45
|
(1.31
)
|
(0.17
)
|
0.83
|
0.70
|
Total from Investment Operations
|
0.44
|
1.32
|
(0.90
)
|
0.00
(b)
|
1.32
|
1.34
|
LESS DISTRIBUTIONS FROM:
|
||||||
Net investment income
|
(0.53
)
|
(0.92
)
|
(0.45
)
|
(0.22
)
|
(0.51
)
|
(0.67
)
|
Net realized capital gains
|
-
|
-
|
-
|
(0.46
)
|
(0.51
)
|
(0.01
)
|
Total Distributions
|
(0.53
)
|
(0.92
)
|
(0.45
)
|
(0.68
)
|
(1.02
)
|
(0.68
)
|
Net asset value, end of the period
|
$23.86
|
$23.95
|
$23.55
|
$24.90
|
$25.58
|
$25.28
|
Total return(c)
|
1.86
%(d)
|
5.74
%
|
(3.60
)%
|
0.00
(e)
|
5.27
%
|
5.51
%
|
RATIOS TO AVERAGE NET ASSETS:
|
||||||
Net assets, end of the period (000's)
|
$16,702
|
$20,354
|
$36,498
|
$47,308
|
$24,304
|
$30,331
|
Net expenses(f)
|
0.35
%(g)
|
0.37
%(h)
|
0.38
%
|
0.38
%
|
0.38
%
|
0.38
%
|
Gross expenses
|
1.39
%(g)
|
1.06
%
|
0.88
%
|
0.93
%
|
1.05
%
|
0.95
%
|
Net investment income
|
4.44
%(g)
|
3.66
%
|
1.71
%
|
0.69
%
|
1.91
%
|
2.56
%
|
Portfolio turnover rate(i)
|
112
%
|
209
%
|
167
%
|
140
%
|
181
%
|
113
%
|
(a)
|
Per share net investment income has been calculated using the average shares outstanding during the period.
|
(b)
|
Amount rounds to less than $0.01.
|
(c)
|
Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during
the period, total returns would have been lower.
|
(d)
|
Periods less than one year are not annualized.
|
(e)
|
Amount rounds to less than 0.01%.
|
(f)
|
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund's expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
|
(g)
|
Computed on an annualized basis for periods less than one year.
|
(h)
|
Effective July 1, 2023, the expense limit decreased from 0.38% to 0.35%.
|
(i)
|
Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.
|
|
Natixis Vaughan Nelson Mid Cap ETF
|
||||
|
Six Months
Ended
June 30,
2024
(Unaudited)
|
Year Ended
December 31,
2023
|
Year Ended
December 31,
2022
|
Year Ended
December 31,
2021
|
Period Ended
December 31,
2020*
|
Net asset value, beginning of the period
|
$32.70
|
$28.27
|
$32.93
|
$29.87
|
$25.17
|
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
|
|||||
Net investment income(a)
|
0.08
|
0.15
|
0.24
|
0.18
|
0.04
|
Net realized and unrealized gain (loss)
|
1.89
|
4.63
|
(3.68
)
|
6.21
|
4.72
|
Total from Investment Operations
|
1.97
|
4.78
|
(3.44
)
|
6.39
|
4.76
|
LESS DISTRIBUTIONS FROM:
|
|||||
Net investment income
|
(0.01
)
|
(0.35
)
|
(0.29
)
|
(0.21
)
|
(0.04
)
|
Net realized capital gains
|
-
|
-
|
(0.93
)
|
(3.12
)
|
(0.02
)
|
Total Distributions
|
(0.01
)
|
(0.35
)
|
(1.22
)
|
(3.33
)
|
(0.06
)
|
Net asset value, end of the period
|
$34.66
|
$32.70
|
$28.27
|
$32.93
|
$29.87
|
Total return(b)
|
6.01
%(c)
|
16.91
%
|
(10.64
)%
|
21.47
%
|
18.91
%(c)
|
RATIOS TO AVERAGE NET ASSETS:
|
|||||
Net assets, end of the period (000's)
|
$4,173
|
$3,610
|
$7,078
|
$8,905
|
$7,779
|
Net expenses(d)
|
0.85
%(e)
|
0.85
%
|
0.85
%
|
0.87
%(f)
|
0.90
%(e)
|
Gross expenses
|
4.53
%(e)
|
3.30
%
|
2.76
%
|
2.39
%
|
4.53
%(e)
|
Net investment income
|
0.45
%(e)
|
0.52
%
|
0.81
%
|
0.54
%
|
0.53
%(e)
|
Portfolio turnover rate(g)
|
57
%
|
82
%
|
55
%
|
72
%
|
10
%
|
*
|
From commencement of operations on September 16, 2020 through December 31, 2020.
|
(a)
|
Per share net investment income has been calculated using the average shares outstanding during the period.
|
(b)
|
Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during
the period, total returns would have been lower.
|
(c)
|
Periods less than one year are not annualized.
|
(d)
|
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund's expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
|
(e)
|
Computed on an annualized basis for periods less than one year.
|
(f)
|
Effective July 1, 2021, the expense limit decreased from 0.90% to 0.85%.
|
(g)
|
Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.
|
|
Natixis Vaughan Nelson Select ETF
|
||||
|
Six Months
Ended
June 30,
2024
(Unaudited)
|
Year Ended
December 31,
2023
|
Year Ended
December 31,
2022
|
Year Ended
December 31,
2021
|
Period Ended
December 31,
2020*
|
Net asset value, beginning of the period
|
$30.74
|
$25.15
|
$32.01
|
$27.42
|
$24.86
|
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
|
|||||
Net investment income (loss)(a)
|
(0.02
)
|
0.07
|
0.09
|
0.21
(b)
|
0.02
|
Net realized and unrealized gain (loss)
|
2.15
|
5.58
|
(5.19
)
|
10.68
|
2.56
|
Total from Investment Operations
|
2.13
|
5.65
|
(5.10
)
|
10.89
|
2.58
|
LESS DISTRIBUTIONS FROM:
|
|||||
Net investment income
|
(0.00
)(c)
|
(0.06
)
|
(0.08
)
|
(0.29
)
|
(0.02
)
|
Net realized capital gains
|
-
|
-
|
(1.68
)
|
(6.01
)
|
-
|
Total Distributions
|
(0.00
)
|
(0.06
)
|
(1.76
)
|
(6.30
)
|
(0.02
)
|
Net asset value, end of the period
|
$32.87
|
$30.74
|
$25.15
|
$32.01
|
$27.42
|
Total return(d)
|
6.93
%(e)
|
22.48
%
|
(16.59
)%
|
39.60
%(b)
|
10.37
%(e)
|
RATIOS TO AVERAGE NET ASSETS:
|
|||||
Net assets, end of the period (000's)
|
$33,210
|
$31,984
|
$11,831
|
$6,415
|
$6,043
|
Net expenses(f)
|
0.80
%(g)
|
0.80
%
|
0.80
%
|
0.83
%(h)
|
0.85
%(g)
|
Gross expenses
|
1.29
%(g)
|
1.44
%
|
2.57
%
|
3.08
%
|
4.95
%(g)
|
Net investment income (loss)
|
(0.13
)%(g)
|
0.25
%
|
0.35
%
|
0.65
%(b)
|
0.24
%(g)
|
Portfolio turnover rate(i)
|
40
%
|
47
%
|
55
%
|
88
%
|
16
%
|
*
|
From commencement of operations on September 16, 2020 through December 31, 2020.
|
(a)
|
Per share net investment income (loss) has been calculated using the average shares outstanding during the period.
|
(b)
|
Includes a non-recurring dividend. Without this dividend, net investment income per share would have been $0.02, total return would have been 38.99% and the ratio
of net investment income to average net assets would have been 0.07%.
|
(c)
|
Amount rounds to less than $0.01 per share.
|
(d)
|
Total return is calculated at net asset value assuming reinvestment of dividends and capital gains, if any. Had certain expenses not been waived/reimbursed during
the period, total returns would have been lower.
|
(e)
|
Periods less than one year are not annualized.
|
(f)
|
The investment adviser agreed to waive its fees and/or reimburse a portion of the Fund's expenses during the period. Without this waiver/reimbursement, expenses
would have been higher.
|
(g)
|
Computed on an annualized basis for periods less than one year.
|
(h)
|
Effective July 1, 2021, the expense limit decreased from 0.85% to 0.80%.
|
(i)
|
Portfolio turnover rate excludes securities received or delivered from in-kind processing of creations or redemptions.
|
|
2023 Distributions
|
||
Fund
|
Ordinary
Income
|
Long-Term
Capital
Gains
|
Total
|
Quality Income ETF
|
$126,036
|
$-
|
$126,036
|
Focused Growth ETF
|
1,785
|
-
|
1,785
|
Short Duration Income ETF
|
1,104,265
|
-
|
1,104,265
|
Mid Cap ETF
|
39,071
|
-
|
39,071
|
Select ETF
|
65,857
|
-
|
65,857
|
|
Quality Income ETF
|
Focused Growth ETF
|
Short Duration
Income ETF
|
Mid Cap ETF
|
Select ETF
|
Capital loss carryforward:
|
|||||
Short-term:
|
|||||
No expiration date
|
$-
|
$-
|
$(1,473,813
)
|
$(510,837
)
|
$(938,479
)
|
Long-term:
|
|||||
No expiration date
|
-
|
-
|
(688,941
)
|
(313,135
)
|
(566,191
)
|
Total capital loss carryforward*
|
$-
|
$-
|
$(2,162,754
)
|
$(823,972
)
|
$(1,504,670
)
|
*
|
Under Section 382 of the Internal Revenue Service Code, a portion of the capital loss carryforward for Short Duration Income ETF and Select ETF is subject to certain
limitations upon availability, to offset future capital gains, if any.
|
|
Quality Income ETF
|
Focused Growth ETF
|
Short Duration
Income ETF
|
Mid Cap ETF
|
Select ETF
|
Federal tax cost
|
$96,208,502
|
$160,539,087
|
$16,999,098
|
$3,750,852
|
$27,597,328
|
Gross tax appreciation
|
$8,713,449
|
$19,175,289
|
$49,500
|
$542,919
|
$6,569,457
|
Gross tax depreciation
|
(2,573,646
)
|
(5,415,591
)
|
(143,522
)
|
(74,855
)
|
(720,932
)
|
Net tax appreciation (depreciation)
|
$6,139,803
|
$13,759,698
|
$(94,022
)
|
$468,064
|
$5,848,525
|
Quality Income ETF
|
||||
Asset Valuation Inputs
|
||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Common Stocks(a)
|
$92,602,608
|
$-
|
$-
|
$92,602,608
|
Equity-Linked Notes
|
-
|
9,456,023
|
-
|
9,456,023
|
Short-Term Investments
|
-
|
289,674
|
-
|
289,674
|
Total Investments
|
$92,602,608
|
$9,745,697
|
$-
|
$102,348,305
|
(a)
|
Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.
|
Focused Growth ETF
|
||||
Asset Valuation Inputs
|
||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Common Stocks(a)
|
$173,761,042
|
$-
|
$-
|
$173,761,042
|
Short-Term Investments
|
-
|
537,743
|
-
|
537,743
|
Total Investments
|
$173,761,042
|
$537,743
|
$-
|
$174,298,785
|
(a)
|
Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.
|
Short Duration Income ETF
|
||||
Asset Valuation Inputs
|
||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Bonds and Notes
|
||||
Collateralized Mortgage Obligations
|
$-
|
$55,873
|
$6,237
|
$62,110
|
All Other Bonds and Notes(a)
|
-
|
16,590,354
|
-
|
16,590,354
|
Total Bonds and Notes
|
-
|
16,646,227
|
6,237
|
16,652,464
|
Short-Term Investments
|
-
|
254,878
|
-
|
254,878
|
Total Investments
|
-
|
16,901,105
|
6,237
|
16,907,342
|
Futures Contracts (unrealized appreciation)
|
6,717
|
-
|
-
|
6,717
|
Total
|
$6,717
|
$16,901,105
|
$6,237
|
$16,914,059
|
|
||||
Liability Valuation Inputs
|
||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Futures Contracts (unrealized depreciation)
|
$(8,983
)
|
$-
|
$-
|
$(8,983
)
|
(a)
|
Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.
|
Mid Cap ETF
|
||||
Asset Valuation Inputs
|
||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Common Stocks(a)
|
$4,145,409
|
$-
|
$-
|
$4,145,409
|
Short-Term Investments
|
-
|
73,507
|
-
|
73,507
|
Total Investments
|
$4,145,409
|
$73,507
|
$-
|
$4,218,916
|
(a)
|
Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.
|
Select ETF
|
||||
Asset Valuation Inputs
|
||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Common Stocks(a)
|
$32,422,652
|
$-
|
$-
|
$32,422,652
|
Short-Term Investments
|
-
|
1,023,201
|
-
|
1,023,201
|
Total Investments
|
$32,422,652
|
$1,023,201
|
$-
|
$33,445,853
|
(a)
|
Details of the major categories of the Fund's investments are reflected within the Portfolio of Investments.
|
Short Duration Income ETF
|
||||||||||
Asset Valuation Inputs
|
||||||||||
Investments in
Securities
|
Balance as of
December 31,
2023
|
Accrued
Discounts
(Premiums)
|
Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation
(Depreciation)
|
Purchases
|
Sales
|
Transfers
into
Level 3
|
Transfers
out of
Level 3
|
Balance as of
June 30,
2024
|
Change in
Unrealized
Appreciation
(Depreciation)
from
Investments
Still Held at
June 30,
2024
|
Bonds and Notes
|
||||||||||
Collateralized
Mortgage
Obligations
|
$15,930
|
$-
|
$-
|
$178
|
$83
|
$(9,954
)
|
$-
|
$-
|
$6,237
|
$(16
)
|
Assets
|
Unrealized
appreciation
on futures
contracts1
|
Exchange-traded asset derivatives
|
|
Interest rate contracts
|
$6,717
|
Liabilities
|
Unrealized
depreciation
on futures
contracts1
|
Exchange-traded liability derivatives
|
|
Interest rate contracts
|
$(8,983
)
|
1
|
Represents cumulative unrealized appreciation (depreciation) on futures contracts. Only the current day's variation margin on futures contracts is reported within the
Statements of Assets and Liabilities as receivable or payable for variation margin, as applicable.
|
Net Realized Gain (Loss) on:
|
Futures
contracts
|
Interest rate contracts
|
$4,388
|
Net Change in Unrealized
Appreciation (Depreciation) on:
|
Futures
contracts
|
Interest rate contracts
|
$(4,901
)
|
Short Duration Income ETF
|
Futures
|
Average Notional Amount Outstanding
|
20.22
%
|
Highest Notional Amount Outstanding
|
24.39
%
|
Lowest Notional Amount Outstanding
|
16.67
%
|
Notional Amount Outstanding as of June 30, 2024
|
19.40
%
|
|
U.S. Government/
Agency Securities
|
Other Securities
|
||
Fund
|
Purchases
|
Sales
|
Purchases
|
Sales
|
Quality Income ETF
|
$-
|
$-
|
$32,451,420
|
$16,896,706
|
Focused Growth ETF
|
-
|
-
|
353,933
|
1,470,043
|
Short Duration Income ETF
|
9,780,576
|
13,287,482
|
11,234,389
|
11,099,098
|
Mid Cap ETF
|
-
|
-
|
2,259,460
|
2,304,934
|
Select ETF
|
-
|
-
|
12,992,633
|
13,292,488
|
Fund
|
In-Kind
Purchases
|
In-Kind
Sales
|
Quality Income ETF
|
$55,898,721
|
$23,158,499
|
Focused Growth ETF
|
155,969,663
|
-
|
Mid Cap ETF
|
723,959
|
350,573
|
Select ETF
|
2,537,087
|
3,507,508
|
|
Percentage of Average Daily Net Assets
|
|
Fund
|
First
$1.5 billion
|
Over
$1.5 billion
|
Quality Income ETF
|
0.24
%
|
0.24
%
|
Focused Growth ETF
|
0.50
%
|
0.50
%
|
Short Duration Income ETF
|
0.30
%
|
0.30
%
|
Mid Cap ETF
|
0.75
%
|
0.70
%
|
Select ETF
|
0.70
%
|
0.70
%
|
|
|
Quality Income ETF
|
Gateway Investment Advisers, LLC ("Gateway Advisers")
|
Focused Growth ETF
|
Loomis, Sayles & Company, L.P. ("Loomis Sayles")
|
Short Duration Income ETF
|
Loomis Sayles
|
Mid Cap ETF
|
Vaughan Nelson Investment Management, L.P. ("Vaughan Nelson")
|
Select ETF
|
Vaughan Nelson
|
|
|
Percentage of Average
Daily Net Assets
|
|
Fund
|
Subadviser
|
First
$1.5 billion
|
Over
$1.5 billion
|
Quality Income ETF
|
Gateway Advisers
|
0.12
%
|
0.12
%
|
Focused Growth ETF
|
Loomis Sayles
|
0.25
%
|
0.25
%
|
Short Duration Income ETF
|
Loomis Sayles
|
0.15
%
|
0.15
%
|
Mid Cap ETF
|
Vaughan Nelson
|
0.47
%
|
0.44
%
|
Select ETF
|
Vaughan Nelson
|
0.47
%
|
0.47
%
|
|
|
Fund
|
Expense Limit as a Percentage of
Average Daily Net Assets
|
Quality Income ETF
|
0.34
%
|
Focused Growth ETF
|
0.59
%
|
Short Duration Income ETF
|
0.35
%
|
Mid Cap ETF
|
0.85
%
|
Select ETF
|
0.80
%
|
|
Gross
Management
Fees
|
Contractual
Waivers of
Management
Fees1
|
Net
Management
Fees
|
Percentage of
Average
Daily Net Assets
|
|
Fund
|
Gross
|
Net
|
|||
Quality Income ETF
|
$89,966
|
$89,966
|
$-
|
0.24
%
|
-
%
|
Focused Growth ETF
|
251,562
|
103,660
|
147,902
|
0.50
%
|
0.29
%
|
Short Duration Income ETF
|
28,150
|
28,150
|
-
|
0.30
%
|
-
%
|
Mid Cap ETF
|
14,971
|
14,971
|
-
|
0.75
%
|
-
%
|
Select ETF
|
115,376
|
81,288
|
34,088
|
0.70
%
|
0.21
%
|
1
|
Management fee waivers are subject to possible recovery until December 31, 2025.
|
Fund
|
Reimbursements1
|
Quality Income ETF
|
$12,697
|
Short Duration Income ETF
|
69,705
|
Mid Cap ETF
|
58,461
|
1
|
Expense reimbursement is subject to possible recovery until December 31, 2025.
|
Fund
|
Administrative
Fees
|
Quality Income ETF
|
$16,854
|
Focused Growth ETF
|
22,544
|
Short Duration Income ETF
|
4,238
|
Mid Cap ETF
|
896
|
Select ETF
|
7,431
|
|
Percentage of
Net Assets
|
Quality Income ETF
|
|
Natixis Investment Managers, LLC
|
43.27
%
|
Focused Growth ETF
|
|
Natixis Investment Managers, LLC
|
3.87
%
|
Loomis Sayles Growth Fund
|
82.93
%
|
|
86.80
%
|
Mid Cap ETF
|
|
Natixis Investment Managers, LLC
|
21.16
%
|
|
||||
|
Six Months Ended
June 30, 2024
|
Period Ended
December 31, 2023(a)
|
||
Quality Income ETF
|
Shares
|
Amount
|
Shares
|
Amount
|
Issued from the sale of shares
|
1,540,000
|
$80,922,842
|
810,000
|
$40,500,000
|
Redeemed
|
(440,000
)
|
(23,162,236
)
|
-
|
-
|
Increase from capital share transactions
|
1,100,000
|
$57,760,606
|
810,000
|
$40,500,000
|
(a)
|
From commencement of operations on December 12, 2023 through December 31, 2023.
|
|
||||
|
Six Months Ended
June 30, 2024
|
Period Ended
December 31, 2023(a)
|
||
Focused Growth ETF
|
Shares
|
Amount
|
Shares
|
Amount
|
Issued from the sale of shares
|
4,960,000
|
$156,719,813
|
210,000
|
$5,250,000
|
Increase from capital share transactions
|
4,960,000
|
$156,719,813
|
210,000
|
$5,250,000
|
(a)
|
From commencement of operations on June 28, 2023 through December 31, 2023.
|
|
||||
|
Six Months Ended
June 30, 2024
|
Year Ended
December 31, 2023
|
||
Short Duration Income ETF
|
Shares
|
Amount
|
Shares
|
Amount
|
Issued from the sale of shares
|
50,000
|
$1,197,700
|
100,000
|
$2,370,421
|
Redeemed
|
(200,000
)
|
(4,784,971
)
|
(800,000
)
|
(18,861,961
)
|
Decrease from capital share transactions
|
(150,000
)
|
$(3,587,271
)
|
(700,000
)
|
$(16,491,540
)
|
|
||||
|
Six Months Ended
June 30, 2024
|
Year Ended
December 31, 2023
|
||
Mid Cap ETF
|
Shares
|
Amount
|
Shares
|
Amount
|
Issued from the sale of shares
|
20,000
|
$722,199
|
10,000
|
$289,302
|
Redeemed
|
(10,000
)
|
(354,492
)
|
(150,000
)
|
(4,472,282
)
|
Increase (decrease) from capital share transactions
|
10,000
|
$367,707
|
(140,000
)
|
$(4,182,980
)
|
|
||||
|
Six Months Ended
June 30, 2024
|
Year Ended
December 31, 2023
|
||
Select ETF
|
Shares
|
Amount
|
Shares
|
Amount
|
Issued from the sale of shares
|
80,000
|
$2,572,949
|
870,000
|
$24,109,176
|
Redeemed
|
(110,000
)
|
(3,574,581
)
|
(300,000
)
|
(8,764,508
)
|
Increase (decrease) from capital share transactions
|
(30,000
)
|
$(1,001,632
)
|
570,000
|
$15,344,668
|
|
One-Year
|
Three-Year
|
Five-Year
|
Natixis Loomis Sayles Short Duration Income ETF
|
67%
|
40%
|
38%
|
Natixis Vaughan Nelson Mid Cap ETF
|
50%
|
50%
|
N/A
|
Natixis Vaughan Nelson Select ETF
|
50%
|
1%
|
N/A
|
Item 8. Changes in and Disagreements with Accountants for Open-EndManagement Investment Companies
Not applicable.
Item 9. Proxy Disclosures for Open-EndManagement Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-EndManagement Investment Companies.
The remuneration paid to Directors and Officers are incorporated by reference as part of the Financial Statements and Other Important Information for Open-EndManagement Investment Companies filed as Item 7 herewith.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
The statements regarding basis for approval of investment advisory contracts are incorporated by reference as part of the Financial Statements and Other Important Information for Open-EndManagement Investment Companies filed as Item 7 herewith.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-EndManagement Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-EndManagement Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-EndManagement Investment Companies and Affiliated Purchasers.
Not applicable.
Item 15. Submission of Matters to a Vote of Securities Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant's Board of Trustees.
Item 16. Controls and Procedures.
The Registrant's principal executive officer and principal financial officer have concluded that the Registrant's disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Registrant in this Form N-CSRwas recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms, based upon such officers' evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the Registrant's internal control over financial reporting that occurred during the period covered by the report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-EndManagement Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
(a) (1) |
Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. Not Applicable. |
(a) (2) |
Any policy required by the listing standards adopted pursuant to Rule 10D-1under the Exchange Act by the registered national securities exchange or registered national securities association upon which the registrants securities are listed. Not Applicable. |
(a) (3) |
A separate certification for each principal executive and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) is filed herewith. |
(a) (3)(1) |
Any written solicitation to purchase securities under Rule 23c-1under the Act (17 CFR 270.23c-1)sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not Applicable |
(a) (3)(2) |
Changes in the registrant's independent public accountant. Not Applicable |
(b) |
Certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) is filed herewith. |
(101) |
Inline Interactive Data File-theinstance document does not appear in the Interactive Data File because its XBRL tags are embedded within the inline XBRL document. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Natixis ETF Trust II |
||
By: /s/ David L. Giunta |
||
Name: |
David L. Giunta |
|
Title: |
President and Chief Executive Officer | |
Date: |
August 21, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: /s/ David L. Giunta |
||
Name: |
David L. Giunta |
|
Title: |
President and Chief Executive Officer |
|
Date: |
August 21, 2024 |
|
By: /s/ Matthew J. Block |
||
Name: |
Matthew J. Block |
|
Title: |
Treasurer and Principal Financial and Accounting Officer |
|
Date: |
August 21, 2024 |