State Street Global Advisors Trust Company State Street Russell All

State Street Global Advisors Trust Company State Street Russell All Cap® Index Securities Lending Series Fund State Street Russell All Cap® Index Non-Lending Series Fund Combined Financial Statements December 31, 2019

Report of Independent Auditors

To the Trustee of State Street Russell All Cap® Index Securities Lending Series Fund and State Street Russell All Cap® Index Non-Lending Series Fund

We have audited the accompanying combined financial statements of State Street Russell All Cap® Index Securities Lending Series Fund and State Street Russell All Cap® Index Non-Lending Series Fund (the "Fund"), which comprise the combined statement of assets and liabilities, including the combined schedule of investments, as of December 31, 2019 and the related combined statements of operations and of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "combined financial statements."

Management's Responsibility for the Combined Financial Statements

Management is responsible for the preparation and fair presentation of the combined financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of combined financial statements that are free from material misstatement, whether due to fraud or error.

Auditors' Responsibility

Our responsibility is to express an opinion on the combined financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the combined financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the combined financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the combined financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund’s preparation and fair presentation of the combined financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the combined financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Opinion

In our opinion, the combined financial statements referred to above present fairly, in all material respects, the financial position of State Street Russell All Cap® Index Securities Lending Series Fund and State Street Russell All Cap® Index Non-Lending Series Fund as of December 31, 2019, and the results of their operations, changes in their net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America.

March 20, 2020

PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA 02210 T: (617) 530 5000, F: (617) 530 5001, www.pwc.com/us

Assets Investments in securities, at value (including securities on loan of $49,655,883) $ 11,448,942,025 (cost $7,407,142,905) Investment in State Street Cash Collateral Fund (cost $24,428,255) 24,428,255 Cash, segregated 12,433,049 Foreign currency, at value (cost $19) 19 Receivable for Fund units issued 2,514,482 Receivable for investments sold 302,436,953 Variation margin receivable 510,665 Dividends receivable 12,179,449 Interest receivable 367,724 Total assets 11,803,812,621

Liabilities Due to custodian 97,686,134 Due to Trustee 3,907 Payable for collateral on securities loaned 24,428,255 Payable for Fund units redeemed 42,426,239 Management fees payable 2,640 Administration fees payable 110,346 Total liabilities 164,657,521 Net Assets, at value $ 11,639,155,100

The accompanying notes are an integral part of these combined financial statements. 2

Lending Fund State Street Russell All Cap® Index Securities Lending Series Fund - Class I (30,778,610 units outstanding, at $62.97 per unit net asset value) $ 1,938,239,895

Non-Lending Fund State Street Russell All Cap® Index Non-Lending Series Fund - Class A (188,354,627 units outstanding, at $49.43 per unit net asset value) $ 9,309,699,532 State Street Russell All Cap® Index Non-Lending Series Fund - Class C (8,841,514 units outstanding, at $44.25 per unit net asset value) 391,215,673 Total Non-Lending Net Assets $ 9,700,915,205 Total Net Assets $ 11,639,155,100

The accompanying notes are an integral part of these combined financial statements. 3

Investment income Dividends $ 196,686,136 Interest 3,961,255 Securities lending fee income (net of related expenses), allocated to the Lending Fund 199,625 Total investment income 200,847,016

Expenses Management fees 39,100 Administration fees 1,093,099 Service fees 94,169 Audit fees 37,500 Other expenses 6,584 Total expenses 1,270,452

Net investment income (loss) 199,576,564

Net realized and unrealized gain (loss): Net realized gain (loss): Investments 661,025,896 Foreign currency transactions (6,378) Futures contracts 28,487,797 689,507,315 Net change in unrealized appreciation (depreciation): Investments 1,830,708,740 Futures contracts 8,041,424 1,838,750,164 Net realized and unrealized gain (loss) 2,528,257,479 Net increase (decrease) in net assets resulting from operations $ 2,727,834,043

The accompanying notes are an integral part of these combined financial statements. 4

From operations Net investment income (loss) $ 199,576,564 Net realized gain (loss) 689,507,315 Net change in unrealized appreciation (depreciation) 1,838,750,164 Net increase (decrease) in net assets resulting from operations 2,727,834,043 Net increase (decrease) in net assets resulting from participant transactions 447,130,561 Net increase (decrease) in net assets 3,174,964,604 Net Assets Beginning of year 8,464,190,496 End of year $ 11,639,155,100

The accompanying notes are an integral part of these combined financial statements. 5

Year Ended December 31, 2019 Units Amount Units of Participation Participant transactions for the Fund were as follows: Lending Fund Class I Units issued 5,063,560 $ 273,046,926 Units redeemed (2,614,993) (148,076,118) 2,448,567 124,970,808 Non-Lending Fund Class A Units issued 88,399,314 $ 3,995,297,390 Units redeemed (84,449,339) (3,851,548,759) 3,949,975 143,748,631 Class C Units issued 12,892,529 $ 514,065,260 Units redeemed (8,360,259) (335,654,138) 4,532,270 178,411,122 322,159,753 Net increase (decrease) $ 447,130,561

The accompanying notes are an integral part of these combined financial statements. 6

State Street Global Advisors Trust Company State Street Russell All Cap® Index Securities Lending Series Fund - Class I Financial Highlights Year Ended December 31, 2019 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 48.06 Net investment income (loss)1 1.10 Net realized and unrealized gain (loss) 13.81 Total from investment operations 14.91 Net asset value, end of year $ 62.97 Total return (%)2 31.03 Ratios to Average Net Assets3 Ratio of expenses (%)4 0.012 Ratio of net investment income (loss) (%) 1.954

1 Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 2 Calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the percentage change in the net asset value per unit between the beginning and end of the year. The calculation includes only those expenses charged directly to the Class. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. 3 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the fund(s) in which the Fund invests (indirect expenses) (Note 2). 4 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses.

The accompanying notes are an integral part of these combined financial statements. 7

State Street Global Advisors Trust Company State Street Russell All Cap® Index Non-Lending Series Fund - Class A Financial Highlights Year Ended December 31, 2019 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 37.73 Net investment income (loss)1 0.86 Net realized and unrealized gain (loss) 10.84 Total from investment operations 11.70 Net asset value, end of year $ 49.43 Total return (%)2 31.01 Ratios to Average Net Assets3 Ratio of expenses (%)4 0.012 Ratio of net investment income (loss) (%) 1.941

The accompanying notes are an integral part of these combined financial statements. 8

State Street Global Advisors Trust Company State Street Russell All Cap® Index Non-Lending Series Fund - Class C Financial Highlights Year Ended December 31, 2019 (For a Unit of Participation Outstanding Throughout the Year)

Selected Per Unit Data Net asset value, beginning of year $ 33.78 Net investment income (loss)1 0.77 Net realized and unrealized gain (loss) 9.70 Total from investment operations 10.47 Net asset value, end of year $ 44.25 Total return (%)2 30.98 Ratios to Average Net Assets3 Ratio of expenses (%)4 0.029 Ratio of net investment income (loss) (%) 1.906

The accompanying notes are an integral part of these combined financial statements. 9

Value Common Stock - 100.0% Shares ($)

Aerospace & Defense - 2.3% AAR Corp. 10,900 491,590 Aerojet Rocketdyne Holdings Inc. 25,423 1,160,814 AeroVironment Inc. 6,765 417,671 Arconic Inc. 147,026 4,523,990 Astronics Corp. 9,166 256,190 Axon Enterprise Inc. 21,368 1,565,847 Boeing Co. 190,036 61,906,127 BWX Technologies Inc. 35,289 2,190,741 Cubic Corp. 11,476 729,529 Curtiss-Wright Corp. 15,537 2,189,008 Ducommun Inc. 3,963 200,250 General Dynamics Corp. 90,555 15,969,374 HEICO Corp. 14,317 1,634,286 HEICO Corp. 28,082 2,514,181 Hexcel Corp. 30,686 2,249,591 Huntington Ingalls Industries Inc. 14,895 3,736,858 Kratos Defense & Security Solutions Inc. 31,031 558,868 L3Harris Technologies Inc. 78,384 15,509,842 Lockheed Martin Corp. 88,543 34,476,873 Maxar Technologies Inc. 21,800 341,606 Mercury Systems Inc. 19,913 1,376,187 Moog Inc. 11,741 1,001,860 National Presto Industries Inc. 1,645 145,402 Northrop Grumman Corp. 56,355 19,384,429 Park Aerospace Corp. 6,364 103,542 Parsons Corp. 11,800 487,104 Raytheon Co. 99,758 21,920,823 Spirit AeroSystems Holdings Inc. 39,162 2,854,127 Teledyne Technologies Inc. 13,122 4,547,298 Textron Inc. 77,752 3,467,739 TransDigm Group Inc. 18,062 10,114,720 Triumph Group Inc. 17,942 453,394 United Technologies Corp. 290,860 43,559,194 Vectrus Inc. 3,379 173,208

The accompanying notes are an integral part of these combined financial statements. 10

Value Common Stock - 100.0% Shares ($)

Wesco Aircraft Holdings Inc. 16,607 183,009 262,395,272

Air Freight & Logistics - 0.5% Air Transport Services Group Inc. 21,486 504,062 Atlas Air Worldwide Holdings Inc. 7,798 214,991 CH Robinson Worldwide Inc. 49,565 3,875,983 Echo Global Logistics Inc. 9,586 198,430 Expeditors International of Washington Inc. 58,733 4,582,349 FedEx Corp. 85,309 12,899,574 Forward Air Corp. 9,592 670,960 Hub Group Inc. 10,595 543,418 Radiant Logistics Inc. 15,900 88,563 United Parcel Service Inc. 249,761 29,237,023 XPO Logistics Inc. 32,961 2,626,992 55,442,345

Airlines - 0.4% Alaska Air Group Inc. 44,558 3,018,805 Allegiant Travel Co. 4,763 828,953 American Airlines Group Inc. 146,868 4,212,174 Copa Holdings SA 11,607 1,254,485 Delta Air Lines Inc. 203,430 11,896,586 Hawaiian Holdings Inc. 16,439 481,498 JetBlue Airways Corp. 109,043 2,041,285 Mesa Air Group Inc. 7,850 70,179 SkyWest Inc. 18,277 1,181,243 Southwest Airlines Co. 166,070 8,964,459 Spirit Airlines Inc. 23,497 947,164 United Airlines Holdings Inc. 80,769 7,114,941 42,011,772

Auto Components - 0.2% Adient PLC 31,609 671,691 American Axle & Manufacturing Holdings Inc. 41,052 441,720 Aptiv PLC 94,739 8,997,363 BorgWarner Inc. 76,937 3,337,527

The accompanying notes are an integral part of these combined financial statements. 11

Value Common Stock - 100.0% Shares ($)

Cooper Tire & Rubber Co. 16,334 469,603 Cooper-Standard Holdings Inc. 5,926 196,506 Dana Inc. 52,823 961,379 Dorman Products Inc. 10,312 780,825 Fox Factory Holding Corp. 13,791 959,440 Gentex Corp. 94,020 2,724,700 Gentherm Inc. 10,971 487,003 Goodyear Tire & Rubber Co. 84,222 1,310,073 LCI Industries 8,970 960,956 Lear Corp. 22,440 3,078,768 Modine Manufacturing Co. 16,217 124,871 Motorcar Parts of America Inc. 6,101 134,405 Standard Motor Products Inc. 6,863 365,249 Stoneridge Inc. 9,213 270,125 Tenneco Inc. 17,287 226,460 Visteon Corp. 9,543 826,328 27,324,992

Automobiles - 0.5% Ford Motor Co. 1,439,406 13,386,476 General Motors Co. 440,810 16,133,646 Harley-Davidson Inc. 56,828 2,113,433 Tesla Inc. 51,721 21,636,446 Thor Industries Inc. 19,502 1,448,804 Winnebago Industries Inc. 10,678 565,720 55,284,525

Banks - 5.8% 1st Source Corp. 5,525 286,637 ACNB Corp. 2,566 97,046 Allegiance Bancshares Inc. 7,156 269,066 Amalgamated Bank 5,268 102,463 Amerant Bancorp Inc. 7,334 159,808 American National Bankshares Inc. 3,959 156,658 Ameris Bancorp. 21,730 924,394 Ames National Corp. 3,315 93,019 Arrow Financial Corp. 3,312 125,194

The accompanying notes are an integral part of these combined financial statements. 12

Value Common Stock - 100.0% Shares ($)

Associated Banc-Corp. 56,520 1,245,701 Atlantic Capital Bancshares Inc. 6,000 110,100 Atlantic Union Bankshares Corp. 29,868 1,121,543 Banc of California Inc. 16,701 286,923 BancFirst Corp. 6,818 425,716 Bancorp Inc. 18,616 241,450 BancorpSouth Bank. 35,063 1,101,329 Bank First Corp. 2,169 151,852 Bank of America Corp. 2,926,829 103,082,917 Bank of Commerce Holdings 6,507 75,286 Bank of Hawaii Corp. 14,823 1,410,557 Bank of Marin Bancorp. 4,478 201,734 Bank of NT Butterfield & Son Ltd. 20,031 741,548 Bank OZK 44,781 1,366,044 BankFinancial Corp. 7,664 100,245 BankUnited Inc. 35,943 1,314,076 Bankwell Financial Group Inc. 400 11,536 Banner Corp. 12,469 705,621 Bar Harbor Bankshares 5,699 144,698 Baycom Corp. 4,132 93,962 BCB Bancorp Inc. 5,268 72,646 Berkshire Hills Bancorp Inc. 17,167 564,451 BOK Financial Corp. 11,928 1,042,507 Boston Private Financial Holdings Inc. 30,478 366,650 Bridge Bancorp Inc. 5,900 197,827 Brookline Bancorp Inc. 28,854 474,937 Bryn Mawr Bank Corp. 7,332 302,372 Business First Bancshares Inc. 4,732 117,969 Byline Bancorp Inc. 8,682 169,907 C&F Financial Corp. 300 16,599 Cadence BanCorp. 44,756 811,426 Cambridge Bancorp. 900 72,135 Camden National Corp. 4,216 194,189 Capital City Bank Group Inc. 5,032 153,476 Capstar Financial Holdings Inc. 2,400 39,960 Carolina Financial Corp. 7,135 308,446 Carter Bank & Trust 13,900 329,708

The accompanying notes are an integral part of these combined financial statements. 13

Value Common Stock - 100.0% Shares ($)

Cathay General Bancorp. 26,793 1,019,474 CBTX Inc. 4,898 152,426 CenterState Bank Corp. 43,352 1,082,933 Central Pacific Financial Corp. 8,568 253,441 Central Valley Community Bancorp. 4,338 94,004 Century Bancorp Inc. 738 66,390 CIT Group Inc. 37,947 1,731,522 Citigroup Inc. 783,661 62,606,677 Citizens & Northern Corp. 2,958 83,564 Citizens Financial Group Inc. 150,757 6,122,242 City Holding Co. 5,117 419,338 Civista Bancshares Inc. 5,728 137,472 CNB Financial Corp. 4,571 149,380 Codorus Valley Bancorp Inc. 2,415 55,617 Colonial BancGroup Inc.1 22,094 0 Columbia Banking System Inc. 25,110 1,021,600 Comerica Inc. 55,508 3,982,699 Commerce Bancshares Inc. 38,484 2,614,617 Community Bank System Inc. 18,572 1,317,498 Community Bankers Trust Corp. 1,400 12,432 Community Financial Corp. 300 10,671 Community Trust Bancorp Inc. 5,311 247,705 ConnectOne Bancorp Inc. 12,155 312,627 Cullen/Frost Bankers Inc. 20,251 1,980,143 Customers Bancorp Inc. 8,013 190,790 CVB Financial Corp. 49,090 1,059,362 Eagle Bancorp Inc. 11,342 551,561 East West Bancorp Inc. 53,318 2,596,587 Enterprise Bancorp Inc. 3,365 113,973 Enterprise Financial Services Corp. 7,625 367,601 Equity Bancshares Inc. 4,241 130,920 Evans Bancorp Inc. 400 16,040 Farmers & Merchants Bancorp Inc. 2,100 63,315 Farmers National Banc Corp. 7,831 127,802 FB Financial Corp. 6,279 248,586 Fidelity D&D Bancorp Inc. 1,033 64,263 Fifth Third Bancorp. 247,643 7,612,546

The accompanying notes are an integral part of these combined financial statements. 14

Value Common Stock - 100.0% Shares ($)

Financial Institutions Inc. 4,539 145,702 First Bancorp Inc. 3,612 109,191 First Bancorp. 10,761 429,472 First BanCorp. 77,032 815,769 First Bancshares Inc. 4,787 170,034 First Bank 6,301 69,626 First Busey Corp. 19,123 525,883 First Business Financial Services Inc. 1,800 47,394 First Capital Inc. 900 65,700 First Choice Bancorp. 3,822 103,041 First Citizens BancShares Inc. 2,871 1,527,975 First Commonwealth Financial Corp. 36,017 522,607 First Community Bankshares Inc. 5,782 179,358 First Financial Bancorp. 31,225 794,364 First Financial Bankshares Inc. 51,138 1,794,944 First Financial Corp. 6,959 318,165 First Foundation Inc. 14,642 254,771 First Hawaiian Inc. 47,855 1,380,617 First Horizon National Corp. 114,751 1,900,277 First Internet Bancorp. 2,700 64,017 First Interstate BancSystem Inc. 13,992 586,545 First Merchants Corp. 18,467 768,043 First Mid Bancshares Inc. 5,386 189,857 First Midwest Bancorp Inc. 39,076 901,093 First Northwest Bancorp. 600 10,878 First of Long Island Corp. 7,063 177,140 First Republic Bank 61,097 7,175,843 Flushing Financial Corp. 10,023 216,547 FNB Corp. 139,599 1,772,907 Franklin Financial Network Inc. 3,642 125,030 Fulton Financial Corp. 57,416 1,000,761 FVCBankcorp Inc. 4,545 79,401 German American Bancorp Inc. 9,134 325,353 Glacier Bancorp Inc. 30,314 1,394,141 Great Southern Bancorp Inc. 3,561 225,483 Great Western Bancorp Inc. 19,363 672,671 Guaranty Bancshares Inc. 3,099 101,895

The accompanying notes are an integral part of these combined financial statements. 15

Value Common Stock - 100.0% Shares ($)

Hancock Whitney Corp. 33,031 1,449,400 Hanmi Financial Corp. 10,794 215,826 HarborOne Bancorp Inc. 12,709 139,672 Heartland Financial USA Inc. 12,819 637,617 Heritage Commerce Corp. 12,321 158,078 Heritage Financial Corp. 13,514 382,446 Hilltop Holdings Inc. 24,450 609,539 Home BancShares Inc. 57,304 1,126,597 HomeTrust Bancshares Inc. 5,892 158,082 Hope Bancorp Inc. 43,349 644,166 Horizon Bancorp Inc. 11,538 219,222 Howard Bancorp Inc. 3,200 54,016 Huntington Bancshares Inc. 382,519 5,768,387 IBERIABANK Corp. 18,772 1,404,709 Independent Bank Corp. 9,136 760,572 Independent Bank Corp. 6,480 146,772 Independent Bank Group Inc. 13,117 727,206 International Bancshares Corp. 20,467 881,514 Investar Holding Corp. 3,512 84,288 Investors Bancorp Inc. 85,436 1,017,970 JPMorgan Chase & Co. 1,122,519 156,479,149 KeyCorp. 341,547 6,912,911 Lakeland Bancorp Inc. 17,939 311,780 Lakeland Financial Corp. 9,090 444,774 LCNB Corp. 4,545 87,719 Live Oak Bancshares Inc. 7,831 148,867 M&T Bank Corp. 49,029 8,322,673 Macatawa Bank Corp. 5,500 61,215 Malvern Bancorp Inc. 2,892 66,776 Mercantile Bank Corp. 4,826 176,004 Metropolitan Bank Holding Corp. 2,311 111,460 Mid Penn Bancorp Inc. 2,582 74,362 Midland States Bancorp Inc. 7,463 216,128 MidWestOne Financial Group Inc. 2,900 105,067 MutualFirst Financial Inc. 2,169 86,044 MVB Financial Corp. 3,512 87,519 National Bank Holdings Corp. 9,387 330,610

The accompanying notes are an integral part of these combined financial statements. 16

Value Common Stock - 100.0% Shares ($)

National Bankshares Inc. 892 40,078 NBT Bancorp Inc. 14,355 582,239 Nicolet Bankshares Inc. 2,641 195,038 Northrim BanCorp Inc. 2,479 94,946 Norwood Financial Corp. 2,169 84,374 OFG Bancorp. 15,707 370,842 Ohio Valley Banc Corp. 300 11,886 Old National Bancorp. 59,635 1,090,724 Old Second Bancorp Inc. 7,200 96,984 Opus Bank 5,737 148,416 Origin Bancorp Inc. 7,077 267,794 Orrstown Financial Services Inc. 3,822 86,454 Pacific Premier Bancorp Inc. 20,278 661,164 PacWest Bancorp. 44,720 1,711,434 Park National Corp. 4,507 461,427 Parke Bancorp Inc. 3,409 86,555 PCB Bancorp. 4,648 80,317 Peapack Gladstone Financial Corp. 4,917 151,935 Penns Woods Bancorp Inc. 2,613 92,918 Peoples Bancorp Inc. 5,142 178,222 Peoples Financial Services Corp. 2,200 110,770 People's United Financial Inc. 162,083 2,739,203 People's Utah Bancorp. 5,779 174,063 Pinnacle Financial Partners Inc. 29,606 1,894,784 PNC Financial Services Group Inc. 156,304 24,950,808 Popular Inc. 36,407 2,138,911 Preferred Bank 5,156 309,824 Premier Financial Bancorp Inc. 4,958 89,938 Prosperity Bancshares Inc. 33,496 2,408,027 QCR Holdings Inc. 5,489 240,748 RBB Bancorp. 6,078 128,671 Regions Financial Corp. 333,839 5,728,677 Reliant Bancorp Inc. 2,800 62,272 Renasant Corp. 19,774 700,395 Republic Bancorp Inc. 3,491 163,379 Republic First Bancorp Inc. 15,845 66,232 Richmond Mutual Bancorporation Inc. 4,958 79,130

The accompanying notes are an integral part of these combined financial statements. 17

Value Common Stock - 100.0% Shares ($)

S&T Bancorp Inc. 14,002 564,141 Sandy Spring Bancorp Inc. 12,933 489,902 SB One Bancorp. 3,099 77,227 Seacoast Banking Corp. of Florida. 18,604 568,724 Select Bancorp Inc. 6,198 76,235 ServisFirst Bancshares Inc. 17,446 657,365 Shore Bancshares Inc. 3,400 59,024 Sierra Bancorp. 4,017 116,975 Signature Bank 19,837 2,709,933 Simmons First National Corp. 33,229 890,205 SmartFinancial Inc. 3,233 76,460 South State Corp. 12,146 1,053,666 Southern First Bancshares Inc. 2,559 108,732 Southern National Bancorp of Virginia Inc. 6,557 107,207 Southside Bancshares Inc. 11,823 439,106 Spirit of Texas Bancshares Inc. 5,061 116,403 Sterling Bancorp. 72,814 1,534,919 Stock Yards Bancorp Inc. 6,112 250,959 Summit Financial Group Inc. 3,950 107,006 SVB Financial Group 17,752 4,456,462 Synovus Financial Corp. 55,988 2,194,730 TCF Financial Corp. 58,291 2,728,019 Texas Capital Bancshares Inc. 18,060 1,025,266 Tompkins Financial Corp. 5,376 491,904 Towne Bank 24,372 678,029 TriCo Bancshares 9,866 402,631 TriState Capital Holdings Inc. 7,653 199,896 Triumph Bancorp Inc. 10,815 411,186 Truist Financial Corp. 478,248 26,934,927 Trustmark Corp. 27,143 936,705 UMB Financial Corp. 16,285 1,117,802 Umpqua Holdings Corp. 78,323 1,386,317 United Bankshares Inc. 35,746 1,381,940 United Community Banks Inc. 28,840 890,579 Unity Bancorp Inc. 2,995 67,597 Univest Financial Corp. 15,767 422,240 US Bancorp. 511,815 30,345,511

The accompanying notes are an integral part of these combined financial statements. 18

Value Common Stock - 100.0% Shares ($)

Valley National Bancorp. 138,947 1,590,943 Veritex Holdings Inc. 19,030 554,344 Washington Trust Bancorp Inc. 5,585 300,417 Webster Financial Corp. 36,089 1,925,709 Wells Fargo & Co. 1,369,435 73,675,603 WesBanco Inc. 23,759 897,853 West Bancorporation Inc. 5,445 139,555 Westamerica Bancorporation. 9,611 651,337 Western Alliance Bancorp. 35,535 2,025,495 Wintrust Financial Corp. 19,780 1,402,402 Zions Bancorp NA. 65,708 3,411,559 658,682,504

Beverages - 1.6% Boston Beer Co. Inc. 3,087 1,166,423 Brown-Forman Corp. 18,426 1,156,600 Brown-Forman Corp. 63,779 4,311,460 Coca-Cola Co. 1,377,718 76,256,691 Coca-Cola Consolidated Inc. 1,572 446,527 Constellation Brands Inc. 55,921 10,611,010 Craft Brew Alliance Inc. 5,015 82,748 Keurig Dr Pepper Inc. 74,937 2,169,426 MGP Ingredients Inc. 3,916 189,730 Molson Coors Brewing Co. 64,125 3,456,338 Monster Beverage Corp. 141,984 9,023,083 National Beverage Corp. 3,868 197,345 PepsiCo Inc. 503,257 68,780,134 Primo Water Corp. 9,835 110,398 177,957,913

Biotechnology - 2.6% AbbVie Inc. 530,404 46,961,970 Abeona Therapeutics Inc. 8,559 27,988 ACADIA Pharmaceuticals Inc. 39,806 1,702,901 Acceleron Pharma Inc. 16,532 876,527 Achillion Pharmaceuticals Inc. 50,098 302,091 Acorda Therapeutics Inc. 13,603 27,750

The accompanying notes are an integral part of these combined financial statements. 19

Value Common Stock - 100.0% Shares ($)

Adamas Pharmaceuticals Inc. 5,008 18,980 ADMA Biologics Inc. 19,006 76,024 Aduro Biotech Inc. 11,200 13,216 Adverum Biotechnologies Inc. 14,500 167,040 Aeglea BioTherapeutics Inc. 9,813 74,971 Agenus Inc. 29,141 118,604 AgeX Therapeutics Inc. 3,918 7,131 Agios Pharmaceuticals Inc. 19,016 908,014 Aimmune Therapeutics Inc. 16,383 548,339 Akcea Therapeutics Inc. 4,600 77,924 Akebia Therapeutics Inc. 43,829 276,999 Albireo Pharma Inc. 6,100 155,062 Alector Inc. 11,465 197,542 Alexion Pharmaceuticals Inc. 79,300 8,576,295 Alkermes PLC 57,292 1,168,757 Allakos Inc. 8,900 848,704 Allogene Therapeutics Inc. 13,000 337,740 Alnylam Pharmaceuticals Inc. 38,883 4,478,155 AMAG Pharmaceuticals Inc. 11,165 135,878 Amgen Inc. 215,120 51,858,978 Amicus Therapeutics Inc. 94,243 917,927 AnaptysBio Inc. 6,655 108,144 Anika Therapeutics Inc. 4,917 254,946 Apellis Pharmaceuticals Inc. 16,200 496,044 Arcus Biosciences Inc. 4,400 44,440 Ardelyx Inc. 10,800 81,054 Arena Pharmaceuticals Inc. 18,332 832,639 ArQule Inc. 41,035 819,059 Arrowhead Pharmaceuticals Inc. 35,795 2,270,477 Assembly Biosciences Inc. 5,373 109,932 Atara Biotherapeutics Inc. 16,014 263,751 Athenex Inc. 24,600 375,642 Athersys Inc. 57,800 71,094 Audentes Therapeutics Inc. 16,496 987,121 Avid Bioservices Inc. 10,600 81,302 Avrobio Inc. 7,747 155,947 Beyondspring Inc. 4,545 70,448

The accompanying notes are an integral part of these combined financial statements. 20

Value Common Stock - 100.0% Shares ($)

BioCryst Pharmaceuticals Inc. 30,422 104,956 Biogen Inc. 64,091 19,017,722 Biohaven Pharmaceutical Holding Co. Ltd. 14,397 783,773 BioMarin Pharmaceutical Inc. 65,745 5,558,740 BioSpecifics Technologies Corp. 1,400 79,716 Bluebird Bio Inc. 21,523 1,888,643 Blueprint Medicines Corp. 17,197 1,377,652 Bridgebio Pharma Inc. 8,470 296,874 Calithera Biosciences Inc. 10,800 61,668 CareDx Inc. 15,400 332,178 Catalyst Pharmaceuticals Inc. 26,400 99,000 Cellular Biomedicine Group Inc. 4,545 73,811 CEL-SCI Corp. 10,226 93,568 ChemoCentryx Inc. 13,568 536,614 Chimerix Inc. 16,600 33,698 Clovis Oncology Inc. 14,507 151,235 Coherus Biosciences Inc. 22,771 409,992 Concert Pharmaceuticals Inc. 3,400 31,365 Constellation Pharmaceuticals Inc. 5,784 272,484 Corbus Pharmaceuticals Holdings Inc. 9,800 53,508 Crinetics Pharmaceuticals Inc. 4,132 103,672 Cue Biopharma Inc. 7,437 118,062 Cyclerion Therapeutics Inc. 4,646 12,637 Cytokinetics Inc. 15,100 160,211 CytomX Therapeutics Inc. 13,344 110,889 Deciphera Pharmaceuticals Inc. 7,078 440,535 Denali Therapeutics Inc. 17,638 307,254 Dicerna Pharmaceuticals Inc. 19,100 420,773 Dynavax Technologies Corp. 30,758 175,936 Eagle Pharmaceuticals Inc. 3,448 207,156 Editas Medicine Inc. 18,241 540,116 Eidos Therapeutics Inc. 5,500 315,645 Eiger BioPharmaceuticals Inc. 8,883 132,357 Emergent BioSolutions Inc. 16,206 874,314 Enanta Pharmaceuticals Inc. 6,255 386,434 Epizyme Inc. 27,186 668,776 Esperion Therapeutics Inc. 9,185 547,702

The accompanying notes are an integral part of these combined financial statements. 21

Value Common Stock - 100.0% Shares ($)

Exact Sciences Corp. 51,461 4,759,113 Exelixis Inc. 109,688 1,932,703 Fate Therapeutics Inc. 20,537 401,909 FibroGen Inc. 28,455 1,220,435 Five Prime Therapeutics Inc. 8,468 38,868 Flexion Therapeutics Inc. 11,018 228,073 Forty Seven Inc. 8,367 329,409 G1 Therapeutics Inc. 10,300 272,229 Geron Corp. 53,550 72,828 Gilead Sciences Inc. 456,252 29,647,255 Global Blood Therapeutics Inc. 21,192 1,684,552 GlycoMimetics Inc. 4,500 23,805 Gossamer Bio Inc. 15,712 245,579 Gritstone Oncology Inc. 9,400 84,318 Halozyme Therapeutics Inc. 51,335 910,170 Heron Therapeutics Inc. 25,022 588,017 Homology Medicines Inc. 5,800 120,060 ImmunoGen Inc. 53,505 273,143 Immunomedics Inc. 67,827 1,435,219 Incyte Corp. 65,245 5,697,193 Inovio Pharmaceuticals Inc. 18,000 59,400 Insmed Inc. 32,753 782,142 Intellia Therapeutics Inc. 14,390 211,101 Intercept Pharmaceuticals Inc. 9,272 1,148,986 Intrexon Corp. 19,143 104,904 Invitae Corp. 31,735 511,886 Ionis Pharmaceuticals Inc. 47,048 2,842,170 Iovance Biotherapeutics Inc. 42,046 1,163,833 Ironwood Pharmaceuticals Inc. 56,365 750,218 Jounce Therapeutics Inc. 6,298 54,982 Kadmon Holdings Inc. 49,064 222,260 KalVista Pharmaceuticals Inc. 4,442 79,112 Karuna Therapeutics Inc. 1,756 132,297 Karyopharm Therapeutics Inc. 21,726 416,487 Kindred Biosciences Inc. 13,849 117,440 Kodiak Sciences Inc. 8,883 639,132 Krystal Biotech Inc. 5,400 299,052

The accompanying notes are an integral part of these combined financial statements. 22

Value Common Stock - 100.0% Shares ($)

Kura Oncology Inc. 11,439 157,286 La Jolla Pharmaceutical Co. 5,558 21,843 Lexicon Pharmaceuticals Inc. 18,389 76,314 Ligand Pharmaceuticals Inc. 6,871 716,577 Lineage Cell Therapeutics Inc. 39,194 34,883 MacroGenics Inc. 17,562 191,075 Madrigal Pharmaceuticals Inc. 2,908 264,948 Magenta Therapeutics Inc. 5,400 81,864 MannKind Corp. 70,652 91,141 Medicines Co. 30,004 2,548,540 MediciNova Inc. 11,109 74,875 MeiraGTx Holdings plc 4,700 94,094 Minerva Neurosciences Inc. 5,900 41,949 Mirati Therapeutics Inc. 10,398 1,339,886 Moderna Inc. 75,331 1,473,474 Molecular Templates Inc. 6,404 89,560 Momenta Pharmaceuticals Inc. 32,990 650,893 Myriad Genetics Inc. 27,681 753,754 Natera Inc. 21,444 722,448 Neurocrine Biosciences Inc. 33,238 3,572,753 NextCure Inc. 800 45,064 Novavax Inc. 4,540 18,069 OPKO Health Inc. 108,292 159,189 Palatin Technologies Inc. 78,400 61,324 PDL BioPharma Inc. 55,629 180,516 Pfenex Inc. 11,259 123,624 Pieris Pharmaceuticals Inc. 2,075 7,512 Portola Pharmaceuticals Inc. 27,369 653,572 Principia Biopharma Inc. 5,700 312,246 Progenics Pharmaceuticals Inc. 32,109 163,435 Prothena Corp. PLC 11,109 175,855 PTC Therapeutics Inc. 23,296 1,118,907 Puma Biotechnology Inc. 10,109 88,454 Ra Pharmaceuticals Inc. 11,800 553,774 Radius Health Inc. 16,614 334,938 Recro Pharma Inc. 7,334 134,432 Regeneron Pharmaceuticals Inc. 29,919 11,233,986

The accompanying notes are an integral part of these combined financial statements. 23

Value Common Stock - 100.0% Shares ($)

REGENXBIO Inc. 11,573 474,146 Repligen Corp. 18,931 1,751,118 Retrophin Inc. 11,208 159,154 Rhythm Pharmaceuticals Inc. 8,505 195,275 Rigel Pharmaceuticals Inc. 37,875 81,053 Rocket Pharmaceuticals Inc. 10,892 247,902 Rubius Therapeutics Inc. 11,600 110,200 Sage Therapeutics Inc. 17,842 1,288,014 Sangamo Therapeutics Inc. 49,212 411,904 Sarepta Therapeutics Inc. 25,662 3,311,424 Savara Inc. 19,500 87,360 Scholar Rock Holding Corp. 5,500 72,490 Seattle Genetics Inc. 42,205 4,822,343 Seres Therapeutics Inc. 9,100 31,395 Sorrento Therapeutics Inc. 67,100 226,798 Spectrum Pharmaceuticals Inc. 41,067 149,484 Stemline Therapeutics Inc. 16,549 175,916 Stoke Therapeutics Inc. 1,900 53,808 Syndax Pharmaceuticals Inc. 7,540 66,201 Synthorx Inc. 3,615 252,652 Syros Pharmaceuticals Inc. 22,400 154,784 TCR2 Therapeutics Inc. 4,442 63,432 TG Therapeutics Inc. 30,277 336,075 Translate Bio Inc. 20,100 163,614 Turning Point Therapeutics Inc. 13,979 870,752 Twist Bioscience Corp. 14,400 302,400 Ultragenyx Pharmaceutical Inc. 18,492 789,793 United Therapeutics Corp. 16,712 1,471,993 UNITY Biotechnology Inc. 10,019 72,237 UroGen Pharma Ltd. 6,100 203,557 Vanda Pharmaceuticals Inc. 19,178 314,711 Veracyte Inc. 16,200 452,304 Vericel Corp. 16,263 282,976 Vertex Pharmaceuticals Inc. 91,362 20,003,710 Viking Therapeutics Inc. 24,480 196,330 Voyager Therapeutics Inc. 5,737 80,031 XBiotech Inc. 7,127 133,025

The accompanying notes are an integral part of these combined financial statements. 24

Value Common Stock - 100.0% Shares ($)

Xencor Inc. 17,380 597,698 Y-mAbs Therapeutics Inc. 7,525 235,156 ZIOPHARM Oncology Inc. 101,285 478,065 293,697,827

Building Products - 0.4% AAON Inc. 15,060 744,115 Advanced Drainage Systems Inc. 13,333 517,854 Allegion PLC 34,299 4,271,597 American Woodmark Corp. 6,197 647,648 AO Smith Corp. 49,876 2,376,093 Apogee Enterprises Inc. 8,513 276,673 Armstrong Flooring Inc. 8,218 35,091 Armstrong World Industries Inc. 18,229 1,712,979 Builders FirstSource Inc. 39,331 999,401 Caesarstone Ltd. 8,377 126,241 Continental Building Products Inc. 12,749 464,446 Cornerstone Building Brands Inc. 13,487 114,774 CSW Industrials Inc. 5,483 422,191 Fortune Brands Home & Security Inc. 52,348 3,420,418 Gibraltar Industries Inc. 11,818 596,100 Griffon Corp. 12,673 257,642 Insteel Industries Inc. 4,601 98,875 JELD-WEN Holding Inc. 22,795 533,631 Johnson Controls International PLC 274,569 11,177,704 Lennox International Inc. 12,891 3,145,017 Masco Corp. 97,823 4,694,526 Masonite International Corp. 9,572 691,194 Owens Corning 39,519 2,573,477 Patrick Industries Inc. 8,225 431,237 PGT Innovations Inc. 20,866 311,112 Quanex Building Products Corp. 11,441 195,412 Resideo Technologies Inc. 41,375 493,604 Simpson Manufacturing Co. Inc. 16,818 1,349,308 Trex Co. Inc. 21,269 1,911,658

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

Value Common Stock - 100.0% Shares ($)

Universal Forest Products Inc. 22,982 1,096,241 45,686,259

Capital Markets - 2.5% Affiliated Managers Group Inc. 19,543 1,656,074 Ameriprise Financial Inc. 44,191 7,361,337 Ares Management Corp. 24,640 879,402 Artisan Partners Asset Management Inc. 18,353 593,169 Assetmark Financial Holdings Inc. 5,165 149,888 B. Riley Financial Inc. 6,375 160,523 Bank of New York Mellon Corp. 291,013 14,646,684 BGC Partners Inc. 107,137 636,394 BlackRock Inc. 42,180 21,203,886 Blucora Inc. 15,115 395,106 Brightsphere Investment Group Inc. 823 8,411 Cboe Global Markets Inc. 40,701 4,884,120 Charles Schwab Corp. 409,257 19,464,263 CME Group Inc. 126,460 25,383,051 Cohen & Steers Inc. 8,346 523,795 Cowen Inc. 7,046 110,975 Diamond Hill Investment Group Inc. 1,027 144,252 Donnelley Financial Solutions Inc. 8,841 92,565 E*TRADE Financial Corp. 76,364 3,464,635 Eaton Vance Corp. 42,906 2,003,281 Evercore Inc. 14,932 1,116,316 FactSet Research Systems Inc. 13,771 3,694,759 Federated Investors Inc. 34,205 1,114,741 Focus Financial Partners Inc. 11,187 329,681 Franklin Resources Inc. 104,906 2,725,458 GAIN Capital Holdings Inc. 5,583 22,053 GAMCO Investors Inc. 7,943 154,809 Goldman Sachs Group Inc. 113,855 26,178,680 Greenhill & Co. Inc. 9,934 169,673 Hamilton Lane Inc. 8,005 477,098 Houlihan Lokey Inc. 15,057 735,836 Interactive Brokers Group Inc. 27,369 1,275,943 Intercontinental Exchange Inc. 195,408 18,085,010

The accompanying notes are an integral part of these combined financial statements. 26

Value Common Stock - 100.0% Shares ($)

INTL. FCStone Inc. 4,957 242,050 Invesco Ltd. 124,402 2,236,748 Janus Henderson Group PLC 59,316 1,450,276 Ladenburg Thalmann Financial Services Inc. 35,676 124,152 Lazard Ltd. 39,831 1,591,647 Legg Mason Inc. 30,682 1,101,791 LPL Financial Holdings Inc. 30,108 2,777,463 MarketAxess Holdings Inc. 12,687 4,809,769 Moelis & Co. 17,169 548,034 Moody's Corp. 60,429 14,346,449 Morgan Stanley 414,936 21,211,528 Morningstar Inc. 8,644 1,307,924 MSCI Inc. 28,702 7,410,282 Nasdaq Inc. 42,597 4,562,139 Newstar Financial, Inc. CVR1 17,318 4,181 Northern Trust Corp. 67,964 7,220,495 Oppenheimer Holdings Inc. 3,583 98,461 Piper Jaffray Cos 5,085 406,495 PJT Partners Inc. 8,339 376,339 Pzena Investment Management Inc. 4,692 40,445 Raymond James Financial Inc. 46,460 4,156,312 S&P Global Inc. 87,773 23,966,418 Safeguard Scientifics Inc. 7,740 84,985 Sculptor Capital Management Inc. 6,301 139,252 SEI Investments Co. 49,120 3,216,378 State Street Corp.2 127,786 10,107,873 Stifel Financial Corp. 25,400 1,540,510 T Rowe Price Group Inc. 80,188 9,770,106 TD Ameritrade Holding Corp. 100,295 4,984,662 Virtu Financial Inc. 18,804 300,676 Virtus Investment Partners Inc. 2,186 266,080 Waddell & Reed Financial Inc. 24,230 405,126 Westwood Holdings Group Inc. 2,347 69,518 WisdomTree Investments Inc. 42,500 205,700 290,922,132

The accompanying notes are an integral part of these combined financial statements. 27

Value Common Stock - 100.0% Shares ($)

Chemicals - 1.9% A Schulman, Inc. CVR1 9,855 5,154 AdvanSix Inc. 10,144 202,474 Air Products & Chemicals Inc. 78,302 18,400,187 Albemarle Corp. 38,700 2,826,648 American Vanguard Corp. 10,476 203,968 Ashland Global Holdings Inc. 23,511 1,799,297 Axalta Coating Systems Ltd. 75,950 2,308,880 Balchem Corp. 11,654 1,184,396 Cabot Corp. 23,185 1,101,751 Celanese Corp. 45,340 5,582,261 CF Industries Holdings Inc. 73,605 3,513,903 Chase Corp. 2,159 255,798 Chemours Co. 60,277 1,090,411 Corteva Inc. 276,203 8,164,561 Dow Inc. 265,613 14,536,999 DuPont de Nemours Inc. 263,566 16,920,937 Eastman Chemical Co. 50,339 3,989,869 Ecolab Inc. 89,682 17,307,729 Element Solutions Inc. 83,142 971,099 Ferro Corp. 28,867 428,098 Flotek Industries Inc. 17,488 34,976 FMC Corp. 44,247 4,416,736 FutureFuel Corp. 8,601 106,566 GCP Applied Technologies Inc. 24,835 564,003 Hawkins Inc. 3,643 166,886 HB Fuller Co. 18,637 961,110 Huntsman Corp. 80,699 1,949,688 Ingevity Corp. 15,411 1,346,613 Innophos Holdings Inc. 6,795 217,304 Innospec Inc. 8,890 919,582 International Flavors & Fragrances Inc. 39,236 5,062,229 Intrepid Potash Inc. 22,300 60,433 Koppers Holdings Inc. 6,927 264,750 Kraton Corp. 10,728 271,633 Kronos Worldwide Inc. 7,606 101,920 Linde PLC 192,473 40,977,502

The accompanying notes are an integral part of these combined financial statements. 28

Value Common Stock - 100.0% Shares ($)

Livent Corp. 53,855 460,460 LSB Industries Inc. 7,391 31,042 LyondellBasell Industries NV 97,749 9,235,326 Minerals Technologies Inc. 11,959 689,197 Mosaic Co. 129,400 2,800,216 NewMarket Corp. 2,488 1,210,462 Olin Corp. 60,723 1,047,472 OMNOVA Solutions Inc. 11,938 120,693 Orion Engineered Carbons SA 22,283 430,062 PolyOne Corp. 27,477 1,010,879 PPG Industries Inc. 86,809 11,588,133 PQ Group Holdings Inc. 13,986 240,279 Quaker Chemical Corp. 5,231 860,604 Rayonier Advanced Materials Inc. 13,283 51,007 RPM International Inc. 46,877 3,598,279 Scotts Miracle-Gro Co. 14,024 1,489,068 Sensient Technologies Corp. 15,362 1,015,275 Sherwin-Williams Co. 29,433 17,175,333 Stepan Co. 7,473 765,534 Trecora Resources 7,500 53,625 Tredegar Corp. 8,430 188,411 Trinseo SA 14,722 547,806 Tronox Holdings PLC 33,508 382,661 Valvoline Inc. 69,405 1,485,961 Westlake Chemical Corp. 13,017 913,143 WR Grace & Co. 21,078 1,472,298 217,079,577

Commercial Services & Supplies - 0.6% ABM Industries Inc. 24,465 922,575 ACCO Brands Corp. 34,203 320,140 ADT Inc. 40,782 323,401 Advanced Disposal Services Inc. 27,840 915,101 Brady Corp. 17,512 1,002,737 BrightView Holdings Inc. 10,200 172,074 Brink's Co. 18,267 1,656,452 Casella Waste Systems Inc. 15,687 722,073

The accompanying notes are an integral part of these combined financial statements. 29

Value Common Stock - 100.0% Shares ($)

CECO Environmental Corp. 10,169 77,895 Cimpress PLC 7,922 996,350 Cintas Corp. 30,822 8,293,584 Clean Harbors Inc. 18,954 1,625,306 Copart Inc. 72,902 6,629,708 Covanta Holding Corp. 39,186 581,520 Deluxe Corp. 15,788 788,137 Ennis Inc. 8,756 189,567 Healthcare Services Group Inc. 27,281 663,474 Heritage-Crystal Clean Inc. 4,691 147,157 Herman Miller Inc. 20,666 860,739 HNI Corp. 14,438 540,847 IAA Inc. 48,853 2,299,022 Interface Inc. 20,181 334,803 KAR Auction Services Inc. 49,008 1,067,884 Kimball International Inc. 11,604 239,855 Knoll Inc. 18,004 454,781 Matthews International Corp. 10,859 414,488 McGrath RentCorp. 8,877 679,446 Mobile Mini Inc. 16,411 622,141 MSA Safety Inc. 12,933 1,634,214 NL Industries Inc. 4,824 18,862 PICO Holdings Inc. 8,068 89,716 Pitney Bowes Inc. 64,231 258,851 Quad/Graphics Inc. 9,086 42,432 Republic Services Inc. 78,426 7,029,322 Rollins Inc. 50,965 1,689,999 RR Donnelley & Sons Co. 26,216 103,553 SP Plus Corp. 8,380 355,563 Steelcase Inc. 31,844 651,528 Stericycle Inc. 32,027 2,043,643 Team Inc. 9,811 156,682 Tetra Tech Inc. 19,829 1,708,467 UniFirst Corp. 5,721 1,155,528 US Ecology Inc. 8,310 481,232 Viad Corp. 6,926 467,505 VSE Corp. 2,850 108,414

The accompanying notes are an integral part of these combined financial statements. 30

Value Common Stock - 100.0% Shares ($)

Waste Management Inc. 151,046 17,213,202 68,749,970

Communications Equipment - 1.0% Acacia Communications Inc. 13,133 890,549 ADTRAN Inc. 15,463 152,929 Applied Optoelectronics Inc. 5,919 70,318 Arista Networks Inc. 21,819 4,437,985 CalAmp Corp. 11,109 106,424 Calix Inc. 15,060 120,480 Ciena Corp. 56,965 2,431,836 Cisco Systems Inc. 1,539,552 73,836,914 Clearfield Inc. 2,100 29,274 CommScope Holding Co. Inc. 70,340 998,125 Comtech Telecommunications Corp. 8,662 307,414 Digi International Inc. 9,286 164,548 EchoStar Corp. 16,465 713,099 Extreme Networks Inc. 33,941 250,145 F5 Networks Inc. 22,140 3,091,851 Harmonic Inc. 29,333 228,797 Infinera Corp. 64,426 511,542 Inseego Corp. 16,940 124,170 InterDigital Inc. 11,422 622,385 Juniper Networks Inc. 125,502 3,091,114 KVH Industries Inc. 11,986 133,404 Lumentum Holdings Inc. 27,916 2,213,739 Motorola Solutions Inc. 61,905 9,975,372 NETGEAR Inc. 10,239 250,958 NetScout Systems Inc. 27,580 663,851 Plantronics Inc. 10,932 298,881 Ribbon Communications Inc. 18,426 57,121 Ubiquiti Inc. 1,909 360,763 ViaSat Inc. 19,814 1,450,286 Viavi Solutions Inc. 81,663 1,224,945 108,809,219

The accompanying notes are an integral part of these combined financial statements. 31

Value Common Stock - 100.0% Shares ($)

Construction & Engineering - 0.2% AECOM 57,331 2,472,686 Aegion Corp. 12,443 278,350 Ameresco Inc. 8,266 144,655 Arcosa Inc. 17,612 784,615 Argan Inc. 4,081 163,811 Comfort Systems USA Inc. 12,394 617,841 Construction Partners Inc. 4,751 80,149 Dycom Industries Inc. 11,158 526,100 EMCOR Group Inc. 17,318 1,494,543 Fluor Corp. 51,447 971,319 Granite Construction Inc. 17,340 479,798 Great Lakes Dredge & Dock Corp. 22,456 254,426 IES Holdings Inc. 3,099 79,520 Jacobs Engineering Group Inc. 49,762 4,470,120 MasTec Inc. 20,936 1,343,254 MYR Group Inc. 4,573 149,034 Northwest Pipe Co. 3,589 119,550 NV5 Global Inc. 3,853 194,384 Primoris Services Corp. 16,219 360,711 Quanta Services Inc. 45,292 1,843,837 Sterling Construction Co. Inc. 8,700 122,496 Tutor Perini Corp. 12,722 163,605 Valmont Industries Inc. 7,438 1,114,064 WillScot Corp. 17,100 316,179 18,545,047

Construction Materials - 0.1% Eagle Materials Inc. 16,873 1,529,706 Forterra Inc. 2,700 31,212 Martin Marietta Materials Inc. 22,918 6,408,790 Summit Materials Inc. 38,624 923,114 United States Lime & Minerals Inc. 728 65,738 US Concrete Inc. 4,553 189,678 Vulcan Materials Co. 45,643 6,572,136 15,720,374

The accompanying notes are an integral part of these combined financial statements. 32

Value Common Stock - 100.0% Shares ($)

Consumer Finance - 0.7% Ally Financial Inc. 143,706 4,391,655 American Express Co. 239,719 29,842,618 Capital One Financial Corp. 166,117 17,095,100 Credit Acceptance Corp. 3,890 1,720,664 Curo Group Holdings Corp. 6,404 78,001 Discover Financial Services 109,982 9,328,673 Encore Capital Group Inc. 11,395 402,927 Enova International Inc. 11,144 268,125 EZCORP Inc. 17,525 119,521 FirstCash Inc. 14,926 1,203,483 Green Dot Corp. 15,721 366,299 LendingClub Corp. 20,431 257,839 Navient Corp. 84,389 1,154,442 Nelnet Inc. 6,480 377,395 OneMain Holdings Inc. 23,365 984,835 PRA Group Inc. 16,566 601,346 Regional Management Corp. 3,365 101,051 Santander Consumer USA Holdings Inc. 27,061 632,416 SLM Corp. 126,116 1,123,694 Synchrony Financial 226,082 8,141,213 World Acceptance Corp. 1,943 167,875 78,359,172

Containers & Packaging - 0.4% AptarGroup Inc. 23,539 2,721,579 Ardagh Group SA 6,938 135,846 Avery Dennison Corp. 30,818 4,031,611 Ball Corp. 112,700 7,288,309 Berry Global Group Inc. 48,485 2,302,553 Crown Holdings Inc. 47,808 3,467,992 Graphic Packaging Holding Co. 104,243 1,735,646 Greif Inc. 8,126 359,169 Greif Inc. 1,822 94,325 International Paper Co. 144,536 6,655,883 Myers Industries Inc. 13,144 219,242 O-I Glass Inc. 55,506 662,187

The accompanying notes are an integral part of these combined financial statements. 33

Value Common Stock - 100.0% Shares ($)

Packaging Corp. of America. 34,416 3,854,248 Sealed Air Corp. 57,247 2,280,148 Silgan Holdings Inc. 28,625 889,665 Sonoco Products Co. 36,505 2,253,089 UFP Technologies Inc. 2,700 133,947 Westrock Co. 93,489 4,011,613 43,097,052

Distributors - 0.1% Core-Mark Holding Co. Inc. 14,454 393,004 Funko Inc. 6,714 115,212 Genuine Parts Co. 48,401 5,141,638 LKQ Corp. 113,038 4,035,457 Pool Corp. 14,014 2,976,293 Weyco Group Inc. 2,443 64,617 12,726,221

Diversified Consumer Services - 0.2% Adtalem Global Education Inc. 19,144 669,466 American Public Education Inc. 6,148 168,394 Bright Horizons Family Solutions Inc. 21,110 3,172,622 Carriage Services Inc. 5,190 132,864 Chegg Inc. 42,410 1,607,763 Collectors Universe Inc. 2,995 69,035 frontdoor Inc. 31,255 1,482,112 Graham Holdings Co. 1,453 928,452 Grand Canyon Education Inc. 17,430 1,669,620 H&R Block Inc. 73,288 1,720,802 Houghton Mifflin Harcourt Co. 35,682 223,013 K12 Inc. 11,085 225,580 Laureate Education Inc. 38,475 677,545 OneSpaWorld Holdings Ltd. 19,800 333,432 Perdoceo Education Corp. 23,165 426,004 Regis Corp. 10,864 194,140 Select Interior Concepts Inc. 7,850 70,572 Service Corp. International. 65,331 3,007,186 ServiceMaster Global Holdings Inc. 50,139 1,938,374

The accompanying notes are an integral part of these combined financial statements. 34

Value Common Stock - 100.0% Shares ($)

Strategic Education Inc. 7,481 1,188,731 WW International Inc. 16,907 646,016 20,551,723

Diversified Financial Services - 1.5% AXA Equitable Holdings Inc. 153,728 3,809,380 Banco Latinoamericano de Comercio Exterior SA 10,167 217,370 Berkshire Hathaway Inc. 704,124 159,484,086 Cannae Holdings Inc. 23,703 881,515 FGL Holdings 51,593 549,465 Jefferies Financial Group Inc. 104,509 2,233,357 Marlin Business Services Corp. 5,460 120,011 On Deck Capital Inc. 25,041 103,670 Voya Financial Inc. 51,944 3,167,545 170,566,399

Diversified Telecommunication Services - 1.8% Anterix Inc. 3,966 171,371 AT&T Inc. 2,625,855 102,618,413 ATN International Inc. 4,040 223,776 Bandwidth Inc. 8,200 525,210 CenturyLink Inc. 403,721 5,333,154 Cincinnati Bell Inc. 16,730 175,163 Cogent Communications Holdings Inc. 15,780 1,038,482 Consolidated Communications Holdings Inc. 20,752 80,518 Frontier Communications Corp. 26,450 23,530 GCI Liberty Inc. 35,719 2,530,691 Intelsat SA 27,797 195,413 Iridium Communications Inc. 34,465 849,218 Ooma Inc. 5,600 74,088 ORBCOMM Inc. 22,833 96,127 Verizon Communications Inc. 1,488,129 91,371,121 Vonage Holdings Corp. 78,314 580,307 Zayo Group Holdings Inc. 83,014 2,876,435 208,763,017

The accompanying notes are an integral part of these combined financial statements. 35

Value Common Stock - 100.0% Shares ($)

Electric Utilities - 1.9% ALLETE Inc. 18,953 1,538,415 Alliant Energy Corp. 87,226 4,773,007 American Electric Power Co. Inc. 175,540 16,590,285 Avangrid Inc. 19,687 1,007,187 Duke Energy Corp. 260,015 23,715,968 Edison International 128,765 9,710,169 El Paso Electric Co. 14,885 1,010,543 Entergy Corp. 73,085 8,755,583 Evergy Inc. 78,388 5,102,275 Eversource Energy 119,052 10,127,754 Exelon Corp. 344,372 15,699,919 FirstEnergy Corp. 195,335 9,493,281 Hawaiian Electric Industries Inc. 40,866 1,914,981 IDACORP Inc. 18,424 1,967,683 MGE Energy Inc. 12,159 958,372 NextEra Energy Inc. 175,051 42,390,350 OGE Energy Corp. 73,565 3,271,436 Otter Tail Corp. 13,651 700,160 PG&E Corp. 205,607 2,234,948 Pinnacle West Capital Corp. 41,196 3,704,756 PNM Resources Inc. 28,088 1,424,342 Portland General Electric Co. 32,811 1,830,526 PPL Corp. 265,659 9,531,845 Southern Co. 371,364 23,655,887 Spark Energy Inc. 7,600 70,148 Xcel Energy Inc. 193,535 12,287,537 213,467,357

Electrical Equipment - 0.6% Acuity Brands Inc. 15,425 2,128,650 Allied Motion Technologies Inc. 2,686 130,271 AMETEK Inc. 79,491 7,928,432 Atkore International Group Inc. 23,708 959,226 AZZ Inc. 8,521 391,540 Bloom Energy Corp. 34,500 257,715 Eaton Corp. PLC 146,311 13,858,578

The accompanying notes are an integral part of these combined financial statements. 36

Value Common Stock - 100.0% Shares ($)

Emerson Electric Co. 217,676 16,599,972 Encore Wire Corp. 6,850 393,190 Energous Corp. 6,300 11,151 EnerSys 15,012 1,123,348 Generac Holdings Inc. 22,418 2,255,027 GrafTech International Ltd. 21,300 247,506 Hubbell Inc. 19,881 2,938,809 nVent Electric PLC 54,414 1,391,910 Plug Power Inc. 87,068 275,135 Powell Industries Inc. 3,759 184,153 Preformed Line Products Co. 1,026 61,919 Regal Beloit Corp. 15,368 1,315,654 Rockwell Automation Inc. 40,265 8,160,508 Sensata Technologies Holding PLC 58,403 3,146,170 Sunrun Inc. 41,505 573,184 Thermon Group Holdings Inc. 10,878 291,530 TPI Composites Inc. 9,500 175,845 Vicor Corp. 5,125 239,440 Vivint Solar Inc. 7,300 52,998 65,091,861

Electronic Equipment, Instruments & Components - 0.8% Akoustis Technologies Inc. 9,503 76,024 Amphenol Corp. 107,305 11,613,620 Anixter International Inc. 11,169 1,028,665 Arlo Technologies Inc. 20,082 84,545 Arrow Electronics Inc. 32,517 2,755,491 Avnet Inc. 37,886 1,607,882 AVX Corp. 17,283 353,783 Badger Meter Inc. 10,494 681,375 Bel Fuse Inc. 3,762 77,121 Belden Inc. 14,331 788,205 Benchmark Electronics Inc. 13,557 465,819 CDW Corp. 53,303 7,613,801 Cognex Corp. 59,983 3,361,447 Coherent Inc. 8,785 1,461,385 Corning Inc. 264,571 7,701,662

The accompanying notes are an integral part of these combined financial statements. 37

Value Common Stock - 100.0% Shares ($)

CTS Corp. 10,665 320,057 Daktronics Inc. 13,791 83,987 Dolby Laboratories Inc. 23,122 1,590,794 ePlus Inc. 4,935 415,971 Fabrinet 13,311 863,085 FARO Technologies Inc. 5,956 299,885 Fitbit Inc. 82,532 542,235 FLIR Systems Inc. 48,769 2,539,402 II-VI Inc. 25,260 850,504 Insight Enterprises Inc. 12,950 910,256 IPG Photonics Corp. 13,257 1,921,204 Iteris Inc. 15,081 75,254 Itron Inc. 14,223 1,194,021 Jabil Inc. 54,679 2,259,883 KEMET Corp. 18,864 510,271 Keysight Technologies Inc. 68,782 7,059,097 Kimball Electronics Inc. 6,041 106,020 Knowles Corp. 29,685 627,838 Littelfuse Inc. 9,385 1,795,351 Methode Electronics Inc. 13,445 529,061 MTS Systems Corp. 6,620 317,959 Napco Security Technologies Inc. 3,300 96,987 National Instruments Corp. 47,844 2,025,715 nLight Inc. 12,245 248,329 Novanta Inc. 12,378 1,094,710 OSI Systems Inc. 5,465 550,544 PAR Technology Corp. 6,100 187,514 PC Connection Inc. 4,167 206,933 Plexus Corp. 11,372 874,962 Rogers Corp. 6,454 805,007 Sanmina Corp. 23,601 808,098 ScanSource Inc. 9,440 348,808 SYNNEX Corp. 14,917 1,921,310 Tech Data Corp. 13,415 1,926,394 Trimble Inc. 93,309 3,890,052 TTM Technologies Inc. 36,278 545,984 Vishay Intertechnology Inc. 48,309 1,028,499

The accompanying notes are an integral part of these combined financial statements. 38

Value Common Stock - 100.0% Shares ($)

Vishay Precision Group Inc. 4,275 145,350 Zebra Technologies Corp. 19,598 5,006,113 86,194,269

Energy Equipment & Services - 0.4% Apergy Corp. 28,422 960,095 Archrock Inc. 43,156 433,286 Baker Hughes Co. 235,810 6,043,810 Cactus Inc. 17,445 598,712 Covia Holdings Corp. 10,253 20,916 Diamond Offshore Drilling Inc. 21,973 157,986 DMC Global Inc. 4,735 212,791 Dril-Quip Inc. 12,059 565,688 Era Group Inc. 1,481 15,062 Exterran Corp. 8,731 68,364 Forum Energy Technologies Inc. 27,138 45,592 Frank's International NV 39,568 204,567 Geospace Technologies Corp. 4,958 83,146 Halliburton Co. 319,786 7,825,163 Helix Energy Solutions Group Inc. 47,695 459,303 Helmerich & Payne Inc. 40,383 1,834,600 KLX Energy Services Holdings Inc. 5,310 34,196 Liberty Oilfield Services Inc. 20,039 222,834 Matrix Service Co. 7,893 180,592 McDermott International Inc. 58,203 39,380 Nabors Industries Ltd. 129,539 373,072 National Energy Services Reunited Corp. 8,986 81,952 National Oilwell Varco Inc. 140,893 3,529,370 Natural Gas Services Group Inc. 4,342 53,233 Newpark Resources Inc. 23,542 147,608 NexTier Oilfield Solutions Inc. 58,486 391,856 Nine Energy Service Inc. 10,044 78,544 Noble Corp. PLC 74,947 91,435 Oceaneering International Inc. 33,091 493,387 Oil States International Inc. 22,040 359,472 Parker Drilling Co. 2,500 56,250 Patterson-UTI Energy Inc. 70,034 735,357

The accompanying notes are an integral part of these combined financial statements. 39

Value Common Stock - 100.0% Shares ($)

ProPetro Holding Corp. 29,462 331,448 RigNet Inc. 4,465 29,469 RPC Inc. 20,624 108,070 Schlumberger Ltd. 493,437 19,836,167 SEACOR Holdings Inc. 5,636 243,193 SEACOR Marine Holdings Inc. 4,103 56,580 Select Energy Services Inc. 17,095 158,642 Solaris Oilfield Infrastructure Inc. 11,672 163,408 TETRA Technologies Inc. 27,037 52,993 Tidewater Inc. 10,900 210,152 Transocean Ltd. 208,434 1,434,026 US Silica Holdings Inc. 28,680 176,382 49,198,149

Entertainment - 1.7% Activision Blizzard Inc. 269,052 15,987,070 AMC Entertainment Holdings Inc. 19,251 139,377 Cinemark Holdings Inc. 39,414 1,334,164 Electronic Arts Inc. 106,658 11,466,802 Eros International PLC 6,300 21,357 Glu Mobile Inc. 38,521 233,052 IMAX Corp. 19,195 392,154 Liberty Media Corp-Liberty Braves 3,739 110,861 Liberty Media Corp-Liberty Braves 11,665 344,584 Liberty Media Corp-Liberty Formula One 72,555 3,334,991 Liberty Media Corp-Liberty Formula One 7,785 340,827 Lions Gate Entertainment Corp. 18,618 198,468 Lions Gate Entertainment Corp. 34,578 343,360 Live Nation Entertainment Inc. 47,476 3,393,110 Madison Square Garden Co. 6,801 2,000,786 Marcus Corp. 6,356 201,930 Netflix Inc. 151,156 48,909,547 Reading International Inc. 6,830 76,428 Rosetta Stone Inc. 6,800 123,352 Spotify Technology SA 43,336 6,480,899 Take-Two Interactive Software Inc. 41,264 5,051,952 Walt Disney Co. 627,709 90,785,553

The accompanying notes are an integral part of these combined financial statements. 40

Value Common Stock - 100.0% Shares ($)

World Wrestling Entertainment Inc. 16,265 1,055,111 Zynga Inc. 311,456 1,906,111 194,231,846

Food & Staples Retailing - 1.4% Andersons Inc. 9,294 234,952 BJ's Wholesale Club Holdings Inc. 40,802 927,837 Casey's General Stores Inc. 13,498 2,146,047 Chefs' Warehouse Inc. 10,414 396,878 Costco Wholesale Corp. 157,647 46,335,606 Grocery Outlet Holding Corp. 10,100 327,745 Ingles Markets Inc. 5,386 255,889 Kroger Co. 291,994 8,464,906 Natural Grocers by Vitamin Cottage Inc. 2,800 27,636 Performance Food Group Co. 37,716 1,941,620 PriceSmart Inc. 8,266 587,051 Rite Aid Corp. 17,313 267,832 SpartanNash Co. 12,785 182,058 Sprouts Farmers Market Inc. 49,188 951,788 Sysco Corp. 169,038 14,459,511 United Natural Foods Inc. 17,374 152,196 US Foods Holding Corp. 80,146 3,357,316 Village Super Market Inc. 2,652 61,526 Walgreens Boots Alliance Inc. 267,648 15,780,526 Walmart Inc. 504,253 59,925,427 Weis Markets Inc. 3,772 152,728 156,937,075

Food Products - 1.2% Alico Inc. 884 31,674 Archer-Daniels-Midland Co. 204,707 9,488,169 B&G Foods Inc. 21,356 382,913 Beyond Meat Inc. 20,500 1,549,800 Bunge Ltd. 50,616 2,912,951 Calavo Growers Inc. 5,331 482,935 Cal-Maine Foods Inc. 10,378 443,660 Campbell Soup Co. 61,496 3,039,132

The accompanying notes are an integral part of these combined financial statements. 41

Value Common Stock - 100.0% Shares ($)

Conagra Brands Inc. 181,265 6,206,514 Darling Ingredients Inc. 60,025 1,685,502 Farmer Brothers Co. 2,368 35,662 Flowers Foods Inc. 73,122 1,589,672 Fresh Del Monte Produce Inc. 10,157 355,292 Freshpet Inc. 12,658 747,961 General Mills Inc. 220,711 11,821,281 Hain Celestial Group Inc. 33,489 869,207 Hershey Co. 53,087 7,802,727 Hormel Foods Corp. 102,174 4,609,069 Hostess Brands Inc. 43,933 638,786 Ingredion Inc. 26,652 2,477,303 J&J Snack Foods Corp. 5,439 1,002,245 JM Smucker Co. 40,384 4,205,186 John B Sanfilippo & Son Inc. 2,823 257,683 Kellogg Co. 92,163 6,373,993 Kraft Heinz Co. 229,376 7,369,851 Lamb Weston Holdings Inc. 53,856 4,633,232 Lancaster Colony Corp. 6,943 1,111,574 Landec Corp. 9,122 103,170 Limoneira Co. 4,289 82,477 McCormick & Co. Inc. 45,124 7,658,897 Mondelez International Inc. 508,129 27,987,745 Pilgrim's Pride Corp. 19,597 641,116 Post Holdings Inc. 23,906 2,608,145 Sanderson Farms Inc. 7,272 1,281,472 Seaboard Corp. 89 378,299 Seneca Foods Corp. 4,552 185,676 Simply Good Foods Co. 30,318 865,276 Tootsie Roll Industries Inc. 5,952 203,201 TreeHouse Foods Inc. 19,352 938,572 Tyson Foods Inc. 106,408 9,687,384 134,745,404

Gas Utilities - 0.2% Atmos Energy Corp. 43,022 4,812,441 Chesapeake Utilities Corp. 5,147 493,237

The accompanying notes are an integral part of these combined financial statements. 42

Value Common Stock - 100.0% Shares ($)

National Fuel Gas Co. 29,343 1,365,623 New Jersey Resources Corp. 32,477 1,447,500 Northwest Natural Holding Co. 11,101 818,477 ONE Gas Inc. 18,488 1,729,922 RGC Resources Inc. 2,776 79,338 South Jersey Industries Inc. 33,859 1,116,670 Southwest Gas Holdings Inc. 19,863 1,508,992 Spire Inc. 18,048 1,503,579 UGI Corp. 76,662 3,462,056 18,337,835

Health Care Equipment & Supplies - 3.5% Abbott Laboratories 618,086 53,686,950 ABIOMED Inc. 16,317 2,783,517 Accuray Inc. 23,278 65,644 Align Technology Inc. 29,069 8,111,414 Alphatec Holdings Inc. 14,358 101,870 AngioDynamics Inc. 13,473 215,703 Antares Pharma Inc. 59,823 281,168 Apyx Medical Corp. 12,498 105,733 AtriCure Inc. 12,603 409,724 Atrion Corp. 437 328,406 Avanos Medical Inc. 15,560 524,372 Axogen Inc. 8,742 156,394 Axonics Modulation Technologies Inc. 5,200 144,092 Baxter International Inc. 171,028 14,301,361 Becton Dickinson and Co. 95,609 26,002,780 Boston Scientific Corp. 495,190 22,392,492 Cantel Medical Corp. 13,038 924,394 Cardiovascular Systems Inc. 11,310 549,553 Cerus Corp. 38,393 162,018 CONMED Corp. 9,994 1,117,629 Cooper Cos Inc. 17,832 5,729,243 CryoLife Inc. 14,379 389,527 CryoPort Inc. 9,300 153,078 Cutera Inc. 4,280 153,267 Danaher Corp. 220,622 33,861,065

The accompanying notes are an integral part of these combined financial statements. 43

Value Common Stock - 100.0% Shares ($)

DENTSPLY SIRONA Inc. 81,069 4,587,695 DexCom Inc. 33,304 7,284,917 Edwards Lifesciences Corp. 73,812 17,219,601 GenMark Diagnostics Inc. 12,300 59,163 Glaukos Corp. 14,288 778,267 Globus Medical Inc. 27,797 1,636,687 Haemonetics Corp. 18,725 2,151,503 Heska Corp. 1,913 183,533 Hill-Rom Holdings Inc. 24,545 2,786,594 Hologic Inc. 101,485 5,298,532 ICU Medical Inc. 7,055 1,320,132 IDEXX Laboratories Inc. 31,219 8,152,217 Inogen Inc. 5,928 405,060 Insulet Corp. 21,761 3,725,483 Integer Holdings Corp. 11,928 959,369 Integra LifeSciences Holdings Corp. 25,981 1,514,173 Intuitive Surgical Inc. 40,858 24,153,207 Invacare Corp. 13,401 120,877 iRhythm Technologies Inc. 9,126 621,389 Lantheus Holdings Inc. 10,989 225,384 LeMaitre Vascular Inc. 4,280 153,866 LivaNova PLC 17,852 1,346,576 Masimo Corp. 17,309 2,735,861 Medtronic PLC 481,764 54,656,126 Meridian Bioscience Inc. 14,173 138,470 Merit Medical Systems Inc. 19,958 623,089 Mesa Laboratories Inc. 1,441 359,385 Natus Medical Inc. 11,363 374,865 Neogen Corp. 20,283 1,323,669 Nevro Corp. 10,966 1,288,944 Novocure Ltd. 31,761 2,676,499 NuVasive Inc. 18,960 1,466,366 OraSure Technologies Inc. 19,158 153,839 Orthofix Medical Inc. 6,433 297,076 OrthoPediatrics Corp. 5,100 239,649 Penumbra Inc. 11,542 1,896,004 Quidel Corp. 14,619 1,096,864

The accompanying notes are an integral part of these combined financial statements. 44

Value Common Stock - 100.0% Shares ($)

ResMed Inc. 52,600 8,151,422 Rockwell Medical Inc. 10,474 25,557 RTI Surgical Holdings Inc. 76 208 SeaSpine Holdings Corp. 5,991 71,952 Shockwave Medical Inc. 2,479 108,878 SI-BONE Inc. 6,094 131,021 Sientra Inc. 14,564 130,202 Silk Road Medical Inc. 4,405 177,874 STAAR Surgical Co. 15,781 555,018 STERIS PLC 30,848 4,701,852 Stryker Corp. 122,553 25,728,777 Surmodics Inc. 4,394 182,043 Tactile Systems Technology Inc. 7,214 487,017 Tandem Diabetes Care Inc. 20,592 1,227,489 Teleflex Inc. 17,251 6,493,966 TransEnterix Inc. 6,353 9,339 Utah Medical Products Inc. 1,275 137,573 Varex Imaging Corp. 12,147 362,102 Varian Medical Systems Inc. 32,940 4,677,809 ViewRay Inc. 28,700 121,114 West Pharmaceutical Services Inc. 26,920 4,046,884 Wright Medical Group NV 46,134 1,406,164 Zimmer Biomet Holdings Inc. 75,412 11,287,668 396,884,254

Health Care Providers & Services - 2.7% Acadia Healthcare Co. Inc. 30,622 1,017,263 Addus HomeCare Corp. 3,600 349,992 Amedisys Inc. 11,444 1,910,232 American Renal Associates Holdings Inc. 6,921 71,771 AmerisourceBergen Corp. 57,125 4,856,768 AMN Healthcare Services Inc. 15,871 988,922 Anthem Inc. 90,711 27,397,443 BioTelemetry Inc. 12,220 565,786 Brookdale Senior Living Inc. 60,407 439,159 Cardinal Health Inc. 100,758 5,096,340 Centene Corp. 150,353 9,452,693

The accompanying notes are an integral part of these combined financial statements. 45

Value Common Stock - 100.0% Shares ($)

Chemed Corp. 5,616 2,466,884 Cigna Corp. 130,937 26,775,307 Community Health Systems Inc. 38,636 112,044 CorVel Corp. 3,770 329,347 Covetrus Inc. 37,011 488,545 Cross Country Healthcare Inc. 9,505 110,448 CVS Health Corp. 464,717 34,523,826 DaVita Inc. 32,549 2,442,151 Diplomat Pharmacy Inc. 14,570 58,280 Encompass Health Corp. 36,145 2,503,764 Ensign Group Inc. 17,963 814,981 Enzo Biochem Inc. 13,800 36,294 Genesis Healthcare Inc. 11,121 18,238 Guardant Health Inc. 12,900 1,008,006 Hanger Inc. 16,700 461,087 HCA Healthcare Inc. 95,478 14,112,603 HealthEquity Inc. 25,407 1,881,896 Henry Schein Inc. 55,178 3,681,476 Humana Inc. 47,044 17,242,567 Joint Corp. 3,300 53,262 Laboratory Corp. of America Holdings 36,108 6,108,390 LHC Group Inc. 10,653 1,467,557 Magellan Health Inc. 8,145 637,346 McKesson Corp. 63,174 8,738,228 MEDNAX Inc. 30,014 834,089 Molina Healthcare Inc. 22,935 3,112,050 National HealthCare Corp. 4,479 387,120 National Research Corp. 3,560 234,746 Option Care Health Inc. 26,652 99,412 Owens & Minor Inc. 19,639 101,534 Patterson Cos Inc. 27,825 569,856 Pennant Group Inc. 8,981 297,002 PetIQ Inc. 11,100 278,055 Premier Inc. 17,641 668,241 Providence Service Corp. 4,372 258,735 Quest Diagnostics Inc. 49,280 5,262,611 R1 RCM Inc. 34,870 452,613

The accompanying notes are an integral part of these combined financial statements. 46

Value Common Stock - 100.0% Shares ($)

RadNet Inc. 15,752 319,766 Select Medical Holdings Corp. 40,285 940,252 Surgery Partners Inc. 9,098 142,429 Tenet Healthcare Corp. 37,682 1,433,046 Tivity Health Inc. 17,445 354,919 Triple-S Management Corp. 8,457 156,370 UnitedHealth Group Inc. 339,908 99,926,154 Universal Health Services Inc. 29,197 4,188,602 US Physical Therapy Inc. 4,603 526,353 WellCare Health Plans Inc. 18,559 6,128,367 304,891,218

Health Care Technology - 0.2% Allscripts Healthcare Solutions Inc. 69,265 679,836 Castlight Health Inc. 17,300 23,009 Cerner Corp. 109,325 8,023,362 Change Healthcare Inc. 18,386 301,347 Computer Programs & Systems Inc. 3,839 101,350 Evolent Health Inc. 20,125 182,131 Health Catalyst Inc. 3,063 106,286 HealthStream Inc. 8,571 233,131 HMS Holdings Corp. 31,731 939,238 Inovalon Holdings Inc. 26,195 492,990 Inspire Medical Systems Inc. 6,000 445,260 Livongo Health Inc. 3,700 92,722 NextGen Healthcare Inc. 17,092 274,668 Omnicell Inc. 15,101 1,234,054 OptimizeRx Corp. 4,600 47,242 Phreesia Inc. 3,822 101,818 Simulations Plus Inc. 2,700 78,489 Tabula Rasa HealthCare Inc. 8,276 402,876 Teladoc Health Inc. 26,161 2,190,199 Veeva Systems Inc. 47,602 6,695,697 Vocera Communications Inc. 8,475 175,941 22,821,646

The accompanying notes are an integral part of these combined financial statements. 47

Value Common Stock - 100.0% Shares ($)

Hotels, Restaurants & Leisure - 2.1% Aramark 89,930 3,902,962 BBX Capital Corp. 11,790 56,238 Biglari Holdings Inc. 327 37,415 BJ's Restaurants Inc. 8,089 307,058 Bloomin' Brands Inc. 29,087 641,950 Boyd Gaming Corp. 27,691 829,069 Brinker International Inc. 15,672 658,224 Caesars Entertainment Corp. 209,078 2,843,461 Carnival Corp. 146,241 7,433,430 Carrols Restaurant Group Inc. 11,419 80,504 Century Casinos Inc. 10,276 81,386 Cheesecake Factory Inc. 14,291 555,348 Chipotle Mexican Grill Inc. 9,478 7,934,129 Choice Hotels International Inc. 12,363 1,278,705 Churchill Downs Inc. 13,084 1,795,125 Chuy's Holdings Inc. 5,099 132,166 Cracker Barrel Old Country Store Inc. 6,866 1,055,579 Darden Restaurants Inc. 45,333 4,941,750 Dave & Buster's Entertainment Inc. 13,415 538,881 Del Taco Restaurants Inc. 8,800 69,564 Denny's Corp. 21,363 424,696 Dine Brands Global Inc. 5,553 463,787 Domino's Pizza Inc. 15,115 4,440,485 Drive Shack Inc. 20,800 76,128 Dunkin' Brands Group Inc. 30,301 2,288,938 El Pollo Loco Holdings Inc. 7,747 117,290 Eldorado Resorts Inc. 23,542 1,404,045 Everi Holdings Inc. 25,223 338,745 Extended Stay America Inc. 66,302 985,248 Fiesta Restaurant Group Inc. 9,052 89,524 Golden Entertainment Inc. 3,100 59,582 Habit Restaurants Inc. 7,747 80,801 Hilton Grand Vacations Inc. 38,373 1,319,647 Hilton Worldwide Holdings Inc. 98,183 10,889,477 Hyatt Hotels Corp. 13,615 1,221,402 International Game Technology PLC 35,553 532,228

The accompanying notes are an integral part of these combined financial statements. 48

Value Common Stock - 100.0% Shares ($)

J Alexander's Holdings Inc. 4,919 47,026 Jack in the Box Inc. 9,495 740,895 Las Vegas Sands Corp. 125,772 8,683,299 Lindblad Expeditions Holdings Inc. 7,200 117,720 Marriott International Inc. 97,370 14,744,739 Marriott Vacations Worldwide Corp. 15,208 1,958,182 McDonald's Corp. 270,476 53,448,762 MGM Resorts International 185,405 6,168,424 Monarch Casino & Resort Inc. 3,669 178,130 Nathan's Famous Inc. 1,130 80,094 Noodles & Co. 1,500 8,310 Norwegian Cruise Line Holdings Ltd. 72,403 4,229,059 Papa John's International Inc. 8,584 542,080 Penn National Gaming Inc. 40,242 1,028,586 Planet Fitness Inc. 31,408 2,345,549 PlayAGS Inc. 12,700 154,051 Potbelly Corp. 8,100 34,182 RCI Hospitality Holdings Inc. 3,400 69,700 Red Robin Gourmet Burgers Inc. 4,215 139,179 Red Rock Resorts Inc. 23,725 568,214 Royal Caribbean Cruises Ltd. 62,995 8,410,462 Ruth's Hospitality Group Inc. 11,626 253,040 Scientific Games Corp. 18,057 483,566 SeaWorld Entertainment Inc. 17,727 562,123 Shake Shack Inc. 10,637 633,646 Six Flags Entertainment Corp. 29,269 1,320,325 Starbucks Corp. 422,977 37,188,138 Target Hospitality Corp. 10,500 52,500 Texas Roadhouse Inc. 23,445 1,320,422 Twin River Worldwide Holdings Inc. 7,441 190,862 Vail Resorts Inc. 14,736 3,534,135 Wendy's Co. 68,266 1,516,188 Wingstop Inc. 10,772 928,870 Wyndham Destinations Inc. 32,132 1,660,903 Wyndham Hotels & Resorts Inc. 30,032 1,886,310 Wynn Resorts Ltd. 33,549 4,658,950 Yum China Holdings Inc. 133,112 6,390,707

The accompanying notes are an integral part of these combined financial statements. 49

Value Common Stock - 100.0% Shares ($)

Yum! Brands Inc. 106,674 10,745,272 236,927,567

Household Durables - 0.5% Bassett Furniture Industries Inc. 3,187 53,159 Beazer Homes USA Inc. 10,803 152,646 Cavco Industries Inc. 3,158 617,010 Century Communities Inc. 8,790 240,407 DR Horton Inc. 116,511 6,145,955 Ethan Allen Interiors Inc. 6,639 126,539 Flexsteel Industries Inc. 1,600 31,872 Garmin Ltd. 53,134 5,183,753 GoPro Inc. 34,059 147,816 Green Brick Partners Inc. 5,405 62,049 Hamilton Beach Brands Holding Co. 4,094 78,195 Helen of Troy Ltd. 8,837 1,588,804 Hooker Furniture Corp. 3,551 91,225 Installed Building Products Inc. 8,271 569,624 iRobot Corp. 10,038 508,224 KB Home 32,154 1,101,918 La-Z-Boy Inc. 15,549 489,483 Leggett & Platt Inc. 49,189 2,500,277 Lennar Corp. 103,209 5,758,030 Lennar Corp. 5,736 256,399 LGI Homes Inc. 6,542 462,192 Lifetime Brands Inc. 3,998 27,786 M/I Homes Inc. 8,906 350,451 MDC Holdings Inc. 18,186 693,978 Meritage Homes Corp. 13,839 845,701 Mohawk Industries Inc. 22,798 3,109,191 Newell Brands Inc. 124,617 2,395,139 NVR Inc. 1,195 4,551,050 PulteGroup Inc. 84,778 3,289,386 Roku Inc. 31,341 4,196,560 Skyline Champion Corp. 18,598 589,557 Sonos Inc. 26,400 412,368 Taylor Morrison Home Corp. 44,267 967,677

The accompanying notes are an integral part of these combined financial statements. 50

Value Common Stock - 100.0% Shares ($)

Tempur Sealy International Inc. 16,868 1,468,528 Toll Brothers Inc. 48,761 1,926,547 TopBuild Corp. 11,956 1,232,424 TRI Pointe Group Inc. 51,704 805,548 Tupperware Brands Corp. 16,883 144,856 Universal Electronics Inc. 4,337 226,652 Whirlpool Corp. 22,744 3,355,422 William Lyon Homes 9,107 181,958 ZAGG Inc. 5,700 46,227 56,982,583

Household Products - 1.4% Central Garden & Pet Co. 2,459 76,401 Central Garden & Pet Co. 15,404 452,261 Church & Dwight Co. Inc. 91,318 6,423,308 Clorox Co. 46,306 7,109,823 Colgate-Palmolive Co. 299,585 20,623,431 Energizer Holdings Inc. 23,061 1,158,123 Kimberly-Clark Corp. 121,379 16,695,681 Oil-Dri Corp. of America. 1,915 69,419 Procter & Gamble Co. 889,178 111,058,332 Spectrum Brands Holdings Inc. 17,451 1,121,925 WD-40 Co. 4,861 943,715 165,732,419

Independent Power and Renewable Electricity Producers - 0.1% AES Corp. 227,349 4,524,245 Atlantic Power Corp. 42,700 99,491 Clearway Energy Inc. 11,656 222,863 Clearway Energy Inc. 27,105 540,745 NRG Energy Inc. 97,177 3,862,786 Ormat Technologies Inc. 14,523 1,082,254 Pattern Energy Group Inc. 32,458 868,414 TerraForm Power Inc. 25,183 387,566 Vistra Energy Corp. 155,667 3,578,784 15,167,148

The accompanying notes are an integral part of these combined financial statements. 51

Value Common Stock - 100.0% Shares ($)

Industrial Conglomerates - 1.2% 3M Co. 200,344 35,344,688 Carlisle Cos Inc. 20,594 3,332,933 General Electric Co. 3,098,143 34,575,276 Honeywell International Inc. 257,849 45,639,273 Raven Industries Inc. 12,955 446,429 Roper Technologies Inc. 37,703 13,355,534 132,694,133

Insurance - 2.6% Aflac Inc. 257,246 13,608,313 Alleghany Corp. 5,104 4,081,005 Allstate Corp. 114,456 12,870,577 Ambac Financial Group Inc. 14,400 310,608 American Equity Investment Life Holding Co. 33,151 992,209 American Financial Group Inc. 27,119 2,973,598 American International Group Inc. 309,064 15,864,255 American National Insurance Co. 2,581 303,732 AMERISAFE Inc. 6,886 454,683 Aon PLC 83,260 17,342,225 Arch Capital Group Ltd. 140,795 6,038,698 Argo Group International Holdings Ltd. 11,974 787,291 Arthur J Gallagher & Co. 67,601 6,437,643 Assurant Inc. 23,484 3,078,283 Assured Guaranty Ltd. 37,891 1,857,417 Athene Holding Ltd. 56,878 2,674,972 Axis Capital Holdings Ltd. 30,412 1,807,689 Brighthouse Financial Inc. 41,844 1,641,540 Brown & Brown Inc. 86,750 3,424,890 Chubb Ltd. 160,893 25,044,604 Cincinnati Financial Corp. 55,975 5,885,771 Citizens Inc. 18,345 123,829 CNA Financial Corp. 9,691 434,254 CNO Financial Group Inc. 59,995 1,087,709 Crawford & Co. 6,198 71,091 Donegal Group Inc. 3,174 47,039 eHealth Inc. 7,993 767,967

The accompanying notes are an integral part of these combined financial statements. 52

Value Common Stock - 100.0% Shares ($)

Employers Holdings Inc. 10,394 433,950 Enstar Group Ltd. 4,156 859,710 Erie Indemnity Co. 8,777 1,456,982 Everest Re Group Ltd. 14,741 4,080,898 FBL Financial Group Inc. 3,332 196,355 FedNat Holding Co. 3,700 61,531 Fidelity National Financial Inc. 96,184 4,361,944 First American Financial Corp. 40,107 2,339,040 Genworth Financial Inc. 174,052 765,829 Global Indemnity Ltd. 3,064 90,786 Globe Life Inc. 39,916 4,201,159 Goosehead Insurance Inc. 4,305 182,532 Greenlight Capital Re Ltd. 9,845 99,533 Hallmark Financial Services Inc. 4,731 83,124 Hanover Insurance Group Inc. 14,446 1,974,335 Hartford Financial Services Group Inc. 132,478 8,050,688 HCI Group Inc. 3,096 141,332 Health Insurance Innovations Inc. 3,642 70,254 Heritage Insurance Holdings Inc. 8,468 112,201 Horace Mann Educators Corp. 15,048 656,996 Independence Holding Co. 992 41,743 Investors Title Co. 561 89,311 James River Group Holdings Ltd. 10,851 447,170 Kemper Corp. 23,177 1,796,218 Kinsale Capital Group Inc. 6,824 693,728 Lincoln National Corp. 73,348 4,328,265 Loews Corp. 96,602 5,070,639 Markel Corp. 4,988 5,702,132 Marsh & McLennan Cos Inc. 180,668 20,128,222 MBIA Inc. 29,749 276,666 Mercury General Corp. 9,795 477,310 MetLife Inc. 275,661 14,050,441 National General Holdings Corp. 21,897 483,924 National Western Life Group Inc. 879 255,684 NI Holdings Inc. 800 13,760 Old Republic International Corp. 103,553 2,316,481 Palomar Holdings Inc. 1,400 70,686

The accompanying notes are an integral part of these combined financial statements. 53

Value Common Stock - 100.0% Shares ($)

Primerica Inc. 14,855 1,939,469 Principal Financial Group Inc. 100,629 5,534,595 ProAssurance Corp. 17,852 645,171 Progressive Corp. 206,816 14,971,410 Protective Insurance Corp. 1,233 19,839 Prudential Financial Inc. 143,635 13,464,345 Reinsurance Group of America Inc. 23,018 3,753,315 RenaissanceRe Holdings Ltd. 16,066 3,149,257 RLI Corp. 14,636 1,317,533 Safety Insurance Group Inc. 5,075 469,590 Selective Insurance Group Inc. 21,184 1,380,985 State Auto Financial Corp. 6,391 198,249 Stewart Information Services Corp. 7,889 321,792 Third Point Reinsurance Ltd. 25,300 266,156 Tiptree Inc. 3,600 29,304 Travelers Cos Inc. 91,224 12,493,127 Trupanion Inc. 10,505 393,517 United Fire Group Inc. 6,561 286,913 United Insurance Holdings Corp. 2,800 35,308 Universal Insurance Holdings Inc. 10,115 283,119 Unum Group 79,471 2,317,374 Watford Holdings Ltd. 7,644 192,323 White Mountains Insurance Group Ltd. 1,107 1,234,870 Willis Towers Watson PLC 47,408 9,573,572 WR Berkley Corp. 52,846 3,651,659 294,396,243

Interactive Media & Services - 4.3% Alphabet Inc. 107,866 144,218,999 Alphabet Inc. 107,734 144,297,842 Care.com Inc. 3,700 55,611 Cargurus Inc. 25,697 904,020 Cars.com Inc. 23,131 282,661 Eventbrite Inc. 15,800 318,686 EverQuote Inc. 3,305 113,527 Facebook Inc. 860,307 176,578,012 IAC 27,316 6,804,689

The accompanying notes are an integral part of these combined financial statements. 54

Value Common Stock - 100.0% Shares ($)

Liberty TripAdvisor Holdings Inc. 22,363 164,368 Match Group Inc. 19,212 1,577,497 Meet Group Inc. 15,300 76,653 QuinStreet Inc. 12,582 192,630 TripAdvisor Inc. 38,932 1,182,754 TrueCar Inc. 38,413 182,462 Twitter Inc. 279,162 8,947,142 Yelp Inc. 26,104 909,202 Zillow Group Inc. 20,720 947,733 Zillow Group Inc. 45,522 2,091,281 489,845,769

Internet & Direct Marketing Retail - 2.9% 1-800-Flowers.com Inc. 8,721 126,455 Amazon.com Inc. 148,922 275,184,028 Booking Holdings Inc. 14,929 30,660,135 eBay Inc. 271,029 9,786,857 Etsy Inc. 42,288 1,873,358 Expedia Group Inc. 50,903 5,504,650 Groupon Inc. 162,149 387,536 GrubHub Inc. 32,388 1,575,352 Lands' End Inc. 6,154 103,387 Liquidity Services Inc. 9,692 57,764 Overstock.com Inc. 6,229 43,914 PetMed Express Inc. 6,320 148,646 Quotient Technology Inc. 22,025 217,167 Qurate Retail Inc. 149,662 1,261,651 RealReal Inc. 6,611 124,617 Rubicon Project Inc. 27,400 223,584 Shutterstock Inc. 7,002 300,246 Stamps.com Inc. 5,458 455,852 Stitch Fix Inc. 15,590 400,039 Wayfair Inc. 22,422 2,026,276 330,461,514

IT Services - 5.1% Accenture PLC 228,638 48,144,304

The accompanying notes are an integral part of these combined financial statements. 55

Value Common Stock - 100.0% Shares ($)

Akamai Technologies Inc. 59,046 5,100,393 Alliance Data Systems Corp. 14,844 1,665,497 Amdocs Ltd. 49,888 3,601,415 Automatic Data Processing Inc. 155,451 26,504,396 Black Knight Inc. 52,763 3,402,158 Booz Allen Hamilton Holding Corp. 50,073 3,561,692 Brightcove Inc. 12,100 105,149 Broadridge Financial Solutions Inc. 41,818 5,166,196 CACI International Inc. 9,052 2,262,909 Cardtronics PLC 14,214 634,655 Cass Information Systems Inc. 5,128 296,091 Cognizant Technology Solutions Corp. 202,575 12,563,702 Conduent Inc. 71,397 442,661 CoreLogic Inc. 29,158 1,274,496 CSG Systems International Inc. 11,292 584,700 DXC Technology Co. 95,539 3,591,311 Endurance International Group Holdings Inc. 14,388 67,624 EPAM Systems Inc. 19,021 4,035,495 Euronet Worldwide Inc. 18,351 2,891,384 EVERTEC Inc. 22,206 755,892 Evo Payments Inc. 13,019 343,832 ExlService Holdings Inc. 12,260 851,580 Fidelity National Information Services Inc. 218,168 30,344,987 Fiserv Inc. 201,210 23,265,912 FleetCor Technologies Inc. 31,318 9,010,815 Gartner Inc. 32,113 4,948,613 Genpact Ltd. 68,893 2,905,218 Global Payments Inc. 106,102 19,369,981 GoDaddy Inc. 64,680 4,393,066 GTT Communications Inc. 12,179 138,232 Hackett Group Inc. 9,059 146,212 I3 Verticals Inc. 5,475 154,669 International Business Machines Corp. 317,955 42,618,688 International Money Express Inc. 5,165 62,187 Jack Henry & Associates Inc. 28,259 4,116,489 KBR Inc. 43,144 1,315,892 Leidos Holdings Inc. 50,042 4,898,611

The accompanying notes are an integral part of these combined financial statements. 56

Value Common Stock - 100.0% Shares ($)

Limelight Networks Inc. 37,835 154,367 LiveRamp Holdings Inc. 29,190 1,403,163 ManTech International Corp. 10,027 800,957 Mastercard Inc. 318,800 95,190,492 MAXIMUS Inc. 24,290 1,806,933 MongoDB Inc. 15,340 2,018,897 NIC Inc. 24,130 539,306 Okta Inc. 37,593 4,337,104 Paychex Inc. 118,109 10,046,352 PayPal Holdings Inc. 421,357 45,578,187 Paysign Inc. 18,100 183,715 Perficient Inc. 12,106 557,723 Perspecta Inc. 51,744 1,368,111 Sabre Corp. 101,061 2,267,809 Science Applications International Corp. 21,373 1,859,878 Square Inc. 124,781 7,806,299 Switch Inc. 19,109 283,195 Sykes Enterprises Inc. 13,983 517,231 TTEC Holdings Inc. 3,846 152,379 Tucows Inc. 2,732 168,783 Twilio Inc. 43,936 4,318,030 Unisys Corp. 16,537 196,129 VeriSign Inc. 38,607 7,438,797 Verra Mobility Corp. 42,807 598,870 Virtusa Corp. 10,648 482,674 Visa Inc. 616,413 115,824,003 Western Union Co. 155,928 4,175,752 WEX Inc. 15,795 3,308,421 588,920,661

Leisure Products - 0.1% Acushnet Holdings Corp. 12,540 407,550 American Outdoor Brands Corp. 20,166 187,140 Brunswick Corp. 31,302 1,877,494 Callaway Golf Co. 34,301 727,181 Clarus Corp. 5,900 80,004 Hasbro Inc. 46,063 4,864,713

The accompanying notes are an integral part of these combined financial statements. 57

Value Common Stock - 100.0% Shares ($)

Johnson Outdoors Inc. 1,552 119,038 Malibu Boats Inc. 7,591 310,851 Marine Products Corp. 3,643 52,459 MasterCraft Boat Holdings Inc. 4,189 65,977 Mattel Inc. 123,712 1,676,298 Polaris Inc. 21,138 2,149,735 Sturm Ruger & Co. Inc. 5,305 249,494 Vista Outdoor Inc. 21,517 160,947 YETI Holdings Inc. 14,989 521,317 13,450,198

Life Sciences Tools & Services - 1.1% Accelerate Diagnostics Inc. 7,285 123,117 Adaptive Biotechnologies Corp. 6,198 185,444 Agilent Technologies Inc. 114,063 9,730,715 Avantor Inc. 93,200 1,691,580 Bio-Rad Laboratories Inc. 7,845 2,902,885 Bio-Techne Corp. 13,804 3,030,116 Bruker Corp. 37,514 1,912,089 Charles River Laboratories International Inc. 17,688 2,702,019 Codexis Inc. 23,073 368,937 Fluidigm Corp. 30,171 104,995 Illumina Inc. 52,163 17,304,554 IQVIA Holdings Inc. 62,153 9,603,260 Luminex Corp. 14,624 338,692 Medpace Holdings Inc. 10,138 852,200 Mettler-Toledo International Inc. 9,006 7,144,280 NanoString Technologies Inc. 16,000 445,120 NeoGenomics Inc. 35,022 1,024,394 Pacific Biosciences of California Inc. 62,387 320,669 PerkinElmer Inc. 37,326 3,624,355 PRA Health Sciences Inc. 22,816 2,535,998 QIAGEN NV 81,801 2,764,874 Quanterix Corp. 3,700 87,431 Syneos Health Inc. 24,872 1,479,262 Thermo Fisher Scientific Inc. 143,019 46,462,583

The accompanying notes are an integral part of these combined financial statements. 58

Value Common Stock - 100.0% Shares ($)

Waters Corp. 22,013 5,143,337 121,882,906

Machinery - 1.9% Actuant Corp. 18,612 484,470 AGCO Corp. 22,958 1,773,506 Alamo Group Inc. 3,312 415,822 Albany International Corp. 11,246 853,796 Allison Transmission Holdings Inc. 40,597 1,961,647 Altra Industrial Motion Corp. 23,640 856,004 Astec Industries Inc. 7,244 304,248 Barnes Group Inc. 17,250 1,068,810 Blue Bird Corp. 5,611 128,604 Briggs & Stratton Corp. 14,556 96,943 Caterpillar Inc. 191,661 28,304,496 Chart Industries Inc. 13,023 878,922 CIRCOR International Inc. 7,187 332,327 Colfax Corp. 32,433 1,179,913 Columbus McKinnon Corp. 8,572 343,137 Commercial Vehicle Group Inc. 9,300 59,055 Crane Co. 18,483 1,596,562 Cummins Inc. 52,555 9,405,243 Deere & Co. 111,979 19,401,482 Donaldson Co. Inc. 46,869 2,700,592 Douglas Dynamics Inc. 7,667 421,685 Dover Corp. 53,313 6,144,856 Energy Recovery Inc. 11,900 116,501 EnPro Industries Inc. 7,595 507,954 ESCO Technologies Inc. 8,672 802,160 Evoqua Water Technologies Corp. 26,885 509,471 Federal Signal Corp. 21,859 704,953 Flowserve Corp. 47,145 2,346,407 Fortive Corp. 103,297 7,890,858 Franklin Electric Co. Inc. 16,953 971,746 Gardner Denver Holdings Inc. 41,150 1,509,382 Gates Industrial Corp. PLC 13,900 191,264 Gorman-Rupp Co. 6,535 245,063

The accompanying notes are an integral part of these combined financial statements. 59

Value Common Stock - 100.0% Shares ($)

Graco Inc. 60,698 3,156,296 Graham Corp. 3,765 82,378 Greenbrier Cos Inc. 11,823 383,420 Harsco Corp. 29,127 670,212 Helios Technologies Inc. 12,051 557,118 Hillenbrand Inc. 26,703 889,477 Hurco Cos Inc. 2,269 87,039 Hyster-Yale Materials Handling Inc. 2,909 171,515 IDEX Corp. 28,946 4,978,712 Illinois Tool Works Inc. 114,072 20,490,753 Ingersoll-Rand PLC 88,557 11,770,996 ITT Inc. 32,245 2,383,228 John Bean Technologies Corp. 12,105 1,363,749 Kadant Inc. 4,064 428,102 Kennametal Inc. 29,462 1,086,853 LB Foster Co. 3,822 74,070 Lincoln Electric Holdings Inc. 22,586 2,184,744 Lindsay Corp. 3,611 346,620 Luxfer Holdings PLC 9,800 181,398 Lydall Inc. 5,178 106,253 Manitowoc Co. Inc. 10,700 187,250 Meritor Inc. 29,089 761,841 Middleby Corp. 19,809 2,169,482 Miller Industries Inc. 2,327 86,402 Mueller Industries Inc. 20,791 660,114 Mueller Water Products Inc. 52,936 634,173 Navistar International Corp. 18,129 524,653 NN Inc. 9,104 84,212 Nordson Corp. 21,071 3,431,202 Omega Flex Inc. 1,529 164,046 Oshkosh Corp. 26,662 2,523,558 PACCAR Inc. 124,839 9,874,765 Parker-Hannifin Corp. 47,123 9,698,856 Park-Ohio Holdings Corp. 2,815 94,725 Pentair PLC 61,562 2,823,849 Proto Labs Inc. 9,853 1,000,572 RBC Bearings Inc. 8,851 1,401,467

The accompanying notes are an integral part of these combined financial statements. 60

Value Common Stock - 100.0% Shares ($)

REV Group Inc. 7,922 96,886 Rexnord Corp. 38,477 1,255,120 Snap-on Inc. 20,158 3,414,765 Spartan Motors Inc. 11,474 207,450 SPX Corp. 15,986 813,368 SPX FLOW Inc. 14,305 699,085 Standex International Corp. 4,006 317,876 Stanley Black & Decker Inc. 55,658 9,224,757 Tennant Co. 5,793 451,391 Terex Corp. 23,259 692,653 Timken Co. 24,044 1,353,918 Titan International Inc. 14,661 53,073 Toro Co. 38,966 3,104,421 TriMas Corp. 16,700 524,547 Trinity Industries Inc. 45,535 1,008,600 Wabash National Corp. 18,427 270,693 WABCO Holdings Inc. 18,408 2,494,284 Wabtec Corp. 66,005 5,135,189 Watts Water Technologies Inc. 10,028 1,000,393 Welbilt Inc. 47,545 742,177 Woodward Inc. 20,247 2,398,055 Xylem Inc. 65,593 5,168,072 222,448,752

Marine - 0.0% Costamare Inc. 16,847 160,552 Eagle Bulk Shipping Inc. 16,733 76,972 Kirby Corp. 21,090 1,888,188 Matson Inc. 14,236 580,829 Scorpio Bulkers Inc. 14,987 95,467 2,802,008

Media - 1.5% Altice USA Inc. 115,900 3,168,706 AMC Networks Inc. 14,739 582,191 Boston Omaha Corp. 3,925 82,582 Cable One Inc. 1,641 2,442,579

The accompanying notes are an integral part of these combined financial statements. 61

Value Common Stock - 100.0% Shares ($)

Cardlytics Inc. 5,165 324,672 Central European Media Enterprises Ltd. 20,566 93,164 Charter Communications Inc. 54,812 26,588,205 Clear Channel Outdoor Holdings Inc. 13,473 38,533 Comcast Corp. 1,618,420 72,780,347 comScore Inc. 18,489 91,336 Cumulus Media Inc. 5,371 94,368 Daily Journal Corp. 300 87,126 Discovery Inc. 57,426 1,880,127 Discovery Inc. 128,234 3,909,855 DISH Network Corp. 92,352 3,275,725 Emerald Expositions Events Inc. 3,800 40,090 Entercom Communications Corp. 42,434 196,894 Entravision Communications Corp. 21,696 56,844 EW Scripps Co. 29,979 470,970 Fox Corp. 128,902 4,778,397 Fox Corp. 59,889 2,179,960 Gannett Co. Inc. 32,542 207,618 Gray Television Inc. 33,540 719,098 Hemisphere Media Group Inc. 6,365 94,520 Interpublic Group of Cos Inc. 144,726 3,343,171 John Wiley & Sons Inc. 14,792 717,708 Liberty Broadband Corp. 9,057 1,128,140 Liberty Broadband Corp. 38,740 4,871,555 Liberty Latin America Ltd. 15,800 304,940 Liberty Latin America Ltd. 41,673 810,957 Liberty Media Corp-Liberty SiriusXM 31,004 1,498,733 Liberty Media Corp-Liberty SiriusXM 56,652 2,727,227 Loral Space & Communications Inc. 3,277 105,913 MDC Partners Inc. 14,723 40,930 Media General, Inc. CVR1 37,754 3,775 Meredith Corp. 13,174 427,760 MSG Networks Inc. 21,623 376,240 National CineMedia Inc. 18,983 138,386 New York Times Co. 59,542 1,915,466 News Corp. 141,446 2,000,046 News Corp. 59,691 866,116

The accompanying notes are an integral part of these combined financial statements. 62

Value Common Stock - 100.0% Shares ($)

Nexstar Media Group Inc. 16,448 1,928,528 Omnicom Group Inc. 79,328 6,427,155 Saga Communications Inc. 1,353 41,131 Scholastic Corp. 10,859 417,529 Sinclair Broadcast Group Inc. 22,640 754,818 Sirius XM Holdings Inc. 503,524 3,600,197 TechTarget Inc. 8,479 221,302 TEGNA Inc. 79,610 1,328,691 Tribune Publishing Co. 8,000 105,280 ViacomCBS Inc. 1,899 85,208 ViacomCBS Inc. 199,007 8,352,324 WideOpenWest Inc. 1,300 9,646 168,732,779

Metals & Mining - 0.4% AK Steel Holding Corp. 98,343 323,548 Alcoa Corp. 65,659 1,412,325 Allegheny Technologies Inc. 43,507 898,855 Carpenter Technology Corp. 16,947 843,622 Century Aluminum Co. 18,579 139,621 Cleveland-Cliffs Inc. 95,585 802,914 Coeur Mining Inc. 80,926 653,882 Commercial Metals Co. 43,310 964,514 Compass Minerals International Inc. 11,334 690,921 Ferroglobe Representation & Warranty Insurance Trust1 14,821 0 Freeport-McMoRan Inc. 532,475 6,986,072 Gold Resource Corp. 13,300 73,682 Haynes International Inc. 4,256 152,280 Hecla Mining Co. 176,544 598,484 Kaiser Aluminum Corp. 5,528 613,000 Materion Corp. 6,964 414,010 Newmont Goldcorp Corp. 210,762 9,157,609 Newmont Goldcorp Corp. 90,429 3,935,849 Novagold Resources Inc. 84,500 757,120 Nucor Corp. 111,965 6,301,390 Olympic Steel Inc. 3,389 60,731 Reliance Steel & Aluminum Co. 24,337 2,914,599

The accompanying notes are an integral part of these combined financial statements. 63

Value Common Stock - 100.0% Shares ($)

Royal Gold Inc. 24,056 2,940,846 Ryerson Holding Corp. 6,094 72,092 Schnitzer Steel Industries Inc. 8,980 194,686 Southern Copper Corp. 30,375 1,290,330 Steel Dynamics Inc. 77,107 2,624,722 SunCoke Energy Inc. 22,102 137,695 TimkenSteel Corp. 14,616 114,882 United States Steel Corp. 58,623 668,888 Warrior Met Coal Inc. 19,015 401,787 Worthington Industries Inc. 14,252 601,149 47,742,105

Mortgage Real Estate Investment Trusts (REITs) - 0.0% Arlington Asset Investment Corp. 7,871 43,841 Ellington Financial Inc. 11,569 212,060 255,901

Multiline Retail - 0.5% Big Lots Inc. 15,337 440,479 Dillard's Inc. 3,740 274,815 Dollar General Corp. 91,984 14,347,664 Dollar Tree Inc. 86,144 8,101,843 JC Penney Co. Inc. 102,063 114,311 Kohl's Corp. 59,800 3,046,810 Macy's Inc. 113,629 1,931,693 Nordstrom Inc. 38,673 1,582,886 Ollie's Bargain Outlet Holdings Inc. 19,503 1,273,741 Target Corp. 177,861 22,803,559 53,917,801

Multi-Utilities - 1.0% Ameren Corp. 90,045 6,915,456 Avista Corp. 24,045 1,156,324 Black Hills Corp. 22,321 1,753,091 CenterPoint Energy Inc. 182,252 4,970,012 CMS Energy Corp. 104,009 6,535,926 Consolidated Edison Inc. 122,233 11,058,420

The accompanying notes are an integral part of these combined financial statements. 64

Value Common Stock - 100.0% Shares ($)

Dominion Energy Inc. 293,442 24,302,866 DTE Energy Co. 68,375 8,879,861 MDU Resources Group Inc. 72,257 2,146,755 NiSource Inc. 138,706 3,861,575 NorthWestern Corp. 18,156 1,301,241 Public Service Enterprise Group Inc. 185,458 10,951,295 Sempra Energy 100,083 15,160,573 Unitil Corp. 4,752 293,769 WEC Energy Group Inc. 116,011 10,699,695 109,986,859

Oil, Gas & Consumable Fuels - 3.6% Abraxas Petroleum Corp. 34,964 12,276 Antero Midstream Corp. 80,000 607,200 Antero Resources Corp. 78,225 222,941 Apache Corp. 138,528 3,544,932 Arch Coal Inc. 5,446 390,696 Ardmore Shipping Corp. 12,602 114,048 Berry Petroleum Corp. 23,647 222,991 Bonanza Creek Energy Inc. 6,830 159,412 Brigham Minerals Inc. 6,094 130,655 Cabot Oil & Gas Corp. 151,570 2,638,834 California Resources Corp. 13,110 118,383 Callon Petroleum Co. 117,697 568,477 Centennial Resource Development Inc. 57,779 266,939 Cheniere Energy Inc. 85,583 5,226,554 Chesapeake Energy Corp. 483,348 399,052 Chevron Corp. 685,269 82,581,767 Cimarex Energy Co. 31,573 1,657,267 Clean Energy Fuels Corp. 42,429 99,284 CNX Resources Corp. 66,623 589,614 Concho Resources Inc. 73,174 6,407,847 ConocoPhillips 392,294 25,510,879 CONSOL Energy Inc. 9,449 137,105 Continental Resources Inc. 31,950 1,095,885 Contura Energy Inc. 3,600 32,580 CVR Energy Inc. 10,875 439,676

The accompanying notes are an integral part of these combined financial statements. 65

Value Common Stock - 100.0% Shares ($)

Delek US Holdings Inc. 29,079 975,019 Denbury Resources Inc. 117,886 166,219 Devon Energy Corp. 146,806 3,812,552 DHT Holdings Inc. 28,503 236,005 Diamond S Shipping Inc. 8,367 140,064 Diamondback Energy Inc. 60,264 5,596,115 Dorian LPG Ltd. 10,292 159,320 Earthstone Energy Inc. 4,200 26,586 Energy Fuels Inc. 9,700 18,527 EOG Resources Inc. 206,341 17,283,122 EQT Corp. 87,153 949,968 Equitrans Midstream Corp. 72,680 971,005 Evolution Petroleum Corp. 5,784 31,638 Extraction Oil & Gas Inc. 30,283 64,200 Exxon Mobil Corp. 1,522,578 106,245,493 Falcon Minerals Corp. 14,564 102,822 GasLog Ltd. 14,115 138,186 Golar LNG Ltd. 33,564 477,280 Green Plains Inc. 12,030 185,623 Gulfport Energy Corp. 51,699 157,165 Hess Corp. 99,848 6,670,845 HighPoint Resources Corp. 18,611 31,453 HollyFrontier Corp. 55,819 2,830,581 International Seaways Inc. 9,315 277,214 Jagged Peak Energy Inc. 24,205 205,500 Kinder Morgan Inc. 692,048 14,650,656 Kosmos Energy Ltd. 133,503 760,967 Laredo Petroleum Inc. 54,235 155,654 Magnolia Oil & Gas Corp. 52,300 657,934 Marathon Oil Corp. 293,735 3,988,921 Marathon Petroleum Corp. 227,939 13,733,325 Matador Resources Co. 40,779 732,799 Montage Resources Corp. 546 4,335 Murphy Oil Corp. 63,372 1,698,370 NACCO Industries Inc. 2,047 95,861 Noble Energy Inc. 173,441 4,308,274 Nordic American Tankers Ltd. 51,516 253,459

The accompanying notes are an integral part of these combined financial statements. 66

Value Common Stock - 100.0% Shares ($)

Northern Oil and Gas Inc. 107,436 251,400 Oasis Petroleum Inc. 117,611 383,412 Occidental Petroleum Corp. 329,939 13,596,786 ONEOK Inc. 151,404 11,456,741 Panhandle Oil and Gas Inc. 5,602 62,798 Par Pacific Holdings Inc. 13,109 304,653 Parsley Energy Inc. 97,668 1,846,902 PBF Energy Inc. 42,374 1,329,272 PDC Energy Inc. 25,739 673,590 Peabody Energy Corp. 23,698 216,126 Penn Virginia Corp. 4,826 146,469 Phillips 66 159,541 17,774,463 Pioneer Natural Resources Co. 57,802 8,749,489 QEP Resources Inc. 81,014 364,563 Range Resources Corp. 78,892 382,626 Renewable Energy Group Inc. 10,472 282,220 REX American Resources Corp. 2,006 164,412 Ring Energy Inc. 11,879 31,361 SandRidge Energy Inc. 9,835 41,700 Scorpio Tankers Inc. 15,751 619,644 SFL Corp. Ltd. 29,841 433,888 SM Energy Co. 37,478 421,253 Southwestern Energy Co. 215,966 522,638 SRC Energy Inc. 88,971 366,561 Talos Energy Inc. 5,919 178,458 Targa Resources Corp. 82,424 3,365,372 Teekay Corp. 15,809 84,104 Teekay Tankers Ltd. 3,567 85,501 Tellurian Inc. 54,785 398,835 Unit Corp. 17,472 12,154 Valero Energy Corp. 145,254 13,603,037 W&T Offshore Inc. 31,493 175,101 Whiting Petroleum Corp. 29,348 215,414 Williams Cos Inc. 445,930 10,577,460 World Fuel Services Corp. 22,942 996,142

The accompanying notes are an integral part of these combined financial statements. 67

Value Common Stock - 100.0% Shares ($)

WPX Energy Inc. 154,065 2,116,853 414,199,749

Paper & Forest Products - 0.0% Boise Cascade Co. 12,931 472,369 Clearwater Paper Corp. 6,462 138,028 Domtar Corp. 23,026 880,514 Louisiana-Pacific Corp. 48,102 1,427,186 Neenah Inc. 6,155 433,497 PH Glatfelter Co. 12,600 230,580 Schweitzer-Mauduit International Inc. 9,853 413,727 Verso Corp. 10,472 188,810 4,184,711

Personal Products - 0.2% Coty Inc. 106,330 1,196,213 Edgewell Personal Care Co. 19,850 614,556 elf Beauty Inc. 6,648 107,232 Estee Lauder Cos Inc. 77,369 15,979,793 Herbalife Nutrition Ltd. 37,631 1,793,870 Inter Parfums Inc. 5,881 427,608 Lifevantage Corp. 5,165 80,626 Medifast Inc. 3,694 404,789 Nature's Sunshine Products Inc. 126 1,125 Nu Skin Enterprises Inc. 19,627 804,314 Revlon Inc. 4,327 92,684 USANA Health Sciences Inc. 4,702 369,342 21,872,152

Pharmaceuticals - 4.1% Aclaris Therapeutics Inc. 6,101 11,531 Aerie Pharmaceuticals Inc. 15,539 375,578 Akorn Inc. 30,815 46,223 Allergan PLC 117,014 22,369,566 Amneal Pharmaceuticals Inc. 22,852 110,147 Amphastar Pharmaceuticals Inc. 10,745 207,271 ANI Pharmaceuticals Inc. 2,823 174,094

The accompanying notes are an integral part of these combined financial statements. 68

Value Common Stock - 100.0% Shares ($)

Arvinas Inc. 6,894 283,274 Assertio Therapeutics Inc. 18,784 23,480 Axsome Therapeutics Inc. 6,800 702,848 BioDelivery Sciences International Inc. 31,504 199,105 Bristol-Myers Squibb Co. 839,242 53,870,944 Cara Therapeutics Inc. 12,020 193,642 Catalent Inc. 53,325 3,002,198 Chiasma Inc. 12,912 64,044 Collegium Pharmaceutical Inc. 11,884 244,573 Corcept Therapeutics Inc. 30,936 374,326 Corium International, Inc.1 9,000 1,620 Cymabay Therapeutics Inc. 20,200 39,592 Dermira Inc. 10,500 159,180 Elanco Animal Health Inc. 137,352 4,045,016 Eli Lilly & Co. 304,824 40,063,018 Endo International PLC 72,963 342,196 Evolus Inc. 5,681 69,138 Horizon Therapeutics PLC 67,580 2,446,396 Innoviva Inc. 26,040 368,726 Intersect ENT Inc. 9,023 224,673 Intra-Cellular Therapies Inc. 12,294 421,807 Jazz Pharmaceuticals PLC 20,313 3,032,325 Johnson & Johnson 955,965 139,446,615 Lannett Co. Inc. 8,991 79,301 Mallinckrodt PLC 27,682 96,610 Merck & Co. Inc. 915,610 83,274,730 Mylan NV 188,556 3,789,976 MyoKardia Inc. 16,313 1,188,973 Nektar Therapeutics 59,489 1,284,070 Odonate Therapeutics Inc. 4,442 144,143 Omeros Corp. 15,298 215,549 Optinose Inc. 9,400 86,668 Pacira BioSciences Inc. 14,883 674,200 Paratek Pharmaceuticals Inc. 8,013 32,292 Perrigo Co. PLC 46,330 2,393,408 Pfizer Inc. 1,999,595 78,344,132 Phibro Animal Health Corp. 6,746 167,503

The accompanying notes are an integral part of these combined financial statements. 69

Value Common Stock - 100.0% Shares ($)

Prestige Consumer Healthcare Inc. 17,865 723,533 Reata Pharmaceuticals Inc. 8,161 1,668,353 Revance Therapeutics Inc. 16,369 265,669 SIGA Technologies Inc. 10,100 48,177 Supernus Pharmaceuticals Inc. 18,048 428,099 TherapeuticsMD Inc. 50,085 121,206 Theravance Biopharma Inc. 16,257 420,894 Tobira Therapeutics, Inc. CVR1 3,100 43,152 Tricida Inc. 8,061 304,222 WaVe Life Sciences Ltd. 10,542 84,494 Xeris Pharmaceuticals Inc. 8,400 59,220 Zoetis Inc. 170,878 22,615,703 Zogenix Inc. 14,236 742,123 472,209,546

Professional Services - 0.5% Acacia Research Corp. 18,999 50,537 ASGN Inc. 18,712 1,327,991 Barrett Business Services Inc. 3,481 314,891 BG Staffing Inc. 3,719 81,409 CBIZ Inc. 18,869 508,708 CoStar Group Inc. 13,254 7,929,868 CRA International Inc. 3,141 171,090 Equifax Inc. 44,249 6,200,170 Exponent Inc. 18,940 1,307,049 Forrester Research Inc. 5,704 237,857 Franklin Covey Co. 3,754 120,991 FTI Consulting Inc. 13,023 1,441,125 GP Strategies Corp. 1,600 21,168 Heidrick & Struggles International Inc. 6,321 205,433 Huron Consulting Group Inc. 8,197 563,298 ICF International Inc. 6,473 593,056 IHS Markit Ltd. 139,422 10,505,448 InnerWorkings Inc. 12,583 69,332 Insperity Inc. 13,924 1,198,021 Kelly Services Inc. 10,278 232,077 Kforce Inc. 7,361 292,232

The accompanying notes are an integral part of these combined financial statements. 70

Value Common Stock - 100.0% Shares ($)

Korn Ferry 21,595 915,628 ManpowerGroup Inc. 21,378 2,075,804 Mistras Group Inc. 5,704 81,396 Nielsen Holdings PLC 130,701 2,653,230 Resources Connection Inc. 11,268 184,006 Robert Half International Inc. 42,547 2,686,843 TransUnion 68,751 5,885,773 TriNet Group Inc. 16,391 927,895 TrueBlue Inc. 14,695 353,562 Upwork Inc. 21,900 233,673 Verisk Analytics Inc. 58,743 8,772,680 Willdan Group Inc. 3,200 101,696 58,243,937

Real Estate Investment Trusts (REITs) - 4.1% Acadia Realty Trust 30,395 788,142 AG Mortgage Investment Trust Inc. 10,080 155,434 AGNC Investment Corp. 201,363 3,560,098 Agree Realty Corp. 14,593 1,023,991 Alexander & Baldwin Inc. 25,157 527,291 Alexander's Inc. 1,012 334,314 Alexandria Real Estate Equities Inc. 41,280 6,670,022 American Assets Trust Inc. 17,822 818,030 American Campus Communities Inc. 50,232 2,362,411 American Finance Trust Inc. 39,507 523,863 American Homes 4 Rent 94,590 2,479,204 American Tower Corp. 157,356 36,163,556 Americold Realty Trust 70,513 2,472,186 Annaly Capital Management Inc. 534,813 5,037,938 Anworth Mortgage Asset Corp. 30,443 107,159 Apartment Investment & Management Co. 54,359 2,807,642 Apollo Commercial Real Estate Finance Inc. 54,482 996,476 Apple Hospitality REIT Inc. 77,348 1,256,905 Ares Commercial Real Estate Corp. 9,289 147,138 Armada Hoffler Properties Inc. 19,354 355,146 ARMOUR Residential REIT Inc. 21,677 387,368 Ashford Hospitality Trust Inc. 25,689 71,672

The accompanying notes are an integral part of these combined financial statements. 71

Value Common Stock - 100.0% Shares ($)

AvalonBay Communities Inc. 51,213 10,739,366 Blackstone Mortgage Trust Inc. 46,221 1,720,346 Bluerock Residential Growth REIT Inc. 4,300 51,815 Boston Properties Inc. 56,852 7,837,617 Braemar Hotels & Resorts Inc. 8,356 74,619 Brandywine Realty Trust 64,389 1,014,127 Brixmor Property Group Inc. 107,963 2,333,080 Brookfield Property REIT Inc. 11,100 204,740 BRT Apartments Corp. 3,719 63,111 Camden Property Trust 34,305 3,639,761 Capstead Mortgage Corp. 30,621 242,518 CareTrust REIT Inc. 35,162 725,392 CatchMark Timber Trust Inc. 18,091 207,504 CBL & Associates Properties Inc. 52,936 55,583 Cedar Realty Trust Inc. 21,896 64,593 Chatham Lodging Trust 16,326 299,419 Cherry Hill Mortgage Investment Corp. 11,500 167,785 Chimera Investment Corp. 68,419 1,406,695 City Office REIT Inc. 10,300 139,256 Colony Capital Inc. 171,547 814,848 Colony Credit Real Estate Inc. 32,295 425,002 Columbia Property Trust Inc. 54,259 1,134,556 Community Healthcare Trust Inc. 6,774 290,334 CoreCivic Inc. 39,621 688,613 CorEnergy Infrastructure Trust Inc. 4,778 213,624 CorePoint Lodging Inc. 13,022 139,075 CoreSite Realty Corp. 14,410 1,615,649 Corporate Office Properties Trust. 40,688 1,195,413 Cousins Properties Inc. 54,523 2,246,348 Crown Castle International Corp. 147,815 21,011,902 CubeSmart 70,665 2,224,534 CyrusOne Inc. 41,161 2,693,164 DiamondRock Hospitality Co. 69,004 764,564 Digital Realty Trust Inc. 76,426 9,151,249 Diversified Healthcare Trust 81,278 685,986 Douglas Emmett Inc. 60,924 2,674,564 Duke Realty Corp. 133,504 4,628,584

The accompanying notes are an integral part of these combined financial statements. 72

Value Common Stock - 100.0% Shares ($)

Dynex Capital Inc. 6,483 109,822 Easterly Government Properties Inc. 28,881 685,346 EastGroup Properties Inc. 13,525 1,794,362 Empire State Realty Trust Inc. 53,382 745,213 EPR Properties 31,710 2,239,994 Equinix Inc. 30,787 17,970,372 Equity Commonwealth 44,430 1,458,637 Equity LifeStyle Properties Inc. 63,752 4,487,503 Equity Residential 134,384 10,874,353 Essential Properties Realty Trust Inc. 27,986 694,333 Essex Property Trust Inc. 24,097 7,249,823 Exantas Capital Corp. 11,350 134,044 Extra Space Storage Inc. 45,455 4,800,957 Farmland Partners Inc. 11,700 79,326 Federal Realty Investment Trust 27,592 3,551,918 First Industrial Realty Trust Inc. 47,227 1,960,393 Four Corners Property Trust Inc. 25,347 714,532 Franklin Street Properties Corp. 35,758 306,088 Front Yard Residential Corp. 18,272 225,476 Gaming and Leisure Properties Inc. 74,361 3,201,241 GEO Group Inc. 41,431 688,169 Getty Realty Corp. 11,442 376,099 Gladstone Commercial Corp. 11,325 247,565 Gladstone Land Corp. 6,921 89,765 Global Medical REIT Inc. 11,879 157,159 Global Net Lease Inc. 30,370 615,904 Granite Point Mortgage Trust Inc. 17,159 315,382 Great Ajax Corp. 6,301 93,318 Hannon Armstrong Sustainable Infrastructure Capital Inc. 23,216 747,091 Healthcare Realty Trust Inc. 46,285 1,544,530 Healthcare Trust of America Inc. 74,792 2,264,702 Healthpeak Properties Inc. 180,919 6,236,278 Hersha Hospitality Trust 13,108 190,721 Highwoods Properties Inc. 37,574 1,837,744 Host Hotels & Resorts Inc. 265,742 4,929,514 Hudson Pacific Properties Inc. 55,954 2,106,668 Independence Realty Trust Inc. 32,958 464,049

The accompanying notes are an integral part of these combined financial statements. 73

Value Common Stock - 100.0% Shares ($)

Industrial Logistics Properties Trust 23,835 534,381 Innovative Industrial Properties Inc. 3,700 280,719 Invesco Mortgage Capital Inc. 50,085 833,915 Investors Real Estate Trust 3,451 250,198 Invitation Homes Inc. 196,914 5,901,513 Iron Mountain Inc. 104,937 3,344,342 iStar Inc. 27,700 401,927 JBG SMITH Properties 44,891 1,790,702 Jernigan Capital Inc. 6,400 122,496 Kilroy Realty Corp. 36,754 3,083,661 Kimco Realty Corp. 148,258 3,070,423 Kite Realty Group Trust 28,152 549,809 KKR Real Estate Finance Trust Inc. 7,300 149,066 Ladder Capital Corp. 38,011 685,718 Lamar Advertising Co. 31,213 2,786,072 Lexington Realty Trust 84,121 893,365 Liberty Property Trust 57,274 3,439,304 Life Storage Inc. 17,039 1,844,983 LTC Properties Inc. 14,410 645,136 Macerich Co. 52,085 1,402,128 Mack-Cali Realty Corp. 35,992 832,495 Medical Properties Trust Inc. 181,295 3,827,137 MFA Financial Inc. 195,009 1,491,819 Mid-America Apartment Communities Inc. 41,939 5,530,077 Monmouth Real Estate Investment Corp. 30,249 438,006 National Health Investors Inc. 14,883 1,212,667 National Retail Properties Inc. 59,488 3,189,747 National Storage Affiliates Trust 27,605 928,080 New Residential Investment Corp. 152,522 2,457,129 New Senior Investment Group Inc. 31,035 237,418 New York Mortgage Trust Inc. 86,466 538,683 NexPoint Residential Trust Inc. 5,744 258,480 Office Properties Income Trust. 16,455 528,864 Omega Healthcare Investors Inc. 78,512 3,324,983 One Liberty Properties Inc. 4,620 125,618 Orchid Island Capital Inc. 13,933 81,508 Outfront Media Inc. 52,429 1,406,146

The accompanying notes are an integral part of these combined financial statements. 74

Value Common Stock - 100.0% Shares ($)

Paramount Group Inc. 74,450 1,036,344 Park Hotels & Resorts Inc. 87,702 2,268,851 Pebblebrook Hotel Trust 47,632 1,277,014 Pennsylvania Real Estate Investment Trust 21,446 114,307 PennyMac Mortgage Investment Trust 30,986 690,678 Physicians Realty Trust 68,130 1,290,382 Piedmont Office Realty Trust Inc. 46,046 1,024,063 PotlatchDeltic Corp. 24,051 1,040,687 Preferred Apartment Communities Inc. 16,736 222,924 Prologis Inc. 223,619 19,933,398 PS Business Parks Inc. 7,350 1,211,795 Public Storage 54,711 11,651,255 QTS Realty Trust Inc. 20,123 1,092,075 Rayonier Inc. 39,610 1,297,624 Ready Capital Corp. 11,565 178,332 Realty Income Corp. 117,037 8,617,434 Redwood Trust Inc. 32,420 536,227 Regency Centers Corp. 61,095 3,854,484 Retail Opportunity Investments Corp. 41,458 732,148 Retail Properties of America Inc. 78,342 1,049,783 Retail Value Inc. 5,281 194,341 Rexford Industrial Realty Inc. 40,043 1,828,764 RLJ Lodging Trust 63,237 1,120,560 RPT Realty 28,306 425,722 Ryman Hospitality Properties Inc. 16,817 1,457,361 Sabra Health Care REIT Inc. 66,794 1,425,384 Safehold Inc. 3,000 120,900 Saul Centers Inc. 4,540 239,621 SBA Communications Corp. 41,197 9,928,065 Seritage Growth Properties 12,396 496,832 Service Properties Trust 59,901 1,457,391 Simon Property Group Inc. 109,107 16,252,579 SITE Centers Corp. 66,528 932,723 SL Green Realty Corp. 30,194 2,774,225 Spirit Realty Capital Inc. 32,979 1,621,907 STAG Industrial Inc. 46,826 1,478,297 Starwood Property Trust Inc. 100,037 2,486,920

The accompanying notes are an integral part of these combined financial statements. 75

Value Common Stock - 100.0% Shares ($)

STORE Capital Corp. 77,510 2,886,472 Summit Hotel Properties Inc. 36,956 456,037 Sun Communities Inc. 32,852 4,931,085 Sunstone Hotel Investors Inc. 82,249 1,144,906 Tanger Factory Outlet Centers Inc. 30,974 456,247 Taubman Centers Inc. 21,495 668,280 Terreno Realty Corp. 22,912 1,240,456 TPG RE Finance Trust Inc. 18,459 374,164 Two Harbors Investment Corp. 100,004 1,462,058 UDR Inc. 106,648 4,980,462 UMH Properties Inc. 10,412 163,781 Uniti Group Inc. 59,261 486,533 Universal Health Realty Income Trust 4,651 545,841 Urban Edge Properties 40,707 780,760 Urstadt Biddle Properties Inc. 18,711 464,781 Ventas Inc. 136,941 7,906,973 VEREIT Inc. 388,677 3,591,375 VICI Properties Inc. 169,693 4,335,656 Vornado Realty Trust 58,682 3,902,353 Washington Prime Group Inc. 58,355 212,412 Washington Real Estate Investment Trust 29,509 861,073 Weingarten Realty Investors 44,595 1,393,148 Welltower Inc. 143,114 11,703,863 Western Asset Mortgage Capital Corp. 19,228 198,625 Weyerhaeuser Co. 272,403 8,226,571 Whitestone REIT 14,182 193,159 WP Carey Inc. 62,156 4,974,966 Xenia Hotels & Resorts Inc. 41,629 899,603 470,041,465

Real Estate Management & Development - 0.2% Altisource Portfolio Solutions SA 4,462 86,250 CBRE Group Inc. 124,466 7,628,521 Consolidated-Tomoka Land Co. 1,603 96,693 Cushman & Wakefield PLC 40,197 821,627 eXp World Holdings Inc. 6,198 70,223 Forestar Group Inc. 1,372 28,606

The accompanying notes are an integral part of these combined financial statements. 76

Value Common Stock - 100.0% Shares ($)

FRP Holdings Inc. 2,302 114,663 Howard Hughes Corp. 14,781 1,874,231 Jones Lang LaSalle Inc. 18,866 3,284,382 Kennedy-Wilson Holdings Inc. 46,355 1,033,717 Marcus & Millichap Inc. 8,434 314,167 Newmark Group Inc. 51,462 692,421 Rafael Holdings Inc. 3,925 70,022 RE/MAX Holdings Inc. 5,653 217,584 Realogy Holdings Corp. 40,187 389,010 Redfin Corp. 32,356 684,006 RMR Group Inc. 5,651 257,912 St Joe Co. 15,571 308,773 Tejon Ranch Co. 5,586 89,264 18,062,072

Road & Rail - 1.0% AMERCO 3,264 1,226,676 ArcBest Corp. 8,902 245,695 Avis Budget Group Inc. 20,969 676,041 Covenant Transportation Group Inc. 3,400 43,945 CSX Corp. 265,610 19,219,540 Daseke Inc. 4,700 14,852 Heartland Express Inc. 14,438 303,920 Hertz Global Holdings Inc. 46,895 738,596 JB Hunt Transport Services Inc. 32,811 3,831,669 Kansas City Southern 37,440 5,734,310 Knight-Swift Transportation Holdings Inc. 47,594 1,705,769 Landstar System Inc. 15,168 1,727,180 Lyft Inc. 75,071 3,229,554 Marten Transport Ltd. 13,439 288,804 Norfolk Southern Corp. 92,783 18,011,964 Old Dominion Freight Line Inc. 23,881 4,532,136 Ryder System Inc. 19,068 1,035,583 Saia Inc. 9,515 886,037 Schneider National Inc. 20,514 447,615 Uber Technologies Inc. 333,700 9,924,238 Union Pacific Corp. 249,018 45,019,964

The accompanying notes are an integral part of these combined financial statements. 77

Value Common Stock - 100.0% Shares ($)

Universal Logistics Holdings Inc. 467 8,854 Werner Enterprises Inc. 16,481 599,744 YRC Worldwide Inc. 11,109 28,328 119,481,014

Semiconductors & Semiconductor Equipment - 4.0% Adesto Technologies Corp. 10,226 86,921 Advanced Energy Industries Inc. 13,971 994,735 Advanced Micro Devices Inc. 366,392 16,802,737 Alpha & Omega Semiconductor Ltd. 6,466 88,067 Ambarella Inc. 10,479 634,608 Amkor Technology Inc. 36,019 468,247 Analog Devices Inc. 130,492 15,507,669 Applied Materials Inc. 328,474 20,050,053 Axcelis Technologies Inc. 8,983 216,445 AXT Inc. 9,300 40,455 Broadcom Inc. 138,490 43,765,610 Brooks Automation Inc. 26,012 1,091,464 Cabot Microelectronics Corp. 10,293 1,485,486 CEVA Inc. 7,709 207,835 Cirrus Logic Inc. 21,315 1,756,569 Cohu Inc. 12,681 289,761 Cree Inc. 37,905 1,749,316 Cypress Semiconductor Corp. 135,476 3,160,655 Diodes Inc. 15,094 850,849 DSP Group Inc. 8,160 128,438 Enphase Energy Inc. 34,695 906,580 Entegris Inc. 53,829 2,696,295 First Solar Inc. 34,692 1,941,364 FormFactor Inc. 27,363 710,617 Ichor Holdings Ltd. 8,125 270,319 Impinj Inc. 6,000 155,160 Inphi Corp. 17,768 1,315,187 Intel Corp. 1,565,454 93,692,422 KLA Corp. 58,582 10,437,555 Lam Research Corp. 51,194 14,969,126 Lattice Semiconductor Corp. 44,812 857,702

The accompanying notes are an integral part of these combined financial statements. 78

Value Common Stock - 100.0% Shares ($)

MACOM Technology Solutions Holdings Inc. 17,002 452,253 Marvell Technology Group Ltd. 240,954 6,399,738 Maxim Integrated Products Inc. 101,260 6,228,503 MaxLinear Inc. 23,923 507,646 Microchip Technology Inc. 85,440 8,947,277 Micron Technology Inc. 394,264 21,203,518 MKS Instruments Inc. 19,886 2,187,659 Monolithic Power Systems Inc. 15,368 2,735,811 NeoPhotonics Corp. 10,700 94,374 NVE Corp. 1,019 72,757 NVIDIA Corp. 209,278 49,243,113 ON Semiconductor Corp. 149,842 3,653,148 Onto Innovation Inc. 16,281 594,908 PDF Solutions Inc. 10,653 179,929 Photronics Inc. 22,487 354,395 Power Integrations Inc. 9,908 980,000 Qorvo Inc. 42,655 4,957,791 QUALCOMM Inc. 409,083 36,093,393 Rambus Inc. 37,252 513,146 Semtech Corp. 24,154 1,277,747 Silicon Laboratories Inc. 15,909 1,845,126 Skyworks Solutions Inc. 63,369 7,660,045 SMART Global Holdings Inc. 4,882 185,223 SunPower Corp. 16,444 128,263 Synaptics Inc. 12,311 809,694 Teradyne Inc. 62,708 4,276,059 Texas Instruments Inc. 336,174 43,127,762 Ultra Clean Holdings Inc. 14,339 336,536 Universal Display Corp. 15,616 3,217,989 Veeco Instruments Inc. 15,074 221,362 Xilinx Inc. 93,377 9,129,469 Xperi Corp. 15,457 285,955 455,228,836

Software - 6.8% 2U Inc. 18,189 436,354 8x8 Inc. 31,879 583,386

The accompanying notes are an integral part of these combined financial statements. 79

Value Common Stock - 100.0% Shares ($)

A10 Networks Inc. 15,300 105,111 ACI Worldwide Inc. 42,150 1,596,853 Adobe Inc. 174,787 57,646,500 Agilysys Inc. 5,695 144,710 Alarm.com Holdings Inc. 12,028 516,843 Altair Engineering Inc. 14,417 517,714 Alteryx Inc. 16,715 1,672,670 American Software Inc. 8,468 126,004 Anaplan Inc. 30,797 1,613,763 ANSYS Inc. 30,690 7,899,913 Appfolio Inc. 6,100 670,695 Appian Corp. 14,600 557,866 Aspen Technology Inc. 25,338 3,064,124 Atlassian Corp. PLC 40,348 4,855,478 Autodesk Inc. 78,058 14,320,521 Avalara Inc. 16,931 1,240,196 Avaya Holdings Corp. 40,791 550,679 Benefitfocus Inc. 10,926 239,716 Blackbaud Inc. 17,855 1,421,258 Blackline Inc. 15,685 808,719 Bottomline Technologies DE Inc. 15,693 841,145 Box Inc. 48,772 818,394 Cadence Design Systems Inc. 102,338 7,098,164 CDK Global Inc. 39,613 2,166,039 Cerence Inc. 13,091 296,249 Ceridian HCM Holding Inc. 33,702 2,287,692 ChannelAdvisor Corp. 7,500 67,800 Cision Ltd. 29,600 295,112 Citrix Systems Inc. 46,191 5,122,582 Cloudera Inc. 97,767 1,137,030 CommVault Systems Inc. 13,937 622,148 Cornerstone OnDemand Inc. 20,831 1,219,655 Coupa Software Inc. 22,424 3,279,510 Digimarc Corp. 2,868 96,250 Digital Turbine Inc. 42,500 303,025 DocuSign Inc. 57,097 4,231,459 Domo Inc. 6,500 141,180

The accompanying notes are an integral part of these combined financial statements. 80

Value Common Stock - 100.0% Shares ($)

Dropbox Inc. 74,900 1,341,459 Dynatrace Inc. 24,224 612,867 Ebix Inc. 7,829 261,567 Elastic NV 15,500 996,650 Envestnet Inc. 17,450 1,215,044 Everbridge Inc. 15,340 1,197,747 Fair Isaac Corp. 10,288 3,854,708 FireEye Inc. 73,492 1,214,823 Five9 Inc. 21,295 1,396,526 ForeScout Technologies Inc. 15,259 500,495 Fortinet Inc. 52,561 5,611,412 GTY Technology Holdings Inc. 14,977 88,215 Guidewire Software Inc. 29,937 3,286,184 HubSpot Inc. 14,684 2,327,414 Instructure Inc. 11,546 556,633 Intelligent Systems Corp. 2,582 103,125 Intuit Inc. 88,865 23,276,409 j2 Global Inc. 16,596 1,555,211 LivePerson Inc. 22,477 831,649 LogMeIn Inc. 18,025 1,545,464 Manhattan Associates Inc. 23,333 1,860,807 Medallia Inc. 5,888 183,176 Microsoft Corp. 2,725,058 429,741,647 MicroStrategy Inc. 3,405 485,655 Mitek Systems Inc. 12,900 98,685 MobileIron Inc. 39,300 190,998 Model N Inc. 12,036 422,103 New Relic Inc. 18,352 1,205,910 NortonLifeLock Inc. 213,034 5,436,628 Nuance Communications Inc. 105,244 1,876,501 Nutanix Inc. 51,919 1,622,988 OneSpan Inc. 12,140 207,837 Oracle Corp. 735,891 38,987,505 PagerDuty Inc. 3,822 89,397 Palo Alto Networks Inc. 34,517 7,982,056 Paycom Software Inc. 18,095 4,790,832 Paylocity Holding Corp. 11,974 1,446,699

The accompanying notes are an integral part of these combined financial statements. 81

Value Common Stock - 100.0% Shares ($)

Pegasystems Inc. 14,024 1,117,012 Pluralsight Inc. 21,697 373,405 Progress Software Corp. 15,862 659,066 Proofpoint Inc. 19,807 2,273,447 PROS Holdings Inc. 12,044 721,676 PTC Inc. 38,244 2,864,093 Q2 Holdings Inc. 15,813 1,282,118 QAD Inc. 4,088 208,202 Qualys Inc. 12,520 1,043,792 Rapid7 Inc. 17,848 999,845 RealPage Inc. 29,146 1,566,598 RingCentral Inc. 26,222 4,422,865 SailPoint Technologies Holding Inc. 31,620 746,232 salesforce.com Inc. 297,816 48,436,794 ServiceNow Inc. 66,355 18,733,344 ShotSpotter Inc. 2,500 63,750 Smartsheet Inc. 36,100 1,621,612 SolarWinds Corp. 13,700 254,135 Splunk Inc. 55,158 8,261,014 SPS Commerce Inc. 12,392 686,765 SS&C Technologies Holdings Inc. 81,397 4,997,776 SVMK Inc. 31,465 562,280 Synopsys Inc. 54,797 7,627,742 Telaria Inc. 28,600 251,966 Telenav Inc. 13,982 67,953 Tenable Holdings Inc. 13,098 313,828 Teradata Corp. 40,295 1,078,697 TiVo Corp. 45,040 381,939 Trade Desk Inc. 14,136 3,672,250 Tyler Technologies Inc. 13,906 4,172,078 Upland Software Inc. 8,489 303,142 Varonis Systems Inc. 10,898 846,884 Verint Systems Inc. 22,814 1,262,983 VirnetX Holding Corp. 22,372 85,014 VMware Inc. 28,288 4,293,836 Workday Inc. 58,681 9,650,090 Workiva Inc. 13,429 564,689

The accompanying notes are an integral part of these combined financial statements. 82

Value Common Stock - 100.0% Shares ($)

Yext Inc. 32,295 465,694 Zendesk Inc. 40,177 3,078,764 Zix Corp. 21,722 147,275 Zscaler Inc. 21,997 1,022,861 Zuora Inc. 30,100 431,333 820,630,372

Specialty Retail - 2.2% Aaron's Inc. 24,020 1,371,782 Abercrombie & Fitch Co. 23,752 410,672 Advance Auto Parts Inc. 25,203 4,036,512 American Eagle Outfitters Inc. 56,667 833,005 America's Car-Mart Inc. 2,258 247,612 Asbury Automotive Group Inc. 7,087 792,256 Ascena Retail Group Inc. 2,631 20,167 At Home Group Inc. 17,775 97,763 AutoNation Inc. 19,101 928,882 AutoZone Inc. 8,397 10,003,430 Barnes & Noble Education Inc. 11,481 49,024 Bed Bath & Beyond Inc. 46,870 810,851 Best Buy Co. Inc. 78,480 6,890,544 Boot Barn Holdings Inc. 10,000 445,300 Buckle Inc. 9,579 259,016 Burlington Stores Inc. 24,028 5,479,105 Caleres Inc. 14,478 343,853 Camping World Holdings Inc. 12,227 180,226 CarMax Inc. 61,752 5,413,798 Carvana Co. 18,598 1,711,946 Cato Corp. 9,023 157,000 Chico's FAS Inc. 40,942 155,989 Children's Place Inc. 4,946 309,224 Citi Trends Inc. 5,271 121,866 Conn's Inc. 7,820 96,890 Container Store Group Inc. 5,900 24,898 Designer Brands Inc. 20,859 328,321 Dick's Sporting Goods Inc. 27,924 1,381,959 Express Inc. 22,608 110,101

The accompanying notes are an integral part of these combined financial statements. 83

Value Common Stock - 100.0% Shares ($)

Five Below Inc. 20,143 2,575,484 Floor & Decor Holdings Inc. 24,924 1,266,388 Foot Locker Inc. 42,140 1,643,039 GameStop Corp. 32,059 194,919 Gap Inc. 84,391 1,492,033 Genesco Inc. 7,709 369,415 GNC Holdings Inc. 22,500 60,750 Group 1 Automotive Inc. 6,518 651,800 Guess? Inc. 21,165 473,673 Haverty Furniture Cos Inc. 6,305 127,109 Hibbett Sports Inc. 8,423 236,181 Home Depot Inc. 396,268 86,537,006 Hudson Ltd. 12,900 197,886 L Brands Inc. 96,751 1,753,128 Lithia Motors Inc. 8,267 1,215,249 Lowe's Cos Inc. 276,537 33,118,071 Lumber Liquidators Holdings Inc. 9,979 97,495 MarineMax Inc. 8,059 134,505 Michaels Cos Inc. 36,115 292,170 Monro Inc. 11,978 936,680 Murphy USA Inc. 10,865 1,271,205 National Vision Holdings Inc. 28,839 935,249 Office Depot Inc. 199,294 546,066 O'Reilly Automotive Inc. 26,279 11,517,035 Party City Holdco Inc. 32,000 74,880 Penske Automotive Group Inc. 11,558 580,443 Rent-A-Center Inc. 18,007 519,322 RH 6,874 1,467,599 Ross Stores Inc. 125,545 14,615,949 Sally Beauty Holdings Inc. 44,175 806,194 Shoe Carnival Inc. 4,910 183,045 Signet Jewelers Ltd. 20,448 444,540 Sleep Number Corp. 10,668 525,292 Sonic Automotive Inc. 8,984 278,504 Sportsman's Warehouse Holdings Inc. 16,010 128,560 Tailored Brands Inc. 16,362 67,739 Tiffany & Co. 44,106 5,894,767

The accompanying notes are an integral part of these combined financial statements. 84

Value Common Stock - 100.0% Shares ($)

Tilly's Inc. 4,200 51,450 TJX Cos Inc. 433,818 26,488,927 Tractor Supply Co. 43,913 4,103,231 Ulta Beauty Inc. 20,770 5,257,718 Urban Outfitters Inc. 23,860 662,592 Williams-Sonoma Inc. 28,028 2,058,376 Winmark Corp. 619 122,748 Zumiez Inc. 8,026 277,218 255,263,622

Technology Hardware, Storage & Peripherals - 4.5% 3D Systems Corp. 42,242 369,618 Apple Inc. 1,601,660 470,327,406 Avid Technology Inc. 9,600 82,368 Dell Technologies Inc. 54,654 2,808,669 Diebold Nixdorf Inc. 21,917 231,444 Hewlett Packard Enterprise Co. 456,141 7,234,396 HP Inc. 522,810 10,743,746 Immersion Corp. 9,486 70,481 NCR Corp. 44,108 1,550,837 NetApp Inc. 88,049 5,481,050 Pure Storage Inc. 84,693 1,449,097 Stratasys Ltd. 17,434 352,603 Western Digital Corp. 107,838 6,844,478 Xerox Holdings Corp. 71,079 2,620,683 510,166,876

Textiles, Apparel & Luxury Goods - 0.8% Capri Holdings Ltd. 52,610 2,007,072 Carter's Inc. 16,121 1,762,670 Columbia Sportswear Co. 10,238 1,025,745 Crocs Inc. 23,130 968,916 Culp Inc. 2,000 27,240 Deckers Outdoor Corp. 10,678 1,803,087 Delta Apparel Inc. 2,376 73,894 Fossil Group Inc. 13,962 110,021 G-III Apparel Group Ltd. 16,572 555,162

The accompanying notes are an integral part of these combined financial statements. 85

Value Common Stock - 100.0% Shares ($)

Hanesbrands Inc. 132,381 1,965,858 Kontoor Brands Inc. 15,667 657,857 Lululemon Athletica Inc. 43,403 10,055,173 Movado Group Inc. 5,394 117,266 NIKE Inc. 442,350 44,814,479 Oxford Industries Inc. 6,090 459,308 PVH Corp. 27,219 2,862,078 Ralph Lauren Corp. 15,753 1,846,567 Rocky Brands Inc. 2,582 75,988 Skechers U.S.A. Inc. 48,300 2,086,077 Steven Madden Ltd. 30,010 1,290,730 Superior Group of Cos Inc. 1,900 25,726 Tapestry Inc. 90,809 2,449,119 Under Armour Inc. 66,913 1,445,321 Under Armour Inc. 69,141 1,326,124 Unifi Inc. 5,060 127,816 Vera Bradley Inc. 7,936 93,645 VF Corp. 113,015 11,263,075 Wolverine World Wide Inc. 30,210 1,019,285 92,315,299

Thrifts & Mortgage Finance - 0.2% Axos Financial Inc. 20,030 606,508 Bridgewater Bancshares Inc. 4,481 61,748 Capitol Federal Financial Inc. 48,454 665,273 Columbia Financial Inc. 16,897 286,235 Dime Community Bancshares Inc. 10,564 220,682 Entegra Financial Corp. 2,582 77,873 Essent Group Ltd. 36,836 1,915,104 Federal Agricultural Mortgage Corp. 3,375 281,813 First Defiance Financial Corp. 6,204 195,364 Flagstar Bancorp Inc. 8,790 336,218 FS Bancorp Inc. 1,549 98,811 Hingham Institution for Savings 400 84,080 Home Bancorp Inc. 1,200 47,028 HomeStreet Inc. 9,107 309,638 Kearny Financial Corp. 33,248 459,820

The accompanying notes are an integral part of these combined financial statements. 86

Value Common Stock - 100.0% Shares ($)

LendingTree Inc. 3,095 939,147 Luther Burbank Corp. 7,540 86,936 Merchants Bancorp. 500 9,855 Meridian Bancorp Inc. 16,067 322,786 Meta Financial Group Inc. 19,323 705,483 MGIC Investment Corp. 108,564 1,538,352 Mr Cooper Group Inc. 28,212 352,932 New York Community Bancorp Inc. 166,520 2,001,570 NMI Holdings Inc. 23,289 772,729 Northfield Bancorp Inc. 15,445 261,947 Northwest Bancshares Inc. 36,812 612,184 OceanFirst Financial Corp. 18,628 475,759 Ocwen Financial Corp. 36,451 49,938 PCSB Financial Corp. 3,600 72,900 PennyMac Financial Services Inc. 7,300 248,492 Provident Financial Services Inc. 22,351 550,952 Prudential Bancorp Inc. 700 12,971 Radian Group Inc. 73,567 1,850,946 Southern Missouri Bancorp Inc. 2,995 114,888 Territorial Bancorp Inc. 4,391 135,858 TFS Financial Corp. 19,266 379,155 Timberland Bancorp Inc. 1,900 56,506 TrustCo. Bank Corp. NY. 30,809 267,114 United Community Financial Corp. 16,392 191,131 Walker & Dunlop Inc. 9,531 616,465 Washington Federal Inc. 29,272 1,072,819 Waterstone Financial Inc. 11,109 211,404 Western New England Bancorp Inc. 6,500 62,595 WSFS Financial Corp. 18,493 813,507 20,433,516

Tobacco - 0.7% 22nd Century Group Inc. 71,744 78,918 Altria Group Inc. 669,760 33,427,722 Philip Morris International Inc. 557,519 47,439,292 Turning Point Brands Inc. 2,700 77,220 Universal Corp. 11,736 669,656

The accompanying notes are an integral part of these combined financial statements. 87

Value Common Stock - 100.0% Shares ($)

Vector Group Ltd. 38,644 517,443 82,210,251

Trading Companies & Distributors - 0.3% Air Lease Corp. 38,324 1,821,156 Aircastle Ltd. 21,478 687,511 Applied Industrial Technologies Inc. 13,017 868,104 Beacon Roofing Supply Inc. 22,657 724,571 BMC Stock Holdings Inc. 22,234 637,893 CAI International Inc. 5,315 154,029 DXP Enterprises Inc. 6,034 240,214 Fastenal Co. 210,088 7,762,752 Foundation Building Materials Inc. 5,575 107,876 GATX Corp. 13,288 1,100,911 GMS Inc. 11,780 319,002 H&E Equipment Services Inc. 11,786 394,006 HD Supply Holdings Inc. 62,234 2,503,051 Herc Holdings Inc. 8,864 433,804 Kaman Corp. 10,089 665,067 Lawson Products Inc. 1,400 72,940 MRC Global Inc. 27,109 369,767 MSC Industrial Direct Co. Inc. 16,088 1,262,425 NOW Inc. 36,134 406,146 Rush Enterprises Inc. 9,646 448,539 Rush Enterprises Inc. 1,756 80,249 SiteOne Landscape Supply Inc. 14,938 1,354,130 Systemax Inc. 3,842 96,665 Textainer Group Holdings Ltd. 6,947 74,402 Titan Machinery Inc. 5,853 86,507 Transcat Inc. 2,582 82,263 Triton International Ltd. 20,398 820,000 United Rentals Inc. 28,355 4,728,763 Univar Solutions Inc. 57,984 1,405,532 Veritiv Corp. 2,644 52,007 Watsco Inc. 11,550 2,080,733 WESCO International Inc. 15,834 940,381 Willis Lease Finance Corp. 1,136 66,922

The accompanying notes are an integral part of these combined financial statements. 88

Value Common Stock - 100.0% Shares ($)

WW Grainger Inc. 14,915 5,049,026 37,897,344

Transportation Infrastructure - 0.0% Macquarie Infrastructure Corp. 25,987 1,113,283

Water Utilities - 0.1% American States Water Co. 13,444 1,164,788 American Water Works Co. Inc. 67,334 8,271,982 Aqua America Inc. 79,247 3,719,854 AquaVenture Holdings Ltd. 3,900 105,768 Artesian Resources Corp. 1,262 46,959 Cadiz Inc. 4,800 52,896 California Water Service Group 18,378 947,570 Consolidated Water Co. Ltd. 5,475 89,243 Middlesex Water Co. 4,966 315,689 Pure Cycle Corp. 6,404 80,626 SJW Group 8,785 624,262 York Water Co. 4,601 212,152 15,631,789

Wireless Telecommunication Services - 0.1% Boingo Wireless Inc. 11,258 123,275 Gogo Inc. 19,032 121,805 Shenandoah Telecommunications Co. 17,540 729,839 Spok Holdings Inc. 7,326 89,597 Sprint Corp. 200,567 1,044,954 Telephone & Data Systems Inc. 36,555 929,594

The accompanying notes are an integral part of these combined financial statements. 89

Value Common Stock - 100.0% Shares ($)

T-Mobile US Inc. 115,076 9,024,260 United States Cellular Corp. 4,728 171,295 12,234,619 Total Common Stock 11,448,942,025 (Cost $7,407,142,905)

TOTAL INVESTMENTS - 100.0% 11,448,942,025 (Cost $7,407,142,905)

1 Valued by Trustee. 2 Parent company of State Street Global Advisors Trust Company.

At December 31, 2019, segregated balances totaling $12,433,049 were pledged to cover margin requirements for open futures contracts. The following futures contracts were open at December 31, 2019:

Number of Contracts Unrealized Futures Contracts Long/(Short) Notional Cost Maturity Date Gain/(Loss) ( $ ) E-mini Russell 2000 Index Futures 216 USD 17,905,533 March 2020 136,948 S&P 500 E-mini Index Futures 1,241 USD 198,706,435 March 2020 1,783,320 S&P Midcap 400 E-mini Index 48 USD 9,837,005 March 2020 74,035 Futures 1,994,303

USD : United States Dollar

The accompanying notes are an integral part of these combined financial statements. 90

State Street Global Advisors Trust Company State Street Russell All Cap® Index Securities Lending Series Fund State Street Russell All Cap® Index Non-Lending Series Fund Notes to Combined Financial Statements December 31, 2019

1. Fund Organization and Investment Objective State Street Russell All Cap® Index Securities Lending Series Fund and State Street Russell All Cap® Index Non- Lending Series Fund (individually, the "Lending Fund" and "Non-Lending Fund," respectively, and collectively the "Fund") were formed under the State Street Global Advisors Trust Company Investment Funds for Tax Exempt Retirement Plans Declaration of Trust (the "Trust"). State Street Global Advisors Trust Company (“SSGA”), a limited purpose trust company established under the laws of the Commonwealth of Massachusetts, is a wholly owned subsidiary of State Street Bank and Trust Company (“State Street Bank”). SSGA is Trustee and Recordkeeper of the Fund and, as Trustee, has exclusive management and control of the Trust. SSGA is the Fund's Investment Manager. State Street Bank is the Fund's Custodian. The Fund is operated pursuant to the provisions of the Trust and other governing documents, which are available from the Trustee.

The Fund seeks an investment return that approximates as closely as practicable, before expenses, the performance of the Russell 3000® Index (the "Index") over the long term, while providing participants the ability to purchase and redeem units on an "as of" basis.

The participants in the Lending Fund have authorized the Lending Fund to participate in the State Street Global Securities Lending Program maintained by State Street Bank. The investment objective, techniques and results of operations of the Lending Fund are identical to those of the Non-Lending Fund, except that the Lending Fund engages in securities lending activity. Accordingly, the financial statements of the Lending Fund and the Non-Lending Fund have been prepared on a combined basis, with separate disclosure of the participant transactions and financial highlights of the Lending Fund and the Non-Lending Fund. The Lending Fund and the Non-Lending Fund each maintain a divided pro- rata interest in the combined assets and liabilities (including each investment security position but excluding assets and liabilities related to securities lending activity) proportionate to the outstanding combined net assets of the Fund. All interfund transactions have been eliminated in the combined financial statements. Except as stated otherwise, use of the term "financial statements" herein shall refer to the combined financial statements of the Fund.

The Trustee has the authority to establish unlimited classes of units of the Lending and the Non-Lending Fund (each a "Class") and issue an unlimited number of units of any such Class of the Fund. The following Class(es) of units of the Lending Fund have been established and are currently funded: Class I. The following Class(es) of units of the Non- Lending Fund have been established and are currently funded: Class A and Class C.

2. Summary of Significant Accounting Policies The financial statements are prepared in accordance with accounting principles generally accepted in the United States of America ("U.S. GAAP") which require the use of management estimates. Actual results could differ from those estimates. The Fund qualifies as an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The policies described below are followed consistently in the preparation of the financial statements.

A. Valuation Governance and Oversight The Trustee assigns valuation oversight responsibility to SSGA's regional valuation committees for the assigned products managed within each specific region. These committees are generally comprised of senior officers from the compliance, credit, information technology, investment operations, legal, portfolio management, risk management, and trading areas. These committees, or employees tasked with assisting the committees, perform a variety of functions including, but not limited to:

• Responding to circumstances that require fair valuation and determining the fair value of investments in securities and derivative instruments for which market quotations are not readily available, including instances where available market quotations are deemed unreliable;

• Determining appropriate pricing vendors and sources for various securities or instruments, including secondary and tertiary source options; • Recommending changes to approved pricing sources, and monitoring pricing vendors' overall performance, including evaluating the pricing methodologies these pricing vendors employ; • Escalating valuation challenges; • Reviewing results of fair value determinations; and • Maintaining valuation records.

The regional valuation committees seek out input from members of the investment team as-needed. SSGA’s North America Valuation Committee is responsible for valuation oversight of the Fund.

The Trustee regularly performs various controls and procedures to assess the appropriateness of the valuation of portfolio investments and other financial instruments. These controls and procedures include, but are not limited to, reviewing for occurrences where market quotations are not readily available, validating stale priced holdings, comparing executed trades to vendor prices, analyzing vendor-to-vendor valuation comparisons and reviewing market data and news to identify potential fair valuation considerations. These procedures and the results of these controls are reviewed periodically by SSGA’s North America Valuation Committee.

B. Security Valuation The Fund’s investments in securities and derivative instruments, if any, are valued at fair value each business day. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The Fund’s investments are valued pursuant to the policy and procedures approved by the Trustee.

Equity investments, such as common stock and preferred stock, including equity investments sold short, if any, traded on a recognized securities exchange for which market quotations are readily available (including registered investment companies that are exchange traded) are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value as determined in good faith by the Trustee. To the extent equity investments are actively traded and valuation adjustments are not applied, these investments are classified within Level 1 of the fair value hierarchy. Equity investments traded on inactive markets or valued by reference to similar instruments are generally classified within Level 2 of the fair value hierarchy.

Investments in registered investment companies (other than those that are exchange traded), if any, are valued at their respective net asset value and are classified within Level 1 of the fair value hierarchy. Investments in collective investment funds, if any, are valued at their respective net asset value and are not classified within the fair value hierarchy.

Fixed income investments (including short-term investments), if any, are valued on the basis of valuations furnished by independent pricing vendors. These independent pricing vendors determine valuations for normal institutional-size trading units of such securities using valuation models or matrix pricing; which incorporates yield and/or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date and quotations from securities dealers to determine current value. To the extent the inputs are observable, timely and/or consistent with other valuation inputs, these investments are classified within Level 2 of the fair value hierarchy.

In the event current market prices or quotations are not readily available or are deemed unreliable by the Trustee, such as the occurrence of a significant event, the fair value will be determined in good faith by the Trustee using alternative fair

valuation methods. A "significant event" is an event that the Trustee believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund's portfolio securities to no longer reflect their value at the time of the Fund's net asset value calculation.

Please refer to the Derivative Instruments note for further details on the valuation policy for derivatives.

Fair Value Hierarchy The Fund values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy are described below:

Level 1 Unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in valuing a portfolio instrument. These may include quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical assets or liabilities in markets that are not active, or observable inputs other than quoted prices (such as interest rates, yield curves, foreign exchange rates, volatilities, prepayment speeds, and credit risk) or other market corroborated inputs. Level 3 Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Trustee's own assumptions about the factors market participants would use in valuing a portfolio instrument, and would be based on the best information available.

The following is a summary of the inputs used, as of December 31, 2019, involving the Fund's assets and liabilities carried at fair value. The inputs or methodologies used for valuing investments in securities and derivative instruments may not be an indication of the risk associated with investing in those securities or derivative instruments.

Level 1 Level 2 Level 3 Total Investments in securities, long - Assets Common Stock $ 11,448,884,143 $ 57,882 $ 0 $ 11,448,942,025 Collective Investment Funds - - - 24,428,255 $ 11,448,884,143 $ 57,882 $ 0 $ 11,473,370,280 Other financial instruments - Assets Futures Contracts $ 1,994,303 $ - $ - $ 1,994,303

Please refer to the Combined Schedule of Investments and Combined Statement of Assets and Liabilities for additional information regarding composition of amounts listed above. Collective Investment Funds, if any, have been measured at fair value using the net asset value per unit practical expedient and accordingly have not been classified in the fair value hierarchy. The fair value total amount presented for the aforementioned category in the table above, if applicable, is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Combined Statement of Assets and Liabilities.

Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the period.

The Fund had no significant transfers into or out of Level 3 for the period ended December 31, 2019.

C. Security Transactions and Investment Income Security transactions are accounted for as of the trade date. Realized gains and losses from investment transactions are determined using the average cost method. Distributions received from an underlying fund, if any, are recorded on the ex-dividend date and retain the character of income as earned by the underlying fund. Dividend income, if any, is recorded, net of applicable withholding taxes, if any, on the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Interest income earned on securities, if any, is recorded on the accrual basis from settlement date. Interest income includes accretion of discounts and amortization of premiums, if any.

Investment income (other than securities lending income), expenses that are not attributable to a particular class, and unrealized and realized gains or losses are allocated daily to each Class of the Fund based upon the relative proportion of net assets of each Class. Securities lending income is allocated daily to each Lending Fund Class based upon the relative proportion of the Lending Fund's net assets.

D. Taxes It is the Fund's policy to comply with the requirements of Section 501(a) of the Internal Revenue Code relating to collective investment of employee benefit funds. Accordingly, the Fund is exempt from federal and state taxes and no federal or state tax provision is required.

The Trustee has reviewed the Fund's tax positions for all open tax periods (current and prior tax periods) and has determined that no provision for income taxes is required in the Fund's financial statements.

E. Issuances and Redemptions of Units of Participation The per unit net asset value of each Class is determined each business day. Issuances and redemptions of Class units may be made on such days, based upon the net asset value per unit as of the Class' valuation date last preceding the date on which such order to contribute or redeem assets is received. The Trustee, in its sole discretion, reserves the right to value any contribution or redemption as of the next succeeding valuation date or another date as the Trustee deems appropriate. Additional terms of participation are detailed in the Trust and the Fund’s other governing documents. Such terms may be implemented pursuant to the Trustee's prudent determination.

F. Expenses Under the Trust, the Fund may be charged an annual audit fee and such other fees and expenses as are permitted by the Declaration of Trust. The Fund indirectly bears the expenses incurred by the underlying fund(s), if any.

Each Class is charged its allocable share of the fees and expenses borne by the Fund that are not specifically allocated to one or more of the Classes.

Management Fee The Trustee charges a management fee to each Class at the following annual rate of each Class' daily net asset value:

Class Rate (%) Management Fees Class C 0.008 $ 39,100 Total Management Fees $ 39,100

Class I is not charged a direct management fee. SSGA receives investment fees from the Class participants and therefore, the Class makes no payments for these services.

Class A is not charged a direct management fee. SSGA receives investment fees from the Class participants and therefore, the Class makes no payments for these services.

Effective July 1, 2019, Class C is charged by the Trustee an annual management fee equal to 0.008% of the average daily net asset value of the Class. Prior to July 1, 2019, Class C was charged by the Trustee an annual management fee equal to 0.040% of the average daily net asset value of the Class.

Administration Fee The Fund may be charged by the Trustee an annual administration fee equal to 0.010% of the average daily net asset value of the Fund and transaction costs for each Fund transaction of securities and portfolio instruments, as set forth in the Custody Trade Processing Fee Schedule. Such custody trade processing fees are payable to the Fund's Custodian, an affiliate of the Trustee. Alternatively, should the Fund, in the discretion of the Trustee, invest more than 50% of its assets directly in collective investment funds, the Trustee will instead charge an administration fee equal to $25,000 to each Class. This administration fee relates to the provision of custody, bookkeeping and accounting services, shareholder servicing, transfer agency and other services that the Trustee may from time to time consider necessary or appropriate.

Effective July 1, 2019, Class C has a Total Annual Operating Expense Ratio equal to 0.020% of the Class' average daily net asset value. Prior to July 1, 2019, Class C had a Total Annual Operating Expense Ratio equal to 0.052% of the Class' average daily net asset value.

Please refer to the Additional Expense Information footnote for further disclosures regarding expenses.

G. Treatment of Net Investment Income and Net Realized Gains Net investment income (excluding securities lending fee income, if any) and net realized gains are retained by the Fund. Securities lending income is retained by the Lending Fund.

H. Foreign Currency The accounting records of the Fund are maintained in U.S. dollars ("USD"), the Fund's base currency. Foreign currency, investment securities, and other assets and liabilities denominated in a foreign currency are translated into USD at the prevailing rates of exchange on each valuation date. Purchases and sales of securities, income, withholding taxes and expenses are translated into USD at the prevailing exchange rate on the respective dates of the transactions. Generally, when the USD rises in value against a foreign currency, the Fund's foreign currency, investment securities, and other assets and liabilities denominated in that currency will lose value because that currency is worth fewer USD; the opposite effect occurs if the USD falls in relative value.

The effects of changes in foreign currency exchange rates on securities and derivative instruments, if any, are included with the net realized and unrealized gain or loss on securities and derivative instruments. Net realized gains and losses on foreign currency transactions may include net realized foreign exchange gains or losses on closed forward foreign currency contracts, disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between amounts of investment income and foreign withholding taxes recorded on the Fund's accounting records and the USD equivalent amounts actually paid or received. Translation of assets and liabilities in foreign currencies may include changes in the value of open forward foreign currency contracts and assets and liabilities other than investments at period end, resulting from changes in foreign exchange rates.

Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments and currency fluctuations, not present with domestic investments. For example, there may be less publicly available information about foreign companies, particularly those not subject to the disclosure and reporting requirements of the U.S. securities laws. Additionally, certain foreign issuers may not be bound by uniform accounting,

auditing and financial reporting requirements and standards of practice comparable to those applicable to domestic issuers. Investments in foreign securities may also involve the risk of possible adverse changes in investment or exchange control regulations, nationalization, expropriation or confiscatory taxation and limitation on the removal of Fund assets. Also, certain foreign stock markets may not be as developed as those in the United States, and securities of certain foreign issuers (particularly those located in developing countries) may be less liquid and more volatile than securities of comparable U.S. companies.

The value of foreign currency relative to the Fund's base currency may fluctuate in response to, among other factors, interest rate changes, intervention (or failure to intervene) by national governments, central banks or supranational entities such as the International Monetary Fund, the imposition of currency controls and other political or regulatory developments. Foreign currency values may decrease significantly both in the short term and over the long term in response to these and other developments.

I. Derivative Instruments The Fund's use of derivative instruments involves risks different from, and possibly greater than, the risks associated with investing directly in securities and other more traditional investments. Derivatives are instruments whose values are derived from underlying assets, indices, reference rates or a combination of these factors. Derivatives are subject to a number of risks, such as potential changes in value in response to interest rate changes, index return or other market developments or as a result of changes unrelated to any reference asset, including changes in credit quality of the Fund's counterparty to the derivative transaction. Over-the-counter ("OTC") derivatives usually do not have publicly available price sources and therefore there may be differences between bespoke price offers by dealers. Furthermore, there is a risk that changes in the value of a derivative may not correlate as anticipated with respect to the change in the value of the asset, rate, or index underlying the derivative. Derivative transactions can create investment leverage and may be highly volatile. Use of derivatives other than for hedging purposes may be considered speculative. When the Fund executes a derivative instrument, the future exposure is potentially unlimited. The value of a derivative instrument will depend, in part, on the ability and the willingness of the Fund’s derivative counterparty to perform its obligations under the transaction. A liquid secondary market may not always exist for the Fund’s derivative positions at any time and may impact the Fund’s ability to establish fair market value of a derivative transaction and close out derivative positions. Although the use of derivatives is intended to complement the Fund’s performance, it may instead reduce returns and increase volatility. The measurement of the risks associated with derivative instruments is meaningful only when all related and offsetting transactions are considered. The Fund must set aside liquid assets or engage in other appropriate measures to cover its obligations under these derivative instruments.

Certain derivatives, including forward foreign currency contracts and some swap contracts, as applicable, are entered into OTC under the terms and conditions of International Swaps and Derivatives Association Master Agreements or similar agreements (“Master Agreements”), which are separately negotiated with each counterparty. Master Agreements may contain provisions allowing a counterparty to exercise rights to terminate derivative contracts, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over a period of time by a predetermined percentage or decrease below a predetermined floor amount. Master Agreements also contain certain provisions for the Fund to exercise rights to terminate derivative contracts, to the extent not otherwise waived, against counterparties upon the occurrence of certain events, such as a decline in a counterparty’s credit rating below a specified level. Such rights for both the counterparty and the Fund to terminate open contracts may be transacted at prices that favor the counterparty, which could have an adverse effect to the Fund.

Certain derivatives, including futures contracts and centrally cleared swaps, as applicable, are transacted on an exchange or through a clearinghouse, as applicable. These exchange traded derivatives generally present less counterparty risk to the Fund because the exchange's clearinghouse, as counterparty to the exchange traded derivatives, guarantees the derivative against default. Clearinghouses have been established to act as central counterparties on eligible OTC transactions, including centrally cleared swaps. While the risk of counterparty default is substantially less likely for

exchange traded derivatives, a default by an exchange member under a derivative transaction(s) unrelated to the Fund’s derivatives transactions could cause a default by the exchange impacting the Fund. Margin, collateral and settlement requirements are set by each clearinghouse and may vary from one exchange or clearinghouse to another. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of default by the clearing broker or clearinghouse.

The Fund values derivatives at fair value as described below and recognizes changes in fair value currently in its results of operations. Accordingly, the Fund does not follow hedge accounting, even for derivatives employed as economic hedges. Derivative instruments outstanding at period end, if any, are disclosed in the Combined Schedule of Investments.

Futures Contracts The Fund may use futures contracts to manage exposure to the market. Buying futures tends to increase a fund's exposure to the underlying instrument. Selling futures tends to decrease a fund's exposure to the underlying instrument or hedge the fair value of other fund investments. When entering into a futures contract, the Fund agrees to buy or sell a specified quantity of a security, currency, basket of securities or an index for an agreed-upon price on an agreed-upon date.

Futures contracts are valued at the quoted daily settlement price at the end of each day on the board of trade or exchange upon which they are traded. Futures contracts are classified within Level 1 of the fair value hierarchy. Upon entering into a futures contract, the Fund is required to deposit either in cash, currency or securities, an amount ("initial margin") equal to a certain percentage of the nominal value of the contract. Subsequent payments are made or received by the Fund periodically, depending on the fluctuation in the value of the underlying instrument, and are recorded as variation margin receivable or payable with a corresponding offset in unrealized gains or losses. The Fund recognizes a realized gain or loss when a contract is closed or expires.

Futures contracts involve, to varying degrees, credit and market risks. The Fund enters into futures contracts only on exchanges or boards of trade where the exchange or board of trade acts as the counterparty to the transaction. Thus, credit risk on such transactions is limited to the failure of the exchange or board of trade. Losses in value may arise from changes in the value of the underlying instruments or if there is an illiquid secondary market for the contracts. In addition, there is the risk that there may not be an exact correlation between movements in the price of a futures contract and movements in the price of the underlying instrument.

During the period, the Fund entered into certain derivative contract types. These instruments were used to meet the Fund's investment objectives and to obtain and/or manage exposure related to the risks below. The following table sets forth the fair value of the Fund's derivative contracts for trading activities by certain primary underlying risk types as of the end of the period. The values in the table below exclude the effects of collateral received or posted pursuant to derivative contracts, and therefore are not necessarily representative of the Fund's net exposure.

Fair Values of Asset and Liability Derivative Contracts at December 31, 2019:

Derivatives not accounted Foreign for as hedging instruments Credit Equity Exchange Interest Rate Total Asset Derivative Variation margin receivable/(payable)* $ - $ 1,994,303 $ - $ - $ 1,994,303

*Includes cumulative appreciation (depreciation) of futures contracts as reported in the Combined Schedule of Investments. Only current day's variation margin is reported within the Combined Statement of Assets and Liabilities.

The following tables set forth by certain primary underlying risk types the Fund's gains and (losses) related to derivative activities for the period ended December 31, 2019.

Effect of Derivative Instruments on the Combined Statement of Operations - Net Realized Gain (Loss):

Derivatives not accounted Foreign for as hedging instruments Credit Equity Exchange Interest Rate Total Futures contracts $ - $ 28,487,797 $ - $ - $ 28,487,797

Effect of Derivative Instruments on the Combined Statement of Operations - Net Change in Unrealized Appreciation (Depreciation):

Derivatives not accounted Foreign for as hedging instruments Credit Equity Exchange Interest Rate Total Futures contracts $ - $ 8,041,424 $ - $ - $ 8,041,424

During the period ended December 31, 2019, the Fund had an average of 1,310 futures contracts outstanding.

For financial reporting purposes, the Fund does not offset derivative assets or liabilities, including those that may be subject to an enforceable Master Agreement, on the Combined Statement of Assets and Liabilities. Futures that settle variation margin daily are included within variation margin receivable or payable on the Combined Statement of Assets and Liabilities. The following table sets forth the Fund's net exposure to derivative assets and liabilities available for offset and net of collateral at December 31, 2019:

Amounts Eligible Net Derivative Collateral Derivative Type Gross Assets for Offset Asset Balance (Received) Net Exposure Futures contracts $ 510,665 $ - $ 510,665 $ - $ 510,665

The actual value of collateral, if any, may be more than the amount presented.

3. Concentration of Ownership The following information illustrates concentration of ownership of participants owning units in excess of 10% of total units outstanding as well as units owned by other SSGA Collective Investment Funds.

10% or Greater Participants % of Units Outstanding held by other # of Participants % of Units held SSGA Collective Investment Funds Lending Fund Class I 3 93% - %

Non-Lending Fund Class A 3 64% - % Class C 2 92% - %

4. Risks and Uncertainties A. Market and Credit Risk In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

5. State Street Global Securities Lending Program The Lending Fund is authorized to participate in the State Street Global Securities Lending Program under the terms and conditions of a Securities Lending Authorization Agreement (“SLAA”). Under the State Street Global Securities Lending Program, securities held by participating funds are loaned by State Street Bank, as agent, to certain brokers and other financial institutions (the "Borrowers"). The Borrowers provide cash, securities, or letters of credit as collateral against loans in an amount equal to at least 100% of the fair value of the loaned securities. The Borrowers are required to maintain the collateral at not less than 100% of the fair value of the loaned securities. Cash collateral provided by the Borrowers is invested in the State Street Bank and Trust Company Series Quality Trust for SSgA Funds Trust Fund (the "Cash Collateral Fund"). Loans of securities may be terminated at any time, and the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous. SSGA, or an affiliate, acts as Investment Manager for the Cash Collateral Fund and is compensated for these services.

State Street Bank generally manages the Global Securities Lending Program as a global program, instead of a series of individual programs for each securities lending participant. Securities are loaned to Borrowers with an objective of maximizing return, while maintaining latent liquidity. Latent liquidity represents the ability to increase the amount of securities on loan, which would increase cash collateral from Borrowers to be invested in securities lending collateral vehicles. Borrower loans of securities may be reassigned or transferred to other participants upon redemption of underlying lendable securities. Accordingly, Lending Fund contributions or redemptions may not necessarily result in a change in the amount of the Lending Fund's securities on loan or the Lending Fund's investment in securities lending collateral collective investment funds or other collateral.

Risks and Indemnification State Street Bank, as lending agent, indemnifies the Lending Fund for replacement of any loaned securities (or, in certain circumstances, return of equivalent cash value) due to Borrower default on a security loan. Lending Fund participants, however, bear the risk of loss with respect to the investment of collateral.

Financial Statement Presentation The fair value of securities loaned by the Lending Fund at December 31, 2019 is disclosed on the Combined Statement of Assets and Liabilities. The Lending Fund's investment in the Cash Collateral Fund is recorded on the Combined Statement of Assets and Liabilities at fair value. The Lending Fund also received U.S. Treasury or U.S. Government Agency securities valued at $26,278,809 as additional collateral. The securities are held in a segregated account for the benefit of the Lending Fund and the counterparty.

For financial reporting purposes, the Fund does not offset financial assets and liabilities related to securities lending, including those that may be subject to an enforceable SLAA, on the Combined Statement of Assets and Liabilities.

The following table sets forth the Fund’s net exposure to financial assets and liabilities related to securities lending at December 31, 2019.

Financial Gross Assets Gross Liabilities Instruments Net Exposure Securities Lending $ - $ (24,428,255) $ 23,960,407 $ (467,848)

Cash Collateral Fund Objectives The objectives of the Cash Collateral Fund are (i) to generate investment returns that exceed the rebate payable to the Borrowers on the cash collateral posted by the Borrowers, (ii) to avoid any undue risk of loss of principal, and (iii) to have sufficient liquidity to return any cash collateral to the Borrowers when the related securities loan terminates. The Cash Collateral Fund is managed in a manner designed to achieve these objectives, with a principal focus on asset- liability matching.

During 2019, the Cash Collateral Fund issued and redeemed its units at a price of $1.00 per unit in accordance with its governing documents.

Cash Collateral Funds Income Distribution Proceeds collected by State Street Bank on investment of cash collateral or any fee income is allocated at 70% payable to the Lending Fund and 30% payable to State Street Bank (after deduction of such other amounts payable to State Street Bank or the Borrowers under the terms of the SLAA). Negotiated lenders' fees are received for those loans collateralized by securities or letters of credit, if any. Securities lending fee income, if any, is recorded on an accrual basis by the Lending Fund.

Investment in Cash Collateral Funds Valuation Management of the Lending Fund(s) regularly reviews the performance of the Cash Collateral Funds and the variation between their per unit fair values and the expected transaction price of $1.00. The Cash Collateral Funds primarily utilize quotations from independent pricing vendors, quotations from bond dealers and information with respect to bond and note transactions ("pricing vendor information") to determine fair value of their investments. Such pricing vendor information may also consist of quotations derived from valuation models or matrix pricing. At December 31, 2019, the per unit fair value was $1.00 for the State Street Bank and Trust Company Series Quality Trust for SSgA Funds Trust Fund. Investments in Cash Collateral Funds are measured at the net asset value per unit.

6. Indemnifications In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Trustee expects the risk of loss to be remote.

7. Recent Accounting Pronouncements In March 2017, the Financial Accounting Standards Board (the "FASB") issued an amendment to U.S. GAAP, which amends the required amortization period for purchased callable debt securities that have been purchased at a premium to the amount repayable at the next call date. The scope of the amendment is limited to debt securities that have an explicit non-contingent call feature at a fixed price on a preset date or dates. The amendment requires that the aforementioned premium on such debt securities shall be amortized through the next call date, whereas current U.S. GAAP requires

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amortization through the maturity date of the security. Debt securities purchased at a discount will continue to have such discount amortized to the maturity date, consistent with current U.S. GAAP. The amendment is effective for fiscal years beginning after December 15, 2019. The Trustee does not expect a material impact from the adoption of the amendments in this update. Further, the adoption of the amendments in the update will not result in a change in net asset value.

8. Other SSGA is involved in various industry-related and other regulatory, governmental and law enforcement inquiries and subpoenas. The Trustee has reviewed these matters in connection with these financial statements. Based upon that review, the Trustee has determined that no accrual or loss contingency is required on the Fund's financial statements.

9. Subsequent Events The Trustee has evaluated subsequent events after December 31, 2019 through March 20, 2020, the date the financial statements were available to be issued, and has concluded that there is no impact requiring adjustment or disclosure in these financial statements.

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10. Additional Expense Information During the period ended December 31, 2019, the Fund incurred expenses directly for certain services received and indirectly through its investments in underlying fund(s), if any.

As applicable, the Trustee contractually or voluntarily waived and/or reimbursed the Classes to the extent the total annual gross operating expenses, as a percentage of average daily net assets, exceeded the total annual operating expense ratio. In certain instances, the waivers and/or reimbursements from the Trustee to the Class may exceed the Class' total direct expenses incurred.

Ratios of expense classifications as a % of average daily net assets TAOER DE IE TAGOE W/R TANOE Class I 0.012 0.012 - 0.012 - 0.012 Class A 0.012 0.012 - 0.012 - 0.012 Class C 0.020 0.029 - 0.029 - 0.029

Total Annual Operating Total direct and indirect expenses the Fund or Class, as applicable, will incur, as set Expense Ratio ("TAOER") forth in the Fund’s governing documents. Effective July 1, 2019, Class C has a Total Annual Operating Expense Ratio equal to 0.020%, of the Class' average daily net asset value. Prior to July 1, 2019, Class C had a Total Annual Operating Expense Ratio equal to 0.052%, of the Class' average daily net asset value.

Direct Expenses ("DE") Fees and expenses directly incurred by the Fund or Class, as applicable, which may include administration, audit, legal and management fees, if any.

Indirect Expenses ("IE") Proportionate amount of fees and expenses indirectly incurred by the Fund or Class, as applicable, as a result of its investment in underlying fund(s) which may include administration, audit and legal fees, if any.

Total Annual Gross Operating Total direct and indirect expenses incurred, prior to the application of any waivers Expense ("TAGOE") and/or reimbursements, if any.

Waivers and/or Amounts waived and/or reimbursed by the Trustee to the extent the total direct and Reimbursements ("W/R") indirect expenses of the Fund or Class, as applicable, exceeded the total annual operating expense ratio, as described in the Fund’s governing documents.

Total Annual Net Operating Total direct and indirect expenses incurred, net of waivers and/or reimbursements, Expense ("TANOE") if any.

The total annual net operating expense ratio presented above may not correlate to the Class' ratio of expenses to average daily net assets as presented in the Financial Highlights, which do not reflect indirect expenses, if any. The ratios presented above do not include the Fund’s allocable share of indirect expenses from investment of securities lending collateral or investments in money market funds, if any.

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State Street Global Advisors Trust Company State Street Russell All Cap® Index Securities Lending Series Fund State Street Russell All Cap® Index Non-Lending Series Fund Brokerage Commissions (unaudited) December 31, 2019

Brokerage Commissions

Subject to its duty to seek best execution, SSGA employs a standard negotiated commission schedule for specific types of trades (generally equities) entered into on behalf of the Fund. SSGA retains the right to use “soft” or commission dollars consistent with the parameters of Section 28(e) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). In addition, certain client accounts and as applicable, the Fund or underlying fund(s), may participate in arrangements or programs pursuant to which transactions generate “credits” which may be used by SSGA to obtain third-party research or brokerage services (“Commission Sharing Agreements” or “CSAs”). SSGA has suspended the CSA program. SSGA may decide to engage in CSAs again in the future. Participants who invest in the Fund may not limit the ability of the Fund or the underlying fund(s) to directly or indirectly participate in CSAs.

Research and brokerage services furnished to SSGA may be used in furnishing investment or other advice to all or some subset of SSGA’s (and/or its affiliates) clients. Services received from a broker-dealer that executed transactions for a particular fund or client may not necessarily be used by SSGA specifically in servicing that particular fund or account. SSGA may share some or all of the brokerage and research services received by it with affiliates.

Transactions effected for SSGA's funds or clients that generate credits may be aggregated with transactions effected for clients of SSGA whose commission dollars do not generate credits used to obtain third-party research and brokerage services (“Restricted Accounts”). Restricted Accounts may benefit from any third-party research or brokerage services obtained using credits arising from transactions effected for other funds or clients of SSGA.

The Fund paid an aggregate dollar amount of brokerage commissions of $190,240 for 2019. None of the brokerage commissions paid were paid to affiliated brokers. Brokerage commissions paid by the Fund may be substantially different from year to year for multiple reasons, including market volatility and the demand for a particular security. The Fund did not generate any CSA credits during the period ended December 31, 2019.

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