Wilmington Trust Collective Investment Trust Funds Sub-Advised by Brandywine Global Investment Management, LLC
Total Page:16
File Type:pdf, Size:1020Kb
WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST FUNDS SUB-ADVISED BY BRANDYWINE GLOBAL INVESTMENT MANAGEMENT, LLC FINANCIAL STATEMENTS DECEMBER 31, 2020 WITH INDEPENDENT AUDITOR'S REPORT Wilmington Trust Collective Investment Trust Funds Sub-Advised by Brandywine Global Investment Management, LLC CONTENTS Independent Auditor's Report ..................................................................................................................................................................... 1 Fund Index ................................................................................................................................................................................................. 3 BrandywineGLOBAL – Diversified US Large Cap Value CIT ..................................................................................................................... 4 BrandywineGLOBAL – Dynamic US Large Cap Value CIT ...................................................................................................................... 15 BrandywineGLOBAL – US Fixed Income CIT .......................................................................................................................................... 22 Notes to the Financial Statements............................................................................................................................................................ 29 INDEPENDENT AUDITOR'S REPORT Wilmington Trust, N.A, Trustee for W ilmington Trust Collective Investment Trust Report on the Financial Statements We have audited the accompanying financial statements of funds sub-advised by Brandywine Global Investment Management, LLC of Wilmington Trust Collective Investment Trust (the "Trust"), comprising the funds (the "Funds") included on the Fund Index on page 3, which comprise the statements of assets and liabilities, including the schedules of investments, as of December 31, 2020, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended, or for the period then ended for inception dates in 2020, and the related notes to the financial statements. These financial statements and financial highlights are hereinafter collectively referred to as financial statements. Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these 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 financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor's judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity's preparation and fair presentation of the 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 entity'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 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 financial statements referred to above present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2020, and the results of its operations, and changes in its net assets and its financ ial highlights for the year then ended, or for the period then ended for inception dates in 2020, in accordance with accounting principles generally accepted in the United States of America. 1 www.hogantaylor.com Other Matter Our audit was conducted for the purpose of forming an opinion on the financial statements as a whole. The supplementary information for the year ended December 31, 2020, or for the period then ended for inception dates in 2020, following the schedule of investments, is presented for purposes of additional analysis and is not a required part of the financial statements. Such information is the responsibility of management and was derived from and relates directly to the underlying accounting and other records used to prepare the financial statements. The information has been subjected to the auditing procedures applied in the audit of the financial statements and certain additional procedures, including comparing and reconciling such information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, the information is fairly stated in all material respects in relation to the financial statements as a whole. Tulsa, Oklahoma April 30, 2021 2 Brandywine Global Investment Management, LLC Wilmington Trust Collective Investment Trust Funds Sub-Advised by Brandywine Global Investment Management, LLC FUND INDEX FUND NAME FUND OBJECTIVE BrandywineGLOBAL – Diversified US The Fund seeks long-term capital appreciation. There is no guarantee that the Large Cap Value CIT Fund will achieve its investment objective. BrandywineGLOBAL – Dynamic US Large The Fund seeks long-term capital appreciation by quantitatively investing primarily Cap Value CIT in equity securities of large capitalization companies. There is no guarantee that the Fund will achieve its investment objective. BrandywineGLOBAL – US Fixed Income The Fund seeks to capture interest income and additionally generate principal CIT growth through capital appreciation when market conditions permit. The Fund seeks to outperform the Bloomberg Barclays U.S. Aggregate Index at least two percentage points, gross of applicable fees and expenses, on an average annual basis over rolling five year periods. There is no guarantee that the Fund will achieve its investment objective. 3 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Brandywine Global Investment Management, LLC BrandywineGLOBAL – Diversified US Large Cap Value CIT Schedule of Investments December 31, 2020 Principal Amounts or Fair Shares Cost Value Common Stocks - 97.9% Basic Materials - 2.7% Albemarle Corporation 40 $ 3,248 $ 5,901 Celanese Corporation 50 5,403 6,497 Eastman Chemical Company 51 3,862 5,114 FMC Corporation 56 5,200 6,436 Huntsman Corporation 76 1,687 1,911 International Paper Company 171 7,389 8,502 LyondellBasell Industries N.V. Class A 145 11,819 13,291 Newmont Corporation 349 20,836 20,902 Nucor Corporation 131 6,750 6,968 Reliance Steel & Aluminum Co. 28 2,778 3,353 Steel Dynamics, Inc. 91 2,973 3,355 The Mosaic Company 165 3,308 3,797 Total Basic Materials 75,253 86,027 Communications - 9.5% CDW Corporation 62 7,628 8,171 Ciena Corporation 67 2,845 3,541 Cisco Systems, Inc. 1,569 66,442 70,213 Comcast Corporation Class A 1,737 74,261 91,019 Corning Incorporated 273 6,711 9,828 Discovery, Inc. 69 1,510 2,076 eBay Inc. 312 12,526 15,678 Fox Corporation Class A 123 3,465 3,582 Interpublic Group of Companies, Inc./The 130 2,752 3,058 Juniper Networks, Inc. 127 3,148 2,859 NortonLifeLock Inc. 219 4,009 4,551 Verizon Communications Inc. 1,585 91,717 93,119 Total Communications 277,014 307,695 Consumer, Cyclical - 10.0% Advance Auto Parts, Inc. 29 3,523 4,568 AutoZone, Inc. 10 10,433 11,854 Best Buy Co., Inc. 113 9,723 11,276 Brunswick Corporation 31 1,949 2,363 CarMax, Inc. 43 3,791 4,062 Cummins Inc. 64 11,518 14,534 D.R. Horton, Inc. 158 8,790 10,889 Deckers Outdoor Corporation 4 872 1,147 See Notes to the Financial Statements. 4 Wilmington Trust Collective Investment Trust Funds Sub-Advised by Brandywine Global Investment Management, LLC BrandywineGLOBAL – Diversified US Large Cap Value CIT Schedule of Investments (continued) December 31, 2020 Principal Amounts or Fair Shares Cost Value Common Stocks - 97.9% (continued) Consumer, Cyclical - 10.0% (continued) Dollar General Corporation 107 $ 22,720 $ 22,502 Dollar Tree, Inc. 101 9,868 10,912 Ford Motor Company 1,696 13,711 14,908 General Motors Company 620 22,411 25,817 Gentex Corporation 91 2,306 3,088 Genuine Parts Company 62 5,921 6,227 Hanesbrands Inc. 93 1,414 1,356 Hyatt Hotels Corporation Class A 17 1,217 1,262 Lear Corporation 23 2,306 3,658 Lennar Corporation 120 7,375 9,148 LKQ Corporation 132 3,883 4,652 Lowe's Companies, Inc. 318 49,707 51,042 Mohawk Industries, Inc. 31 4,169 4,369 Newell Brands Inc. 184 3,433 3,906 O'Reilly Automotive, Inc. 31 14,029 14,030 PACCAR Inc 150 11,399 12,942