All Cap Portfolio

All Cap Portfolio Schedule of Investments as of September 30, 2019 (unaudited) Shares Common Stock (96.2%) Value Shares Common Stock (96.2%) Value Communications Services (7.2%) Health Care (12.0%) 1,140 Alphabet, Inc., Class Aa $1,392,100 15,700 Abbott Laboratories $1,313,619 1,290 Alphabet, Inc., Class Ca 1,572,510 4,710 Becton, Dickinson and Company 1,191,441 12,490 Facebook, Inc.a 2,224,219 11,930 BioMarin Pharmaceutical, Inc.a 804,082 16,170 Twitter, Inc.a 666,204 19,530 Gilead Sciences, Inc. 1,237,811 13,820 Walt Disney Company 1,801,022 18,740 GlaxoSmithKline plc ADR 799,823 14,690 Zayo Group Holdings, Inc.a 497,991 33,170 Horizon Therapeutics plca 903,219 Total 8,154,046 5,790 Jazz Pharmaceuticals, Inc.a 741,931 17,680 Medtronic plc 1,920,402 Consumer Discretionary (11.5%) 2,380 Teleflex, Inc. 808,605 1,420 Amazon.com, Inc.a 2,464,992 8,020 UnitedHealth Group, Inc. 1,742,906 850 AutoZone, Inc.a 921,927 6,460 Vertex Pharmaceuticals, Inc.a 1,094,453 890 Booking Holdings, Inc.a 1,746,723 2,220 Waters Corporationa 495,571 4,790 Burlington Stores, Inc.a 957,138 26,990 Wright Medical Group NVa 556,804 10,720 Canada Goose Holdings, Inc.a 471,358 Total 13,610,667 6,630 Dollar Tree, Inc.a 756,881 8,870 Las Vegas Sands Corporation 512,331 Industrials (11.7%) 41,880 MGM Resorts International 1,160,914 25,100 Altra Industrial Motion Corporation 695,144 13,490 NIKE, Inc. 1,266,981 24,090 Arcosa, Inc. 824,119 8,480 Planet Fitness, Inc.a 490,738 13,870 BWX Technologies, Inc. 793,503 18,690 Red Rock Resorts, Inc. 379,500 8,510 Honeywell International, Inc. 1,439,892 14,740 Starbucks Corporation 1,303,311 3,900 Huntington Ingalls Industries, Inc. 825,981 15,910 Toll Brothers, Inc. 653,105 28,310 Johnson Controls International plc 1,242,526 Total 13,085,899 7,720 Norfolk Southern Corporation 1,386,975 9,650 Parker Hannifin Corporation 1,742,886 Consumer Staples (5.4%) 19,190 Ritchie Brothers Auctioneers, Inc. 765,681 3,980 Casey's General Stores, Inc. 641,417 11,180 United Technologies Corporation 1,526,294 13,360 Church & Dwight Company, Inc. 1,005,207 7,060 Waste Connections, Inc. 649,520 4,540 Costco Wholesale Corporation 1,308,019 13,660 Willdan Group, Inc.a 479,193 23,920 Cott Corporation 298,282 10,750 Xylem, Inc. 855,915 14,790 Molson Coors Brewing Company 850,425 Total 13,227,629 19,020 Philip Morris International, Inc. 1,444,189 25,500 Turning Point Brands, Inc. 588,030 Information Technology (19.8%) Total 6,135,569 9,270 Akamai Technologies, Inc.a 847,093 3,270 ANSYS, Inc.a 723,847 Energy (4.3%) 9,100 Apple, Inc. 2,038,127 11,910 Chevron Corporation 1,412,526 5,320 Autodesk, Inc.a 785,764 6,760 Diamondback Energy, Inc. 607,792 6,310 Blackline, Inc.a 301,681 38,080 Euronav NV 350,336 12,400 Ciena Corporationa 486,452 23,590 Marathon Petroleum Corporation 1,433,092 33,580 Cisco Systems, Inc. 1,659,188 5,680 Pioneer Natural Resources Company 714,374 8,890 Dolby Laboratories, Inc. 574,650 30,390 WPX Energy, Inc.a 321,830 3,220 F5 Networks, Inc.a 452,152 Total 4,839,950 14,180 Five9, Inc.a 762,033 28,860 Juniper Networks, Inc. 714,285 Financials (14.0%) 41,370 Lattice Semiconductor Corporationa 756,450 16,210 Aflac, Inc. 848,107 5,290 MasterCard, Inc. 1,436,605 7,090 American Express Company 838,605 23,610 Microsoft Corporation 3,282,498 14,410 Arch Capital Group, Ltd.a 604,932 6,970 New Relic, Inc.a 428,307 17,900 Assured Guaranty, Ltd. 795,834 220,910 Nokia Oyj ADR 1,117,805 49,440 Bank of America Corporation 1,442,165 15,400 PayPal Holdings, Inc.a 1,595,286 4,330 Cboe Global Markets, Inc. 497,560 7,380 Salesforce.com, Inc.a 1,095,487 20,060 Citigroup, Inc. 1,385,745 10,150 Visa, Inc. 1,745,902 16,380 E*TRADE Financial Corporation 715,642 12,420 Xilinx, Inc. 1,191,078 16,080 Essent Group, Ltd. 766,534 27,160 Zuora, Inc.a 408,758 14,800 Hartford Financial Services Group, Total 22,403,448 Inc. 897,028 10,170 IBERIABANK Corporation 768,242 Materials (4.1%) 14,420 Intercontinental Exchange, Inc. 1,330,533 4,240 Balchem Corporation 420,565 10,800 J.P. Morgan Chase & Company 1,271,052 5,210 Ball Corporation 379,340 450 Markel Corporationa 531,855 24,110 CF Industries Holdings, Inc. 1,186,212 9,981 Prosight Global, Inc.a 193,232 15,490 Eastman Chemical Company 1,143,627 4,130 S&P Global, Inc. 1,011,767 3,370 FMC Corporation 295,482 74,060 SLM Corporation 653,580 34,840 Louisiana-Pacific Corporation 856,367 2,410 SVB Financial Groupa 503,570 4,360 Neenah, Inc. 283,923 16,840 Zions Bancorporations NA 749,717 1,760 United States Lime & Minerals, Inc. 134,640 Total 15,805,700 Total 4,700,156

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 1 All Cap Portfolio Schedule of Investments as of September 30, 2019 (unaudited) Shares Common Stock (96.2%) Value Real Estate (4.3%) 4,430 Alexandria Real Estate Equities, Inc. $682,397 1,530 AvalonBay Communities, Inc. 329,455 5,900 Camden Property Trust 654,959 10,615 Cousins Properties, Inc. 399,018 2,360 Crown Castle International Corporation 328,064 19,750 Duke Realty Corporation 670,907 730 Equinix, Inc. 421,064 21,090 Physicians Realty Trust 374,347 4,390 Prologis, Inc. 374,116 8,630 QTS Realty Trust, Inc. 443,668 1,530 Simon Property Group, Inc. 238,145 Total 4,916,140

Utilities (1.9%) 8,230 NorthWestern Corporation 617,661 11,460 PNM Resources, Inc. 596,837 33,000 Vistra Energy Corporation 882,090 Total 2,096,588

Total Common Stock (cost $103,691,719) 108,975,792

Registered Investment Companies Shares (1.9%) Value Unaffiliated (1.9%) 7,740 SPDR S&P Homebuilders ETF 341,180 28,930 Utilities Select Sector SPDR Fund 1,872,928 Total 2,214,108

Total Registered Investment Companies (cost $2,000,618) 2,214,108

Shares Short-Term Investments (1.9%) Value Thrivent Core Short-Term Reserve Fund 216,760 2.230% 2,167,603 Total Short-Term Investments (cost $2,167,603) 2,167,603 Total Investments (cost $107,859,940) 100.0% $113,357,503 Other Assets and Liabilities, Net (<0.1%) (47,788) Total Net Assets 100.0% $113,309,715

a Non-income producing security.

Definitions: ADR - American Depositary Receipt, which are certificates for an underlying foreign security's shares held by an issuing U.S. depository bank. ETF - Exchange Traded Fund SPDR - S&P Depository Receipts, which are exchange-traded funds traded in the U.S., Europe, and Asia-Pacific and managed by State Street Global Advisors.

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 2 All Cap Portfolio Schedule of Investments as of September 30, 2019 (unaudited)

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

Investments in Securities Total Level 1 Level 2 Level 3 Common Stock Communications Services 8,154,046 8,154,046 – – Consumer Discretionary 13,085,899 13,085,899 – – Consumer Staples 6,135,569 6,135,569 – – Energy 4,839,950 4,839,950 – – Financials 15,805,700 15,805,700 – – Health Care 13,610,667 13,610,667 – – Industrials 13,227,629 13,227,629 – – Information Technology 22,403,448 22,403,448 – – Materials 4,700,156 4,700,156 – – Real Estate 4,916,140 4,916,140 – – Utilities 2,096,588 2,096,588 – – Registered Investment Companies Unaffiliated 2,214,108 2,214,108 – – Subtotal Investments in Securities $111,189,900 $111,189,900 $– $– Other Investments * Total Affiliated Short-Term Investments 2,167,603 Subtotal Other Investments $2,167,603

Total Investments at Value $113,357,503

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

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

Investment in Affiliates Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Portfolio's holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Portfolio. The Portfolio owns shares of Thrivent Cash Management Trust for the purpose of securities lending and Thrivent Core Short-Term Reserve Fund, a series of Thrivent Core Funds, primarily to serve as a cash sweep vehicle for the Portfolio. Thrivent Cash Management Trust and Thrivent Core Funds are established solely for investment by Thrivent entities. A summary of transactions (in thousands; values shown as zero are less than $500) for the fiscal year to date, in All Cap Portfolio, is as follows: Value Gross Gross Value Shares Held at % of Net Assets Portfolio 12/31/2018 Purchases Sales 9/30/2019 9/30/2019 9/30/2019 Affiliated Short-Term Investments Core Short-Term Reserve, 2.230% $1,495 $9,903 $9,230 $2,168 217 1.9% Total Affiliated Short-Term Investments 1,495 2,168 1.9 Collateral held for Securities Loaned Cash Management Trust- Collateral Investment 1,355 5,572 6,927 – – – Total Collateral Held for Securities Loaned 1,355 – – Total Value $2,850 $2,168

Change in Unrealized Distributions of Income Earned Net Realized Appreciation/ Realized Capital 1/1/2019 Portfolio Gain/(Loss) (Depreciation) Gains - 9/30/2019 Affiliated Short-Term Investments Core Short-Term Reserve, 2.230% $– $– – $33 Total Income from Affiliated Investments $33 Collateral Held for Securities Loaned Cash Management Trust- Collateral Investment – – – 0 Total Affiliated Income from Securities Loaned, Net $0 Total Value $– $– $–

The accompanying Notes to Schedule of Investments are an integral part of this schedule. 3 Notes to Schedule of Investments as of September 30, 2019 (unaudited)

SIGNIFICANT ACCOUNTING POLICIES specific developments. If the Committee decides that such events warrant using fair value estimates, the Committee Valuation of Investments — Securities traded on U.S. or will take such events into consideration in determining the foreign securities exchanges or included in a national fair value of such securities. If market quotations or prices market system are valued at the last sale price on the are not readily available or determined to be unreliable, the principal exchange as of the close of regular trading on securities will be valued at fair value as determined in good such exchange or the official closing price of the national faith pursuant to procedures adopted by the Board. market system. Over-the-counter securities and listed In accordance with U.S. Generally Accepted Accounting securities for which no price is readily available are valued Principles (“GAAP”), the various inputs used to determine at the current bid price considered best to represent the the fair value of the Portfolios’ investments are summarized value at that time. Security prices are based on quotes in three broad levels. Level 1 includes quoted prices in that are obtained from an independent pricing service active markets for identical securities, typically included approved by the Fund's Board of Directors (the “Board”). in this level are U.S. equity securities, futures, options and The pricing service, in determining values of fixed-income registered investment company funds. Level 2 includes securities, takes into consideration such factors as current other significant observable inputs such as quoted prices quotations by broker/dealers, coupon, maturity, quality, for similar securities, interest rates, prepayment speeds type of issue, trading characteristics, and other yield and and credit risk, typically included in this level are fixed risk factors it deems relevant in determining valuations. income securities, international securities, swaps and Securities which cannot be valued by the approved pricing forward contracts. Level 3 includes significant unobservable service are valued using valuations from dealers that make inputs such as the Adviser’s own assumptions and broker markets in the securities. Exchange-listed options and evaluations in determining the fair value of investments. Of futures contracts are valued at the primary exchange settle the Level 3 securities, those for which market values were price. Exchange cleared swap agreements are valued using not readily available or were deemed unreliable were fair a vendor provided settlement or clearing price used by the valued as determined in good faith pursuant to procedures clearinghouse. Swap agreements not cleared on exchanges established by the Board. The valuation levels are not will be valued using the mid-price from the primary necessarily an indication of the risk associated with investing approved pricing service. Forward foreign currency in these securities or other investments. Investments exchange contracts are marked-to-market based upon measured using net asset value per share as a practical foreign currency exchange rates provided by the pricing expedient for fair value and that are not publicly available- service. Investments in open-ended mutual funds are for-sale are not categorized within the fair value hierarchy. valued at their net asset value at the close of each business day. Valuation of International Securities — The Portfolios value certain foreign securities traded on foreign exchanges that Securities held by the Money Market Portfolio are valued close prior to the close of the New York Stock Exchange on the basis of amortized cost (which approximates market using a fair value pricing service. The fair value pricing value), whereby a portfolio security is valued at its cost initially service uses a multi-factor model that may take into and thereafter valued to reflect a constant amortization to account the local close, relevant general and sector indices, maturity of any discount or premium. The Money Market currency fluctuation, prices of other securities (including Portfolio and the Adviser follow procedures designed to ADRs, New York registered shares, and ETFs), and futures, help maintain a constant net asset value of $1.00 per share. as applicable, to determine price adjustments for each The Board has delegated responsibility for daily valuation security in order to reflect the effects of post-closing of the Portfolios' securities to the Adviser. The Adviser events. The Board has authorized the Adviser to make fair has formed a Valuation Committee (“Committee”) that is valuation determinations pursuant to policies approved by responsible for overseeing the Portfolios’ valuation policies the Board. in accordance with Valuation Policies and Procedures. The — The accounting records of Committee meets on a monthly and on an as-needed basis to Foreign Currency Translation each Portfolio are maintained in U.S. dollars. Securities and review price challenges, price overrides, stale prices, shadow other assets and liabilities that are denominated in foreign prices, manual prices, money market pricing, international currencies are translated into U.S. dollars at the daily fair valuation, and other securities requiring fair valuation. closing rates of exchange. The Committee monitors for significant events occurring Foreign currency amounts related to the purchase or prior to the close of trading on the New York Stock Exchange sale of securities and income and expenses are translated that could have a material impact on the value of any securities at the exchange rate on the transaction date. Net realized that are held by the Portfolios. Examples of such events and unrealized currency gains and losses are recorded include trading halts, national news/events, and issuer- from closed currency contracts, disposition of foreign

4 Notes to Schedule of Investments as of September 30, 2019 (unaudited) currencies, exchange gains or losses between the trade date are required to segregate customer margin from their own and settlement date on securities transactions, and other assets, in the event that a broker becomes insolvent or translation gains or losses on dividends, interest income and goes into bankruptcy and at that time there is a shortfall foreign withholding taxes. The Portfolios do not separately in the aggregate amount of margin held by the broker for report the effect of changes in foreign exchange rates from all its clients, U.S. bankruptcy laws will typically allocate changes in prices on securities held. Such changes are that shortfall on a pro-rata basis across all of the broker’s included in net realized and unrealized gain or loss from customers, potentially resulting in losses to the Portfolios. investments in the Statement of Operations. Using derivatives to hedge can guard against potential risks, but it also adds to the Portfolios’ expenses and can eliminate For federal income tax purposes, the Portfolios treat the some opportunities for gains. In addition, a derivative used effect of changes in foreign exchange rates arising from for mitigating exposure or replication may not accurately actual foreign currency transactions and the changes in track the value of the underlying asset. Another risk with foreign exchange rates between the trade date and settlement derivatives is that some types can amplify a gain or loss, date as ordinary income. potentially earning or losing substantially more money than the actual cost of the derivative. Foreign Denominated Investments — Foreign denominated assets and currency contracts may involve more risks than In order to define their contractual rights and to secure domestic transactions including currency risk, political rights that will help the Portfolios mitigate their counterparty and economic risk, regulatory risk, and market risk. Certain risk, the Portfolios may enter into an International Swaps Portfolios may also invest in securities of companies and Derivatives Association, Inc. Master Agreement (“ISDA located in emerging markets. Future economic or political Master Agreement”) or similar agreement with derivative developments could adversely affect the liquidity or value, contract counterparties. An ISDA Master Agreement is a or both, of such securities. bilateral agreement between a Portfolio and a counterparty that governs OTC derivatives and foreign exchange contracts — Each of the Portfolios, with Derivative Financial Instruments and typically includes, among other things, collateral posting the exception of the Money Market Portfolio, may invest in terms and netting provisions in the event of a default and/ derivatives. Derivatives, a category that includes options, or termination event. Under an ISDA Master Agreement, futures, swaps, foreign currency forward contracts and each Portfolio may, under certain circumstances, offset hybrid instruments, are financial instruments whose value with the counterparty certain derivatives' payables and/or is derived from another security, an index or a currency. receivables with collateral held and/or posted and create Each applicable Portfolio may use derivatives for hedging one single net payment. The provisions of the ISDA Master (attempting to offset a potential loss in one position by Agreement typically permit a single net payment in the event establishing an interest in an opposite position). This of a default (close-out netting) including the bankruptcy includes the use of currency-based derivatives to manage or insolvency of the counterparty. Note, however, that the risk of its positions in foreign securities. Each applicable bankruptcy and insolvency laws of a particular jurisdiction Portfolio may also use derivatives for replication of a may impose restrictions on or prohibitions against the right certain asset class or speculation (investing for potential of offset in bankruptcy, insolvency or other events. income or capital gain). These contracts may be transacted on an exchange or over-the-counter ("OTC"). Collateral and margin requirements vary by type of derivative. Margin requirements are established by the A derivative may incur a mark to market loss if the value of broker or clearinghouse for exchange traded and centrally the derivative decreases due to an unfavorable change in the cleared derivatives (futures, options, and centrally cleared market rates or values of the underlying derivative. Losses swaps). Brokers can ask for margining in excess of the can also occur if the counterparty does not perform under minimum in certain situations. Collateral terms are contract the derivative. A Portfolio’s risk of loss from the counterparty specific for OTC derivatives (foreign currency exchange credit risk on OTC derivatives is generally limited to the contracts, options, and swaps). For derivatives traded under aggregate unrealized gain netted against any collateral an ISDA Master Agreement, the collateral requirements are held by such Portfolio. With exchange traded futures and typically calculated by netting the mark to market amount centrally cleared swaps, there is minimal counterparty credit for each transaction under such agreement and comparing risk to the Portfolios because the exchange’s clearinghouse, that amount to the value of any collateral currently pledged as counterparty to such derivatives, guarantees against a by the Portfolio and the counterparty. For financial reporting possible default. The clearinghouse stands between the purposes, non-cash collateral that has been pledged to cover buyer and the seller of the derivative; thus, the credit risk is obligations of the Portfolio has been noted in the Schedule of limited to the failure of the clearinghouse. However, credit Investments. To the extent amounts due to a Portfolio from risk still exists in exchange traded futures and centrally its counterparties are not fully collateralized, contractually cleared swaps with respect to initial and variation margin or otherwise, the Portfolio bears the risk of loss from that is held in a broker’s customer accounts. While brokers

5 Notes to Schedule of Investments as of September 30, 2019 (unaudited) counterparty nonperformance. The Portfolios attempt to Futures Contracts — All Portfolios, with the exception of mitigate counterparty risk by only entering into agreements the Money Market Portfolio, may use futures contracts with counterparties that they believe have the financial to manage the exposure to interest rate and market or resources to honor their obligations and by monitoring the currency fluctuations. Gains or losses on futures contracts financial stability of those counterparties. can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the Options — All Portfolios, with the exception of the Money required “initial margin deposit” are held on deposit with Market Portfolio, may buy put and call options and write and pledged to the broker. Additional securities held by put and covered call options. The Portfolios intend to use the Portfolios may be earmarked to cover open futures such derivative instruments as hedges to facilitate buying contracts. A futures contract’s daily change in value or selling securities or to provide protection against (“variation margin”) is either paid to or received from the adverse movements in security prices or interest rates. The broker, and is recorded as an unrealized gain or loss. When Portfolios may also enter into options contracts to protect the contract is closed, realized gain or loss is recorded against adverse foreign exchange rate fluctuations. Option equal to the difference between the value of the contract contracts are valued daily and unrealized appreciation or when opened and the value of the contract when closed. depreciation is recorded. A Portfolio will realize a gain or Futures contracts involve, to varying degrees, risk of loss in loss upon expiration or closing of the option transaction. excess of the variation margin disclosed in the Statement When an option is exercised, the proceeds upon sale for a of Assets and Liabilities. Exchange-traded futures have no written call option or the cost of a security for purchased significant counterparty risk as the exchange guarantees put and call options is adjusted by the amount of premium the contracts against default. received or paid. During the period ended September 30, 2019, Buying put options tends to decrease a Portfolio’s exposure Aggressive Allocation, Balanced Income Plus, Diversified to the underlying security while buying call options tends to Income Plus, Government Bond, Income, International increase a Portfolio’s exposure to the underlying security. The Allocation, Limited Maturity Bond, Moderate Allocation, risk associated with purchasing put and call options is limited Moderately Aggressive Allocation, Moderately Conservative to the premium paid. There is no significant counterparty Allocation, Multidimensional Income, and Opportunity risk on exchange-traded options as the exchange guarantees Income Plus used treasury futures to manage the duration the contract against default. Writing put options tends to and yield curve exposure of the respective Portfolio versus its increase a Portfolio’s exposure to the underlying security benchmark. while writing call options tends to decrease a Portfolio’s exposure to the underlying security. The writer of an option During the period ended September 30, 2019, Aggressive has no control over whether the underlying security may be Allocation, Balanced Income Plus, Diversified Income Plus, bought or sold, and therefore bears the market risk of an Global Stock, International Allocation, Large Cap Index, unfavorable change in the price of the underlying security. Low Volatility Equity, Mid Cap Index, Moderate Allocation, The counterparty risk for purchased options arises when the Moderately Aggressive Allocation, Moderately Conservative Portfolio has purchased an option, exercises that option, and Allocation, Opportunity Income Plus, and Small Cap Index the counterparty doesn’t buy from the Portfolio or sell to the used equity futures to manage exposure to the equities Portfolio the underlying asset as required. In the case where market. the Portfolio has written an option, the Portfolio doesn’t have counterparty risk. Counterparty risk on purchased over- During the period ended September 30, 2019, Aggressive the-counter options is partially mitigated by the Portfolio’s Allocation, Balanced Income Plus, Diversified Income Plus, collateral posting requirements. As the option increases Global Stock, International Allocation, Moderate Allocation, in value to the Portfolio, the Portfolio receives collateral Moderately Aggressive Allocation, and Moderately from the counterparty. Risks of loss may exceed amounts Conservative Allocation used foreign exchange futures to recognized on the Statement of Assets and Liabilities. hedge currency risk.

During the period ended September 30, 2019, Aggressive Foreign Currency Forward Contracts — In connection with Allocation, Balanced Income Plus, Diversified Income Plus, purchases and sales of securities denominated in foreign Government Bond, Income, Limited Maturity Bond, Moderate currencies, all Portfolios, with the exception of the Money Allocation, Moderately Aggressive Allocation, Moderately Market Portfolio, may enter into foreign currency forward Conservative Allocation, and Opportunity Income Plus used contracts. Additionally, the Portfolios may enter into such treasury options to manage the duration of the Portfolio contracts to mitigate currency and counterparty exposure versus the benchmark. Options on mortgage backed to other foreign-currency-denominated investments. securities were used to generate income and/or to manage These contracts are recorded at value and the realized and the duration of the Portfolio. change in unrealized foreign exchange gains and losses are included in the Statement of Operations. In the event

6 Notes to Schedule of Investments as of September 30, 2019 (unaudited) that counterparties fail to settle these forward contracts, cash or securities, may be required to be held with the the Portfolios could be exposed to foreign currency Portfolio’s custodian, or a third party, in connection with fluctuations. Foreign currency contracts are valued daily these agreements. Certain swap agreements are over-the- and unrealized appreciation or depreciation is recorded counter. In these types of transactions, the Portfolio is daily as the difference between the contract exchange rate exposed to counterparty risk, which is the discounted and the closing forward rate applied to the face amount of net amount of payments owed to the Portfolio. This the contract. A realized gain or loss is recorded at the time risk is partially mitigated by the Portfolio’s collateral a forward contract is closed. These contracts are over-the- posting requirements. As the swap increases in value to counter and a Portfolio is exposed to counterparty risk the Portfolio, the Portfolio receives collateral from the equal to the discounted net amount of payments to the counterparty. Certain interest rate and credit default index Portfolio. swaps must be cleared through a clearinghouse or central counterparty. During the period ended September 30, 2019, Partner Healthcare used foreign currency forward contracts in order Credit Default Swaps — A credit default swap is a swap to hedge unwanted currency exposure. agreement between two parties to exchange the credit risk of a particular issuer, basket of securities or reference During the period ended September 30, 2019, International entity. In a credit default swap transaction, a buyer pays Allocation used foreign currency forward contracts in order periodic fees in return for payment by the seller which is to gain active currency exposure and to hedge unwanted contingent upon an adverse credit event occurring in the currency exposure. underlying issuer or reference entity. The seller collects periodic fees from the buyer and profits if the credit of — All Portfolios, with the exception of the Swap Agreements the underlying issuer or reference entity remains stable Money Market Portfolio, may enter into swap transactions, or improves while the swap is outstanding, but the seller which involve swapping one or more investment in a credit default swap contract would be required to pay characteristics of a security or a basket of securities with the amount of credit loss, determined as specified in the another party. Such transactions include market risk, risk agreement, to the buyer in the event of an adverse credit of default by the other party to the transaction, risk of event in the reference entity. A buyer of a credit default imperfect correlation and manager risk and may involve swap is said to buy protection whereas a seller of a credit commissions or other costs. Swap transactions generally do default swap is said to sell protection. The Portfolios may not involve delivery of securities, other underlying assets be either the protection buyer or the protection seller. or principal. Accordingly, the risk of loss with respect to swap transactions is generally limited to the net amount Certain Portfolios enter into credit default derivative of payments that the Portfolio is contractually obligated contracts directly through credit default swaps ("CDS") or to make, or in the case of the counterparty defaulting, the through credit default swap indices ("CDX Indices"). CDX net amount of payments that the Portfolio is contractually Indices are static pools of equally weighted credit default entitled to receive. Risks of loss may exceed amounts swaps referencing corporate bonds and/or loans designed recognized on the Statement of Assets and Liabilities. If to provide diversified credit exposure to these asset classes. there is a default by the counterparty, the Portfolio may Portfolios sell default protection and assume long-risk have contractual remedies pursuant to the agreements positions in individual credits or indices. Index positions are related to the transaction. The contracts are valued daily entered into to gain exposure to the corporate bond and/or and unrealized appreciation or depreciation is recorded. loan markets in a cost-efficient and diversified structure. In Swap agreements are valued at the clearinghouse end of the event that a position defaults, by going into bankruptcy day prices as furnished by an independent pricing service. and failing to pay interest or principal on borrowed money, The pricing service takes into account such factors as within any given CDX Index held, the maximum potential swap curves, default probabilities, recent trades, recovery amount of future payments required would be equal to the rates and other factors it deems relevant in determining pro-rata share of that position within the index based on valuations. Daily fluctuations in the value of the centrally the notional amount of the index. In the event of a default cleared credit default contracts are recorded in variation under a CDS contract, the maximum potential amount of margin in the Statement of Assets and Liabilities and future payments would be the notional amount. For CDS, recorded as unrealized gain or loss. The Portfolio accrues the default events could be bankruptcy and failing to pay for the periodic payment and amortizes upfront payments, interest or principal on borrowed money or a restructuring. if any, on swap agreements on a daily basis with the A restructuring is a change in the underlying obligations net amount recorded as realized gains or losses in the which would include reduction in interest or principal, Statement of Operations. Receipts and payments received maturity extension and subordination to other obligations. or made as a result of a credit event or termination of the contract are also recognized as realized gains or losses During the period ended September 30, 2019, High in the Statement of Operations. Collateral, in the form of Yield, Income, Moderate Allocation, Moderately Aggressive

7 Notes to Schedule of Investments as of September 30, 2019 (unaudited)

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

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

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

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

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