Collective Funds Trust International Equities

Microsoft Word - outputNORTHERN TRUST INVESTMENTS
Northern Trust Investments, Inc. 50 South La Salle Street Chicago, Illinois 60603 (312) 630-6000
November 2019 Dear Plan Administrator: Enclosed for your files is a complete copy of the annual report for the Northern Trust Investments Collective Funds Trust for International Equities for the fiscal year ended July 31, 2019. In accordance with regulations under section 103 of the Employee Retirement Income Security Act of 1974, as amended, a financial institution that holds the assets of a plan in a collective trust is required to provide the plan with a copy of the annual statement of the collective trust’s assets and liabilities. We are also required to provide you with a statement showing the value of the plan’s interest in the above-referenced collective funds; please refer to your periodic account statements for this information. Pursuant to Department of Labor (DOL) regulation section 2520.103-5(d), Northern Trust Investments, Inc. certifies that the information contained in the enclosed annual report and its statements of the plan’s (or master trust’s) interest in the above- referenced collective funds are an accurate and complete reflection of our records. We further certify that a filing pursuant to DOL regulation section 2520.103-9(c) will be made for each of the above-referenced collective funds, on or before the filing due date, in accordance with the Form 5500 instructions. Please note that you will need to list the names of the relevant collective funds on Part I of Schedule D of the 5500 for the plan (or the 5500 for the master trust investment account, if applicable) that owns an interest in the funds. In addition, you will need to identify Northern Trust Investments, Inc., as sponsor of each fund, as well as the fund’s Employer Identification Number, or "EIN" (see attachment). Schedule D also requires that you include the proper entity code ("C", for common or collective trust) and the dollar value of the plan or master trust interest in the fund as of the end of the year. Information regarding “indirect compensation” associated with Northern Trust Investments Collective Funds, which may be needed in order to complete Schedule C of Form 5500, can be found at http://www.northerntrust.com/erisa. If you have any questions about this report, or would prefer to receive a printed copy, please contact your Northern Trust Investment Relationship Manager or call 877/651-9156. Sincerely,
John Abunassar Global Head Client Solutions Group Northern Trust Investments, Inc.
Northern Trust Asset Management comprises Northern Trust Investments, Inc., Northern Trust Global Investments Limited, Northern Trust Global Investments Japan, K.K., 50 South Capital Advisors, LLC, and investment personnel of The Northern Trust Company of Hong Kong Limited and The Northern Trust Company.
Collective Trust Fund Name Employer ID # Plan # NT Collective ACWI IMI Fund – Lending 45-6138589 151 NT Collective All Country World ex-US Investable Market Index Fund – Lending 45-6138589 128 NT Collective All Country World Index (ACWI) Diversified Multi-Factor Fund – Lending 45-6138589 231 NT Collective All Country World Index (ACWI) ex-US Fund – Lending 45-6138589 039 NT Collective Developed International Small Cap (DISC) Index Fund – Lending 45-6138589 081 NT Collective EAFE Index Fund – Lending 45-6138589 017 NT Collective Emerging Markets Index Fund – Lending 45-6138589 040 NT Collective Global Real Estate Index Fund – Lending 45-6138589 082 NT Collective Quality Large Cap Core EAFE Fund – Lending 45-6138589 014 NT Collective World ex-US Index Fund – Lending (a) 45-6138589 236 NT Collective World ex-US Investable Market Index Fund – Lending 45-6138589 126 NT Collective All Country World ex-US Investable Market Index Fund – Non Lending 45-6138589 125 NT Collective All Country World Index Fund – Non Lending 45-6138589 150 NT Collective All Country World Index (ACWI) ex-US Fund – Non Lending 45-6138589 103 NT Collective All Country World Investable Market Index Fund – Non Lending 45-6138589 134 NT Collective Canada Index Fund – Non Lending 45-6138589 102 NT Collective Canada Small Cap Index Fund – Non Lending 45-6138589 132 NT Collective Commodity Fund – Non Lending 45-6138589 130 NT Collective Developed International Small Cap (DISC) Index Fund – Non Lending 45-6138589 122 NT Collective EAFE Index Fund – Non Lending 45-6138589 024 NT Collective EAFE Small Cap Index Fund – Non Lending 45-6138589 133 NT Collective Emerging Markets Index Fund – Non Lending 45-6138589 101 NT Collective Emerging Markets Investable Market Index Fund – Non Lending 45-6138589 142 NT Collective Emerging Markets Small Cap Index Fund – Non Lending 45-6138589 085 NT Collective Global Infrastructure Index Fund - Non Lending (b) 45-6138589 238 NT Collective Global Natural Resources Index Fund - Non Lending (b) 45-6138589 237 NT Collective Global Real Estate Index Fund – Non Lending 45-6138589 104 NT Collective Quality Low Volatility World ex-US Fund - Non Lending (c) 45-6138589 241 NT Collective Quality Low Volatility World Fund - Non Lending (c) 45-6138589 234 NT Collective Quality Small Cap Core Global Fund – Non Lending 45-6138589 147 NT Collective Quality Small Cap Core International Fund – Non Lending 45-6138589 148 NT Collective World ex-US Index Fund – Non Lending 45-6138589 129 NT Collective World ex-US Investable Market Index Fund – Non Lending 45-6138589 127
(a) Fund Commenced operations on December 17, 2018 (b) Fund Commenced operations on January 10, 2019 (c) Fund Commenced operations on June 5, 2019
IMPORTANT INFORMATION REGARDING EXCESSIVE TRADING For DC Plan Sponsor Investors, the funds included in this 2019 annual report and in which your DC plan may invest, allocate transaction costs on a pro-rata basis to plans that transact on a given date in the direction of the net flow in a fund. If excessive trading due to DC participant market timing is occurring within your plan, it will increase the transaction costs borne by the plan, which ultimately impacts the rates of returns for your DC plan participants investing in the funds. It is strongly encouraged that all plan sponsors for DC plans adopt their recordkeeper’s standard excessive trading policy or their own plan specific policy. In the absence of either of the aforementioned policies, it is encouraged that the plan sponsor direct their recordkeeper to administer the Trustee’s Excessive Trading Policy, included in Exhibit B of the Fund Declaration, and which may be amended from time to time by the Trustee in order to protect the plan from market timing activity that can impact other plan participants negatively.
NORTHERN TRUST INVESTMENTS COLLECTIVE FUNDS TRUST
Annual Report
Table of Contents

NT Collective ACWI IMI Fund - Lending 1
NT Collective All Country World ex-US Investable Market Index Fund - Lending 4 NT Collective All Country World Index (ACWI) Diversified Multi- Factor Fund - Lending 7
NT Collective All Country World Index (ACWI) ex-US Fund - Lending 19
NT Collective Developed International Small Cap (DISC) Index Fund - Lending 53 NT Collective EAFE Index Fund - Lending 87
NT Collective Emerging Markets Index Fund - Lending 104
NT Collective Global Real Estate Index Fund - Lending 125 NT Collective Quality Large Cap Core International Fund - Lending 137
NT Collective World ex-US Index Fund - Lending(a) 144
NT Collective World ex-US Investable Market Index Fund - Lending 147
Non Lending

NT Collective All Country World ex-US Investable Market Index Fund - Non Lending 150 NT Collective All Country World Index Fund - Non Lending 153
NT Collective All Country World Index (ACWI) ex-US Fund - Non Lending 156
NT Collective All Country World Investable Market Index Fund - Non Lending 159 NT Collective Canada Index Fund - Non Lending 162
NT Collective Canada Small Cap Index Fund - Non Lending 167
NT Collective Developed International Small Cap (DISC) Index Fund - Non Lending 174 NT Collective EAFE Index Fund - Non Lending 177
NT Collective EAFE Small Cap Index Fund - Non Lending 194
NT Collective Emerging Markets Index Fund - Non Lending 226 NT Collective Emerging Markets Investable Market Index Fund - Non Lending 249
NT Collective Emerging Markets Small Cap Index Fund - Non Lending 252
NT Collective Global Infrastructure Index Fund - Non Lending(b) 280 NT Collective Global Natural Resources Index Fund - Non Lending(b) 286
NT Collective Global Real Estate Index Fund - Non Lending 293
NT Collective Quality Low Volatility World ex-US Fund - Non Lending(c) 305 NT Collective Quality Low Volatility World Fund - Non Lending(c) 311
NT Collective Quality Small Cap Core Global Fund - Non Lending 314
NT Collective Quality Small Cap Core International Fund - Non Lending 317 NT Collective World ex-US Index Fund - Non Lending 352

• Notes to the Financial Statements 358
• Selected Risk Factors and Disclosures 380
• Additional Information 382 (a) Fund Commenced operations on December 17, 2018. (b) Fund Commenced operations on January 10, 2019. (c) Fund Commenced operations on June 5, 2019.
INVESTMENT OBJECTIVES (Unaudited) NT Collective ACWI IMI Fund – Lending The primary objective of the NT Collective ACWI IMI Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the MSCI ACWI Investable Market Index. The Fund may participate in trading of futures, options, spot, forward contacts, and other instruments in order to manage market risk associated with the Fund’s investments. This Fund may participate in securities lending. NT Collective All Country World ex-US Investable Market Index Fund - Lending The primary objective of the All Country World ex-US Investable Market Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the MSCI ACWI ex-US Investable Market Index. This Index is commonly used to represent the non-U.S. equity developed and emerging markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective All Country World Index (ACWI) Diversified Multi-Factor Fund - Lending The primary objective of the All Country World Index (ACWI) Diversified Multi-Factor Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the MSCI ACWI Diversified Multi-Factor Index. The Fund may participate in trading of futures, options, spot, forward contacts, and other instruments in order to manage market risk associated with the Fund’s investments. This Fund may participate in securities lending. NT Collective All Country World Index (ACWI) ex-US Fund - Lending The primary objective of the All Country World Index (ACWI) ex-US Fund, a collective fund for qualified plans, is to approximate the risk and return characterized by the MSCI ACWI ex-US Index. This Index is commonly used to represent the large and medium cap segment of the non-U.S. equity developed and emerging markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective Developed International Small Cap (DISC) Index Fund - Lending The primary objective of the Developed International Small Cap (DISC) Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI World ex-US Small Cap Index. This Index is commonly used to represent the small cap segment of non-U.S. equity developed markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective EAFE Index Fund - Lending The primary objective of the EAFE Index Fund, a collective fund for qualified plans, is to approximate the risk and return characterized by the MSCI Europe, Australasia, and Far East (“EAFE”) Index. This Index is commonly used to represent the large and medium cap segment of the non-U.S. developed equity markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective Emerging Markets Index Fund - Lending The primary objective of the Emerging Markets Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI Emerging Markets Equity Index. This Index is commonly used to represent the large and medium cap segment of the equity emerging markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective Global Real Estate Index Fund - Lending The primary objective of the Global Real Estate Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the Financial Times Stock Exchange (“FTSE”) European Public Realtors Association (“EPRA”)/ National Association of Real Estate Investment Trusts (“NAREIT”) Global Real Estate Index. This Index is commonly used to represent the listed real estate companies and real estate investment trusts ("REITS") located in both developed and emerging markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective Quality Large Cap Core International Fund - Lending The primary objective of the Quality Large Cap Core International Fund, a collective fund for qualified plans, is to provide investment results that exceed the overall performance of the MSCI World ex-US Index with net dividends. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending.
INVESTMENT OBJECTIVES (Unaudited) (Continued) NT Collective World ex-US Index Fund - Lending The primary objective of the World ex-US Index Fund, a collective fund qualified plans, is to provide investment results that replicate the overall performance of the MSCI World ex-US Index. The Fund employs a replication technique which generally seeks to hold each index constituent in its proportional index weight. The Trustee may hold investment units of the NT Collective EAFE Index Fund - Lending and the NT Collective Canada Index Fund - Non Lending. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective World ex-US Investable Market Index Fund - Lending The primary objective of World ex-US Investable Market Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the MSCI World ex-US Investable Market Index. The Trustee may hold investment units of the NT Collective Developed International Small Cap (DISC) Index Fund - Lending, NT Collective EAFE Index Fund - Lending and the NT Collective Canada Index Fund - Non Lending. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund may participate in securities lending. NT Collective All Country World ex-US Investable Market Index Fund - Non Lending The primary objective of the All Country World ex-US Investable Market Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the MSCI All Country World ex-US Investable Market Index. This Index is commonly used to represent the non-U.S. equity developed and emerging markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective All Country World Index Fund - Non Lending The primary objective of the NT Collective All Country World Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the MSCI All Country World Index. The Fund may participate in trading of futures, options, spot, forward contacts, and other instruments in order to manage market risk associated with the Fund’s investments. This Fund does not participate in securities lending. NT Collective All Country World Index (ACWI) ex-US Fund - Non Lending The primary objective of the All Country World Index (ACWI) ex-US Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI All Country World ex-US Index. This Index is commonly used to represent the large and medium cap segments of the non-U.S. equity developed and emerging markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective All Country World Investable Market Index Fund - Non Lending The primary objective of the All Country World Investable Market Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI All Country World Investable Market Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Canada Index Fund - Non Lending The primary objective of the Canada Index Fund, a collective fund for qualified plans, is to approximate the risk and return characteristics of the MSCI Canada Index. This Index is commonly used to represent the large and medium cap segment of the Canadian equity market. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Canada Small Cap Index Fund - Non Lending The primary objective of the Canada Small Cap Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI Canada Small Cap Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Developed International Small Cap (DISC) Index Fund - Non Lending The primary objective of the Developed International Small Cap (DISC) Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI World ex-US Small Cap Index. This Index is commonly used to represent the small cap segment of non-U.S. equity developed markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending.
INVESTMENT OBJECTIVES (Unaudited) (Continued) NT Collective EAFE Index Fund - Non Lending The primary objective of the EAFE Index Fund, a collective fund for qualified plans, is to approximate the risk and return characterized by the MSCI Europe, Australasia, and Far East Index. This Index is commonly used to represent the large and medium cap segment of the non-U.S. developed equity markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective EAFE Small Cap Index Fund - Non Lending The primary objective of the EAFE Small Cap Index Fund, a collective fund for qualified plans, is to approximate the risk and return characterized by the MSCI Europe, Australasia, and Far East Small Cap Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Emerging Markets Index Fund - Non Lending The primary objective of the Emerging Markets Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI Emerging Markets Index. This Index is commonly used to represent the large and medium cap segment of the equity emerging markets. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Emerging Markets Investable Market Index Fund - Non Lending The primary objective of the Emerging Markets Investable Market Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI Emerging Markets Investable Market Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Emerging Markets Small Cap Index Fund - Non Lending The primary objective of the Emerging Markets Small Cap Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI Emerging Markets Small Cap Equity Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Global Infrastructure Index Fund- Non Lending The primary objective of the Global Infrastructure Index Fund - Non Lending, a collective fund for qualified plans, is to provide the investment results that approximate the overall performance of the S&P Global Infrastructure Index. The Index is designated to track companies from around the world chosen to represent the listed infrastructure industry while maintaining liquidity and tradability. This Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Global Natural Resources Index- Non Lending The primary objective of the Global Natural Resources Index Fund - Non Lending, a collective fund for qualified plans, is to approximate the overall performance of the S&P Global Natural Resources Index. The selection of index constituents for each sub-index, Agriculture, Energy and Metals & Mining is based on its corresponding cluster requirement within the S&P Global BMI. This Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Global Real Estate Index Fund - Non Lending The primary objective of the Global Real Estate Index Fund, a collective fund for qualified plans, is to provide investment results that approximate the overall performance of the Financial Times Stock Exchange (“FTSE”) European Public Realtors Association (“EPRA”)/ National Association of Real Estate Investment Trusts (“NAREIT”) Global Real Estate Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Quality Low Volatility World ex-US Fund - Non Lending The primary objective of the Quality Low Volatility World Fund - Non Lending, a collective fund for qualified plans, is to seek to gain efficient exposure to high-quality, low-volatility stocks to generate consistent, long-term capital appreciation, while maintaining lower absolute volatility than and exceeding the overall performance of the MSCI World Ex-US Index. The Fund does not participate in securities lending.
INVESTMENT OBJECTIVES (Unaudited) (Continued) NT Collective Quality Low Volatility World Fund - Non Lending The primary objective of the Quality Low Volatility World Fund - Non Lending, a collective fund for qualified plans, is to seek to gain efficient exposure to high-quality, low-volatility stocks to generate consistent, long-term capital appreciation, while maintaining lower absolute volatility than and exceeding the overall performance of the MSCI World Index with net dividends. The Fund does not participate in securities lending. NT Collective Quality Small Cap Core Global Fund - Non Lending The primary objective of the Quality Small Cap Core Global Fund, a collective fund for qualified plans, is to achieve long term capital appreciation. Under normal circumstances, the Fund will focus on small capitalization stocks, with some representation of microcap stocks. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective Quality Small Cap Core International Fund - Non Lending The primary objective of the Quality Small Cap Core International Fund, a collective fund for qualified plans, is to achieve long term capital appreciation. Under normal circumstances, the Fund will focus on small capitalization stocks, with some representation of microcap stocks. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective World ex-US Index Fund - Non Lending The primary objective of the World ex-US Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI World ex-US Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. NT Collective World ex-US Investable Market Index Fund - Non Lending The primary objective of World ex-US Investable Market Index Fund, a collective fund for qualified plans, is to provide investment results that replicate the overall performance of the MSCI All Country World ex-U.S. Investable Market Index. The Fund may make limited use of futures and/or options for the purpose of maintaining equity exposure. This Fund does not participate in securities lending. “Morgan Stanley Capital International®”, “MSCI®” and “EAFE®”, terms used throughout this report, are trademarks of MSCI, and have been licensed for use by The Northern Trust Company (the
“Licensee”). THIS FINANCIAL PRODUCT IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI, ANY OF ITS AFFILIATES, ANY OF ITS INFORMATION PROVIDERS OR ANY OTHER THIRD PARTY INVOLVED IN, OR RELATED TO, COMPILING, COMPUTING OR CREATING ANY MSCI INDEX (COLLECTIVELY, THE “MSCI PARTIES”). THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY THE NORTHERN TRUST COMPANY (THE “LICENSEE”). NONE OF THE MSCI PARTIES MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE ISSUER OR OWNERS OF THIS FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL PRODUCTS GENERALLY OR IN THIS FINANCIAL PRODUCT PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THIS FINANCIAL PRODUCT OR THE ISSUER OR OWNERS OF THIS FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUER OR OWNERS OF THIS FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NONE OF THE MSCI PARTIES IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THIS FINANCIAL PRODUCT TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY OR THE CONSIDERATION INTO WHICH THIS FINANCIAL PRODUCT IS REDEEMABLE. FURTHER, NONE OF THE MSCI PARTIES HAS ANY OBLIGATION OR LIABILITY TO THE ISSUER OR OWNERS OF THIS FINANCIAL PRODUCT OR ANY OTHER PERSON OR ENTITY IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THIS FINANCIAL PRODUCT. ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES THAT MSCI CONSIDERS RELIABLE, NONE OF THE MSCI PARTIES WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER OF THE FINANCIAL PRODUCT, OWNERS OF THE FINANCIAL PRODUCT, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NONE OF THE MSCI PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND THE MSCI PARTIES HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO EACH MSCI INDEX AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
INVESTMENT OBJECTIVES (Unaudited) (Continued) No purchaser, seller or holder of this financial product, or any other person or entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote
this financial product without first contacting MSCI to determine whether MSCI’s permission is required. Under no circumstances may any person or entity claim any affiliation with MSCI without
the prior permission of MSCI. These indices are unmanaged and the performance of an index assumes no transaction costs, taxes, management fees, or other expenses. A direct investment in an index is not possible.
Independent Auditors’ Report
Northern Trust Investments, Inc. as Trustee of Northern Trust Investments Collective Funds Trust:
We have audited the accompanying financial statements of NT Collective ACWI IMI Fund – Lending, NT Collective All Country World ex-US Investable Market Index Fund – Lending, NT Collective All Country World Index (ACWI) Diversified Multi-Factor Fund – Lending, NT Collective All Country World Index (ACWI) ex-US Fund – Lending, NT Collective Developed International Small Cap (DISC) Index Fund – Lending, NT Collective EAFE Index Fund – Lending, NT Collective Emerging Markets Index Fund – Lending, NT Collective Global Real Estate Index Fund – Lending, NT Collective Quality Large Cap Core International Fund – Lending, NT Collective World ex-US Index Fund – Lending, NT Collective World ex-US Investable Market Index Fund – Lending, NT Collective All Country World ex-US Investable Market Index Fund – Non Lending, NT Collective All Country World Index Fund – Non Lending, NT Collective All Country World Index (ACWI) ex-US Fund – Non Lending, NT Collective All Country World Investable Market Index Fund – Non Lending, NT Collective Canada Index Fund – Non Lending, NT Collective Canada Small Cap Index Fund – Non Lending, NT Collective Developed International Small Cap (DISC) Index Fund – Non Lending, NT Collective EAFE Index Fund – Non Lending, NT Collective EAFE Small Cap Index Fund – Non Lending, NT Collective Emerging Markets Index Fund – Non Lending, NT Collective Emerging Markets Investable Market Index Fund – Non Lending, NT Collective Emerging Markets Small Cap Index Fund – Non Lending, NT Collective Global Infrastructure Index Fund – Non Lending, NT Collective Global Natural Resources Index Fund – Non Lending, NT Collective Global Real Estate Index Fund – Non Lending, NT Collective Quality Low Volatility World ex-US Fund – Non Lending, NT Collective Quality Low Volatility World Fund – Non Lending, NT Collective Quality Small Cap Core Global Fund – Non Lending, NT Collective Quality Small Cap Core International Fund – Non Lending, NT Collective World ex-US Index Fund – Non Lending and NT Collective World ex-US Investable Market Index Fund – Non Lending (Funds within Northern Trust Investments Collective Funds Trust, herein referred to as the “Funds”), which comprise the statements of assets and liabilities, including the statements of investments, as of July 31, 2019, and the related statements of operations and changes in net assets, and the financial highlights for the year then ended for all Funds except the NT Collective World ex-US Index Fund – Lending which was for the period from December 17, 2018 (Commencement of Operations) to July 31, 2019, the NT Collective Global Infrastructure Index Fund– Non Lending and the NT Collective Global Natural Resources Index Fund– Non Lending which were for the period from January 10, 2019 (Commencement of Operations) to July 31, 2019, the NT Collective Quality Low Volatility World ex-US Fund – Non Lending and the NT Collective Quality Low Volatility World Fund – Non Lending which were for the period from June 5, 2019 (Commencement of Operations) to July 31, 2019, and the related notes to the financial statements.
Management’s Responsibility for the Financial Statements
Management is responsible for the preparation and fair presentation of these financial statements and financial highlights in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements and financial highlights that are free from material misstatement, whether due to fraud or error.
KPMG LLP is a Delaware limited liability partnership and the U.S. member firm of the KPMG network of independent member firms affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity.
KPMG LLP Aon Center Suite 5500 200 E. Randolph Street Chicago, IL 60601-6436
Auditors’ Responsibility
Our responsibility is to express an opinion on these financial statements and financial highlights 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 audit to obtain reasonable assurance about whether the financial statements and financial highlights 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 auditors’ 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 Funds as of July 31, 2019, the results of their operations, changes in their net assets, and the financial highlights for the year then ended for all Funds except the NT Collective World ex-US Index Fund – Lending which was for the period from December 17, 2018 (Commencement of Operations) to July 31, 2019, the NT Collective Global Infrastructure Index Fund– Non Lending and the NT Collective Global Natural Resources Index Fund– Non Lending which were for the period from January 10, 2019 (Commencement of Operations) to July 31, 2019, the NT Collective Quality Low Volatility World ex-US Fund – Non Lending and the NT Collective Quality Low Volatility World Fund – Non Lending which were for the period from June 5, 2019 (Commencement of Operations) to July 31, 2019 in accordance with U.S. generally accepted accounting principles.
Chicago, Illinois October 18, 2019
NT COLLECTIVE ACWI IMI FUND - LENDING
See Accompanying Notes to the Financial Statements.
1
ASSETS
Investments in Northern Trust Funds, at Value (Cost $859,080) $ 1,039,726
Receivable for Fund Units Sold 42,041 Total Assets $ 1,081,767
LIABILITIES Payable for Investments Purchased $ 42,041
Accrued Expenses 8 Total Liabilities $ 42,049
NET ASSETS $ 1,039,718 STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS
For the Year Ended July 31, 2019 (000s Omitted)
INVESTMENT INCOME Income from Investments in Northern Trust Funds $ 3
EXPENSES Audit Fee 8
Other Expenses 1 Total Expenses $ 9 Net Investment Loss $ (6)
NET REALIZED AND UNREALIZED GAINS (LOSSES): Net Realized Gains on Northern Trust Fund Transactions $ 12,013 Net Unrealized Appreciation (Depreciation) on Investments
Beginning of Year $ 170,404
End of Year 180,646 Change in Net Unrealized Appreciation $ 10,242 Net Realized and Unrealized Gains $ 22,255 Net Increase in Net Assets from Investment Activities $ 22,249
CAPITAL TRANSACTIONS Admissions $ 197,812
Withdrawals (82,700) Net Increase in Net Assets from Capital Transactions $ 115,112 Net Increase in Net Assets $ 137,361
NET ASSETS Beginning of Year 902,357
End of Year $ 1,039,718
For the Year Ended July 31, 2019
2
Beginning of Year $ 149.090 Net Investment Loss (0.001)
Net Realized and Unrealized Gains 3.305 Net Increase 3.304 Unit Value,
End of Year $ 152.394
Total Return (1) 2.22%
Supplemental Data and Ratios: Net Assets (000s Omitted) $ 1,039,718 Ratio to Average Net Assets of: Expenses
(2) (3) 0.00% Net Investment Loss
(3) 0.00%
Beginning of Year 6,052,418 Admissions 1,361,968
Withdrawals (591,817) Units Outstanding,
End of Year 6,822,569 (1) Assumes investment at net asset value at the beginning of the year and a complete redemption of the investment at net asset value at the end of the year. (2) The expense ratios disclosed do not include the expenses of the underlying funds. (3) Amount is less than 0.005%.
NT COLLECTIVE ACWI IMI FUND - LENDING STATEMENT OF INVESTMENTS
July 31, 2019
3
Investable Market Index Fund - Lending (44.4%)(1) 3,120,050 $ 409,168 $ 461,596
U.S. IMI Fund - Lending (55.6%)(1) 3,494,640 449,912 578,130
TOTAL NT COLLECTIVE FUNDS TRUST 859,080 1,039,726
SHORT-TERM INVESTMENTS – 0.0%
TOTAL SHORT-TERM INVESTMENTS - -
TOTAL INVESTMENTS – 100.0% 859,080 1,039,726 Liabilities less Other Assets – (0.0%) (8)
NET ASSETS – 100.0% $1,039,718 (1) Investment in affiliated fund. (2) Cost and value amounts round to less than one thousand. Percentages shown are based on Net Assets. At July 31, 2019, the Fund's percentages of ownership of other funds were as follows: NT COLLECTIVE FUNDS TRUST PERCENTAGE All Country World Ex-US Investable Market Index Fund -
Lending 25.9% U.S. IMI Fund - Lending 100.0% The 2019 financial statements for the funds listed above are included in this report and the NT Investments Collective Funds Trust - Domestic Equities Report. SUMMARY OF INVESTMENTS PURCHASED AND SOLD:
TYPE OF INVESTMENT
COST OF PURCHASES
Investments 50,006 50,006 —
Total $253,210 $138,103 $12,013 Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/or securities indices). The Fund adjusted the price of certain foreign equity securities held in its portfolio on July 31, 2019 using adjustment factors designed to reflect more accurately the fair value of the securities. The fair valuation of these securities resulted in
their categorization as Level 2 investments. Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security). The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. The following table summarizes the valuations of the Fund’s investments by the above fair value hierarchy as of July 31, 2019:
INVESTMENTS LEVEL 1
(000s) LEVEL 2
(000s) LEVEL 3
(000s) TOTAL (000s)
Investments Measured at Net Asset Value(1) $1,039,726

NT COLLECTIVE ALL COUNTRY WORLD EX-US INVESTABLE MARKET INDEX FUND - LENDING
4
ASSETS Investments in Northern Trust Funds, at Value (Cost $1,552,763) $ 1,780,291 Receivable for Investments Sold 10
Receivable for Fund Units Sold 18,689 Total Assets $ 1,798,990
LIABILITIES Payable for Investments Purchased $ 18,676 Payable for Fund Units Redeemed 23
Accrued Expenses 8 Total Liabilities $ 18,707
NET ASSETS $ 1,780,283 STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS
EXPENSES
Other Expenses 1 Total Expenses $ 8 Net Investment Loss $ (8)
NET REALIZED AND UNREALIZED GAINS (LOSSES): Net Realized Gains on Northern Trust Fund Transactions $ 12,865 Net Unrealized Appreciation (Depreciation) on Investments
Beginning of Year $ 274,567
End of Year 227,528 Change in Net Unrealized Depreciation $ (47,039) Net Realized and Unrealized Losses $ (34,174) Net Decrease in Net Assets from Investment Activities $ (34,182)
CAPITAL TRANSACTIONS Admissions $ 372,154
Withdrawals (122,954) Net Increase in Net Assets from Capital Transactions $ 249,200 Net Increase in Net Assets $ 215,018
NET ASSETS Beginning of Year 1,565,265
End of Year* $ 1,780,283 * 25.9% owned by NT Collective ACWI IMI Index Fund - Lending
NT COLLECTIVE ALL COUNTRY WORLD EX-US INVESTABLE MARKET INDEX FUND - LENDING FINANCIAL HIGHLIGHTS
5
Beginning of Year $ 152.981 Net Investment Loss (0.001)
Net Realized and Unrealized Losses (5.027) Net Decrease (5.028) Unit Value,
Total Return (1) (3.29)%
Supplemental Data and Ratios: Net Assets (000s Omitted) $ 1,780,283 Ratio to Average Net Assets of: Expenses
(2) (3) 0.00% Net Investment Loss
(3) 0.00%
Beginning of Year 10,231,742 Admissions 2,662,597
End of Year 12,032,736 (1) Assumes investment at net asset value at the beginning of the year and a complete redemption of the investment at net asset value at the end of the year. (2) The expense ratios disclosed do not include the expenses of the underlying funds. (3) Amount is less than 0.005%.
NT COLLECTIVE ALL COUNTRY WORLD EX-US INVESTABLE MARKET INDEX FUND - LENDING STATEMENT OF INVESTMENTS
July 31, 2019
6
Developed International Small Cap (DISC) Index Fund - Lending (10.6%)(1) 10,464,697 161,080 187,653
Emerging Markets Small Cap Index Fund - Non Lending (2.8%)(1) 1,919,984 48,629 50,288
TOTAL NT COLLECTIVE FUNDS TRUST 1,552,763 1,780,291
TOTAL INVESTMENTS – 100.0% 1,552,763 1,780,291 Liabilities less Other Assets – (0.0%) (8)
NET ASSETS – 100.0% $ 1,780,283 (1) Investment in affiliated fund. Percentages shown are based on Net Assets. At July 31, 2019, the Fund's percentages of ownership of other funds were as follows: NT COLLECTIVE FUNDS TRUST PERCENTAGE All Country World Index (ACWI) ex-US Fund - Lending 47.8% Developed International Small Cap (DISC) Index Fund -
Lending 27.8% Emerging Markets Small Cap Index Fund - Non Lending 6.8% The 2019 financial statements for the funds listed above are included in this report. SUMMARY OF INVESTMENTS PURCHASED AND SOLD:
TYPE OF INVESTMENT
COST OF PURCHASES
Investments 704 704 —
Total $370,496 $121,304 $12,865 Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in three levels listed below: Level 1 - Unadjusted quoted market prices in active markets for identical securities on the measurement date. Level 2 - Other observable inputs (e.g., quoted prices in active markets for similar securities, securities valuations based on commonly quoted benchmark interest rates and yield curves, maturities, ratings and/or securities indices). The Fund adjusted the price of certain foreign equity securities held in its portfolio on July 31, 2019 using adjustment factors designed to reflect more accurately the fair value of the securities. The fair valuation of these securities resulted in their categorization as Level 2 investments. Level 3 - Significant unobservable inputs (e.g., information about assumptions, including risk, market participants would use in pricing a security).
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities and other financial instruments, if any. The following table summarizes the valuations of the Fund’s investments by the above fair value hierarchy as of July 31, 2019:
INVESTMENTS LEVEL 1
(000s) LEVEL 2
(000s) LEVEL 3
(000s) TOTAL (000s)
Investments Measured at Net Asset Value(1) $1,780,291

NT COLLECTIVE ALL COUNTRY WORLD INDEX (ACWI) DIVERSIFIED MULTI- FACTOR FUND - LENDING
7
STATEMENT OF ASSETS AND LIABILITIES
July 31, 2019 (000s Omitted)
ASSETS Investments, at Value (including Securities on Loan of $14,960) (Cost $229,845) $ 246,027 Investments in Northern Trust Funds, at Value (Cost $14,025) 14,025 Cash Held at Broker (Restricted $126) 134 Foreign Currencies Held at Broker, at Value (Cost $121) (Restricted $64) 119 Foreign Currencies (Cost $2,154) 2,141 Tax Reclaims Receivable 276 Receivable from Trustee 1 Unrealized Appreciation on Forward Foreign Currency Exchange Contracts 11 Accrued Income Receivable 435 Total Assets $ 263,169
LIABILITIES Payable Upon Return of Securities Loaned $ 12,971 Payable for Variation Margin on Futures Contracts 36 Accrued Expenses 22 Total Liabilities $ 13,029
NET ASSETS $ 250,140 STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS
INVESTMENT INCOME Dividend Income (Net of $192 in Foreign Withholding Tax) $ 6,233 Interest Income 6 Income from Investments in Northern Trust Funds 39 Income from Securities Loaned (net of fees) 50 Total Investment Income $ 6,328
EXPENSES Custody & Fund Administration Fee 45 Audit Fee 15 Other Expenses 11 Total Expenses $ 71 Less: Reimbursement of Expenses by Trustee (12) Net Expenses $ 59 Net Investment Income $ 6,269
NET REALIZED AND UNREALIZED GAINS (LOSSES): Net Realized Losses on Securities Transactions $ (3,323) Net Realized Gains on Futures Contracts $ 108 Net Realized Losses on Foreign Currency Transactions $ (60) Net Unrealized Appreciation (Depreciation) on Investments and Futures Contracts
Beginning of Year $ 23,974 End of Year 16,258
Change in Net Unrealized Depreciation $ (7,716) Net Unrealized Appreciation (Depreciation) on Foreign Currency Translations
Beginning of Year $ (21) End of Year (13)
Change in Net Unrealized Appreciation $ 8 Net Realized and Unrealized Losses $ (10,983) Net Decrease in Net Assets from Investment Activities $ (4,714)
CAPITAL TRANSACTIONS Admissions $ 5,567 Withdrawals (2,000)
Net Increase in Net Assets from Capital Transactions $ 3,567 Net Decrease in Net Assets $ (1,147)
NET ASSETS Beginning of Year 251,287 End of Year $ 250,140
NT COLLECTIVE ALL COUNTRY WORLD INDEX (ACWI) DIVERSIFIED MULTI- FACTOR FUND - LENDING FINANCIAL HIGHLIGHTS
8
Beginning of Year $ 122.188 Net Investment Income 3.035
Net Realized and Unrealized Losses (5.414) Net Decrease (2.379) Unit Value,
Total Return (1) (1.95)%
Supplemental Data and Ratios: Net Assets (000s Omitted) $ 250,140 Ratio to Average Net Assets of: Expenses - net of reimbursement 0.02% Expenses - before reimbursement 0.03% Net Investment Income - net of reimbursement 2.61% Net Investment Income - before reimbursement 2.60%
Fund Unit Activity: Units Outstanding,
Beginning of Year 2,056,553 Admissions 47,760
End of Year 2,087,821 (1) Assumes investment at net asset value at the beginning of the year and a complete redemption of the investment at net asset value at the end of the year.
NT COLLECTIVE ALL COUNTRY WORLD INDEX (ACWI) DIVERSIFIED MULTI- FACTOR FUND - LENDING STATEMENT OF INVESTMENTS
July 31, 2019
9
VALUE (000s)
COMMON STOCKS – 97.7% Australia – 3.1% AGL Energy Ltd. 35,070 $ 482 $ 502 BHP Group PLC 110,529 2,440 2,639 BlueScope Steel Ltd. 30,035 260 268 CIMIC Group Ltd. 5,346 159 133 Coca-Cola Amatil Ltd. 27,632 175 200 Cochlear Ltd. 3,052 319 456 Dexus 53,910 401 482 Flight Centre Travel Group
Ltd.† 3,361 119 105 Fortescue Metals Group Ltd. 70,914 415 398 GPT Group (The) 95,909 369 406 Harvey Norman Holdings
Ltd.† 37,299 110 112 Medibank Pvt Ltd. 148,906 263 366 Mirvac Group 202,151 339 444 South32 Ltd. 260,678 594 559 Telstra Corp. Ltd. 222,628 477 603 Washington H. Soul
Pattinson & Co. Ltd.† 6,016 115 93
7,037 7,766
Belgium – 0.6% Ageas 10,083 510 543 Colruyt S.A. 3,372 172 175 Proximus SADP 8,277 229 236 UCB S.A. 6,930 549 541
1,460 1,495
Brazil – 0.8% Banco BTG Pactual S.A. 13,300 144 209 BB Seguridade
Participacoes S.A. 36,300 254 309 BR Malls Participacoes S.A. 37,000 114 146 Centrais Eletricas Brasileiras
S.A. 9,900 82 102 Cia de Saneamento Basico do
Estado de Sao Paulo 19,283 195 269 Engie Brasil Energia S.A. 12,348 116 156 Hypera S.A. 17,300 174 138 IRB Brasil Resseguros S/A 6,900 111 169 Multiplan Empreendimentos
Imobiliarios S.A. 12,759 89 95 Petrobras Distribuidora S.A. 25,200 148 174 Porto Seguro S.A. 5,567 62 76 Sul America S.A. 10,298 61 113 TIM Participacoes S.A. 43,429 136 139
1,686 2,095

COMMON STOCKS – 97.7% - (CONTINUED) Canada – 3.7% - (Continued) Gildan Activewear, Inc. 10,553 $ 386 $ 416 H&R Real Estate Investment
Trust 9,431 160 162 iA Financial Corp., Inc. 5,689 239 228 Kinross Gold Corp. 68,408 185 277 Kirkland Lake Gold Ltd. 11,557 370 478 Loblaw Cos. Ltd. 9,470 497 491 Lululemon Athletica, Inc. 5,849 655 1,118 Magna International, Inc. 16,416 712 828 Methanex Corp. 3,475 192 137 Metro, Inc. 13,257 416 518 RioCan Real Estate
Investment Trust 7,238 141 143 SmartCentres Real Estate
Investment Trust 3,252 81 80 Teck Resources Ltd.,
Class B 27,700 594 567 Tourmaline Oil Corp. 12,759 167 168 West Fraser Timber Co. Ltd. 3,146 200 123 WSP Global, Inc. 6,161 331 347
7,664 9,194
Chile – 0.1% Aguas Andinas S.A.,
Class A 155,405 89 88 Cia Cervecerias Unidas S.A. 8,364 109 117
198 205
China – 5.6% 51job, Inc. ADR 1,415 140 110 Agile Group Holdings Ltd. 80,000 114 103 Agricultural Bank of China
Ltd., Class H 1,410,490 669 572 Air China Ltd., Class H† 84,000 78 82 Angang Steel Co. Ltd.,
Class H 93,600 71 36 Anhui Conch Cement Co.
Ltd., Class A 4,200 23 24 Anhui Conch Cement Co.
Ltd., Class H 67,000 409 388 BAIC Motor Corp. Ltd.,
Class H 66,000 40 42 Beijing Capital International
Airport Co. Ltd., Class H 96,000 142 76 BYD Electronic
International Co. Ltd. 46,000 110 72 China Aoyuan Group Ltd. 53,000 57 71 China Cinda Asset
Management Co. Ltd., Class H 415,000 96 91
China Communications Services Corp. Ltd., Class H 138,158 99 97
China Conch Venture Holdings Ltd. 85,100 181 294
China Construction Bank Corp., Class H 4,685,291 3,869 3,607

NT COLLECTIVE ALL COUNTRY WORLD INDEX (ACWI) DIVERSIFIED MULTI- FACTOR FUND - LENDING STATEMENT OF INVESTMENTS (Continued)
July 31, 2019
10
VALUE (000s)
COMMON STOCKS – 97.7% - (CONTINUED) China – 5.6% - (Continued) China Everbright Bank Co.
Ltd., Class H 115,856 $ 59 $ 52 China International Travel
Service Corp. Ltd., Class A 800 8 10
China Longyuan Power Group Corp. Ltd., Class H 178,000 159 109
China Medical System Holdings Ltd. 73,796 126 70
China Oriental Group Co. Ltd. 68,000 44 30
China Petroleum & Chemical Corp., Class H 1,326,000 1,128 854
China Railway Construction Corp. Ltd., Class H 94,000 106 108
China Railway Group Ltd., Class H 207,000 190 145
China Railway Signal & Communication Corp. Ltd., Class H 61,000 41 41
China Reinsurance Group Corp., Class H 290,000 65 51
China Resources Pharmaceutical Group Ltd. 88,500 119 97
China Shenhua Energy Co. Ltd., Class H 187,500 462 372
China Telecom Corp. Ltd., Class H 736,000 358 330
China Zhongwang Holdings Ltd. 111,200 60 56
Chongqing Rural Commercial Bank Co. Ltd., Class H 154,094 110 81
CNOOC Ltd. 932,000 1,588 1,533 Dali Foods Group Co. Ltd. 72,500 55 45 Daqin Railway Co. Ltd.,
Class A 7,800 10 9 Dongfeng Motor Group Co.
Ltd., Class H 152,765 179 137 Future Land Development
Holdings Ltd.† 82,000 88 69 Guangzhou R&F Properties
Co. Ltd., Class H† 46,800 86 85 Haitian International
Holdings Ltd. 34,274 85 69 Henan Shuanghui
Investment & Development Co. Ltd., Class A 1,100 5 4
Hua Hong Semiconductor Ltd.† 27,000 57 56
Huadian Power International Corp. Ltd., Class H 54,000 22 23
Huaneng Renewables Corp. Ltd., Class H 216,000 93 59
Inner Mongolia Yitai Coal Co. Ltd., Class B 63,700 85 65
Jiangsu Expressway Co. Ltd., Class H 65,387 94 88

Software Group Co. Ltd. 128,000 $ 137 $ 121 Legend Holdings Corp.,
Class H 15,000 36 35 Li Ning Co. Ltd. 96,500 159 237 Logan Property Holdings Co.
Ltd. 68,000 102 102 Luye Pharma Group Ltd.† 72,000 71 56 Maanshan Iron & Steel Co.
Ltd., Class H† 104,000 48 40 Noah Holdings Ltd. ADR† 1,300 50 42 PICC Property & Casualty
Co. Ltd., Class H 374,000 438 445 Shandong Weigao Group
Medical Polymer Co. Ltd., Class H 101,273 72 97
Shanghai Pharmaceuticals Holding Co. Ltd., Class H 36,699 104 71
Shui On Land Ltd. 239,000 67 51 Sihuan Pharmaceutical
Holdings Group Ltd. 241,852 104 49 Sinopec Engineering Group
Co. Ltd., Class H 76,500 71 60 Sinopec Shanghai
Petrochemical Co. Ltd., Class H 192,000 109 67
Sinotruk Hong Kong Ltd.† 42,000 67 62 SOHO China Ltd. 73,000 24 24 Tingyi Cayman Islands
Holding Corp. 110,000 233 164 Tong Ren Tang Technologies
Co. Ltd., Class H† 37,000 58 44 Uni-President China
Holdings Ltd. 80,000 84 95 Want Want China Holdings
Ltd. 247,000 181 193 Weichai Power Co. Ltd.,
Class H† 94,000 141 146 Xinyi Solar Holdings Ltd. 138,000 75 76 Yangzijiang Shipbuilding
Holdings Ltd. 137,500 119 143 Yanzhou Coal Mining Co.
Ltd., Class H 104,000 93 92 Yum China Holdings, Inc. 18,646 536 848 Yuzhou Properties Co. Ltd.† 101,107 60 47 YY, Inc. ADR† 2,500 258 161 Zhejiang Expressway Co.
Ltd., Class H 92,000 108 89 Zhongsheng Group
Holdings Ltd. 35,000 112 97
15,297 14,067
Finland – 0.2% Elisa OYJ 7,493 274 352

July 31, 2019
11
VALUE (000s)
COMMON STOCKS – 97.7% - (CONTINUED) Finland – 0.2% - (Continued) Orion OYJ, Class B 5,688 $ 190 $ 195
464 547
France – 1.7% Arkema S.A. 3,805 378 342 BioMerieux 2,281 187 193 Cie Generale des
Etablissements Michelin S.C.A. 8,886 1,054 983
Eutelsat Communications S.A. 9,554 204 183
Faurecia S.A. 4,286 313 202 Ipsen S.A. 2,097 264 240 Peugeot S.A. 30,424 710 714 Sartorius Stedim Biotech 1,522 155 243 SCOR S.E. 8,685 330 357 Societe BIC S.A.† 1,262 123 88 Ubisoft Entertainment S.A. 4,384 472 364 Worldline S.A./France 4,114 251 294
4,441 4,203
Germany – 0.6% Covestro A.G. 8,899 714 404 Deutsche Lufthansa A.G.
(Registered) 12,993 205 207 Hannover Rueck S.E. 3,195 366 500 HUGO BOSS A.G. 3,435 282 217 METRO A.G. 11,708 184 181 RTL Group S.A. 2,195 171 108
1,922 1,617
Hong Kong – 4.7% Beijing Enterprises
Holdings Ltd. 28,970 156 142 China Agri-Industries
Holdings Ltd. 139,000 55 42 China Education Group
Holdings Ltd.† 55,000 88 86 China Everbright Ltd. 49,864 106 66 China Jinmao Holdings
Group Ltd. 252,000 142 163 China Merchants Port
Holdings Co. Ltd. 77,210 198 128 China Mobile Ltd. 321,500 3,200 2,737 China Power International
Development Ltd. 262,000 61 66 China Resources Cement
Holdings Ltd. 136,000 158 125 China Resources Gas Group
Ltd.† 48,541 176 247 China Resources Power
Holdings Co. Ltd. 106,870 201 154 China Unicom Hong Kong
Ltd. 310,000 323 300
VALUE (000s)
COMMON STOCKS – 97.7% - (CONTINUED) Hong Kong – 4.7% - (Continued) CK Asset Holdings Ltd. 140,500 $ 1,048 $ 1,057 COSCO SHIPPING Ports
Ltd. 103,240 114 90 Guangdong Investment Ltd. 155,190 227 327 Haier Electronics Group Co.
Ltd. 70,874 168 167 Hang Lung Properties Ltd. 101,000 224 238 Hongkong Land Holdings
Ltd. 64,600 469 394
Hysan Development Co. Ltd. 33,209 160 158 Kerry Properties Ltd. 36,500 160 138 Kingboard Holdings Ltd. 38,500 221 95 Kingboard Laminates
Holdings Ltd. 51,500 66 43 Kunlun Energy Co. Ltd. 164,000 149 143 Lee & Man Paper
Manufacturing Ltd. 90,000 94 55 Link REIT 110,000 1,248 1,283 New World Development
Co. Ltd. 315,000 487 441 Nine Dragons Paper
Holdings Ltd. 86,481 108 70 NWS Holdings Ltd. 87,848 159 163 Shanghai Industrial
Holdings Ltd. 30,355 84 62 Shenzhen International
Holdings Ltd. 59,373 128 110 Shenzhen Investment Ltd. 124,000 46 45 Shimao Property Holdings
Ltd. 56,500 155 156 Sino Land Co. Ltd. 175,195 311 285 SSY Group Ltd. 92,000 95 82 Sun Art Retail Group Ltd. 133,986 128 135 Swire Pacific Ltd., Class A 27,500 288 312 Swire Properties Ltd. 64,089 218 232 Towngas China Co. Ltd. 66,553 65 51 Vitasoy International
Holdings Ltd. 36,000 190 169 Wharf Holdings (The) Ltd. 65,583 540 160 Wharf Real Estate
Investment Co. Ltd. 69,000 500 436 Wheelock & Co. Ltd. 43,000 324 271 Yue Yuen Industrial
Holdings Ltd. 37,508 135 105 Yuexiu Property Co. Ltd. 424,000 96 96
13,269 11,825
Hungary – 0.1%
MOL Hungarian Oil & Gas PLC 19,072 190 194
India – 0.5% Divi's Laboratories Ltd. 3,675 85 87
Dr. Reddy's Laboratories Ltd. 5,718 218 213 GAIL India Ltd. 85,986 212 160
July 31, 2019
12
Ltd. 8,037 $ 75 $ 50 Hindustan Petroleum Corp.
Ltd. 35,326 203 137 Indian Oil Corp. Ltd. 93,403 284 190 Petronet LNG Ltd. 23,452 89 80 REC Ltd. 40,387 58 82 Tech Mahindra Ltd. 25,507 259 236
1,483 1,235
Indonesia – 0.2% Adaro Energy Tbk PT 878,942 114 79 Bukit Asam Tbk PT 174,500 49 34 Charoen Pokphand
Indonesia Tbk PT 347,800 111 133 Indah Kiat Pulp & Paper
Corp. Tbk PT 159,400 215 85 Kalbe Farma Tbk PT 1,049,400 124 110 Pakuwon Jati Tbk PT 612,900 29 32 Surya Citra Media Tbk PT 367,877 61 40
703 513
Ireland – 2.5% Accenture PLC, Class A 28,758 3,720 5,538 AerCap Holdings N.V. 6,969 309 380 Jazz Pharmaceuticals PLC 2,914 441 406
4,470 6,324
Italy – 0.2% Moncler S.p.A. 9,487 436 389
Japan – 4.3% AGC, Inc. 10,000 340 306 Alfresa Holdings Corp. 10,400 192 252 Astellas Pharma, Inc. 98,000 1,506 1,393 Brother Industries Ltd. 11,600 246 206
Dai Nippon Printing Co. Ltd. 13,500 302 283 Daicel Corp. 15,000 176 127 Electric Power Development

COMMON STOCKS – 97.7% - (CONTINUED) Japan – 4.3% - (Continued) Medipal Holdings Corp. 8,800 $ 146 $ 187 Mitsubishi UFJ Lease &
Finance Co. Ltd. 22,500 123 119 NEC Corp. 12,700 474 517 NGK Spark Plug Co. Ltd. 8,600 177 164 NH Foods Ltd. 4,800 259 177 Nippon Electric Glass Co.
Ltd. 4,200 132 94 Obayashi Corp. 7,900 87 75 Sekisui Chemical Co. Ltd. 20,300 352 301 Shimamura Co. Ltd. 1,300 167 92 Stanley Electric Co. Ltd. 7,000 203 173 Sumitomo Dainippon
Pharma Co. Ltd. 8,600 280 158 Sumitomo Heavy Industries
Ltd. 5,700 206 184 Sumitomo Rubber Industries
Ltd. 8,500 144 93 Suzuken Co. Ltd. 4,000 146 221 Taiheiyo Cement Corp. 6,800 223 191 Taisho Pharmaceutical
Holdings Co. Ltd. 2,000 181 152 Teijin Ltd. 9,100 194 158 Toho Gas Co. Ltd. 3,600 140 137 Tokyo Electric Power Co.
Holdings, Inc. 77,400 470 372 Toppan Printing Co. Ltd. 13,500 275 221 Tosoh Corp. 14,700 247 206 Toyo Suisan Kaisha Ltd. 4,800 185 191 Toyoda Gosei Co. Ltd. 3,800 95 70 Yokogawa Electric Corp. 12,900 224 231
Yokohama Rubber (The) Co. Ltd. 6,000 119 110
11,289 10,654
Alliance Bank Malaysia Bhd. 67,400 64 60 British American Tobacco
Malaysia Bhd. 6,100 49 33 Nestle Malaysia Bhd. 3,300 96 119
264 250
Mexico – 0.0%
Megacable Holdings S.A.B. de C.V., Series CPO 17,200 79 73
Netherlands – 0.9% Koninklijke Ahold Delhaize
N.V. 63,765 1,464 1,442 Koninklijke Vopak N.V. 3,859 168 190 NN Group N.V. 17,189 590 645
2,222 2,277
Philippines – 0.1% Alliance Global Group, Inc. 165,300 47 50
July 31, 2019
13
VALUE (000s)
COMMON STOCKS – 97.7% - (CONTINUED) Philippines – 0.1% - (Continued) DMCI Holdings, Inc. 175,000 $ 52 $ 35 Globe Telecom, Inc. 2,690 109 114 Megaworld Corp. 673,300 64 81 Robinsons Land Corp. 82,600 39 44
311 324
S.A. 2,813 55 28 PGE Polska Grupa
Energetyczna S.A. 49,049 144 112
199 140
Qatar – 0.2% Barwa Real Estate Co. 106,790 112 105 Mesaieed Petrochemical
Holding Co. 214,420 155 153 Ooredoo QPSC 45,470 99 89 Qatar Electricity & Water
Co. QSC 27,430 136 118 Qatar Fuel QSC 23,610 135 137
637 602
Russia – 1.4% Evraz PLC 24,917 187 198 Gazprom PJSC 276,360 665 1,027 Inter RAO UES PJSC 1,855,506 130 130 LUKOIL PJSC 21,542 1,191 1,765 Magnitogorsk Iron & Steel
Works PJSC 171,400 119 115 Surgutneftegas PJSC 397,365 206 169
2,498 3,404
Saudi Arabia – 0.4%
Advanced Petrochemical Co. 1,751 26 27 Dar Al Arkan Real Estate
Development Co. 9,257 26 28 Jarir Marketing Co. 1,293 59 57 Riyad Bank 29,785 212 206 Samba Financial Group 24,480 229 213 Saudi British Bank (The) 4,727 52 50 Saudi Cement Co. 1,318 23 25 Saudi Industrial Investment
Group 4,098 26 26 Saudi Telecom Co. 10,082 273 290 Yanbu National
Petrochemical Co. 5,226 87 82
1,013 1,004
Singapore – 0.2% BOC Aviation Ltd. 11,900 81 103 ComfortDelGro Corp. Ltd. 118,500 182 233
Golden Agri-Resources Ltd.† 277,800 54 59 317 395

COMMON STOCKS – 97.7% - (CONTINUED) South Africa – 0.5% Anglo American Platinum
Ltd. 2,593 $ 120 $ 154 AngloGold Ashanti Ltd. 20,671 242 356 Exxaro Resources Ltd. 14,015 140 163 Investec Ltd. 16,944 123 97 Investec PLC 38,051 262 216 Kumba Iron Ore Ltd. 3,900 84 129 Netcare Ltd. 52,710 66 61 Telkom S.A. SOC Ltd. 16,361 72 98
1,109 1,274
South Korea – 1.5% Daelim Industrial Co. Ltd. 1,554 131 138 DB Insurance Co. Ltd. 2,627 145 124 GS Holdings Corp. 3,025 148 128 Hankook Tire & Technology
Co. Ltd. 4,130 205 107 Hyundai Department Store
Co. Ltd. 915 81 57 Hyundai Marine & Fire
Insurance Co. Ltd. 3,356 100 79 Kia Motors Corp. 13,515 466 496 Kumho Petrochemical Co.
Ltd. 807 63 56 LG Corp. 5,096 307 305 LG Uplus Corp. 6,227 98 68 SK Hynix, Inc. 28,509 2,008 1,840 SK Telecom Co. Ltd. 1,091 274 228 Woongjin Coway Co. Ltd. 2,530 170 179
4,196 3,805
Spain – 0.1% Mapfre S.A. 61,596 202 169
Sweden – 0.2% Boliden AB 14,727 330 334 ICA Gruppen AB† 4,122 149 183
479 517
(Registered) 8,595 641 469 Baloise Holding A.G.
(Registered) 2,642 405 477 Coca-Cola HBC A.G. - CDI 10,504 268 363 Garmin Ltd.† 6,821 443 536 Sonova Holding A.G.
(Registered) 2,862 633 660 Swiss Life Holding A.G.
(Registered) 1,816 583 878 Swisscom A.G. (Registered) 1,337 648 648 TE Connectivity Ltd. 17,684 1,383 1,634
5,004 5,665
Taiwan – 1.0% Asia Cement Corp. 122,000 133 164 AU Optronics Corp. 485,200 190 129
July 31, 2019
14
COMMON STOCKS – 97.7% - (CONTINUED) Taiwan – 1.0% - (Continued)
Chicony Electronics Co. Ltd. 36,594 $ 86 $ 93 Compal Electronics, Inc. 241,375 159 148 Far Eastern New Century
Corp. 177,000 164 168 Formosa Taffeta Co. Ltd. 50,138 53 57 Inventec Corp. 152,416 118 113 Lite-On Technology Corp. 103,000 145 146 Micro-Star International Co.
Ltd. 38,578 94 109 Novatek Microelectronics
Corp. 29,244 115 154 Phison Electronics Corp. 6,000 52 59 Powertech Technology, Inc. 37,969 111 104
Realtek Semiconductor Corp. 25,404 99 169 Ruentex Development Co.
Ltd. 34,000 54 45 Ruentex Industries Ltd. 24,163 70 51 Synnex Technology
International Corp. 70,160 82 86 Taiwan Business Bank 198,793 54 85 United Microelectronics
Corp. 670,976 276 297 Vanguard International
Semiconductor Corp. 45,431 90 92 Winbond Electronics Corp. 174,000 108 107 Wistron Corp. 133,000 101 99 Zhen Ding Technology
Holding Ltd. 19,000 54 69
2,408 2,544
NVDR 13,900 125 148 PTT Exploration &
Production PCL NVDR 74,900 301 330 Ratch Group PCL NVDR 32,000 61 70 Robinson PCL NVDR 32,000 66 66
553 614
Fabrikalari A.S. 46,099 49 41
United Arab Emirates – 0.2% Aldar Properties PJSC 217,294 133 136 Emaar Properties PJSC 174,186 212 262
345 398
United Kingdom – 6.4% 3i Group PLC 52,749 495 711 Anglo American PLC 54,926 1,364 1,356 Aon PLC 12,553 2,251 2,376 Barratt Developments PLC 53,783 375 420 Berkeley Group Holdings
(The) PLC 6,940 283 328

VALUE (000s)
COMMON STOCKS – 97.7% - (CONTINUED) United Kingdom – 6.4% - (Continued) Burberry Group PLC 22,040 $ 609 $ 601 Capri Holdings Ltd. 7,864 311 280 Direct Line Insurance Group
PLC 76,434 365 299 Fiat Chrysler Automobiles
N.V. 56,272 1,260 748 Hargreaves Lansdown PLC 15,749 280 401 J Sainsbury PLC 95,697 324 228 Kingfisher PLC 114,535 367 308 Marks & Spencer Group
PLC† 104,848 368 263 Meggitt PLC 40,902 232 296 Mondi PLC 6,156 151 133 Mondi PLC (London
Exchange) 20,307 495 444 Pearson PLC† 42,469 510 451 Persimmon PLC 17,089 466 416 Rio Tinto Ltd. 19,347 1,217 1,306 Rio Tinto PLC 59,736 3,628 3,392 Segro PLC 55,672 328 516 Taylor Wimpey PLC 174,030 425 341
Wm Morrison Supermarkets PLC 119,330 351 283
16,455 15,897
United States – 52.9% Acuity Brands, Inc. 2,173 283 292 Advance Auto Parts, Inc. 3,693 655 556 AES Corp. 37,014 605 621 Affiliated Managers Group,
Inc. 2,878 320 247 Aflac, Inc. 39,223 1,432 2,065 Agilent Technologies, Inc. 16,528 1,149 1,147 Akamai Technologies, Inc. 8,417 633 742 Align Technology, Inc.† 3,959 519 828 Alliant Energy Corp. 12,867 522 637 Allstate (The) Corp. 17,330 1,547 1,861 Ally Financial, Inc. 20,767 533 683 Ameren Corp. 13,169 759 997 ANSYS, Inc. 4,330 707 880 Anthem, Inc. 13,469 2,340 3,968 Arch Capital Group Ltd. 21,304 661 824 Archer-Daniels-Midland Co. 29,156 1,322 1,198 Arrow Electronics, Inc. 4,760 344 346 Assurant, Inc. 2,914 273 330 Athene Holding Ltd.,
Class A 8,402 402 343 Atmo

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