Teachers’ Retirement System of the State of Kentucky ... · The TRS Board of Trustees regularly reviews asset allocations and adjusts them as necessary. The System's current asset

Teachers’ Retirement System of the State of Kentucky

Quarterly Investment Information Update

December 31, 2018

TRS invests the members’ funds in several diverse classes of assets, including equities, bonds,

real estate, and alternative investments. This diversification helps us earn the highest possible

long-term rate of return within appropriate risk levels. In turn, this enables us to pay guaranteed

benefits to members and their beneficiaries at the lowest possible cost to participating employers

and the taxpayers that fund them.

Generally, our liabilities will not be paid for as many as 30-40 years. Therefore, as a long-term

investor, our holdings can withstand some short-term volatility. The System's long-term

investment objective is to achieve an annualized rate of return of 7.5%. For the twenty year

period ended December 31, 2018 the System’s annualized return was 5.6%.

The TRS Board of Trustees regularly reviews asset allocations and adjusts them as necessary.

The System's current asset allocation as of December 31, 2018 is reflected in the following

schedule:

Asset Class Percent of Assets in

Category

Domestic and International Equities 60.1

Fixed Income 16.8

Additional Categories 7.6

Alternative Investments 7.5

Real Estate 6.6

Cash Equivalents 1.4

TRS updates this information regularly after the end of each quarter.

Teachers' Retirement System Kentucky Top 10 Equity HoldingsAs of December 31, 2019

Company Shares

1,045,2241,588,530

105,7621,077,970

392,97084,145

647,55780,534

354,154

APPLE INCMICROSOFT CORP AMAZON.COM INC JPMORGAN CHASE & CO UNITEDHEALTH GROUP INC ALPHABET INC-CL C FACEBOOK INCALPHABET INC-CL A BERKSHIRE HATHAWAY INC VISA INC 542,900

Teachers' Retirement System - Kentucky Top 10 Fixed Holdings

As of December 31, 2019Description Maturity Coupon Market Value

5/15/2028 2.875 65,997,85111/15/2027 2.250 49,747,7931/15/2021 2.000 47,021,2898/15/2023 6.250 37,053,8443/31/2023 2.500 35,094,1125/31/2020 2.500 33,944,4765/15/2024 2.500 30,943,0867/15/2028 0.750 29,501,7888/15/2029 6.125 28,856,953

U S TREASURY NOTE U S TREASURY NOTE U S TREASURY NOTE U S TREASURY BOND U S TREASURY NOTE U S TREASURY NOTE U S TREASURY NOTE US TREAS-CPI INFLAT U S TREASURY BOND U S TREASURY BOND 2/15/1947 3.000 25,951,805

Shares / UnitsDescription

Teachers' Retirement System of Kentucky

Pension Investment Holdings

December 31, 2018

Domestic & International Equities

2U INC 35,422

2U INC 12,982

3D SYSTEMS CORP 28,500

3M CO 63,823

8X8 INC 22,998

8X8 INC 44,949

A O SMITH 15,350

AAON INC 12,342

AAR CORP 10,596

AARONS INC 10,721

ABBOTT LABS 189,002

ABBOTT LABS 112,224

ABBVIE INC 163,550

ABBVIE INC 141,760

ABERCROMBIE & FITCH CO CL A 20,912

ABIOMED INC 477

ABIOMED INC 5,250

ABM INDUSTRIES INC 21,392

ACADIA HEALTHCARE CO INC 12,413

ACADIA REALTY TRUST 23,242

ACCENTURE PLC 69,400

ACI WORLDWIDE INC 17,644

ACORDA THERAPEUTICS INC 10,079

ACTIVISION BLIZZARD INC 82,850

ACTUANT CORP 16,392

ACUITY BRANDS INC 7,700

ADDUS HOMECARE CORP 2,000

ADEPTUS HEALTH ESCROW 4,300

ADIENT PLC 14,800

ADOBE SYSTEMS INC 53,100

ADTALEM GLOBAL ED INC 8,389

ADTRAN INC 14,547

ADVANCE AUTO PARTS 8,300

ADVANCE AUTO PARTS 95,700

ADVANCED DISPOSAL SERVICES I 46,822

ADVANCED ENERGY INDUSTRIES I 10,435

ADVANCED MICRO DEVICES 88,600



ADVANSIX INC 9,935

AECOM 30,891

AEGION CORP 8,810

AERCAP HOLDINGS NV 291,000

AERIE PHARMACEUTICALS INC 60,298

AERIE PHARMACEUTICALS INC 18,162

1




December 31, 2018


AEROJET ROCKETDYNE HOLDINGS 24,464

AEROJET ROCKETDYNE HOLDINGS 36,432

AEROVIRONMENT INC 6,439

AES CORP 76,350

AFFILIATED MANAGERS GROUP 6,200

AFLAC INC 82,300

AGCO CORP 11,786

AGCO CORP 204,000

AGILENT TECHNOLOGIES INC A 35,000

AGIOS PHARMACEUTICALS INC 42,912

AGIOS PHARMACEUTICALS INC 6,142

AGREE REALTY CORP 8,463

AIR PRODUCTS AND CHEMICALS 23,888

AK STEEL HOLDING CORP 115,633

AKAMAI TECHNOLOGIES INC 17,700

AKAMAI TECHNOLOGIES INC 45,907

AKORN INC 18,200

ALARM.COM HLDS INC 8,735

ALASKA AIR GROUP INC 12,800

ALBANY INTERNATIONAL CORP CL 8,967

ALBERMARLE CORP 11,300

ALBERMARLE CORP 101,538

ALEXANDER & BALDWIN INC 11,446

ALEXANDRIA REAL ESTATE EQUIT 11,350

ALEXION PHARMACEUTICALS INC 24,450

ALEXION PHARMACEUTICALS INC 152,812

ALIBABA GROUP HLDG LTD 54,155

ALIBABA GROUP HLDG LTD 49,000

ALIGN TECHNOLOGY INC 100

ALIGN TECHNOLOGY INC 7,950

ALKERMES PLC 82,001

ALLEGHANY CORP 2,784

ALLEGHANY CORP 4,055

ALLEGHENY TECHNOLOGIES INC 21,335

ALLEGIANT TRAVEL CO 4,126

ALLEGION PUB LTD CO 10,033

ALLEGION PUB LTD CO 113,100

ALLERGAN PLC 34,830

ALLERGAN PLC 105,786

ALLERGAN PLC 57,000

ALLERGAN PLC 90,686

ALLERGAN PLC 33,219

ALLETE INC 9,200

ALLETE INC 14,616

ALLIANCE DATA SYSTEMS CORP 5,050

2




December 31, 2018


ALLIANT ENERGY CORP 21,950

ALLIANZ SE GM ADR 134,500

ALLSCRIPTS HEALTHCARE SOLUTI 30,346

ALLSTATE CORP 37,514

ALLSTATE CORP 84,675

ALMO GROUP INC 2,992

ALNYLAM PHARMACEUTICALS INC 91,542

ALNYLAM PHARMACEUTICALS INC 32,238

ALPHABET INC/CA 33,211







ALTRA INDUSTRIAL MOTION CORP 35,432

ALTRIA GROUP INC 204,300

ALTRIA GROUP INC 252,300

AMAG PHARMACEUTICALS INC 8,231

AMANDA HOFFLER PROPERTIES IN 8,326

AMAZON.COM INC 44,524




AMBAC FINANCIAL GROUP INC 11,300

AMBEV SA 615,300

AMC NETWORKS INC 9,761

AMDOCS LTD 203,100

AMEDISYS INC 9,245

AMERCO 9,096

AMEREN CORP 25,500

AMERICAN AIRLS GROUP INC 45,679

AMERICAN ASSETS TRUST 12,194

AMERICAN AXLE & MANUFACTURE 33,836

AMERICAN CAMPUS COMMUNITIES 23,383

AMERICAN EAGLE OUTFITTERS 33,759

AMERICAN ELECTRIC POWER 52,350

AMERICAN ELECTRIC POWER 67,864

AMERICAN EQUITY INVESTMENT L 28,156

AMERICAN EXPRESS CO 76,000




AMERICAN FINANCIAL GROUP INC 12,631

AMERICAN INTERNATIONAL GROUP 96,525

3




December 31, 2018


AMERICAN PUBLIC EDUCATION IN 5,700

AMERICAN STATES WATER CO 9,899

AMERICAN TOWER CORPORATION 47,850



AMERICAN VANGUARD CORP 12,131

AMERICAN WATER WORKS CO 18,550

AMERICAN WOODMARK CORP 4,188

AMERICAN WOODMARK CORP 7,619

AMERIPRISE FINANCIAL INC 14,800



AMERIS BANCORP 11,287

AMERISAFE INC 6,580

AMERISAFE INC 16,551

AMERISOURCEBERGEN CORP 16,550

AMERISOURCEBERGEN CORP 116,570

AMETEK INC 27,200

AMETEK INC 94,689

AMGEN INC 70,124

AMGEN INC 119,630

AMICUS THERAPEUTICS INC 44,864

AMN HEALTHCARE SERVICES INC 14,759

AMNEAL PHARMACEUTICALS INC 44,244

AMPHASTAR PHARMACEUTICALS IN 7,031

AMPHENOL CORP CL A 33,300

ANADARKO PETROLEUM CORP 56,574

ANALOG DEVICES 39,229

ANDERSONS INC 5,773

ANGIODYNAMICS INC 9,697

ANHUI CONCH CEM CO LTD 99,100

ANI PHARMACEUTICALS INC 2,005

ANIKA THERAPEUTICS INC 4,281

ANIXTER INTERNATIONAL INC 7,669

ANSYS INC 8,550

ANTHEM INC. 28,500

ANTHEM INC. 90,160

ANTHEM INC. 35,358

AON CORP 25,561

AON CORP 59,200

APACHE CORP 39,265

APARTMENT INVESTMENT & MGMT 15,856

APERGY CORP 12,700

APERGY CORP 1,400

APOGEE ENTERPRISES INC 8,773

4




December 31, 2018


APOLLO COMMERCIAL REAL ESTAT 34,969

APPLE INC 497,410

APPLE INC 220,313

APPLE INC 169,260

APPLE INC 88,035

APPLIED INDUSTRIAL TECHNOLOG 12,478

APPLIED INDUSTRIAL TECHNOLOG 19,732

APPLIED MATERIALS INC 107,100



APPLIED OPTOELECTRONICS INC 6,077

APTARGROUP INC 10,340

APTEVO THERAPEUTICS INC 5,600

APTINYX INC 9,597

APTIV PLC 27,876

APTIV PLC 167,000

APTIV PLC 323,510

APTIV PLC 120,300

AQUA AMERICA INC 30,516

ARAMARK 91,608

ARCBEST CORP 8,341

ARCHER-DANIELS MIDLAND 57,416

ARCHROCK INC 33,359

ARCONIC INC 44,653

ARCOSA INC 14,800

ARENA PHARMACEUTICALS INC 18,649

ARISTA NETWORKS INC 5,600

ARISTA NETWORKS INC 29,195

ARMOUR RESIDENTIAL REIT INC 15,585

ARMSTRONG WORLD INDS NEW 14,685

ARRIS INTL INC 29,586

ARROW ELECTRONICS INC 17,319

ARTHUR J GALLAGHER & CO 19,200

ASBURY AUTOMOTIVE GROUP INC 7,495

ASCENA RETAIL GROUP INC 55,100

ASGN INC 11,800

ASGN INC 2,533

ASGN INC 25,780

ASHLAND GLOBAL HLDGS INC 10,951

ASHLAND GLOBAL HLDGS INC 142,300

ASHTEAD GROUP PLC 115,800

ASPEN INSURANCE HOLDINGS LTD 9,836

ASSEMBLY BIOSCIENCES INC 14,550

ASSERTIO THERAPEUTICS INC 13,134

ASSOCIATED BANC CORP 32,431

5




December 31, 2018


ASSOCIATED BANC CORP 82,095

ASSURANT INC 5,550

ASTEC INDUSTRIES INC 6,583

ASTEC INDUSTRIES INC 14,027

AT&T INC 786,649

ATHENE HLDG LTD 94,139

ATLAS AIR WORLDWIDE HLDS INC 8,348

ATMOS ENERGY CORP 20,925

ATN INTL INC 4,262

AUDENTES THERAPEUTICS INC 21,368

AUTODESK INC 23,950

AUTOMATIC DATA PROCESSING IN 47,250

AUTONATION INC 12,585

AUTOZONE INC 2,950

AUTOZONE INC 14,240

AVALONBAY COMMUNITIES INC 14,954

AVANOS MED INC 7,675

AVERY DENNISON CORP 8,900

AVIS BUDGET GROUP INC 12,256

AVISTA CORP 19,794

AVNET INC 21,974

AVON PRODUCTS 115,500

AXA ADR 348,900

AXCELIS TECHNOLOGIES INC 10,200

AXON ENTERPRISE INC 15,046

AXON ENTERPRISE INC 16,019

AXOS FINANCIAL INC 17,179

AZZ INC 7,534

AZZ INC 18,741

B B & T CORP 83,578

B B & T CORP 422,880

B&G FOODS INC 20,052

BADGER METER INC 6,965

BAIDU INC SPONSORED ADR A 54,800

BAILLIE GIFFORD INTL EAFE FU 784,872,872

BAKER HUGHES A GE CO 52,912

BALCHEM CORP 9,752

BALL CORP 35,550

BALL CORP 103,986

BANC OF CALIFORNIA INC 9,170

BANCO SANTANDER CENTRAL ADR 2,380,000

BANCO SANTANDER CHILE SA NEW 391,400

BANCO SANTANDER S A 1,166,200

BANCORPSOUTH BK TUPELO MISS 17,668

BANK MONTREAL QUE 138,000

6




December 31, 2018


BANK NEW YORK MELLON CORP 98,625

BANK OF AMERICA CORP 1,009,916


BANK OF AMERICA CORP 578,417

BANK OF HAWAII CORP 7,127

BANK OZK 23,494

BANNER CORP 8,586

BARING ALL COUNTRY WORLD 4,602,673

BARNES & NOBLE ED INC 13,524

BARNES & NOBLE INC 21,400

BARNES GROUP INC 14,125

BASF AG ADR 380,000

BAXTER INTERNATIONAL INC 53,350

BAXTER INTERNATIONAL INC 141,605

BECTON DICKINSON 28,716

BED BATH & BEYOND INC 27,319

BEL FUSE INC CL B 1,600

BELDEN INC 8,241

BELMOND LTD 22,365

BEMIS CO 15,097

BENCHMARK ELECTRONIC INC 12,940

BERKLEY WR CORP 16,413

BERKLEY WR CORP 30,305

BERKSHIRE HATHAWAY CL B 211,056

BERKSHIRE HILLS BANCORP INC 9,200

BEST BUY CO INC 25,075

BIG LOTS INC 6,987

BIGLARI HLDGS INC 29

BIO RAD LABS INC 3,886

BIO RAD LABS INC 35,419

BIOGEN INC 22,140

BIOGEN INC 28,269

BIOGEN INC 55,870

BIOHAVEN PHARMACEUTICAL HLD 14,264

BIO-TECHNE CORP 6,408

BIO-TECHNE CORP 18,443

BIOTELEMETRY INC 8,728

BJ'S RESTAURANTS INC 6,806

BLACK HILLS CORP 8,304



BLACK KNIGHT INC 48,639

BLACK ROCK ACWI EX-US IMI 603,250,323

BLACKBAUD INC 8,120

BLACKBAUD INC 52,089

7




December 31, 2018


BLACKBAUD INC 11,809

BLACKROCK INC 13,500

BLACKROCK INC 10,472

BLOCK H & R 22,500

BLUCORA INC COM 16,846

BLUCORA INC COM 39,409

BLUEBIRD BIO INC 23,159

BLUEPRINT MEDICINES CORP 12,056

BNP PARIBAS 405,000

BOEING CO 57,614

BOEING CO 38,460

BOISE CASCADE CO 13,859

BOISE CASCADE CO 18,119

BONANZA CREEK ENERGY INC 8,900

BOOKING HLDGS INC 5,100




BORGWARNER INC 19,922

BOSTON BEER INC 1,600

BOSTON PRIVATE FINANCIAL HLD 24,260

BOSTON PROPERTIES INC 16,400

BOSTON SCIENTIFIC CORP 149,962



BOTTOMLINE TECHNOLOGIES INC 10,330

BOYD GAMING CORP 12,400

BRADY CORP 14,152

BRIDGESTONE CORP 151,000

BRIGGS & STRATTON 13,364

BRIGHTHOUSE FINL INC 14,873

BRINKER INTERNATIONAL INC 9,030

BRINK'S CO (THE) 8,892

BRISTOL MYERS SQUIBB CO 175,759

BRISTOL MYERS SQUIBB CO 104,757

BRISTOW GROUP INC 6,794

BRITISH AMERICAN TOBACCO A 119,000

BROADCOM INC 46,514

BROADCOM INC 6,295

BROADCOM INC 45,300

BROADRIDGE FINANCIAL SOLUTIO 3,114

BROADRIDGE FINANCIAL SOLUTIO 12,350

BROOKFIELD PPTY PARTNERS L P 25,438

BROOKLINE BANCORP INC 20,324

BROOKLINE BANCORP INC 58,979

8




December 31, 2018


BROOKS AUTOMATION INC 21,910

BROWN & BROWN INC 40,594

BROWN FORMAN INC 27,030

BRUNSWICK CORP 16,722

BUCKLE INC 9,332

C H ROBINSON WORLDWIDE INC 15,250

C&J EERGY SERVICES INC 22,200

CABLE ONE INC 773

CABOT CORP 11,053

CABOT MICROELECTRONICS CORP 8,347

CABOT OIL & GAS CORP 47,600

CACI INTERNATIONAL INC 4,700



CADENCE DESIGN SYSTEM INC 31,150

CALAMP CORP 14,823

CALAVO GROWERS INC 5,657

CALERES INC COM 11,011

CALERES INC COM 39,927

CALIFORNIA WATER SERVICE GRO 15,152

CALLAWAY GOLF CO 28,832

CALLON PETROLEUM CO 50,571

CAL-MAINE FOODS INC 10,383

CAMBREX CORP 10,084

CAMDEN PROPERTY TRUST 16,113

CAMPBELL SOUP 20,650

CANADIAN NATL RY CO 119,300

CANTEL MEDICAL CORP 6,500

CAPITAL ONE FINANCIAL CORP 53,091


CAPSTEAD MORTGAGE CORP 30,400

CARBONITE INC 31,994

CARDINAL HEALTH INC 34,025

CARDIOVASCULAR SYSTEMS INC 31,466

CARDTRONICS PLC 12,507

CAREER EDUCATION CORP 16,475

CARETRUST REIT INC 25,821

CARGURUS INC 35,134

CARLISLE COS INC 10,802

CARMAX INC 18,750

CARMAX INC 49,470

CARNIVAL CORP 44,350

CARNIVAL CORP 385,630

CARNIVAL PLC 219,700

CARNIVAL PLC 48,800

9




December 31, 2018


CARPENTER TECHNOLOGY 10,588

CARRIZO OIL & GAS INC 26,209

CARS.COM INC 9,773

CARTERS INC 8,720

CARTERS INC 31,688

CARTERS INC 19,938

CASEY'S GENERAL STORES INC 6,659

CASEY'S GENERAL STORES INC 7,068

CATALENT INC 22,891

CATALENT INC 28,257

CATERPILLAR INC 64,750

CATHAY GENERAL BANCORP 13,012

CATO CORP CL A 5,400

CBL & ASSOCIATES PROPERTIES 62,178

CBOE HOLDINGS INC 11,650

CBRE GROUP INC 35,250

CBS CORP CL B 36,993

CCH I LLC 19,250

CCH I LLC 61,987

CDK GLOBAL INC 22,856

CDW CORP 51,731

CDW CORP 61,875

CEDAR REALTY TRUST INC 28,700

CELANESE CORP DEL 12,800

CELGENE CORP 76,650

CELGENE CORP 177,300

CELGENE CORP 213,410

CENTENE CORP 23,000

CENTERPOINT ENERGY INC 51,562

CENTRAL GARDEN & PET CO 8,200

CENTRAL GARDEN & PET CO CL A 5,237

CENTRAL PACIFIC FINANCIAL CO 9,743

CENTURY ALUMINUM CO 16,114

CENTURYLINK INC 101,161

CERNER CORP 33,550

CEVA INC 5,519

CF INDUSTRIES HOLDINGS 24,295

CHARLES RIVER LABORATORIES 9,260

CHART INDUSTRIES INC 9,627

CHATHAM LODGING TRUST 11,809

CHEESECAKE FACTORY 9,110

CHEMED CORP 3,000

CHEMICAL FINANCIAL CORP 14,036

CHEMOURS COMPANY 34,780

CHESAPEAKE ENERGY CORP 192,400

10




December 31, 2018


CHESAPEAKE LODGING TRUST 18,089

CHEVRON CORP 207,277

CHEVRON CORP 101,890

CHICO'S FAS INC 45,412

CHILDREN'S PLACE, INC. 5,520

CHINA COMMUNICATIONS CONSTR 294,000

CHINA OVERSEAS LD & INVT LTD 330,000

CHINA PETROLEUM & CHEMICAL 32,900

CHIPOTLE MEXICAN GRILL CL A 2,650

CHOICE HOTELS INTL INC 47,261

CHUBB LIMITED 49,777

CHUBB LIMITED 69,320

CHURCH & DWIGHT CO INC 25,600

CHURCHILL DOWNS INC 2,114

CHUY'S HOLDINGS INC 8,400

CIENA CORP 30,086

CIGNA CORP NEW 40,405

CIGNA CORP NEW 20,265

CIMAREX ENERGY CO 9,600

CIMPRESS N.V. 19,308

CINCINNATI BELL INC NEW 13,704

CINCINNATI FINANCIAL CORP 16,380

CINEMARK HOLDING INC 18,044

CINTAS CORP 9,650

CINTAS CORP 16,608

CIRCOR INTERNATIONAL INC 3,442

CIRRUS LOGIC INC 10,691



CISCO SYSTEM INC 495,600



CITIGROUP INC 273,592

CITIZENS FINL GROUP INC 51,400

CITIZENS FINL GROUP INC 934,170

CITRIX SYSTEMS INC 13,400

CITY HOLDING CO 4,658

CLEAN HARBORS INC 9,504

CLEAN HARBORS INC 22,901

CLEARWATER PAPER CORP 8,676

CLOROX CO 13,850

CLOUD PEAK ENERGY INC 33,000

CLOUDERA INC 56,728

CME GROUP INC 38,300

CME GROUP INC 104,835

11




December 31, 2018


CMS ENERGY CORP 28,950

CNO FINANCIAL GROUP 31,282

CNOOC LTD CH ADR 104,000

CNOOC LTD CH ADR 15,400

CNX RESOURCES CORPORATION 36,639

COASTAL BANKING CO INC 2,965

COCA COLA CO 411,230

COCA-COLA BOTTLING CO 1,649

COGENT COMMUNICATIONS HOLDIN 12,700

COGNEX CORP 30,752

COGNIZANT TECH SOLUTIONS 62,400

COGNIZANT TECH SOLUTIONS 228,970

COHERENT INC 4,103

COHERUS BIOSCIENCES INC 189,045

COHU INC 8,582

COHU INC 60,711

COLGATE PALMOLIVE CO 92,650

COLGATE PALMOLIVE CO 143,310

COLUMBIA BANKING SYSTEM INC 22,458

COLUMBIA PROPERTY TRUST INC 45,193

COMCAST CORP CL A 496,472

COMERICA INC 17,889

COMFORT SYSTEMS USA INC 11,700

COMMERCE BANCSHARES INC 17,577

COMMERCIAL METALS CO 23,504

COMMSCOPE HOLDING CO 144,489

COMMUNITY BANK SYSTEM INC 16,496

COMMUNITY HEALTH SYSTEMS INC 32,794

COMMUNITY HEALTHCARE TRUST I 5,700

COMMVAULT SYSTEMS INC 7,830

COMPASS DIVERSIFIED HOLDING 49,769

COMPASS MINERAL INTERNATIONA 6,833

COMPUTER PROGRAMS & SYSTEMS 1,200

COMTECH TELECOMMUNICATIONS 7,388

CONAGRA BRANDS INC 48,800

CONCEPT THERAPEUTICS INC 33,034

CONCHO RES INC 21,300

CONCHO RES INC 103,000

CONCHO RES INC 1

CONMED CORP 6,513

CONOCOPHILLIPS 126,748

CONOCOPHILLIPS 331,950

CONSOL ENERGY INC NEW 1

CONSOL ENERGY INC NEW 7,949

CONSOLIDATED COMMUNICATIONS 21,899

12




December 31, 2018


CONSOLIDATED EDISON INC 32,700

CONSTELLATION BRANDS INC A 18,150

CONTINENTAL RESOURCES INC 120,816

CONTROL4 CORP 5,770

COOPER COS INC 5,450

COOPER COS INC 50,006

COOPER STANDARD HOLDINGS INC 5,456

COOPER TIRE & RUBBER 14,700

COOPER TIRE & RUBBER 30,982

COPART INC 21,600

CORE LABORATORIES N V 7,668

CORECIVIC INC 21,334

CORELOGIC INC 15,165

CORE-MARK HOLDING CO INC 15,494

CORE-MARK HOLDING CO INC 30,954

CORESITE REALTY CORP 6,188



CORNING INC 84,250

CORNING INC 432,500

CORPORATE OFFICE PROPERTIES 15,658

CORPORATE OFFICE PROPERTIES 34,441

CORVEL CORP 3,691

COSTAR GROUP INC 8,114

COSTAR GROUP INC 830

COSTCO WHOLESALE CORP 47,622

COSTCO WHOLESALE CORP 41,134

COTY INC 50,750

COUSINS PROPERTIES INC 84,051

CRACKER BARREL OLD COUNTRY S 4,370

CRANE CO 7,972

CRAY INC 8,615

CREDIT ACCEPTANCE CORP 8,852

CREE INC 18,670

CRH PLC 302,000

CROCS INC 24,781

CROSS COUNTRY HEALTHCARE INC 2,500

CROWN CASTLE INTL CORP 44,950

CRYOLIFE INC 8,173

CSG SYSTEMS INTERNATIONAL IN 10,270

CSX CORP 89,350

CTS CORP 10,184

CTS CORP 47,407

CUBIC CORP 7,654

CULLEN FROST BANKERS INC 11,647

13




December 31, 2018


CULLEN FROST BANKERS INC 31,337

CUMMINS INC 15,600

CURTISS WRIGHT CORP 7,468

CUSTOMERS BANCORP INC 11,069

CUTERA INC 5,499

CVB FINANCIAL CORP 30,863

CVS HEALTH CORPORATION 139,676

CVS/CAREMARK CORP 129,930

CYPRESS SEMICONDUCTOR CORP 60,738

CYRUSONE INC 18,300

CYTOKINETICS INC 10,700

D R HORTON INC 35,700

DAKTRONICS INC 20,100

DANA INCORPORATED 25,716

DANAHER CORP 65,876

DANAHER CORP 46,368

DANONE 540,000

DARDEN RESTAURANTS INC 12,950

DARLING INGREDIENTS INC. 49,210

DAVE & BUSTERS ENTERTAINMENT 12,805

DAVITA INC 13,100

DAVITA INC 225,500

DBS GROUP HLDGS LTD 204,000

DBS GROUP HLDGS LTD 39,500

DEAN FOODS CO 39,690

DECKERS OUTDOOR CORP 6,395

DEERE & CO 35,000

DELPHI TECHNOLOGIES PLC 18,628

DELTA AIR LINES INC 68,100



DELUXE CORP 8,831

DENBURY RESOURCES INC 138,413

DENTSPLY SIRONA INC 23,304

DERMIRA INC 29,543

DEVON ENERGY CORP 54,000

DHI GROUP INC 6,400

DIAMOND OFFSHORE DRILLING IN 12,260

DIAMONDBACK ENERGY INC 27,247

DIAMONDBACK ENERGY INC 28,504

DIAMONDROCK HOSPITALITY CO 61,024

DICKS SPORTING GOODS INC 15,620

DIEBOLD NIXDORF 24,800

DIGI INTERNATIONAL CORP 5,500

DIGITAL RLTY TR INC 22,500

14




December 31, 2018


DILLARD'S INC CL A 4,100

DIME COMMUNITY BANCSHARES 14,434

DINEEQUITY INC 5,106

DIODES INC 8,661

DIPLOMAT PHARMACY INC 16,364

DISCOVER FINANCIAL SERVICES 36,611

DISCOVER FINANCIAL SERVICES 208,600

DISCOVERY COMMUNICATIONS A 16,386

DISCOVERY COMMUNICATNS NEW 37,377

DISH NETWORK CORP 24,000

DISNEY WALT CO (HOLDING CO) 159,514



DOLLAR GEN CORP NEW 27,901

DOLLAR TREE INC 26,277

DOMINION RESOURCES INC 70,024

DOMINO'S PIZZA INC 7,742

DOMTAR CORP 12,532

DONALDSON CO INC 22,862

DONNELLEY (RR) & SONS 31,065

DONNELLEY FINL SOLUTIONS INC 6,992

DORIAN LPG LTD 952

DORMAN PRODUCTS INC 8,646

DOUGLAS EMMETT INC 26,837

DOUGLAS EMMETT INC 34,898

DOVER CORP 16,300

DOWDUPONT INC 250,839

DOWDUPONT INC 109,020

DRIL-QUIP INC 5,502

DSW INC CL A 23,623

DTE ENERGY CO 19,200

DUKE ENERGY CORP NEW COM 75,946

DUKE REALTY CORP 34,850

DUN & BRADSTREET CORP 6,054

DUNKIN BRANDS GROUP INC 14,552

DUNKIN BRANDS GROUP INC 22,157

DXC TECHNOLOGY CO 31,091

DXP ENTERPRISES INC 6,857

DYCOM INDUSTRIES INC 6,018

E ON AG 481,000

E*TRADE FINANCIAL CORP 26,900

EAGLE BANCORP INC 10,329

EAGLE MATERIALS INC 8,324

EAGLE PHARMACEUTICALS INC 3,517

EAST WEST BANCORP INC 28,416

15




December 31, 2018


EASTERLY GOVERNMENT PROPERTI 13,345

EASTGROUP PROPERTIES INC 10,849

EASTMAN CHEMICAL CO 15,050

EASTMAN CHEMICAL CO 177,920

EATON CORP PLC 48,000

EATON CORP PLC 70,992

EATON VANCE CORP 21,428

EBAY INC 100,600

EBIX INC 6,720

ECHO GLOBAL LOGISTICS INC 10,325

ECOLAB INC 27,250

EDGEWELL PERS CARE CO 8,226

EDGEWELL PERS CARE CO 35,993

EDISON INTERNATIONAL 34,100

EDWARDS LIFESCIENCES CORP 22,850

EHEALTH INC 5,800

EL PASO ELECTRIC CO 12,213

EL POLLO LOCO HOLDINGS INC 12,200

ELDORADO RESORTS INC 10,700

ELECTRO SCIENTIFIC INDUSTRIE 14,273

ELECTRONIC ARTS INC 33,800

ELECTRONIC ARTS INC 74,425

ELECTRONICS FOR IMAGING INC 14,202

EMCOR GROUP INC 11,731

EMERGENT BIOSOLUTIONS INC 13,534

EMERSON ELECTRIC CO 69,350

EMPLOYERS HOLDINGS INC 10,093

ENCOMPASS HEALTH CORP 19,088

ENCORE CAPITAL GROUP INC 7,183

ENCORE WIRE CORP 6,847

ENDO HEALTH SOLUTIONS INC 64,000

ENERGIZER HLDGS INC NEW 10,422

ENERSYS 8,312

ENGILITY HOLDINGS INC. 8,814

ENI S P A ADR 379,000

ENOVA INTL INC 10,309

ENPRO INDUSTRIES INC 7,335

ENSCO PLC 79,358

ENTA PHARMACEUTICALS INC 3,989

ENTEGRIS INC 46,880

ENTERGY CORP 18,950

ENTERPRISE FINANCIAL SERVICE 19,533

EOG RESOURCES INC 63,100

EOG RESOURCES INC 61,526

EPAM SYSTEMS INC 34,094

16




December 31, 2018




EPLUS INC 4,092

EPLUS INC 17,971

EPR PPTYS COM SH BEN INT 14,698

EQT CORP 50,500

EQUIFAX INC 13,375

EQUIFAX INC 31,796

EQUINIX INC 8,461

EQUITRANS MIDSTREAM CORP 37,800

EQUITY COMMONWEALTH 87,448

EQUITY RESIDENTIAL 40,371

ESCO TECHNOLOGIES INC 6,500

ESSENDANT INC COM 13,800

ESSEX PROPERTY TRUST INC 6,950

ESTEE LAUDER COMPANIES CL A 24,542

ESTEE LAUDER COMPANIES CL A 34,733

ESTERLINE TECHNOLOGIES 4,080

ETHAN ALLEN INTERIORS INC 9,450

ETSY INC 46,705

ETSY INC 22,198

EVERCORE PARTNERS INC 8,900

EVERCORE PARTNERS INC 14,090

EVEREST RE GROUP LTD 1,066

EVEREST RE GROUP LTD 4,100

EVERGY INC 1,376

EVERGY INC 29,150

EVERSOURCE ENERGY 33,992

EVERTEC INC 18,600

EW SCRIPPS CO 16,031

EXELIXIS INC 52,200

EXELON CORP 104,514

EXLSERVICE HOLDINGS 10,300

EXPEDIA INC 12,250

EXPEDIA INC 59,772

EXPEDITORS INTL WASH INC 18,200

EXPONENT INC 13,574

EXPONENT INC 26,659

EXPRESS INC 26,487

EXTERRAN CORP 9,005

EXTRA SPACE STORAGE INC 14,150

EXTREME NETWORKS INC 36,500

EXXON MOBIL CORP 458,484

EZCORP INC 22,878

F.N.B. CORP 66,900

17




December 31, 2018


F5 NETWORKS INC 6,000




FABRINET 12,380

FACEBOOK INC 260,550



FACEBOOK INC 44,124

FACTSET RESEARCH SYSTEMS INC 7,129

FACTSET RESEARCH SYSTEMS INC 15,967

FAIR ISAAC CORP 5,538



FARO TECHNOLOGIES INC 4,434

FASTENAL CO 32,300

FASTENAL CO 276,600

FASTENAL CO 57,088

FEDERAL REALTY 8,150

FEDERAL SIGNAL CORP 19,788

FEDERATED INVESTORS INC CL B 20,664

FEDEX CORP 26,483

FEDEX CORP 76,690

FIDELITY NATIONAL FINANCIAL 52,792

FIDELITY NATIONAL INFORMATIO 35,474

FIDELITY SOUTHERN CORP 7,216

FIESTA RESTAURANT GROUP INC 6,108

FIFTH THIRD BANCORP 70,183

FIFTH THIRD BANCORP 128,070

FINISAR CORP 35,300

FIRST AMERICAN FINANCIAL COR 20,295

FIRST BANCORP 66,167

FIRST BUSEY CORP 33,974

FIRST CITIZENS BANKSHARES CL 5,863

FIRST CITIZENS BANKSHARES CL 3,294

FIRST COMMONWEALTH FINL GROU 24,106

FIRST DATA CORP NEW 755,600

FIRST FINANCIAL BANCORP 30,821

FIRST FINANCIAL BANKSHARES I 21,356

FIRST HAWAIIAN INC 33,837

FIRST HORIZON NATIONAL CORP 55,538

FIRST INDUSTRIAL REALTY TRUS 23,128

FIRST MIDWEST BANCORP 30,759

FIRST NBC BANK HOLDING CO 5,300

FIRST REPUBLIC BANK 176,975

18




December 31, 2018


FIRST REPUBLIC BANK 42,823

FIRST SOLAR INC 14,818

FIRSTCASH INC 14,967

FIRSTENERGY CORP 52,403

FISERVE INC 44,500

FIVE BELOW INC 11,100

FIVE BELOW INC 7,909

FIVE PRIME THERAPEUTICS INC 34,085

FIVE9 INC 47,576

FLAGSTAR BANCORP INC 6,500

FLEETCOR TECHNOLOGIES INC 9,500

FLEXION THERAPEUTICS INC 12,814

FLIR SYSTEMS INC 12,750

FLOOR & DECOR HOLDINGS 24,910

FLOWERS FOODS INC 29,318

FLOWSERVE CORP 14,850

FLUOR CORP 15,000

FMC CORP 14,000

FOOT LOCKER INC 11,850

FOOT LOCKER INC 317,500

FORD MOTOR 421,477

FORESCOUT TECHNOLOGIES INC 37,505

FORMFACTOR INC 16,700

FORMFACTOR INC 72,441

FORRESTER RESEARCH INC 1,900

FORTINET INC 15,300

FORTIVE CORP 32,463

FORTUNE BRANDS HOME & SECURI 16,650

FORTUNE BRANDS HOME & SECURI 114,300

FORWARD AIR CORP 9,399

FOSSIL GROUP INC 14,000

FOUR CORNERS PROPERTY TRUST 19,338

FOX FACTORY HOLDING CORP 10,739

FRANCESCAS HOLDING CORP 15,200

FRANKLIN ELECTRIC CO INC 10,956

FRANKLIN FINANCIAL NETWORK I 2,200

FRANKLIN RESOURCES INC 33,500

FRANKLIN STREET PROPERTIES C 33,657

FREEPORT-MCMORAN INC. 154,474

FRONTIER COMMUNICATIONS CORP 1

FRONTIER COMMUNICATIONS CORP 15,987

FT WASH FOCUSED EQTY SECURIT 273,113,888

FTD COS INC 4,740

FTI CONSUTLTING INC 12,023

FUJIFILM HLDGS CORP 311,000

19




December 31, 2018


FUJITSU LIMITED 216,550

FULTON FINANCIAL CORP 27,026

FUTUREFUEL CORP 8,639

G1 THERAPUETICS INC 19,236

GAMESTOP CORP CL A 31,400

GANNETT CO 44,065

GAP (THE) 20,000

GAP (THE) 562,300

GARDNER DENVER HLDGS INC 731,500

GARDNER DENVER HLDGS INC 110,100

GARMIN LTD 12,300

GARRETT MOTION INC 18,700

GARTNER INC CL A 9,300

GATX CORP 8,338

GCI LIBERTY INC 1

GCI LIBERTY INC 1,404

GEEN DOT CORP 14,003

GENERAC HOLDINGS INC 19,955

GENERAL DYNAMICS CORP 30,150

GENERAL ELECTRIC CO 941,165

GENERAL MILLS INC 63,950

GENERAL MTRS CO 141,448

GENESCO INC 7,067

GENESEE & WYOMIMG 10,677



GENPACT LTD 258,278

GENTEX CORP 47,425

GENTHERM INC 9,200

GENUINE PARTS 14,725

GENWORTH FINANCIAL INC CL A 114,160

GEO GROUP INC 26,850

GEOSPACE TECHNOLOGIES CORP 3,190

GETTY REALTY CORP 8,135

GIBRALTAR INDUSTRIES INC 7,308

G-III APPAREL GROUP LTD 10,694

GILEAD SCIENCES INC 140,847

GLACIER BANCORP INC 25,192

GLATFELTER 12,846

GLOBAL NET LEASE INC 20,900

GLOBAL PAYMENTS INC 18,000



GLOBUS MEDICAL INC 11,805

GLOBUS MEDICAL INC 34,392

20




December 31, 2018


GODADDY INC 96,000

GODADDY INC 133,263

GOLDMAN SACHS GROUP INC 38,355

GOODYEAR TIRE & RUBBER 25,900

GOVERNMENT PROPERTIES INC TR 33,841

GRACO INC 29,620

GRAHAM HOLDINGS CO 904

GRAINGER (W W) INC 5,150

GRANITE CONSTRUCTION INC 8,429

GRANITE POINT MORTGAGE TRUST 13,400

GRAPHIC PACKAGING HOLDING CO 87,839

GREAT WASTERN BANCORP INC 17,518

GREAT WASTERN BANCORP INC 24,952

GREEN BANCORP INC 9,611

GREEN PLAINS RENEWABLE ENERG 11,560

GREENHILL & CO INC 6,000

GREIF INC CL A 5,620

GRIFFON CORP 9,642

GRIFOLS S A 532,600

GROUP 1 AUTOMOTIVE INC 7,172

GROUPE CGI INC 46,900

GUESS INC 16,291

GUIDEWIRE SOFTWARE INC 43,510

GULF ISLAND FABRICATION INC 8,600

GULFPORT ENERGY 50,838

H B FULLER CO 15,403

HAEMONETICS CORP/MASS 9,500

HAEMONETICS CORP/MASS 8,664

HAIN CELESTIAL GROUP INC 16,720

HALLIBURTON CO 96,646



HANCOCK HOLDING CO 13,303

HANESBRANDS INC 33,100

HANMI FINANCIAL CORP 9,931

HANOVER INSURANCE GROUP INC 7,830

HARLEY DAVIDSON INC 17,000

HARMONIC INC 18,300

HARRIS CORP 11,991

HARSCO CORP 22,046

HARTFORD FINL SERVICES GROUP 38,550

HASBRO INC 11,625

HAVERTY FURNITURE INC 7,100

HAWAIIAN ELECTRIC INDS 16,348

HAWAIIAN HOLDINGS INC 17,554

21




December 31, 2018


HAWKINS INC 4,200

HAYNES INTL INC 3,500

HCA HOLDINGS INC 29,850

HCA HOLDINGS INC 115,300

HCI GROUP INC 3,100

HCP INC 52,050

HDFC BANK LTD 169,000

HEALTHCARE REALTY TRUST INC 21,784

HEALTHCARE SERVICES GROUP 11,000

HEALTHEQUITY INV 10,800

HEALTHSTREAM INC 5,441

HEARTLAND EXPRESS INC 13,412

HEICO CORP CL A 37,601

HEIDRICK & STRUGGLES INTL 2,990

HELEN OF TROY LTD 4,940

HELIX ENERGY SOLUTIONS GROUP 47,331

HELMERICH & PAYNE 10,600

HENRY SCHEIN INC 15,250

HENRY SCHEIN INC 42,700

HERCULES CAPITAL INC 63,364

HERCULES OFFSHORE INC 1

HERITAGE FINANCIAL CORP 6,500

HERON THERAPEUTICS INC 39,899

HERSHA HOSPITALITY TRUST 13,349

HERSHEY CO 14,650

HESKA CORP 1,657

HESS CORP 26,750

HESS CORP 270,546

HEWLETT PACKARD ENTERPRISE C 157,687

HFF INC 12,502

HIBBETT SPORTS INC 7,800

HIGHPOINT RES CORP 16,084

HIGHWOODS PROPERTIES INC 20,297

HILL ROM HOLDINGS 12,256

HILL ROM HOLDINGS 35,647

HILLENBRAND INC 19,724

HILTON WORLDWIDE HLDGS INC 33,250



HMS HOLDING CORP 22,765

HMS HOLDING CORP 44,319

HNI CORP 9,300

HOLLYFRONTIER CORP 9,701

HOLLYFRONTIER CORP 18,200

HOLLYSYS AUTOMATION TECHNOLO 361,600

22




December 31, 2018


HOLOGIC INC 27,950

HOLOGIC INC 136,125

HOME BANCSHARES INC 27,897

HOME DEPOT INC 123,891

HOME DEPOT INC 132,560

HOMESTREET INC 7,515

HONEYWELL INTERNATIONAL INC 81,075

HOPE BANCORP INC 40,777

HORACE MANN EDUCATORS 12,712

HORMEL FOODS CORP 26,600

HOSPITALITY PROPERTIES TRUST 31,515

HOST HOTELS & RESORTS INC 82,842

HOSTESS BRANDS INC 90,424

HP INC 171,887

HUB GROUP INC CL A 12,170

HUBBELL INC 9,849

HUMANA INC 15,450

HUNT (JB) TRANSPORT SERVICES 8,800

HUNT (JB) TRANSPORT SERVICES 33,881

HUNTINGTON BANCSHARES 117,781

HUNTINGTON INGALLS INDS INC 1,604

HUNTINGTON INGALLS INDS INC 4,350

HURON CONSULTING GROUP INC 13,483

IBERIABANK CORP 21,604

ICHOR HOLDINGS LTD 7,800

ICON PLC 79,900

ICU MEDIAL INC 3,700

ICU MEDIAL INC 5,688

IDACORP INC 8,362

IDEX CORP 14,319

IDEX CORP 38,788

IDEXX LABORATORIES INC 9,200

IHS MARKIT LTD 38,000



II-VI INC 16,104

II-VI INC 105,767

ILLINOIS TOOL WORKS 33,650



ILLUMINA INC 16,100

INCYTE CORP 18,500

INCYTE CORP 206,800

INDEPENDENCE REALTY TRUST 24,987

INDEPENDENT BANK CORP 7,500

23




December 31, 2018


INFOSYS TECHNOLOGIES 814,000

INFOSYS TECHNOLOGIES 290,000

ING GROUP N V ADR 763,000

INGERSOLL-RAND PLC 26,200

INGEVITY CORP 13,256

INGREDION INC 13,104

INNOPHOS HOLDINGS INC 6,574

INNOSPEC INC 8,473

INNOVIVA INC 24,399

INOGEN INC 3,800

INSIGHT ENTERPRISES INC 11,317

INSPERITY INC 8,100

INSPERITY INC 3,390

INSTALLED BUILDING PRODUCTS 5,441

INSTEEL INDUSTRIES INC 6,008

INSTRUCTURE INC 19,248

INSULET CORP 13,470

INTEGER HLDGS CORP 9,985

INTEGRA LIFESCIENCES HLDGS C 12,300

INTEGRA LIFESCIENCES HLDGS C 514

INTEGRA LIFESCIENCES HLDGS C 60,292

INTEGRATED DEVICE TECHNOLOGY 23,234

INTEL CORP 499,700

INTEL CORP 551,830

INTER PARFUMS INC 3,828

INTERACTIVE BROKERS GROUP IN 12,537

INTERCONTINENTAL EXCHANGE, I 61,725

INTERDIGITAL INC 6,712

INTERFACE INC 19,988

INTERNATIONAL BANCSHARES COR 9,735

INTERNATIONAL BANCSHARES COR 33,415

INTERNATIONAL BUSINESS MACHI 98,381

INTERNATIONAL CONS AIRLS GRO 181,200

INTERNATIONAL FLAVORS/FRAG 10,150

INTERNATIONAL PAPER 45,888

INTERNATIONAL SPEEDWAY CORP 5,610

INTERPUBLIC GROUP COS INC 38,450

INTERSECT ENT INC 42,653

INTL FCSTONE INC 6,360

INTUIT INC 28,100

INTUITIVE SURGICAL INC 12,350

INVACARE CORP 6,786

INVESCO LTD 42,450

INVESCO MORTGAGE CAPITAL INC 38,163

INVESTMENT TECHNOLOGY GROUP 9,480

24




December 31, 2018


IONIS PHARMACEUTICALS INC 55,714

IPH PHOTONICS CORP 4,100

IQVIA HOLDINGS INC 17,100

IQVIA HOLDINGS INC 191,610

IRIDIUM COMMUNICATIONS INC 31,340

IROBOT CORP 8,693

IRON MOUNTAIN INC 29,023

IRONWOOD PHARMACEUTICALS INC 545,791

IRONWOOD PHARMACEUTICALS INC 136,356

ISTAR FINANCIAL INC 21,800

ITAU UNIBANCO HLDG SA 915,000

ITOCHU CORP 73,700

ITRON INC 9,457

ITT INC 14,610

ITT INC 33,859

J & J SNACK FOODS CORP 4,524

J2 GLOBAL INC 8,336

JABIL CIRCUIT INC 32,393

JABIL CIRCUIT INC 299,275

JACK HENRY & ASSOCIATES INC 3,208

JACK HENRY & ASSOCIATES INC 8,700

JACK IN THE BOX INC 4,916

JACOBS ENGINEERING GROUP INC 12,250

JAMES RIVER GROUP HOLDINGS L 7,900

JAMES RIVER GROUP HOLDINGS L 50,081

JANUS HENDERSON GROUP PLC 34,775

JBG SMITH PROPERTIES 18,175

JEFFERIES FINL GROUP INC 28,300

JELD-WEN HOLDING INC 25,975

JETBLUE AIRWAYS CORP 59,043

JETBLUE AIRWAYS CORP 147,775

JOHN B SANFILIPPO & SON INC 4,010

JOHN BEAN TECHNOLOGIES CORP 9,160

JOHN BEAN TECHNOLOGIES CORP 20,158

JOHNSON & JOHNSON 288,928

JOHNSON & JOHNSON 155,900

JOHNSON CTLS INTL PLC 102,064

JONES LANG LASALLE INC 8,133

JP MORGAN CHASE & CO 361,764




JUNIPER NETWORKS INC 34,077

JUNIPER NETWORKS INC 538,900

KAISER ALUMINUM CORP 5,431

25




December 31, 2018


KAMAN CORP 8,393

KANSAS CITY SOUTHERN 11,000

KAR AUCTION SERVICES INC 67,928

KARYOPHARM THERAPEUTICS INC 18,700

KB HOME 18,216

KBR INC 29,679

KELLOGG CO 27,300

KELLY SERVICES INC CL A 9,739

KEMET CORP 15,329

KEMPER CORPORATION 12,995

KENNAMETAL INC 12,324

KEYCORP 112,691

KEYSIGHT TECHNOLOGIES INC 3,433



KILROY REALTY CORP 16,414

KIMBERLY CLARK CORP 37,068

KIMCO REALTY CORP 48,000

KINDER MORGAN INC 200,000

KIRBY CORP 9,741

KIRIN BREWERY CO JA ADR 117,100

KIRKLANDS INC 10,500

KITE REALTY GROUP TRUST 25,704

KLA-TENCOR CORP 16,700

KLX ENERGY SERVICES 3,020

KLX ENERGY SERVICES 8,680

KNIGHT-SWIFT TRANSPORTATION 23,757

KNOWLES CORP 25,710

KOHLS CORP 18,000

KOHLS CORP 214,900

KOMATSU LTD 407,000

KONINKLIJKE AHOLD DELHAIZE N 127,700

KOPIN CORP 7,635

KOPPERS HOLDINGS INC 4,949

KORN/FERRY INTERNATIONAL 18,668

KRAFT HEINZ CO 67,096

KRATON CORP 11,319

KROGER CO 83,700

KULICKE & SOFFA INDUSTRIES 24,359

L BRANDS INC 26,800

L3 TECHNOLOGIES INC 8,050

LABORATORY CORP OF AMERICA H 11,269



LAM RESEARCH CORP 16,510

26




December 31, 2018


LAM RESEARCH CORP 48,292

LAMAR ADVERTISING CO A 15,627

LAMB WESTON HOLDINGS INC 5,717

LAMB WESTON HOLDINGS INC 15,800

LANCASTER COLONY CORP 3,925

LANDSTAR SYSTEM INC 7,854

LANNETT CO INC 15,544

LANTHEUS HOLDINGS INC 12,956

LAREDO PETROLEUM INC 57,800

LAZARD LTD 290,100

LA-Z-BOY INC 16,246

LCI INDS 7,900

LEGACY TEXAS FINANCIAL GROUP 14,079

LEGG MASON INC 17,337

LEGGETT AND PLATT INC 14,000

LEIDOS HLDGS INC 29,490

LEMAITRE VASCULAR INC 3,470

LENDING TREE INC 1,600

LENNAR CORP 261

LENNAR CORP CL A 30,656

LENNOX INTERNATIONAL INC 6,676

LENNOX INTERNATIONAL INC 27,752

LEXICON PHARMACEUTICALS 321,156

LEXINGTON CORP PROPERTIES TR 67,083

LGI HOMES INC 5,320

LHC GROUP INC 8,206

LHC GROUP INC 10,155

LIBERTY GLOBAL PLC CL C 497,144

LIBERTY PROPERTY TRUST 25,912

LIFE STORAGE INC 8,189

LIGAND PHARMACEUTICALS INC 4,800

LIGAND PHARMACEUTICALS INC 1,340

LILLY (ELI) & CO 102,900

LILLY (ELI) & CO 71,941

LINCOLN ELECTRIC HOLDINGS IN 11,356

LINCOLN ELECTRIC HOLDINGS IN 38,046

LINCOLN NATIONAL 23,458

LINCOLN NATIONAL 323,730

LINDE PLC 59,450

LINDSEY CORP 3,268

LITHIA MOTORS INC 8,683

LITTELFUSE INC 4,366

LIVANOVA PLC 8,097

LIVANOVA PLC 50,000

LIVANOVA PLC 5,781

27




December 31, 2018


LIVE NATION INC 26,603

LIVEPERSON INC 12,001

LIVERAMP HOLDINGS INC 14,301

LIVERAMP HOLDINGS INC 21,574

LKQ CORP 34,700

LKQ CORP 376,724

LOCKHEED MARTIN 26,642

LOEW'S CORP 28,850

LOGMELN INC 8,459

LOUISIANA PACIFIC 26,740

LOUISIANA PACIFIC 35,674

LOWE'S COS 87,600

LSB INDUSTRIES INC 5,500

LSC COMMUNICATIONS INC 14,865

LTC PROPERTIES INC 11,737

LUMBER LIQUIDATORS HOLDINGS 9,038

LUMENTUM HLDGS INC 14,903

LUMINEX CORP 10,803

LVMH MOET HENNESSY-LOUIS VUI 180,000

LVMH MOET HENNESSY-LOUIS VUI 46,200

LYDALL INC 6,223

LYONDELLBASELL INDUSTRIES NV 35,850

LYONDELLBASELL INDUSTRIES NV 110,800

M & T BANK CORP 14,614

M & T BANK CORP 23,326

M D C HOLDINGS INC 14,659

M/I HOMES INC 10,700

MACERICH CO 11,120

MACK CALI REALTY CORP 18,380

MACY'S INC 33,396

MACY'S INC 464,100

MADRIGAL PHARMACEUTICALS INC 2,370

MAGELLAN HEALTH, INC. 8,158

MAGNA INTL INC 234,000

MAGNA INTL INC 59,050

MAIDEN HOLDINGS LTD 24,100

MAKITA CORP 141,200

MALLINCKRODT PLC 17,437

MANHATTAN ASSOCIATES INC 14,260

MANPOWER INC 11,891

MANTECH INTERNATIONAL CORP A 9,837

MARATHON OIL CORP 98,924

MARATHON PET PETE CORP 197,000

MARATHON PET PETE CORP 395,160

MARATHON PETROLEUM CORP 72,514

28




December 31, 2018


MARCUS & MILLICHAP INC 6,100

MARCUS CORP 8,281

MARINEMAX INC 7,000

MARKEL CORP 5,641

MARKETAXESS HOLDINGS INC 6,747

MARRIOTT INTERNATIONAL CL A 31,770

MARRIOTT VACATIONS WORLDWIDE 8,100



MARSH & MCLENNAN 53,450

MARSH & MCLENNAN 317,714

MARTEN TRANSPORT LTD 12,826

MARTEN TRANSPORT LTD 37,509

MARTIN MARIETTA MATERIALS 7,500

MARVELL TECHNOLOGY GROUP LTD 754,619

MASCO CORP 32,050

MASCO CORP 318,100

MASIMO CORP 8,126

MASTEC INC 11,700

MASTERCARD INC 98,796



MATADOR RESOURCES CO 17,538

MATERION CORP 6,061

MATRIX SERVICE CO 9,614

MATSON INC 14,973

MATTEL INC 32,766

MATTHEWS INTERNATIONAL CORP 9,400

MAXIM INTEGRATED PRODUCTS 27,500

MAXIMUS INC 12,256

MAXLINEAR INC 19,069

MB FINANCIAL INC 14,791

MB FINANCIAL INC 37,502

MCCORMICK & CO 13,550

MCDERMOTT INTL INC 35,501

MCDERMOTT INTL INC 1

MCDONALD'S CORP 82,700

MCKESSON CORP 20,732

MDU RESOURCES GROUP INC 33,297

MEDICAL PROPERTIES TRUST INC 65,487

MEDICINES CO 18,304

MEDIDATA SOLUTIONS INC 8,696

MEDIFAST INC 3,771

MEDNAX INC 14,389

MEDTRONIC INC 144,864

29




December 31, 2018





MELCO RESORT ENTERTAINMENT L 523,000

MERCK & CO INC NEW 286,641

MERCK & CO INC NEW 120,140

MERCURY COMPUTER SYSTEMS 13,347

MERCURY COMPUTER SYSTEMS 20,017

MERCURY GENERAL CORP 8,780

MEREDITH CORP 7,902

MERIDIAN BIOSCIENCE INC 16,229

MERIT MEDICAL SYSTEMS INC 15,706

MERIT MEDICAL SYSTEMS INC 25,655

MERITAGE HOMES CORP 12,815

META FINANCIAL GROUP INC 9,309

METHODE ELECTRONICS INC 11,496

METLIFE INC 110,708

METLIFE INC 395,808

METTLER-TOLEDO INTERNATIONAL 42

METTLER-TOLEDO INTERNATIONAL 2,850

METTLER-TOLEDO INTERNATIONAL 5,149

MFA FINANCIAL INC 125,363

MGIC INVESTMENT CORP 133,075

MGM RESORTS INTERNATIONAL 54,800

MGP INGREDIENTS INC 3,600

MICHAEL KORS HOLDINGS LTD 15,541

MICHAEL KORS HOLDINGS LTD 236,600

MICHAELS COS INC 24,469

MICHAELS COS INC 50,372

MICHAELS STORES INC 603,800

MICROCHIP TECHNOLOGY INC 25,271


MICRON TECHNOLOGY 126,650



MICROSOFT 832,015

MICROSOFT 379,443

MICROSOFT 255,104

MICROSTRATEGY 2,895

MID AMERICA APT COMMUNITIES 11,800

MIDDLEBY CORP 31,712

MIDDLEBY CORP 18,599

MILACRON HOLDINGS CORP 50,618

MILLER HERMAN INC 13,728

MIMEDX GROUP INC 47,366

30




December 31, 2018


MINDBODY INC 27,057

MINERALS TECHNOLOGIES INC 5,295

MITSUBISHI UFJ FINANCIAL JA 1,866,300

MKS INSTRUMENTS INC 9,844

MKS INSTRUMENTS INC 39,044

MOBILE MINI INC 15,434

MOBILE TELESYSTEMS RS AD 1,134,000

MOHAWK INDUSTRIES INC 6,350

MOLINA HEALTHCARE INC 11,510

MOLSON COORS BREWING CO CL B 20,950

MOMENTA PHARMACEUTICALS INC 23,330

MOMO INC 234,000

MONARCH CASINO & RESORT INC 3,553

MONDELEZ INTERNATIONAL INC 156,938

MONDELEZ INTERNATIONAL INC 287,030

MONGODB INC 8,097

MONOLITHIC POWER SYSTEMS INC 6,799

MONOLITHIC POWER SYSTEMS INC 21,370

MONOTYPE IMAGING HOLDINGS IN 9,986

MONRO MUFFLER BRAKE INC 9,185

MONSTER BEVERAGE CORP 42,700

MONSTER BEVERAGE CORP 130,756

MOODY'S CORP 18,350

MOOG INC CL A 9,844

MORGAN STANLEY 145,343



MOSIAC CO 40,900

MOTORCAR PARTS OF AMERICA IN 5,982

MOTOROLA SOLUTIONS INC 17,523

MOVADO GROUP INC 4,362

MSA SAFETY INC 6,092



MSC INDUSTRIAL DIRECT CO A 8,153

MSCI INC 9,250

MTS SYSTEMS CORP 3,813

MUELLER INDUSTRIES INC 18,038

MULTI-COLOR CORP 3,996

MURPHY OIL CORP 28,743

MURPHY USA INC 8,799

MYERS INDUSTRIES INC 11,390

MYLAN N V SHS 54,100

MYR GROUP INC 5,243

MYRIAD GENETICS INC 21,188

31




December 31, 2018


NABORS INDUSTRIES LTD 83,181

NANOMETRICS INC 9,108

NANOSTRING TECHNOLOGIES INC 46,648

NASDAQ INC 11,450

NATIONAL BANK HOLDININGS COR 7,542

NATIONAL FUEL GAS CO 15,750

NATIONAL INSTRUMENTS CORP 19,125

NATIONAL INSTRUMENTS CORP 77,405

NATIONAL OILWELL VARCO INC 42,341

NATIONAL PRESTO INDUSTRIES 1,790

NATIONAL RETAIL PROPERTIES I 28,757

NATIONAL STORAGE AFFILIATES 13,517

NATUS MEDICAL INC 7,523

NAUTILUS INC 10,700

NAVIENT CORP 47,800

NAVIGANT CONSULTING INC 15,296

NAVIGATORS GROUP INC 6,609

NBT BANCORP INC 11,249

NCR CORP 18,040

NEENAH PAPER INC 5,716

NEKTAR THERAPEUTICS 16,800

NEOGEN CORP 15,432

NETAPP INC 28,000

NETAPP INC 84,126

NETEASE INC 27,100

NETFLIX INC 47,150

NETGEAR INC 10,212

NETSCOUT SYSTEMS INC 13,993

NEW JERSEY RESOURCES CORP 14,613

NEW MEDIA INVESTMENT GROUP I 17,635

NEW ORIENTAL ED & TECH GRP I 145,000

NEW YORK COMMUNITY BANCORP 86,835

NEW YORK MORTGAGE TRUST INC 41,000

NEW YORK TIMES CL A 24,352

NEWELL BRANDS INC 50,627

NEWELL BRANDS INC 724,312

NEWFIELD EXPLORATION CO 20,100




NEWMARKET CORP 1,678

NEWMONT MINING 58,208

NEWPARK RESOURCES INC 33,825

NEWS CORP 3,750

NEWS CORP NEW 42,450

32




December 31, 2018


NEXTERA ENERGY INC 50,350

NEXTERA ENERGY INC 31,545

NEXTGEN HEALTHCARE INC 13,567

NIC INC 19,054

NIELSEN HOLDINGS PLC 39,523

NIKE INC CL B 137,848

NIKE INC CL B 140,820

NIPPON TELEGRAPH & TELEPHONE 266,000

NIPPON TELEGRAPH & TELEPHONE 65,300

NISOURCE INC 39,829

NISOURCE INC 44,130

NISOURCE INC 9,500

NMI HOLDINGS INC 19,437

NOBLE CORP PLC 61,264

NOBLE ENERGY INC 55,888

NOMURA HOLDINGS INC JA AD 589,600

NORDSON CORP 8,908

NORDSON CORP 38,716

NORDSTROM 12,900

NORFOLK SOUTHERN CORP 30,500

NORFOLK SOUTHERN CORP 36,217

NORTHERN TRUST CORP 24,500

NORTHERN TRUST CORP 30,163

NORTHFIELD BANCORP INC 15,587

NORTHROP GRUMMAN CORP 18,970

NORTHWEST BANCSHARES INC 30,660

NORTHWEST NATURAL HOLDING CO 8,033

NORTHWESTERN CORP 9,122

NORWEGIAN CRUISE LINE HLDGS 23,200

NORWEGIAN CRUISE LINE HLDGS 218,169

NOW INC 19,840

NRG ENERGY INC 33,850

NRG ENERGY INC 431,800

NU SKIN ENTERPRISES INC A 10,305

NUCOR CORP 36,650

NUTRISYSTEM INC 10,246

NUVASIVE INC 8,056

NUVASIVE INC 40,796

NVENT ELECTRIC PLC 28,800

NVIDIA CORP 66,350

NVR INC 671

NVR INC 6,240

NVR INC 1,774

NXP SEMICONDUCTORS NV 92,800

OASIS PETROLEUM INC 48,500

33




December 31, 2018


OCCIDENTAL PETROLEUM 83,266

OCEANEERING INTERNATIONAL IN 17,107

OFFICE DEPOT INC 192,683

OFG BANCORP 20,000

OGE ENERGY CORP 35,991

OIL STATES INTERNATIONAL INC 18,483

OLD DOMINION FREIGHT LINE 12,615

OLD NATIONAL BANCORP 39,176

OLD REPUBLIC INTERNATIONAL C 48,541

OLIN CORP 29,375

OLLIE'S BARGAIN OUTLET HOLDI 8,900

OLYMPIC STEEL INC 4,000

OMEGA HEALTHCARE INVESTORS 35,262

OMNICELL INC 11,371

OMNICELL INC 25,774

OMNICOM GROUP 22,600

OMNOVA SOLUTIONS INC 72,432

ON SEMICONDUCTOR 1,012,170

ON SEMICONDUCTOR 181,546

ONE GAS INC 8,889

ONEMAIN HOLDINGS INC 19,467

ONEOK INC 43,800

ONESPAN INC 4,600

OPUS BANK 4,646

ORACLE CORP 306,524

ORASURE TECHNOLOGIES INC 13,874

ORASURE TECHNOLOGIES INC 50,667

ORBCOMM INC 55,586

O'REILLY AUTOMOTIVE INC 8,500

O'REILLY AUTOMOTIVE INC 46,800

ORION MARINE GROUP 10,800

ORITANI FINANCIAL CORP 17,141

ORIX CORP 187,800

ORTHOFIX MED INC 5,604

ORTHOFIX MED INC 9,628

OSHKOSH CORP 14,014

OSHKOSH TRUCK CORP 208,150

OSI SYSTEMS INC 4,712

OWENS & MINOR HOLDINGS 18,800

OWENS ILLINOIS INC 28,883

OXFORD INDUSTRIES INC 5,733

OXFORD INDUSTRIES INC 18,707

P G & E CORP 54,300

PACCAR INC 36,610

PACCAR INC 39,769

34




December 31, 2018


PACIFIC PREMIER BANCORP INC 9,753

PACKAGING CORP OF AMERICA 11,100

PACKAGING CORP OF AMERICA 25,901

PACWEST BANCORP 25,114

PANASONIC CORP 447,000

PANASONIC CORP 255,300

PAPA JOHNS INTERNATIONAL INC 4,700

PAR PACIFIC HOLDINGS INC 12,400

PARK ELECTROCHEMICAL CORP 6,400

PARKER HANNIFIN 14,937

PATRICK INDUSTRIES INC 8,328

PATTERSON COS INC 11,300

PATTERSON-UTI ENERGY INC 46,512

PAYCHEX INC 34,075

PAYPAL HLDGS INC 128,950

PBF ENERGY INC 24,775

PDC ENERGY INC 20,264

PDC ENERGY INC 27,259

PDF SOLUTIONS INC 4,600

PEBBLEBROOK HOTEL TRUST 25,607

PEBBLEBROOK HOTEL TRUST 38,168

PEGASYSTEMS INC 20,024

PENN NATIONAL GAMING INC 18,100

PENN VIRGINIA CORP 3,100

PENNEY (JC) 82,173

PENNSYLVANIA REIT 22,476

PENNYMAC MORTGAGE INVESTMENT 25,300

PENTAIR PLC 18,174

PEOPLES UNITED FINANCIAL INC 38,100

PEPSICO INC 152,402

PEPSICO INC 192,202

PERFICIENT INC 8,736

PERFORMANCE FOOD GROUP CO 39,084

PERKINELMER INC 10,950

PERRIGO CO PLC 13,400

PERSPECTA INC 25,800

PETMED EXPRESS INC 6,150

PFIZER INC 634,445

PGT INC 15,712

PHIBRO ANIMAL HEALTH CORP 7,972

PHILIP MORRIS INTL INC 167,500

PHILIP MORRIS INTL INC 330,410

PHILLIPS 66 45,524

PHILLIPS 66 113,940

PHOTRONICS INC 22,206

35




December 31, 2018


PINNACLE FINANCIAL PARTNERS 12,212

PINNACLE FINANCIAL PARTNERS 24,131

PINNACLE WEST CAPITAL 11,250

PINNACLE WEST CAPITAL 101,526

PIONEER ENERGY SERVICES CORP 12,400

PIONEER NATURAL RESOURCES CO 17,900

PIONEER NATURAL RESOURCES CO 31,807

PIPER JAFFRAY COS 4,722

PITNEY BOWES INC 46,354

PIVOTAL SOFTWARE INC 39,022

PJSC GAZPROM 557,000

PJSC LUKOIL 267,000

PJSC LUKOIL 38,800

PLANTRONICS INC 5,050

PLEXUS CORP 11,169

PNC FINANCIAL SERVICES GROUP 50,640

PNC FINANCIAL SERVICES GROUP 77,702

PNM RESOURCES INC 16,951

POLARIS INDUSTRIES INC 11,458

POLYONE CORP 15,438

POLYONE CORP 40,836

POOL CORP 6,786

PORTOLA PHARMACEUTICALS INC 25,435

POST HOLDINGS INC 11,785

POST HOLDINGS INC 12,420

POTLATCHDELTIC CORP 11,524

POTLATCHDELTIC CORP 4,069

POWELL INDUSTRIES INC 2,100

POWER INTEGRATIONS INC 8,752

PPG INDUSTRIES INC 26,650

PPG INDUSTRIES INC 63,833

PPL CORP 76,200

PRA GROUP INC COM 11,994

PRA HEALTH SCIENCES INC 11,200

PRA HEALTH SCIENCES INC 31,647

PREFERRED BANK 4,300

PRESTIGE BRANDS HOLDINGS INC 9,369

PRICE T ROWE GROUP INC 27,100

PRICESMART INC 14,265

PRIMERICA INC 8,336

PRINCIPAL FINANCIAL GROUP 28,250

PROASSURANCE CORP 17,435

PROCTER & GAMBLE 269,115

PROCTER & GAMBLE 141,680

PROGENICS PHARMACEUTICALS IN 17,400

36




December 31, 2018


PROGRESS SOFTWARE CORP 14,357

PROGRESSIVE CORP OHIO 63,800

PROLOGIS INC 68,445

PROPETRO HOLDING CORP 22,500

PROPETRO HOLDING CORP 54,766

PROSPERITY BANCSHARES INC 11,802

PROSPERITY BANCSHARES INC 38,397

PROTO LABS INC 8,359

PROVIDENCE SERVICE CORP 3,855

PROVIDENCE SERVICE CORP 13,512

PROVIDENT FINANCIAL SERVICES 18,381

PRUDENTIAL FINANCIAL GROUP 47,650

PS BUSINESS PARKS INC CA 6,467

PS BUSINESS PARKS INC CA 8,928

PTC INC 20,828

PTC INC 40,156

PUBLIC SERVICE ENTERPRISE IN 54,150

PUBLIC STORAGE INC 16,352

PULTE GROUP 27,970

PULTE HOMES INC 754,500

PVH CORP 8,350

Q2 HOLDINGS INC 13,976

QEP RESOURCES INC 47,608

QORVO INC 12,700

QORVO INC 305,440

QTS REALTY TRUST INC 25,485

QUAKER CHEMICAL CORP 4,010

QUALCOMM INC 146,100

QUALCOMM INC 222,100

QUALYS INC 10,705

QUANEX BLDG PRODS CORP 11,267

QUANTA SERVICES INC 19,450

QUEST DIAGNOSTICS INC 13,200

QUINSTREET INC 13,800

QUORUM HEALTH CORP 1,800

R1 RCM INC 99,055

RALPH LAUREN CORP 6,300

RAMBUS INC 29,212

RANGE RESOURCES CORP 40,800

RAVEN INDUSTRIES INC 11,700

RAYMOND JAMES FINANCIAL INC 13,100

RAYONIER ADVANCED MATLS INC 20,266

RAYONIER INC 23,133

RAYTHEON CO 30,900

RE/MAX HOLDINGS INC 5,213

37




December 31, 2018


REALOGY HOLDINGS CORP 23,800

REALTY INCOME CORP 31,100

RED HAT INC 19,300

RED ROBIN GOURMET BURGERS 4,917

REDFIN CORP 109,693

REDWOOD TRUST INC 23,200

REGAL BELOIT CORP 8,757

REGENCY CENTERS CORP 18,000

REGENERON PHARMACEUTICALS IN 8,141

REGENXBIO INC 10,200

REGENXBIO INC 9,412

REGIONS FINANCIAL CORP 117,525


REGIS CORP 11,034

REINSURANCE GROUP OF AMERICA 11,716

RELIANCE STEEL & ALUMINUM 14,092

RENAISSANCERE HOLDINGS LTD 6,588

RENAISSANCERE HOLDINGS LTD 7,039

RENEWABLE ENERGY GROUP INC 10,600

RENT A CENTER INC 12,432

REPLIGEN CORP 10,182

REPLIGEN CORP 30,108

REPSOL YPF SA SP A 1,193,000

REPUBLIC SERVICES INC 24,650

RESIDEO TECHNOLOGIES INC 22,980

RESMED INC 14,800

RESOLUTE ENERGY CORP 20,525

RESOURCES CONNECTION INC 7,376

RETAIL OPPORTUNITY INVESTMEN 33,107

REVANCE THERAPEUTICS INC 24,030

REX AMERICAN RESOURCES CORP 1,673

REXFORD INDUSTRIAL REALTY IN 31,068

REXNORD CORP 57,727

RH 5,329

RIGEL PHARMACEUTICALS INC 135,300

RING ENERGY INC 11,000

RIO TINTO ADR 296,000

RIO TINTO ADR 408,860

RLI CORP 11,100

RMR GROUP INC 1,285

ROADRUNNER TRANSPORTATION SY 4,100

ROBERT HALF INTL INC 12,750

ROBERT HALF INTL INC 228,700

ROCKWELL AUTOMATION INC 13,700

ROGERS CORP 5,702

38




December 31, 2018


ROGERS CORP 10,123

ROLLINS INC 15,300

ROPER TECHNOLOGIES INC 11,200

ROSS STORES INC 40,500

ROWAN COS PLC 20,280

ROYAL CARIBBEAN CRUISES LTD 17,900

ROYAL DUTCH SHELL PLC AD 340,000

ROYAL DUTCH SHELL PLC AD 445,780

ROYAL GOLD INC 11,541

RPM INTERNATIONAL INC 23,492

RPT REALTY 24,369

RPT REALTY 37,540

RUDOLPH TECHNOLOGIES INC 6,808

RUTH'S HOSPITALITY GROUP INC 8,962

RYANAIR HLDGS PLC 91,625

RYANAIR HLDGS PLC 35,600

RYDER SYSTEM 9,961

S&P GLOBAL INC 27,200

S&P GLOBAL INC 83,897

S&T BANCORP INC 11,200

SABR CORP 49,886

SABRA HEALTH CARE REIT 32,652

SAFETY INSURANCE GROUP INC 5,268

SAGE THERAPEUTICS INC 26,092

SAIA INC 7,945

SALESFORCE.COM 82,950




SALLY BEAUTY HLDG 19,713

SANDERSON FARMS INC 4,658

SANDERSON FARMS INC 500

SANMINA CORP 22,431

SAUL CENTERS INC 3,438

SBA COMMUNICATIONS CORP NEW 12,450

SBERBANK RUSSIA 1,097,000

SCANA CORP 16,000

SCANSOURCE INC 8,642

SCHLUMBERGER LTD 149,556

SCHLUMBERGER LTD 182,237

SCHOLASTIC CORP 8,198

SCHULMAN A INC CVR 9,259

SCHWAB (CHARLES) CORP 131,496

SCHWAB (CHARLES) CORP 434,007

SCHWEITZER-MAUDUIT 9,830

39




December 31, 2018


SCIENCE APPLICATIONS INTL 8,240

SCIENCE APPLICATIONS INTL 9,995

SCIENTIFIC GAMES CORP A 10,862

SCOTTS MIRACLE GRO CO CL A 7,308

SEACOAST BANKING CORP OF FLO 13,000

SEACOAST BANKING CORP OF FLO 34,735

SEACOR HOLDINGS INC 3,734

SEACOR MARINE HLDGS INC 2

SEAGATE TECHNOLOGY 29,950



SEALED AIR CORP 16,194

SEALED AIR CORP 402,200

SEATTLE GENETICS INC 62,640

SEATTLE GENETICS INC 62,787

SEI INVESTMENTS CO 23,905

SELECT MEDICAL HLDGS CORP 28,460

SELECTIVE INSURANCE GROUP 16,827

SEMGROUP CORP 26,582

SEMPRA ENERGY 29,376


SEMTECH CORP 19,158

SENECA FOODS CORP 2,200

SENIOR HOUSING PROPERTIES TR 37,190

SENSATA TECHNOLOGIES HLDNG P 271,000

SENSATA TECHNOLOGIES HLDNG P 161,400

SENSIENT TECHNOLOGIES CORP 6,475

SERVICE CORP INTL 33,047

SERVICE CORP INTL 8,487

SERVICENOW INC 68,190

SERVISFIRST BANCSHARES INC 13,900

SHAKE SHACK INC 7,899

SHERWIN WILLIAMS 9,200

SHERWIN WILLIAMS 14,154

SHOE CARNIVAL INC 5,200

SHUTTERFLY INC 10,282

SHUTTERSTOCK INC 5,699

SIGNATURE BANK 9,243

SIGNET JEWELERS INC 12,200

SILGAN HOLDINGS INC 13,826

SILGAN HOLDINGS INC 60,019

SILICON LABORATORIES INC 8,148

SILICON LABORATORIES INC 33,518

SIMMONS FIRST NATIONAL CORP 28,300

SIMON PROPERTY CROUP INC 34,147

40




December 31, 2018


SIMON PROPERTY CROUP INC 79,669

SIMPSON MANUFACTURING CO INC 11,681

SITEONE LANDSCAPE SUPPLY 7,168

SIX FLAGS ENTERTAINMENT CORP 14,160

SK TELECOM CO LTD ADR 107,000

SKECHERS U S A INC CL A 24,887

SKYLINE CORP 13,100

SKYWEST INC 16,168

SKYWORKS SOLUTIONS INC 17,550

SKYWORKS SOLUTIONS INC 85,454

SL GREEN REALTY CORP 8,650

SLEEP NUMBER CORP 12,832

SLM CORP 80,562

SLM CORP 114,813

SM ENERGY CO 17,878

SMART GLOBAL HOLDINGS INC 4,200

SMUCKER J M CO 11,974

SNAP ON INC 6,250

SNAP ON INC 36,521

SOFTBANK GROUP CORP 265,000

SOLAREDGE TECHNOLOGIES INC 12,014

SONIC AUTOMOTIVE INC 13,664

SONOCO PRODUCTS CO 17,152

SOTHEBY'S 6,470

SOUTH JERSEY INDUSTRIES 22,566

SOUTH STATE CORP 27,764

SOUTH STATE CORP 17,160

SOUTHERN CO 107,800

SOUTHSIDE BANCSHARES INC 7,755

SOUTHWEST AIRLINES 55,568

SOUTHWEST AIRLINES 294,260

SOUTHWEST GAS CORP 9,155

SOUTHWEST GAS CORP 17,579

SOUTHWESTERN ENERGY CO 115,240

SPARK THERAPEUTICS INC 5,415

SPARTANNASH CO 14,713

SPECTRUM PHARMACEUTICALS INC 21,722

SPIRE INC 14,347

SPIRIT AEROSYSTEMS HLDGS INC 161,900

SPIRIT AIRLS INC 44,699

SPOK HOLDINGS INC 4,700

SPROUTS FARMERS MARKET INC 24,695

SPS COMMERCE 5,323

SPX CORP 15,671

SPX FLOW INC 12,777

41




December 31, 2018


SRC ENERGY INC 80,729

SS&C TECHNOLOGIES INC 106,143

STAMPS.COM INC 5,546

STANDARD MOTOR PRODUCTS INC 5,354

STANDEX INTERNATIONAL CORP 3,821

STANLEY BLACK & DECKER 16,120

STARBUCKS CORP 134,100

STATE BANK FINANCIAL CORP 34,076

STATE STREET CORP 42,709

STEEL DYNAMICS INC 44,461

STEEL DYNAMICS INC 327,400

STEPAN CO 6,769

STERICYCLE INC 13,350

STERICYCLE INC 108,400

STERIS PLC 14,656

STERIS PLC 30,814

STERLING BANCORP DEL 35,395

STERLING BANCORP DEL 79,022

STEVEN MADDEN 23,421

STEVEN MADDEN 61,804

STEWART INFORMATION SERVICES 8,582

STIFEL FINANCIAL CORP 13,186

STRATEGIC ED INC 5,946

STRYKER CORP 33,500

STURM RUGER & CO INC 5,419

SUMITOMO MITSUI FINL GROUP I 1,234,000

SUMMIT HOTEL PROPERTIES INC 33,027

SUMMIT MATERIALS INC 46,680

SUN LIFE FINL INC 217,700

SUNCOKE ENERGY INC 20,988

SUNTRUST BANKS 48,700

SUNTRUST BANKS 441,290

SUPER MICRO COMPUTER INC 5,375

SUPERIOR ENERGY SERVICES INC 47,700

SUPERIOR INDUSTRIES INTL 11,300

SUPERNUS PHARMACEUTICALS INC 17,381

SURMODICS INC 4,098

SVB FINANCIAL GROUP 5,650

SVB FINANCIAL GROUP 16,319

SYKES ENTERPRISES INC 12,129

SYMANTEC CORP 64,634

SYNAPTICS INC 8,820

SYNCHRONY FINL 75,734

SYNCHRONY FINL 862,942

SYNEOS HEALTH INC 10,523

42




December 31, 2018


SYNEOS HEALTH INC 25,396

SYNNEX CORP 8,352

SYNOPSYS INC 16,250

SYNOVUS FINANCIAL CORP 21,600

SYSCO CORP 51,150

T MOBILE US INC 123,270

TABULA RASA HEALTHCARE INC 4,600

TACTILE SYSTEMS TECHNOLOGY I 3,800

TAILORED BRANDS INC 18,527

TAIWAN SEMICONDUCTOR ADR 280,000

TAKE-TWO INTERACTIVE SOFTWAR 12,850

TAKE-TWO INTERACTIVE SOFTWAR 55,661

TANGER FACTORY OUTLET CENTER 19,901

TAPESTRY INC 31,050

TARGET CORP 57,350

TARGET CORP 182,800

TAUBMAN CENTERS INC 12,008

TCF FINANCIAL CORP 33,390

TDK CORP 29,900

TE CONNECTIVITY LTD 38,900

TE CONNECTIVITY LTD 276,190

TEAM INC 6,043

TECH DATA CORP 6,501

TECHNIPFMC LTD 43,800

TECHTARGET INC 6,600

TEGNA INC 42,801

TELEDYNE TECHNOLOGIES 7,133

TELEFLEX INC 8,467

TELEFLEX INC 17,543

TELEPHONE & DATA SYS INC 21,370

TEMPUR SEALY INTERNATIONAL, 8,605

TENARIS SA ADR 87,000

TENET HEALTHCARE CORP 17,285

TENNANT CO 5,511

TENNECO INC 32,575

TERADATA CORP 19,744

TERADATA CORP 124,764

TERADYNE INC 35,515

TERADYNE INC 187,600

TEREX CORP 14,746

TETRA TECHNOLOGIES INC 50,528

TETRA TECHNOLOGIES INC 17,184

TEXAS CAPITAL BANCSHARES INC 8,302

TEXAS INSTRUMENTS INC 104,650

TEXAS ROADHOUSE INC 11,961

43




December 31, 2018


TEXTRON INC 25,400

THE CHEFS'S WAREHOUSE INC 4,700

THE ENSIGN GROUP INC 16,853

THE GREENBRIER COS INC 10,273

THE ULTIMATE SOFTWARE GROUP 5,558

THE ULTIMATE SOFTWARE GROUP 24,089

THERMO ELECTRON CORP 43,900

THERMO ELECTRON CORP 34,213

THIRD POINT REINSURANCE LTD 29,600

THOR INDUSTRIES INC 8,930

TIDEWATER INC NEW 794

TIDEWATER INC NEW 859

TIFFANY & CO 12,000

TILE SHOP HOLDINGS INC 9,400

TIMKEN CO 11,697

TIMKENSTEEL CORP 7,251

TITAN INTERNATIONAL INC 15,017

TIVITY HEALTH INC 11,359

TIVO INC 36,810

TJX COS INC 135,300

TJX COS INC 255,106

TJX COS INC 135,035

TOKIO MARINE HOLDINGS INC 59,200

TOKYO ELECTRON LTD 232,000

TOKYO ELECTRON LTD 86,400

TOLL BROTHERS INC 28,565

TOMPKINS FINANCIAL CORP 3,031

TOOTSIE ROLL INDUSTRIES 2,305

TOPBUILD CORP 10,825

TOPBUILD CORP 26,524

TORCHMARK CORP 11,150

TORO CO 18,669

TOTAL SA 335,000

TOTAL SA 575,490

TOTAL SYSTEMS SERVICES INC 17,707

TOTAL SYSTEMS SERVICES INC 33,803

TRACTOR SUPPLY CO 12,550

TRANSDIGM GROUP INC 5,450

TRANSOCEAN LTD 89,608

TRANSUNION 84,293

TRAVELERS COS INC/THE 28,869

TRAVELPORT WORLDWIDE LTD 38,900

TREDEGAR CORP 9,442

TREEHOUSE FOODS INC 8,330

TREX CO INC 18,418

44




December 31, 2018


TRI POINTE HOMES 30,218

TRIMBLE NAVIGATION LIMITED 43,321

TRINITY INDUSTRIES 27,242

TRIPADVISOR INC 11,150

TRIPADVISOR INC 71,082

TRIUMPH BANCORP INC 7,200

TRIUMPH BANCORP INC 20,491

TRIUMPH GROUP INC 15,605

TRUEBLUE INC 14,888

TRUECAR INC 83,693

TRUSTCO BANK CORP N Y 20,700

TRUSTMARK CORP 13,763

TTEC HLDGS INC 6,189

TTM TECHNOLOGIES INC 27,106

TUPPERWARE BRANDS CORP 7,945

TWENTY FIRST CENTURY FOX 113,800

TWENTY FIRST CENTY FOX INC 52,300

TWITTER INC 78,650

TYLER TECHNOLOGIES INC 6,629

TYSON FOODS INC CL A 32,150

U.S. SILCA HOLDINGS INC 24,928

UBS ALL COUNTRY WORLD 5,887,199

UBS GROUP AG 918,000

UBS US EQUITY ALPHA RELATION 9,310,640

UDR INC 26,500

UGI CORP 30,764

UGI CORP 88,756

ULTA BEAUTY INC 6,150

ULTA BEAUTY INC 56,900

ULTRA CLEAN HLDS INC 16,665

ULTRAGENYX PHARMACEUTICAL IN 49,707

UMB FINANCIAL CORP 7,092

UMPQUA HOLDINGS CORP 38,791

UNDER ARMOUR INC 23,547



UNDER ARMOUR INC CL A 18,780

UNIFI INC 3,131

UNIFIRST CORP/MA 4,263

UNIFIRST CORP/MA 9,316

UNION BANKSHARES CORP 27,935

UNION PACIFIC CORP 80,100

UNION PACIFIC CORP 116,680

UNISYS CORP 16,300

UNIT CORP 19,344

45




December 31, 2018


UNITED BANKSHARES INC 17,657

UNITED COMMUNITY BANKS 23,497

UNITED CONTL HLDGS INC 25,650

UNITED FIRE GROUP INC 5,731

UNITED INS HLDGS CORP 6,400

UNITED NATURAL FOOD INC 14,700

UNITED PARCEL SERVICE CL B 75,550

UNITED RENTALS INC 528

UNITED RENTALS INC 8,900



UNITED STATES STEEL CORP 37,115

UNITED TECHNOLOGIES CORP 87,315

UNITED TECHNOLOGIES CORP 153,270

UNITED THERAPEUTICS CORP 8,229

UNITEDHEALTH GROUP INC 104,460





UNITI GROUP INC 31,765

UNIVERSAL CORP VA 9,152

UNIVERSAL DISPLAY CORP 6,700

UNIVERSAL DISPLAY CORP 60,200

UNIVERSAL ELECTRONICS INC 3,188

UNIVERSAL FOREST PRODUCTS 20,367

UNIVERSAL HEALTH REALTY INCO 3,923

UNIVERSAL HEALTH SERVICES-B 8,950

UNIVERSAL INSURANCE HOLDINGS 10,700

UNUM GROUP 23,825

URAN EDGE PROPERTIES 20,462

URBAN OUTFITTERS INC 16,336

URSTADT BIDDLE PROPERTIES IN 13,255

US BANCORP 163,553

US CONCRETE INC 5,358

US ECOLOGY INC 6,822

US PHYSICAL THERAPY INC 4,626

US PHYSICAL THERAPY INC 7,422

VALERO ENERGY CORP 46,850

VALLEY NATIONAL BANCORP 46,198

VALMONT INDUSTRIES INC 3,118

VALVOLINE INC 31,447

VANDA PHARMACEUTICALS INC 17,100

VAREX IMAGING CORP 11,580

VARIAN MEDICAL SYSTEMS INC 10,400

46




December 31, 2018


VARIAN MEDICAL SYSTEMS INC 31,500

VECTREN CORP 14,630

VEECO INSTRUMENTS INC 11,654

VEEVA SYSTEMS INC 36,248

VENTAS INC 39,279

VERA BRADLEY INC 7,200

VERISIGN INC 11,100

VERISIGN INC 38,998

VERISK ANALYTICS INC 17,100

VERITEX HOLDINGS INC 6,800

VERITIV CORP 5,222

VERIZON COMMUNICATIONS 447,464



VERSUM MATERIALS INC 20,443

VERTEX PHARMACEUTICALS INC 27,750

VERTEX PHARMACEUTICALS INC 86,296

VF CORP 34,900

VF CORP 95,738

VIACOM INC CL B 36,326

VIAD CORP 7,655

VIASAT INC 7,987

VIAVI SOLUTIONS INC 66,240

VICOR CORP 5,100

VIRTUS INVESTMENT PARTNERS I 1,644

VIRTUSA CORP 6,403

VISA INC 191,850

VISA INC 213,176

VISA INC 137,874

VISHAY INTERTECHNOLOGY INC 26,687

VISTA OUTDOOR INC 17,853

VISTEON CORP 5,500

VISTEON CORP 13,304

VITAMIN SHOPPE INC 9,100

VONAGE HOLDINGS CORP 60,468

VONAGE HOLDINGS CORP 96,894

VORNADO REALTY TRUST 18,025

VULCAN MATERIALS CO 14,298

WABASH NATIONAL CORP 22,411

WABTEC CORP 14,861

WABTEC CORP 79,800

WADDELL & REED FINANCIAL A 28,020

WAGEWORKS INC 10,133

WALGREENS BOOTS ALLIANCE INC 91,200

WALKER & DUNLOP INC 9,083

47




December 31, 2018


WAL-MART STORES INC 154,999

WASHINGTON FEDERAL INC 14,528

WASHINGTON PRIME GROUP NEW 63,320

WASTE CONNECTIONS INC 850

WASTE CONNECTIONS INC 43,697

WASTE MANAGEMENT INC 43,455

WATERS CORP 7,950

WATSCO INC 5,852

WATTS WATER TECHNOLOGIES INC 8,495

WD-40 CO 4,095

WEBSTER FINANCIAL CORP 16,129

WEC ENERGY GROUP INC 33,576

WEIBO CORP 47,400

WEIGHT WATCHERS INTL INC 8,400

WEINGARTEN REALTY INVESTORS 22,611

WELBILT INC 29,496

WELLCARE HEALTH PLANS INC 3,413

WELLCARE HEALTH PLANS INC 5,500

WELLS FARGO & CO 470,491

WELLS FARGO & CO 413,994

WELLTOWER INC 41,050

WENDY'S CO 33,097

WERNER ENTERPRISES INC 7,990

WEST PHARMACEUTICAL SERVICES 13,055

WESTAMERICA BANCORPORATION 8,525

WESTERN ALLIANCE BANCORP 23,300

WESTERN DIGITAL CORP 32,354

WESTERN DIGITAL CORP 295,089

WESTERN UNION CO 46,717

WESTROCK CO 26,754

WEX INC 7,999

WEX INC 43,649

WEYERHAEUSER CORP 79,191

WHIRLPOOL CORP 7,398

WHIRLPOOL CORP 134,900

WHITE MOUNTAINS INSURANCE GR 2,907

WHITESTONE REIT 12,354

WHITING PETE CORP NEW 25,272

WILDHORSE RESOURCE DEVELOPME 60,623

WILEY (JOHN) & SONS CL A 6,553

WILLIAM LYON HOMES 11,993

WILLIAMS COS 130,569

WILLIAMS SONOMA INC 14,634

WILLIS TOWERS 14,100

WINGSTOP INC 6,765

48




December 31, 2018


WINGSTOP INC 21,622

WINNEBAGO INDUSTRIES INC 9,470

WINTHROP REALTY TRUST ESCROW 30,415

WINTRUST FINANCIAL CORP 10,627

WINTRUST FINANCIAL CORP 23,502

WISDOMTREE INVESTMENTS INC 32,193

WNS HOLDINGS LTD 218,000

WOLVERINE WORLD WIDE INC 27,611

WOLVERINE WORLD WIDE INC 63,266

WOODWARD INC 9,586

WORKDAY INC 38,713

WORLD ACCEPTANCE CORP 2,272

WORLD FUEL SERVICES CORP 16,810

WORLD WRESTLING ENTMT INC 8,700

WORLDPAY INC 130,700

WORTHINGTON INDUSTRIES 6,281

WPX ENERGY INC 68,144

WPX ENERGY INC 390,563

WSFS FINANCIAL CORP 34,641

WYNDHAM HOTELS & RESORTS INC 18,264

WYNDHAM WORLDWIDE CORP 18,000

WYNN RESORTS LTD 11,350

XCEL ENERGY INC 54,245

XEROX CORP 22,108

XILINX 27,400

XPERI CORP 14,225

XYLEM INC 20,050

YANDEX N V 358,000

YELP INC 13,200

YUM BRANDS INC 32,850

YY INC 133,300

ZEBRA TECHNOLOGIES CORP CL A 9,922

ZILLOW GROUP 19,804

ZILLOW GROUP INC 54,640

ZIMMER BIOMET HOLDINGS INC 22,451

ZIONS BANCORPORATION 18,394

ZIONS BANCORPORATION 181,860

ZOETIS INC 51,950

ZTO EXPRESS CAYMAN INC 547,000

ZUMIEZ INC 5,800

49

Par AmountDescription



December 31, 2018

Fixed Income

21ST CENTURY FOX AMER INC 8,000,000

21ST CENTURY FOX AMER INC 2,000,000

AAPLE INC. 2,000,000

AAPLE INC. 3,000,000

ABBOTT LABS 621,000

ABBVIE INC 520,000

ABBVIE INC 2,660,000

ABMT 1,473,970

ACTAVIS FUNDING SCS 770,000

ACTAVIS FUNDING SCS 1,885,000

ACTIVISION BLIZZARD 80,000

ACTIVISION BLIZZARD 120,000

ACTIVISION BLIZZARD 1,000,000






ADVOCATE HEALTH CORP 500,000

AEP TEXAS INC 15,000

AGILENT TECHNOLOGIES 3,000,000

ALAMEDA CNTY CA 1,340,000

ALBERTO-CULVER COMPANY 1,000,000

ALEXANDRIA REAL ESTATE 1,220,000

ALEXANDRIA REAL ESTATE 110,000

ALIBABA 1,000,000

ALLIANT ENERGY FINANCE 680,000

ALLSTATE CORPORATION 559,000

ALPHABET INC 2,000,000

ALTA WIND HOLDINGS LLC 2,381,561

AMERICAN EXPRESS 1,150,000

AMERICAN EXPRESS 200,000


AMERICAN EXPRESS CO 3,243,000

AMERICAN HONDA FINANCE 350,000

AMERICAN HONDA FINANCE 1,330,000

AMERICAN HONDA FINANCE 790,000

AMERICREDIT AUTOMOBILE RECEI 1,560,000

AMPHENOL CORP 1,400,000

AN JOSE CA REDEV AGY SUCCESS 1,015,000

ANGLO AMERICAN CAPITAL 200,000

ANGLO AMERICAN CAPITAL 200,000

ANHEUSER-BUSCH COS 510,000

ANHEUSER-BUSCH COS 3,878,000

ANHEUSER-BUSCH INBEV WOR 460,000

50




December 31, 2018

Fixed Income

ANHEUSER-BUSCH INBEV WORLDWI 1,000,000

APPLE INC 3,000,000

APPLE INC 5,000,000

APPLE INC 5,000,000

APPLE INC 2,000,000

APPLE INC 3,000,000

APPLE INC 2,895,000

APPLE INC 2,625,000

APPLE INC 5/3/23 5,000,000

APPLE INC 5/4/43 1,000,000

APPLIED MATERIAL 3,750,000




APTIV PLC 2,692,000

ARC PROPERTIES OPERATING 3,565,000

ARLINGTON CNTY VA 2,760,000

ASCENSION HEALTH 1,000,000

ASHTEAD CAPITAL INC 1,738,000

AT&T INC 1,000,000

AT&T INC 1,000,000

AT&T INC 535,000

AT&T INC 530,000

AT&T INC 2,140,000

AT&T INC 570,000

ATLANTIC RICHFIELD CO DEBS 2,000,000

ATMOS ENERGY CORP 3,000,000

AUSTIN TX ISD 1,250,000

AUTONATION, INC 1,660,000

AVERY DENNISON CORP 3,000,000

BAE SYSTEMS HOLDINGS INC 1,206,000

BAIDU INC 1,750,000

BAIDU INC 1,750,000

BAKER HUGHES A GE CO 840,000

BALTIMORE CNTY MD 1,500,000

BANC OF AMERICA FUNDING CORP 1,000,000



BANK OF AMERICA CORP 3/15/19 2,000,000

BANK OF AMERICA CORP 6/1/19 5,000,000

BANK OF AMERICA FUNDING CORP 1,690,000

BANK OF AMERICA FUNDING CORP 1,500,000

BANK OF AMERICA FUNDING CORP 590,000

BANK OF AMERICA FUNDING CORP 410,000

BANK OF MONTREAL 2,960,000

51




December 31, 2018

Fixed Income

BANK OF NEW YORK 1,345,000

BANK OF NEW YORK MELLON 5/15 1,000,000

BANK OF NOVA SCOTIA 630,000

BANK OF NOVA SCOTIA 2,000,000



BANK OF NY MELLON CORP 750,000

BANK OF NY MELLON CORP 3,200,000

BARCLAYS PLC 3,075,000

BAYER US FINANCE 800,000

BAYER US FINANCE LLC 1,020,000

BB&T CORPORATION 1,005,000

BB&T CORPORATION 3,340,000

BECTON DICKINSON 569,000

BEECHWOOD KY ISD 2,000,000

BELLEVUE 670,000

BERKSHIRE HATHAWAY 4,000,000


BERKSHIRE HATHAWAY INC 2,000,000

BERRYTOWN APTS KY 221D4 493,726

BLACK HILLS CORP 1,120,000


BLACK HILLS CORP 7/15/20 5,000,000

BLACKSTONE HOLDINGS FINANCE, 1,000,000

BMW US CAPITAL LLC 780,000



BMW US CAPITAL LLC 5,000,000



BNP PARIBAS 1,180,000

BOARDWALK PIPELINES LLC 3,519,000

BOOKING HOLDINGS 3,250,000

BOSTON PROPERTIES LP 485,000

BOSTON PROPERTIES LP 290,000

BOSTON PROPERTIES LP 1,435,000

BOSTON PROPERTIES LP 2,930,000

BOSTON UNIVERSITY 3,000,000

BP CAPITAL MARKETS 9/26/23 1,000,000

BP CAPITAL MARKETS PLC 370,000

BRANCH BANKING & TRUST 500,000

BRASKEM AMERICA FINANCE 1,700,000

BROWARD CO FL SCHOOL BOARD 9,000,000

BROWARD CO FL SCHOOL BOARD 2,000,000

BROWN FORMAN CORP 2,100,000

52




December 31, 2018

Fixed Income

BROWN-FORMAN CORP 3,297,000



BROWN-FORMAN CORP. 2,000,000

BROWN-FORMAN CORP. 1,000,000

BURLINGTN NORTH SANTA FE 1,300,000

BURLINGTON NORTH SANTA FE 1,700,000

BURLINGTON NORTH SANTA FE 9/ 2,000,000

BURLINGTON NOTHERN SANTA FE 2,000,000

BWAY MORTGAGE TRUST 1,031,818

CAMPBELL & KENTON COS., KY S 1,000,000

CANADIAN NATIONAL RESOURCES 619,000

CANADIAN PACIFIC RR CO 1,000,000


CAPITAL ONE NA 1,100,000

CARDINAL HEALTH INC 1,000,000

CARE CAPITAL PROPERTIES 1,576,000

CARGILL INC 1,888,000

CARGILL INC 144A SR NOTES 2,000,000

CARGILL INCORPORATED 190,000

CARGILL INCORPORATED 490,000

CARLISLE CO KY SD FIN CORP 1,840,000

CARMAX AUTO OWNER TRUST 1,855,000

CATERPILLAR FINANCIAL SERVIC 980,000

CATERPILLAR FINL SERVICE 630,000

CATERPILLAR FINL SERVICE 3,440,000

CATERPILLAR INC 5,000,000

CATERPILLAR INC 2,000,000

CATHOLIC HEALTH INITIATIVES 2,750,000

CELGENE CORP 2,128,000

CENOVUS ENERGY INC 2,692,000

CHARLES SCHWAB COR 525,000

CHARLES SCHWAB COR 780,000

CHARLES SCHWAB CORP 2,000,000


CHARTER COMM OPT LLC/CAP 2,125,000

CHEVRON CORP 4,000,000

CHEVRON PHILLIPS CHEM CO 730,000

CHICAGO IL GO 275,000

CHILDREN'S HOSPITAL CORP 800,000

CHURCH & DWIGHT CO INC 3,339,000

CHURCH & DWIGHT CO INC 4,000,000

CIMAREX ENERGY CO 470,000

CINCINNATI FINANCIAL CORP DE 2,500,000

CINCINNATI FINANCIAL CORP DE 2,000,000

53




December 31, 2018

Fixed Income

CINTAS CORPORATION NUMBER 2 1,700,000

CISCO SYSTEMS INC 3,000,000

CISCO SYSTEMS INC 1,000,000

CITIBANK 3,000,000

CITIBANK 5,000,000

CITIGROUP 2,700,000

CITIGROUP 1,800,000

CITIGROUP COMMERCIAL MORTGAG 1,930,000

CITIGROUP INC 1/14/22 1,050,000

CITIGROUP INC 6/1/25 2,000,000

CITIGROUP INCORPORATED 230,000

CITIGROUP INCORPORATED 1,000,000

CITIGROUP INCORPORATED 1,000,000





CITIZENS BANK NA/RI 410,000

CITIZENS BANK NA/RI 410,000

CITY OF OWENSBORO KY 2,580,000

CITY OF OWENSBORO KY 1,315,000

CITY OF PADUCAH KY 2,845,000

CLARK CO KY SDFC 2,000,000

CLEVELAND CLINIC FOUND 1,000,000

CLOROX COMPANY 280,000

CME GROUP INC 3,650,000

COCA-COLA 2,370,000

COCA-COLA 5,500,000

COLUMBIA PIPELINE GROUP 2,250,000

COMCAST CORP 1,358,000

COMCAST CORP 2,800,000

COMCAST CORPORATION 832,000



COMM MORTGAGE TRUST 1,830,000



COMM MORTGAGE TRUST 0


COMMONWEALTH BANK OF AUSTRAL 5,000,000

CONAGRA FOODS INC 3,150,000

CONNECTICUT ST GO 355,000

CONOCOPHILLIPS COMPANY 385,000

CONSTELLATION BRANDS 4,000,000


54




December 31, 2018

Fixed Income


CONSTELLATION BRANDS INC 3,800,000

COOPERATIEVE CENTRALE RAIFFE 5,000,000

COOPERATIEVE RABOBANK UA 380,000

CORNING INCORPORATED 467,000

COSTCO 1,438,000

COSTCO WHOLESALE CORP 9,517,000

COX COMMUNICATIONS INC 2,125,000

CPC INTERNATIONAL INC DEBS 5,000,000

CRANE CO 1,000,000

CREDIT SUISS NEW YORK 2,000,000

CREDIT SUISSE 1,000,000

CREDIT SUISSE GROUP AG 250,000



CRH AMERICA FINANCE INC 290,000

CRH AMERICA FINANCE INC 240,000

CRH AMERICA FINANCE INC 2,280,000

CROWLEY BLUE WTR PARTNERS 1,378,000

CROWLEY CONRO LLC 1,375,000

CROWN CASTLE INTL CORP 5,000,000

CROWN CASTLE INTL CORP 3,315,000

CSX CORP 1,500,000

CSX CORP 4,500,000

CUYAHOGA CNTY OH 1,355,000

CVS CORP 1,350,000

CVS CORP 3,630,000

CVS HEALTH CORP 1,970,000

CVS HEALTH CORP 310,000

DAIMLER FINANCE NA LLC 1,865,000

DALLAS TX AREA RAPID TRANSIT 3,000,000

DANVILLE KY 755,000

DANVILLE KY 275,000

DEERE & COMPANY 5,000,000

DENVER CITY & CNTY CO SCH DI 750,000

DEPT OF HOUSING & URBAN DEVL 1,790,000

DEPT OF HOUSING & URBAN DEVL 2,200,000

DIAGEO CAPITAL PLC 550,000

DIAMOND 1 FIN/DIAMOND 2 3,035,000

DIGITAL REALTY TRUST LP 630,000

DISCOVERY COMMUNICATIONS 6/1 3,000,000

DISCOVERY COMMUNICATIONS 8/1 2,000,000

DOLLAR TREE INC 1,868,000

DOWDUPONT INC 1,300,000

DOWDUPONT INC 3,750,000

55




December 31, 2018

Fixed Income

DTE ENERGY COMPANY 1,177,000

DUKE ENERGY CAROLINAS 1,400,000

DUKE ENERGY PROGRESS INC 1,352,000

DUKE ENERGY PROGRESS INC 1,800,000

DUKE ENERGY PROGRESS LLC 660,000

DUKE REALTY CORPORATION 900,000

DUKE REALTY CORPORATION 520,000

DUKE UNIVERSITY 1,000,000

DUKE UNIVERSITY 1,000,000

DUKE UNIVERSITY HEALTH 805,000

EAGLE MATERIALS INC 3,357,000

EATON CORP 430,000

EATON CORP 710,000

ECMC GROUP STUDENT LOAN TRUS 1,724,449

ECOLAB INC 620,000

ECOLAB INC 1,109,000

ECOLAB INC 12/8/41 136,000

EL PASO TX GO 1,000,000

ELECTRICITE DE FRANCE 2,776,000

ELI LILLY & CO 4,850,000

EMBRAER NETHERLANDS FINA 1,256,000

EMBRAER NETHERLANDS FINA 1,255,000

EMD FINANCE 1,040,000

EMERSON ELECTRIC CO 2,000,000

ENBRIDGE INC 1,800,000

ENERGY TRANSFER PARTNERS 934,000

ENERGY TRANSFER PARTNERS 3,244,000

ENTERGY ARKANSAS INC 1,000,000

ENTERGY TEXAS INC 1,040,000

ENTERPRISE PRODUCTS OPER 220,000



EOG RESOURCES 2,000,000



EQUIFAX INCORPORATED 580,000

ERP OPERATING LP 530,000

EXPRESS SCRIPTS INC 1,906,000

EXPRESS SCRIPTS INC 394,000

EXXON MOBIL CORPORATION 1,000,000

FANNIE MAE 1,950,797

FANNIE MAE 3,385,020

FANNIE MAE 30 YR. 4,155,134

FANNIE MAE 30 YR. (#2) 2,935,827

FANNIE MAE POOL 1,738,489

56




December 31, 2018

Fixed Income











FANNIE MAE POOL 861,706


FANNIE MAE POOL 921,117


FEDERAL EXPRESS CORPORATION 1,220,000

FEDERAL FARM CREDIT BANK 4,500,000


FEDERAL HOME LOAN BANK 5,000,000







FEDERAL REALTY INVT TR 925,000

FEDEX CORP 2,035,000

FFCB BONDS 3/25/19 3,790,000

FFCB BONDS 7/26/27 5,000,000

FFCB BONDS 7/6/21 4,000,000

FG A84158 235,285

FG G04388 415,698

FGLMC 1,076,936

FHLMC (GOLD) POOL # A42105 271,539



FHLMC (GOLD) POOL # FGP28000 1,711,159

FHLMC (GOLD) POOL # G08122 179,317



FHLMC (GOLD) POOL # N31304 109,770

FHLMC POOL # A34672 (MTGS KY 128,170

FHLMC POOL # G11773 57,630

FHLMC POOL # G11773 39,473

FIDELITY NATIONAL 528,000

FIDELITY NATL FINANCIAL 1,800,000

57




December 31, 2018

Fixed Income

FIFTH THIRD BANCORP 2,300,000

FIFTH THIRD BANK 575,000

FIRST UNION CORP SUB DEBS 2,000,000

FIRST UNION CORP SUB DEBS 1,000,000

FISERV INCORPORATED 1,320,000

FLEMING CO., KY SDFC 5,000,000

FLORIDA GAS TRANSMISSION 1,400,000

FN 932227 256,974

FN AM8949 5,253,923

FN AN3706 7,410,000

FN AN7825 4,925,942

FN AN8258 5,000,000

FN BL1165 MTG 1,690,000

FN BL1166 MTG 1,600,000

FNMA AN0918 4,838,938

FNMA BL0549 2,750,000

FNMA BONDS 4,000,000

FNMA DUS STONE WATER PK 8,000,000

FNMA POOL # 124921 26,318

FNMA POOL # 251752 5,263

FNMA POOL # 254688 77,400

FNMA POOL # 254688 33,172

FNMA POOL # 256089 1,343,438

FNMA POOL # 256181 230,484

FNMA POOL # 266220 30,653

FNMA POOL # 313644 38,815

FNMA POOL # 456258 85,446

FNMA POOL # 457075 50,963

FNMA POOL # 503689 13,625

FNMA POOL # 521220 19,183

FNMA POOL # 604970 145,730

FNMA POOL # 655866 (MTGS KY) 130,584

FNMA POOL # 676821 (MTGS KY) 152,175

FNMA POOL # 745128 11,652

FNMA POOL # 755598 279,235

FNMA POOL # 755598 279,235

FNMA POOL # 763651 131,405

FNMA POOL # 763651 131,405

FNMA POOL # 763722 68,386

FNMA POOL # 809741 (MTGS KY) 63,366

FNMA POOL # 809862 (MTGS KY) 8,936

FNMA POOL # 874195 DUS 1,415,477

FNMA POOL # 901683 58,031

FNMA POOL # 902823 127,712

FNMA POOL # 942887 164,324

58




December 31, 2018

Fixed Income

FNMA POOL # 944608 65,388

FNMA POOL AN0502 1,600,000

FNMA POOL AN4377 1,426,160

FOOTHILL-DE ANZA CA CMNTY CL 745,000

FORD CREDIT AUTO LEASE TRUST 1,850,000

FORD CREDIT AUTO OWNER TRUST 2,940,000

FORD MOTOR 896,000

FORD MOTOR CREDIT 200,000

FORD MOTOR CREDIT 600,000

FORD MOTOR CREDIT 1,000,000

FOREST LABORATORIES INC 1,885,000

FORT KNOX MILITARY HOUSING 5,227,127

FORTIVE CORPORATION 1,000,000

FORTUNE BRANDS HOME & SE 210,000

FREDDIE MAC 2,000,000

FREDDIE MAC 3,000,000

FREDDIE MAC - SCRT 670,848

FREDDIE MAC GOLD POOL 1,183,681

FREDDIE MAC GOLD POOL 1,992,887

FREEPORT-MCMORAN C & G 2,000,000

G@ BJ9649 1,997,972

GATX CORP 1,000,000

GATX CORP 2,600,000

GE CAPITAL INTERNATIONAL 3,085,000

GE CAPITAL INTL FUNDING 2,050,000

GE GLOBAL INSURANCE HLDG NOT 2,000,000

GENERAL DYNAMICS CORP 2,500,000



GENERAL MILLS 2,500,000

GENERAL MILLS INC 580,000

GENERAL MILLS INCORPORATED 500,000

GENERAL MOTORS FINL CO 1,188,000



GEORGETOWN UNIV DC 555,000

GEORGETOWN UNIV DC 1,155,000

GEORGETOWN UNIV DC 595,000

GN 698276 525,794

GNMA MTG POOL # 417322 51,916

GNMA MTG POOL # 417322 38,169

GNMA MTG POOL # 448386 108,465

GNMA MTG POOL # 457859 247,760

GNMA MTG POOL # 486228 13,891

GNMA MTG POOL # 499991 40,170

59




December 31, 2018

Fixed Income

GNMA MTG POOL # 539783 34,816

GNMA MTG POOL # 570491 65,272

GOLDMAN SACHS CAPITAL II 68,000

GOLDMAN SACHS GP 1,500,000



GOLDMAN SACHS GP GS 2.6 1,000,000





GOLDMAN SACHS GROUP INC 2,000,000




GRAYSON CO KY SDFC 1,920,000

GREAT PLAINS ENERGY, INC. 2,000,000

GREAT RIVER ENERGY 8,429,775

GREAT RIVER ENERGY 4,214,888

GRUPO BIMBO SAB DE CV 2,950,000

GS MORTGAGE SECURITIES TRUST 1,000,000



GSMS 2010-C1 A1 175,570

GSMS 2010-C1 A1 175,570

GUARDIAN LIFE GLOB FUND 1,000,000

GUARDIAN LIFE GLOB FUND 400,000

GULFSTREAM NATURAL GAS 1,040,000

HALFMOON PARENT INC 1,000,000

HALFMOON PARENT INC 2,244,000

HALLIBURTON COMPANY 1,260,000

HARRIS CO TX MET TRANS AUTH 3,000,000

HARRIS CO TX MET TRANS AUTH 2,000,000

HARVARD UNIVERSITY 1,000,000

HAWAII ST 1,250,000

HCP, INC. 5,000,000

HEALTH CARE REIT INC 5,000,000

HEALTHCARE TRUST OF AMER 220,000

HEATHROW FUNDING LTD 144A 5,800,000

HEINEKEN NV 920,000

HEINZ (HJ) CO NOTES 1,200,000

HEINZ (HJ) CO NOTES 3,000,000

HELMERICH & PAYNE 1,000,000

HERSHEY COMPANY 2,000,000

HERSHEY COMPANY 3,000,000

60




December 31, 2018

Fixed Income

HERSHEY FOODS CO DEBS 275,000

HEXCEL CORP 720,000

HIDALGO CNTY TX 645,000

HOME DEPOT 1,593,000

HONEYWELL INTERNATIONAL INC 2,000,000

HONOLULU CITY & CNTY HI 870,000

HOUSTON TEX 700,000

HOUSTON TX UTILITY SYS REVEN 515,000

HP ENTERPRISE CO 610,000

HSBC HOLDINGS PLC 225,000




HSBC HOLDINGS PLC 1,000,000

HSBC HOLDINGS PLC-SPONS 2,950,000

HUNTINGTON BANCSHARES INC 3,465,000

HUNTINGTON NATIONAL BANK 780,000

IBM CORP DEBS 6,000,000

IBM CORPORATION 1,650,000

IBM CREDIT CORP 350,000

ILLINOIS TOOL WORKS INC 5,000,000

IMPERIAL TOBACCO FINANCE 3,170,000

INDIANA ST FIN AUTH REVENUE 800,000

INDIANA ST HSG SER B 3 145,000

INDIANA UNIV HEALTH INC 500,000

INDIANAPOLIS IN LOC PUB IMP 5,000,000

INDIANAPOLIS, IN 1,000,000

INTEGRYS ENERGY 94,024

INTERNATIONAL PAPER COMPANY 1,000,000

INTERPUBLIC GROUP 2,072,000

INTERSTATE POWER & LIGHT 610,000

IOWA SPECIAL PROGRAM REVENUE 6,250,000

ITC HOLDINGS CORP 560,000

JACKSON CO KY SD 2,480,000

JM SMUCKER CO 2,000,000

JOHN DEERE CAPITAL 405,000

JOHN DEERE CAPITAL 470,000

JOHNSON & JOHNSON 4,000,000





JOHNSON & JOHNSON DEBS 3,300,000

JOHNSON CONTRIOLS INC 1,000,000

JOHNSON CONTRIOLS INC 1,000,000

61




December 31, 2018

Fixed Income

JOHNSON CONTROLS 2,000,000

JP MORGAN CHASE 2,000,000

JP MORGAN CHASE & CO 3,335,000

JP MORGAN CHASE & CO 1/24/22 820,000

JP MORGAN CHASE & COMPANY 820,000

JP MORGAN CHASE & COMPANY 540,000

JP MORGAN CHASE 2016NINEAL M 1,849,000

JP MORGAN CHASE COMM MTG 2,436,672

JP MORGAN CHASE COMMERCIAL M 1,510,693

JP MORGAN CHASE COMMERCIAL M 1,671,547

JPMORGAN CHASE & CO 410,000



JPMORGAN CHASE & CO 1,370,000





KAISER FOUNDATION HOSPITAL 5,000,000

KELLOGG COMPANY 510,000

KENTUCKY HIGHER EDUC ST LOAN 1,597,758

KENTUCKY HOUSING CORPORATION 1,985,000

KENTUCKY MUNICIPAL POWER AGE 3,880,000

KENTUCKY MUNICIPAL POWER AGE 2,500,000

KENTUCKY PPTY & BLDGS COMM R 3,000,000




KENTUCKY RURAL WATER FINANCE 765,000

KENTUCKY RURAL WATER FINANCE 1,735,000

KENTUCKY RURAL WATER FINANCE 2,170,000

KENTUCKY ST RURAL WTR FIN CO 715,000

KENTUCKY STATE RURAL WTR FIN 2,390,000

KENTUCKY TURNPIKE AUTHORITY 3,000,000

KENTUCKY TURNPIKE AUTHORITY 1,000,000

KENTUCKY UTILITIES 1,900,000

KENTUCKY UTILITIES CO 3,000,000

KERR-MCGEE CORPORATION 700,000

KEY BANK NA 345,000

KEY BANK NA 570,000

KEY CORP 610,000

KIMCO REALTY COR 800,000

KIMCO REALTY COR 720,000

KIMCO REALTY CORP 1,550,000

KINDER MORGAN PARTNERS 2,000,000

62




December 31, 2018

Fixed Income

KING INTERNATIONAL LEASING L 1,475,834

KIRBY CORPORATION 2,000,000



KOREA FINANCE CORP. 3,000,000

KRAFT FOODS GROUP INC-W/I 1,400,000

KRAFT FOODS INC 6/4/42 1,000,000

KRAFT FOODS INC 6/6/22 1,270,000

KRAFT HEINZ FOODS CO 340,000

KROGER CO 3,000,000

KROGER CO 3,000,000

KROGER CO 2,000,000

KROGER CO 2,000,000

KROGER CO 3,000,000

KROGER CO 900,000

KY STATE PROPERTY & BLDG COM 6,000,000

LEGGETT & PLATT INC 1,500,000


LEXINGTON - FAYETTE COUNTY 2,795,000

LEXINGTON-FAYETTE URBAN COUN 7,580,000

LIBERTY MUTUAL GROUP 1,000,000

LIBERTY PROPERTY LP 1,250,000

LIBERTY PROPERTY LP 500,000

LINCOLN W HAYMARKET NE JT PU 1,000,000

LLOYDS BANKING GROUP PLC 3,376,000

LOS ANGELES CA USD 7,000,000

LOUISVILLE & JEFF CO KY MSD 10,000,000

LOUISVILLE & JEFFERSON CO KY 2,930,000

LOUISVILLE GAS & ELECTRIC 811,000

LOUISVILLE KY REGIONAL ARPT 1,515,000

LOUISVILLE KY REGIONAL ARPT 1,500,000

LOUISVILLE REGIONAL AIRPORT 5,550,000

LOWE'S COMPANIES INC 5,000,000

LOWE'S COS INC 6,000,000

M&T BANK CORPORATION 510,000

MA INSTITUTE OF TECH. 1,465,000

MA INSTITUTE OF TECH. 2,000,000

MADISON AVENUE T201511MD 2,600,000

MAGELLAN MIDSTREAM PARTNERS 1,170,000

MANUF & TRADERS TRUST CO 840,000

MARATHON OIL CORPORATION 890,000

MARATHON PETROLEUM CORP 1,000,000

MARIN CA CMNTY CLG DIST 1,000,000

MARSH & MCLENNAN COS INC 1,045,000

MASS INSTITUTE OF TECH 230,000

63




December 31, 2018

Fixed Income

MASS INSTITUTE OF TECH 1,400,000

MASS INSTITUTE OF TECH 150,000

MASS MUTUAL GLOBAL FUNDING 1,200,000

MASS MUTUAL GLOBAL FUNDING 630,000

MASSACHUSETTS ST 1,500,000

MASTERCARD INC 1,200,000

MAXIM INTERGRATED PRODUCT 200,000

MAXIM INTERGRATED PRODUCT 940,000

MAYO CLINIC 1,150,000

MCCORMICK & CO 1,100,000

MCCRACKEN CNTY KENTUCKY 765,000

MCCRACKEN CNTY KENTUCKY 1,210,000

MCDONALD´S CORP 6/10/24 8,000,000

MCDONALD´S CORP 6/10/24 5,000,000

MCDONALDS 1,000,000

MCDONALD'S CORP 5/20/21 3,000,000

MCDONALD'S CORPORATION 90,000

MCDONALD'S CORPORATION 990,000

MCDONALS'S CORP 1,611,000

MCKESSON CORP 3,000,000




MEDTRONIC INC. 3,250,000


MEMORIAL SLOAN-KETTERING 1,060,000

MERCK & CO 3,435,000

MERCK & CO 5,000,000

MERCK & CO INC 1,000,000

METROPOLITAN LIFE 144 A SURP 1,000,000


MICROSOFT CORP 5,000,000




MID-AMERICA APARTMENTS 790,000

MID-AMERICA APARTMENTS L 538,000

MID-AMERICA APARTMENTS L 74,000

MIDAMERICAN ENERGY CO 1,090,000

MIDAMERICAN ENERGY CO 730,000

MIDCONTINENT EXPRESS PIPELIN 1,426,000

MIDLAND COGENERATION 3,199,520

MISSISSIPPI DEVELOPMENT BANK 3,000,000

MITSUBISHI UFJ FIN GRP 480,000


64




December 31, 2018

Fixed Income


MMAF EQUIPMENT FINANCE LLC 2,265,000

MONDELEZ INTERNATIONAL 620,000

MONONGAHELA POWER CO 1,095,000

MOODY'S CORP 2,184,000

MORGAN STANLEY 1,000,000









MORGAN STANLEY CPAITAL I TR 2,100,000

MPLX LP 680,000

MT LEBANON CEDARS KY 223A7 387,670

MUELLER INDUSTRIES INC 110,000

NATIONAL RETAIL PROP INC 330,000

NATIONAL RURAL UTIL CORP 2,000,000


NEW YORK CITY NY TRANSITIONA 1,250,000

NEW YORK LIFE GLOBAL FDG 3,000,000

NEW YORK ST URBAN DEV CORP R 1,250,000

NEWCREST FINANCE 3,000,000

NEWCREST FINANCE 2,000,000

NEWCREST FINANCE PTY LTD. 2,000,000

NEWFIELD EXPLORATION CO 2,300,000

NEXTERA ENERGY CAPITAL 1,094,000

NGPL PIPE LLC 1,697,000

NIKE INC 2,800,000

NORDDEUTSCHE LANDESBANK 2,000,000

NORFOLK SOUTHERN CORPORATION 580,000

NORTHERN STATES POWER 607,000

NORTHERN STATES PWR-WISC 1,490,000



NORTHROP GRUMMAN CORP 2,000,000



NORTHSTAR EDUCATION FIN 2005 1,985,869

NORTHWESTERN MUTUAL LIFE 1,500,000

NORTHWESTERN UNIVERSITY 2,640,000

NOVANT HEALTH INC 10,000,000

NUCOR CORP 2,000,000

65




December 31, 2018

Fixed Income

NUTRIEN LTD 3,000,000

NUTRIEN LTD 2,000,000

NUVEEN LLC 230,000

NXP BV 3,104,000

NY & PRESBYTERIAN HOSPIT 600,000

NY & PRESBYTERIAN HOSPIT 1,000,000

OCCIDENTAL PETROLEUM CORP 500,000

OCCIDENTAL PETROLEUM CORP 2,500,000

OHANA MILITARY COMM. LLC 4,722,276

OHIO NATIONAL FINANCIAL 2,000,000

OKLAHOMA GAS & ELECTRIC NOTE 2,000,000

OMAHA PUBLIC FACILITIES 700,000

ONCOR ELECTRIC DELIVERY CO 1,645,000

ONTARIO (PROVINCE OF) 10,000,000

ORACLE CORP 300,000

ORACLE CORP 776,000

ORACLE CORP 1,000,000






OREGON ST 1,000,000

OREGON ST 1,250,000

OVERSEAS PRIVATE INVESTMENT 891,002

OWENSBORO KY ELEC LT & PWR R 2,565,000

PACIFIC GAS & EL 940,000

PACIFIC GAS & ELECTRIC 2,000,000



PACIFICORP 385,000

PACIFICORP 500,000

PACIFICORP 2,804,000

PACKAGING CORP OF AMERIC 280,000

PACKAGING CORP OF AMERIC 621,000

PADUCAH KY GO BD 6/1/24 1,920,000

PADUCAH KY ISD 6/1/27 3,950,000

PALL CORPORATION 2,000,000

PARKER HANNIFIN CORP 3,000,000

PARKER-HANNIFIN CORPORATION 960,000

PEACEHEALTH OBLIGATED GR 500,000

PECO ENERGY CO 1,100,000

PEPSICO 7,000,000

PETROLEOS MEXICANOS 1,512,500

PETROLEOS MEXICANOS 555,000

66




December 31, 2018

Fixed Income




PFIZER INC 2,000,000


PFIZER INC. 7,000,000

PIEDMONT NATURAL GAS NOTES 2,000,000

PIPELINE FUNDING CO 9,488,000

PITTSBURGH & ALLEGHENY CO PA 1,195,000

PNC BANK NA 600,000

PNC BANK NA 410,000

PNC BANK NA 610,000

PNC BANK NA 250,000

PNC BANK NA 775,000

PNC BANK NA 2,000,000

PNC BANK NA 2,607,000

PNC BANK NA 143,000

PORTLAND GENERAL ELECTRIC 846,000

PPL ELECTRIC UTILITIES 500,000

PRECISION CASTPARTS CORP 1,650,000

PRINCETON UNIVERSITY 750,000

PRINCETON UNIVERSITY 1,000,000

PROCTER & GAMBLE CO 3,000,000


PROCTER & GAMBLE-ESOP DEBS 250,749

PROLOGIS INC 145,000

PROV ST JOSEPH HLTH OBL 625,000

PROVINCE OF ALBERTA 4,000,000

PROVINCE OF ALBERTA 4,000,000

PRUDENTIAL FINANCIAL 2,053,000

PUBLIC SERVICE ELECTRIC 1,000,000

PUBLIC SERVICE ELECTRIC 1,000,000

PUBLIC SERVICE ELECTRIC & GA 1,000,000

PUBLIC SERVICE ELECTRIC & GA 400,000

QUALCOMM 2,550,000

QWEST CORP 1,532,000

RABOBANK NEDERLAND NY 1,295,000

RAYONIER INC 1,000,000

REALTY INCOME CORP 1,020,000

REALTY INCOME CORP 750,000

RECKITT BENCKISER TSY 600,000

REGIONS BANK SUB NOTES 5,000,000


RELX CAPITAL INC 510,000

REPUBLIC OF COLUMBIA 1,396,000

67




December 31, 2018

Fixed Income

REPUBLICA ORIENT URUGUAY 839,000

REYNOLDS AMERICAN INC 2,085,000

RIVER CITY INC PARKING AUTH 710,000

RIVER CITY INC PARKING AUTH 730,000

RIVER CITY PARKING AUTH 685,000

ROCKWELL COLLINS INC 640,000

ROGERS COMMUNICATIONS INC 940,000

ROGERS COMMUNICATIONS INC 632,000

ROLLS ROYCE PLC 2,000,000


ROLLS-ROYCE PLC 200,000



ROYAL BANK OF CANADA 490,000

ROYAL BANK OF CANADA 1,850,000

ROYAL BANK OF CANADA 1,864,000

S&P GLOBAL INC 1,800,000

SABINE PASS LIQUEFACTION 2,400,000

SABMILLER HOLDINGS INC 1,000,000

SACRAMENTO CA MUN UTIL DIST 4,000,000

SAN ANTONIO TX ELECTRIC & GA 2,100,000

SAN DIEGO G & E 605,000

SAN JUAN CAPISTRANO CA 420,000



SANTA ROSA LEASING LLC 822,082

SBA PARTICIPATION CERTIFICAT 2,286,379


SBA PARTICIPATION CERTIFICAT 730,000

SBA PARTICIPATION CERTIFICAT 980,000




SBA TOWER TRUST 2,105,000

SBAP 2005-20L 1 675,420

SBAP 2006-20H 1 813,165

SBAP 2006-20I 1 107,342

SBAP 2006-20J 1 650,524

SBAP 2007-20B 1 391,728

SBAP 2007-20I 1 373,865

SBAP 2008-20B 1 917,738

SBAP 2008-20C 1 612,642

SBIC 2011-10A 1 1,480,062

SCHLUMBERGER FIN CA 400,000

SCHLUMBERGER INVESTMENT 540,000

68




December 31, 2018

Fixed Income


SEMT 1,121,075

SHELL INTERNATIONAL FIN 830,000

SHELL INTERNATIONAL FIN 7,000,000

SHELL INTERNATIONAL FIN 2,347,000

SHEPHERDSVILLE VILLAGE KY 22 82,618

SHERWIN-WILLIAMS CO 620,000

SHERWIN-WILLIAMS CO 800,000

SHERWIN-WILLIAMS CO/THE 2,854,000

SHIRE ACQ INV IRELAND DA 1,100,000

SHIRE ACQ INV IRELAND DA 3,030,000

SIEMENS FINANCIERINGSMAT 950,000

SIEMENS FINANCIERINGSMAT 650,000

SIMON PROPERTY GROUP 400,000

SIMON PROPERTY GROUP 2,000,000

SIMON PROPERTY GROUP LP 250,000

SL GREEN OPERATING PARTN 2,500,000

SMALL BUSINESS ADMINISTRATIO 1,988,974

SMALL BUSINESS INVESTMENT CO 2,107,724




SMALL BUSINESS INVESTMENT CO 741,865

SONIC CAPITAL LL20111A 1,312,686

SOUTH CAROLINA STUDENT LOAN 2,483,504

SOUTHERN BAPTIST HOSPITA 750,000

SOUTHERN CALIFORNIA EDISON 680,000



SOUTHERN NATURAL GAS 1,000,000

SOUTHTRUST BANK BIRMINGHAM N 2,000,000

SOUTHTRUST BANK BIRMINGHAM N 2,000,000

SPIRIT REALTY LP 1,758,000

STANFORD HEALTH CARE 1,340,000

STRYKER CORP 2,000,000



SUMITOMO MITSUI FINL GRP 1,140,000

SUNTRUST BANK 700,000

SUNTRUST BANK 500,000

SUNTRUST BANK BONDS 458,000

SUNTRUST BANKS INC 3,200,000

SUNTRUST BANKS INC DEBS 6,000,000

SUNTRUST BANKS INC SUB NOTES 3,500,000

SUZANO AUSTRIA GMBH 3,546,000

69




December 31, 2018

Fixed Income

TAGUA LEASING LLC 1,346,111

TEACHERS INSUR & ANNUITY 1,300,000

TELECOM ITALIA SPA 3,000,000

TEXAS HEALTH RESOURCES 1,375,000

TEXAS INSTRUMENTS 3,000,000

TEXAS INSTRUMENTS 5,000,000

TEXAS INSTRUMENTS INC 2,000,000

TEXAS INSTRUMENTS INC 1,500,000

TEXAS INTRUMENTS INC. 3,000,000

TEXAS INTRUMENTS INC. 2,000,000

TEXAS ST 1,000,000

TEXAS ST 1,000,000

TEXAS ST A & M UNIV SYS BRD 250,000

TEXAS ST A & M UNIV SYS BRD 550,000

THERMO ELECTRON CORPORATION 650,000

THERMO ELECTRON CORPORATION 1,280,000

THERMO FISHER SCIENTIFIC 1,160,000

THERMO FISHER SCIENTIFIC 1/1 1,000,000

TIME WARNER INC 1,870,000

TIME WARNER INC 6/15/22 750,000

TIME WARNER INC. 2,000,000

TIME WARNER INCORPORATED 870,000

TOWD POINT MORTGAGE TRUST 2,657,082

TOWD POINT MORTGAGE TRUST 1,427,031

TOYOTA 1,860,000

TOYOTA MOTOR CORP 1,070,000

TOYOTA MOTOR CREDIT CORP 790,000

TRANS-ALLEGHENY INTERSTA 1,305,000

TREASURY BOND 4,000,000

TTX CO 3,000,000

TX ST. TRANS. COMM. 1,000,000

TYCO ELECTRONICS GROUP S 1,250,000

TYSON FOODS INC 1,570,000

TYSON FOODS, INC. 1,000,000

U S TREAS BD STRIPPED PRIN P 7,000,000

U S TREASURY 5,000,000










70




December 31, 2018

Fixed Income














U S TREASURY BONDS 22,000,000














U.S. BANK NA 700,000

UBS GROUP FUNDING 500,000

UBS GROUP FUNDING SWITZE 1,050,000

UBS GROUP FUNDING SWITZE 685,000

UDR, INC. 1,220,000

UNDER ARMOUR INC 5,000,000

UNILEVER CAPITAL CORP 6,000,000

UNILEVER CAPITAL CORPORATION 1,700,000

UNION ELECTRIC CO 570,000

UNION PACIFIC CORP 3,016,000

UNION PACIFIC CORP 1,000,000

UNITED MEXICAN STATES 2,755,000

UNITED PARCEL SERVICE 2,000,000


UNITED STATES TREASURY 6,025,000




71




December 31, 2018

Fixed Income








UNITED TECHNOLOGIES CORP 1,000,000

UNITED TECHNOLOGIES CORP NOT 3,000,000

UNITED TECHNOLOGIES CORP NOT 5,000,000

UNITED TECHNOLOGY CORP 1,620,000

UNITED TECHNOLOGY CORP 310,000

UNITED TECHNOLOGY CORP 320,000

UNITED TECHNOLOGY CORP 5,000,000




UNITEDHEALTH GROUP INC 2,000,000



UNIV OF NEW MEXICO NM 1,500,000

UNIV OF NORTH CAROLINA NC AT 705,000

UNIV OF NORTH CAROLINA NC AT 1,255,000

UNIV OF SOUTHERN CALIFOR 1,264,000

UNIVERSITY OF KENTUCKY 5,000,000


UNIVERSITY OF KENTUCKY GEN R 1,795,000

UNIVERSITY OF TEXAS 525,000

UNIVERSITY OF TEXAS PUF 5,000,000

UNIVERSITY OF VIRGINIA 325,000

UNIVERSITY OF VIRGINIA 2,000,000

UNIVERSITY OF WASHINGTON 5,000,000

UPS 2,000,000

UPS 5,000,000

US BANK CINCINNATI 3,000,000

US TREASURY 9,000,000










72




December 31, 2018

Fixed Income




US TREASURY BOND 8,000,000




US TREASURY BONDS 20,000,000

US TREASURY N/B 3,000,000































US TREASURY NOTE 3,000,000

US TREASURY NOTES/BONDS 20,000,000

USAA CAPITAL CORP 2,000,000




73




December 31, 2018

Fixed Income



USB CAPITAL IX 2,240,000

UST 4.375 5/15/2041 3,000,000

VALERO ENERGY CORP 1,859,000

VALMONT INDUSTRIES INC. 615,000

VENTAS REALTY CAP. CORP. 2,500,000

VENTAS REALTY LP/CAP CRP 650,000




VERIZON COMMUNICATIONS 1,000,000




VERIZON COMMUNICATIONS INC 783,000

VERIZON COMMUNICATIONS INC 1,897,000

VERIZON OWNER TRUST 1,845,000

VERMONT ST HSG FIN AGY PROPE 100,000

VIRGINIA ST HSG DEV AUTH SER 1,003,144

VISA INC 2,000,000

VISA INC 4,000,000

VISA INC 2,078,000

VNO 2010-VNO A1 512,169

VNO 2010-VNO A1 512,169

VODAFONE GROUP PLC 800,000

VORNADO REALTY TRUST 315,000

VULCAN MATERIALS CO 2,300,000

WABTEC 3,000,000

WABTEC 3,150,000

WACHOVIA CORP BANK NOTES 2,000,000

WALMART INC 6,000,000



WALT DISNEY CO 3,000,000

WASHINGTON ST 1,115,000

WASHINGTON ST 535,000

WASHINGTON ST GO 8/1/21 5,000,000

WELLS FARGO 4,000,000

WELLS FARGO & CO 2,000,000




WELLS FARGO BANK 3,000,000


74




December 31, 2018

Fixed Income


WELLS FARGO CO 2,100,000

WELLTOWER INC 390,000

WELLTOWER INC 1,800,000

WESTROCK CO 510,000

WESTROCK CO 2,974,000

WESTROCK RKT CO 980,000

WEYERHAEUSER COMPANY DEBS 3,000,000



WHIRLPOOL CORP 2,000,000

WISCONSIN ENERGY CORP 1,224,000

WISCONSIN P&L 965,000

WOODSVIEW APTS KY 221D4 9,837

WORLD OMNI AUTOMOBILE LEASE 1,610,000

WRIGLEY WM JR CO 2,000,000

XEROX CORPORATION 3,500,000

YSLETA TX INDEP SCH DIST 1,075,000

ZIMMER HOLDINGS INC 2,410,000

75

Capital ContributedDescription



December 31, 2018

Additional Categories

AVENUE CAPITAL SPECIAL SIT. 1

BABSON CAPITAL EUROPEAN LOAN 98,013,624

COLUMBIA SECURITIES 167,744,493

FT. WASH HIGH YIELD BOND FUND 320,285,204

HIGHBRIDGE SPECIALTY LOAN II 17,595,911

MARATHON EUR. CREDIT III 45,438,039

MARATHON EUROPEAN CREDIT II 31,341,944

MARATHON/KTRS CREDIT FUND 320,637,333

OAKTREE EURO CAPITAL SOLUTIO 22,233,843

OAKTREE EUROPEAN DISLOCATION 3,951,426

OAKTREE OPPORTUNITIES IX 44,932,958

OAKTREE OPPORTUNITIES X 22,535,898

OAKTREE XB 6,211,403

SHENKMAN SECURITIES 249,641,217

76




December 31, 2018

Alternative Investments

ACTIS GLOBAL FUND IV 30,085,955

ALINDA INFRASTRUCTURE FD II 16,246,388

APAX DIGITAL FUND 3,040,931

APAX IX PENSION 18,198,620

APAX VIII, L.P. 14,833,028

AUDAX MEXXANINE FUND III, L. 5,350,647

AUDAX MEZZANINE FUND IV 8,240,924

AUDAX PRIVATE EQUITY FD IV 10,821,743

AUDAX PRIVATE EQUITY FD V 17,933,272

CAPITAL SOUTH PARTNERS FD II 2,054,315

CARLYLE ASIA PARTNERS V 3,826,346

CARLYLE EUROPE PARTNERS IV, 40,462,674

CARLYLE GLOBAL FIN. II 20,025,058

CARLYLE GLOBAL FINANCIAL III 7,075,813

CHRYSALIS VENTURES III LP 13,983,581

FORT WASHINGTON FUND V 5,229,197

FORT WASHINGTON FUND VI 12,683,660

FORT WASHINGTON IX PENSION 11,436,690

FORT WASHINGTON VIII 21,165,478

FT. WASHINGTON IX-K PENSION 9,867,733

GAVEA INVESTMENT FUND V 8,542,578

GAVEA INVESTMENT FUND V PLUS 133,214

HANCOCK BLUEGRASS LLC-OREGON 16,886,059

HELLMAN & FRIEDMAN VII 1

HELLMAN & FRIEDMAN VIII 33,107,848

IFM GLOBAL INFRASTRUCTURE 97,625,116

JP MORGAN MARITIME FUND 38,332,529

JPM GLOBAL TRANSPORT INCOME 50,133,973

JPM MARTIME FUND II 7,811,478

KKR & CO EUROPEAN FUND III 11,746,005

KKR & CO EUROPEAN FUND IV 34,301,970

KKR & CO FUND 2006 9,776,174

KKR AMERICAS XII 15,774,166

LANDMARK EQUITY PARTNERS XIV 6,102,511

LANDMARK PE XVI 1

LANDMARK XV 10,415,886

LEXINGTON CAPITAL PARTNERS V 19,756,939

LEXINGTON CAPITAL,PARTNERS V 11,826,392

LS HIWASSEE CASH BALANCES 161,248

LS MICHIGAN CASH BALANCES 306,860

MOLPUS LAKE SUPERIOR HIWASSE 8,934,228

MOLPUS LAKE SUPERIOR MICHIGA 74,141,605

MOLPUS-SEVEN STATES LLC 29,447,275

NATURAL GAS PARTNERS X 24,270,647

NATURAL RESOURCES XI 33,644,378

77




December 31, 2018


NATURAL RESOURCES XII 15,425,676

OAKTREE EUROPEAN PRINCIPAL I 13,220,884

OAKTREE EUROPEAN PRINCIPAL I 30,387,843

OAKTREE MEZZANINE III CLASS 1

OAKTREE MEZZANINE III CLASS 700,052

OAKTREE MEZZANINE IV 18,702,596

PUBLIC PENSION CAPITAL 40,267,743

RIVERSTONE GLOBAL E&P FUND V 18,705,947

RIVERSTONE VI 27,606,695

RIVERSTONE/CARTYLE E&P FUND 12,875,077

STEPSTONE PIONEER III (PARIS 12,372,972

78




December 31, 2018

Real Estate

AG NET LEASE FUND III 35,033,348

BLACKSTONE REALTY PARTNERS V 22,527,546

BLACKSTONE REALTY PARTNERS V 27,659,869

CARLYLE PROPERTY INVESTORS 51,804,099

CARLYLE REALTY PARTNERS VI 5,369,426

CARLYLE REALTY PARTNERS VII 18,813,735

CARLYLE REALTY VIII 2,573,424

CVS DRUG STORE BELPRE OH 2,132,000

CVS DRUG STORE INDIANAPOLIS 3,129,198

CVS DRUG STORE LENOIR CITY T 2,140,000

CVS DRUG STORE LINTON IN 2,216,038

CVS DRUG STORE MITCHELL IN 2,673,086

CVS DRUG STORE NASHVILLE TN 2,870,000

CVS DRUG STORE SHELBYVILLE I 2,683,140

CVS DRUG STORE WABASH IN 2,657,972

K MART STORE TERRE HAUTE IN 12,509,615

K MART STORE WINCHESTER KY 2,715,513

KOHL'S STORE NORTH WILKESBOR 6,077,902

KROGER REVCO OWENSBORO KY 2,232,400

KROGER STORE RICHMOND KY 2,305,000

LANDMARK REAL ESTATE VII 25,775,716

LANDMARK REAL ESTATE VIII 6,221,032

LOWE'S STORE CONROE TX 7,859,747

LOWE'S STORE ELIZABETHTOWN K 8,409,000

LOWE'S STORE HAMILTON OH 8,497,160

LOWE'S STORE LAFAYETTE IN 7,600,000

LOWE'S STORE MARION IN 5,582,420

LOWE'S STORE PADUCAH KY 7,351,000

LOWE'S STORE PIKEVILLE KY 5,530,000

LOWE'S STORE SHERMAN TX 8,726,000

MERCANTILE WAREHOUSE LOUISVI 7,338,745

PRUDENTIAL PRISA REAL ESTATE 262,616,562

RITE AID HORSE CAVE KY 370,000

ROCKWOOD CAPITAL REAL ESTATE 9,130,563

ROCKWOOD REAL ESTATE FUND X 26,840,600

SAM'S WAREHOUSE PADUCAH KY 3,600,000

TA CORE REALTY FUND 38,747,287

TA REALTY ASSOCIATES FUND X 22,892,389

TA REALTY FUND XI 49,067,780

WALGREEN'S STORE AVON IN 3,996,000

WALGREEN'S STORE BAY CITY MI 4,857,000

WALGREEN'S STORE CEDAR LAKE 3,688,000

WALGREEN'S STORE CHATTANOOGA 2,313,000

WALGREEN'S STORE CHATTANOOGA 2,772,000

WALGREEN'S STORE CLARKSVILLE 3,403,460

79




December 31, 2018

Real Estate

WALGREEN'S STORE DECATUR IL 3,575,000

WALGREEN'S STORE EAST RIDGE 2,283,800

WALGREEN'S STORE EFFINGHAM I 4,235,000

WALGREEN'S STORE ELIZABETHTW 2,400,000

WALGREEN'S STORE ELIZABETHTW 4,808,000

WALGREEN'S STORE EVANSVILLE 4,964,197

WALGREEN'S STORE EVANSVILLE 5,638,615

WALGREEN'S STORE FRANKLIN IN 3,525,000

WALGREEN'S STORE GALLATIN TN 3,678,500

WALGREEN'S STORE GLEN CARBON 4,621,000

WALGREEN'S STORE HILLVIEW KY 3,630,000

WALGREEN'S STORE HOPKINSVILL 4,259,000

WALGREEN'S STORE HUNTSVILLE 3,862,681

WALGREEN'S STORE JEFFRSNVLLE 2,692,894

WALGREEN'S STORE JEFFRSNVLLE 4,339,000

WALGREEN'S STORE KARNS TN 4,315,000

WALGREEN'S STORE KNOXVILLE T 1,954,945



WALGREEN'S STORE LAVERGNE TN 3,200,000

WALGREEN'S STORE LEBANON TN 4,630,254

WALGREEN'S STORE LINCOLN IL 3,575,000

WALGREEN'S STORE LONDON KY 4,939,258

WALGREEN'S STORE LOWELL IN 3,140,000

WALGREEN'S STORE MUNCIE IN 4,050,000

WALGREEN'S STORE MUNCIE IN 3,815,000

WALGREEN'S STORE MUSKEGON MI 3,736,000

WALGREEN'S STORE NASHVILLE T 2,588,000



WALGREEN'S STORE NEW ALBANY 3,835,000

WALGREEN'S STORE PLAINFIELD 3,620,000

WALGREEN'S STORE PROSPECT KY 4,855,000

WALGREEN'S STORE RED BANK TN 3,018,000

WALGREEN'S STORE SAGINAW MI 4,959,000

WALGREEN'S STORE SMYRNA TN 3,770,000

WALGREEN'S STORE SOMERSET KY 3,568,549

WAL-MART STORE ASHEVILLE NC 24,555,000

WAL-MART STORE COVINGTON VA 9,176,000

WAL-MART STORE HARDINSBURG K 960,100

WAL-MART STORE JEFFERSON CIT 8,599,000

WAL-MART STORE LAFAYETTE TN 10,379,000

WAL-MART STORE LENOIR CITY T 11,181,000

WAL-MART STORE PRINCETON KY 2,913,682

WAL-MART STORE VINCENNES IN 11,920,000

80




December 31, 2018

Real Estate

WINN DIXIE HILLVIEW KY # 166 3,013,000

WINN DIXIE LAKELAND FL 4,679,321

WINN DIXIE LEITCHFIELD KY # 2,145,833

WINN DIXIE LEXINGTON KY # 16 3,407,000

WINN DIXIE RADCLIFF KY # 161 3,590,146

WINN DIXIE ST MATTHEWS KY # 4,348,437

81




December 31, 2018

Cash/Cash Equivalents

CASH - CASH MGMT SECURITIES 502

CASH POOL UNITS 467,320,415

82


Medical Investment Holdings

December 31, 2018

Description Par-Quantity

Shares / UnitsDomestic & International Equities

BLACK ROCK FUND B 447,154,450

FT WASH FOCUSED EQTY SECURIT 30,087,998

Par AmountFixed Income



ALIBABA 1,000,000

ALPHABET INC 1,000,000

APPLE INC 1,000,000

APPLE INC 1,000,000


BAIDU INC 500,000



BOEING CO 1,160,000


CITIBANK 2,000,000

COCA COLA BOTTL CO 2,000,000

COCA-COLA 1,000,000

COMMONWEALTH BK AUSTR NY 1,000,000

COSTCO 1,500,000

COUNTY OF OLDHAM KY 550,000

ELI LILLY & CO 1,000,000

EXXON MOBIL CORP 2,000,000



GATX CORP 400,000

GOLDMAN SACHS 1,000,000



1



December 31, 2018



KROGER CO 1,000,000

KROGER CO 1,000,000

LABORATORY CORP OF AMERICA 1,000,000


LEXINGTON-FAYETTE 1,615,000

LOWE'S COS INC 1,684,000

MCDONALD´S CORP 2,000,000

MCDONALS'S CORP 1,000,000



MICROSOFT CORP 500,000







PEPSICO 1,041,000


PRECISION CASTPARTS CORP 1,000,000



SIMON PROPERTY GROUP 1,000,000


STRYKER CORP 465,000

TEXAS INSTRUMENTS 875,000

TEXAS INSTRUMENTS INC 500,000



2



December 31, 2018




UNITED PARCEL SERVICE 773,000














US TREAUSRY N/B 1,000,000



VENTAS REALTY CAP. CORP. 1,500,000

VISA INC 1,000,000


WALT DISNEY CO 2,000,000

WELLS FARGO & CO. 1,000,000

Capital ContributedAdditional Categories

HIGHBRIDGE SPECIALTY III MED 1,759,585

MARATHON EUROPEAN CREDIT II 2,089,463

MED FT WASHINGTON HIYD BOND FUND 46,945,033

MED MARATHON ECO III 6,058,405

MEDICAL - COLUMBIA SECURITIE 44,917,202

3



December 31, 2018


MEDICAL - MARATHON CREDIT FU 42,098,935

MEDICAL - SHENKMAN SECURITIE 42,051,067

MEDICAL INS. OAKTREE EURO CS 4,477,554

MEDICAL OAKTREE OPP XB 1,242,280

Capital ContributedAlternative Investments

ACTIS GLOBAL IV MEDICAL TRUS 3,011,997

APAX IX MEDICAL 3,639,725

AUDAX PRIVATE EQUITY V - MED 5,977,758

CARLYLE GLOBAL FINANCIAL III 1,415,162

FORT WASHINGTON PE OPP. III 2,629,113

KKR AMERICAS XII 3,154,833

LANDMARK XV - MEDICAL 1,735,975

MED INS. CARLYLE ASIA PARTNE 765,269

MED. LANDMARK PE XVI 1

MEDICAL - FT. WAHSINGTON VII 2,405,473

MEDICAL INS. APAX DIGITAL FU 608,185

MEDICAL INS. CARLYLE EUROPEA 8,092,534

MEDICAL INS. KKR EUROPEAN IV 6,860,392

MEDICAL-FORT WASHINGTON VIII 6,047,281

MEDICAL-FT. WASHINGTON IX 3,267,482

MEDICAL-FT. WASHINGTON IX-K 2,819,352

NATURAL RESOURCES XII MEDICA 3,085,133

NGP NATURAL RESOURCES XI MED 6,728,887

OAKTREE EUROPEAN PRIN. IV ME 6,077,574

RIVERSTONE VI MEDICAL 5,521,343

Par AmountReal Estate

CARLYLE PROPERTY INVESTORS M 10,360,819

CARLYLE REALTY VIII MEDICAL 514,684

LANDMARK REAL ESTATE VII 5,155,144

MEDICAL - CARLYLE REALTY VII 3,762,761

4



December 31, 2018


MEDICAL INS. BLACKSTONE RE V 5,531,966

MEDICAL LANDMARK RE VIII 1,244,206

MEDICAL PRISA LP 11,363,376

ROCKWOOD FUND X 5,389,925

TA CORE REALTY FUND MEDICAL 7,749,457

TA REALTY XI - MEDICAL INSUR 9,813,556

Par AmountCash / Cash Equivalents

CASH - CASH MGMT SECURITIES 14

CASH POOL UNITS 21,489,240

5


Life Insurance Holdings

December 31, 2018


Shares / UnitsDomestic & International Equities

1,080,780BAILLIE GIFFORD EAFE - LIFE

486,653FT WASH FOCUSED EQTY SECURIT

6,003ISHARES TR

17,191,029LIFE BLACK ROCK ACWI EX US I

7,107SPDR S&P MIDCAP 400 ETF TR

91,290SPIDER UNIT TRUST

Par AmountFixed Income

400,000APPLE INC

400,000BURLINGTON NORTH SANTA FE

500,000COMCAST CORP

400,000COMMONWEALTH BK AUSTR NY

200,000CONSTELLATION BRANDS INC

400,000CSX CORP

19,079FG G12098

78,380FG G18182

200,000FIDELITY NATL FINANCIAL

300,000FISERV INC

240,585FNMA POOL # 900852

500,000GATX CORP

180,206GNMA MTG POOL # 567909

79,745GNMA MTG POOL # 599800

1,000,000JOHNSON & JOHNSON

1,000,000JOHNSON & JOHNSON

200,000JPMORGAN CHASE & CO

200,000KROGER CO

200,000KROGER CO

500,000MICROSOFT CORP

50,000MOODY'S CORP

2,000,000NASHVILLE & DAVIDSON CO TN W

100,000PACIFIC GAS & ELECTRIC

400,000REPUBLIC SERVICES INC

1


Life Insurance Holdings

December 31, 2018


400,000ROLLS ROYCE PLC

400,000S&P GLOBAL INC

400,000TEXAS INSTRUMENTS

2,000,000U S TREASURY

1,500,000UNDER ARMOUR INC

400,000UNITED STATES TREASURY

2,000,000US TREASURY

500,000US TREASURY

200,000US TREASURY

1,000,000US TREASURY BOND

1,500,000US TREASURY N/B







500,000US TREASURY N/B




130,000VERISK ANALYTICS INC

Capital ContributedAdditional Categories

1,343,968LIFE MARATHON CREDIT FUND

Par AmountReal Estate

51,625CARLYLE PROPERTY INVESTORS L

774,946TA CORE REALTY FUND LIFE

Par AmountCash / Cash Equivalents

2CASH - CASH MGMT SECURITIES

3,987,052CASH POOL UNITS

2

Teachers' Retirement System of the State of Kentucky

Retirement Annuity Trust

Quarterly Investment Performance

Gross Returns

For the Period Ended December 31, 2018

FINAL

Market Value Last Qtr FYTD 1-Year 3-Year* 5-Year* 10-Year* 20-Year*

TOTAL PLAN 18,145,273,505.19$ -9.18 -6.46 -4.78 6.65 5.62 9.42 5.64

Policy Benchmark -8.35 -4.91 -4.17 7.15 5.65 9.15 -

Total Equity 10,907,446,056.91$ -15.60 -12.36 -10.59 6.72 5.50 11.50 5.22

Domestic Equity 7,114,451,020.63$ -15.63 -10.55 -7.70 7.85 7.42 13.03 5.97

S&P 1500 Index -13.97 -7.65 -4.96 9.17 8.25 13.20 -

All-Cap Equities 289,425,748.72$ -12.89 -7.43 -4.69 - - - -

Russell 3000 -14.30 -8.20 -5.24 - - - -

Fort Washington Focused Equity 289,425,748.72$ -12.89 -7.43 -4.69 - - - -

Large-Cap Equities 5,891,790,194.12$ -15.25 -9.88 -7.48 7.79 7.55 12.87 -

S&P 500 Index -13.52 -6.85 -4.38 9.26 8.49 13.12 5.61

Todd Asset Large Cap Intrinsic Value (Stocks) 1,057,860,682.15$ -16.50 -12.77 -13.61 6.74 6.27 11.68 6.33

S&P 500 Stock Index Fund 2,292,077,013.96$ -13.44 -6.69 -3.98 9.58 8.76 13.27 5.79

UBS Value Oriented (Global) 745,796,134.41$ -18.08 -15.31 -12.74 5.70 6.18 12.12 6.06

State Street US Premier Growth Equity 583,230,204.72$ -14.58 -7.60 -1.87 9.20 9.12 15.13 -

Todd Asset Intrinsic Value Opportunity (Alpha) 403,886,589.77$ -16.86 -11.78 -11.79 1.54 2.01 13.24 -

UBS Alpha Equity 225,707,608.66$ -17.94 -14.72 -12.91 6.07 7.13 12.48 -

Wellington Large Cap Equity 583,231,960.45$ -14.25 -7.61 -2.18 9.17 9.36 14.18 -

Mid-Cap Equities 571,056,881.98$ -17.30 -13.70 -8.91 8.74 7.28 13.98 -

S&P 400 Index -17.28 -14.08 -11.08 7.66 6.03 13.68 -

S&P 400 Stock Index Fund 278,268,230.29$ -17.13 -13.95 -11.01 7.77 6.12 13.67 -

Wellington Mid Cap Equity 292,788,651.69$ -17.45 -13.42 -6.54 9.76 8.61 -

Small-Cap Equities 362,178,195.81$ -20.45 -17.28 -11.00 7.94 5.95 13.90 -

S&P 600 Index -20.10 -16.34 -8.48 9.46 6.34 13.61 -

Wellington Small Cap Equity 158,161,309.34$ -21.15 -18.51 -13.38 6.46 5.72 15.21 9.66

S&P 600 Stock Index Fund 204,016,886.47$ -19.91 -16.31 -9.06 9.06 6.17 13.28 -




Gross Returns


FINAL


International Equity 3,792,995,036.28$ -15.53 -15.51 -15.52 4.60 1.33 8.00 -

MSCI AC World Ex US -11.41 -10.70 -13.78 4.98 1.14 7.06 -

Todd Asset International Intrinsic Value 681,305,670.69$ -16.52 -16.39 -17.93 0.22 -1.07 7.37 -

Baillie Gifford EAFE Fund 943,545,813.96$ -19.08 -21.58 -16.97 7.23 2.26 10.08 -

UBS All Country World Ex US Equity 788,730,364.85$ -14.06 -12.27 -13.53 5.72 2.05 - -

Barings All Country World Ex US 598,148,883.00$ -14.79 -12.86 -13.31 5.42 2.70 - -

Black Rock MSCI ACWI Ex US IMI Index 703,429,660.88$ -11.84 -11.45 -14.46 4.75 1.31 - -

Todd Asset International Intrinsic Value Opportunity 77,834,642.90$ -13.80 -14.94 -20.81 -0.24 - - -

Fixed Income 3,039,369,585.59$ 1.65 1.71 0.28 2.66 2.98 4.54 5.12

Barclay's Govt./Credit Index 1.46 1.51 -0.42 2.19 2.53 3.46 4.56

Intermediate

Barclay's Intermediate Govt/Credit Index 1.65 1.87 0.88 1.70 1.86 2.90 4.16

Intermediate Bond Fund 539,835,128.86$ 1.50 1.73 1.08 1.67 1.82 3.71 4.54

Broad

Barclay's Govt./Credit Index 1.46 1.51 -0.42 2.19 2.53 3.46 4.56

Fort Washington Core Fixed Income 486,923,020.95$ 0.41 0.66 -1.22 2.87 2.75 4.46 4.88

Broad Market Bond Fund 668,891,358.23$ 1.99 2.17 0.83 2.76 3.15 4.68 5.21

Galliard Capital Management Core Fixed Income 495,188,459.03$ 1.67 1.77 0.15 2.82 3.53 4.67 -

Internal Bond Fund 169,354,697.56$ 2.48 2.43 1.69 3.11 3.83 4.83 5.23

Tax Shelter Fund 316,458.51$ 0.53 0.99 1.73 0.95 0.60 0.36 2.03

Long

Hybrid Index 1.23 1.10 -1.91 2.85 3.54 4.33 5.15

Long Term Bond Fund 678,860,462.45$ 2.22 1.79 -0.26 3.45 4.10 5.28 5.70




Gross Returns


FINAL


Real Estate:

In House Real Estate Equity 424,559,554.26$ 2.44 4.40 10.66 11.08 10.03 8.90 9.05

CPI plus 2% 0.79 1.75 3.98 4.09 3.52 3.84 4.17

Core Real Estate: 446,876,887.18$ 2.24 4.66 8.98 8.79 11.08 4.70 -

NCREIF ODCE (VW) 1.76 3.88 8.35 8.24 10.41 7.00 -

Prudential PRISA Fund 349,515,581.26$ 2.40 4.27 8.82 8.80 11.09 4.70 -

Carlyle Property Investors 56,231,498.30$ 1.68 4.43 8.21 - - - -

TA Realty Core Property Fund 41,129,807.62$ 1.63 10.26 - - - - -

Non-Core Real Estate: 320,563,253.37$ 2.81 5.64 11.05 13.25 15.93 - -

NCREIF Property Index 1.37 3.07 6.72 7.21 9.33 - -

Carlyle Realty Partners VI 7,123,424.00$ -0.68 0.98 0.38 6.99 15.48 - -

Blackstone Partners VII 35,649,034.00$ 2.20 3.21 12.40 11.45 16.27 - -

Rockwood Capital Real Estate Partners IX 18,631,728.09$ 0.39 3.36 5.23 15.46 17.30 - -

The Realty Associates Fund X 28,558,186.00$ 4.54 7.82 15.29 15.35 15.19 - -

Angelo Gordon Net Lease Realty Fund III 40,295,198.00$ 2.07 4.58 10.42 9.30 - - -

Carlyle Realty Partners VII 29,675,438.00$ 4.78 11.29 21.76 18.53 - - -

Landmark Real Estate Partners VII 29,059,188.00$ 1.35 2.84 5.59 13.62 - - -

Blackstone Partners VIII 38,179,268.97$ 4.43 7.35 16.59 19.06 - - -

The Realty Associates Fund XI 52,325,335.00$ 3.71 6.36 9.80 - - - -

Rockwood Capital Real Estate Partnrs Fund X 30,104,289.31$ 1.74 9.04 14.16 - - - -

Landmark Real Estate Partners VIII 8,254,090.00$ 0.17 -10.22 -17.89 - - - -

Carlyle Realty Partners VIII 2,708,074.00$ 5.07 -108.18 -111.37 - - - -




Gross Returns


FINAL



Private Equity 1,187,639,090.02$ 4.29 8.81 16.42 13.76 13.53 12.27 -

Mature Private Equity 402,600,795.23$ 4.58 9.95 15.94 10.87 12.20 - -

S&P 500 plus 3% -12.88 -5.46 -1.52 12.53 11.75 16.51 -

KKR & Co Fund 2006 7,731,978.00$ 13.54 34.88 35.04 18.86 17.21 14.43 -

Chrysalis Ventures Fund III 12,417,713.00$ -5.32 -10.37 -13.36 -9.65 -3.22 -0.30 -

Fort Washington Fund V 6,284,613.00$ 3.47 6.99 12.23 7.76 10.37 12.22 -

KKR European III 13,455,394.00$ 16.83 25.65 37.70 24.59 22.49 9.61 -

Fort Washington Fund VI 19,597,272.00$ 7.49 12.15 22.04 11.94 17.35 15.37 -

Riverstone/Carlyle E&P Fund IV 24,532,019.00$ 3.50 7.81 13.98 2.83 -3.42 5.77 -

Alinda Infrastructure Fund II 24,523,896.00$ -3.75 -2.75 -12.04 -4.29 4.14 6.34 -

Capital South Partners III 818,333.00$ -4.99 -9.27 -3.17 4.04 14.29 10.01 -

Landmark Equity Partners XIV 6,131,949.00$ 0.83 1.87 1.15 -0.99 4.93 - -

Lexington Capital Partners VII 9,052,788.00$ 5.52 4.95 13.46 9.70 13.30 - -

Stepstone Pioneer Capital III 13,447,672.00$ 5.25 12.51 25.91 11.37 14.82 - -

Oaktree Mezzanine Fund III 1,041,915.00$ 0.24 5.00 54.62 24.34 20.50 - -

JP Morgan Maritime Fund 33,074,711.12$ -0.13 3.11 6.78 -7.35 -5.22 - -

Audax Mezzanine Fund III 4,995,607.01$ 3.77 4.48 2.38 10.95 11.26 - -

Hellman & Friedman VII 67,184,733.00$ 7.95 13.30 32.03 37.49 33.01 - -

Oaktree European Principal Fund III 18,627,063.00$ 9.45 4.95 17.13 16.32 14.28 - -

NGP Natural Resources X 25,697,045.00$ 1.45 9.12 17.49 16.34 7.84 - -

Riverstone E&P Fund V 20,629,029.00$ 1.49 10.88 9.85 7.62 7.10 - -

APAX VIII 35,011,661.10$ 4.65 10.97 19.92 15.19 15.11 - -

Actis Global Fund IV 42,420,826.00$ 4.37 21.04 18.34 8.05 16.90 - -

Audax Private Equity Fund IV 15,924,578.00$ 6.15 6.15 10.97 13.60 15.85 - -




Gross Returns


FINAL


Private Equity < 5 Years 785,038,294.79$ 3.85 7.96 16.60 16.48 14.49 - -

Landmark Equity Partners XV 12,494,452.00$ 5.97 11.22 26.09 16.49 - - -

Fort Washington Fund VIII 27,077,227.00$ 3.45 6.11 15.72 12.45 - - -

Carlyle Global Financial Service Partners II 26,341,574.00$ 3.51 4.94 16.78 17.63 - - -

Public Pension Capital LLC 80,134,109.20$ 18.62 22.36 28.67 20.69 - - -

NGP Natural Resources XI 52,846,390.00$ 2.16 9.13 20.14 21.49 - - -

Gavea Investments Fund V 7,249,876.11$ -4.84 -16.25 -23.66 19.22 - - -

Oaktree Mezzanine Fund IV 18,294,194.00$ 2.02 4.78 9.68 9.57 - - -

Lexington Capital Partners VIII 23,875,804.96$ 3.51 6.07 24.93 20.25 - - -

KKR European Fund IV 46,772,677.00$ 3.08 5.58 26.25 8.84 - - -

IFM Global Infrastructure 122,511,290.64$ -0.41 7.56 16.57 13.68 - - -

Carlyle Europe Partners IV 54,157,599.00$ 0.29 -0.70 15.86 12.63 - - -

Audax Private Equity Fund V 21,320,234.73$ -0.38 0.35 -4.52 - - - -

Fort Washington Fund IX 13,114,492.00$ 5.83 10.50 13.03 - - - -

Fort Washington Fund IX-K 11,340,995.00$ 1.46 7.85 6.19 - - - -

Hellman & Friedman Fund VIII 42,559,458.00$ 3.11 4.86 17.26 - - - -

Riverstone E&P Fund VI 37,658,018.00$ 1.66 3.31 5.30 - - - -

Audax Mezzanine Fund IV 8,049,889.32$ 2.67 6.22 14.58 - - - -

JP Morgan Maritime Fund II 14,398,557.78$ 5.28 7.03 15.15 - - - -

APAX IX 26,456,108.00$ 11.35 16.28 25.71 - - - -

Oaktree European Principal Fund IV 36,615,958.00$ 7.42 14.71 22.10 - - - -

KKR Americas Fund XII 17,790,223.00$ 5.55 11.35 25.19 - - - -

NGP Natural Resources XII 16,723,235.00$ 2.75 13.23 11.76 - - - -

Carlyle Global Financial Service Partners III 7,451,085.00$ 4.95 7.45 - - - - -

JP Morgan Global Transport Income Fund 50,083,840.37$ 0.34 0.35 - - - - -

APAX Digital Fund 4,777,619.68$ -201.16 - - - - - -

Landmark Equity Partners XVI 1,197,125.00$ - - - - - - -

Carlyle Asia V 3,746,262.00$ - - - - - - -

Timberland: 181,629,549.70$ 0.39 1.61 -5.76 1.06 4.57 3.43 -

NCREIF Timberland Index 0.97 2.00 3.44 3.22 4.98 3.83

Hancock Bluegrass LLC - Oregon 30,111,400.00$ 0.24 1.50 8.59 9.68 10.42 5.49 -

Molpus Lake Superior Timberlands (Michigan) 91,906,859.62$ 0.39 1.46 -7.98 -4.99 1.51 2.78 -

Molpus Lake Superior Timberlands (Hiwassee) 7,781,247.70$ -0.22 0.56 -10.66 0.30 -0.33 -1.42 -

Molpus Seven States 51,830,042.38$ 0.58 2.11 -8.92 8.24 7.99 - -




Gross Returns


FINAL


Additional Categories: 1,374,568,294.59$ -1.57 0.97 2.86 6.05 4.00 - -

B of A Merrill Lynch High Yield Master II -4.67 -2.34 -2.27 7.27 3.82 - -

Evergreen Funds:

Fort Washington High Yield Bond Fund 300,261,496.39$ -4.05 -1.94 -2.18 5.99 3.30 - -

Marathon/TRS Credit Fund 343,558,371.95$ 0.12 2.48 4.29 6.47 2.86 - -

Shenkman Capital Management 246,856,354.67$ -2.75 -0.60 1.46 4.97 3.08 - -

Barings Capital European Loan Fund 99,210,000.00$ -1.21 1.33 3.46 5.93 - - -

Columbia High Yield Bond Fund 160,936,397.93$ -4.51 -1.75 -3.08 - - - -

Non-Evergreen Funds:

Avenue Special Situations Fund VI 7,974,815.00$ -2.05 1.31 12.49 -4.23 -2.41 - -

Oaktree Opportunities Fund IX 40,367,928.00$ 1.13 5.13 6.31 8.88 5.97 - -

Highbridge Principal Strategies III 15,717,953.22$ 1.29 3.66 4.71 7.17 7.87 - -

Oaktree European Dislocation Fund 2,041,680.00$ -13.52 -16.00 -6.20 10.07 10.58 - -

Marathon European Credit Opportunities Fund II 42,388,865.22$ 2.59 7.19 20.13 13.32 - - -

Oaktree Opportunities Fund X 26,167,033.00$ 2.85 10.16 15.59 29.21 - - -

Oaktree European Capital Solutions Fund 23,807,808.00$ 2.23 1.05 9.17 11.11 - - -

Marathon European Credit Opportunities Fund III 59,076,788.21$ 7.76 12.39 18.83 - - - -

Oaktree Opportunities Fund X(b) 6,202,803.00$ -1.35 -1.82 - - - - -

Short Term:

Cash (Unallocated) 262,621,233.57$ 0.54 1.07 1.97 1.09 0.69 0.44 2.06

90 Day T-Bill 0.56 1.06 1.87 0.99 0.61 0.35 1.80

Total Plan Gross Return for 30-year period* 8.04

*Returns are annualized for periods longer than one year

** Prior to July 1, 2008, TRS did not benchmark overall fund performance. Effective July 1, 2008, the Board of Trustees approved a Policy Index that represents the returns

of appropriate benchmarks for the various asset classes weighted by the mid-point of the strategic range for the current fiscal year.




Net of Managment Fee Returns


FINAL


TOTAL PLAN 18,145,273,505.19$ -9.25 -6.53 -5.05 6.35 5.40 9.19 5.50

Policy Benchmark -8.35 -4.91 -4.17 7.15 5.65 9.15 -

Total Equity 10,907,446,056.91$ -15.64 -12.39 -10.71 6.57 5.38 - -

Domestic Equity 7,114,451,020.63$ -15.65 -10.57 -7.79 7.74 7.33 - -

S&P 1500 Index -13.97 -7.65 -4.96 9.17 8.25 - -

All-Cap Equities 289,425,748.72$ -12.89 -7.43 -4.93 - - - -

Russell 3000 -14.30 -8.20 -5.24 - - - -

Fort Washington Focused Equity 289,425,748.72$ -12.89 -7.43 -4.93 - - - -

Large-Cap Equities 5,891,790,194.12$ -15.26 -9.89 -7.55 7.72 7.48 - -

S&P 500 Index -13.52 -6.85 -4.38 9.26 8.49 - -

Todd Asset Large Cap Intrinsic Value (Stocks) 1,057,860,682.15$ -16.51 -12.78 -13.66 6.68 6.21 - -

S&P 500 Stock Index Fund 2,292,077,013.96$ -13.44 -6.69 -3.98 9.58 8.76 - -

UBS Value Oriented (Global) 745,796,134.41$ -18.12 -15.33 -12.86 5.57 6.07 - -

State Street US Premier Growth Equity 583,230,204.72$ -14.58 -7.57 -1.99 9.07 9.01 - -

Todd Asset Intrinsic Value Opportunity (Alpha) 403,886,589.77$ -16.88 -11.79 -11.84 1.48 1.95 - -

UBS Alpha Equity 225,707,608.66$ -18.07 -14.80 -13.25 5.64 6.61 - -

Wellington Large Cap Equity 583,231,960.45$ -14.28 -7.64 -2.30 9.02 9.23 - -

Mid-Cap Equities 571,056,881.98$ -17.36 -13.77 -9.16 8.44 7.03 - -

S&P 400 Index -17.28 -14.08 -11.08 7.66 6.03 - -

S&P 400 Stock Index Fund 278,268,230.29$ -17.13 -13.95 -11.01 7.77 6.12 - -

Wellington Mid Cap Equity 292,788,651.69$ -17.58 -13.55 -7.06 9.10 8.03 - -

Small-Cap Equities 362,178,195.81$ -20.49 -17.31 -11.13 7.77 5.80 - -

S&P 600 Index -20.10 -16.34 -8.48 9.46 6.34 - -

Wellington Small Cap Equity 158,161,309.34$ -21.22 -18.59 -13.67 6.08 5.38 - -

S&P 600 Stock Index Fund 204,016,886.47$ -19.91 -16.31 -9.06 9.06 6.17 - -






FINAL


International Equity 3,792,995,036.28$ -15.59 -15.56 -15.70 4.37 1.15 - -

MSCI AC World Ex US -11.41 -10.70 -13.78 4.98 1.14 - -

Todd Asset International Intrinsic Value 681,305,670.69$ -16.53 -16.40 -17.98 0.16 -1.12 - -

Baillie Gifford EAFE Fund 943,545,813.96$ -19.16 -21.65 -17.28 6.84 2.01 - -

UBS All Country World Ex US Equity 788,730,364.85$ -14.12 -12.30 -13.68 5.52 1.86 - -

Barings All Country World Ex US 598,148,883.00$ -14.98 -12.97 -13.69 4.95 2.26 - -

Black Rock MSCI ACWI Ex US IMI Index 703,429,660.88$ -11.84 -11.45 -14.49 4.71 1.27 - -

Todd Asset International Intrinsic Value Opportunity 77,834,642.90$ -13.81 -14.95 -20.85 -0.30 - - -

Fixed Income 3,039,369,585.59$ 1.65 1.70 0.26 2.64 2.97 - -

Barclay's Govt./Credit Index 1.46 1.51 -0.42 2.19 2.53 - -

Intermediate

Barclay's Intermediate Govt/Credit Index 1.65 1.87 0.88 1.70 1.86 - -

Intermediate Bond Fund 539,835,128.86$ 1.50 1.73 1.08 1.67 1.82 - -

Broad

Barclay's Govt./Credit Index 1.46 1.51 -0.42 2.19 2.53 - -

Fort Washington Core Fixed Income 486,923,020.95$ 0.41 0.66 -1.25 2.83 2.72 - -

Broad Market Bond Fund 668,891,358.23$ 1.99 2.17 0.83 2.76 3.15 - -

Galliard Capital Management Core Fixed Income 495,188,459.03$ 1.66 1.76 0.10 2.77 3.48 - -

Internal Bond Fund 169,354,697.56$ 2.48 2.43 1.69 3.11 3.83 - -

Tax Shelter Fund 316,458.51$ 0.53 0.99 1.73 0.95 0.60 - -

Long

Hybrid Index 1.23 1.10 -1.91 2.85 3.54 - -

Long Term Bond Fund 678,860,462.45$ 2.22 1.79 -0.26 3.45 4.10 - -






FINAL


Real Estate:

Real Estate Equity 424,559,554.26$ 2.44 4.40 10.66 11.08 10.03 - -

CPI plus 2% 0.79 1.75 3.98 4.09 3.52 - -

Core Real Estate: 446,876,887.18$ 2.06 4.49 8.21 7.97 10.34 - -

NCREIF ODCE (VW) 1.76 3.88 8.35 8.24 10.41 - -

Prudential PRISA Fund 349,515,581.26$ 2.21 4.06 7.98 7.94 10.33 - -

Carlyle Property Investors 56,231,498.30$ 1.55 4.29 7.65 - - - -

TA Realty Core Property Fund 41,129,807.62$ 1.50 10.33 - - - - -

Non-Core Real Estate: 320,563,253.37$ 2.21 5.07 8.55 10.71 14.14 - -

NCREIF Property Index 1.37 3.07 6.72 7.21 9.33 - -

Carlyle Realty Partners VI 7,123,424.00$ -1.25 0.40 -1.37 5.51 14.37 - -

Blackstone Partners VII 35,649,034.00$ 1.68 2.94 11.24 10.16 14.91 - -

Rockwood Capital Real Estate Partners IX 18,631,728.09$ -0.42 2.59 1.93 12.76 15.40 - -

The Realty Associates Fund X 28,558,186.00$ 3.97 7.23 12.76 12.79 13.44 - -

Angelo Gordon Net Lease Realty Fund III 40,295,198.00$ 1.54 4.05 8.01 6.84 - - -

Carlyle Realty Partners VII 29,675,438.00$ 4.35 10.83 19.80 15.82 - - -

Landmark Real Estate Partners VII 29,059,188.00$ 0.93 2.39 3.97 11.51 - - -

Blackstone Partners VIII 38,179,268.97$ 3.90 6.84 13.74 14.70 - - -

The Realty Associates Fund XI 52,325,335.00$ 3.23 5.87 8.10 - - - -

Rockwood Capital Real Estate Partnrs Fund X 30,104,289.31$ 1.17 8.47 10.64 - - - -

Landmark Real Estate Partners VIII 8,254,090.00$ -1.28 -11.41 -23.87 - - - -

Carlyle Realty Partners VIII 2,708,074.00$ -1.14 -32.40 - - - - -






FINAL



Private Equity 1,187,639,090.02$ 3.85 8.25 14.52 11.83 12.16 - -

Mature Private Equity 402,600,795.23$ 4.33 9.71 14.82 9.30 11.16 - -

S&P 500 plus 3% -12.88 -5.46 -1.52 12.53 11.75 - -

KKR & Co Fund 2006 7,731,978.00$ 13.45 34.90 34.63 18.87 17.27 - -

Chrysalis Ventures Fund III 12,417,713.00$ -5.61 -10.64 -14.33 -10.83 -4.16 - -

Fort Washington Fund V 6,284,613.00$ 3.23 7.00 11.22 6.97 9.77 - -

KKR European III 13,455,394.00$ 16.66 25.74 37.48 24.27 22.32 - -

Fort Washington Fund VI 19,597,272.00$ 7.30 12.13 21.21 11.27 16.83 - -

Riverstone/Carlyle E&P Fund IV 24,532,019.00$ 3.20 7.51 13.54 2.26 -3.80 - -

Alinda Infrastructure Fund II 24,523,896.00$ -3.93 -2.93 -13.30 -5.48 3.26 - -

Capital South Partners III 818,333.00$ -4.99 -9.27 -3.39 0.47 11.93 - -

Landmark Equity Partners XIV 6,131,949.00$ 0.49 1.50 -0.72 -3.17 3.35 - -

Lexington Capital Partners VII 9,052,788.00$ 5.19 4.60 12.04 8.33 12.30 - -

Stepstone Pioneer Capital III 13,447,672.00$ 4.97 12.16 24.76 10.38 14.11 - -

Oaktree Mezzanine Fund III 1,041,915.00$ -0.29 4.45 49.49 21.86 18.88 - -

JP Morgan Maritime Fund 33,074,711.12$ -0.56 2.67 4.94 -8.97 -6.38 - -

Audax Mezzanine Fund III 4,995,607.01$ 3.25 3.89 0.58 9.24 9.99 - -

Hellman & Friedman VII 67,184,733.00$ 7.91 13.25 31.73 36.58 32.24 - -

Oaktree European Principal Fund III 18,627,063.00$ 8.96 4.47 15.36 14.64 13.09 - -

NGP Natural Resources X 25,697,045.00$ 1.05 8.69 15.54 14.11 6.43 - -

Riverstone E&P Fund V 20,629,029.00$ 1.39 10.78 9.01 6.65 6.42 - -

APAX VIII 35,011,661.10$ 4.40 10.70 18.88 14.08 14.14 - -

Actis Global Fund IV 42,420,826.00$ 3.95 20.49 16.39 5.30 14.67 - -

Audax Private Equity Fund IV 15,924,578.00$ 6.15 6.15 10.97 13.60 15.85 - -






FINAL


Private Equity < 5 Years 785,038,294.79$ 3.49 7.55 14.62 14.04 12.74 - -

Landmark Equity Partners XV 12,494,452.00$ 5.33 10.54 23.07 13.07 - - -

Fort Washington Fund VIII 27,077,227.00$ 3.32 6.11 15.14 11.69 - - -

Carlyle Global Financial Service Partners II 26,341,574.00$ 3.08 4.50 14.58 14.53 - - -

Public Pension Capital LLC 80,134,109.20$ 18.14 21.76 26.47 11.64 - - -

NGP Natural Resources XI 52,846,390.00$ 1.81 8.76 18.35 17.93 - - -

Gavea Investments Fund V 7,249,876.11$ -5.33 -16.68 -26.07 11.57 - - -

Oaktree Mezzanine Fund IV 18,294,194.00$ 1.64 4.39 8.03 8.14 - - -

Lexington Capital Partners VIII 23,875,804.96$ 3.18 5.75 23.42 17.30 - - -

KKR European Fund IV 46,772,677.00$ 3.05 5.55 24.12 5.87 - - -

IFM Global Infrastructure 122,511,290.64$ -0.57 7.20 15.52 12.61 - - -

Carlyle Europe Partners IV 54,157,599.00$ -0.03 -1.01 13.87 9.57 - - -

Audax Private Equity Fund V 21,320,234.73$ -0.38 0.35 -4.52 - - - -

Fort Washington Fund IX 13,114,492.00$ 5.63 10.51 12.10 - - - -

Fort Washington Fund IX-K 11,340,995.00$ 1.30 7.95 5.34 - - - -

Hellman & Friedman Fund VIII 42,559,458.00$ 2.70 4.45 15.33 - - - -

Riverstone E&P Fund VI 37,658,018.00$ 1.17 2.83 3.48 - - - -

Audax Mezzanine Fund IV 8,049,889.32$ 1.59 5.19 8.72 - - - -

JP Morgan Maritime Fund II 14,398,557.78$ 4.86 6.60 13.67 - - - -

APAX IX 26,456,108.00$ 10.53 15.42 22.55 - - - -

Oaktree European Principal Fund IV 36,615,958.00$ 6.77 14.02 19.01 - - - -

KKR Americas Fund XII 17,790,223.00$ 5.23 11.01 9.50 - - - -

NGP Natural Resources XII 16,723,235.00$ 1.42 11.74 2.29 - - - -

Carlyle Global Financial Service Partners III 7,451,085.00$ 2.25 4.30 - - - - -

JP Morgan Global Transport Income Fund 50,083,840.37$ 0.33 0.33 - - - - -

APAX Digital Fund 4,777,619.68$ -189.44 - - - - - -

Landmark Equity Partners XVI 1,197,125.00$ - - - - - - -

Carlyle Asia V 3,746,262.00$ - - - - - - -






FINAL


Timberland: 181,629,549.70$ 0.18 1.40 -6.57 0.15 3.96 - -

NCREIF Timberland Index 0.97 2.00 3.44 3.22 4.98 - -

Hancock Bluegrass LLC - Oregon 30,111,400.00$ 0.06 1.31 7.79 8.86 9.83 - -

Molpus Lake Superior Timberlands (Michigan) 91,906,859.62$ 0.19 1.26 -8.74 -5.85 0.95 -

Molpus Lake Superior Timberlands (Hiwassee) 7,781,247.70$ -0.42 0.36 -11.38 -0.58 -0.85 -

Molpus Seven States 51,830,042.38$ 0.34 1.85 -9.81 7.20 7.27 - -

Additional Categories: 1,374,568,294.59$ -1.70 0.81 2.22 5.37 3.50 - -

B of A Merrill Lynch High Yield Master II -4.67 -2.34 -2.27 7.27 3.82 - -

Evergreen Funds:

Fort Washington High Yield Bond Fund 300,261,496.39$ -4.05 -1.94 -2.33 5.80 3.12 - -

Marathon/TRS Credit Fund 343,558,371.95$ -0.12 2.15 3.32 5.50 2.19 - -

Shenkman Capital Management 246,856,354.67$ -2.75 -0.60 1.14 4.57 2.68 - -

Barings Capital European Loan Fund 99,210,000.00$ -1.32 1.21 2.85 5.40 - - -

Columbia High Yield Bond Fund 160,936,397.93$ -4.60 -1.85 -3.44 - - - -


Avenue Special Situations Fund VI 7,974,815.00$ -2.05 1.31 12.39 -4.56 -2.65 - -

Oaktree Opportunities Fund IX 40,367,928.00$ 0.76 4.73 4.57 7.06 4.73 - -

Highbridge Principal Strategies III 15,717,953.22$ 0.90 3.13 3.08 5.24 6.53 - -

Oaktree European Dislocation Fund 2,041,680.00$ -13.88 -16.34 -7.53 7.61 8.94 - -

Marathon European Credit Opportunities Fund II 42,388,865.22$ 2.23 6.66 18.47 11.88 - - -

Oaktree Opportunities Fund X 26,167,033.00$ 2.40 9.64 13.15 23.18 - - -

Oaktree European Capital Solutions Fund 23,807,808.00$ 1.71 0.54 7.66 10.50 - - -

Marathon European Credit Opportunities Fund III 59,076,788.21$ 7.41 11.90 17.35 - - - -

Oaktree Opportunities Fund X(b) 6,202,803.00$ -1.35 -1.82 - - - - -

Short Term:

Cash (Unallocated) 262,621,233.57$ 0.54 1.07 1.97 1.09 0.69 - -

90 Day T-Bill 0.56 1.06 1.87 0.99 0.61 - -


** Prior to July 1, 2008, TRS did not benchmark overall fund performance. Effective July 1, 2008, the Board of Trustees approved a Policy Index that represents the returns

of appropriate benchmarks for the various asset classes weighted by the mid-point of the strategic range for the current fiscal year.


Health Insurance Trust


Gross Returns

For the Period Ended December 31, 2018FINAL

Market Value Last Qtr FYTD 1-Year 3-Year* 5-Year*

TOTAL PLAN 1,076,453,805.09$ -7.35 -4.29 -3.34 7.12 4.58

Policy Benchmark -8.08 -5.25 -4.71 6.96 -

Total Equity 601,150,680.75$ -13.26 -9.70 -9.55 6.77 4.52

All Cap Equities 32,237,797.87$ -14.38 -9.03 -6.40 - -

Russell 3000 -14.30 -8.20 -5.24 - -

Fort Washington Focused Equity 32,237,797.87$ -14.38 -9.03 -6.40 - -

Global Equities 568,912,882.88$ -13.20 -9.75 -9.76 6.91 4.60

MSCI AC World IMI (Net) -13.28 -9.92 -10.08 6.49 4.17

BlackRock Fund B 568,912,882.88$ -13.20 -9.75 -9.76 6.91 4.60

Fixed Income 110,667,565.74$ 1.48 1.67 0.23 1.75 1.59

Barclays Government Credit 1.46 1.51 -0.42 2.19 2.53

Internal Bond Fund 110,667,565.74$ 1.48 1.67 0.23 1.75 1.59

Real Estate:

Core Real Estate 31,859,785.66$ 1.94 5.43 9.26 - -

NCREIF ODCE (VW) 1.76 3.88 8.35 - -

Prudential Real Estate 12,387,525.88$ 2.38 4.20 8.80 - -

Carlyle Property Investors 11,246,298.60$ 1.68 4.43 8.21 - -

TA Realty Core Property Fund 8,225,961.18$ 1.63 10.26 - - -

Non-Core Real Estate 38,062,136.07$ 3.24 6.52 11.42 15.44 -

NCREIF Property Index 1.37 3.07 6.72 7.21 -

Carlyle Realty Partners VII 5,935,092.00$ 4.80 11.31 21.78 18.53 -

Landmark Real Estate Partners VII 5,811,838.00$ 1.35 2.84 5.59 13.62 -

Blackstone Partners VIII 7,635,849.19$ 4.43 7.35 16.59 19.07 -

The Realty Associates Fund XI 10,465,067.00$ 3.71 6.36 9.80 - -

Rockwood Capital Real Estate X 6,021,857.88$ 1.74 9.03 14.14 - -

Landmark Real Estate Partners VIII 1,650,817.00$ 0.17 -10.22 -17.89 - -

Carlyle Realty Partners VIII 541,615.00$ 5.07 -108.18 -111.37 - -




Gross Returns




Private Equity 97,847,485.17$ 4.20 8.13 16.69 15.40 17.17

Mature Private Equity 8,178,909.00$ 5.88 15.78 22.25 15.84 15.63

S&P 500 plus 3% -12.88 -5.46 -1.52 12.53 11.75

Fort Washington Fund VII 3,937,226.00$ 7.48 10.65 25.29 16.79 16.20

Actis Global Fund IV 4,241,683.00$ 4.35 21.04 18.31 8.04 16.87

Private Equity < 5 Years 89,668,576.17$ 3.32 6.68 15.45 15.29 -

Landmark Equity Partners XV 2,082,407.00$ 5.98 11.25 26.12 16.49 -

Fort Washington Fund VIII 7,736,351.00$ 3.45 6.11 15.71 12.44 -

Fort Washington PE Opportunities Fund III 4,517,468.00$ 2.34 2.49 21.01 17.59 -

NGP Natural Resources Fund XI 10,569,288.00$ 2.16 9.09 20.09 21.48 -

KKR European Fund IV 9,354,532.00$ 3.08 5.58 26.25 8.84 -

Carlyle Europe Partners IV 10,831,522.00$ 0.29 -0.70 15.86 12.64 -

Audax PE Fund V 7,106,745.24$ 0.32 0.32 -4.55 - -

Fort Washington Fund IX 3,746,854.00$ 5.83 10.50 13.01 - -

Fort Washington Fund IX-K 3,240,284.00$ 1.46 7.85 6.19 - -

Riverstone E&P Fund VI 7,531,605.00$ 1.66 3.31 5.30 - -

APAX IX 5,291,223.00$ 11.35 16.28 25.71 - -

Oaktree European Principal IV 7,323,192.00$ 7.42 14.71 22.10 - -

KKR Americas XII 3,558,043.00$ 5.55 11.35 25.19 - -

NGP Natural Resources Fund XII 3,344,645.00$ 2.75 13.23 11.76 - -

Carlyle Global Financial Services III 1,490,217.00$ 4.95 7.45 - - -

APAX Digital 955,523.93$ -201.16 0.00 - - -

Landmark Equity Partners XVI 239,424.00$ - - -

Carlyle Asia V 749,252.00$ - - -

Additional Categories: 189,966,470.15$ -2.26 0.33 1.40 6.48 3.59

B of A Merrill Lynch High Yield Master II -4.67 -2.34 -2.27 7.27 3.82

Evergreen Funds:

Fort Washington High Yield Bond Fund 43,972,070.44$ -3.97 -1.89 -2.13 6.07 3.31

Shenkman Capital Management 41,701,714.24$ -3.40 -1.15 0.71 4.77 3.39

Marathon/TRS Credit Fund 42,987,902.83$ 0.51 3.83 6.20 8.61 -

Columbia High Yield Bond Fund 43,030,376.33$ -4.45 -1.70 -3.08 - -


Highbridge Principal Strategies III 1,571,794.93$ 1.29 3.66 4.71 7.18 7.87

Marathon European Credit Opportunities Fund II 2,825,924.27$ 2.59 7.25 20.20 13.34 -

Oaktree European Capital Solutions Fund 4,759,221.00$ 2.24 1.06 9.10 11.62 -

Marathon European Credit Opportunities Fund III 7,876,905.11$ 7.76 12.39 18.83 - -

Oaktree Opportunities Fund X(b) 1,240,561.00$ -1.35 -1.82 - - -

Short Term:

Cash (Unallocated) 6,899,681.55$ 0.52 1.05 1.92 1.05 0.67

90 Day T-Bill 0.56 1.06 1.87 0.99 0.61




Gross Returns




** Prior to July 1, 2015, TRS did not benchmark overall fund performance. Effective July 1, 2015, the Board of Trustees approved a Policy Index that represents the returns of appropriate benchmarks

for the various asset classes weighted by the mid point of the strategic range for the current fiscal year.




Net of Management Fees Returns



TOTAL PLAN 1,076,453,805.09$ -7.44 -4.41 -3.71 6.72 4.29

Policy Benchmark -8.08 -5.25 -4.71 6.96 -

Total Equity 601,150,680.75$ -13.26 -9.69 -9.58 6.72 4.47

All Cap Equities 32,237,797.87$ -14.38 -9.03 -6.64 - -

Russell 3000 -14.30 -8.20 -5.24 - -

Fort Washington Focused Equity 32,237,797.87$ -14.38 -9.03 -6.64 - -

Global Equities 568,912,882.88$ -13.20 -9.75 -9.77 6.87 4.55

MSCI AC World IMI (Net) -13.28 -9.92 -10.08 6.49 4.17

BlackRock Fund B 568,912,882.88$ -13.20 -9.75 -9.77 6.87 4.55

Fixed Income 110,667,565.74$ 1.48 1.66 0.23 1.75 1.59

Barclays Government Credit 1.46 1.51 -0.42 2.19 2.53

Internal Bond Fund 110,667,565.74$ 1.48 1.66 0.23 1.75 1.59

Real Estate:

Core Real Estate 31,859,785.66$ 1.79 5.31 8.62 7.40 -

NCREIF ODCE (VW) 1.76 3.88 8.35 8.24 -

Prudential Real Estate 12,387,525.88$ 2.19 4.00 7.96 7.40 -

Carlyle Property Investors 11,246,298.60$ 1.55 4.29 7.65 - -

TA Realty Core Property Fund 8,225,961.18$ 1.50 10.33 - - -

Non-Core Real Estate 38,062,136.07$ 2.62 5.78 8.65 11.99 -

NCREIF Property Index 1.37 3.07 6.72 7.21 -

Carlyle Realty Partners VII 5,935,092.00$ 4.36 10.84 19.83 15.82 -

Landmark Real Estate Partners VII 5,811,838.00$ 0.93 2.39 3.97 11.51 -

Blackstone Partners VIII 7,635,849.19$ 3.90 6.84 13.74 15.04 -

The Realty Associates Fund XI 10,465,067.00$ 3.23 5.87 8.10 - -

Rockwood Capital Real Estate X 6,021,857.88$ 1.16 7.55 10.58 - -

Landmark Real Estate Partners VIII 1,650,817.00$ -1.28 -11.41 -23.87 - -

Carlyle Realty Partners VIII 541,615.00$ -1.14 -32.40 -75.33 - -








Private Equity 97,847,485.17$ 3.52 7.17 13.94 12.29 14.45

Mature Private Equity 8,178,909.00$ 5.55 15.50 20.81 14.80 14.83

S&P 500 plus 3% -12.88 -5.46 -1.52 12.53 11.75

Fort Washington Fund VII 3,937,226.00$ 7.28 10.64 24.43 15.94 15.51

Actis Global Fund IV 4,241,683.00$ 3.90 20.47 16.35 5.29 14.64

Private Equity < 5 Years 89,668,576.17$ 2.99 6.40 13.48 12.63 -

Landmark Equity Partners XV 2,082,407.00$ 5.35 10.57 23.10 13.07 -

Fort Washington Fund VIII 7,736,351.00$ 3.32 6.11 15.12 11.69 -

Fort Washington PE Opportunities Fund III 4,517,468.00$ 2.18 2.49 20.63 16.44 -

NGP Natural Resources Fund XI 10,569,288.00$ 1.81 8.72 18.31 17.91 -

KKR European Fund IV 9,354,532.00$ 3.05 5.55 24.12 5.87 -

Carlyle Europe Partners IV 10,831,522.00$ -0.03 -1.45 13.89 9.59 -

Audax PE Fund V 7,106,745.24$ 0.32 0.32 -4.55 - -

Fort Washington Fund IX 3,746,854.00$ 5.63 10.51 12.08 - -

Fort Washington Fund IX-K 3,240,284.00$ 1.30 7.95 5.34 - -

Riverstone E&P Fund VI 7,531,605.00$ 1.17 2.83 3.48 - -

APAX IX 5,291,223.00$ 10.53 15.42 22.55 - -

Oaktree European Principal IV 7,323,192.00$ 6.77 14.02 19.01 - -

KKR Americas XII 3,558,043.00$ 5.23 11.01 9.50 - -

NGP Natural Resources Fund XII 3,344,645.00$ 1.42 11.74 2.29 - -

Carlyle Global Financial Services III 1,490,217.00$ 2.25 4.32 - - -

APAX Digital 955,523.93$ -189.43 0.00 - - -

Landmark Equity Partners XVI 239,424.00$ - - -

Carlyle Asia V 749,252.00$ - - -

Additional Categories: 189,966,470.15$ -2.37 0.20 0.89 5.94 3.16

B of A Merrill Lynch High Yield Master II -4.67 -2.34 -2.27 7.27 3.82

Evergreen Funds:

Fort Washington High Yield Bond Fund 43,972,070.44$ -3.97 -1.89 -2.27 5.87 3.12

Shenkman Capital Management 41,701,714.24$ -3.40 -1.15 0.40 4.38 3.00

Marathon/TRS Credit Fund 42,987,902.83$ 0.27 3.50 5.22 7.63 -

Columbia High Yield Bond Fund 43,030,376.33$ -4.54 -1.80 -3.44 - -


Highbridge Principal Strategies III 1,571,794.93$ 0.91 3.13 3.09 5.24 6.53

Marathon European Credit Opportunities Fund II 2,825,924.27$ 2.23 6.72 18.53 11.90 -

Oaktree European Capital Solutions Fund 4,759,221.00$ 1.71 0.54 7.60 11.02 -

Marathon European Credit Opportunities Fund III 7,876,905.11$ 7.41 11.90 17.35 - -

Oaktree Opportunities Fund X(b) 1,240,561.00$ -1.35 -1.82 - - -

Short Term:

Cash (Unallocated) 6,899,681.55$ 0.52 1.05 1.92 1.05 0.67

90 Day T-Bill 0.56 1.06 1.87 0.99 0.61








** Prior to July 1, 2015, TRS did not benchmark overall fund performance. Effective July 1, 2015, the Board of Trustees approved a Policy Index that represents the returns of appropriate benchmarks

for the various asset classes weighted by the mid point of the strategic range for the current fiscal year.

Broker Name # of Shares Commission Cost/Share % of Total

3,536,927 28,956.81$ 0.008$ 4.90%

118,327 3,603.52 0.030 0.61%

5,786,880 28,961.92 0.005 4.91%

776,670 6,739.35 0.009 1.14%

3,988,900 39,752.62 0.010 6.73%

4,306,080 62,107.08 0.014 10.52%

332,000 9,960.00 0.030 1.69%

349,520 9,478.91 0.027 1.61%

768,896 5,146.40 0.007 0.87%

19,020,430 142,654.12 0.008 24.16%

4,787,096 45,957.96 0.010 7.78%

377,995 3,779.95 0.010 0.64%

253,146 6,938.82 0.027 1.18%

138,900 4,167.00 0.030 0.71%

283,598 3,597.18 0.013 0.61%

261,662 5,850.78 0.022 0.99%

1,322,600 6,613.00 0.005 1.12%

2,248,077 22,308.18 0.010 3.78%

1,714,182 38,792.07 0.023 6.57%

676,438 20,404.00 0.030 3.46%

6,583,659 34,840.54 0.005 5.90%

524,177 4,402.34 0.008 0.75%

438,686 13,228.11 0.030 2.24%

717,393 3,586.97 0.005 0.61%

623,100 18,824.90 0.030 3.19%

Abel Noser TotalBTIG TotalConvergEx - Algos TotalConvergEx - FS TotalConvergEx - Transitions Total ConvergEx ADR Conversions Total Cornerstone TotalCredit Suisse Sec. LLC Total Goldman Sachs TotalInvestment Tech Grp Transition Total Investment Technology Grp Total ISI Algos TotalISI Group TotalJ.J.B. Hilliard, W.L. Lyons Total Jefferies & Co. TotalJP Morgan & Chase TotalLiquidnet Inc - Transition Total Liquidnet Inc TotalMerrill Lynch TotalRaymond James & Assoc TotalRBC Capital Markets TotalSanford C Bernstein TotalStifel, Nicolaus & Co Total Tradebook TotalWeeden & Co TotalOther<1% 981,566 19,753.41 0.020 3.35%

Grand Total 60,916,905 590,405.94$ 0.010$ 100.00%

Teachers' Retirement System Kentucky Transaction Commissions

For the Period July 1, 2018 - December 31, 2018


Retirement Annuity Trust Portfolio

Fair Values

December 31, 2018

Internally Managed Externally Managed continued…

Cash Equivalents APAX Digital 4,777,620

Cash Collections Fund (Unallocated) 262,621,234 Audax Mezzanine Fund III 4,995,607

Audax Mezzanine Fund IV 15,924,578

Fixed Income Audax Private Equity Fund IV 8,049,889

Broad Market Bond Fund 668,891,358 Audax Private Equity Fund V 21,320,235

Intermediate Bond Fund 539,835,129 CapitalSouth Partners Fund III 818,333

Internal Bond Fund 169,354,698 Carlyle Asia V 3,746,262

Long Term Bond Fund 678,860,462 Carlyle Europe Partners IV 54,157,599

Tax Shelter Fund 316,459 Carlyle Global Financial Services Partners II 26,341,574

Carlyle Global Financial Services Partners III 7,451,085

Equity Chrysalis Venture Fund III 12,417,713

S&P 400 Stock Index Fund 278,268,230 Fort Washington Fund V 6,284,613

S&P 500 Stock Index Fund 2,292,077,014 Fort Washington Fund VI 19,597,272

S&P 600 Stock Index Fund 204,016,886 Fort Washington Fund VIII 27,077,227

Fort Washington Fund IX 13,114,492

Real Estate Fort Washington Fund IX-K 11,340,995

Internally Managed Fund 424,559,554 Gavea Investments Fund V 7,249,876

Hancock Bluegrass LLC - Oregon 30,111,400

Subtotal 5,518,801,024 Hellman & Friedman Fund VII 67,184,733

Hellman & Friedman Fund VIII 42,559,458

IFM Global Infrastructure 122,511,291

Externally Managed J. P. Morgan Maritime Fund 33,074,711

J. P. Morgan Maritime Fund II 14,398,558

Fixed Income J.P. Morgan Global Transport Income Fund 50,083,840

Galliard Capital Management Core Fixed Income 495,188,459 KKR & Co Fund 2006 7,731,978

Fort Washington Core Fixed Income 486,923,021 KKR & Co European Fund III 13,455,394

KKR & Co European Fund IV 46,772,677

Domestic Equity KKR Americas Fund XII 17,790,223

Fort Washington Focused Equity 289,425,749 Landmark Equity Partners Fund XIV 6,131,949

State Street US Premier Growth Equity 583,230,205 Landmark Equity Partners Fund XV 12,494,452

Todd Asset Intrinsic Value Opportunity (Alpha) 403,886,590 Landmark Equity Partners Fund XVI 1,197,125

Todd Asset Large Cap Intrinsic Value 1,057,860,682 Lexington Capital Partners Fund VII 9,052,788

UBS Alpha Equity 225,707,609 Lexington Capital Partners Fund VIII 23,875,805

UBS Value Oriented (Global) 745,796,134 Molpus Woodlands Group Lake Superior Timberlands LLC 99,688,107

Wellington Large Cap Equity 583,231,960 Molpus Seven States LLC 51,830,042

Wellington Mid Cap Equity 292,788,652 NGP Natural Resources X 25,697,045

Wellington Small Cap Equity 158,161,309 NGP Natural Resources XI 52,846,390

NGP Natural Resources XII 16,723,235

International Equity Oaktree European Principal Fund III 18,627,063

Baillie Gifford EAFE Fund 943,545,814 Oaktree European Principal Fund IV 36,615,958

Barings All Country World Ex US 598,148,883 Oaktree Mezzanine Fund III 1,041,915

Black Rock MSCI ACWI Ex US IMI Index 703,429,661 Oaktree Mezzanine Fund IV 18,294,194

Todd Asset International Intrinsic Value 681,305,671 Public Pension Capital LLC 80,134,109

Todd Asset International Intrinsic Value Opportunity 77,834,643 Riverstone/Carlyle E & P Fund IV 24,532,019

UBS All Country World Ex US Equity 788,730,365 Riverstone E & P Fund V 20,629,029

Riverstone E & P Fund VI 37,658,018

Real Estate Stepstone Pioneer Capital Fund III 13,447,672

Angelo Gordon Net Lease Realty Fund III 40,295,198

Blackstone Partners VII 35,649,034 Additional Categories

Blackstone Partners VIII 38,179,269 Angelo Gordon Select Partners Advantage Fund -

Carlyle Realty Partners VI 7,123,424 Avenue Special Situations Fund VI 7,974,815

Carlyle Realty Partners VII 29,675,438 Barings European Loan Fund 99,210,000

Carlyle Realty Partners VIII 2,708,074 Columbia High Yield Bond Fund 160,936,398

Carlyle Property Advisors 56,231,498 Fort Washington High Yield Bond Fund 300,261,496

Landmark Real Estate Partners Fund VII 29,059,188 Golub Capital Pearls 11, LLC -

Landmark Real Estate Partners Fund VIII 8,254,090 Highbridge Principal Strategies III 15,717,953

Prudential PRISA Fund 349,515,581 Marathon European Credit Opp Fund II 42,388,865

Rockwood Capital Real Estate Fund IX 18,631,728 Marathon European Credit Opp Fund III 59,076,788

Rockwood Capital Real Estate Fund X 30,104,289 Marathon TRS/Credit Fund 343,558,372

The Realty Associates Fund X 28,558,186 Oaktree European Capital Solutions Fund 23,807,808

The Realty Associates Fund XI 52,325,335 Oaktree European Dislocation Fund 2,041,680

TA Realty Core Property Fund 41,129,808 Oaktree Opportunities Fund IX 40,367,928

Oaktree Opportunities Fund X 26,167,033

Alternative Investments Oaktree Opportunities Fund Xb 6,202,803

Actis Global Fund IV 42,420,826 Shenkman Capital Management 246,856,355

Alinda Infrastructure Fund II 24,523,896

APAX VIII 35,011,661

APAX IX 26,456,108 Subtotal 12,626,472,481

Totals may not agree due to rounding. Total Assets 18,145,273,505

Teachers' Retirement System of the State of Kentucky Health Insurance Trust Portfolio

Fair ValuesDecember 31, 2018

Cash Equivalents

Cash Collections Fund (Unallocated) 6,899,682

Fixed Income

Internal Bond Fund 110,667,566

Subtotal 117,567,247

Domestic Equity

Fort Washington Focused Equity 32,237,798

International Equity

Blackrock Fund B 568,912,883

Real Estate

Blackstone Partners VIII 7,635,849

Carlyle Realty Partners VII 5,935,092

Carlyle Realty Partners VIII 541,615

Carlyle Property Investors 11,246,299

Landmark Real Estate Partners Fund VII 5,811,838

Landmark Real Estate Partners Fund VIII 1,650,817

Prudential PRISA Fund 12,387,526

Rockwood Capital Real Estate Fund X 6,021,858

The Realty Associates Fund XI 10,465,067

TA Realty Core Property Fund 8,225,961


Actis Global Fund IV 4,241,683

APAX IX 5,291,223

APAX Digital 955,524

Audax Private Equity Fund V 7,106,745

Carlyle Asia V 749,252

Carlyle Europe Partners IV 10,831,522

Carlyle Global Financial Services Partners III 1,490,217

Fort Washington PE Opportunities Fund III 4,517,468

Fort Washington Fund VII 3,937,226

Fort Washington Fund VIII 7,736,351

Fort Washington Fund IX 3,746,854

Fort Washington Fund IX-K 3,240,284

KKR & Co European Fund IV 9,354,532

KKR Americas Fund XII 3,558,043

Landmark Equity Partners Fund XV 2,082,407

Landmark Equity Partners Fund XVI 239,424

NGP Natural Resources XI 10,569,288

NGP Natural Resources XII 3,344,645

Oaktree European Principal Fund IV 7,323,192

Riverstone E & P Fund VI 7,531,605


Columbia High Yield Fund 43,030,376

Fort Washington High Yield Bond Fund 43,972,070

Highbridge Principal Strategies III 1,571,795

Marathon European Credit Opp Fund II 2,825,924

Marathon European Credit Opp Fund III 7,876,905

Marathon TRS/Credit Fund 42,987,903

Oaktree European Capital Solutions Fund 4,759,221

Oaktree Opportunities Xb 1,240,561

Shenkman Capital Management 41,701,714

Subtotal 958,886,558

Total Assets 1,076,453,805

Totals may not agree due to rounding.

Internally Managed

Externally Managed

Teachers' Retirement System of the State of KentuckyLife Insurance Portfolio

Fair ValuesDecember 31, 2018

Cash Equivalents

Cash Collections Fund (Unallocated) 3,625,841

Fixed Income

Broad Market Bond Fund 31,133,899

Equity

S & P 400 Stock Index Fund 2,169,844

S & P 500 Stock Index Fund 22,898,106

S & P 600 Stock Index Fund 427,162

Subtotal 60,254,851

Domestic Equity

Fort Washington Focused Equity 442,177


Blackrock All Country World ex US IMI 14,982,423

Baillie Gifford Intl EAFE 823,582

Real Estate

Carlyle Propery Investors 51,625

TA Realty Core Property Fund 822,597


Marathon TRS/Credit Fund 1,332,100

Total Assets 78,709,355


Internally Managed

Externally Managed

Teachers' Retirement System of the State of Kentucky Retirement Annuity Trust Portfolio

Schedule of Contracted and Administrative Investment Expenses For the Quarter Ended December 31, 2018

Quarter Ended

12/31/18

Fiscal Year

To Date Alternative Investments continued…

Quarter Ended

12/31/18

Fiscal Year

To Date

FIXED INCOME KKR & Co Fund 2006 5,416 11,513

Galliard Capital Management Core Fixed Income 76,292 141,466 KKR & Co European Fund III 17,030 28,587

Fort Washington Core Fixed Income - 46,843 KKR & Co European Fund IV 13,457 175,877

Total Fixed Income Fees 76,292$ 188,309$ KKR Americas Fund XII 52,556 595,038

Landmark Equity Partners Fund XIV 22,274 75,164

DOMESTIC EQUITY Landmark Equity Partners Fund XV 75,000 225,000

State Street US Premier Growth Equity - - Landmark Eauity Partners Fund XVI 891,438 891,438

Fort Washington Focused Equity - 227,999 Lexington Capital Partners Fund VII 27,861 86,804

Todd Asset Management LLC Funds 224,840 442,584 Lexington Capital Partners Fund VIII 72,456 224,598

UBS Global Asset Management Funds 786,263 786,263 Molpus Woodlands Group Lake Superior Timberlands LLC 204,208 408,436

Wellington Management Company Funds 865,135 1,727,624 Molpus Seven States LLC 129,234 265,757

Total Domestic Equity Fees 1,876,238$ 3,184,470$ NGP Natural Resources X 103,159 204,788

NGP Natural Resources XI 177,463 352,896

INTERNATIONAL EQUITY NGP Natural Resources XII 157,535 313,356

Baillie Gifford EAFE Alpha 1,090,162 2,181,709 Oaktree European Principal Fund III 80,512 160,863

Barings All Country World ex US 1,457,451 1,457,481 Oaktree European Principal Fund IV 195,745 385,014

Blackrock All Country World ex US IMI - 102,333 Oaktree Mezzanine Fund III 6,262 13,244

Todd Asset Management LLC Funds 124,557 251,328 Oaktree Mezzanine Fund IV 67,286 142,851

UBS All Country World ex US 537,737 537,737 Public Pension Capital LLC 280,660 619,225

Total International Equity Fees 3,209,907$ 4,530,587$ Riverstone/Carlyle E & P Fund IV 62,560 65,284

Riverstone E & P Fund V 20,563 68,104

REAL ESTATE Riverstone E & P Fund VI 181,536 321,580

Angelo Gordon Net Lease Realty Fund III 207,955 409,012 Stepstone Pioneer Capital Fund III 37,630 75,290

Blackstone Partners VII 193,877 193,877 Total Alternative Investment Fees 5,264,754$ 11,245,425$

Blackstone Partners VIII 187,500 375,000

Carlyle Realty Partners VI 44,728 81,816 ADDITIONAL CATEGORIES

Carlyle Realty Partners VII 128,376 266,801 Angelo Gordon Select Partners Advantage Fund - -

Carlyle Realty Partners VIII 162,346 323,546 Avenue Special Situations Fund VI - -

Carlyle Property Investors 71,937 141,879 Barings European Loan Fund 114,804 633,656

Landmark Real Estate Partners VII 125,000 375,000 Columbia High Yield Fund 158,850 314,584

Landmark Real Estate Partners VIII 125,000 375,000 Fort Washington High Yield Bond Fund - 158,135

Prudential PRISA Fund 655,284 1,301,709 Golub Capital Pearls 11, LLC - (209,373)

Rockwood Capital Real Estate Fund IX 154,434 303,496 Highbridge Principal Strategies III 75,510 165,514

Rockwood Capital Real Estate Fund X 162,409 324,796 Marathon European Credit Opp Fund II 154,605 264,568

The Realty Associates Fund X 149,624 304,328 Marathon European Credit Opp Fund III 172,471 281,267

The Realty Associates Fund XI 239,618 387,762 Marathon TRS/Credit Fund 810,709 1,613,821

TA Core Property Fund 51,370 51,370 Oaktree European Capital Solutions Fund 91,486 183,366

Total Real Estate Fees 2,659,458$ 5,215,392$ Oaktree European Dislocation Fund 9,729 20,081

Oaktree Opportunities IX 145,985 299,502

ALTERNATIVE INVESTMENTS Oaktree Opportunities X 99,106 199,073

Actis Global Fund IV 171,000 341,000 Shenkman Capital Management - 213,917

Alinda Infrastructure Fund II 47,871 171,038 Total Additional Category Fees 1,833,257$ 4,138,110$

APAX VIII 86,284 163,846

APAX IX 178,125 359,178 ADMINISTRATIVE AND OPERATIONAL EXPENSES

APAX Digital 231,250 1,233,545

Audax Mezzanine Fund III 24,346 51,915 CUSTODIAN

Audax Mezzanine Fund IV 80,275 180,918 The Bank of New York Mellon - 129,569

Audax Private Equity Fund IV - - Total Custodian Fees -$ 129,569$

Audax Private Equity Fund V - -

CapitalSouth Partners Fund III - - CONSULTANT

Carlyle Asia V 229,285 229,285 Aon Hewitt 89,713 179,425

Carlyle Europe Partners IV 172,633 349,515 Bevis Longstreth 13,242 26,169

Carlyle Global Financial Services Partners II 107,085 219,569 George Philip 8,365 16,648

Carlyle Global Financial Services Partners III 187,500 375,000 Total Consultant Fees 111,319$ 222,242$

Chrysalis Venture Fund III 39,683 79,366

Ft. Washington Fund V 15,257 31,865 LEGAL AND RESEARCH

Ft. Washington Fund VI 38,382 76,765 Ice Miller 14,556 41,036

Ft. Washington Fund VIII 31,500 63,000 Reinhart Boerner Van Deuren - -

Ft. Washington Fund IX 17,588 33,338 Total Legal and Research Fees 14,556$ 41,036$

Ft. Washington Fund IX-K 17,588 33,338

Gavea Investments Fund V 38,991 80,426 OTHER

Hancock Bluegrass LLC - Oregon 62,967 125,934 Other Administrative and Operational 190,538 432,606

Hellman & Friedman Fund VII 28,441 63,841 Total Other Fees 190,538$ 432,606$

Hellman & Friedman Fund VIII 147,808 290,819

IFM Global Infrastructure 214,497 555,480 TOTAL INVESTMENT EXPENSES 15,236,319$ 29,327,746$

J. P. Morgan Maritime Fund 143,484 285,408

J. P. Morgan Maritime Fund II 62,564 131,820 Totals may not agree due to rounding.

J.P. Morgan Global Transport Income Fund 8,508 8,508

INVESTMENT COUNSELOR FEES

Teachers' Retirement System of the State of KentuckyHealth Insurance Trust Portfolio


Quarter Ended

12/31/18

Fiscal Year

To Date

Domestic Equity

Ft. Washington Focused Equity (All Cap Core) - 31,052

Total Domestic Equity Fees -$ 31,052$


Blackrock Fund B - 56,717

Total International Equity Fees -$ 56,717$

Real Estate

Blackstone Partners VIII 37,500 75,000

Carlyle Realty Partners VII 25,675 53,360

Carlyle Realty Partners VIII 32,469 64,709

Carlyle Property Advisors 14,388 28,376

Landmark Real Estate Partners Fund VII 25,000 75,000

Landmark Real Estate Partners Fund VIII 25,000 75,000

Prudential PRISA Fund 23,230 46,155

Rockwood Capital Real Estate Fund X 33,482 66,959

The Realty Associates Fund XI 47,923 77,552

TA Realty Core Property Fund 10,274 10,274

Total Real Estate Fees 274,941$ 572,385$


Actis Global Fund IV 18,000 34,000

APAX IX 35,625 71,836

APAX Digital 46,250 246,709

Audax Private Equity Fund V - -

Carlyle Asia V 45,857 45,857

Carlyle Europe Partners IV 34,527 69,903

Carlyle Global Financial Services Parnters III 37,500 75,000

Ft. Washington PE Opportunities Fund III 6,906 15,031

Ft. Washington Fund VII 7,594 15,188

Ft. Washington Fund VIII 9,000 18,000

Ft. Washington Fund IX 5,025 9,525

Ft. Washington Fund IX-K 5,025 9,525

KKR Americas Fund XII 10,512 119,009

KKR & Co European Fund IV 2,691 35,175

Landmark Equity Partners Fund XV 12,500 37,500

Landmark Equity Partners Fund XVI 178,288 178,288

NGP Natural Resources XI 35,492 70,579

NGP Natural Resources XII 31,507 62,671

Oaktree European Principal Fund IV 39,149 77,003

Riverstone E & P Fund VI 36,307 64,315

Total Alternative Investment Fees 597,755$ 1,255,114$


Columbia High Yield Fund 42,443 84,056

Ft. Washington High Yield Bond Fund - 22,437

Highbridge Principal Strategies III 7,551 16,552

Marathon European Credit Opp Fund II 18,436 25,767

Marathon European Credit Opp Fund III 14,867 29,373

Marathon TRS/Credit Fund 101,563 200,645

Oaktree European Capital Solutions Fund 18,297 36,673

Shenkman Capital Management - 43,320

Total Additional Category Fees 203,158$ 458,823$

CUSTODIAN

The Bank of New York Mellon - 21,018

Total Custodian Fees -$ 21,018$

OTHER

Other Administrative and Operational - -

Total Other Fees -$ -$

Total Investment Expenses 1,075,853$ 2,395,109$


ADMINISTRATIVE AND OPERATIONAL EXPENSES


Teachers' Retirement System of the State of KentuckyLife Insurance Portfolio



Quarter Ended

12/31/18

Fiscal Year

To Date


Baillie Gifford EAFE Alpha 210 210

Blackrock All Country World ex US IMI - -

Total International Equity Fees 210$ 210$

Real Estate

TA Realty Core Property Fund 1,027 1,027

Total Real Estate Fees 1,027$ 1,027$


Marathon TRS/Credit Fund 3,138 6,341

Total Additional Category Fees 3,138$ 6,341$

CUSTODIAN

The Bank of New York Mellon 9,785 10,383

Total Custodian Fees 9,785$ 10,383$

OTHER

Other Administrative and Operational - -

Total Other Fees -$ -$

Total Investment Expenses 14,160$ 17,962$


ADMINISTRATIVE AND OPERATIONAL EXPENSES

Documents

Teachers’ Retirement System of the State of Kentucky ... · The TRS Board of Trustees regularly reviews asset allocations and adjusts them as necessary. The System's current asset