FlexShares® Trust
Semiannual Report
April 30, 2023
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Statements of Assets and Liabilities April 30, 2023 (Unaudited)
| FlexShares® US Quality Low Volatility Index Fund |
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund |
FlexShares® Emerging Markets Quality Low Volatility Index Fund |
FlexShares® Morningstar US Market Factor Tilt Index Fund |
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ASSETS |
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Securities, at cost |
$ | 152,135,410 | $ | 72,655,705 | $ | 18,435,281 | $ | 894,481,236 | ||||||||
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Affiliate securities, at cost |
— | — | — | 553,554 | ||||||||||||
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Securities Lending Reinvestments, at cost |
— | 1,000,797 | — | 170,457,015 | ||||||||||||
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Securities, at value† |
168,114,858 | 79,771,050 | 18,044,013 | 1,403,661,568 | ||||||||||||
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Affiliate securities, at value |
— | — | — | 559,625 | ||||||||||||
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Securities Lending Reinvestments, at value |
— | 1,000,797 | — | 170,455,305 | ||||||||||||
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Cash |
1,133,860 | 594,144 | 163,996 | 7,167,972 | ||||||||||||
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Cash segregated at broker* |
— | 16,198 | 13,161 | 516,313 | ||||||||||||
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Foreign cash†† |
— | 419,449 | 66,775 | — | ||||||||||||
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Restricted cash** |
— | — | — | — | ||||||||||||
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Due from Authorized Participant |
— | — | — | — | ||||||||||||
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Unrealized appreciation on forward foreign currency contracts |
— | 11,468 | — | — | ||||||||||||
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Receivables: |
— | — | — | — | ||||||||||||
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Dividends and interest |
133,498 | 633,080 | 27,858 | 920,932 | ||||||||||||
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Securities lending income |
1,127 | 520 | — | 59,505 | ||||||||||||
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Capital shares issued |
— | — | — | — | ||||||||||||
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Investment adviser |
289 | 86 | — | 2,344 | ||||||||||||
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Securities sold |
— | — | — | — | ||||||||||||
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Variation margin on futures contracts |
88,699 | 71,027 | 4,744 | 263,129 | ||||||||||||
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Total Assets |
169,472,331 | 82,517,819 | 18,320,547 | 1,583,606,693 | ||||||||||||
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LIABILITIES |
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Unrealized depreciation on forward foreign currency contracts |
— | 25,887 | — | — | ||||||||||||
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Due to brokers |
78,264 | — | — | — | ||||||||||||
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Payables: |
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Cash collateral received from securities loaned |
— | 1,000,797 | — | 170,457,015 | ||||||||||||
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Deferred compensation (Note 7) |
6,937 | 3,819 | 636 | 160,641 | ||||||||||||
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Investment advisory fees (Note 4) |
30,604 | 21,110 | 6,007 | 290,266 | ||||||||||||
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Trustee fees (Note 7) |
803 | 278 | 13 | 7,802 | ||||||||||||
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Securities purchased |
— | 382 | — | — | ||||||||||||
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Deferred non-US capital gains taxes |
— | — | 3,570 | — | ||||||||||||
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Due to Authorized Participant |
— | — | — | — | ||||||||||||
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Variation margin on futures contracts |
— | — | — | — | ||||||||||||
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Capital shares redeemed |
— | — | — | 1,708 | ||||||||||||
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Other |
2,800 | — | 4,000 | 4,500 | ||||||||||||
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Total Liabilities |
119,408 | 1,052,273 | 14,226 | 170,921,932 | ||||||||||||
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Net Assets |
$ | 169,352,923 | $ | 81,465,546 | $ | 18,306,321 | $ | 1,412,684,761 | ||||||||
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NET ASSETS CONSIST OF: |
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Paid-in capital |
$ | 153,569,475 | $ | 79,058,207 | $ | 20,011,801 | $ | 916,793,492 | ||||||||
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Distributable earnings (loss) |
15,783,448 | 2,407,339 | (1,705,480 | ) | 495,891,269 | |||||||||||
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Net Assets |
$ | 169,352,923 | $ | 81,465,546 | $ | 18,306,321 | $ | 1,412,684,761 | ||||||||
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Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) |
3,225,001 | 3,100,001 | 800,001 | 8,950,001 | ||||||||||||
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Net Asset Value |
$ | 52.51 | $ | 26.28 | $ | 22.88 | $ | 157.84 | ||||||||
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† Securities on loan, at value |
$ | 12,349,485 | $ | 2,665,293 | $ | — | $ | 230,218,670 | ||||||||
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†† Cost of foreign cash |
$ | — | $ | 417,175 | $ | 66,702 | $ | — | ||||||||
| * |
Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30/23. |
| ** |
Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
| 2 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Assets and Liabilities (cont.)
| FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund |
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund |
FlexShares® US Quality Large Cap Index Fund |
FlexShares® STOXX® US ESG Select Index Fund |
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ASSETS |
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Securities, at cost |
$ | 463,731,483 | $ | 221,169,708 | $ | 120,638,390 | $ | 161,455,586 | ||||||||
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Affiliate securities, at cost |
— | — | — | 89,946 | ||||||||||||
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Securities Lending Reinvestments, at cost |
11,713,013 | 996,220 | 70,932 | 99,747 | ||||||||||||
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Securities, at value† |
527,942,469 | 234,615,072 | 124,848,568 | 173,121,974 | ||||||||||||
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Affiliate securities, at value |
— | — | — | 80,896 | ||||||||||||
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Securities Lending Reinvestments, at value |
11,713,013 | 996,220 | 70,932 | 99,747 | ||||||||||||
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Cash |
1,920,538 | 1,457,660 | 889,803 | 1,434,960 | ||||||||||||
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Cash segregated at broker* |
888,809 | 115,979 | 89,574 | 163,550 | ||||||||||||
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Foreign cash†† |
4,115,227 | 695,785 | — | — | ||||||||||||
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Restricted cash** |
— | — | — | — | ||||||||||||
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Due from Authorized Participant |
— | — | — | — | ||||||||||||
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Unrealized appreciation on forward foreign currency contracts |
190,515 | 1,480 | — | — | ||||||||||||
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Receivables: |
— | — | — | — | ||||||||||||
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Dividends and interest |
5,075,460 | 683,027 | 114,246 | 153,283 | ||||||||||||
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Securities lending income |
40,904 | 9,228 | 560 | 645 | ||||||||||||
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Capital shares issued |
— | — | — | — | ||||||||||||
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Investment adviser |
665 | 388 | 186 | 224 | ||||||||||||
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Securities sold |
— | — | — | — | ||||||||||||
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Variation margin on futures contracts |
342,976 | 48,489 | 68,150 | 98,523 | ||||||||||||
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Total Assets |
552,230,576 | 238,623,328 | 126,082,019 | 175,153,802 | ||||||||||||
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LIABILITIES |
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Unrealized depreciation on forward foreign currency contracts |
85,444 | 3,737 | — | — | ||||||||||||
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Due to brokers |
— | — | — | — | ||||||||||||
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Payables: |
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Cash collateral received from securities loaned |
11,713,013 | 996,220 | 70,932 | 99,747 | ||||||||||||
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Deferred compensation (Note 7) |
91,185 | 45,402 | 6,702 | 8,237 | ||||||||||||
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Investment advisory fees (Note 4) |
171,536 | 115,744 | 26,279 | 45,360 | ||||||||||||
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Trustee fees (Note 7) |
2,492 | 1,227 | 730 | 940 | ||||||||||||
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Securities purchased |
— | — | — | — | ||||||||||||
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Deferred non-US capital gains taxes |
— | 667,030 | — | — | ||||||||||||
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Due to Authorized Participant |
— | — | — | — | ||||||||||||
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Variation margin on futures contracts |
— | — | — | — | ||||||||||||
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Capital shares redeemed |
— | — | — | — | ||||||||||||
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Other |
— | — | 4,500 | 1,400 | ||||||||||||
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Total Liabilities |
12,063,670 | 1,829,360 | 109,143 | 155,684 | ||||||||||||
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Net Assets |
$ | 540,166,906 | $ | 236,793,968 | $ | 125,972,876 | $ | 174,998,118 | ||||||||
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NET ASSETS CONSIST OF: |
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Paid-in capital |
$ | 593,533,354 | $ | 301,341,159 | $ | 124,467,594 | $ | 165,762,876 | ||||||||
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Distributable earnings (loss) |
(53,366,448 | ) | (64,547,191 | ) | 1,505,282 | 9,235,242 | ||||||||||
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Net Assets |
$ | 540,166,906 | $ | 236,793,968 | $ | 125,972,876 | $ | 174,998,118 | ||||||||
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Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) |
8,200,001 | 4,900,001 | 2,750,001 | 1,725,001 | ||||||||||||
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Net Asset Value |
$ | 65.87 | $ | 48.33 | $ | 45.81 | $ | 101.45 | ||||||||
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† Securities on loan, at value |
$ | 55,181,473 | $ | 7,865,399 | $ | 5,096,374 | $ | 10,968,837 | ||||||||
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†† Cost of foreign cash |
$ | 4,065,288 | $ | 679,259 | $ | — | $ | — | ||||||||
| * |
Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30/23. |
| ** |
Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
| FLEXSHARES SEMIANNUAL REPORT | 3 |
Statements of Assets and Liabilities (cont.)
| FlexShares® STOXX® Global ESG Select Index Fund |
FlexShares® ESG & Climate US Large Cap Core Index Fund |
FlexShares® ESG & Climate Developed Markets ex-US Core Index Fund |
FlexShares® ESG & Climate Emerging Markets Core Index Fund |
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ASSETS |
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Securities, at cost |
$ | 125,917,934 | $ | 34,004,887 | $ | 37,240,980 | $ | 4,803,487 | ||||||||
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Affiliate securities, at cost |
— | — | — | — | ||||||||||||
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Securities Lending Reinvestments, at cost |
1,160,583 | — | — | — | ||||||||||||
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Securities, at value† |
154,568,136 | 34,112,749 | 39,009,133 | 4,381,657 | ||||||||||||
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Affiliate securities, at value |
— | — | — | — | ||||||||||||
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Securities Lending Reinvestments, at value |
1,160,583 | — | — | — | ||||||||||||
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Cash |
1,125,492 | 266,892 | 316,165 | 23,916 | ||||||||||||
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Cash segregated at broker* |
58,181 | — | 25,436 | 3,074 | ||||||||||||
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Foreign cash†† |
95,878 | — | 159,943 | 18,400 | ||||||||||||
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Restricted cash** |
— | — | — | — | ||||||||||||
|
Due from Authorized Participant |
— | 25,000 | — | — | ||||||||||||
|
Unrealized appreciation on forward foreign currency contracts |
1,339 | — | 6,372 | — | ||||||||||||
|
Receivables: |
— | — | — | — | ||||||||||||
|
Dividends and interest |
557,756 | 34,794 | 185,648 | 6,405 | ||||||||||||
|
Securities lending income |
2,140 | — | — | — | ||||||||||||
|
Capital shares issued |
— | — | — | — | ||||||||||||
|
Investment adviser |
199 | 15 | 8 | 10 | ||||||||||||
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Securities sold |
4,636 | — | — | — | ||||||||||||
|
Variation margin on futures contracts |
82,702 | 15,626 | 24,153 | 970 | ||||||||||||
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Total Assets |
157,657,042 | 34,455,076 | 39,726,858 | 4,434,432 | ||||||||||||
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LIABILITIES |
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Unrealized depreciation on forward foreign currency contracts |
12,830 | — | 11,613 | — | ||||||||||||
|
Due to brokers |
— | 12,851 | — | — | ||||||||||||
|
Payables: |
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Cash collateral received from securities loaned |
1,160,583 | — | — | — | ||||||||||||
|
Deferred compensation (Note 7) |
9,488 | 232 | 224 | 53 | ||||||||||||
|
Investment advisory fees (Note 4) |
54,012 | 2,514 | 3,834 | 662 | ||||||||||||
|
Trustee fees (Note 7) |
781 | 49 | 5 | 13 | ||||||||||||
|
Securities purchased |
172 | 25,000 | 79 | — | ||||||||||||
|
Deferred non-US capital gains taxes |
— | — | — | — | ||||||||||||
|
Due to Authorized Participant |
4,636 | — | — | — | ||||||||||||
|
Variation margin on futures contracts |
— | — | — | — | ||||||||||||
|
Capital shares redeemed |
— | — | — | — | ||||||||||||
|
Other |
6,500 | 500 | 18,000 | — | ||||||||||||
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Total Liabilities |
1,249,002 | 41,146 | 33,755 | 728 | ||||||||||||
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Net Assets |
$ | 156,408,040 | $ | 34,413,930 | $ | 39,693,103 | $ | 4,433,704 | ||||||||
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NET ASSETS CONSIST OF: |
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Paid-in capital |
$ | 131,263,496 | $ | 34,530,670 | $ | 39,110,488 | $ | 5,009,376 | ||||||||
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Distributable earnings (loss) |
25,144,544 | (116,740 | ) | 582,615 | (575,672 | ) | ||||||||||
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Net Assets |
$ | 156,408,040 | $ | 34,413,930 | $ | 39,693,103 | $ | 4,433,704 | ||||||||
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Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) |
1,150,001 | 725,000 | 850,000 | 100,000 | ||||||||||||
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Net Asset Value |
$ | 136.01 | $ | 47.47 | $ | 46.70 | $ | 44.34 | ||||||||
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† Securities on loan, at value |
$ | 4,480,424 | $ | — | $ | — | $ | — | ||||||||
|
†† Cost of foreign cash |
$ | 95,886 | $ | — | $ | 158,709 | $ | 18,150 | ||||||||
| * |
Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30/23. |
| ** |
Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
| 4 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Assets and Liabilities (cont.)
| FlexShares® Morningstar Global Upstream Natural Resources Index Fund |
FlexShares® STOXX® Global Broad Infrastructure Index Fund |
FlexShares® Global Quality Real Estate Index Fund |
FlexShares® Real Assets Allocation Index Fund |
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ASSETS |
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Securities, at cost |
$ | 6,573,376,166 | $ | 2,227,782,088 | $ | 351,286,859 | $ | — | ||||||||
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Affiliate securities, at cost |
— | — | — | 24,575,826 | ||||||||||||
|
Securities Lending Reinvestments, at cost |
151,593,429 | 31,567,974 | 3,921,071 | — | ||||||||||||
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|
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Securities, at value† |
7,465,822,201 | 2,351,087,388 | 323,822,444 | — | ||||||||||||
|
Affiliate securities, at value |
— | — | — | 22,357,221 | ||||||||||||
|
Securities Lending Reinvestments, at value |
151,592,745 | 31,567,974 | 3,921,071 | — | ||||||||||||
|
Cash |
13,309,724 | 3,780,718 | 695,124 | 44 | ||||||||||||
|
Cash segregated at broker* |
2,710,864 | 1,434,991 | 648,482 | — | ||||||||||||
|
Foreign cash†† |
14,394,316 | 6,219,083 | 1,236,050 | — | ||||||||||||
|
Restricted cash** |
— | — | — | — | ||||||||||||
|
Due from Authorized Participant |
— | — | — | — | ||||||||||||
|
Due from Custodian |
— | — | 160,610 | — | ||||||||||||
|
Unrealized appreciation on forward foreign currency contracts |
685,564 | 62,563 | 17,012 | — | ||||||||||||
|
Receivables: |
— | — | — | — | ||||||||||||
|
Dividends and interest |
14,647,823 | 9,263,025 | 1,561,220 | — | ||||||||||||
|
Securities lending income |
84,679 | 21,917 | 3,284 | — | ||||||||||||
|
Capital shares issued |
— | — | — | — | ||||||||||||
|
Investment adviser |
12,377 | 3,838 | 541 | 29 | ||||||||||||
|
Securities sold |
— | 23,781 | — | 1,855,729 | ||||||||||||
|
Variation margin on futures contracts |
1,126,405 | 405,225 | 86,701 | — | ||||||||||||
|
|
|
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|
Total Assets |
7,664,386,698 | 2,403,870,503 | 332,152,539 | 24,213,023 | ||||||||||||
|
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|
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|
LIABILITIES |
| |||||||||||||||
|
Unrealized depreciation on forward foreign currency contracts |
564,237 | 18,198 | 22,544 | — | ||||||||||||
|
Due to brokers |
— | — | — | — | ||||||||||||
|
Payables: |
||||||||||||||||
|
Cash collateral received from securities loaned |
151,593,429 | 31,567,974 | 3,921,071 | — | ||||||||||||
|
Deferred compensation (Note 7) |
583,757 | 172,596 | 31,131 | 956 | ||||||||||||
|
Investment advisory fees (Note 4) |
2,849,445 | 915,069 | 119,942 | 2,519 | ||||||||||||
|
Trustee fees (Note 7) |
38,133 | 14,538 | 2,024 | 191 | ||||||||||||
|
Securities purchased |
— | 551 | 432,229 | 1,850,995 | ||||||||||||
|
Deferred non-US capital gains taxes |
— | 560,854 | — | — | ||||||||||||
|
Due to Authorized Participant |
— | — | — | — | ||||||||||||
|
Variation margin on futures contracts |
— | — | — | — | ||||||||||||
|
Capital shares redeemed |
— | — | — | — | ||||||||||||
|
Other |
27,000 | 30,000 | 4,000 | — | ||||||||||||
|
|
|
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|
Total Liabilities |
155,656,001 | 33,279,780 | 4,532,941 | 1,854,661 | ||||||||||||
|
|
|
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|
Net Assets |
$ | 7,508,730,697 | $ | 2,370,590,723 | $ | 327,619,598 | $ | 22,358,362 | ||||||||
|
|
|
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|
NET ASSETS CONSIST OF: |
| |||||||||||||||
|
Paid-in capital |
$ | 7,622,161,128 | $ | 2,373,666,089 | $ | 393,649,640 | $ | 26,173,104 | ||||||||
|
Distributable earnings (loss) |
(113,430,431 | ) | (3,075,366 | ) | (66,030,042 | ) | (3,814,742 | ) | ||||||||
|
|
|
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|
Net Assets |
$ | 7,508,730,697 | $ | 2,370,590,723 | $ | 327,619,598 | $ | 22,358,362 | ||||||||
|
|
|
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|
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) |
176,450,001 | 44,450,001 | 6,100,001 | 725,001 | ||||||||||||
|
Net Asset Value |
$ | 42.55 | $ | 53.33 | $ | 53.71 | $ | 30.84 | ||||||||
|
† Securities on loan, at value |
$ | 307,220,482 | $ | 133,108,721 | $ | 15,352,597 | $ | — | ||||||||
|
†† Cost of foreign cash |
$ | 13,466,354 | $ | 6,180,344 | $ | 1,219,705 | $ | — | ||||||||
| * |
Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30/23. |
| ** |
Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
| FLEXSHARES SEMIANNUAL REPORT | 5 |
Statements of Assets and Liabilities (cont.)
|
FlexShares® Quality Dividend |
FlexShares® Dividend Index Fund |
FlexShares® Quality Dividend Dynamic Index Fund |
FlexShares® Dividend |
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|
ASSETS |
| |||||||||||||||
|
Securities, at cost |
$ | 1,342,371,406 | $ | 298,681,200 | $ | 15,293,540 | $ | 535,211,055 | ||||||||
|
Affiliate securities, at cost |
— | — | — | — | ||||||||||||
|
Securities Lending Reinvestments, at cost |
103,799,744 | 15,244,162 | 153,778 | 7,140,017 | ||||||||||||
|
|
|
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|
Securities, at value† |
1,531,134,171 | 330,977,754 | 17,030,222 | 544,670,525 | ||||||||||||
|
Affiliate securities, at value |
— | — | — | — | ||||||||||||
|
Securities Lending Reinvestments, at value |
103,799,060 | 15,244,162 | 153,778 | 7,140,017 | ||||||||||||
|
Cash |
8,485,652 | 2,449,394 | 336,037 | 5,344,509 | ||||||||||||
|
Cash segregated at broker* |
443,717 | 198,517 | 110,772 | 816,717 | ||||||||||||
|
Foreign cash†† |
— | — | — | 4,953,091 | ||||||||||||
|
Restricted cash** |
— | — | — | — | ||||||||||||
|
Due from Authorized Participant |
— | — | — | — | ||||||||||||
|
Unrealized appreciation on forward foreign currency contracts |
— | — | — | 153,489 | ||||||||||||
|
Receivables: |
— | — | — | — | ||||||||||||
|
Dividends and interest |
1,542,799 | 287,347 | 17,560 | 4,705,844 | ||||||||||||
|
Securities lending income |
96,679 | 20,112 | 1,040 | 12,885 | ||||||||||||
|
Capital shares issued |
— | — | — | — | ||||||||||||
|
Investment adviser |
2,455 | 557 | 29 | 494 | ||||||||||||
|
Securities sold |
2,756,291 | 21,779 | — | — | ||||||||||||
|
Variation margin on futures contracts |
378,295 | 150,348 | 24,434 | 328,161 | ||||||||||||
|
|
|
|||||||||||||||
|
Total Assets |
1,648,639,119 | 349,349,970 | 17,673,872 | 568,125,732 | ||||||||||||
|
|
|
|||||||||||||||
|
LIABILITIES |
| |||||||||||||||
|
Unrealized depreciation on forward foreign currency contracts |
— | — | — | 90,832 | ||||||||||||
|
Due to brokers |
— | — | — | — | ||||||||||||
|
Payables: |
||||||||||||||||
|
Cash collateral received from securities loaned |
103,799,744 | 15,244,162 | 153,778 | 7,140,017 | ||||||||||||
|
Deferred compensation (Note 7) |
179,671 | 42,899 | 6,089 | 73,424 | ||||||||||||
|
Investment advisory fees (Note 4) |
466,728 | 101,678 | 5,285 | 213,197 | ||||||||||||
|
Trustee fees (Note 7) |
8,681 | 2,133 | 85 | 2,456 | ||||||||||||
|
Securities purchased |
— | — | — | 1,090 | ||||||||||||
|
Deferred non-US capital gains taxes |
— | — | — | 121,309 | ||||||||||||
|
Due to Authorized Participant |
22,935 | 21,779 | — | — | ||||||||||||
|
Variation margin on futures contracts |
— | — | — | — | ||||||||||||
|
Capital shares redeemed |
2,752,567 | — | — | — | ||||||||||||
|
Other |
3,900 | 4,600 | 400 | 15,500 | ||||||||||||
|
|
|
|||||||||||||||
|
Total Liabilities |
107,234,226 | 15,417,251 | 165,637 | 7,657,825 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Assets |
$ | 1,541,404,893 | $ | 333,932,719 | $ | 17,508,235 | $ | 560,467,907 | ||||||||
|
|
|
|||||||||||||||
|
NET ASSETS CONSIST OF: |
| |||||||||||||||
|
Paid-in capital |
$ | 1,372,906,291 | $ | 316,808,127 | $ | 15,425,264 | $ | 724,731,509 | ||||||||
|
Distributable earnings (loss) |
168,498,602 | 17,124,592 | 2,082,971 | (164,263,602 | ) | |||||||||||
|
|
|
|||||||||||||||
|
Net Assets |
$ | 1,541,404,893 | $ | 333,932,719 | $ | 17,508,235 | $ | 560,467,907 | ||||||||
|
|
|
|||||||||||||||
|
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) |
28,000,001 | 6,175,001 | 300,001 | 24,800,001 | ||||||||||||
|
Net Asset Value |
$ | 55.05 | $ | 54.08 | $ | 58.36 | $ | 22.60 | ||||||||
|
† Securities on loan, at value |
$ | 150,690,028 | $ | 32,229,319 | $ | 1,120,559 | $ | 26,429,875 | ||||||||
|
†† Cost of foreign cash |
$ | — | $ | — | $ | — | $ | 4,925,364 | ||||||||
| * |
Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30/23. |
| ** |
Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
| 6 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Assets and Liabilities (cont.)
| FlexShares® International Quality Dividend Defensive Index Fund |
FlexShares® International Quality Dividend Dynamic Index Fund |
FlexShares® Target Duration TIPS Index Fund |
FlexShares® Target Duration TIPS |
|||||||||||||
|
ASSETS |
| |||||||||||||||
|
Securities, at cost |
$ | 30,147,321 | $ | 106,219,171 | $ | 2,016,942,023 | $ | 742,369,381 | ||||||||
|
Affiliate securities, at cost |
— | — | — | — | ||||||||||||
|
Securities Lending Reinvestments, at cost |
456,385 | 1,585,346 | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Securities, at value† |
29,907,585 | 107,126,108 | 1,970,443,196 | 718,923,995 | ||||||||||||
|
Affiliate securities, at value |
— | — | — | — | ||||||||||||
|
Securities Lending Reinvestments, at value |
456,385 | 1,585,346 | — | — | ||||||||||||
|
Cash |
27,883 | 1,174,629 | 3,070,590 | 1,605,442 | ||||||||||||
|
Cash segregated at broker* |
101,012 | 41,600 | — | — | ||||||||||||
|
Foreign cash†† |
409,687 | 292,558 | — | — | ||||||||||||
|
Restricted cash** |
— | — | — | — | ||||||||||||
|
Due from Authorized Participant |
— | — | — | — | ||||||||||||
|
Unrealized appreciation on forward foreign currency contracts |
1,224 | 1,322 | — | — | ||||||||||||
|
Receivables: |
— | — | — | — | ||||||||||||
|
Dividends and interest |
398,941 | 811,777 | 3,037,673 | 1,089,095 | ||||||||||||
|
Securities lending income |
913 | 5,328 | — | 1,567 | ||||||||||||
|
Capital shares issued |
— | — | — | — | ||||||||||||
|
Investment adviser |
69 | 61 | 3,893 | 1,073 | ||||||||||||
|
Securities sold |
— | 244,644 | 57,853,414 | 31,935,858 | ||||||||||||
|
Variation margin on futures contracts |
16,140 | 76,017 | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Assets |
31,319,839 | 111,359,390 | 2,034,408,766 | 753,557,030 | ||||||||||||
|
|
|
|||||||||||||||
|
LIABILITIES |
| |||||||||||||||
|
Unrealized depreciation on forward foreign currency contracts |
16,092 | 13,775 | — | — | ||||||||||||
|
Due to brokers |
— | — | — | — | ||||||||||||
|
Payables: |
||||||||||||||||
|
Cash collateral received from securities loaned |
456,385 | 1,585,346 | — | — | ||||||||||||
|
Deferred compensation (Note 7) |
9,623 | 6,027 | 266,206 | 94,556 | ||||||||||||
|
Investment advisory fees (Note 4) |
12,181 | 43,803 | 294,242 | 106,509 | ||||||||||||
|
Trustee fees (Note 7) |
325 | 147 | 11,763 | 3,566 | ||||||||||||
|
Securities purchased |
— | 148 | 51,446,243 | 29,757,572 | ||||||||||||
|
Deferred non-US capital gains taxes |
— | 29,844 | — | — | ||||||||||||
|
Due to Authorized Participant |
— | 203,759 | — | — | ||||||||||||
|
Variation margin on futures contracts |
— | — | — | — | ||||||||||||
|
Capital shares redeemed |
— | — | — | 254 | ||||||||||||
|
Other |
7,000 | 3,500 | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Liabilities |
501,606 | 1,886,349 | 52,018,454 | 29,962,457 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Assets |
$ | 30,818,233 | $ | 109,473,041 | $ | 1,982,390,312 | $ | 723,594,573 | ||||||||
|
|
|
|||||||||||||||
|
NET ASSETS CONSIST OF: |
| |||||||||||||||
|
Paid-in capital |
$ | 57,981,862 | $ | 127,609,743 | $ | 2,163,142,200 | $ | 788,630,770 | ||||||||
|
Distributable earnings (loss) |
(27,163,629 | ) | (18,136,702 | ) | (180,751,888 | ) | (65,036,197 | ) | ||||||||
|
|
|
|||||||||||||||
|
Net Assets |
$ | 30,818,233 | $ | 109,473,041 | $ | 1,982,390,312 | $ | 723,594,573 | ||||||||
|
|
|
|||||||||||||||
|
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) |
1,500,001 | 4,100,001 | 82,304,000 | 29,650,001 | ||||||||||||
|
Net Asset Value |
$ | 20.55 | $ | 26.71 | $ | 24.09 | $ | 24.40 | ||||||||
|
† Securities on loan, at value |
$ | 2,541,656 | $ | 9,573,890 | $ | — | $ | 37,226,221 | ||||||||
|
†† Cost of foreign cash |
$ | 405,158 | $ | 287,406 | $ | — | $ | — | ||||||||
| * |
Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30/23. |
| ** |
Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
| FLEXSHARES SEMIANNUAL REPORT | 7 |
Statements of Assets and Liabilities (cont.)
| FlexShares® Disciplined Duration MBS Index Fund |
FlexShares® US |
FlexShares® Credit-Scored US Long Corporate Bond Index Fund |
FlexShares® Value- Scored Bond |
|||||||||||||
|
ASSETS |
| |||||||||||||||
|
Securities, at cost |
$ | 81,645,528 | $ | 250,183,522 | $ | 40,329,670 | $ | 1,070,701,497 | ||||||||
|
Affiliate securities, at cost |
— | — | — | — | ||||||||||||
|
Securities Lending Reinvestments, at cost |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Securities, at value† |
75,968,953 | 238,227,157 | 34,709,806 | 1,029,903,166 | ||||||||||||
|
Affiliate securities, at value |
— | — | — | — | ||||||||||||
|
Securities Lending Reinvestments, at value |
— | — | — | — | ||||||||||||
|
Cash |
1,722,722 | 2,791,033 | 245,800 | 13,983,540 | ||||||||||||
|
Cash segregated at broker* |
— | — | — | — | ||||||||||||
|
Foreign cash†† |
— | — | — | — | ||||||||||||
|
Restricted cash** |
— | — | — | — | ||||||||||||
|
Due from Authorized Participant |
— | — | — | — | ||||||||||||
|
Unrealized appreciation on forward foreign currency contracts |
— | — | — | — | ||||||||||||
|
Receivables: |
— | — | — | — | ||||||||||||
|
Dividends and interest |
220,708 | 2,242,468 | 488,044 | 19,498,575 | ||||||||||||
|
Securities lending income |
— | — | — | — | ||||||||||||
|
Capital shares issued |
— | — | — | — | ||||||||||||
|
Investment adviser |
224 | 390 | 64 | 1,627 | ||||||||||||
|
Securities sold |
— | 41,187,132 | 3,114,422 | 98,160,896 | ||||||||||||
|
Variation margin on futures contracts |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Assets |
77,912,607 | 284,448,180 | 38,558,136 | 1,161,547,804 | ||||||||||||
|
|
|
|||||||||||||||
|
LIABILITIES |
| |||||||||||||||
|
Unrealized depreciation on forward foreign currency contracts |
— | — | — | — | ||||||||||||
|
Due to brokers |
— | — | — | — | ||||||||||||
|
Payables: |
||||||||||||||||
|
Cash collateral received from securities loaned |
— | — | — | — | ||||||||||||
|
Deferred compensation (Note 7) |
7,592 | 16,130 | 3,525 | 18,527 | ||||||||||||
|
Investment advisory fees (Note 4) |
12,945 | 43,703 | 6,381 | 315,343 | ||||||||||||
|
Trustee fees (Note 7) |
580 | 1,313 | 212 | 3,734 | ||||||||||||
|
Securities purchased |
1,502,467 | 41,862,154 | 3,145,059 | 104,840,958 | ||||||||||||
|
Deferred non-US capital gains taxes |
— | — | — | — | ||||||||||||
|
Due to Authorized Participant |
— | — | — | — | ||||||||||||
|
Variation margin on futures contracts |
— | — | — | — | ||||||||||||
|
Capital shares redeemed |
— | — | — | — | ||||||||||||
|
Other |
2,000 | 1,000 | — | 15,500 | ||||||||||||
|
|
|
|||||||||||||||
|
Total Liabilities |
1,525,584 | 41,924,300 | 3,155,177 | 105,194,062 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Assets |
$ | 76,387,023 | $ | 242,523,880 | $ | 35,402,959 | $ | 1,056,353,742 | ||||||||
|
|
|
|||||||||||||||
|
NET ASSETS CONSIST OF: |
| |||||||||||||||
|
Paid-in capital |
$ | 94,535,244 | $ | 271,533,839 | $ | 49,192,425 | $ | 1,216,513,874 | ||||||||
|
Distributable earnings (loss) |
(18,148,221 | ) | (29,009,959 | ) | (13,789,466 | ) | (160,160,132 | ) | ||||||||
|
|
|
|||||||||||||||
|
Net Assets |
$ | 76,387,023 | $ | 242,523,880 | $ | 35,402,959 | $ | 1,056,353,742 | ||||||||
|
|
|
|||||||||||||||
|
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) |
3,700,001 | 5,100,001 | 800,001 | 26,100,001 | ||||||||||||
|
Net Asset Value |
$ | 20.65 | $ | 47.55 | $ | 44.25 | $ | 40.47 | ||||||||
|
† Securities on loan, at value |
$ | — | $ | — | $ | — | $ | — | ||||||||
|
†† Cost of foreign cash |
$ | — | $ | — | $ | — | $ | — | ||||||||
| * |
Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30/23. |
| ** |
Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
| 8 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Assets and Liabilities (cont.)
| FlexShares® ESG & Climate High Yield Corporate Core Index Fund |
FlexShares® ESG & Climate Investment Grade Corporate Core Index Fund |
FlexShares® Ultra-Short Income Fund |
FlexShares® Core Select Bond Fund |
|||||||||||||
|
ASSETS |
| |||||||||||||||
|
Securities, at cost |
$ | 18,140,547 | $ | 38,787,121 | $ | 937,587,313 | $ | 153,787,779 | ||||||||
|
Affiliate securities, at cost |
— | — | — | 38,164,929 | ||||||||||||
|
Securities Lending Reinvestments, at cost |
— | — | — | 14,514,700 | ||||||||||||
|
|
|
|||||||||||||||
|
Securities, at value† |
18,258,439 | 36,118,696 | 932,721,101 | 151,240,000 | ||||||||||||
|
Affiliate securities, at value |
— | — | — | 38,111,394 | ||||||||||||
|
Securities Lending Reinvestments, at value |
— | — | — | 14,514,700 | ||||||||||||
|
Cash |
129,160 | 1,140,895 | 26,531,555 | 4,165,474 | ||||||||||||
|
Cash segregated at broker* |
— | — | — | — | ||||||||||||
|
Foreign cash†† |
— | — | — | — | ||||||||||||
|
Restricted cash** |
— | — | — | — | ||||||||||||
|
Due from Authorized Participant |
— | — | — | — | ||||||||||||
|
Unrealized appreciation on forward foreign currency contracts |
— | — | — | — | ||||||||||||
|
Receivables: |
— | — | — | — | ||||||||||||
|
Dividends and interest |
303,347 | 361,208 | 4,966,916 | — | ||||||||||||
|
Securities lending income |
— | — | — | 4,671 | ||||||||||||
|
Capital shares issued |
— | — | — | 564,107 | ||||||||||||
|
Investment adviser |
36 | 31 | 1,456 | 227 | ||||||||||||
|
Securities sold |
815,713 | 1,201,003 | 6,139,538 | — | ||||||||||||
|
Variation margin on futures contracts |
— | — | — | 92,644 | ||||||||||||
|
|
|
|||||||||||||||
|
Total Assets |
19,506,695 | 38,821,833 | 970,360,566 | 208,693,217 | ||||||||||||
|
|
|
|||||||||||||||
|
LIABILITIES |
| |||||||||||||||
|
Unrealized depreciation on forward foreign currency contracts |
— | — | — | — | ||||||||||||
|
Due to brokers |
— | — | — | 87,454 | ||||||||||||
|
Payables: |
||||||||||||||||
|
Cash collateral received from securities loaned |
— | — | — | 14,514,700 | ||||||||||||
|
Deferred compensation (Note 7) |
148 | 202 | 38,136 | 7,163 | ||||||||||||
|
Investment advisory fees (Note 4) |
3,538 | 3,661 | 193,396 | 46,229 | ||||||||||||
|
Trustee fees (Note 7) |
109 | 52 | 3,966 | 699 | ||||||||||||
|
Securities purchased |
693,245 | 1,583,447 | 24,320,786 | 551,916 | ||||||||||||
|
Deferred non-US capital gains taxes |
— | — | — | — | ||||||||||||
|
Due to Authorized Participant |
— | — | — | — | ||||||||||||
|
Variation margin on futures contracts |
— | — | — | — | ||||||||||||
|
Capital shares redeemed |
— | — | — | — | ||||||||||||
|
Other |
— | 2,000 | 2,625 | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Liabilities |
697,040 | 1,589,362 | 24,558,909 | 15,208,161 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Assets |
$ | 18,809,655 | $ | 37,232,471 | $ | 945,801,657 | $ | 193,485,056 | ||||||||
|
|
|
|||||||||||||||
|
NET ASSETS CONSIST OF: |
| |||||||||||||||
|
Paid-in capital |
$ | 22,265,450 | $ | 45,790,618 | $ | 948,367,329 | $ | 214,613,532 | ||||||||
|
Distributable earnings (loss) |
(3,455,795 | ) | (8,558,147 | ) | (2,565,672 | ) | (21,128,476 | ) | ||||||||
|
|
|
|||||||||||||||
|
Net Assets |
$ | 18,809,655 | $ | 37,232,471 | $ | 945,801,657 | $ | 193,485,056 | ||||||||
|
|
|
|||||||||||||||
|
Shares Outstanding (unlimited number of shares authorized $ 0.0001 par value) |
450,000 | 900,000 | 12,625,001 | 8,575,001 | ||||||||||||
|
Net Asset Value |
$ | 41.80 | $ | 41.37 | $ | 74.91 | $ | 22.56 | ||||||||
|
† Securities on loan, at value |
$ | — | $ | — | $ | — | $ | 21,110,480 | ||||||||
|
†† Cost of foreign cash |
$ | — | $ | — | $ | — | $ | — | ||||||||
| * |
Includes cash pledged by the Fund to cover margin requirements for open futures contracts as of 04/30/23. |
| ** |
Includes cash pledged by an Authorized Participant for missing deposit securities required to secure Creation Units. |
See Accompanying Notes to the Financial Statements.
| FLEXSHARES SEMIANNUAL REPORT | 9 |
FlexShares® Trust
For the six months ended April 30, 2023 (Unaudited)
| FlexShares® US Quality Low Volatility Index Fund |
FlexShares® Developed Markets ex-US Quality Low Volatility Index Fund |
FlexShares® Emerging Markets Quality Low Volatility Index Fund |
FlexShares® Morningstar US Market Factor Tilt Index Fund |
|||||||||||||
|
INVESTMENT INCOME |
| |||||||||||||||
|
Dividend income |
$ | 1,748,587 | $ | 1,255,005 | $ | 204,907 | $ | 13,363,192 | ||||||||
|
Income from non-cash dividends |
— | 101,558 | 19,826 | — | ||||||||||||
|
Dividend income received from affiliate |
— | — | — | 10,425 | ||||||||||||
|
Interest income |
1,724 | — | — | — | ||||||||||||
|
Securities lending income (net of fees) (Note 2) |
8,273 | 8,922 | — | 382,962 | ||||||||||||
|
Foreign withholding tax on dividends |
(2,987 | ) | (125,750 | ) | (20,810 | ) | (6,058 | ) | ||||||||
|
Foreign withholding tax on interest |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Investment Income |
1,755,597 | 1,239,735 | 203,923 | 13,750,521 | ||||||||||||
|
|
|
|||||||||||||||
|
EXPENSES |
| |||||||||||||||
|
Deferred compensation (Note 7) |
2,406 | 1,001 | 156 | 21,140 | ||||||||||||
|
Investment advisory fees |
186,048 | 118,065 | 26,650 | 1,753,518 | ||||||||||||
|
Trustee fees (Note 7) |
4,459 | 1,843 | 258 | 37,573 | ||||||||||||
|
Other expenses (Note 4) |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Gross Expenses Before Fees Reimbursed |
192,913 | 120,909 | 27,064 | 1,812,231 | ||||||||||||
|
|
|
|||||||||||||||
|
Less: |
| |||||||||||||||
|
Fees reimbursed by investment advisor (Note 4) |
(2,670 | ) | (926 | ) | (80 | ) | (23,901 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total Net Expenses |
190,243 | 119,983 | 26,984 | 1,788,330 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Investment Income (Loss) |
1,565,354 | 1,119,752 | 176,939 | 11,962,191 | ||||||||||||
|
|
|
|||||||||||||||
|
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
|
Transactions in investment securities of affiliated issuers |
— | — | — | — | ||||||||||||
|
Transactions in investment securities |
(3,680,854 | ) | (1,621,623 | ) | (317,505 | )(1) | (20,396,204 | ) | ||||||||
|
In-kind redemptions on investments in affiliated securities |
— | — | — | 7,322 | ||||||||||||
|
In-kind redemptions on investments in securities |
7,142,050 | — | — | 26,604,454 | ||||||||||||
|
Expiration or closing of futures contracts |
(52,266 | ) | 135,473 | (11,117 | ) | (372,462 | ) | |||||||||
|
Settlement of forward foreign currency contracts |
— | (23,967 | ) | — | — | |||||||||||
|
Foreign currency transactions |
— | 21,186 | (9,712 | ) | — | |||||||||||
|
|
|
|||||||||||||||
|
Net Realized Gain (Loss) |
3,408,930 | (1,488,931 | ) | (338,334 | ) | 5,843,110 | ||||||||||
|
|
|
|||||||||||||||
|
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
|
Investments in securities |
4,853,232 | 13,022,128 | 931,719 | (2) | 56,221,501 | (3) | ||||||||||
|
Securities lending |
— | — | — | 3,243 | ||||||||||||
|
Futures contracts |
81,890 | 118,175 | 12,416 | (2,773 | ) | |||||||||||
|
Forward foreign currency contracts |
— | (29,365 | ) | — | — | |||||||||||
|
Translation of other assets and liabilities denominated in foreign currencies |
— | 31,216 | 251 | — | ||||||||||||
|
|
|
|||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) |
4,935,122 | 13,142,154 | 944,386 | 56,221,971 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized and Unrealized Gain (Loss) |
8,344,052 | 11,653,223 | 606,052 | 62,065,081 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 9,909,406 | $ | 12,772,975 | $ | 782,991 | $ | 74,027,272 | ||||||||
|
|
|
|||||||||||||||
| (1) |
Net of non-US capital gains tax of $(738). |
| (2) |
Net of deferred non-US capital gains tax of $3,570. |
| (3) |
Includes $(51,684) change in unrealized depreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
| 10 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Operations (cont.)
| FlexShares® Morningstar Developed Markets ex-US Factor Tilt Index Fund |
FlexShares® Morningstar Emerging Markets Factor Tilt Index Fund |
FlexShares® US Quality Large Cap Index Fund |
FlexShares® STOXX® US ESG Select Index Fund |
|||||||||||||
|
INVESTMENT INCOME |
| |||||||||||||||
|
Dividend income |
$ | 9,166,206 | $ | 3,352,250 | $ | 1,156,852 | $ | 1,426,160 | ||||||||
|
Income from non-cash dividends |
— | 255,330 | — | — | ||||||||||||
|
Dividend income received from affiliate |
— | — | — | 1,208 | ||||||||||||
|
Interest income |
— | 25 | — | — | ||||||||||||
|
Securities lending income (net of fees) (Note 2) |
243,674 | 70,768 | 4,436 | 3,285 | ||||||||||||
|
Foreign withholding tax on dividends |
(809,508 | ) | (404,437 | ) | — | — | ||||||||||
|
Foreign withholding tax on interest |
— | (4 | ) | — | — | |||||||||||
|
|
|
|||||||||||||||
|
Total Investment Income |
8,600,372 | 3,273,932 | 1,161,288 | 1,430,653 | ||||||||||||
|
|
|
|||||||||||||||
|
EXPENSES |
| |||||||||||||||
|
Deferred compensation (Note 7) |
7,424 | 3,500 | 1,917 | 2,547 | ||||||||||||
|
Investment advisory fees |
991,206 | 678,781 | 156,359 | 267,221 | ||||||||||||
|
Trustee fees (Note 7) |
12,956 | 5,922 | 3,455 | 4,526 | ||||||||||||
|
Other expenses (Note 4) |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Gross Expenses Before Fees Reimbursed |
1,011,586 | 688,203 | 161,731 | 274,294 | ||||||||||||
|
|
|
|||||||||||||||
|
Less: |
| |||||||||||||||
|
Fees reimbursed by investment advisor (Note 4) |
(6,912 | ) | (3,318 | ) | (2,255 | ) | (2,849 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total Net Expenses |
1,004,674 | 684,885 | 159,476 | 271,445 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Investment Income (Loss) |
7,595,698 | 2,589,047 | 1,001,812 | 1,159,208 | ||||||||||||
|
|
|
|||||||||||||||
|
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
|
Transactions in investment securities of affiliated issuers |
— | — | — | (3,101 | ) | |||||||||||
|
Transactions in investment securities |
(4,431,552 | ) | (5,794,495 | )(1) | (1,121,888 | ) | (632,686 | ) | ||||||||
|
In-kind redemptions on investments in affiliated securities |
— | — | — | 337 | ||||||||||||
|
In-kind redemptions on investments in securities |
— | 131,085 | 2,914,204 | 4,512,500 | ||||||||||||
|
Expiration or closing of futures contracts |
610,815 | (35,025 | ) | (83,316 | ) | (83,946 | ) | |||||||||
|
Settlement of forward foreign currency contracts |
(136,634 | ) | 1,288 | — | — | |||||||||||
|
Foreign currency transactions |
418,715 | (113,625 | ) | — | — | |||||||||||
|
|
|
|||||||||||||||
|
Net Realized Gain (Loss) |
(3,538,656 | ) | (5,810,772 | ) | 1,709,000 | 3,793,104 | ||||||||||
|
|
|
|||||||||||||||
|
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
|
Investments in securities |
90,994,929 | 34,635,135 | (2) | 5,621,314 | 10,716,563 | (3) | ||||||||||
|
Securities lending |
— | — | — | — | ||||||||||||
|
Futures contracts |
283,934 | 225,723 | 116,381 | 137,815 | ||||||||||||
|
Forward foreign currency contracts |
156,561 | (6,769 | ) | — | — | |||||||||||
|
Translation of other assets and liabilities denominated in foreign currencies |
341,690 | 32,409 | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) |
91,777,114 | 34,886,498 | 5,737,695 | 10,854,378 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized and Unrealized Gain (Loss) |
88,238,458 | 29,075,726 | 7,446,695 | 14,647,482 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 95,834,156 | $ | 31,664,773 | $ | 8,448,507 | $ | 15,806,690 | ||||||||
|
|
|
|||||||||||||||
| (1) |
Net of non-US capital gains tax of $(131,373). |
| (2) |
Net of deferred non-US capital gains tax of $667,030. |
| (3) |
Includes $(9,050) change in unrealized depreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
| FLEXSHARES SEMIANNUAL REPORT | 11 |
Statements of Operations (cont.)
| FlexShares® STOXX® Global ESG Select Index Fund |
FlexShares® ESG & Climate US Large Cap Core Index Fund |
FlexShares® US Core Index |
FlexShares® ESG & Climate Emerging Markets Core Index Fund |
|||||||||||||
|
INVESTMENT INCOME |
| |||||||||||||||
|
Dividend income |
$ | 1,943,266 | $ | 238,299 | $ | 537,323 | $ | 47,835 | ||||||||
|
Income from non-cash dividends |
— | — | — | — | ||||||||||||
|
Dividend income received from affiliate |
— | — | — | — | ||||||||||||
|
Interest income |
— | 579 | — | — | ||||||||||||
|
Securities lending income (net of fees) (Note 2) |
8,188 | — | — | — | ||||||||||||
|
Foreign withholding tax on dividends |
(118,915 | ) | (258 | ) | (57,762 | ) | (8,129 | ) | ||||||||
|
Foreign withholding tax on interest |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Investment Income |
1,832,539 | 238,620 | 479,561 | 39,706 | ||||||||||||
|
|
|
|||||||||||||||
|
EXPENSES |
| |||||||||||||||
|
Deferred compensation (Note 7) |
2,285 | 284 | 291 | 64 | ||||||||||||
|
Investment advisory fees |
320,485 | 11,688 | 17,480 | 3,971 | ||||||||||||
|
Trustee fees (Note 7) |
4,062 | 666 | 638 | 122 | ||||||||||||
|
Other expenses (Note 4) |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Gross Expenses Before Fees Reimbursed |
326,832 | 12,638 | 18,409 | 4,157 | ||||||||||||
|
|
|
|||||||||||||||
|
Less: |
| |||||||||||||||
|
Fees reimbursed by investment advisor (Note 4) |
(2,348 | ) | (308 | ) | (198 | ) | (74 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total Net Expenses |
324,484 | 12,330 | 18,211 | 4,083 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Investment Income (Loss) |
1,508,055 | 226,290 | 461,350 | 35,623 | ||||||||||||
|
|
|
|||||||||||||||
|
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
|
Transactions in investment securities of affiliated issuers |
— | — | — | — | ||||||||||||
|
Transactions in investment securities |
(1,415,583 | ) | (83,946 | ) | (571,025 | ) | (114,181 | ) | ||||||||
|
In-kind redemptions on investments in affiliated securities |
— | — | — | — | ||||||||||||
|
In-kind redemptions on investments in securities |
3,774,231 | — | — | — | ||||||||||||
|
Expiration or closing of futures contracts |
(14,009 | ) | (10,854 | ) | 6,976 | (1,878 | ) | |||||||||
|
Settlement of forward foreign currency contracts |
(3,904 | ) | — | (897 | ) | — | ||||||||||
|
Foreign currency transactions |
23,113 | — | 3,757 | (2,765 | ) | |||||||||||
|
|
|
|||||||||||||||
|
Net Realized Gain (Loss) |
2,363,848 | (94,800 | ) | (561,189 | ) | (118,824 | ) | |||||||||
|
|
|
|||||||||||||||
|
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
|
Investments in securities |
19,069,884 | 2,115,281 | 5,257,972 | 677,598 | ||||||||||||
|
Securities lending |
— | — | — | — | ||||||||||||
|
Futures contracts |
129,218 | 21,224 | 28,923 | 7,780 | ||||||||||||
|
Forward foreign currency contracts |
(16,087 | ) | — | (8,031 | ) | — | ||||||||||
|
Translation of other assets and liabilities denominated in foreign currencies |
23,039 | — | 2,950 | 561 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) |
19,206,054 | 2,136,505 | 5,281,814 | 685,939 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized and Unrealized Gain (Loss) |
21,569,902 | 2,041,705 | 4,720,625 | 567,115 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 23,077,957 | $ | 2,267,995 | $ | 5,181,975 | $ | 602,738 | ||||||||
|
|
|
|||||||||||||||
See Accompanying Notes to the Financial Statements.
| 12 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Operations (cont.)
| FlexShares® Morningstar Global Upstream Natural Resources Index Fund |
FlexShares® STOXX® Global Broad Infrastructure Index Fund |
FlexShares® Global Quality Real Estate Index Fund |
FlexShares® Real Assets Allocation Index Fund |
|||||||||||||
|
INVESTMENT INCOME |
| |||||||||||||||
|
Dividend income |
$ | 144,782,166 | $ | 39,357,054 | $ | 7,599,849 | $ | — | ||||||||
|
Income from non-cash dividends |
— | — | — | — | ||||||||||||
|
Dividend income received from affiliate |
— | — | — | 184,682 | ||||||||||||
|
Interest income |
— | — | — | — | ||||||||||||
|
Securities lending income (net of fees) (Note 2) |
874,791 | 393,567 | 32,687 | — | ||||||||||||
|
Foreign withholding tax on dividends |
(6,477,452 | ) | (2,564,752 | ) | (304,541 | ) | — | |||||||||
|
Foreign withholding tax on interest |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Investment Income |
139,179,505 | 37,185,869 | 7,327,995 | 184,682 | ||||||||||||
|
|
|
|||||||||||||||
|
EXPENSES |
| |||||||||||||||
|
Deferred compensation (Note 7) |
105,942 | 37,345 | 5,207 | 417 | ||||||||||||
|
Investment advisory fees |
16,976,002 | 5,697,515 | 749,058 | 65,118 | ||||||||||||
|
Administration fees (Note 5) |
— | — | 1,573 | — | ||||||||||||
|
Trustee fees (Note 7) |
193,670 | 67,654 | 8,924 | 664 | ||||||||||||
|
Other expenses (Note 4) |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Gross Expenses Before Fees Reimbursed |
17,275,614 | 5,802,514 | 764,762 | 66,199 | ||||||||||||
|
|
|
|||||||||||||||
|
Less: |
| |||||||||||||||
|
Fees reimbursed by investment advisor (Note 4) |
(116,414 | ) | (42,377 | ) | (7,425 | ) | (52,908 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total Net Expenses |
17,159,200 | 5,760,137 | 757,337 | 13,291 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Investment Income (Loss) |
122,020,305 | 31,425,732 | 6,570,658 | 171,391 | ||||||||||||
|
|
|
|||||||||||||||
|
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
|
Transactions in investment securities of affiliated issuers |
— | — | — | (505,106 | ) | |||||||||||
|
Transactions in investment securities |
84,607,980 | (1) | (53,125,492 | )(2) | (12,032,747 | ) | — | |||||||||
|
In-kind redemptions on investments in affiliated securities |
— | — | — | (731,302 | ) | |||||||||||
|
In-kind redemptions on investments in securities |
13,171,091 | 95,539,433 | 6,083,141 | — | ||||||||||||
|
Expiration or closing of futures contracts |
(1,200,343 | ) | 22,015 | 262,079 | — | |||||||||||
|
Settlement of forward foreign currency contracts |
(591,956 | ) | 11,381 | 93,183 | — | |||||||||||
|
Foreign currency transactions |
(186,798 | ) | 65,099 | 48,529 | — | |||||||||||
|
|
|
|||||||||||||||
|
Net Realized Gain (Loss) |
95,799,974 | 42,512,436 | (5,545,815 | ) | (1,236,408 | ) | ||||||||||
|
|
|
|||||||||||||||
|
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
|
Investments in securities |
31,337,530 | 189,547,051 | (3) | 12,217,617 | 3,124,355 | (4) | ||||||||||
|
Securities lending |
2,532 | — | — | — | ||||||||||||
|
Futures contracts |
1,225,733 | 760,687 | 158,238 | — | ||||||||||||
|
Forward foreign currency contracts |
409,837 | 93,338 | (19,221 | ) | — | |||||||||||
|
Translation of other assets and liabilities denominated in foreign currencies |
732,673 | 286,075 | 62,686 | — | ||||||||||||
|
|
|
|||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) |
33,708,305 | 190,687,151 | 12,419,320 | 3,124,355 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized and Unrealized Gain (Loss) |
129,508,279 | 233,199,587 | 6,873,505 | 1,887,947 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 251,528,584 | $ | 264,625,319 | $ | 13,444,163 | $ | 2,059,338 | ||||||||
|
|
|
|||||||||||||||
| (1) |
Net of non-US capital gains tax of $(306). |
| (2) |
Net of non-US capital gains tax of $(461,844). |
| (3) |
Net of deferred non-US capital gains tax of $560,854. |
| (4) |
Includes $3,124,355 change in unrealized appreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
| FLEXSHARES SEMIANNUAL REPORT | 13 |
Statements of Operations (cont.)
| FlexShares® Quality Dividend Index Fund |
FlexShares® Quality Dividend Defensive Index Fund |
FlexShares® Quality Dividend Dynamic Index Fund |
FlexShares® Dividend |
|||||||||||||
|
INVESTMENT INCOME |
| |||||||||||||||
|
Dividend income |
$ | 23,611,822 | $ | 5,185,979 | $ | 269,963 | $ | 14,313,521 | ||||||||
|
Income from non-cash dividends |
— | — | — | — | ||||||||||||
|
Dividend income received from affiliate |
— | — | — | — | ||||||||||||
|
Interest income |
— | — | — | — | ||||||||||||
|
Securities lending income (net of fees) (Note 2) |
613,181 | 118,400 | 6,128 | 72,729 | ||||||||||||
|
Foreign withholding tax on dividends |
(649,799 | ) | (145,171 | ) | (7,922 | ) | (1,479,724 | ) | ||||||||
|
Foreign withholding tax on interest |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Investment Income |
23,575,204 | 5,159,208 | 268,169 | 12,906,526 | ||||||||||||
|
|
|
|||||||||||||||
|
EXPENSES |
| |||||||||||||||
|
Deferred compensation (Note 7) |
22,964 | 5,334 | 272 | 7,267 | ||||||||||||
|
Investment advisory fees |
2,834,991 | 635,871 | 31,968 | 1,190,676 | ||||||||||||
|
Trustee fees (Note 7) |
41,270 | 9,218 | 487 | 12,563 | ||||||||||||
|
Other expenses (Note 4) |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Gross Expenses Before Fees Reimbursed |
2,899,225 | 650,423 | 32,727 | 1,210,506 | ||||||||||||
|
|
|
|||||||||||||||
|
Less: |
| |||||||||||||||
|
Fees reimbursed by investment advisor (Note 4) |
(25,839 | ) | (5,902 | ) | (326 | ) | (6,162 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total Net Expenses |
2,873,386 | 644,521 | 32,401 | 1,204,344 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Investment Income (Loss) |
20,701,818 | 4,514,687 | 235,768 | 11,702,182 | ||||||||||||
|
|
|
|||||||||||||||
|
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
|
Transactions in investment securities of affiliated issuers |
— | — | — | — | ||||||||||||
|
Transactions in investment securities |
(31,057,524 | ) | (2,577,273 | ) | (315,049 | ) | 680,636 | (1) | ||||||||
|
In-kind redemptions on investments in affiliated securities |
— | — | — | — | ||||||||||||
|
In-kind redemptions on investments in securities |
61,900,757 | 13,943,241 | 875,675 | 450,028 | ||||||||||||
|
Expiration or closing of futures contracts |
(501,648 | ) | (90,567 | ) | (14,199 | ) | 295,104 | |||||||||
|
Settlement of forward foreign currency contracts |
— | — | — | (15,334 | ) | |||||||||||
|
Foreign currency transactions |
— | — | — | 182,221 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized Gain (Loss) |
30,341,585 | 11,275,401 | 546,427 | 1,592,655 | ||||||||||||
|
|
|
|||||||||||||||
|
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
|
Investments in securities |
49,033,493 | 10,305,392 | 309,920 | 87,607,659 | (2) | |||||||||||
|
Securities lending |
1,323 | — | — | — | ||||||||||||
|
Futures contracts |
354,733 | 189,074 | 34,554 | 656,143 | ||||||||||||
|
Forward foreign currency contracts |
— | — | — | 78,773 | ||||||||||||
|
Translation of other assets and liabilities denominated in foreign currencies |
— | — | — | 266,631 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) |
49,389,549 | 10,494,466 | 344,474 | 88,609,206 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized and Unrealized Gain (Loss) |
79,731,134 | 21,769,867 | 890,901 | 90,201,861 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 100,432,952 | $ | 26,284,554 | $ | 1,126,669 | $ | 101,904,043 | ||||||||
|
|
|
|||||||||||||||
| (1) |
Net of non-US capital gains tax of $(64,769). |
| (2) |
Net of non-US capital gains tax of $1,151. |
See Accompanying Notes to the Financial Statements.
| 14 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Operations (cont.)
| FlexShares® International Quality Dividend Defensive Index Fund |
FlexShares® International Quality Dividend Dynamic Index Fund |
FlexShares® iBoxx 3-Year Target Duration TIPS Index Fund |
FlexShares® iBoxx 5-Year Target Duration TIPS Index Fund |
|||||||||||||
|
INVESTMENT INCOME |
| |||||||||||||||
|
Dividend income |
$ | 981,677 | $ | 2,460,103 | $ | — | $ | — | ||||||||
|
Income from non-cash dividends |
— | — | — | — | ||||||||||||
|
Dividend income received from affiliate |
— | — | — | — | ||||||||||||
|
Interest income |
— | — | 35,577,306 | 12,554,955 | ||||||||||||
|
Securities lending income (net of fees) (Note 2) |
7,229 | 18,848 | 16,288 | 33,060 | ||||||||||||
|
Foreign withholding tax on dividends |
(89,825 | ) | (283,539 | ) | — | — | ||||||||||
|
Foreign withholding tax on interest |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Investment Income |
899,081 | 2,195,412 | 35,593,594 | 12,588,015 | ||||||||||||
|
|
|
|||||||||||||||
|
EXPENSES |
| |||||||||||||||
|
Deferred compensation (Note 7) |
695 | 1,068 | 29,793 | 10,075 | ||||||||||||
|
Investment advisory fees |
85,249 | 220,224 | 1,824,576 | 619,412 | ||||||||||||
|
Trustee fees (Note 7) |
1,061 | 2,039 | 56,879 | 17,723 | ||||||||||||
|
Other expenses (Note 4) |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Gross Expenses Before Fees Reimbursed |
87,005 | 223,331 | 1,911,248 | 647,210 | ||||||||||||
|
|
|
|||||||||||||||
|
Less: |
| |||||||||||||||
|
Fees reimbursed by investment advisor (Note 4) |
(787 | ) | (601 | ) | (36,791 | ) | (10,820 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total Net Expenses |
86,218 | 222,730 | 1,874,457 | 636,390 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Investment Income (Loss) |
812,863 | 1,972,682 | 33,719,137 | 11,951,625 | ||||||||||||
|
|
|
|||||||||||||||
|
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
|
Transactions in investment securities of affiliated issuers |
— | — | — | — | ||||||||||||
|
Transactions in investment securities |
(185,960 | )(1) | (1,981,139 | )(2) | (38,980,315 | ) | (21,495,714 | ) | ||||||||
|
In-kind redemptions on investments in affiliated securities |
— | — | — | — | ||||||||||||
|
In-kind redemptions on investments in securities |
1,009,103 | 1,122,716 | (3,482,505 | ) | 715,840 | |||||||||||
|
Expiration or closing of futures contracts |
67,043 | 72,424 | — | — | ||||||||||||
|
Settlement of forward foreign currency contracts |
(27,809 | ) | (12,168 | ) | — | — | ||||||||||
|
Foreign currency transactions |
(51 | ) | 7,343 | — | — | |||||||||||
|
|
|
|||||||||||||||
|
Net Realized Gain (Loss) |
862,326 | (790,824 | ) | (42,462,820 | ) | (20,779,874 | ) | |||||||||
|
|
|
|||||||||||||||
|
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
|
Investments in securities |
4,829,762 | 15,562,836 | (3) | 72,519,020 | 39,186,605 | |||||||||||
|
Securities lending |
— | — | — | — | ||||||||||||
|
Futures contracts |
71,138 | 123,734 | — | — | ||||||||||||
|
Forward foreign currency contracts |
(33,138 | ) | (22,474 | ) | — | — | ||||||||||
|
Translation of other assets and liabilities denominated in foreign currencies |
28,680 | 26,162 | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) |
4,896,442 | 15,690,258 | 72,519,020 | 39,186,605 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized and Unrealized Gain (Loss) |
5,758,768 | 14,899,434 | 30,056,200 | 18,406,731 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 6,571,631 | $ | 16,872,116 | $ | 63,775,337 | $ | 30,358,356 | ||||||||
|
|
|
|||||||||||||||
| (1) |
Net of non-US capital gains tax of $1,151. |
| (2) |
Net of non-US capital gains tax of $11,010. |
| (3) |
Net of deferred non-US capital gains tax of $29,844. |
See Accompanying Notes to the Financial Statements.
| FLEXSHARES SEMIANNUAL REPORT | 15 |
Statements of Operations (cont.)
| FlexShares® Disciplined Duration MBS Index Fund |
FlexShares® Credit-Scored US Corporate Bond Index Fund |
FlexShares® Credit-Scored US Long Corporate Bond Index Fund |
FlexShares® High Yield Value-Scored Bond Index Fund |
|||||||||||||
|
INVESTMENT INCOME |
| |||||||||||||||
|
Dividend income |
$ | — | $ | — | $ | — | $ | — | ||||||||
|
Income from non-cash dividends |
— | — | — | — | ||||||||||||
|
Dividend income received from affiliate |
— | — | — | — | ||||||||||||
|
Interest income |
1,283,464 | 4,033,996 | 896,704 | 45,157,021 | ||||||||||||
|
Securities lending income (net of fees) (Note 2) |
— | — | — | — | ||||||||||||
|
Foreign withholding tax on dividends |
— | — | — | — | ||||||||||||
|
Foreign withholding tax on interest |
— | — | — | (31,543 | ) | |||||||||||
|
|
|
|||||||||||||||
|
Total Investment Income |
1,283,464 | 4,033,996 | 896,704 | 45,125,478 | ||||||||||||
|
|
|
|||||||||||||||
|
EXPENSES |
| |||||||||||||||
|
Deferred compensation (Note 7) |
1,466 | 3,628 | 591 | 12,901 | ||||||||||||
|
Investment advisory fees |
90,781 | 260,730 | 39,165 | 1,828,828 | ||||||||||||
|
Trustee fees (Note 7) |
2,568 | 6,469 | 978 | 25,560 | ||||||||||||
|
Other expenses (Note 4) |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Gross Expenses Before Fees Reimbursed |
94,815 | 270,827 | 40,734 | 1,867,289 | ||||||||||||
|
|
|
|||||||||||||||
|
Less: |
| |||||||||||||||
|
Fees reimbursed by investment advisor (Note 4) |
(1,795 | ) | (4,217 | ) | (671 | ) | (14,153 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total Net Expenses |
93,020 | 266,610 | 40,063 | 1,853,136 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Investment Income (Loss) |
1,190,444 | 3,767,386 | 856,641 | 43,272,342 | ||||||||||||
|
|
|
|||||||||||||||
|
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
|
Transactions in investment securities of affiliated issuers |
— | — | — | — | ||||||||||||
|
Transactions in investment securities |
(2,348,564 | ) | (6,464,998 | ) | (3,175,431 | ) | (41,017,218 | ) | ||||||||
|
In-kind redemptions on investments in affiliated securities |
— | — | — | — | ||||||||||||
|
In-kind redemptions on investments in securities |
— | — | — | — | ||||||||||||
|
Expiration or closing of futures contracts |
— | — | — | — | ||||||||||||
|
Settlement of forward foreign currency contracts |
— | — | — | — | ||||||||||||
|
Foreign currency transactions |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized Gain (Loss) |
(2,348,564 | ) | (6,464,998 | ) | (3,175,431 | ) | (41,017,218 | ) | ||||||||
|
|
|
|||||||||||||||
|
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
|
Investments in securities |
5,505,277 | 18,402,559 | 7,452,117 | 48,980,532 | ||||||||||||
|
Securities lending |
— | — | — | — | ||||||||||||
|
Futures contracts |
— | — | — | — | ||||||||||||
|
Forward foreign currency contracts |
— | — | — | — | ||||||||||||
|
Translation of other assets and liabilities denominated in foreign currencies |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) |
5,505,277 | 18,402,559 | 7,452,117 | 48,980,532 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized and Unrealized Gain (Loss) |
3,156,713 | 11,937,561 | 4,276,686 | 7,963,314 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 4,347,157 | $ | 15,704,947 | $ | 5,133,327 | $ | 51,235,656 | ||||||||
|
|
|
|||||||||||||||
See Accompanying Notes to the Financial Statements.
| 16 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Operations (cont.)
| FlexShares® ESG & Climate High Yield Corporate Core Index Fund |
FlexShares® ESG & Climate Investment Grade Corporate Core Index Fund |
FlexShares® Ultra-Short Income Fund |
FlexShares® Core Select Bond Fund |
|||||||||||||
|
INVESTMENT INCOME |
| |||||||||||||||
|
Dividend income |
$ | — | $ | — | $ | — | $ | 1,652,829 | ||||||||
|
Income from non-cash dividends |
— | — | — | — | ||||||||||||
|
Dividend income received from affiliate |
— | — | — | 894,875 | ||||||||||||
|
Interest income |
790,720 | 581,777 | 18,102,359 | 18,824 | ||||||||||||
|
Securities lending income (net of fees) (Note 2) |
— | — | — | 44,364 | ||||||||||||
|
Foreign withholding tax on dividends |
— | — | — | — | ||||||||||||
|
Foreign withholding tax on interest |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Investment Income |
790,720 | 581,777 | 18,102,359 | 2,610,892 | ||||||||||||
|
|
|
|||||||||||||||
|
EXPENSES |
| |||||||||||||||
|
Deferred compensation (Note 7) |
306 | 454 | 11,460 | 2,325 | ||||||||||||
|
Investment advisory fees |
21,910 | 18,552 | 1,115,138 | 302,367 | ||||||||||||
|
Trustee fees (Note 7) |
457 | 742 | 23,684 | 4,471 | ||||||||||||
|
Other expenses (Note 4) |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Gross Expenses Before Fees Reimbursed |
22,673 | 19,748 | 1,150,282 | 309,163 | ||||||||||||
|
|
|
|||||||||||||||
|
Less: |
| |||||||||||||||
|
Fees reimbursed by investment advisor (Note 4) |
(294 | ) | (433 | ) | (13,233 | ) | (103,721 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total Net Expenses |
22,379 | 19,315 | 1,137,049 | 205,442 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Investment Income (Loss) |
768,341 | 562,462 | 16,965,310 | 2,405,450 | ||||||||||||
|
|
|
|||||||||||||||
|
NET REALIZED GAIN (LOSS) FROM: |
| |||||||||||||||
|
Transactions in investment securities of affiliated issuers |
— | — | — | (1,151,368 | ) | |||||||||||
|
Transactions in investment securities |
(55,906 | ) | (630,040 | ) | 5,557 | (1,316,380 | ) | |||||||||
|
In-kind redemptions on investments in affiliated securities |
— | — | — | 24,038 | ||||||||||||
|
In-kind redemptions on investments in securities |
63,674 | — | — | 114,857 | ||||||||||||
|
Expiration or closing of futures contracts |
— | — | — | 22,749 | ||||||||||||
|
Settlement of forward foreign currency contracts |
— | — | — | — | ||||||||||||
|
Foreign currency transactions |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized Gain (Loss) |
7,768 | (630,040 | ) | 5,557 | (2,306,104 | ) | ||||||||||
|
|
|
|||||||||||||||
|
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON: |
| |||||||||||||||
|
Investments in securities |
356,305 | 2,431,322 | 6,006,718 | 10,956,143 | (1) | |||||||||||
|
Securities lending |
— | — | — | — | ||||||||||||
|
Futures contracts |
— | — | — | 96,409 | ||||||||||||
|
Forward foreign currency contracts |
— | — | — | — | ||||||||||||
|
Translation of other assets and liabilities denominated in foreign currencies |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Net Change in Unrealized Appreciation (Depreciation) |
356,305 | 2,431,322 | 6,006,718 | 11,052,552 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Realized and Unrealized Gain (Loss) |
364,073 | 1,801,282 | 6,012,275 | 8,746,448 | ||||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets Resulting from Operations |
$ | 1,132,414 | $ | 2,363,744 | $ | 22,977,585 | $ | 11,151,898 | ||||||||
|
|
|
|||||||||||||||
| (1) |
Includes $2,884,125 change in unrealized appreciation on investments in affiliates. |
See Accompanying Notes to the Financial Statements.
| FLEXSHARES SEMIANNUAL REPORT | 17 |
FlexShares® Trust
Statements of Changes in Net Assets
| FlexShares® US Quality
Low Volatility Index Fund |
FlexShares® Developed
Markets ex-US Quality Low Volatility Index Fund |
|||||||||||||||
| Six
Months Ended April 30, 2023 (Unaudited) |
Year
Ended October 31, 2022 |
Six Months Ended |
Year
Ended October 31, 2022 |
|||||||||||||
|
OPERATIONS |
| |||||||||||||||
|
Net investment income (loss) |
$ | 1,565,354 | $ | 2,565,712 | $ | 1,119,752 | $ | 1,827,612 | ||||||||
|
Net realized gain (loss) |
3,408,930 | 4,986,550 | (1,488,931 | ) | (2,233,170 | ) | ||||||||||
|
Net change in unrealized appreciation (depreciation) |
4,935,122 | (19,711,109 | ) | 13,142,154 | (13,557,671 | ) | ||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets |
||||||||||||||||
|
Resulting from Operations |
9,909,406 | (12,158,847 | ) | 12,772,975 | (13,963,229 | ) | ||||||||||
|
|
|
|||||||||||||||
|
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||
|
Distributable earnings |
(1,581,101 | ) | (2,196,287 | ) | (465,388 | ) | (2,140,729 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total distributions |
(1,581,101 | ) | (2,196,287 | ) | (465,388 | ) | (2,140,729 | ) | ||||||||
|
|
|
|||||||||||||||
|
CAPITAL TRANSACTIONS(1) |
||||||||||||||||
|
Proceeds from shares issued |
29,442,254 | 51,896,738 | 7,306,211 | 10,600,255 | ||||||||||||
|
Cost of shares redeemed |
(30,986,159 | ) | (36,047,573 | ) | — | (8,015,506 | ) | |||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) from Capital Transactions |
(1,543,905 | ) | 15,849,165 | 7,306,211 | 2,584,749 | |||||||||||
|
|
|
|||||||||||||||
|
Total Increase (Decrease) in Net Assets |
6,784,400 | 1,494,031 | 19,613,798 | (13,519,209 | ) | |||||||||||
|
|
|
|||||||||||||||
|
NET ASSETS |
||||||||||||||||
|
Beginning of Period |
$ | 162,568,523 | $ | 161,074,492 | $ | 61,851,748 | $ | 75,370,957 | ||||||||
|
|
|
|||||||||||||||
|
End of Period |
$ | 169,352,923 | $ | 162,568,523 | $ | 81,465,546 | $ | 61,851,748 | ||||||||
|
|
|
|||||||||||||||
|
SHARE TRANSACTIONS |
||||||||||||||||
|
Beginning of period |
3,250,001 | 2,950,001 | 2,800,001 | 2,700,001 | ||||||||||||
|
Shares issued |
— | — | — | 100,000 | ||||||||||||
|
Shares issued in-kind |
575,000 | 1,000,000 | 300,000 | 300,000 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
|
Shares redeemed in-kind |
(600,000 | ) | (700,000 | ) | — | (300,000 | ) | |||||||||
|
|
|
|||||||||||||||
|
Shares Outstanding, End of Period |
3,225,001 | 3,250,001 | 3,100,001 | 2,800,001 | ||||||||||||
|
|
|
|||||||||||||||
| (1) |
Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
| 18 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Changes in Net Assets (cont.)
| FlexShares® Emerging
Markets Quality Low Volatility Index Fund |
FlexShares® Morningstar
US Market Factor Tilt Index Fund |
|||||||||||||||
| Six
Months Ended April 30, 2023 (Unaudited) |
Year
Ended October 31, 2022 |
Six Months April 30, 2023 |
Year
Ended October 31, 2022 |
|||||||||||||
|
OPERATIONS |
| |||||||||||||||
|
Net investment income (loss) |
$ | 176,939 | $ | 388,332 | $ | 11,962,191 | $ | 22,502,916 | ||||||||
|
Net realized gain (loss) |
(338,334 | ) | (866,287 | ) | 5,843,110 | 68,387,164 | ||||||||||
|
Net change in unrealized appreciation (depreciation) |
944,386 | (2,322,376 | ) | 56,221,971 | (329,620,719 | ) | ||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets |
||||||||||||||||
|
Resulting from Operations |
782,991 | (2,800,331 | ) | 74,027,272 | (238,730,639 | ) | ||||||||||
|
|
|
|||||||||||||||
|
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||
|
Distributable earnings |
(72,445 | ) | (416,284 | ) | (11,093,048 | ) | (22,299,297 | ) | ||||||||
|
Tax return of capital |
— | (24,777 | ) | — | — | |||||||||||
|
|
|
|||||||||||||||
|
Total distributions |
(72,445 | ) | (441,061 | ) | (11,093,048 | ) | (22,299,297 | ) | ||||||||
|
|
|
|||||||||||||||
|
CAPITAL TRANSACTIONS(1) |
||||||||||||||||
|
Proceeds from shares issued |
9,381,883 | — | — | 59,308,274 | ||||||||||||
|
Cost of shares redeemed |
— | (4,388,407 | ) | (47,656,965 | ) | (127,889,854 | ) | |||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) from Capital Transactions |
9,381,883 | (4,388,407 | ) | (47,656,965 | ) | (68,581,580 | ) | |||||||||
|
|
|
|||||||||||||||
|
Total Increase (Decrease) in Net Assets |
10,092,429 | (7,629,799 | ) | 15,277,259 | (329,611,516 | ) | ||||||||||
|
|
|
|||||||||||||||
|
NET ASSETS |
||||||||||||||||
|
Beginning of Period |
$ | 8,213,892 | $ | 15,843,691 | $ | 1,397,407,502 | $ | 1,727,019,018 | ||||||||
|
|
|
|||||||||||||||
|
End of Period |
$ | 18,306,321 | $ | 8,213,892 | $ | 1,412,684,761 | $ | 1,397,407,502 | ||||||||
|
|
|
|||||||||||||||
|
SHARE TRANSACTIONS |
||||||||||||||||
|
Beginning of period |
400,001 | 600,001 | 9,250,001 | 9,650,001 | ||||||||||||
|
Shares issued |
— | — | — | — | ||||||||||||
|
Shares issued in-kind |
400,000 | — | — | 350,000 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
|
Shares redeemed in-kind |
— | (200,000 | ) | (300,000 | ) | (750,000 | ) | |||||||||
|
|
|
|||||||||||||||
|
Shares Outstanding, End of Period |
800,001 | 400,001 | 8,950,001 | 9,250,001 | ||||||||||||
|
|
|
|||||||||||||||
| (1) |
Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
| FLEXSHARES SEMIANNUAL REPORT | 19 |
Statements of Changes in Net Assets (cont.)
| FlexShares®
Morningstar Developed Markets ex-US Factor Tilt Index Fund |
FlexShares®
Morningstar Emerging Markets Factor Tilt Index Fund |
|||||||||||||||
| Six
Months Ended April 30, 2023 (Unaudited) |
Year
Ended October 31, 2022 |
Six
Months Ended April 30, 2023 (Unaudited) |
Year
Ended October 31, 2022 |
|||||||||||||
|
OPERATIONS |
| |||||||||||||||
|
Net investment income (loss) |
$ | 7,595,698 | $ | 16,741,670 | $ | 2,589,047 | $ | 9,809,271 | ||||||||
|
Net realized gain (loss) |
(3,538,656 | ) | 1,512,421 | (5,810,772 | ) | (13,258,134 | ) | |||||||||
|
Net change in unrealized appreciation (depreciation) |
91,777,114 | (161,673,906 | ) | 34,886,498 | (79,920,628 | ) | ||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets |
||||||||||||||||
|
Resulting from Operations |
95,834,156 | (143,419,815 | ) | 31,664,773 | (83,369,491 | ) | ||||||||||
|
|
|
|||||||||||||||
|
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||
|
Distributable earnings |
(2,421,430 | ) | (22,504,833 | ) | (2,966,692 | ) | (12,431,512 | ) | ||||||||
|
Tax return of capital |
— | (992,999 | ) | — | — | |||||||||||
|
|
|
|||||||||||||||
|
Total distributions |
(2,421,430 | ) | (23,497,832 | ) | (2,966,692 | ) | (12,431,512 | ) | ||||||||
|
|
|
|||||||||||||||
|
CAPITAL TRANSACTIONS(1) |
||||||||||||||||
|
Proceeds from shares issued |
— | 14,617,000 | 10,157,281 | 10,793,304 | ||||||||||||
|
Cost of shares redeemed |
— | (49,583,666 | ) | (8,950,307 | ) | (42,475,383 | ) | |||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) from Capital Transactions |
— | (34,966,666 | ) | 1,206,974 | (31,682,079 | ) | ||||||||||
|
|
|
|||||||||||||||
|
Total Increase (Decrease) in Net Assets |
93,412,726 | (201,884,313 | ) | 29,905,055 | (127,483,082 | ) | ||||||||||
|
|
|
|||||||||||||||
|
NET ASSETS |
||||||||||||||||
|
Beginning of Period |
$ | 446,754,180 | $ | 648,638,493 | $ | 206,888,913 | $ | 334,371,995 | ||||||||
|
|
|
|||||||||||||||
|
End of Period |
$ | 540,166,906 | $ | 446,754,180 | $ | 236,793,968 | $ | 206,888,913 | ||||||||
|
|
|
|||||||||||||||
|
SHARE TRANSACTIONS |
||||||||||||||||
|
Beginning of period |
8,200,001 | 8,800,001 | 4,900,001 | 5,500,001 | ||||||||||||
|
Shares issued |
— | — | — | — | ||||||||||||
|
Shares issued in-kind |
— | 200,000 | 200,000 | 200,000 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
|
Shares redeemed in-kind |
— | (800,000 | ) | (200,000 | ) | (800,000 | ) | |||||||||
|
|
|
|||||||||||||||
|
Shares Outstanding, End of Period |
8,200,001 | 8,200,001 | 4,900,001 | 4,900,001 | ||||||||||||
|
|
|
|||||||||||||||
| (1) |
Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
| 20 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Changes in Net Assets (cont.)
| FlexShares® US Quality
Large Cap Index Fund |
FlexShares® STOXX® US ESG Select Index Fund |
|||||||||||||||
| Six
Months Ended April 30, 2023 (Unaudited) |
Year
Ended October 31, 2022 |
Six
Months Ended April 30, 2023 (Unaudited) |
Year
Ended October 31, 2022 |
|||||||||||||
|
OPERATIONS |
| |||||||||||||||
|
Net investment income (loss) |
$ | 1,001,812 | $ | 1,866,119 | $ | 1,159,208 | $ | 2,217,868 | ||||||||
|
Net realized gain (loss) |
1,709,000 | 11,695,699 | 3,793,104 | 4,095,701 | ||||||||||||
|
Net change in unrealized appreciation (depreciation) |
5,737,695 | (32,784,418 | ) | 10,854,378 | (39,534,134 | ) | ||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets |
||||||||||||||||
|
Resulting from Operations |
8,448,507 | (19,222,600 | ) | 15,806,690 | (33,220,565 | ) | ||||||||||
|
|
|
|||||||||||||||
|
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||
|
Distributable earnings |
(961,139 | ) | (1,808,374 | ) | (1,082,086 | ) | (2,266,829 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total distributions |
(961,139 | ) | (1,808,374 | ) | (1,082,086 | ) | (2,266,829 | ) | ||||||||
|
|
|
|||||||||||||||
|
CAPITAL TRANSACTIONS(1) |
||||||||||||||||
|
Proceeds from shares issued |
4,511,459 | 57,305,777 | 7,197,514 | 37,713,363 | ||||||||||||
|
Cost of shares redeemed |
(13,375,791 | ) | (53,400,212 | ) | (18,903,926 | ) | (21,888,788 | ) | ||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) from Capital Transactions |
(8,864,332 | ) | 3,905,565 | (11,706,412 | ) | 15,824,575 | ||||||||||
|
|
|
|||||||||||||||
|
Total Increase (Decrease) in Net Assets |
(1,376,964 | ) | (17,125,409 | ) | 3,018,192 | (19,662,819 | ) | |||||||||
|
|
|
|||||||||||||||
|
NET ASSETS |
||||||||||||||||
|
Beginning of Period |
$ | 127,349,840 | $ | 144,475,249 | $ | 171,979,926 | $ | 191,642,745 | ||||||||
|
|
|
|||||||||||||||
|
End of Period |
$ | 125,972,876 | $ | 127,349,840 | $ | 174,998,118 | $ | 171,979,926 | ||||||||
|
|
|
|||||||||||||||
|
SHARE TRANSACTIONS |
||||||||||||||||
|
Beginning of period |
2,950,001 | 2,875,001 | 1,850,001 | 1,700,001 | ||||||||||||
|
Shares issued |
— | — | — | — | ||||||||||||
|
Shares issued in-kind |
100,000 | 1,300,000 | 75,000 | 350,000 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
|
Shares redeemed in-kind |
(300,000 | ) | (1,225,000 | ) | (200,000 | ) | (200,000 | ) | ||||||||
|
|
|
|||||||||||||||
|
Shares Outstanding, End of Period |
2,750,001 | 2,950,001 | 1,725,001 | 1,850,001 | ||||||||||||
|
|
|
|||||||||||||||
| (1) |
Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
| FLEXSHARES SEMIANNUAL REPORT | 21 |
Statements of Changes in Net Assets (cont.)
| FlexShares® STOXX® Global ESG Select Index Fund |
FlexShares® ESG &
Climate US Large Cap Core Index Fund |
|||||||||||||||
| Six
Months Ended April 30, 2023 (Unaudited) |
Year
Ended October 31, 2022 |
Six
Months Ended April 30, 2023 (Unaudited) |
Year
Ended October 31, 2022 |
|||||||||||||
|
OPERATIONS |
| |||||||||||||||
|
Net investment income (loss) |
$ | 1,508,055 | $ | 2,805,170 | $ | 226,290 | $ | 162,899 | ||||||||
|
Net realized gain (loss) |
2,363,848 | 3,353,319 | (94,800 | ) | (133,446 | ) | ||||||||||
|
Net change in unrealized appreciation (depreciation) |
19,206,054 | (41,798,644 | ) | 2,136,505 | (2,180,219 | ) | ||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets |
||||||||||||||||
|
Resulting from Operations |
23,077,957 | (35,640,155 | ) | 2,267,995 | (2,150,766 | ) | ||||||||||
|
|
|
|||||||||||||||
|
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||
|
Distributable earnings |
(854,638 | ) | (3,114,461 | ) | (195,120 | ) | (129,697 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total distributions |
(854,638 | ) | (3,114,461 | ) | (195,120 | ) | (129,697 | ) | ||||||||
|
|
|
|||||||||||||||
|
CAPITAL TRANSACTIONS(1) |
||||||||||||||||
|
Proceeds from shares issued |
— | 14,352,429 | 10,237,670 | 24,984,332 | ||||||||||||
|
Cost of shares redeemed |
(12,740,756 | ) | (14,389,810 | ) | — | (3,269,970 | ) | |||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) from Capital Transactions |
(12,740,756 | ) | (37,381 | ) | 10,237,670 | 21,714,362 | ||||||||||
|
|
|
|||||||||||||||
|
Total Increase (Decrease) in Net Assets |
9,482,563 | (38,791,997 | ) | 12,310,545 | 19,433,899 | |||||||||||
|
|
|
|||||||||||||||
|
NET ASSETS |
||||||||||||||||
|
Beginning of Period |
$ | 146,925,477 | $ | 185,717,474 | $ | 22,103,385 | $ | 2,669,486 | ||||||||
|
|
|
|||||||||||||||
|
End of Period |
$ | 156,408,040 | $ | 146,925,477 | $ | 34,413,930 | $ | 22,103,385 | ||||||||
|
|
|
|||||||||||||||
|
SHARE TRANSACTIONS |
||||||||||||||||
|
Beginning of period |
1,250,001 | 1,250,001 | 500,000 | 50,000 | ||||||||||||
|
Shares issued |
— | 50,000 | — | — | ||||||||||||
|
Shares issued in-kind |
— | 50,000 | 225,000 | 525,000 | ||||||||||||
|
Shares redeemed |
— | — | — | — | ||||||||||||
|
Shares redeemed in-kind |
(100,000 | ) | (100,000 | ) | — | (75,000 | ) | |||||||||
|
|
|
|||||||||||||||
|
Shares Outstanding, End of Period |
1,150,001 | 1,250,001 | 725,000 | 500,000 | ||||||||||||
|
|
|
|||||||||||||||
| (1) |
Capital transactions may include transaction fees associated with creation and redemption transactions which occurred during the period. See Note 9 to the Financial Statements. |
See Accompanying Notes to the Financial Statements.
| 22 | FLEXSHARES SEMIANNUAL REPORT |
Statements of Changes in Net Assets (cont.)
| FlexShares® ESG & Climate Developed Markets ex-US Core Index Fund |
FlexShares® ESG & Climate Emerging Markets Core Index Fund |
|||||||||||||||
| Six
Months Ended April 30, 2023 (Unaudited) |
Year
Ended October 31, 2022 |
Six
Months Ended April 30, 2023 (Unaudited) |
April 20, 2022* through October 31, 2022 |
|||||||||||||
|
OPERATIONS |
| |||||||||||||||
|
Net investment income (loss) |
$ | 461,350 | $ | 441,657 | $ | 35,623 | $ | 75,840 | ||||||||
|
Net realized gain (loss) |
(561,189 | ) | (966,117 | ) | (118,824 | ) | (45,285 | ) | ||||||||
|
Net change in unrealized appreciation (depreciation) |
5,281,814 | (3,597,163 | ) | 685,939 | (1,106,532 | ) | ||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) in Net Assets |
||||||||||||||||
|
Resulting from Operations |
5,181,975 | (4,121,623 | ) | 602,738 | (1,075,977 | ) | ||||||||||
|
|
|
|||||||||||||||
|
DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||
|
Distributable earnings |
(189,640 | ) | (406,987 | ) | (36,769 | ) | (65,664 | ) | ||||||||
|
|
|
|||||||||||||||
|
Total distributions |
(189,640 | ) | (406,987 | ) | (36,769 | ) | (65,664 | ) | ||||||||
|
|
|
|||||||||||||||
|
CAPITAL TRANSACTIONS(1) |
||||||||||||||||
|
Proceeds from shares issued |
17,531,848 | 16,578,470 | — | — | ||||||||||||
|
Cost of shares redeemed |
— | — | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Net Increase (Decrease) from Capital Transactions |
17,531,848 | 16,578,470 | — | — | ||||||||||||
|
|
|
|||||||||||||||
|
Total Increase (Decrease) in Net Assets |
22,524,183 | 12,049,860 | 565,969 | (1,141,641 | ) | |||||||||||
|
|
|
|||||||||||||||
|
NET ASSETS |
||||||||||||||||
|
Beginning of Period |
$ | 17,168,920 | $ | 5,119,060 | $ | 3,867,735 | $ | 5,009,376 | (2),(3) | |||||||
|
|
|
|||||||||||||||
|
End of Period |
$ | 39,693,103 | $ | 17,168,920 | $ | 4,433,704 | $ | 3,867,735 | ||||||||
|
|
|
|||||||||||||||
|
SHARE TRANSACTIONS |
||||||||||||||||
|
Beginning of period |
450,000 | 100,000 | 100,000 | 100,000 | (2) | |||||||||||
|
Shares issued |
— | — | — | — | ||||||||||||
|
Shares issued in-kind |
400,000 | 350,000 | — | — | ||||||||||||
|
Shares redeemed |
— | |||||||||||||||