Prospectus September 28, 2021

Wells Fargo Master Trust

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Portfolio

Wells Fargo C&B Large Cap Value Portfolio

Wells Fargo Core Bond Portfolio

Wells Fargo Disciplined International Developed Markets Portfolio

Wells Fargo Disciplined Large Cap Portfolio

Wells Fargo Diversified Large Cap Growth Portfolio

Wells Fargo Emerging Growth Portfolio

Wells Fargo Index Portfolio

Wells Fargo Large Company Value Portfolio

Wells Fargo Managed Fixed Income Portfolio

Wells Fargo Real Return Portfolio

Wells Fargo Small Company Growth Portfolio

Wells Fargo Small Company Value Portfolio

NOTE: Responses to Form N-1A Items 1, 2, 3, 4 and 13 have been omitted pursuant to Paragraph (B)(2)(b) of the General Instructions to Form N-1A.

 

Table of Contents

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ITEMS 5-7: Summary of Fund Management, Transaction Policies and Tax Information
C&B Large Cap Value Portfolio Summary...............................................................................................	2
Core Bond Portfolio Summary..............................................................................................................	3
Disciplined International Developed Markets Portfolio Summary.............................................................	4
Disciplined Large Cap Portfolio Summary...............................................................................................	5
Diversified Large Cap Growth Portfolio Summary...................................................................................	6
Emerging Growth Portfolio Summary....................................................................................................	7
Index Portfolio Summary......................................................................................................................	8
Large Company Value Portfolio Summary..............................................................................................	9
Managed Fixed Income Portfolio Summary............................................................................................	10
Real Return Portfolio Summary.............................................................................................................	11
Small Company Growth Portfolio Summary...........................................................................................	12
Small Company Value Portfolio Summary..............................................................................................	13
Summary of Important Information Regarding Purchase and Sale of Portfolio Interests............................	14
Tax Information...................................................................................................................................	14
ITEM 9: Investment Objectives, Principal Investment Strategies, Related Risks and Disclosure of Portfolio Holdings
C&B Large Cap Value Portfolio..............................................................................................................	16
Core Bond Portfolio.............................................................................................................................	17
Disciplined International Developed Markets Portfolio............................................................................	18
Disciplined Large Cap Portfolio.............................................................................................................	19
Diversified Large Cap Growth Portfolio..................................................................................................	20
Emerging Growth Portfolio...................................................................................................................	22
Index Portfolio.....................................................................................................................................	23
Large Company Value Portfolio.............................................................................................................	24
Managed Fixed Income Portfolio...........................................................................................................	25
Real Return Portfolio............................................................................................................................	26
Small Company Growth Portfolio..........................................................................................................	28
Small Company Value Portfolio.............................................................................................................	29
Description of Principal Investment Risks..............................................................................................	30
Portfolio Holdings Information.............................................................................................................	33
ITEM 10: Management, Organization and Capital Structure
The Adviser.........................................................................................................................................	34
The Sub-Advisers and Portfolio Managers..............................................................................................	35

 

Table of Contents

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ITEMS 11 AND 12: Interestholder Information and Distribution Arrangements
Purchasing Portfolio Interests; Valuing Portfolio Interests......................................................................	37
Valuation of Portfolio Assets................................................................................................................	38
Redeeming or Repurchasing Portfolio Interests......................................................................................	39
Distributions........................................................................................................................................	40
Taxes..................................................................................................................................................	40

 

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C&B Large Cap Value Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Cooke & Bieler, L.P.	Andrew B. Armstrong, CFA, Portfolio Manager / 2015 Wesley Lim, CFA, Portfolio Manager / 2019 Steve Lyons, CFA, Portfolio Manager / 2009 Michael M. Meyer, CFA, Portfolio Manager / 1993 Edward W. O’Connor, CFA, Portfolio Manager / 2002 R. James O’Neil, CFA, Portfolio Manager / 1990 Mehul Trivedi, CFA, Portfolio Manager / 1998 William Weber, CFA, Portfolio Manager / 2011

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Core Bond Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Wells Capital Management, LLC	Maulik Bhansali, CFA, Portfolio Manager / 2017 Jarad Vasquez, Portfolio Manager / 2017

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Disciplined International Developed Markets Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Wells Capital Management, LLC	Justin P. Carr, CFA, Portfolio Manager / 2020 Vince Fioramonti, CFA, Portfolio Manager / 2020

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Disciplined Large Cap Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Wells Capital Management, LLC	Justin P. Carr, CFA, Portfolio Manager / 2018 Robert M. Wicentowski, CFA, Portfolio Manager / 2019

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Diversified Large Cap Growth Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Wells Capital Management, LLC	John R. Campbell, CFA, Portfolio Manager / 2017 Vince Fioramonti, CFA, Portfolio Manager / 2019 Robert Gruendyke, CFA, Portfolio Manager / 2021 Thomas C. Ognar, CFA, Portfolio Manager / 2011

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Emerging Growth Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Wells Capital Management, LLC	Robert Gruendyke, CFA, Portfolio Manager / 2020 David Nazaret, CFA, Portfolio Manager / 2020 Thomas C. Ognar, CFA, Portfolio Manager / 2007

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Index Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Wells Capital Management, LLC	John R. Campbell, CFA, Portfolio Manager/ 2013 David Neal, CFA, Portfolio Manager/ 2013 Robert M. Wicentowski, CFA, Portfolio Manager / 2017

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Large Company Value Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Wells Capital Management, LLC	Dennis Bein, CFA, Portfolio Manager / 2016 Ryan Brown, CFA, Portfolio Manager / 2016 Harindra de Silva, Ph.D., CFA, Portfolio Manager / 2016

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Managed Fixed Income Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Galliard Capital Management, Inc.	Andrea Johnson, CFA, Portfolio Manager / 2017 Brandon Kanz, CFA, Portfolio Manager / 2018

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Real Return Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Wells Capital Management, LLC	Kandarp R. Acharya, CFA, FRM, Portfolio Manager / 2014 Petros N. Bocray, CFA, FRM, Portfolio Manager / 2016 Michael Bradshaw, CFA, Portfolio Manager / 2014 Christian L. Chan, CFA, Portfolio Manager / 2014 Jay N. Mueller, CFA1, Portfolio Manager / 2005 Garth B. Newport, CFA, Portfolio Manager / 2019 Michael Schueller, CFA, Portfolio Manager / 2019 Michal Stanczyk, Portfolio Manager / 2021

1.	Mr. Mueller has announced his intention to retire effective October 31, 2021.

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Small Company Growth Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Peregrine Capital Management, LLC	William A. Grierson, CFA, Portfolio Manager / 2005 Daniel J. Hagen, CFA, Portfolio Manager / 2003 Paul E. von Kuster, CFA, Portfolio Manager / 1984 Ryan H. Smith, CFA, Portfolio Manager / 2021 Samuel D. Smith, CFA, Portfolio Manager / 2021

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Small Company Value Portfolio Summary

Item 5: Fund Management

Adviser	Sub-Adviser	Portfolio Manager, Title/Managed Since
Wells Fargo Funds Management, LLC	Wells Capital Management, LLC	Jeff Goverman, Portfolio Manager / 2018 Garth R. Nisbet, CFA, Portfolio Manager / 2018 Craig Pieringer, CFA, Portfolio Manager / 2018

For important information about purchase and sale of Portfolio interests and tax information, please turn to “Purchasing Portfolio Interests” beginning on page 37.

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Summary of Important Information Regarding Purchase and Sale of Portfolio Shares and Tax Information

Item 6: Transaction Policies

Investments in the portfolios may only be made by certain institutional investors, whether organized within or outside the United States (excluding individuals, S corporations, partnerships, and grantor trusts beneficially owned by any individuals, S corporations, or partnerships). An investor in a Portfolio must also be an “accredited investor,” as that term is defined under Rule 501(a) of Regulation D under the Securities Act of 1933, as amended (“1933 Act”).

There is no minimum initial or subsequent investment amount in a Portfolio. However, because each Portfolio intends to be as fully invested at all times as is reasonably practicable in order to enhance the return on its assets, investments must be made in federal funds (i.e., monies credited to the account of the Allspring Master Trust’s (the “Trust”) custodian by a Federal Reserve Bank).

An investor in a Portfolio may withdraw all or any portion of its investment in the Portfolio based on the value of the Portfolio’s assets next determined after a withdrawal request in proper form is furnished by the investor to the Trust.

Item 7: Tax Information

Each investor in the Portfolio will be taxable on its distributive share of the Portfolio’s taxable income in determining its federal income tax liability. As a non-publicly traded partnership, the Portfolio will be deemed to have “passed through” to shareholders any interest, dividends, gains and losses which may be taxable as ordinary income or capital gains.

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Item 9: Investment Objectives, Principal Investment Strategies, Related Risks and Disclosure of Portfolio Holdings

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Percentages of the “Portfolio’s net assets” are measured as percentages of net assets plus borrowings for investment purposes. The investment policy of the C&B Large Cap Value Portfolio, Core Bond Portfolio, Disciplined International Developed Markets Portfolio, Disciplined Large Cap Portfolio, Diversified Large Cap Growth Portfolio, Index Portfolio, Large Company Value Portfolio, Managed Fixed Income Portfolio, Small Company Growth Portfolio and Small Company Value Portfolio concerning “80% of the Portfolio’s net assets” may be changed by the Board without interestholder approval, but interestholders would be given 60 days’ notice. The following pages contain the investment objectives, principal investment strategies, and related risks for each of the Portfolios.

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C&B Large Cap Value Portfolio

Investment Objective

The Portfolio seeks maximum long-term total return (current income and capital appreciation), consistent with minimizing risk to principal.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s net assets in equity securities of large-capitalization companies.

We invest principally in equity securities of large-capitalization companies, which we define as companies with market capitalizations within the range of the Russell 1000® Index. The market capitalization range of the Russell 1000® Index was approximately $511.85 million to $2.51 trillion, as of August 31, 2021, and is expected to change frequently. We manage a relatively focused portfolio of 30 to 50 companies that enables us to provide adequate diversification while allowing the composition and performance of the portfolio to behave differently than the market.

We select securities for the portfolio based on an analysis of a company’s financial characteristics and an assessment of the quality of a company’s management. In selecting a company, we consider criteria such as return on equity, balance sheet strength, industry leadership position and cash flow projections. We further narrow the universe of acceptable investments by undertaking intensive research including interviews with a company’s top management, customers and suppliers. We believe its assessment of business quality and emphasis on valuation will protect the portfolio’s assets in down markets, while its insistence on strength in leadership, financial condition and cash flow position will produce competitive results in all but the most speculative markets. We regularly review the investments of the portfolio and may sell a portfolio holding when it has achieved its valuation target, there is deterioration in the underlying fundamentals of the business, or we have identified a more attractive investment opportunity. We may actively trade portfolio securities.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the interestholders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Equity Securities risk ■ Focused Portfolio Risk	■ Growth/Value Investing Risk ■ Management Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Core Bond Portfolio

Investment Objective

The Portfolio seeks total return, consisting of income and capital appreciation.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s net assets in bonds;

 

■	at least 80% of the Portfolio’s total assets in investment-grade debt securities;

 

■	up to 25% of the Portfolio’s total assets in asset-backed securities, other than mortgage-backed securities; and

 

■	up to 20% of the Portfolio’s total assets in U.S. dollar-denominated debt securities of foreign issuers.

We invest principally in investment-grade debt securities, including U.S. Government obligations, corporate bonds and mortgage- and asset-backed securities. As part of our investment strategy, we may enter into mortgage dollar rolls and reverse repurchase agreements, as well as invest in U.S. dollar-denominated debt securities of foreign issuers. We may also use futures, options or swap agreements to manage risk or to enhance return or as a substitute for purchasing the underlying security. While we may purchase securities of any maturity or duration, under normal circumstances, we expect to maintain an overall portfolio dollar-weighted average effective duration that is within 10% of that of the Fund’s benchmark. (The Fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond index, had a duration of 6.10 years, as of August 31, 2020.) “Dollar-Weighted Average Effective Duration” is an aggregate measure of the sensitivity of a fund’s fixed income portfolio securities to changes in interest rates. As a general matter, the price of a fixed income security with a longer effective duration will fluctuate more in response to changes in interest rates than the price of a fixed income security with a shorter effective duration.

We invest in debt securities that we believe offer competitive returns and are undervalued, offering additional income and/or price appreciation potential relative to other debt securities of similar credit quality and interest rate sensitivity. From time to time, we may also invest in unrated bonds that we believe are comparable to investment-grade debt securities. We may sell a security that has achieved its desired return or if we believe the security or its sector has become overvalued. We may also sell a security if a more attractive opportunity becomes available or if the security is no longer attractive due to its risk profile or as a result of changes in the overall market environment. We may actively trade portfolio securities.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the interestholders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Debt Risk ■ Derivatives Risk ■ Foreign Investment Risk ■ Futures Contracts Risk	■ Management Risk ■ Mortgage- and Asset-Backed Securities Risk ■ Options Risk ■ Swaps Risk ■ U.S. Government Obligations Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Disciplined International Developed Markets Portfolio

Investment Objective

The Portfolio seeks long-term capital appreciation.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s total assets in equity securities of foreign issuers; and

 

■	up to 20% of the Portfolio’s total assets in emerging markets equity securities.

We invest principally in the equity securities of foreign issuers that are constituents of the MSCI EAFE Index. We invest primarily in developed countries but may invest in emerging markets. We consider equity securities of foreign issuers (or foreign securities) to be equity securities: (1) issued by companies with their principal place of business or principal office, or both, as determined in our reasonable discretion, in a country other than the U.S.; or (2) issued by companies for which the principal securities trading market is a country other than the U.S. Furthermore, we may use futures or participation notes to manage risk or to enhance return.

We employ a risk-controlled investment approach in seeking to construct a broadly diversified portfolio of companies with characteristics similar to the MSCI EAFE Index with a superior valuation and earnings profile. Our research, which utilizes a combination of quantitative methods and fundamental analysis, identifies companies based on valuation, quality and momentum characteristics that give a comprehensive view of each company’s relative valuation, operational and financial performance, and stock price behavior. Our approach seeks to achieve positive excess returns relative to the MSCI EAFE Index (which may include both value and growth stocks) by deriving the primary source of alpha via stock selection while explicitly managing active risk exposures in a portfolio that highly reflects benchmark-like characteristics. We regularly review the investments of the Portfolio and may sell a portfolio holding when, among other reasons, we believe there is deterioration in the underlying fundamentals of the business, or we have identified a more attractive investment opportunity.

We reserve the right to hedge the Portfolio’s foreign currency exposure by purchasing or selling currency futures and foreign currency forward contracts. However, under normal circumstances, we will not engage in extensive foreign currency hedging. We may actively trade portfolio securities.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the shareholders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Equity Securities Risk ■ Foreign Investment Risk ■ Derivatives Risk ■ Emerging Markets Risk ■ Foreign Currency Contracts Risk	■ Futures Contracts Risk ■ Growth/Value Investing Risk ■ Management Risk ■ Participation Notes Risk ■ Smaller Company Securities Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Disciplined Large Cap Portfolio

Investment Objective

The Portfolio seeks long-term capital appreciation.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s net assets in equity securities of U.S. large-capitalization companies.

We invest principally in equity securities of large-capitalization companies, which we define as companies with market capitalizations within the range of the Russell 1000® Index at the time of purchase. The market capitalization range of the Russell 1000® Index was approximately $511.85 million to $2.51 trillion, as of August 31, 2021, and is expected to change frequently.

We employ a risk controlled investment approach in seeking to construct a broadly diversified portfolio of companies with characteristics similar to the Russell 1000® Index and a superior valuation and earnings profile. Our research, which utilizes a combination of quantitative methods and fundamental analysis, identifies companies based on valuation, earnings and trading momentum characteristics that give a comprehensive view of each company’s relative valuation, operational and financial performance, and stock price behavior. Our approach seeks to achieve positive excess returns relative to the Russell 1000® Index (which may include both value and growth stocks) by using stock selection to take controlled active risks in a portfolio that is similar to the benchmark. We regularly review the investments of the portfolio and may sell a portfolio holding when, among other reasons, we believe there is deterioration in the underlying fundamentals of the business, or we have identified a more attractive investment opportunity.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the shareholders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Equity Securities Risk ■ Growth/Value Investing Risk ■ Management Risk ■ Regulatory Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Diversified Large Cap Growth Portfolio

Investment Objective

The Portfolio seeks long-term capital appreciation.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s net assets in equity securities of large-capitalization companies; and

 

■	up to 25% of the Portfolio’s total assets in equity securities of foreign issuers through ADRs and similar investments.

We invest principally in equity securities of large-capitalization companies. We may also invest in equity securities of foreign issuers, through ADRs and similar investments.

We utilize several different large cap investment strategies to pursue the Portfolio’s objective.

A portion of the Portfolio’s assets is invested in a strategy that utilizes a combination of quantitative methods and fundamental analysis to select a core portfolio of large capitalization companies (defined as companies with market capitalizations within the range of the Russell 1000® Index, which was approximately $511.85 million to $2.51 trillion, as of August 31, 2021) that we believe are relatively undervalued and exhibit the likelihood to meet or exceed future earnings expectations. Our quantitative analysis is based on a proprietary quantitative model that considers valuation, quality, and momentum characteristics to rank securities. Stocks that are attractively ranked by the total composite model are candidates for purchase. Such candidates undergo further qualitative analysis, which may include an evaluation of a company’s management strength, products and/or services, competition and risk profile. This disciplined process leads to a focused, target sleeve of approximately 50 securities that are diversified among major economic sectors. Generally, we avoid investments in issuers we deem to have significant alcohol, gaming or tobacco business. In general, a stock may be sold if it has declining earnings expectations or a significantly overvalued stock price, as indicated by lower rankings within the total composite model. Upon the sale of any security, we seek to invest the proceeds in the most attractive security, in light of all relevant considerations, in which the Portfolio may invest in accordance with its investment restrictions.

The remaining portion of the Portfolio’s assets is invested in a strategy that looks for large capitalization companies (defined as companies with market capitalizations within the range of the S&P 500 Index, which was approximately $5.11 billion to $2.51 trillion, as of August 31, 2021) that dominate their market, are establishing new markets or are undergoing dynamic change. We believe earnings and revenue growth relative to expectations are critical factors in determining stock price movements. Thus, our investment process is centered around finding companies with under-appreciated prospects for robust and sustainable growth in earnings and revenue. To find that growth, we use bottom-up research, emphasizing companies whose management teams have a history of successfully executing their strategy and whose business models have sufficient profit potential. We forecast revenue and earnings revision opportunities, along with other key financial metrics to assess investment potential. We then combines that company-specific analysis with its assessment of secular and timeliness trends to form a buy/sell decision about a particular stock. We sell a company’s securities when we see deterioration in fundamentals that leads us to become suspicious of a company’s prospective growth profile or the profitability potential of its business model, as this often leads to lower valuation potential. We may also sell or trim a position when we need to raise money to fund the purchase of a better investment opportunity or when valuation is extended beyond our expectations. We may actively trade portfolio securities.

Because the Portfolio’s assets are managed by multiple portfolio managers within the Portfolio using the investment strategies as described above, the Portfolio could experience overlapping security transactions where certain portfolio managers purchase securities at the same time other portfolio managers are selling those securities. This could lead to higher costs compared to other Portfolio’s using a single investment management style. We may rebalance and reallocate assets across the portfolio strategies and may choose to further divide the Portfolio’s assets to allow for additional portions to be managed using other investment approaches that meet the objective and investment parameters of the Portfolio. We may invest in any sector, and at times may emphasize one or more particular sectors.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to

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either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the interest holders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Equity Securities Risk ■ Foreign Investment Risk ■ Growth/Value Investing Risk ■ Management Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Emerging Growth Portfolio

Investment Objective

The Portfolio seeks long-term capital appreciation.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s total assets in equity securities of small-capitalization companies; and

 

■	up to 25% of the Portfolio’s total assets in equity securities of foreign issuers through ADRs and similar investments.

We invest principally in equity securities of small-capitalization companies, that we define as securities of companies with market capitalization within the range of the Russell 2000® Index at the time of purchase. The market capitalization range of the Russell 2000® Index was approximately $34.49 million to $28.21 billion, as of August 31, 2021, and is expected to change frequently. Small-capitalization companies may include both domestic and foreign small-capitalization companies.

We seek small-capitalization companies that are in the emerging phase of their life cycle. We believe earnings and revenue growth relative to consensus expectations are critical factors in determining stock price movements. Thus, its investment process focuses on identifying companies with robust and sustainable growth in revenue and earnings that are underappreciated by the market. To find that growth, we use bottom-up research, emphasizing companies whose management teams have a history of successfully executing their strategy and whose business models have sufficient profit potential. We forecast revenue and earnings growth along with other key financial metrics to assess investment potential. We then combines that company-specific analysis with its assessment of what the market is discounting for growth to form a buy/sell decision about a particular stock. We seek to capitalize on investment opportunities where a sizable gap exists between market consensus and our expectation for a company’s growth prospects. We may invest in any sector and, at times, may emphasize one or more particular sectors. In addition, our investment process is built on a foundation of continuous risk management and a strict sell discipline. We sell a company’s securities when it sees signs that can cause a company’s growth prospects to deteriorate, as this often leads to lower valuation potential. We may also sell or trim a position when it needs to raise money to fund the purchase of a better investment opportunity or when valuation has extended beyond its expectations. We may actively trade portfolio securities.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the shareholders to do so. During these periods, the Fund may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Equity Securities Risk ■ Smaller Company Securities Risk	■ Foreign Investment Risk ■ Growth/Value Investing Risk ■ Management Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Index Portfolio

Investment Objective

The Portfolio seeks to replicate the total return of the S&P 500 Index, before fees and expenses.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s net assets in a diversified portfolio of equity securities designed to replicate the holdings and weightings of the stocks comprising the S&P 500 Index.

The Portfolio invests in substantially all of the common stocks comprising the S&P 500 Index and attempts to achieve at least a 95% correlation between the performance of the S&P 500 Index and the Portfolio’s investment results, before expenses. This correlation is sought regardless of market conditions. If we are unable to achieve this correlation, we will closely monitor the performance and composition of the S&P 500 Index and adjust the Portfolio’s securities holdings as necessary to seek the correlation.

A precise duplication of the performance of the S&P 500 Index would mean that the net asset value (“NAV”) of Interests, including dividends and capital gains,would increase or decrease in exact proportion to changes in the S&P 500 Index. Such a 100% correlation is not feasible. Our ability to track the performance of the S&P 500 Index may be affected by,among other things, transaction costs and interestholder purchases and redemptions. We continuously monitor the performance and composition of the S&P 500 Index and adjust the Portfolio’s securities as necessary to reflect any changes to the S&P 500 Index and to maintain a 95% or better performance correlation, before expenses. We may actively trade portfolio securities.

Furthermore, we may use futures to manage risk or to enhance return.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the interestholders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Equity Securities Risk ■ Derivatives Risk	■ Futures Contracts Risk ■ Index Tracking Risk ■ Management Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Large Company Value Portfolio

Investment Objective

The Portfolio seeks long-term capital appreciation.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s net assets in equity securities of large-capitalization companies.

We invest principally in equity securities of U.S. large-capitalization companies, which are defined as companies with market capitalizations within the range of the Russell 1000® Index. The market capitalization range of the Russell 1000® Index was approximately $511.85 million to $2.51 trillion, as of August 31, 2021, and is expected to change frequently. We may also invest in equity securities of foreign issuers through ADRs and similar investments. Furthermore, we may use futures contracts to equitize uninvested cash.

We construct a diversified portfolio of large capitalization equity securities that we believe, based on the use of a proprietary quantitative investment process, will outperform the broad market (net of fees) while maintaining a risk profile similar to the Russell 1000 Value Index. In an attempt to minimize the likelihood and magnitude of under performance versus the Russell 1000 Value Index, under normal market conditions, we will seek to create a portfolio with sector exposures, as well as value and market capitalization characteristics that are relatively consistent with that index. We monitor the risk-return tradeoff of the overall portfolio, and will either rebalance the portfolio or sell one or more individual securities when their expected return targets are reached, or when portfolio risks increase beyond acceptable levels.

We may actively trade portfolio securities.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the shareholders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Equity Securities Risk ■ Derivatives Risk	■ Futures Contracts Risk ■ Growth/Value Investing Risk ■ Management Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Managed Fixed Income Portfolio

Investment Objective

The Portfolio seeks consistent fixed-income returns.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s net assets in investment grade fixed income securities.

We invest in a diversified portfolio of investment grade fixed- and variable-rate U.S. dollar denominated, fixed-income securities of a broad spectrum of U.S. and foreign issuers, including U.S. Government obligations and the debt securities of financial institutions, corporations and others. We emphasize the use of intermediate maturity securities to lessen duration and employ lower risk yield enhancement techniques to enhance return over a complete economic or interest rate cycle. We consider intermediate-term securities to be those with maturities of between 2 and 20 years. We may use futures, options or swaps to manage risk and enhance returns.

The Portfolio will limit its investment in mortgage-backed securities to not more than 65% of total assets and its investment in other asset-backed securities to not more than 25% of total assets. While we may purchase securities of any maturity or duration, under normal circumstances, we expect to maintain an overall portfolio dollar-weighted average effective duration that is within 10% of that of the Portfolio’s benchmark. “Dollar-Weighted Average Effective Maturity” is a measure of the average time until the final payment of principal and interest is due on fixed income securities in the Portfolio. “Dollar-Weighted Average Effective Duration” is an aggregate measure of the sensitivity of a fund’s fixed income portfolio securities to changes in interest rates. As a general matter, the price of a fixed income security with a longer effective duration will fluctuate more in response to changes in interest rates than the price of a fixed income security with a shorter effective duration.

While not a principal strategy, we also may invest up to 10% of the Portfolio’s total assets in each of (i) securities issued or guaranteed by foreign governments the Adviser deems stable, or their subdivisions, agencies, or instrumentalities; (ii) loan or security participations; (iii) securities of supranational organizations; and (iv) municipal securities.

We may actively trade portfolio securities.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the interestholders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Debt Securities Risk ■ Derivatives Risk ■ Foreign Investment Risk ■ Futures Contracts Risk	■ Management Risk ■ Mortgage- and Asset-Backed Securities Risk ■ Options Risk ■ Swaps Risk ■ U.S. Government Obligations Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Real Return Portfolio

Investment Objective

The Portfolio seeks returns that exceed the rate of inflation over the long-term.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s total assets in debt securities;

 

■	at least 65% of the Portfolio’s total assets in inflation-indexed debt securities;

 

■	up to 20% of the Portfolio’s total assets in below investment-grade debt securities;

 

■	up to 15% of the Portfolio’s total assets in debt securities of foreign-issuers, including issuers from emerging markets; and

 

■	up to 20% of the Portfolio’s total assets in equity securities, including common stock, preferred stock, and REITs, of domestic and foreign issuers, including issuers from emerging markets.

We utilize an active allocation strategy to diversify the portfolio across various investments, assets and sectors, in an attempt to generate a real return (a return in excess of the rate of inflation) over an economic cycle, consistent with an appropriate level of risk. We allocate investments to various broad asset classes based on our assessment of changing economic, global market, industry, and issuer conditions. We use a “top-down” analysis of macroeconomic trends combined with a “bottom-up” fundamental analysis of market sectors, industries, and issuers to seek to take advantage of varying sector reactions to the economic environment. In implementing the active allocation strategy, we evaluate relative risk and relative values across asset classes, countries, sectors, and issuers.

We invest principally in debt securities, seeking to exceed the rate of inflation over a full market cycle. These securities may have fixed, floating or variable rates and may include debt securities of both domestic and foreign issuers, including issuers from emerging markets. We invest primarily in inflation-indexed debt securities issued or guaranteed by governments, their agencies or instrumentalities, as well as corporate issuers. We may also invest in a variety of other debt securities, including corporate, mortgage- and asset-backed securities, bank loans and government obligations. We treat the returns from inflation-indexed debt securities as including interest paid on the principal amount of the security, adjustments made to the principal amount based on an official inflation measure and changes in market value.

We invest in investment-grade debt securities by generally purchasing securities that we believe have strong relative value based on an analysis of a security’s characteristics (such as its principal value, coupon rate, credit quality, maturity, duration and yield) in light of the current market environment. We may also invest in below investment-grade debt securities, often called “high yield securities” or “junk bonds”. We start our investment process with a focus on bottom-up fundamental credit analysis to generate investment ideas, to understand the potential risks, and to select individual securities that may potentially add value from income and/or capital appreciation. Our credit research may include an assessment of an issuer’s general financial condition, its competitive positioning and management strength, as well as industry characteristics and other factors. We may sell a debt security due to changes in credit characteristics or our outlook, as well as changes in portfolio strategy or cash flow needs or to replace a debt security with another security that presents what we believe to be a better value or risk/reward profile.

We may invest in equity securities, including common stock, preferred stock, and REITs of domestic and foreign issuers, including emerging market issuers and American Depositary Receipts (ADRs). We seek out investments that we believe have strong financial attributes and offer compelling valuation opportunities. We may invest in equity securities of companies of any size. These investments will generally be within sectors of the market (such as real estate, consumer staples, energy and materials) that we believe to be inflation-sensitive. We do not manage the Portfolio’s portfolio to a specific maturity or duration.

We may invest in derivatives, such as futures and swaps that have economic or financial characteristics that are similar to inflation-indexed, debt securities or equity securities. We may also use futures contracts to manage or adjust duration and yield curve exposure, as well as to manage risk or to enhance return.

We may enter into currency-related transactions through derivative instruments, including currency and cross currency forwards. The use of derivative currency transactions is intended to allow the Portfolio to manage, hedge

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or reduce a foreign currency-specific risk exposure of a portfolio security or its denominated currency or to obtain net long exposure to selected currencies for the purpose of generating income or additional returns.

We may actively trade portfolio securities, which may lead to higher transaction costs that may affect the Portfolio’s performance. In addition, active trading of portfolio securities may lead to higher taxes if your shares are held in a taxable account.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when the Adviser believes it is in the best interests of the interestholders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Debt Securities Risk ■ Inflation-Indexed Debt Securities Risk ■ Derivatives Risk ■ Emerging Markets Risk ■ Equity Securities Risk ■ Foreign Currency Contracts Risk ■ Foreign Investment Risk ■ Futures Contracts Risk	■ High Yield Securities Risk ■ Loan Risk ■ Management Risk ■ Mortgage- and Asset -Backed Securities ■ Real Estate Securities Risk ■ Smaller Company Securities Risk ■ Swaps Risk ■ U.S. Government Obligations Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Small Company Growth Portfolio

Investment Objective

The Portfolio seeks long-term capital appreciation.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s net assets in equity securities of small-capitalization companies.

We invest principally in equity securities of small-capitalization companies, which we define as companies with market capitalizations within the range of the Russell 2000® Index at the time of purchase. The market capitalization range of the Russell 2000® Index was approximately $34.49 million to $28.21 billion, as of August 31, 2021, and is expected to change frequently.

In selecting securities for the Portfolio, we conduct rigorous research to identify companies where the prospects for rapid earnings growth (Discovery phase) or significant change (Rediscovery phase) have yet to be well understood, and are therefore not reflected in the current stock price. This research includes meeting with the management of several hundred companies each year and conducting independent external research. Companies that fit into the Discovery phase are those with rapid long-term (3-5 year) earnings growth prospects. Companies that fit into the Rediscovery phase, are those that have the prospect for sharply accelerating near-term earnings (next 12-18 months), or companies selling at a meaningful discount to their underlying asset value. We may decrease certain stock holdings when their positions rise relative to the overall portfolio. We may sell a stock in its entirety when it reaches its sell target price, which is set at the time of purchase. We may also sell stocks that experience adverse fundamental news, have significant short-term price declines, or in order to provide funds for new stock purchases. We may actively trade portfolio securities.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the interestholders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Equity Securities Risk ■ Smaller Company Securities Risk	■ Foreign Investment Risk ■ Growth/Value Investing Risk ■ Management Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Small Company Value Portfolio

Investment Objective

The Portfolio seeks long-term capital appreciation.

The Portfolio’s Board of Trustees can change this investment objective without a shareholder vote.

Principal Investment Strategies

Under normal circumstances, we invest:

 

■	at least 80% of the Portfolio’s net assets in equity securities of small-capitalization companies.

We invest principally in equity securities of small-capitalization companies, which we define as companies with market capitalizations within the range of the Russell 2000® Index at the time of purchase. The market capitalization range of the Russell 2000® Index was approximately $34.49 million to $28.21 billion, as of August 31, 2021, and is expected to change frequently.

Our team’s strategy is designed to provide exposure to small public companies with current stock prices that we believe do not accurately reflect their intrinsic values. We use bottom-up fundamental analysis (i.e., focusing on company-specific factors rather than broader market factors) to execute our investment philosophy which focuses on identifying three core alpha (i.e., excess returns relative to an index) drivers: value, quality partner, and contrarian. First and foremost, we believe a prospective company should possess attractive value characteristics such as being priced at a discount relative to peers and the company’s own historic valuation metrics. We also seek companies that are shareholder-friendly quality partner firms demonstrating favorable cash flow generating capabilities and that have the management, business model, products and resources to drive organic growth. Lastly, the investment should exhibit what we believe are contrarian characteristics and be in a unique position for value creation, yet, overlooked by the investment community. We may sell a stock when it becomes fairly valued or when signs of fundamental deterioration surface.

The Portfolio may hold some of its assets in cash or in money market instruments, including U.S. Government obligations, shares of other mutual funds and repurchase agreements, or make other short-term investments to either maintain liquidity or for short-term defensive purposes when we believe it is in the best interests of the interestholders to do so. During these periods, the Portfolio may not achieve its objective.

Principal Investment Risks

The Portfolio is primarily subject to the risks mentioned below.

■ Market Risk ■ Equity Securities Risk ■ Smaller Company Securities Risk	■ Growth/Value Investing Risk ■ Management Risk

These and other risks could cause you to lose money in your investment in the Portfolio and could adversely affect the Portfolio’s net asset value, yield and total return. These risks are described in the “Description of Principal Investment Risks” section.

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Description of Principal Investment Risks

Understanding the risks involved in fund investing will help you make an informed decision that takes into account your risk tolerance and preferences. The risks that are most likely to have a material effect on a particular Portfolio as a whole are called “principal risks.” The principal risks for each Portfolio have been previously identified and are described below (in alphabetical order). Additional information about the principal risks is included in the Statement of Additional Information.

Debt Securities Risk. Debt securities are subject to credit risk and interest rate risk. Credit risk is the possibility that the issuer or guarantor of a debt security may be unable, or perceived to be unable, to pay interest or repay principal when they become due. In these instances, the value of an investment could decline and the Fund could lose money. Credit risk increases as an issuer’s credit quality or financial strength declines. The credit quality of a debt security may deteriorate rapidly and cause significant deterioration in the Fund’s net asset value. Interest rate risk is the possibility that interest rates will change over time. When interest rates rise, the value of debt securities tends to fall. The longer the terms of the debt securities held by a Fund, the more the Fund is subject to this risk. If interest rates decline, interest that the Fund is able to earn on its investments in debt securities may also decline, which could cause the Fund to reduce the dividends it pays to shareholders, but the value of those securities may increase. Some debt securities give the issuers the option to call, redeem or prepay the securities before their maturity dates. If an issuer calls, redeems or prepays a debt security during a time of declining interest rates, the Fund might have to reinvest the proceeds in a security offering a lower yield, and therefore might not benefit from any increase in value as a result of declining interest rates. Very low or negative interest rates may magnify interest rate risk. Changing interest rates, including rates that fall below zero, may have unpredictable effects on markets, may result in heightened market volatility and may detract from Fund performance to the extent the Fund is exposed to such interest rates. Interest rate changes and their impact on the Fund and its share price can be sudden and unpredictable. Changes in market conditions and government policies may lead to periods of heightened volatility in the debt securities market, reduced liquidity Fund investments and an increase in Fund redemptions.

Derivatives Risk. The use of derivatives, such as futures, options and swap agreements, presents risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. The use of derivatives can lead to losses because of adverse movements in the price or value of the derivatives’ underlying assets, indexes or rates and the derivatives themselves, which may be magnified by certain features of the derivatives. These risks are heightened when derivatives are used to enhance a Fund’s return or as a substitute for a position or security, rather than solely to hedge (or mitigate) the risk of a position or security held by the Fund. The success of a derivative strategy will be affected by the portfolio manager’s ability to assess and predict market or economic developments and their impact on the derivatives’ underlying assets, indexes or reference rates, as well as the derivatives themselves. Certain derivative instruments may become illiquid and, as a result, may be difficult to sell when the portfolio manager believes it would be appropriate to do so. Certain derivatives create leverage, which can magnify the impact of a decline in the value of their underlying assets, indexes or reference rates, and increase the volatility of the Fund’s net asset value. Certain derivatives (e.g., over-the-counter swaps) are also subject to the risk that the counterparty to the derivative contract will be unwilling or unable to fulfill its contractual obligations, which may cause a Fund to lose money, suffer delays or incur costs arising from holding or selling an underlying asset. Changes in laws or regulations may make the use of derivatives more costly, may limit the availability of derivatives, or may otherwise adversely affect the use, value or performance of derivatives.

Emerging Markets Risk. Emerging market securities typically present even greater exposure to the risks described under “Foreign Investment Risk” and may be particularly sensitive to global economic conditions. For example, emerging market countries are typically more dependent on exports and are, therefore, more vulnerable to recessions in other countries. Emerging markets tend to have less developed legal and financial systems and a smaller market capitalization than markets in developed countries. Some emerging markets are subject to greater political instability. Additionally, emerging markets may have more volatile currencies and be more sensitive than developed markets to a variety of economic factors, including inflation. Emerging market securities are also typically less liquid than securities of developed countries and could be difficult to sell, particularly during a market downturn.

Equity Securities Risk. The values of equity securities may experience periods of substantial price volatility and may decline significantly over short time periods. In general, the values of equity securities are more volatile than those of debt securities. Equity securities fluctuate in value and price in response to factors specific to the issuer of the security, such as management performance, financial condition, and market demand for the issuer’s products or services, as well as factors unrelated to the fundamental condition of the issuer, including general market,

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economic and political conditions. Investing in equity securities poses risks specific to an issuer, as well as to the particular type of company issuing the equity securities. For example, investing in the equity securities of small- or mid-capitalization companies can involve greater risk than is customarily associated with investing in stocks of larger, more-established companies. Different parts of a market, industry and sector may react differently to adverse issuer, market, regulatory, political, and economic developments. Negative news or a poor outlook for a particular industry can cause the share prices of securities of companies in that industry to decline.

Focused Portfolio Risk. Changes in the value of a small number of issuers are likely to have a larger impact on a Fund’s net asset value than if the Fund held a greater number of issuers.

Foreign Currency Contracts Risk. A Fund that enters into forwards or other foreign currency contracts, which are a type of derivative, is subject to the risk that the portfolio manager may be incorrect in his or her judgment of future exchange rate changes. The Fund’s gains from positions in foreign currency contracts may accelerate and/or lead to recharacterization of the Fund’s income or gains and its distributions to shareholders. The Fund’s losses from such positions may also lead to recharacterization of the Fund’s income and its distributions to shareholders and may cause a return of capital to Fund shareholders.

Foreign Investment Risk. Foreign investments may be subject to lower liquidity, greater price volatility and risks related to adverse political, regulatory, market or economic developments. Foreign companies may be subject to significantly higher levels of taxation than U.S. companies, including potentially confiscatory levels of taxation, thereby reducing the earnings potential of such foreign companies. Foreign investments may involve exposure to changes in foreign currency exchange rates. Such changes may reduce the U.S. dollar value of the investments. Foreign investments may be subject to additional risks, such as potentially higher withholding and other taxes, and may also be subject to greater trade settlement, custodial, and other operational risks than domestic investments. Certain foreign markets may also be characterized by less stringent investor protection and disclosure standards.

Futures Contracts Risk. A Fund that uses futures contracts, which are a type of derivative, is subject to the risk of loss caused by unanticipated market movements. In addition, there may at times be an imperfect correlation between the movement in the prices of futures contracts and the value of their underlying instruments or indexes, and there may at times not be a liquid secondary market for certain futures contracts.

Growth/Value Investing Risk. Securities that exhibit certain characteristics, such as growth characteristics or value characteristics, tend to perform differently and shift into and out of favor with investors depending on changes in market and economic sentiment and conditions. As a result, a Fund’s performance may at times be worse than the performance of other mutual funds that invest more broadly or in securities that exhibit different characteristics.

High Yield Securities Risk. High yield securities and unrated securities of similar credit quality (commonly known as “junk bonds”) have a much greater risk of default (or in the case of bonds currently in default, of not returning principal) and their values tend to be more volatile than higher-rated securities with similar maturities. Additionally, these securities tend to be less liquid and more difficult to value than higher-rated securities.

Index Tracking Risk. A Fund may not achieve exact correlation between the performance of the Fund and the index it tracks due to factors such as transaction costs, shareholder purchases and redemptions and the timing of changes in the composition of the index. The Fund may invest in only a representative sample of the securities that comprise the index and may hold securities not included in the index, subjecting the Fund to increased tracking risk. Maintaining investments in securities regardless of market conditions or the investment merits of the securities in seeking to replicate an index’s composition or performance could cause the Fund’s returns to be lower than if the Fund employed an active strategy.

Inflation-Indexed Debt Securities Risk. The principal value of an inflation-indexed debt security is periodically adjusted according to the rate of inflation and, as a result, a Fund’s yield and return will be affected by changes in the rate of inflation. If the reference inflation index rate falls, the principal value of an inflation-indexed debt security will decline, which will cause the value of the Fund’s shares and the amount of interest payable on such security to be reduced.

Loan Risk. Loans may be unrated, less liquid and more difficult to value than traditional debt securities. Loans may be made to finance highly leveraged corporate operations or acquisitions. The highly leveraged capital structure of the borrowers in such transactions may make such loans especially vulnerable to adverse changes in financial, economic or market conditions. Loans generally are subject to restrictions on transfer, and only limited opportunities may exist to sell such loans in secondary markets. As a result, a Fund may be unable to sell loans at a desired time or price. If the Fund acquires only an assignment or a participation in a loan made by a third party, the

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Fund may not be able to control amendments, waivers or the exercise of any remedies that a lender would have under a direct loan and may assume liability as a lender.

Management Risk. Investment decisions, techniques, analyses or models implemented by a Fund’s manager or sub-adviser in seeking to achieve the Fund’s investment objective may not produce the returns expected, may cause the Fund’s shares to lose value or may cause the Fund to underperform other funds with similar investment objectives.

Market Risk. The values of, and/or the income generated by, securities held by a Fund may decline due to general market conditions or other factors, including those directly involving the issuers of such securities. Securities markets are volatile and may decline significantly in response to adverse issuer, regulatory, political, or economic developments. Different sectors of the market and different security types may react differently to such developments. Political, geopolitical, natural and other events, including war, terrorism, trade disputes, government shutdowns, market closures, natural and environmental disasters, epidemics, pandemics and other public health crises and related events have led, and in the future may lead, to economic uncertainty, decreased economic activity, increased market volatility and other disruptive effects on U.S. and global economies and markets. Such events may have significant adverse direct or indirect effects on a Fund and its investments. In addition, economies and financial markets throughout the world are becoming increasingly interconnected, which increases the likelihood that events or conditions in one country or region will adversely impact markets or issuers in other countries or regions.

Mortgage- and Asset-Backed Securities Risk. Mortgage- and asset-backed securities are subject to risk of default on the underlying mortgages or assets, particularly during periods of economic downturn. Defaults on the underlying mortgages or assets may cause such securities to decline in value and become less liquid. Rising interest rates tend to extend the duration of these securities, making them more sensitive to changes in interest rates than instruments with fixed payment schedules. As a result, in a period of rising interest rates, these securities may exhibit additional volatility. When interest rates decline or are low, borrowers may pay off their mortgage or other debts sooner than expected, which can reduce the returns of a Fund. Funds that may enter into mortgage dollar roll transactions are subject to the risk that the market value of the securities that are required to be repurchased in the future may decline below the agreed upon repurchase price. They also involve the risk that the party to whom the securities are sold may become insolvent, limiting a Fund’s ability to repurchase securities at the agreed upon price.

Municipal Securities Risk. Municipal securities may be fully or partially backed or enhanced by the taxing authority of a local government, by the current or anticipated revenues from a specific project or specific assets, or by the credit of, or liquidity enhancement provided by, a private issuer. Municipal securities may be difficult to obtain because of limited supply, which may increase the cost to a Fund of purchasing such securities and effectively reduce the Fund’s yield. Typically, less information is available about a municipal issuer than is available about other types of issuers. Various types of municipal securities are often related in such a way that political, economic or business developments affecting one obligation could affect other municipal securities held by the Fund. The value and liquidity of municipal securities backed by the revenue from a particular project or other source may decline if the project or other source fails to generate expected revenue. Although the Fund may strive to invest in municipal securities and other securities that pay interest that is exempt from certain taxes (such as federal taxes, federal alternative minimum tax and/or state taxes as applicable), some income earned by Fund investments may be subject to such taxes. Certain issuers of municipal securities may have the ability to call or redeem a security prior to its maturity date, which could impair Fund performance.

Options Risk. A Fund that purchases options, which are a type of derivative, is subject to the risk that gains, if any, realized on the position, will be less than the amount paid as premiums to the writer of the option. A Fund that writes options receives a premium that may be small relative to the loss realized in the event of adverse changes in the value of the underlying instruments. A Fund that writes covered call options gives up the opportunity to profit from any price increase in the underlying security above the option exercise price while the option is in effect. Options may be more volatile than the underlying instruments. In addition, there may at times be an imperfect correlation between the movement in values of options and their underlying securities, and there may at times not be a liquid secondary market for certain options.

Participation Notes Risk. The performance results of participation notes, which are a type of derivative, will not replicate exactly the performance of the securities of the foreign companies or foreign securities markets that they seek to replicate due to various factors, including transaction and other expenses. The transaction price of participation notes may not equal the underlying value of the securities of the foreign companies or foreign

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securities markets whose performance they seek to replicate. Moreover, a Fund has no rights under a participation note against the issuer of the underlying security.

Quantitative Model Risk. Funds that are managed according to a quantitative model can perform differently from the market as a whole based on the factors used in the model, the weight placed on each factor and changes from the factors’ historical trends. Due to the significant role technology plays in a quantitative model, use of a quantitative model carries the risk of potential issues with the design, coding, implementation or maintenance of the computer programs, data and/or other technology used in the quantitative model. These issues could negatively impact investment returns.

Smaller Company Securities Risk. Securities of companies with smaller market capitalizations tend to be more volatile and less liquid than those of larger companies. Smaller companies may have no or relatively short operating histories, limited financial resources or may have recently become public companies. Some of these companies have aggressive capital structures, including high debt levels, or are involved in rapidly growing or changing industries and/or new technologies.

Swaps Risk. Depending on their structure, swap agreements and options to enter into swap agreements (“swaptions”), both of which are types of derivatives, may increase or decrease a Fund’s exposure to long- or short-term interest rates, foreign currency values, mortgage-backed securities, corporate borrowing rates, or credit events or other reference points such as security prices or inflation rates.

U.S. Government Obligations Risk. U.S. Government obligations may be adversely impacted by changes in interest rates, and securities issued or guaranteed by U.S. Government agencies or government-sponsored entities may not be backed by the full faith and credit of the U.S. Government. If a government-sponsored entity is unable to meet its obligations or its creditworthiness declines, the performance of a Fund that holds securities issued or guaranteed by the entity will be adversely impacted.

Portfolio Holdings Information

The Statement of Additional Information (Part B) contains a description of the Portfolios’ policies and procedures with respect to the disclosure of the portfolio holdings of securities for each Portfolio.

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ITEM 10: Management, Organization and Capital Structure

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The Adviser

Allspring Funds Management, LLC (“Funds Management”), headquartered at 525 Market Street, San Francisco, CA 94105, provides advisory services to the Portfolios pursuant to an advisory agreement (the “Advisory Agreement”). Funds Management is a wholly owned subsidiary of Wells Fargo & Company, a publicly traded diversified financial services company that provides banking, insurance, investment,mortgage and consumer financial services. Funds Management is a registered investment adviser that provides advisory services for registered mutual funds, closed-end funds and other funds and accounts. Funds Management is a part of Wells Fargo Asset Management, the trade name used by the asset management businesses of Wells Fargo & Company.

Funds Management is responsible for implementing the investment objectives and strategies of the Portfolios. Funds Management’s investment professionals review and analyze the Portfolios’ performance, including relative to peer funds, and monitor the Portfolios’ compliance with its investment objectives and strategies. Funds Management is responsible for reporting to the Board on investment performance and other matters affecting the Portfolios. When appropriate, Funds Management recommends to the Board enhancements to Portfolio features, including changes to Portfolio investment objectives, strategies and policies. Funds Management also communicates with stakeholders and intermediaries about Portfolio performance and features.

To assist Funds Management in implementing the investment objectives and strategies of the Portfolios, Funds Management may contract with one or more sub-advisers to provide day-to-day portfolio management services to the Fund. Funds Management employs a team of investment professionals who identify and recommend the initial hiring of any sub-adviser and oversee and monitor the activities of any sub-adviser on an ongoing basis. Funds Management retains overall responsibility for the investment activities of the Portfolios.

A discussion regarding the basis for the Board’s approval of the Advisory Agreement and any applicable sub-advisory agreements for the Portfolios is available in those Portfolios’ respective semi-annual reports for the most recent period ended August 31st.

For the Portfolios’ most recent fiscal year end, the advisory fee paid to Funds Management pursuant to the Advisory Agreement, net of any applicable waivers and reimbursements, was as follows:

Advisory Fees Paid
	As a % of average daily net assets
C&B Large Cap Value Portfolio	0.61%
Core Bond Portfolio	0.34%
Disciplined International Developed Markets Portfolio	0.30%
Disciplined Large Cap Portfolio	0.25%
Diversified Large Cap Growth Portfolio	0.55%
Emerging Growth Portfolio	0.79%
Index Portfolio	0.10%
Large Company Value Portfolio	0.35%
Managed Fixed Income Portfolio	0.35%
Real Return Portfolio	0.33%
Small Company Growth Portfolio	0.78%
Small Company Value Portfolio	0.72%

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The Sub-Advisers and Portfolio Managers

The following sub-advisers and portfolio managers provide day-to-day portfolio management services to the Portfolios. These services include making purchases and sales of securities and other investment assets for the Portfolios, selecting broker-dealers, negotiating brokerage commission rates and maintaining portfolio transaction records. The sub-advisers are compensated for their services by Funds Management from the fees Funds Management receives for its services as investment adviser to the Portfolios. The Statement of Additional Information provides additional information about the portfolio managers’ compensation, other accounts managed by the portfolio managers and the portfolio managers’ ownership of securities in the Portfolios.

Cooke & Bieler, L.P. (“Cooke & Bieler”), a registered investment adviser located at Two Commerce Square, 2001 Market Street, Suite 4000, Philadelphia, PA 19103, serves as a sub-adviser and provides portfolio management services to one or more Portfolios. Cooke & Bieler provides investment management services to corporations, foundations, endowments, pension and profit sharing plans, trusts, estates and other institutions and individuals.

Andrew B. Armstrong, CFA C&B Large Cap Value Portfolio	Mr. Armstrong rejoined Cooke & Bieler in 2014, where he currently serves as a Partner, Portfolio Manager and Research Analyst.
Wesley Lim, CFA C&B Large Cap Value Portfolio	Mr. Lim joined Cooke & Bieler in 2018, where he currently serves as Principal, Portfolio Manager and Research Analyst.
Steve Lyons, CFA C&B Large Cap Value Portfolio	Mr. Lyons joined Cooke & Bieler in 2006, where he currently serves as a Partner, Portfolio Manager and Research Analyst.
Michael M. Meyer, CFA C&B Large Cap Value Portfolio	Mr. Meyer joined Cooke & Bieler in 1993, and currently serves as a Partner, Portfolio Manager and Research Analyst.
Edward W. O’Connor, CFA C&B Large Cap Value Portfolio	Mr. O’Connor joined Cooke & Bieler in 2002, where he currently serves as a Partner, Portfolio Manager and Research Analyst.
R. James O’Neil, CFA C&B Large Cap Value Portfolio	Mr. O’Neil joined Cooke & Bieler in 1988, and currently serves as a Partner, Portfolio Manager and Research Analyst.
Mehul Trivedi, CFA C&B Large Cap Value Portfolio	Mr. Trivedi joined Cooke & Bieler in 1998, and currently serves as a Partner, Portfolio Manager and Research Analyst.
William Weber, CFA C&B Large Cap Value Portfolio	Mr. Weber rejoined Cooke & Bieler in 2010, where he currently serves as a Partner, Portfolio Manager and Research Analyst.

Galliard Capital Management, Inc. (“Galliard”), a registered investment adviser located at 800 LaSalle Avenue, Suite 1400, Minneapolis, MN 55402, serves as a sub-adviser and provides portfolio management services to one or more Portfolios. Galliard, an affiliate of Funds Management and indirect wholly owned subsidiary of Wells Fargo & Company, provides investment advisory services to bank and thrift institutions, pension and profit sharing plans, trusts and charitable organizations and corporate and other business entities.

Andrea Johnson, CFA Managed Fixed Income Portfolio	Ms. Johnson joined Galliard in 2005, where she currently serves as Senior Principal of Client Portfolio Management.
Brandon Kanz, CFA Managed Fixed Income Portfolio	Mr. Kanz joined Galliard in 2005, where he is currently a Senior Principal and serves as Head of Credit overseeing the credit sector team. Mr. Kanz is Vice Chair of the Investment Committee and chairs the Credit Working Group.

Peregrine Capital Management, LLC. (Peregrine), a registered investment adviser located at 800 LaSalle Avenue, Suite 1850, Minneapolis, MN 55402, serves as a sub-adviser and provides portfolio management services to one or more Portfolios. Accordingly, Peregrine is responsible for the day-to-day investment management activities of these Portfolios. Peregrine is a registered investment adviser that provides investment advisory services to corporate and public pension plans, profit sharing plans, savings investment plans, 401(k) Plans, foundations and endowments.

William A. Grierson, CFA Small Company Growth Portfolio	Mr. Grierson joined Peregrine in 2000, where he currently serves as a Principal and Portfolio Manager for the Peregrine Small Cap Growth team.
Daniel J. Hagen, CFA Small Company Growth Portfolio	Mr. Hagen joined Peregrine in 1996, where he currently serves as a Principal and Portfolio Manager for the Peregrine Small Cap Growth team.
Paul E. von Kuster, CFA Small Company Growth Portfolio	Mr. von Kuster joined Peregrine in 1984, where he currently serves as a Principal and Portfolio Manager for the Peregrine Small Cap Growth team.

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Ryan H. Smith, CFA Small Company Growth Portfolio	Mr. Smith joined Peregrine in 2018, where he currently serves as a Principal and Portfolio Manager for the Peregrine Small Cap Growth team. Prior to 2018, Mr. Smith was a portfolio manager and an analyst on the small, SMID and mid cap growth strategies at RBC Global Asset Management (U.S.).
Sam D. Smith, CFA Small Company Growth Portfolio	Mr. Smith joined Peregrine in 2006, where he currently serves as a Principal and Portfolio Manager for the Peregrine Small Cap Growth team.

Wells Capital Management, LLC (“Wells Capital Management”) is a registered investment adviser located at 525 Market Street, San Francisco, CA 94105. Wells Capital Management, an affiliate of Funds Management and indirect wholly owned subsidiary of Wells Fargo & Company, is a multi-boutique asset management firm committed to delivering superior investment services to institutional clients, including mutual funds. Wells Capital Management is a part of Wells Fargo Asset Management, the trade name used by the asset management businesses of Wells Fargo & Company.

Kandarp R. Acharya, CFA, FRM Real Return Portfolio	Mr. Acharya joined Wells Capital Management in 2013, where he currently serves as a Senior Portfolio Manager. Prior to joining Wells Capital Management, Mr. Acharya led the Advanced Analytics and Quantitative Research Group at Wells Fargo Wealth Management, where he also led the development and implementation of quantitative tactical allocation models as a member of the firm’s Asset Allocation Committee.
Dennis Bein, CFA Large Company Value Portfolio	Mr. Bein joined Wells Capital Management or one of its predecessor firms in 1995, where he currently serves as a Portfolio Manager.
Maulik Bhansali, CFA Core Bond Portfolio	Mr. Bhansali joined Wells Capital Management in 2001, where he currently serves as a Senior Portfolio Manager.
Petros N. Bocray, CFA, FRM Real Return Portfolio	Mr. Bocray joined Wells Capital Management in 2006, where he currently serves as a Portfolio Manager. Prior to joining the Multi-Asset Solutions team, he held a similar role with the Quantitative Strategies group at Wells Capital Management where he co-managed several of the team’s portfolios. Mr. Bocray joined Wells Capital Management in 2006, where he currently serves as a Portfolio Manager. Prior to joining the Multi-Asset Solutions team, he held a similar role with the Quantitative Strategies group at Wells Capital Management where he co-managed several of the team’s portfolios.
Michael Bradshaw, CFA Real Return Porfolio	Mr. Bradshaw joined Wells Capital or one of its predecessor firms in 2006, where he currently serves as a Managing Director and Senior Portfolio Manager with the Precious Metals team.
Ryan Brown, CFA Large Company Value Portfolio	Mr. Brown joined Wells Capital Management or one of its predecessors in 2007, where he currently serves as a Portfolio Manager.
John R. Campbell, CFA Diversified Large Cap Growth Portfolio Index Portfolio	Mr. Campbell joined Wells Capital Management or one of its predecessor firms in 2006, where he currently serves as a Senior Portfolio Manager for the Golden Capital Equity team.
Justin P. Carr, CFA Disciplined International Developed Markets Portfolio Disciplined Large Cap Portfolio	Mr. Carr joined Wells Capital Management or one of its predecessor firms in 2001, where he currently serves as a Portfolio Manager and Analyst for the Golden Capital Equity team.
Christian L. Chan, CFA Real Return Portfolio	Mr. Chan joined Wells Capital Management in 2013, where he currently serves as a Senior Portfolio Manager. Prior to joining Wells Capital Management, Mr. Chan was a Portfolio Manager at Wells Fargo Funds Management, LLC where he managed several of the firm’s asset allocation mutual funds, and also served as the firm’s Head of Investments.
Harindra de Silva, Ph.D., CFA Large Company Value Portfolio	Mr. de Silva joined Wells Capital Management or one of its predecessors in 1995, where he currently serves as a Portfolio Manager.
Joseph M. Eberhardy, CFA, CPA Diversified Large Cap Growth Portfolio Emerging Growth Portfolio	Mr. Eberhardy joined Wells Capital Management or one of its predecessor firms in 1994, where he currently serves as a Portfolio Manager on the Heritage Growth Equity team.
Vince Fioramonti, CFA Disciplined International Developed Markets Portfolio Diversified Large Cap Growth Portfolio	Mr. Fioramonti joined Wells Capital Management or one of its predecessor firms in 2012, where he currently serves as Senior Portfolio Manager for the Golden Capital Equity team.