UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811- 22441

John Hancock Hedged Equity & Income Fund
(Exact name of registrant as specified in charter)

601 Congress Street, Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)

Salvatore Schiavone

Treasurer

601 Congress Street

Boston, Massachusetts 02210
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-663-4497

Date of fiscal year end: December 31
   
Date of reporting period: September 30, 2016

 


 

ITEM 1. SCHEDULE OF INVESTMENTS

 


 


John Hancock

Hedged Equity & Income Fund


Quarterly portfolio holdings 9/30/16

jhnq_logo.jpg


Fund's investmentsHedged Equity & Income Fund



                                               
  As of 9-30-16 (unaudited)  
        Shares     Value  
  Common stocks 81.2%     $167,898,462  
  (Cost $165,416,352)  
  Consumer discretionary 4.6%     9,561,645  
  Auto components 0.9%  
  Aisan Industry Company, Ltd.     15,600     123,800  
  Exedy Corp.     8,400     213,533  
  Keihin Corp.     14,500     229,919  
  Nissin Kogyo Company, Ltd.     13,500     205,614  
  NOK Corp.     13,100     286,647  
  Sumitomo Riko Company, Ltd.     14,500     136,435  
  Tokai Rika Company, Ltd.     15,700     307,411  
  Toyoda Gosei Company, Ltd.     11,200     260,400  
  Automobiles 0.4%  
  Honda Motor Company, Ltd.     18,300     528,143  
  Mitsubishi Motors Corp.     33,800     157,889  
  Renault SA     1,812     149,072  
  Diversified consumer services 0.2%  
  Allstar Co-Invest LLC (I)(R)     236,300     302,464  
  Benesse Holdings, Inc.     7,100     181,343  
  Household durables 1.1%  
  Alpine Electronics, Inc.     18,600     246,058  
  Funai Electric Company, Ltd.     17,863     146,612  
  Nikon Corp.     18,600     277,777  
  Persimmon PLC     57,415     1,349,974  
  Pioneer Corp. (I)     105,200     228,902  
  Internet and direct marketing retail 0.0%  
  Qliro Group AB (I)     49,556     68,446  
  Media 1.1%  
  Avex Group Holdings, Inc.     7,000     95,306  
  Gendai Agency, Inc.     5,200     27,036  
  Metropole Television SA     6,630     119,622  
  Proto Corp.     3,000     34,764  
  SES SA     79,470     1,951,374  
  Television Francaise 1     11,487     111,388  
  Multiline retail 0.0%  
  New World Department Store China, Ltd. (I)     343,000     50,618  
  Specialty retail 0.8%  
  Honeys Company, Ltd.     9,830     115,429  
  Nishimatsuya Chain Company, Ltd.     3,100     47,120  
  PAL GROUP Holdings Company, Ltd.     4,500     104,500  
  The Home Depot, Inc.     9,435     1,214,096  
  Xebio Holdings Company, Ltd.     9,200     137,798  
  Textiles, apparel and luxury goods 0.1%  
  Daphne International Holdings, Ltd. (I)     506,000     67,678  
  Sanyo Shokai, Ltd.     51,000     84,477  
  Consumer staples 5.2%     10,856,467  
  Beverages 1.7%  
  Anheuser-Busch InBev SA     7,592     998,407  
  PepsiCo, Inc.     12,876     1,400,523  
  The Coca-Cola Company     29,970     1,268,330  

2SEE NOTES TO FUND'S INVESTMENTS


Hedged Equity & Income Fund

                                               
        Shares     Value  
  Consumer staples  (continued)        
  Food and staples retailing 0.3%  
  Cawachi, Ltd.     4,700     $113,878  
  J Sainsbury PLC     93,168     296,746  
  METRO AG     7,942     236,399  
  Personal products 0.1%  
  Oriflame Holding AG (I)     4,937     180,824  
  Tobacco 3.1%  
  British American Tobacco PLC     61,204     3,903,347  
  Philip Morris International, Inc.     25,283     2,458,013  
  Energy 7.2%     14,890,602  
  Oil, gas and consumable fuels 7.2%  
  BP PLC     134,952     786,599  
  Chevron Corp. (C)     32,924     3,388,538  
  Eni SpA     36,371     524,116  
  Gazprom PJSC, ADR     64,280     271,904  
  Harum Energy Tbk PT     450,400     36,107  
  Indo Tambangraya Megah Tbk PT     96,400     80,775  
  Inpex Corp.     19,300     175,485  
  Japan Petroleum Exploration Company, Ltd.     8,900     197,079  
  Lukoil PJSC, ADR     7,420     361,814  
  Marathon Oil Corp.     80,029     1,265,258  
  Painted Pony Petroleum, Ltd. (I)     12,700     78,120  
  Petro Rio SA (I)     586     2,431  
  Petroleo Brasileiro SA, ADR     25,384     236,833  
  Phillips 66     16,800     1,353,240  
  Royal Dutch Shell PLC, B Shares     89,625     2,323,588  
  Statoil ASA     8,750     146,897  
  Suncor Energy, Inc.     50,393     1,399,918  
  Surgutneftegas OJSC, ADR     33,600     162,624  
  TOTAL SA     44,139     2,099,276  
  Financials 16.2%     33,431,422  
  Banks 8.5%  
  Allahabad Bank     61,017     70,906  
  Alpha Bank AE (I)     29,314     49,065  
  Banca Popolare dell'Emilia Romagna SC     43,910     163,625  
  Banco Popular Espanol SA     175,540     217,259  
  BNP Paribas SA     8,667     445,775  
  CaixaBank SA     86,833     219,428  
  Canara Bank     27,195     126,746  
  China Construction Bank Corp., H Shares     1,698,218     1,275,427  
  Corp. Bank (I)     60,024     38,351  
  Dah Sing Financial Holdings, Ltd.     15,200     100,153  
  HSBC Holdings PLC     110,361     829,557  
  ING Groep NV (I)     107,447     1,326,499  
  JPMorgan Chase & Co. (C)     51,750     3,446,033  
  KB Financial Group, Inc.     8,346     287,060  
  Mitsubishi UFJ Financial Group, Inc.     94,649     479,500  
  Mizuho Financial Group, Inc.     211,500     356,470  
  Nordea Bank AB     146,823     1,458,022  
  Sberbank of Russia PJSC, ADR     14,300     134,706  
  Shinhan Financial Group Company, Ltd.     4,297     157,376  
  Societe Generale SA     10,160     351,477  

SEE NOTES TO FUND'S INVESTMENTS3


Hedged Equity & Income Fund

                                               
        Shares     Value  
  Financials  (continued)        
  Banks  (continued)  
  Standard Chartered PLC (I)     41,123     $334,649  
  Sumitomo Mitsui Financial Group, Inc.     13,200     445,891  
  The Eighteenth Bank, Ltd.     10,000     29,664  
  The Oita Bank, Ltd.     21,000     76,419  
  The PNC Financial Services Group, Inc.     40,476     3,646,483  
  The Tochigi Bank, Ltd.     16,000     64,974  
  The Yamanashi Chuo Bank, Ltd.     16,000     69,039  
  UniCredit SpA     63,541     148,108  
  Wells Fargo & Company (C)     28,549     1,264,150  
  Capital markets 2.1%  
  Banca Generali SpA     76,213     1,462,857  
  BlackRock, Inc. (C)     6,152     2,229,854  
  Julius Baer Group, Ltd. (I)     3,845     156,730  
  UBS Group AG     30,785     420,537  
  Uranium Participation Corp. (I)     29,800     89,040  
  Insurance 5.6%  
  Ageas     9,257     338,467  
  Assicurazioni Generali SpA     98,396     1,200,818  
  Chubb, Ltd.     12,026     1,511,067  
  Coface SA     23,779     172,317  
  Delta Lloyd NV     169,335     776,671  
  Marsh & McLennan Companies, Inc.     18,203     1,224,152  
  MetLife, Inc.     50,319     2,235,673  
  Storebrand ASA (I)     54,174     268,495  
  T&D Holdings, Inc.     36,200     408,376  
  The Dai-ichi Life Insurance Company, Ltd.     19,300     264,786  
  Tongyang Life Insurance Company, Ltd.     9,537     98,663  
  Zurich Insurance Group AG (I)     11,478     2,960,107  
  Health care 9.1%     18,749,206  
  Biotechnology 0.1%  
  Sinovac Biotech, Ltd. (I)     21,350     125,965  
  Health care providers and services 0.0%  
  Suzuken Company, Ltd.     990     32,690  
  Health care technology 0.0%  
  AGFA-Gevaert NV (I)     27,196     85,718  
  Life sciences tools and services 0.1%  
  CMIC Holdings Company, Ltd.     6,200     94,191  
  Pharmaceuticals 8.9%  
  Almirall SA     10,263     157,841  
  AstraZeneca PLC     49,098     3,179,186  
  Bristol-Myers Squibb Company     52,596     2,835,976  
  Eisai Company, Ltd.     31,746     1,985,506  
  H Lundbeck A/S (I)     5,629     184,875  
  Johnson & Johnson     13,673     1,615,191  
  Merck & Company, Inc. (C)     83,722     5,225,090  
  Roche Holding AG     11,115     2,762,060  
  Takeda Pharmaceutical Company, Ltd.     9,700     464,917  
  Industrials 9.6%     19,833,945  
  Aerospace and defense 0.1%  
  Thales SA     2,516     231,675  

4SEE NOTES TO FUND'S INVESTMENTS


Hedged Equity & Income Fund

                                               
        Shares     Value  
  Industrials  (continued)        
  Air freight and logistics 0.8%  
  Deutsche Post AG     42,494     $1,330,422  
  PostNL NV (I)     85,567     388,217  
  Airlines 0.2%  
  Air France-KLM (I)     38,377     206,515  
  Deutsche Lufthansa AG     25,647     285,921  
  Building products 0.2%  
  Cie de Saint-Gobain     10,010     433,132  
  Commercial services and supplies 0.1%  
  Relia, Inc.     9,900     88,666  
  Construction and engineering 0.2%  
  Raubex Group, Ltd.     56,566     101,164  
  Toyo Engineering Corp.     63,000     204,115  
  Electrical equipment 2.5%  
  Eaton Corp. PLC     45,426     2,984,942  
  Schneider Electric SE (Euronext Paris)     25,166     1,750,642  
  Ushio, Inc.     12,200     140,562  
  Zumtobel Group AG     10,716     206,879  
  Industrial conglomerates 2.0%  
  3M Company     7,209     1,270,442  
  Honeywell International, Inc.     8,683     1,012,351  
  Koninklijke Philips NV     7,327     216,803  
  Rheinmetall AG     4,096     285,503  
  Siemens AG     12,088     1,417,441  
  Machinery 1.2%  
  Alstom SA (I)     9,171     242,669  
  Caterpillar, Inc.     16,736     1,485,655  
  Hisaka Works, Ltd.     8,900     75,230  
  Sumitomo Heavy Industries, Ltd.     43,000     212,462  
  The Japan Steel Works, Ltd.     10,600     240,754  
  Toshiba Machine Company, Ltd.     48,000     164,850  
  Marine 0.1%  
  D/S Norden A/S (I)     9,749     139,836  
  Pacific Basin Shipping, Ltd. (I)     988,000     128,058  
  Professional services 0.2%  
  Adecco Group AG     3,464     195,251  
  en-japan, Inc.     4,400     95,379  
  Hays PLC     123,178     207,325  
  Road and rail 0.6%  
  Union Pacific Corp.     12,541     1,223,124  
  Trading companies and distributors 0.3%  
  Kuroda Electric Company, Ltd.     9,100     174,629  
  Rexel SA     17,060     261,331  
  SIG PLC     108,010     162,608  
  Transportation infrastructure 1.1%  
  Hamburger Hafen und Logistik AG     5,362     81,609  
  Jiangsu Expressway Company, Ltd., H Shares     1,576,519     2,187,783  
  Information technology 11.7%     24,184,492  
  Communications equipment 2.3%  
  Cisco Systems, Inc. (C)     107,198     3,400,321  
  Nokia OYJ     215,703     1,250,290  

SEE NOTES TO FUND'S INVESTMENTS5


Hedged Equity & Income Fund

                                               
        Shares     Value  
  Information technology  (continued)        
  Communications equipment  (continued)  
  Telefonaktiebolaget LM Ericsson, B Shares     14,337     $103,517  
  Electronic equipment, instruments and components 0.4%  
  Citizen Holdings Company, Ltd.     30,000     157,120  
  Hosiden Corp.     22,400     162,425  
  Kingboard Laminates Holdings, Ltd.     63,500     58,275  
  Mitsumi Electric Company, Ltd. (I)     7,200     40,513  
  Nichicon Corp.     24,600     195,790  
  Nippon Chemi-Con Corp.     72,000     117,794  
  Internet software and services 0.2%  
  DeNa Company, Ltd.     5,700     207,256  
  Dropbox, Inc., Class B (I)(R)     7,248     95,819  
  Gree, Inc.     37,900     213,074  
  IT services 0.5%  
  Alten SA     404     28,261  
  Devoteam SA     1,081     60,089  
  Fujitsu, Ltd.     94,000     505,873  
  Itochu Techno-Solutions Corp.     3,100     79,769  
  NET One Systems Company, Ltd.     25,800     179,825  
  Sopra Steria Group     1,712     200,905  
  Semiconductors and semiconductor equipment 4.7%  
  Intel Corp.     103,823     3,919,318  
  Kontron AG (I)     21,833     67,375  
  Maxim Integrated Products, Inc. (C)     38,060     1,519,736  
  Mimasu Semiconductor Industry Company, Ltd.     7,500     88,982  
  Miraial Company, Ltd.     6,500     45,483  
  QUALCOMM, Inc.     43,007     2,945,980  
  Rohm Company, Ltd.     6,000     316,263  
  Shinkawa, Ltd. (I)     14,900     104,184  
  Shinko Electric Industries Company, Ltd.     31,500     178,274  
  STMicroelectronics NV     44,046     359,108  
  Tokyo Seimitsu Company, Ltd.     8,900     237,607  
  Software 2.4%  
  Alpha Systems, Inc.     1,700     27,964  
  Microsoft Corp.     80,136     4,615,834  
  Nintendo Company, Ltd.     1,060     283,818  
  Technology hardware, storage and peripherals 1.2%  
  Canon, Inc.     11,700     339,679  
  Catcher Technology Company, Ltd.     192,000     1,571,043  
  Compal Electronics, Inc.     428,000     264,994  
  Japan Digital Laboratory Company, Ltd.     6,200     90,938  
  Melco Holdings, Inc.     6,200     150,996  
  Materials 5.0%     10,437,532  
  Chemicals 1.6%  
  Agrium, Inc.     14,106     1,279,273  
  Fujimi, Inc.     2,200     33,246  
  Hitachi Chemical Company, Ltd.     4,900     112,587  
  JSR Corp.     22,300     350,500  
  Mitsui Chemicals, Inc.     23,000     109,405  
  Nitto Denko Corp.     2,500     162,364  
  Sumitomo Bakelite Company, Ltd.     26,000     135,996  
  The Dow Chemical Company     21,221     1,099,884  

6SEE NOTES TO FUND'S INVESTMENTS


Hedged Equity & Income Fund

                                               
        Shares     Value  
  Materials  (continued)        
  Construction materials 0.4%  
  Buzzi Unicem SpA     12,735     $261,128  
  LafargeHolcim, Ltd. (I)     8,887     481,365  
  Vicat SA     2,631     169,977  
  Containers and packaging 1.5%  
  AMVIG Holdings, Ltd.     222,000     77,779  
  International Paper Company     64,647     3,101,763  
  Metals and mining 1.5%  
  Aichi Steel Corp.     250     12,678  
  Anglo American Platinum, Ltd. (I)     6,611     185,990  
  Anglo American PLC (I)     22,652     282,488  
  Barrick Gold Corp.     11,200     198,312  
  Centerra Gold, Inc.     29,200     160,027  
  Chubu Steel Plate Company, Ltd.     8,500     41,716  
  Eldorado Gold Corp. (I)     48,716     191,454  
  G-Resources Group, Ltd.     4,086,000     75,472  
  Impala Platinum Holdings, Ltd. (I)     40,819     206,260  
  Ivanhoe Mines, Ltd., Class A (I)     81,900     142,332  
  Kinross Gold Corp. (I)     37,935     159,706  
  Kyoei Steel, Ltd.     10,900     206,856  
  Lonmin PLC (I)     15,069     38,958  
  NetMind Financial Holdings, Ltd. (I)     1,440,000     15,123  
  Neturen Company, Ltd.     11,400     87,292  
  Northern Dynasty Minerals, Ltd. (I)     16,000     11,220  
  Pacific Metals Company, Ltd. (I)     40,000     119,373  
  Resolute Mining, Ltd.     93,841     139,747  
  Salzgitter AG     5,766     189,038  
  Tokyo Steel Manufacturing Company, Ltd.     24,800     167,521  
  Western Areas, Ltd. (I)     61,179     136,497  
  Yamato Kogyo Company, Ltd.     7,400     219,017  
  Yodogawa Steel Works, Ltd.     2,800     75,188  
  Real estate 1.9%     3,876,736  
  Equity real estate investment trusts 0.6%  
  ICADE     15,082     1,176,818  
  Real estate management and development 1.3%  
  Castellum AB     68,599     1,027,748  
  Sumitomo Real Estate Sales Company, Ltd.     5,400     110,276  
  Vonovia SE     41,201     1,561,894  
  Telecommunication services 5.4%     11,069,882  
  Diversified telecommunication services 3.5%  
  Hellenic Telecommunications Organization SA     27,903     244,871  
  KT Corp.     12,747     369,865  
  Magyar Telekom Telecommunications PLC     115,799     190,184  
  Nippon Telegraph & Telephone Corp.     57,212     2,616,645  
  Telefonica SA     26,026     263,202  
  Telenor ASA     85,998     1,478,812  
  Verizon Communications, Inc.     38,477     2,000,034  
  Wireless telecommunication services 1.9%  
  Millicom International Cellular SA     29,441     1,525,378  
  NTT DOCOMO, Inc.     86,796     2,204,879  
  Orange Belgium SA (I)     7,192     176,012  

SEE NOTES TO FUND'S INVESTMENTS7


Hedged Equity & Income Fund

                                               
        Shares     Value  
  Utilities 5.3%     $11,006,533  
  Electric utilities 2.1%  
  Edison International     18,125     1,309,531  
  NextEra Energy, Inc.     11,278     1,379,525  
  Power Assets Holdings, Ltd.     167,488     1,638,982  
  Gas utilities 0.7%  
  Gas Natural SDG SA     75,312     1,548,268  
  Independent power and renewable electricity producers 0.1%  
  NTPC, Ltd.     78,616     175,925  
  Uniper SE (I)     1     12  
  Multi-utilities 2.4%  
  Centrica PLC     453,067     1,339,610  
  Dominion Resources, Inc.     18,617     1,382,685  
  E.ON SE     111,787     794,525  
  Engie SA     18,327     284,155  
  National Grid PLC     68,962     973,937  
  RWE AG (I)     10,387     179,378  
  Preferred securities 0.2%     $332,785  
  (Cost $195,055)  
  Telecommunication services 0.1%     141,479  
  Telefonica Brasil SA     9,800     141,479  
  Utilities 0.1%     191,306  
  Cia Paranaense de Energia, B Shares     18,500     191,306  
        Rate (% )    Maturity date     Par value^     Value  
  Corporate bonds 15.2%     $31,551,558  
  (Cost $31,419,399)  
  Consumer discretionary 2.8%     5,781,873  
  Distributors 0.0%  
  HD Supply, Inc. (S)     5.750     04-15-24           30,000     31,500  
  Hotels, restaurants and leisure 0.4%  
  Boyd Gaming Corp. (S)     6.375     04-01-26           85,000     91,163  
  CEC Entertainment, Inc.     8.000     02-15-22           190,000     189,288  
  Cirsa Funding Luxembourg SA     5.875     05-15-23         EUR 100,000     116,734  
  Cirsa Funding Luxembourg SA (S)     5.875     05-15-23         EUR 115,000     134,247  
  GLP Capital LP     4.375     04-15-21           5,000     5,263  
  GLP Capital LP     5.375     04-15-26           105,000     112,875  
  NH Hotel Group SA (S)     6.875     11-15-19         EUR 130,000     159,205  
  Pinnacle Entertainment, Inc. (S)     5.625     05-01-24           45,000     45,225  
  Rivers Pittsburgh Borrower LP (S)     6.125     08-15-21           55,000     56,788  
  Household durables 0.4%  
  Beazer Homes USA, Inc. (S)     8.750     03-15-22           106,000     111,830  
  KB Home     7.000     12-15-21           375,000     403,125  
  M/I Homes, Inc.     6.750     01-15-21           195,000     204,263  
  Internet and catalog retail 0.2%  
  Liberty Interactive LLC     8.250     02-01-30           175,000     188,125  
  Netflix, Inc.     5.875     02-15-25           265,000     286,863  
  Media 1.4%  
  Altice Financing SA (S)     6.500     01-15-22         EUR 100,000     118,361  
  CCO Holdings LLC     5.125     02-15-23           5,000     5,213  
  CCO Holdings LLC     5.250     09-30-22           5,000     5,225  
  CCO Holdings LLC     5.750     09-01-23           35,000     37,056  

8SEE NOTES TO FUND'S INVESTMENTS


Hedged Equity & Income Fund

                                               
        Rate (% )    Maturity date     Par value^     Value  
  Consumer discretionary  (continued)        
  Media  (continued)  
  CCO Holdings LLC (S)     5.750     02-15-26           120,000     $127,200  
  Cequel Communications Holdings I LLC (S)     5.125     12-15-21           360,000     359,241  
  Charter Communications Operating LLC (S)     4.908     07-23-25           95,000     104,878  
  CSC Holdings LLC (S)     10.875     10-15-25           200,000     234,000  
  DISH DBS Corp.     6.750     06-01-21           170,000     183,175  
  DISH DBS Corp.     7.875     09-01-19           320,000     358,400  
  Gray Television, Inc. (S)     5.125     10-15-24           45,000     44,156  
  Gray Television, Inc. (S)     5.875     07-15-26           30,000     30,225  
  Lamar Media Corp.     5.750     02-01-26           15,000     16,163  
  Sinclair Television Group, Inc. (S)     5.875     03-15-26           75,000     78,000  
  TEGNA, Inc. (S)     4.875     09-15-21           115,000     119,600  
  TEGNA, Inc.     5.125     10-15-19           310,000     318,138  
  TEGNA, Inc. (S)     5.500     09-15-24           20,000     20,650  
  TEGNA, Inc.     6.375     10-15-23           55,000     59,125  
  Tribune Media Company     5.875     07-15-22           295,000     298,503  
  Unitymedia Hessen GmbH & Company KG     5.500     09-15-22         EUR 210,600     248,365  
  WMG Acquisition Corp. (S)     5.000     08-01-23           20,000     20,300  
  Specialty retail 0.4%  
  Chinos Intermediate Holdings A, Inc., PIK (S)     7.750     05-01-19           135,525     50,822  
  Dufry Finance SCA (S)     4.500     08-01-23         EUR 205,000     242,032  
  Michaels Stores, Inc. (S)     5.875     12-15-20           195,000     202,313  
  New Look Secured Issuer PLC (S)     6.500     07-01-22         GBP 180,000     214,963  
  Party City Holdings, Inc. (S)     6.125     08-15-23           140,000     149,275  
  Consumer staples 0.5%     1,129,949  
  Food and staples retailing 0.0%  
  Aramark Services, Inc.     5.750     03-15-20           64,000     65,760  
  Food products 0.4%  
  Aramark Services, Inc.     5.125     01-15-24           25,000     26,000  
  KazAgro National Management Holding JSC     4.625     05-24-23           200,000     192,000  
  Pinnacle Foods Finance LLC (S)     5.875     01-15-24           35,000     37,363  
  Post Holdings, Inc. (S)     5.000     08-15-26           190,000     189,050  
  Post Holdings, Inc. (S)     6.000     12-15-22           40,000     42,250  
  TreeHouse Foods, Inc.     4.875     03-15-22           190,000     197,600  
  TreeHouse Foods, Inc. (S)     6.000     02-15-24           70,000     75,338  
  Personal products 0.1%  
  Avon International Operations, Inc. (S)     7.875     08-15-22           125,000     129,063  
  Revlon Consumer Products Corp. (S)     6.250     08-01-24           170,000     175,525  
  Energy 2.3%     4,765,132  
  Energy equipment and services 0.0%  
  Ensco PLC     5.750     10-01-44           90,000     54,962  
  Rowan Companies, Inc.     5.850     01-15-44           50,000     34,625  
  Oil, gas and consumable fuels 2.3%  
  Anadarko Petroleum Corp.     4.500     07-15-44           100,000     91,965  
  Anadarko Petroleum Corp.     4.850     03-15-21           15,000     16,160  
  Anadarko Petroleum Corp.     5.550     03-15-26           10,000     11,361  
  Anadarko Petroleum Corp.     6.600     03-15-46           15,000     18,292  
  Antero Resources Corp.     5.625     06-01-23           25,000     25,469  
  Antero Resources Corp.     6.000     12-01-20           185,000     191,013  
  Blue Racer Midstream LLC (S)     6.125     11-15-22           190,000     185,725  
  Bonanza Creek Energy, Inc.     6.750     04-15-21           100,000     46,500  

SEE NOTES TO FUND'S INVESTMENTS9


Hedged Equity & Income Fund

                                               
        Rate (% )    Maturity date     Par value^     Value  
  Energy  (continued)        
  Oil, gas and consumable fuels  (continued)  
  Borets Finance, Ltd.     7.625     09-26-18           200,000     $198,000  
  California Resources Corp. (S)     8.000     12-15-22           325,000     216,125  
  Callon Petroleum Company (S)     6.125     10-01-24           35,000     36,225  
  Concho Resources, Inc.     5.500     10-01-22           70,000     72,625  
  Continental Resources, Inc.     3.800     06-01-24           40,000     36,600  
  Continental Resources, Inc.     4.900     06-01-44           115,000     96,600  
  Continental Resources, Inc.     5.000     09-15-22           65,000     64,838  
  Denbury Resources, Inc. (S)     9.000     05-15-21           170,000     178,075  
  Diamondback Energy, Inc.     7.625     10-01-21           120,000     127,200  
  Energen Corp.     4.625     09-01-21           105,000     103,425  
  Gazprom Neft OAO (S)     4.375     09-19-22           200,000     200,760  
  Gazprom OAO     4.950     07-19-22           200,000     208,776  
  Laredo Petroleum, Inc.     5.625     01-15-22           55,000     53,350  
  Laredo Petroleum, Inc.     6.250     03-15-23           85,000     83,300  
  Laredo Petroleum, Inc.     7.375     05-01-22           45,000     46,519  
  Matador Resources Company     6.875     04-15-23           120,000     124,200  
  MEG Energy Corp. (S)     6.375     01-30-23           20,000     15,825  
  MEG Energy Corp. (S)     7.000     03-31-24           140,000     110,600  
  Noble Holding International, Ltd.     6.200     08-01-40           80,000     47,200  
  PDC Energy, Inc. (S)     6.125     09-15-24           40,000     41,600  
  Petrobras Global Finance BV     4.375     05-20-23           495,000     442,778  
  Petrobras Global Finance BV     5.625     05-20-43           205,000     154,775  
  Petroleos de Venezuela SA     6.000     11-15-26           330,000     138,567  
  QEP Resources, Inc.     5.250     05-01-23           130,000     128,050  
  QEP Resources, Inc.     5.375     10-01-22           15,000     14,888  
  QEP Resources, Inc.     6.800     03-01-20           25,000     25,563  
  Rice Energy, Inc.     6.250     05-01-22           40,000     41,300  
  Rice Energy, Inc.     7.250     05-01-23           40,000     42,800  
  RSP Permian, Inc.     6.625     10-01-22           10,000     10,475  
  SM Energy Company     5.000     01-15-24           140,000     131,600  
  SM Energy Company     6.125     11-15-22           5,000     5,000  
  SM Energy Company     6.500     11-15-21           10,000     10,225  
  SM Energy Company     6.750     09-15-26           30,000     30,300  
  State Oil Company of the Azerbaijan Republic     4.750     03-13-23           200,000     197,574  
  Targa Resources Partners LP     6.750     03-15-24           50,000     53,500  
  Tullow Oil PLC (S)     6.250     04-15-22           350,000     313,250  
  WPX Energy, Inc.     5.250     09-15-24           135,000     127,238  
  WPX Energy, Inc.     6.000     01-15-22           85,000     83,938  
  WPX Energy, Inc.     8.250     08-01-23           70,000     75,396  
  Financials 1.6%     3,208,428  
  Banks 0.8%  
  Banco Bilbao Vizcaya Argentaria SA (7.000% to 2-19-19, then 5 Year Euro Swap Rate + 6.155%) (Q)     7.000     02-19-19         EUR 200,000     210,096  
  Banco Santander SA (6.250% to 3-12-19, then 5 Year Euro Swap Rate + 5.410%) (Q)     6.250     03-12-19         EUR 100,000     100,739  
  Bank of Ireland (7.375% to 6-18-20, then 5 Year Euro Swap Rate + 6.956%) (Q)     7.375     06-18-20         EUR 200,000     213,998  
  Barclays PLC (8.250% to 12-15-18, then 5 Year U.S. Swap Rate + 6.705%) (Q)     8.250     12-15-18           200,000     199,750  
  Credit Agricole SA (8.125% to 12-23-25, then 5 Year U.S. Swap Rate + 6.185%) (Q)(S)     8.125     12-23-25           250,000     265,000  
  Intesa Sanpaolo SpA (7.700% to 9-17-25, then 5 Year U.S. Swap Rate + 5.462%) (Q)(S)     7.700     09-17-25           200,000     175,000  

10SEE NOTES TO FUND'S INVESTMENTS


Hedged Equity & Income Fund

                                               
        Rate (% )    Maturity date     Par value^     Value  
  Financials  (continued)        
  Banks  (continued)  
  Intesa Sanpaolo SpA (8.375% to 10-14-19, then 3 month EURIBOR + 6.871%) (Q)     8.375     10-14-19         EUR 50,000     $63,391  
  Royal Bank of Scotland Group PLC (7.640% to 9-30-17, then 3 month LIBOR + 2.320%) (Q)     7.640     09-30-17           100,000     97,000  
  Sberbank of Russia (S)     5.125     10-29-22           200,000     204,148  
  VTB Bank OJSC (S)     6.875     05-29-18           200,000     212,014  
  Consumer finance 0.2%  
  OneMain Financial Holdings, Inc. (S)     6.750     12-15-19           30,000     31,605  
  Springleaf Finance Corp.     5.250     12-15-19           50,000     51,063  
  Springleaf Finance Corp.     7.750     10-01-21           55,000     57,681  
  Springleaf Finance Corp.     8.250     12-15-20           155,000     170,113  
  Diversified financial services 0.4%  
  Camelot Finance SA (S)     7.875     10-15-24           95,000     97,969  
  Credit Suisse Group AG (6.250% to 12-18-24, then 5 Year U.S. Swap Rate + 3.455%) (Q)     6.250     12-18-24           200,000     189,780  
  FBM Finance, Inc. (S)     8.250     08-15-21           65,000     67,925  
  MSCI, Inc. (S)     5.250     11-15-24           150,000     158,798  
  Nationstar Mortgage LLC     6.500     08-01-18           235,000     238,819  
  Insurance 0.1%  
  Nationwide Building Society (6.875% to 6-20-19, then 5 Year GBP Swap Rate + 4.880%) (Q)     6.875     06-20-19         GBP 120,000     148,539  
  Thrifts and mortgage finance 0.1%  
  MGIC Investment Corp.     5.750     08-15-23           35,000     36,400  
  Nationstar Mortgage LLC     6.500     07-01-21           40,000     39,200  
  Radian Group, Inc.     7.000     03-15-21           160,000     179,400  
  Health care 2.4%     5,064,607  
  Health care equipment and supplies 0.2%  
  Alere, Inc. (S)     6.375     07-01-23           150,000     153,000  
  Alere, Inc.     6.500     06-15-20           256,000     256,000  
  Alere, Inc.     7.250     07-01-18           60,000     61,350  
  Health care providers and services 1.3%  
  Amsurg Corp.     5.625     07-15-22           275,000     281,188  
  Community Health Systems, Inc.     6.875     02-01-22           345,000     296,700  
  Community Health Systems, Inc.     7.125     07-15-20           250,000     232,375  
  Envision Healthcare Corp. (S)     5.125     07-01-22           85,000     84,575  
  HCA Holdings, Inc.     6.250     02-15-21           240,000     260,400  
  HCA, Inc.     5.250     06-15-26           40,000     42,500  
  HCA, Inc.     6.500     02-15-20           360,000     398,700  
  HCA, Inc.     7.500     11-15-95           125,000     126,250  
  inVentiv Health, Inc. (S)     9.000     01-15-18           50,000     51,344  
  LifePoint Health, Inc.     5.875     12-01-23           70,000     72,450  
  MEDNAX, Inc. (S)     5.250     12-01-23           90,000     94,613  
  MPH Acquisition Holdings LLC (S)     7.125     06-01-24           35,000     37,625  
  Tenet Healthcare Corp.     5.000     03-01-19           195,000     191,588  
  Tenet Healthcare Corp.     6.750     06-15-23           50,000     46,500  
  Tenet Healthcare Corp.     8.125     04-01-22           275,000     275,000  
  Vizient, Inc. (S)     10.375     03-01-24           80,000     91,800  
  WellCare Health Plans, Inc.     5.750     11-15-20           135,000     139,388  
  Health care technology 0.3%  
  Change Healthcare Holdings, Inc. (S)     6.000     02-15-21           110,000     116,050  
  IMS Health, Inc. (S)     4.125     04-01-23         EUR 235,000     271,854  

SEE NOTES TO FUND'S INVESTMENTS11


Hedged Equity & Income Fund

                                               
        Rate (% )    Maturity date     Par value^     Value  
  Health care  (continued)        
  Health care technology  (continued)  
  Sterigenics-Nordion Holdings LLC (S)     6.500     05-15-23           250,000     $260,000  
  Pharmaceuticals 0.6%  
  Endo, Ltd. (S)     6.000     07-15-23           465,000     423,150  
  PRA Holdings, Inc. (S)     9.500     10-01-23           150,000     165,000  
  Quintiles Transnational Corp. (S)     4.875     05-15-23           195,000     200,363  
  Valeant Pharmaceuticals International, Inc.     4.500     05-15-23         EUR 130,000     115,368  
  Valeant Pharmaceuticals International, Inc. (S)     5.500     03-01-23           30,000     25,650  
  Valeant Pharmaceuticals International, Inc. (S)     5.875     05-15-23           315,000     272,295  
  Valeant Pharmaceuticals International, Inc. (S)     6.125     04-15-25           25,000     21,531  
  Industrials 1.3%     2,757,199  
  Aerospace and defense 0.3%  
  AerCap Ireland Capital, Ltd.     4.500     05-15-21           150,000     156,938  
  Bombardier, Inc. (S)     6.125     01-15-23           220,000     195,250  
  TA MFG., Ltd. (S)     3.625     04-15-23         EUR 180,000     197,936  
  Building products 0.2%  
  BMC East LLC (S)     5.500     10-01-24           55,000     55,000  
  Builders FirstSource, Inc. (S)     5.625     09-01-24           115,000     117,875  
  Kerneos Corporate SAS (S)     5.750     03-01-21         EUR 145,000     168,994  
  Ply Gem Industries, Inc.     6.500     02-01-22           180,000     185,400  
  Commercial services and supplies 0.2%  
  APX Group, Inc.     7.875     12-01-22           100,000     104,750  
  Clean Harbors, Inc.     5.125     06-01-21           75,000     76,875  
  Quad/Graphics, Inc.     7.000     05-01-22           190,000     182,400  
  Electrical equipment 0.1%  
  Sensata Technologies BV (S)     5.000     10-01-25           100,000     102,250  
  Sensata Technologies BV (S)     5.625     11-01-24           80,000     84,500  
  Machinery 0.2%  
  Cloud Crane LLC (S)     10.125     08-01-24           165,000     171,188  
  CNH Industrial Capital LLC     4.375     11-06-20           15,000     15,675  
  Crown European Holdings SA (S)     3.375     05-15-25         EUR 170,000     194,930  
  Gardner Denver, Inc. (S)     6.875     08-15-21           110,000     103,125  
  Trading companies and distributors 0.3%  
  Aircastle, Ltd.     5.000     04-01-23           30,000     31,350  
  American Builders & Contractors Supply Company, Inc. (S)     5.750     12-15-23           55,000     57,200  
  International Lease Finance Corp.     6.250     05-15-19           430,000     466,013  
  The Hertz Corp. (S)     5.500     10-15-24           90,000     89,550  
  Information technology 1.3%     2,610,504  
  Communications equipment 0.1%  
  Alcatel-Lucent USA, Inc.     6.450     03-15-29           271,000     299,794  
  Electronic equipment, instruments and components 0.2%  
  CDW LLC     5.000     09-01-23           35,000     36,138  
  CDW LLC     5.500     12-01-24           105,000     112,088  
  CDW LLC     6.000     08-15-22           290,000     308,850  
  Internet software and services 0.2%  
  Zayo Group LLC     6.000     04-01-23           190,000     199,025  
  Zayo Group LLC     6.375     05-15-25           110,000     117,150  
  IT services 0.2%  
  First Data Corp. (S)     5.375     08-15-23           280,000     288,400  
  First Data Corp. (S)     7.000     12-01-23           160,000     169,200  

12SEE NOTES TO FUND'S INVESTMENTS


Hedged Equity & Income Fund

                                               
        Rate (% )    Maturity date     Par value^     Value  
  Information technology  (continued)        
  Semiconductors and semiconductor equipment 0.2%  
  Entegris, Inc. (S)     6.000     04-01-22           210,000     $217,350  
  Micron Technology, Inc.     5.500     02-01-25           150,000     147,000  
  Software 0.4%  
  Change Healthcare Holdings, Inc.     11.000     12-31-19           180,000     189,450  
  First Data Corp. (S)     5.750     01-15-24           190,000     195,225  
  Infor Software Parent LLC, PIK (S)     7.125     05-01-21           75,000     72,750  
  Infor US, Inc. (S)     5.750     08-15-20           25,000     26,250  
  Infor US, Inc.     5.750     05-15-22         EUR 100,000     108,658  
  Infor US, Inc.     6.500     05-15-22           50,000     50,625  
  JDA Escrow LLC (S)     7.375     10-15-24           45,000     46,238  
  SS&C Technologies Holdings, Inc.     5.875     07-15-23           25,000     26,313  
  Materials 1.8%     3,762,003  
  Building materials 0.2%  
  Standard Industries, Inc. (S)     5.375     11-15-24           365,000     375,950  
  Chemicals 0.1%  
  Platform Specialty Products Corp. (S)     6.500     02-01-22           35,000     34,038  
  The Chemours Company     6.625     05-15-23           150,000     146,625  
  The Chemours Company     7.000     05-15-25           10,000     9,825  
  Versum Materials, Inc. (S)     5.500     09-30-24           30,000     30,825  
  Containers and packaging 0.9%  
  ARD Finance SA, PIK (S)     6.625     09-15-23         EUR 150,000     161,383  
  Ardagh Packaging Finance PLC (S)     6.000     06-30-21           200,000     206,500  
  Ardagh Packaging Finance PLC (S)     6.750     05-15-24         EUR 250,000     293,826  
  Berry Plastics Corp.     6.000     10-15-22           180,000     189,900  
  Owens-Brockway Glass Container, Inc. (S)     5.875     08-15-23           165,000     177,169  
  Owens-Brockway Glass Container, Inc. (S)     6.375     08-15-25           215,000     236,769  
  Reynolds Group Issuer, Inc. (S)     5.125     07-15-23           425,000     438,813  
  Reynolds Group Issuer, Inc. (S)     7.000     07-15-24           105,000     112,613  
  Metals and mining 0.6%  
  AK Steel Corp.     7.625     05-15-20           55,000     53,625  
  AK Steel Corp.     7.625     10-01-21           80,000     77,000  
  AK Steel Corp.     8.375     04-01-22           80,000     77,800  
  Anglo American Capital PLC (S)     9.375     04-08-19           100,000     115,000  
  ArcelorMittal     7.250     02-25-22           65,000     73,775  
  Kaiser Aluminum Corp.     5.875     05-15-24           126,000     131,670  
  Novelis Corp. (S)     5.875     09-30-26           55,000     56,306  
  Novelis Corp. (S)     6.250     08-15-24           95,000     100,938  
  Signode Industrial Group Lux SA (S)     6.375     05-01-22           55,000     55,688  
  Steel Dynamics, Inc.     5.125     10-01-21           85,000     88,294  
  Steel Dynamics, Inc.     5.500     10-01-24           70,000     73,325  
  Teck Resources, Ltd. (S)     8.000     06-01-21           40,000     43,750  
  Teck Resources, Ltd. (S)     8.500     06-01-24           80,000     91,600  
  United States Steel Corp.     6.875     04-01-21           19,000     18,810  
  United States Steel Corp.     7.375     04-01-20           68,000     67,660  
  United States Steel Corp.     7.500     03-15-22           25,000     24,801  
  United States Steel Corp. (S)     8.375     07-01-21           160,000     175,000  
  Paper and forest products 0.0%  
  Tembec Industries, Inc. (S)     9.000     12-15-19           30,000     22,725  

SEE NOTES TO FUND'S INVESTMENTS13


Hedged Equity & Income Fund

                                               
        Rate (% )    Maturity date     Par value^     Value  
  Real estate 0.1%     $205,425  
  Equity real estate investment trusts 0.1%  
  Equinix, Inc.     5.875     01-15-26           75,000     80,625  
  FelCor Lodging LP     6.000     06-01-25           120,000     124,800  
  Telecommunication services 1.1%     2,266,438  
  Communications equipment 0.0%  
  Alcatel-Lucent USA, Inc.     6.500     01-15-28           45,000     49,050  
  Diversified telecommunication services 0.6%  
  Altice Financing SA (S)     7.500     05-15-26           210,000     218,663  
  Cablevision SA (S)     6.500     06-15-21           151,000     157,606  
  Frontier Communications Corp.     10.500     09-15-22           65,000     68,900  
  Frontier Communications Corp.     11.000     09-15-25           65,000     67,763  
  Level 3 Financing, Inc.     5.125     05-01-23           15,000     15,450  
  Level 3 Financing, Inc. (S)     5.250     03-15-26           30,000     30,975  
  Level 3 Financing, Inc.     5.375     08-15-22           205,000     214,225  
  Level 3 Financing, Inc.     5.375     01-15-24           15,000     15,628  
  Wind Acquisition Finance SA (S)     4.000     07-15-20         EUR 310,000     352,156  
  Wireless telecommunication services 0.5%  
  Matterhorn Telecom SA (S)     3.875     05-01-22         EUR 116,000     129,636  
  Sprint Communications, Inc. (S)     9.000     11-15-18           100,000     110,250  
  Sprint Corp.     7.125     06-15-24           200,000     195,000  
  Sprint Corp.     7.250     09-15-21           215,000     216,075  
  Sprint Corp.     7.875     09-15-23           100,000     101,000  
  T-Mobile USA, Inc.     6.464     04-28-19           95,000     96,781  
  VimpelCom Holdings BV     5.200     02-13-19           220,000     227,280  
  Convertible bonds 0.1%     $182,426  
  (Cost $237,046)  
  Consumer discretionary 0.0%     40,575  
  Household durables 0.0%  
  M/I Homes, Inc.     3.000     03-01-18           40,000     40,575  
  Energy 0.0%     66,138  
  Oil, gas and consumable fuels 0.0%  
  Cobalt International Energy, Inc.     2.625     12-01-19           130,000     66,138  
  Financials 0.1%     75,713  
  Thrifts and mortgage finance 0.1%  
  MGIC Investment Corp.     2.000     04-01-20           60,000     75,713  
  Foreign government obligations 0.1%     $265,198  
  (Cost $235,000)  
  Argentina 0.1%     265,198  
  Republic of Argentina (S)     7.500     04-22-26           235,000     265,198  
  Term loans (M) 0.2%     $327,357  
  (Cost $606,795)  
  Consumer discretionary 0.1%     183,517  
  Media 0.1%  
  Virgin Media Investment Holdings, Ltd.     3.649     06-30-23           100,000     100,398  
  Multiline retail 0.0%  
  Lands' End, Inc.     4.250     04-04-21           107,250     83,119  

14SEE NOTES TO FUND'S INVESTMENTS


Hedged Equity & Income Fund

                                               
        Rate (% )    Maturity date     Par value^     Value  
  Utilities 0.1%     $143,840  
  Electric utilities 0.1%  
  Texas Competitive Electric Holdings Company LLC (H)     4.739     10-10-17           500,000     143,840  
        Shares     Value  
  Exchange-traded funds 0.0%     $58,184  
  (Cost $57,915)  
  iShares MSCI EAFE ETF     984     58,184  
              Par value^     Value  
  Short-term investments 2.5%     $5,200,000  
  (Cost $5,200,000)  
  Repurchase agreement 2.5%     5,200,000  
  Goldman Sachs Tri-Party Repurchase Agreement dated 9-30-16 at 0.500% to be repurchased at $5,200,217 on 10-3-16, collateralized by $5,181,303 Federal National Mortgage Association, 3.616% due 2-1-18 (valued at $5,304,001, including interest)           5,200,000     5,200,000  
  Total investments (Cost $203,367,562)† 99.5%     $205,815,970  
  Other assets and liabilities, net 0.5%     $996,668  
  Total net assets 100.0%     $206,812,638  

                                               
  The percentage shown for each investment category is the total value of the category as a percentage of the net assets of the fund.  
  ^All par values are denominated in U.S. dollars unless otherwise indicated.  
  Key to Currency Abbreviations  
  EUR     Euro  
  GBP     Pound Sterling  
  Key to Security Abbreviations and Legend  
  ADR     American Depositary Receipts  
  EURIBOR     Euro Interbank Offered Rate  
  LIBOR     London Interbank Offered Rate  
  PIK     Payment-in-kind  
  (C)     A portion of this security is segregated as collateral for options. Total collateral value at 9-30-16 was $17,577,081.  
  (H)     Non-income producing - Issuer is in default.  
  (I)     Non-income producing security.  
  (M)     Term loans are variable rate obligations. The coupon rate shown represents the rate at period end.  
  (Q)     Perpetual bonds have no stated maturity date. Date shown as maturity date is next call date.  
  (R)     Direct placement securities are restricted as to resale, and the fund has limited rights to registration under the Securities Act of 1933. For more information on this security, refer to the Notes to Fund's investments.  
  (S)     These securities are exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be resold, normally to qualified institutional buyers, in transactions exempt from registration.  
      At 9-30-16, the aggregate cost of investment securities for federal income tax purposes was $204,341,756. Net unrealized appreciation aggregated to $1,474,214, of which $15,631,316 related to appreciated investment securities and $14,157,102 related to depreciated investment securities.  

SEE NOTES TO FUND'S INVESTMENTS15


Notes to Fund's investments (unaudited)

Security valuation. Investments are stated at value as of the scheduled close of regular trading on the New York Stock Exchange (NYSE), normally at 4:00 p.m., Eastern Time. In case of emergency or other disruption resulting in the NYSE not opening for trading or the NYSE closing at a time other than the regularly scheduled close, the net asset value may be determined as of the regularly scheduled close of the NYSE pursuant to the fund's Valuation Policies and Procedures. The time at which shares and transactions are priced and until which orders are accepted may vary to the extent permitted by the Securities and Exchange Commission and applicable regulations.

In order to value the securities, the fund uses the following valuation techniques: Equity securities, including exchange-traded funds, held by the fund are typically valued at the last sale price or official closing price on the exchange or principal market where the security was acquired or most likely will be sold. In the event there were no sales during the day or closing prices are not available, the securities are valued using the last available bid price. Debt obligations are valued based on the evaluated prices provided by an independent pricing vendor or from broker-dealers. Independent pricing vendors utilize matrix pricing which takes into account factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics and other market data, as well as broker supplied prices. Options listed on an exchange are valued at the mean of the most recent bid and ask prices from the exchange where the option was acquired or most likely will be sold. Futures contracts are valued at settlement prices, which are the official closing prices published by the exchange on which they trade. Foreign index futures that trade in the electronic trading market subsequent to the close of regular trading and have sufficient liquidity will be valued at the last traded price in the electronic trading market as of 4:00 p.m ET. Foreign securities and currencies, including forward foreign currency contracts, are valued in U.S. dollars, based on foreign currency exchange rates supplied by an independent pricing vendor.

In certain instances, the Pricing Committee may determine to value equity securities using prices obtained from another exchange or market if trading on the exchange or market on which prices are typically obtained did not open for trading as scheduled, or if trading closed earlier than scheduled, and trading occurred as normal on another exchange or market.

Other portfolio securities and assets, for which reliable market quotations are not readily available, are valued at fair value as determined in good faith by the fund's Pricing Committee following procedures established by the Board of Trustees. The frequency with which these fair valuation procedures are used cannot be predicted and fair value of securities may differ significantly from the value that would have been used had a ready market for such securities existed. Trading in foreign securities may be completed before the scheduled daily close of trading on the NYSE. Significant events at the issuer or market level may affect the values of securities between the time when the valuation of the securities is generally determined and the close of the NYSE. If a significant event occurs, these securities may be fair valued, as determined in good faith by the fund's Pricing Committee, following procedures established by the Board of Trustees. The fund uses fair value adjustment factors provided by an independent pricing vendor to value certain foreign securities in order to adjust for events that may occur between the close of foreign exchanges or markets and the close of the NYSE.

The fund uses a three-tier hierarchy to prioritize the pricing assumptions, referred to as inputs, used in valuation techniques to measure fair value. Level 1 includes securities valued using quoted prices in active markets for identical securities. Level 2 includes securities valued using other significant observable inputs. Observable inputs may include quoted prices for similar securities, interest rates, prepayment speeds and credit risk. Prices for securities valued using these inputs are received from independent pricing vendors and brokers and are based on an evaluation of the inputs described. Level 3 includes securities valued using significant unobservable inputs when market prices are not readily available or reliable, including the fund's own assumptions in determining the fair value of investments. Factors used in determining value may include market or issuer specific events or trends, changes in interest rates and credit quality. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Changes in valuation techniques and related inputs may result in transfers into or out of an assigned level within the disclosure hierarchy.

The following is a summary of the values by input classification of the fund's investments as of September 30, 2016, by major security category or type:

                                   
        Total
value at
9-30-16
    Level 1
quoted
price
    Level 2
significant
observable
inputs
    Level 3
significant
unobservable
inputs
 
  Common stocks                          
        Consumer discretionary     $9,561,645     $1,214,096     $8,045,085     $302,464  
        Consumer staples     10,856,467     5,126,866     5,729,601      
        Energy     14,890,602     8,158,866     6,731,736      
        Financials     33,431,422     15,781,158     17,650,264      
        Health care     18,749,206     9,802,222     8,946,984      
        Industrials     19,833,945     7,976,514     11,857,431      
        Information technology     24,184,492     16,401,189     7,687,484     95,819  
        Materials     10,437,532     6,343,971     4,093,561      
        Real estate     3,876,736         3,876,736      
        Telecommunication services     11,069,882     2,000,034     9,069,848      
        Utilities     11,006,533     4,071,741     6,934,792      
  Preferred securities     332,785     332,785          
  Corporate bonds     31,551,558         31,551,558      
  Convertible bonds     182,426         182,426      
  Foreign government obligations     265,198         265,198      

       16


                                   
        Total
value at
9-30-16
    Level 1
quoted
price
    Level 2
significant
observable
inputs
    Level 3
significant
unobservable
inputs
 
  Term loans     327,357         327,357      
  Exchange-traded funds     58,184     58,184          
  Short-term investments     5,200,000         5,200,000      
  Total investments in securities     $205,815,970     $77,267,626     $128,150,061     $398,283  
  Other financial instruments:                          
  Futures     $53,512     $53,512          
  Forward foreign currency contracts     (4,062 )       ($4,062 )    
  Written options     (840,510 )   (840,510 )        

Repurchase agreements. The fund may enter into repurchase agreements. When the fund enters into a repurchase agreement, it receives collateral that is held in a segregated account by the fund's custodian, or for tri-party repurchase agreements, collateral is held at a third-party custodian bank in a segregated account for the benefit of the fund. The collateral amount is marked-to-market and monitored on a daily basis to ensure that the collateral held is in an amount not less than the principal amount of the repurchase agreement plus any accrued interest. Collateral received by the fund for repurchase agreements is disclosed in the Fund's investments as part of the caption related to the repurchase agreement.

Repurchase agreements are typically governed by the terms and conditions of the Master Repurchase Agreement and/or Global Master Repurchase Agreement (collectively, MRA). Upon an event of default, the non-defaulting party may close out all transactions traded under the MRA and net amounts owed. Absent an event of default, assets and liabilities resulting from repurchase agreements are not offset. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the collateral value may decline or the counterparty may have insufficient assets to pay back claims resulting from close-out of the transactions.

Derivative instruments. The fund may invest in derivatives in order to meet its investment objectives. Derivatives include a variety of different instruments that may be traded in the over-the-counter (OTC) market, on a regulated exchange or through a clearing facility. The risks in using derivatives vary depending upon the structure of the instruments, including the use of leverage, optionality, the liquidity or lack of liquidity of the contract, the creditworthiness of the counterparty or clearing organization and the volatility of the position. Some derivatives involve risks that are potentially greater than the risks associated with investing directly in the referenced securities or other referenced underlying instrument. Specifically, the fund is exposed to the risk that the counterparty to an OTC derivatives contract will be unable or unwilling to make timely settlement payments or otherwise honor its obligations. OTC derivatives transactions typically can only be closed out with the other party to the transaction.

Futures. A futures contract is a contractual agreement to buy or sell a particular currency or financial instrument at a pre-determined price in the future. Risks related to the use of futures contracts include possible illiquidity of the futures markets and contract prices that can be highly volatile and imperfectly correlated to movements in the underlying financial instrument. Use of long futures contracts subjects the funds to the risk of loss up to the notional value of the futures contracts. Use of short futures contracts subjects the funds to unlimited risk of loss.

During the period ended September 30, 2016, the fund used futures contracts to manage against anticipated changes in securities markets. The following table summarizes the contracts held at September 30, 2016.

                                         
  Open contracts     Number of
contracts
    Position     Expiration
date
    Notional
basis
    Notional
value
    Unrealized
appreciation/
(depreciation)
 
  Mini MSCI EAFE Index Futures     130     Short     Dec 2016     ($11,196,608 )   ($11,093,550 )   $103,058  
  S&P 500 Index E-Mini Futures     116     Short     Dec 2016     (12,480,774 )   (12,530,320 )   (49,546 )
                                      $53,512  

Notional basis refers to the contractual amount agreed upon at inception of open contracts; notional value represents the current value of the open contract.

Forward foreign currency contracts. A forward foreign currency contract is an agreement between two parties to buy and sell specific currencies at a price that is set on the date of the contract. The forward contract calls for delivery of the currencies on a future date that is specified in the contract. Risks related to the use of forwards include the possible failure of counterparties to meet the terms of the forward agreement, the failure of the counterparties to timely post collateral if applicable, and the risk that currency movements will not favor the fund thereby reducing the fund's total return.

The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked-to-market daily and the change in value is recorded by the fund as an unrealized gain or loss. Realized gains or losses, equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, are recorded upon delivery or receipt of the currency or settlement with the counterparty.

During the period ended September 30, 2016, the fund used forward foreign currency contracts to manage against anticipated changes in currency exchange rates. The following table summarizes the contracts held at September 30, 2016.

       17


                                                                 
  Contract to buy           Contract to sell           Counterparty     Contractual
settlement
date
    Unrealized
appreciation
    Unrealized
depreciation
    Net unrealized
appreciation/
(depreciation)
 
  CAD     155,000           USD     118,003           Barclays Bank PLC Wholesale     10/31/2016     $167         $167  
  EUR     45,000           USD     50,643           Royal Bank of Scotland PLC     10/31/2016         ($29 )   (29 )
  EUR     1,609,000           USD     1,807,985           UBS AG     10/31/2016     1,752         1,752  
  GBP     453,000           USD     586,916           UBS AG     10/31/2016     566         566  
  USD     2,078,706           EUR     1,845,000           Commonwealth Bank of Australia Sydney     12/21/2016         (1,363 )   (1,363 )
  USD     2,078,789           EUR     1,845,000           Credit Suisse International     12/21/2016         (1,280 )   (1,280 )
  USD     2,077,964           EUR     1,845,000           Royal Bank of Canada     12/21/2016         (2,105 )   (2,105 )
  USD     2,079,427           EUR     1,846,000           State Street Bank and Trust Company     12/21/2016         (1,770 )   (1,770 )
                                                  $2,485     ($6,547 )   ($4,062 )

       
Currency abbreviations
CAD Canadian Dollar GBP Pound Sterling
EUR Euro USD U.S. Dollar

Options. There are two types of options, put options and call options. Options are traded either OTC or on an exchange. A call option gives the purchaser of the option the right to buy (and the seller the obligation to sell) the underlying instrument at the exercise price. A put option gives the purchaser of the option the right to sell (and the writer the obligation to buy) the underlying instrument at the exercise price. Writing puts and buying calls may increase the fund's exposure to changes in the value of the underlying instrument. Buying puts and writing calls may decrease the fund's exposure to such changes. Risks related to the use of options include the loss of premiums, possible illiquidity of the options markets, trading restrictions imposed by an exchange and movements in underlying security values. In addition, OTC options are subject to the risks of all OTC derivatives contracts.

When the fund purchases an option, the premium paid by the fund is included in the portfolio of investments and subsequently "marked-to-market" to reflect current market value. When the fund writes an option, the premium received is included as a liability and subsequently "marked-to-market" to reflect current market value of the option written.

During the period ended September 30, 2016, the fund wrote option contracts to manage against anticipated changes in securities market and generate income. The following tables summarize the fund's written options activities during the period ended September 30, 2016 and the contracts held at September 30, 2016.

                       
        Number of contracts     Premiums received  
  Outstanding, beginning of period     265     $296,524  
        Options written     2,421     3,452,635  
        Options closed     (2,394 )   (3,013,847 )
        Options exercised          
        Options expired          
  Outstanding, end of period     292     $735,312  

                                   
  Name of issuer     Exercise
price
    Expiration
date
    Number
of contracts
    Premium     Value  
  Calls                                
  S&P 500 Index     $2,150     Oct 2016     147     $396,453     ($496,860 )
  S&P 500 Index     2,165     Oct 2016     145     338,859     (343,650 )
                    292     $735,312     ($840,510 )

Direct placement securities. The fund may hold private placement securities, which are restricted as to resale, and the fund has limited rights to registration under the Securities Act of 1933. The following table summarizes the direct placement securities held at September 30, 2016:

                   
Issuer, description Acquisition
date
  Acquisition
cost
  Beginning
share amount
Ending
share amount
Value as a
percentage of
fund's net assets
  Value as of
9-30-16
Allstar Co-Invest LLC 8-1-11   $240,553   236,300 236,300 0.15%   $302,464
Dropbox, Inc. 5-1-12   65,608   7,248 7,248 0.05%   95,819
      $306,161           $398,283

For additional information on the fund's significant accounting policies, please refer to the fund's most recent semiannual or annual shareholder report.

       18


More information

     
How to contact us
Internet www.jhinvestments.com  
Mail Computershare
P.O. Box 30170
College Station, TX 77842-3170
 
Phone Customer service representatives
Portfolio commentary
24-hour automated information
TDD line
800-852-0218
800-344-7054
800-843-0090
800-231-5469

     
  P15Q3 09/16
This report is for the information of the shareholders of John Hancock Hedged Equity & Income Fund.   11/16


 

ITEM 2. CONTROLS AND PROCEDURES.

 

(a)       Based upon their evaluation of the registrant's disclosure controls and procedures as conducted within 90 days of the filing date of this Form N-Q, the registrant's principal executive officer and principal accounting officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission's rules and forms.

 

(b)       There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

 

ITEM 3. EXHIBITS.

 

Separate certifications for the registrant's principal executive officer and principal accounting officer, as required by Rule 30a-2(a) under the Investment Company Act of 1940, are attached.

 


 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

John Hancock Hedged Equity & Income Fund

 

 

By: /s/ Andrew Arnott
  Andrew Arnott
  President
   
   
Date:   November 11, 2016

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

 

By: /s/ Andrew Arnott
  Andrew Arnott
  President
   
   
Date:   November 11, 2016

 

 

By: /s/ Charles A. Rizzo
  Charles A. Rizzo
  Chief Financial Officer
   
   
Date:   November 11, 2016