SEASONS SERIES TRUSTfile... · 2020-05-29 · Dear Seasons Series Trust Investor: We are pleased to present the annual report for Seasons Series Trust, the underlying investment for

SEASONS SERIES TRUST

ANNUAL REPORTMARCH 31, 2020

Table of Contents

Shareholder Letter . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2

Expense Example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3

Seasons StrategiesSA Multi-Managed Growth Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6SA Multi-Managed Moderate Growth Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32SA Multi-Managed Income/Equity Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62SA Multi-Managed Income Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85SA Putnam Asset Allocation Diversified Growth Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108SA T. Rowe Price Growth Stock Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 147

Seasons SelectSA Multi-Managed Large Cap Growth Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152SA Multi-Managed Large Cap Value Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160SA Multi-Managed Mid Cap Growth Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 169SA Multi-Managed Mid Cap Value Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 182SA Multi-Managed Small Cap Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196SA Multi-Managed International Equity Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 212SA Multi-Managed Diversified Fixed Income Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 225SA Wellington Real Return Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 276

Seasons FocusedSA Columbia Focused Value Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 288

Seasons Managed AllocationSA Allocation Growth Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 291SA Allocation Moderate Growth Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294SA Allocation Moderate Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 297SA Allocation Balanced Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300

Statements of Assets and Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303Statements of Operations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311Statements of Changes in Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 315Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 322Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 370Report of Independent Registered Public Accounting Firm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 383Approval of Advisory and Subadvisory Agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 385Trustees and Officers Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 397Shareholders Tax Information . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 399Comparisons: Portfolios vs Indexes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 402Supplements to the Prospectus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 439

Beginning on January 1, 2021, as permitted by regulations adopted by the SEC, paper copies of the shareholderreports for portfolios available under your contract will no longer be sent by mail, unless you specifically requestpaper copies of the reports from the Company. Instead, the reports will be made available on a website, and youwill be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. You can inform the Company that you wish tocontinue receiving paper copies of your shareholder reports by contacting (855) 421-2692 or visitingwww.aig.com/annuities/GetMyPrintedReports and providing the 12-digit opt-in ID located above your mailingaddress. Your election to receive reports in paper will apply to all portfolios available under your contract.

Dear Seasons Series Trust Investor:

We are pleased to present the annual report for Seasons Series Trust, the underlying investmentfor the Seasons family of variable annuities issued by our affiliated life companies.

This report contains the investment information and the financial statements of the SeasonsSeries Trust portfolios for the reporting period ended March 31, 2020.

If you have any questions regarding your investment, please contact your investmentrepresentative, or you may contact us directly at 1-800-445-SUN2.

Sincerely,

John T. GenoyPresidentSeasons Series Trust

Note: All performance figures quoted are for the Seasons Series Trust. They do not reflect fees and charges associated with thevariable annuity. Past performance is no guarantee of future results. Securities listed may or may not be a part of the currentportfolio construction. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may besubject to withdrawal charges and if taken prior to age 59 1/2, a 10% federal tax penalty may apply. An investment in a variableannuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or lessthan the total amount invested.

Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growthstocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potentialfor loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations inforeign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws,and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividendpolicies or the availability of capital resources.

Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than morediverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions inthe real estate industry, changes in property values, dependency on real estate management, and other risks associated with aconcentration in one sector or geographic region. Investments in securities related to gold and other precious metals and mineralsare speculative and impacted by a host of worldwide economic, financial and political factors.

Investments in debt securities are subject to credit risk (i.e., the risk that an issuer might not pay interest when due or repayprincipal at maturity of the obligation). Investments in lower-rated bonds and “junk bonds” are considered speculative due to theheightened risk of default and are subject to unpredictable losses as a result of changes in the issuer’s creditworthiness.

Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greaterthan the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs forthe portfolio and underlying portfolios.

There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals,principal strategies, and risks for each Portfolio are provided in the prospectus.

Investments are not guaranteed or endorsed by any bank, are not a deposit or obligation of any bank, and are not federally insuredby the Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.

* Not FDIC or NCUA/NCUSIF Insured* May Lose Value * No Bank of Credit Union Guarantee

* Not a Deposit * Not insured by any Federal Government Agency

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SEASONS SERIES TRUSTEXPENSE EXAMPLE March 31, 2020 (unaudited)

Disclosure of Portfolio Expenses in Shareholder Reports

As a shareholder of a Portfolio in the Seasons Series Trust (the “Trust’’), you incur ongoing costs, including management feesand/or service (12b-1) fees and other Portfolio expenses. This Example is intended to help you understand your ongoing costs(in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.The example is based on an investment of $1,000 invested at October 1, 2019 and held until March 31, 2020. Shares of theTrust are not offered directly to the public. Instead, shares are currently issued and redeemed only in connection with investmentsin and payments under variable annuity contracts and variable life insurance policies (“Variable Contracts’’) offered by lifeinsurance companies affiliated with SunAmerica Asset Management, LLC, the Trust’s investment adviser and manager. The feesand expenses associated with the Variable Contracts are not included in these examples, and had such fees and expenses beenincluded, your costs would have been higher. Please see your Variable Contract prospectus for more details on the fees associatedwith the Variable Contract.

Actual Expenses

The “Actual” section of the table provides information about actual account values and actual expenses. You may use theinformation in these columns, together with the amount you invested, to estimate the expenses that you paid over the period.Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiplythe result by the number in the column under the heading entitled “Expenses Paid During the Six Months Ended March 31,2020” to estimate the expenses you paid on your account during this period. The “Expenses Paid During the Six MonthsEnded March 31, 2020” column and the “Annualized Expense Ratio” column do not include fees and expenses that may becharged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the “ExpensesPaid During the Six Months Ended March 31, 2020” column would have been higher and the “Ending Account Value”column would have been lower.

Hypothetical Example for Comparison Purposes

The “Hypothetical” section of the table provides information about hypothetical account values and hypothetical expensesbased on each Portfolio’s actual expense ratio and an annual rate of return of 5% before expenses, which is not the Portfolio’sactual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balanceor expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfoliosand other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in theshareholder reports of other funds. The “Expenses Paid During the Six Months Ended March 31, 2020” column and the“Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts, inwhich the Portfolios are offered. Had these fees and expenses been included, the “Expenses Paid During the Six MonthsEnded March 31, 2020” column would have been higher and the “Ending Account Value” column would have been lower.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any feesand expenses that may be charged by the Variable Contracts. Please refer to your variable contract prospectus for moreinformation. Therefore, the “Hypothetical” example is useful in comparing ongoing costs and will not help you determine therelative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have beenhigher.

Actual Hypothetical Ending Ending Account Account Value Using a Beginning Value Using Expenses Paid Hypothetical Expenses Paid Account Actual Return During the Six Beginning 5% Annual During the Six Value at at Months Ended Account Value Return at Months Ended Annualized October 1, March 31, March 31, at October 1, March 31, March 31, ExpensePortfolio 2019 2020 2020* 2019 2020 2020* Ratio* SA Multi-Managed Growth#

Class 1 . . . . . . . . . . . . . . $1,000.00 $ 916.22 $6.28 $1,000.00 $1,018.45 $6.61 1.31%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 915.66 $6.99 $1,000.00 $1,017.70 $7.36 1.46%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 915.04 $7.47 $1,000.00 $1,017.20 $7.87 1.56%

SA Multi-Managed Moderate Growth#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 936.47 $5.47 $1,000.00 $1,019.35 $5.70 1.13%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 935.53 $6.19 $1,000.00 $1,018.60 $6.46 1.28%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 935.10 $6.68 $1,000.00 $1,018.10 $6.96 1.38%

SA Multi-Managed Income/Equity#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 982.01 $5.70 $1,000.00 $1,019.25 $5.81 1.15%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 980.32 $6.44 $1,000.00 $1,018.50 $6.56 1.30%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 980.23 $6.93 $1,000.00 $1,018.00 $7.06 1.40%

SA Multi-Managed Income#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 993.79 $6.08 $1,000.00 $1,018.90 $6.16 1.22%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 993.00 $6.83 $1,000.00 $1,018.15 $6.91 1.37%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 992.70 $7.32 $1,000.00 $1,017.65 $7.41 1.47%

SA Putnam Asset Allocation: Diversified Growth#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 866.87 $4.34 $1,000.00 $1,020.35 $4.70 0.93%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 866.17 $5.04 $1,000.00 $1,019.60 $5.45 1.08%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 866.20 $5.51 $1,000.00 $1,019.10 $5.96 1.18%

SA T. Rowe Price Growth StockClass 1 . . . . . . . . . . . . . . $1,000.00 $ 933.98 $4.25 $1,000.00 $1,020.60 $4.45 0.88%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 933.10 $4.98 $1,000.00 $1,019.85 $5.20 1.03%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 933.22 $5.46 $1,000.00 $1,019.35 $5.70 1.13%

SA Multi-Managed Large Cap Growth#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 927.89 $3.66 $1,000.00 $1,021.20 $3.84 0.76%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 926.61 $4.38 $1,000.00 $1,020.45 $4.60 0.91%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 926.60 $4.86 $1,000.00 $1,019.95 $5.10 1.01%

SA Multi-Managed Large Cap ValueClass 1 . . . . . . . . . . . . . . $1,000.00 $ 806.86 $3.61 $1,000.00 $1,021.00 $4.04 0.80%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 805.95 $4.29 $1,000.00 $1,020.25 $4.80 0.95%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 805.56 $4.74 $1,000.00 $1,019.75 $5.30 1.05%

SA Multi-Managed Mid Cap GrowthClass 1 . . . . . . . . . . . . . . $1,000.00 $ 872.25 $4.45 $1,000.00 $1,020.25 $4.80 0.95%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 871.87 $5.15 $1,000.00 $1,019.50 $5.55 1.10%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 871.65 $5.61 $1,000.00 $1,019.00 $6.06 1.20%

SA Multi-Managed Mid Cap ValueClass 1 . . . . . . . . . . . . . . $1,000.00 $ 741.54 $4.18 $1,000.00 $1,020.20 $4.85 0.96%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 740.56 $4.83 $1,000.00 $1,019.45 $5.60 1.11%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 740.31 $5.26 $1,000.00 $1,018.95 $6.11 1.21%

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SEASONS SERIES TRUSTEXPENSE EXAMPLE — (continued) March 31, 2020 (unaudited)

Actual Hypothetical Ending Ending Account Account Value Using a Beginning Value Using Expenses Paid Hypothetical Expenses Paid Account Actual Return During the Six Beginning 5% Annual During the Six Value at at Months Ended Account Value Return at Months Ended Annualized October 1, March 31, March 31, at October 1, March 31, March 31, ExpensePortfolio 2019 2020 2020* 2019 2020 2020* Ratio* SA Multi-Managed Small

CapClass 1 . . . . . . . . . . . . . . $1,000.00 $ 734.88 $4.21 $1,000.00 $1,020.15 $4.90 0.97%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 734.30 $4.86 $1,000.00 $1,019.40 $5.65 1.12%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 734.16 $5.29 $1,000.00 $1,018.90 $6.16 1.22%

SA Multi-Managed International Equity#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 844.02 $4.79 $1,000.00 $1,019.80 $5.25 1.04%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 843.86 $5.49 $1,000.00 $1,019.05 $6.01 1.19%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 843.47 $5.95 $1,000.00 $1,018.55 $6.51 1.29%

SA Multi-Managed Diversified Fixed IncomeClass 1 . . . . . . . . . . . . . . $1,000.00 $1,008.91 $3.42 $1,000.00 $1,021.60 $3.44 0.68%Class 2 . . . . . . . . . . . . . . $1,000.00 $1,008.90 $4.17 $1,000.00 $1,020.85 $4.19 0.83%Class 3 . . . . . . . . . . . . . . $1,000.00 $1,008.55 $4.67 $1,000.00 $1,020.35 $4.70 0.93%

SA Wellington Real Return#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 992.69 $2.94 $1,000.00 $1,022.05 $2.98 0.59%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 990.92 $4.18 $1,000.00 $1,020.80 $4.24 0.84%

SA Columbia Focused Value#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 802.32 $3.29 $1,000.00 $1,021.35 $3.69 0.73%Class 2 . . . . . . . . . . . . . . $1,000.00 $ 801.42 $3.96 $1,000.00 $1,020.60 $4.45 0.88%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 801.29 $4.41 $1,000.00 $1,020.10 $4.95 0.98%

SA Allocation Growth#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 885.80 $0.66 $1,000.00 $1,024.30 $0.71 0.14%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 884.28 $1.84 $1,000.00 $1,023.05 $1.97 0.39%

SA Allocation Moderate Growth#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 909.75 $0.57 $1,000.00 $1,024.40 $0.61 0.12%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 908.38 $1.77 $1,000.00 $1,023.15 $1.87 0.37%

SA Allocation Moderate#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 925.22 $0.63 $1,000.00 $1,024.35 $0.66 0.13%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 922.86 $1.83 $1,000.00 $1,023.10 $1.92 0.38%

SA Allocation Balanced#Class 1 . . . . . . . . . . . . . . $1,000.00 $ 948.05 $0.68 $1,000.00 $1,024.30 $0.71 0.14%Class 3 . . . . . . . . . . . . . . $1,000.00 $ 946.69 $1.90 $1,000.00 $1,023.05 $1.97 0.39%

* Expenses are equal to each Portfolio’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days thendivided by 366 (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees andexpenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses thatapply to the Variable Contracts of the insurance companies.

# During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios orthrough recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if thesefees and expenses had not been waived or assumed, the “Actual/Hypothetical Ending Account Value” would have been lower and the“Actual/Hypothetical Expenses Paid During the Six Months Ended March 31, 2020” and “Annualized Expense Ratio” would have been higher. Ifthese fees and expenses had not been recouped, the “Actual/Hypothetical Ending Account Value” would have been higher and the “Actual/HypotheticalExpenses Paid During the Six Months Ended March 31, 2020” and the “Annualized Expense Ratio” would have been lower.

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SEASONS SERIES TRUSTEXPENSE EXAMPLE — (continued) March 31, 2020 (unaudited)

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Seasons Series Trust SA Multi-Managed Growth PortfolioPORTFOLIO PROFILE — March 31, 2020 (unaudited)

Industry Allocation*

Enterprise Software/Service . . . . . . . . . . . . . . . . . . . . . . . . . . 8.4%Diversified Financial Services . . . . . . . . . . . . . . . . . . . . . . . . . 7.6Uniform Mtg. Backed Securities . . . . . . . . . . . . . . . . . . . . . . 4.5E-Commerce/Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4.1Government National Mtg. Assoc. . . . . . . . . . . . . . . . . . . . . . 3.7Applications Software . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.6Medical Instruments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.4Web Hosting/Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.2Medical-Drugs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.0Chemicals-Specialty . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.8Internet Content-Entertainment . . . . . . . . . . . . . . . . . . . . . . 2.7Internet Content-Information/News . . . . . . . . . . . . . . . . . . . 2.5Federal National Mtg. Assoc. . . . . . . . . . . . . . . . . . . . . . . . . . 2.2Diversified Banking Institutions . . . . . . . . . . . . . . . . . . . . . . . 2.0Repurchase Agreements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.9Communications Software . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.9Real Estate Investment Trusts . . . . . . . . . . . . . . . . . . . . . . . . . 1.8Commercial Services-Finance . . . . . . . . . . . . . . . . . . . . . . . . 1.8Internet Application Software . . . . . . . . . . . . . . . . . . . . . . . . . 1.7Aerospace/Defense-Equipment . . . . . . . . . . . . . . . . . . . . . . . 1.6Retail-Restaurants . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.6Web Portals/ISP . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.6Banks-Commercial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.5Athletic Footwear . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.5Computer Software . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.5Entertainment Software . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.5Medical-Biomedical/Gene . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.2Finance-Other Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.2Consulting Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.0Building-Maintenance & Services . . . . . . . . . . . . . . . . . . . . . 1.0Federal Home Loan Mtg. Corp. . . . . . . . . . . . . . . . . . . . . . . . 0.9Distribution/Wholesale . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.9Electronic Measurement Instruments . . . . . . . . . . . . . . . . . . . 0.9Containers-Metal/Glass . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.9Coatings/Paint . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.9Multimedia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.8Diagnostic Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.8Electronic Components-Semiconductors . . . . . . . . . . . . . . . . 0.8Cosmetics & Toiletries . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.8Computer Aided Design . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.8Electric-Integrated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.8United States Treasury Notes . . . . . . . . . . . . . . . . . . . . . . . . . 0.7Foreign Government Obligations . . . . . . . . . . . . . . . . . . . . . . 0.6Registered Investment Companies . . . . . . . . . . . . . . . . . . . . . 0.6SupraNational Banks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.6Savings & Loans/Thrifts . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.6United States Treasury Bonds . . . . . . . . . . . . . . . . . . . . . . . . . 0.5Medical-HMO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.5Banks-Super Regional . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.4Cable/Satellite TV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.4Building-Residential/Commercial . . . . . . . . . . . . . . . . . . . . . 0.4Telephone-Integrated . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.4Building & Construction-Misc. . . . . . . . . . . . . . . . . . . . . . . . 0.4Human Resources . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.4Medical Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.3Electronic Components-Misc. . . . . . . . . . . . . . . . . . . . . . . . . 0.3Municipal Bonds & Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.3Computer Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.3Building-Heavy Construction . . . . . . . . . . . . . . . . . . . . . . . . 0.3Gas-Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.3

Apparel Manufacturers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.3%Data Processing/Management . . . . . . . . . . . . . . . . . . . . . . . . 0.3Oil-Field Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Pastoral & Agricultural . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Medical Information Systems . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Energy-Alternate Sources . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Brewery . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Insurance-Life/Health . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Oil Refining & Marketing . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Pipelines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Machinery-General Industrial . . . . . . . . . . . . . . . . . . . . . . . . 0.2Television . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Building & Construction Products-Misc. . . . . . . . . . . . . . . . . 0.2Retail-Building Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Investment Management/Advisor Services . . . . . . . . . . . . . . . 0.2Water . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Printing-Commercial . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2E-Services/Consulting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Auto-Truck Trailers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Finance-Investment Banker/Broker . . . . . . . . . . . . . . . . . . . . 0.2Auto/Truck Parts & Equipment-Original . . . . . . . . . . . . . . . . 0.2Power Converter/Supply Equipment . . . . . . . . . . . . . . . . . . . 0.2E-Commerce/Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Financial Guarantee Insurance . . . . . . . . . . . . . . . . . . . . . . . . 0.2Cellular Telecom . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.2Medical-Hospitals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Diversified Manufacturing Operations . . . . . . . . . . . . . . . . . . 0.1X-Ray Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Sovereign . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Wireless Equipment . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Food-Misc./Diversified . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Office Furnishings-Original . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Semiconductor Components-Integrated Circuits . . . . . . . . . . . 0.1Medical Labs & Testing Services . . . . . . . . . . . . . . . . . . . . . . . 0.1Pharmacy Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Transport-Truck . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Retail-Sporting Goods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Electric-Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Metal Products-Distribution . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Insurance Brokers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Banks-Fiduciary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Schools . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Tobacco . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Computers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Insurance-Reinsurance . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Telecom Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Options Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Transport-Services . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Machinery-Construction & Mining . . . . . . . . . . . . . . . . . . . . 0.1Auto/Truck Parts & Equipment-Replacement . . . . . . . . . . . . 0.1Building Products-Doors & Windows . . . . . . . . . . . . . . . . . . . 0.1Electric-Generation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Internet Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Oil Companies-Integrated . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Office Supplies & Forms . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Poultry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Insurance-Property/Casualty . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Building Products-Wood . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Coal . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Dental Supplies & Equipment . . . . . . . . . . . . . . . . . . . . . . . . 0.1

7

Seasons Series Trust SA Multi-Managed Growth PortfolioPORTFOLIO PROFILE — March 31, 2020 (unaudited) (continued)

Industry Allocation* (continued)

Medical-Wholesale Drug Distribution . . . . . . . . . . . . . . . . . . 0.1%Therapeutics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Transport-Rail . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Transactional Software . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Hazardous Waste Disposal . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Medical-Generic Drugs . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Paper & Related Products . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Home Furnishings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Beverages-Non-alcoholic . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Banks-Special Purpose . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Retail-Apparel/Shoe . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Machinery-Pumps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Retail-Pawn Shops . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Chemicals-Diversified . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Electronic Parts Distribution . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Medical Laser Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Retail-Auto Parts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Decision Support Software . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Drug Delivery Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Circuit Boards . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Audio/Video Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Rubber/Plastic Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Chemicals-Plastics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Networking Products . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Computer Data Security . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Finance-Auto Loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Hotels/Motels . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Insurance-Mutual . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 0.1Non-Hazardous Waste Disposal . . . . . . . . . . . . . . . . . . . . . . . 0.1

107.2%

* Calculated as a percentage of net assets

8

Seasons Series Trust SA Multi-Managed Growth PortfolioPORTFOLIO OF INVESTMENTS — March 31, 2020

COMMON STOCKS — 74.5%Aerospace/Defense-Equipment — 1.5%

AAR Corp. . . . . . . . . . . . . . . . . . . 1,400 $ 24,864HEICO Corp., Class A . . . . . . . . . 8,696 555,675Moog, Inc., Class A . . . . . . . . . . . . 225 11,369

591,908Apparel Manufacturers — 0.3%

Deckers Outdoor Corp.† . . . . . . . . 750 100,500Appliances — 0.0%

Hamilton Beach Brands Holding Co., Class A . . . . . . . . . . . . . . . . 300 2,853

Applications Software — 3.5%ServiceNow, Inc.† . . . . . . . . . . . . . 4,833 1,385,041

Athletic Footwear — 1.5%NIKE, Inc., Class B . . . . . . . . . . . . 7,178 593,908

Audio/Video Products — 0.1%Sonos, Inc.† . . . . . . . . . . . . . . . . . . 2,800 23,744

Auto-Truck Trailers — 0.2%Wabash National Corp. . . . . . . . . . 8,825 63,716

Auto/Truck Parts & Equipment-Original — 0.2%Gentherm, Inc.† . . . . . . . . . . . . . . 1,325 41,605Meritor, Inc.† . . . . . . . . . . . . . . . . 1,250 16,562Telenav, Inc.† . . . . . . . . . . . . . . . . . 1,175 5,076

63,243Auto/Truck Parts & Equipment-Replacement — 0.1%

Douglas Dynamics, Inc. . . . . . . . . . 1,057 37,534Banks-Commercial — 1.5%

1st Source Corp. . . . . . . . . . . . . . . 375 12,161Atlantic Union Bankshares Corp. . . 291 6,373BancFirst Corp. . . . . . . . . . . . . . . . 1,150 38,375BancorpSouth Bank . . . . . . . . . . . . 1,550 29,326Banner Corp. . . . . . . . . . . . . . . . . 1,200 39,648Cathay General Bancorp . . . . . . . . 600 13,770Central Pacific Financial Corp. . . . . 1,875 29,812Central Valley Community Bancorp . 150 1,956Columbia Banking System, Inc. . . . 1,500 40,200CVB Financial Corp. . . . . . . . . . . . 2,500 50,125Enterprise Financial Services Corp. . 350 9,769First Commonwealth

Financial Corp. . . . . . . . . . . . . . 2,525 23,078First Community Bankshares, Inc. . . 175 4,078First Hawaiian, Inc. . . . . . . . . . . . . 525 8,678Great Western Bancorp, Inc. . . . . . . 175 3,584Hope Bancorp, Inc. . . . . . . . . . . . . 1,244 10,226IBERIABANK Corp. . . . . . . . . . . 225 8,136Independent Bank Corp. . . . . . . . . 725 9,331Independent Bank Corp. . . . . . . . . 75 4,828PacWest Bancorp . . . . . . . . . . . . . . 400 7,168South State Corp. . . . . . . . . . . . . . 100 5,873Trustmark Corp. . . . . . . . . . . . . . . 3,775 87,957UMB Financial Corp. . . . . . . . . . . 375 17,393United Bankshares, Inc. . . . . . . . . . 1,100 25,388Webster Financial Corp. . . . . . . . . . 350 8,015

Value Security Description Shares (Note 2)

Banks-Commercial (continued)West Bancorporation, Inc. . . . . . . . 250 $ 4,088Westamerica Bancorporation . . . . . 1,400 82,292

581,628Banks-Super Regional — 0.0%

National Bank Holdings Corp., Class A . . . . . . . . . . . . . . . . . . . 150 3,585

Broadcast Services/Program — 0.0%Hemisphere Media Group, Inc.† . . . 1,175 10,035

Building & Construction Products-Misc. — 0.2%Builders FirstSource, Inc.† . . . . . . . 2,775 33,938Louisiana-Pacific Corp. . . . . . . . . . 1,550 26,629

60,567Building & Construction-Misc. — 0.4%

Comfort Systems USA, Inc. . . . . . . 775 28,326EMCOR Group, Inc. . . . . . . . . . . . 1,675 102,711MYR Group, Inc.† . . . . . . . . . . . . 750 19,643

150,680Building Products-Cement — 0.0%

US Concrete, Inc.† . . . . . . . . . . . . 200 3,628Building Products-Doors & Windows — 0.1%

Masonite International Corp.† . . . . 775 36,774Building Products-Wood — 0.1%

Boise Cascade Co. . . . . . . . . . . . . . 1,375 32,697Building-Heavy Construction — 0.3%

Arcosa, Inc. . . . . . . . . . . . . . . . . . . 1,025 40,734MasTec, Inc.† . . . . . . . . . . . . . . . . 1,425 46,640Sterling Construction Co., Inc.† . . . 1,150 10,925Tutor Perini Corp.† . . . . . . . . . . . . 2,300 15,456

113,755Building-Maintenance & Services — 1.0%

ABM Industries, Inc. . . . . . . . . . . . 1,300 31,668Rollins, Inc. . . . . . . . . . . . . . . . . . . 9,402 339,788

371,456Building-Residential/Commercial — 0.3%

KB Home . . . . . . . . . . . . . . . . . . . 2,350 42,535TRI Pointe Group, Inc.† . . . . . . . . 9,300 81,561

124,096Cable/Satellite TV — 0.0%

WideOpenWest, Inc.† . . . . . . . . . . 3,175 15,113Casino Hotels — 0.0%

Boyd Gaming Corp. . . . . . . . . . . . 1,000 14,420Chemicals-Diversified — 0.0%

Stepan Co. . . . . . . . . . . . . . . . . . . 125 11,058Chemicals-Plastics — 0.1%

PolyOne Corp. . . . . . . . . . . . . . . . 1,200 22,764Chemicals-Specialty — 2.8%

Ecolab, Inc. . . . . . . . . . . . . . . . . . . 6,678 1,040,633Minerals Technologies, Inc. . . . . . . . 850 30,821Tronox Holdings PLC, Class A . . . . 1,825 9,088

1,080,542


9

Seasons Series Trust SA Multi-Managed Growth PortfolioPORTFOLIO OF INVESTMENTS — March 31, 2020 (continued)

COMMON STOCKS (continued)Circuit Boards — 0.1%

TTM Technologies, Inc.† . . . . . . . . 2,300 $ 23,782Coal — 0.1%

Arch Coal, Inc., Class A . . . . . . . . . 385 11,126Peabody Energy Corp. . . . . . . . . . . 450 1,305Warrior Met Coal, Inc. . . . . . . . . . . 1,900 20,178

32,609Coatings/Paint — 0.8%

Sherwin-Williams Co. . . . . . . . . . . 708 325,340Commercial Services — 0.0%

Medifast, Inc. . . . . . . . . . . . . . . . . . 100 6,250Commercial Services-Finance — 1.7%

Adyen NV†* . . . . . . . . . . . . . . . . . 466 394,388Euronet Worldwide, Inc.† . . . . . . . . 125 10,715Evo Payments, Inc., Class A† . . . . . 1,900 29,070Green Dot Corp., Class A† . . . . . . . 325 8,252S&P Global, Inc. . . . . . . . . . . . . . . 896 219,565

661,990Communications Software — 1.9%

Avaya Holdings Corp.† . . . . . . . . . 8,650 69,979Slack Technologies, Inc., Class A† . . 24,597 660,183

730,162Computer Aided Design — 0.8%

Autodesk, Inc.† . . . . . . . . . . . . . . . 1,895 295,809Computer Data Security — 0.1%

Qualys, Inc.† . . . . . . . . . . . . . . . . . 225 19,573Computer Services — 0.3%

CACI International, Inc., Class A† . . . . . . . . . . . . . . . . . . 200 42,230

Insight Enterprises, Inc.† . . . . . . . . 350 14,746Unisys Corp.† . . . . . . . . . . . . . . . . 4,950 61,132

118,108Computer Software — 1.5%

Avid Technology, Inc.† . . . . . . . . . . 2,025 13,628TiVo Corp. . . . . . . . . . . . . . . . . . . 10,325 73,101Twilio, Inc., Class A† . . . . . . . . . . . 5,550 496,670

583,399Consulting Services — 1.0%

Huron Consulting Group, Inc.† . . . 1,500 68,040Verisk Analytics, Inc. . . . . . . . . . . . 2,206 307,472

375,512Consumer Products-Misc. — 0.0%

Quanex Building Products Corp. . . 900 9,072Containers-Metal/Glass — 0.8%

Ball Corp. . . . . . . . . . . . . . . . . . . . 5,101 329,831Containers-Paper/Plastic — 0.0%

Graphic Packaging Holding Co. . . . 820 10,004Cosmetics & Toiletries — 0.8%

Edgewell Personal Care Co.† . . . . . 325 7,826Estee Lauder Cos., Inc., Class A . . . 1,884 300,197

308,023


Data Processing/Management — 0.2%CommVault Systems, Inc.† . . . . . . . 1,600 $ 64,768

Dental Supplies & Equipment — 0.1%Patterson Cos., Inc. . . . . . . . . . . . . 2,125 32,491

Diagnostic Equipment — 0.8%Adaptive Biotechnologies Corp.† . . 425 11,806Danaher Corp. . . . . . . . . . . . . . . . 2,277 315,160

326,966Diagnostic Kits — 0.0%

Meridian Bioscience, Inc.† . . . . . . . 1,575 13,230Distribution/Wholesale — 0.9%

Copart, Inc.† . . . . . . . . . . . . . . . . . 4,321 296,075Core-Mark Holding Co., Inc. . . . . . 1,350 38,570Fossil Group, Inc.† . . . . . . . . . . . . . 700 2,303ScanSource, Inc.† . . . . . . . . . . . . . . 775 16,577Veritiv Corp.† . . . . . . . . . . . . . . . . 500 3,930

357,455Diversified Manufacturing Operations — 0.1%

Enerpac Tool Group Corp. . . . . . . . 100 1,655EnPro Industries, Inc. . . . . . . . . . . . 350 13,853Fabrinet† . . . . . . . . . . . . . . . . . . . 700 38,192

53,700E-Commerce/Products — 4.1%

Amazon.com, Inc.† . . . . . . . . . . . . 814 1,587,072Etsy, Inc.† . . . . . . . . . . . . . . . . . . . 175 6,727

1,593,799E-Commerce/Services — 0.2%

Cars.com, Inc.† . . . . . . . . . . . . . . . 2,650 11,395Groupon, Inc.† . . . . . . . . . . . . . . . 3,700 3,627Stamps.com, Inc.† . . . . . . . . . . . . . 350 45,528

60,550E-Marketing/Info — 0.0%

comScore, Inc.† . . . . . . . . . . . . . . . 3,975 11,210E-Services/Consulting — 0.2%

Perficient, Inc.† . . . . . . . . . . . . . . . 2,375 64,339Electric Products-Misc. — 0.0%

Graham Corp. . . . . . . . . . . . . . . . . 250 3,225Electric-Distribution — 0.0%

Spark Energy, Inc., Class A . . . . . . . 1,900 11,913Electric-Generation — 0.1%

Atlantic Power Corp.† . . . . . . . . . . 16,975 36,326Electric-Integrated — 0.3%

Black Hills Corp. . . . . . . . . . . . . . . 250 16,008IDACORP, Inc. . . . . . . . . . . . . . . . 100 8,779PNM Resources, Inc. . . . . . . . . . . . 525 19,950Portland General Electric Co. . . . . . 1,175 56,329

101,066Electronic Components-Misc. — 0.3%

Bel Fuse, Inc., Class B . . . . . . . . . . . 603 5,873Benchmark Electronics, Inc. . . . . . . 1,750 34,983OSI Systems, Inc.† . . . . . . . . . . . . . 775 53,413Sanmina Corp.† . . . . . . . . . . . . . . . 1,400 38,192

132,461


10


COMMON STOCKS (continued)Electronic Components-Semiconductors — 0.6%

Amkor Technology, Inc.† . . . . . . . . 5,675 $ 44,208MACOM Technology Solutions

Holdings, Inc.† . . . . . . . . . . . . . 1,475 27,922Rambus, Inc.† . . . . . . . . . . . . . . . . 7,600 84,360Synaptics, Inc.† . . . . . . . . . . . . . . . 850 49,189Xperi Corp. . . . . . . . . . . . . . . . . . 2,625 36,514

242,193Electronic Measurement Instruments — 0.9%

Roper Technologies, Inc. . . . . . . . . 1,018 317,423Stoneridge, Inc.† . . . . . . . . . . . . . . 2,350 39,362

356,785Electronic Parts Distribution — 0.1%

Tech Data Corp.† . . . . . . . . . . . . . 200 26,170Energy-Alternate Sources — 0.2%

FutureFuel Corp. . . . . . . . . . . . . . . 1,875 21,131Green Plains, Inc. . . . . . . . . . . . . . . 475 2,304Renewable Energy Group, Inc.† . . . 650 13,345REX American Resources Corp.† . 550 25,580SunPower Corp.† . . . . . . . . . . . . . 5,950 30,166

92,526Engineering/R&D Services — 0.0%

KBR, Inc. . . . . . . . . . . . . . . . . . . . 575 11,891Enterprise Software/Service — 8.3%

ACI Worldwide, Inc.† . . . . . . . . . . 3,575 86,336Atlassian Corp. PLC, Class A† . . . . . 2,982 409,309Coupa Software, Inc.† . . . . . . . . . . 4,411 616,349Donnelley Financial Solutions, Inc.† . 825 4,348eGain Corp.† . . . . . . . . . . . . . . . . 319 2,338Evolent Health, Inc., Class A† . . . . . 2,450 13,304MicroStrategy, Inc., Class A† . . . . . . 125 14,762Veeva Systems, Inc., Class A† . . . . . 7,102 1,110,540Workday, Inc., Class A† . . . . . . . . . 7,467 972,353

3,229,639Entertainment Software — 1.5%

Activision Blizzard, Inc. . . . . . . . . . 5,929 352,657Take-Two Interactive

Software, Inc.† . . . . . . . . . . . . . . 1,923 228,087

580,744Finance-Auto Loans — 0.1%

Credit Acceptance Corp.† . . . . . . . 75 19,177Finance-Consumer Loans — 0.0%

Nelnet, Inc., Class A . . . . . . . . . . . . 100 4,541Finance-Investment Banker/Broker — 0.2%

Cowen, Inc., Class A . . . . . . . . . . . 1,100 10,626Houlihan Lokey, Inc. . . . . . . . . . . . 850 44,302Moelis & Co., Class A . . . . . . . . . . 175 4,917Piper Sandler Cos. . . . . . . . . . . . . . 75 3,793

63,638Finance-Other Services — 1.1%

CME Group, Inc. . . . . . . . . . . . . . . 1,253 216,656Intercontinental Exchange, Inc. . . . . 2,643 213,422

430,078


Financial Guarantee Insurance — 0.2%MBIA, Inc.† . . . . . . . . . . . . . . . . . 425 $ 3,035MGIC Investment Corp. . . . . . . . . 2,875 18,256NMI Holdings, Inc., Class A† . . . . . 375 4,354Radian Group, Inc. . . . . . . . . . . . . 2,450 31,727

57,372Food-Canned — 0.0%

Seneca Foods Corp., Class A† . . . . . 150 5,967Food-Misc./Diversified — 0.1%

John B. Sanfilippo & Son, Inc. . . . . 400 35,760Gas-Distribution — 0.2%

New Jersey Resources Corp. . . . . . 250 8,493Northwest Natural Holding Co. . . . 175 10,806ONE Gas, Inc. . . . . . . . . . . . . . . . . 525 43,900Southwest Gas Holdings, Inc. . . . . . 350 24,346

87,545Home Furnishings — 0.1%

Sleep Number Corp.† . . . . . . . . . . 1,525 29,219Hotels/Motels — 0.0%

Red Lion Hotels Corp.† . . . . . . . . 255 372Human Resources — 0.4%

Barrett Business Services, Inc. . . . . . 1,325 52,523Cross Country Healthcare, Inc.† . . . 4,175 28,139Heidrick & Struggles

International, Inc. . . . . . . . . . . . . 175 3,938Kforce, Inc. . . . . . . . . . . . . . . . . . . 1,000 25,570Korn Ferry . . . . . . . . . . . . . . . . . . 675 16,416TrueBlue, Inc.† . . . . . . . . . . . . . . . 1,825 23,287

149,873Independent Power Producers — 0.0%

Clearway Energy, Inc., Class A . . . . 675 11,590Instruments-Scientific — 0.0%

Fluidigm Corp.† . . . . . . . . . . . . . . 7,075 17,971Insurance-Life/Health — 0.2%

American Equity Investment Life Holding Co. . . . . . . . . . . . . . . . 525 9,870

CNO Financial Group, Inc. . . . . . . 2,275 28,187Primerica, Inc. . . . . . . . . . . . . . . . . 425 37,604

75,661Insurance-Property/Casualty — 0.1%

Ambac Financial Group, Inc.† . . . . 150 1,851First American Financial Corp. . . . . 250 10,603Kinsale Capital Group, Inc. . . . . . . . 150 15,679

28,133Insurance-Reinsurance — 0.1%

Essent Group, Ltd. . . . . . . . . . . . . . 1,550 40,827Internet Application Software — 1.7%

Okta, Inc.† . . . . . . . . . . . . . . . . . . 5,447 665,950Internet Content-Entertainment — 2.7%

Facebook, Inc., Class A† . . . . . . . . . 1,959 326,761Twitter, Inc.† . . . . . . . . . . . . . . . . . 29,386 721,720

1,048,481


11


COMMON STOCKS (continued)Internet Content-Information/News — 2.5%

HealthStream, Inc.† . . . . . . . . . . . . 525 $ 12,574Spotify Technology SA† . . . . . . . . . 7,676 932,173Yelp, Inc.† . . . . . . . . . . . . . . . . . . . 2,075 37,412

982,159Internet Security — 0.0%

Proofpoint, Inc.† . . . . . . . . . . . . . . 150 15,389Investment Management/Advisor Services — 0.2%

Artisan Partners Asset Management, Inc., Class A . . . . . 300 6,447

BrightSphere Investment Group, Inc. . . . . . . . . . . . . . . . . 450 2,876

Focus Financial Partners, Inc., Class A† . . . . . . . . . . . . . . . . . . 800 18,408

Stifel Financial Corp. . . . . . . . . . . . 765 31,579Virtus Investment Partners, Inc. . . . 100 7,611

66,921Machinery-Construction & Mining — 0.1%

Astec Industries, Inc. . . . . . . . . . . . 1,075 37,593Machinery-Electrical — 0.0%

Bloom Energy Corp. Class A† . . . . 75 392

Machinery-General Industrial — 0.1%DXP Enterprises, Inc.† . . . . . . . . . 825 10,114Kadant, Inc. . . . . . . . . . . . . . . . . . . 275 20,529

30,643Machinery-Pumps — 0.1%

CSW Industrials, Inc. . . . . . . . . . . . 439 28,469Medical Imaging Systems — 0.0%

Lantheus Holdings, Inc.† . . . . . . . . 575 7,337Medical Information Systems — 0.2%

Allscripts Healthcare Solutions, Inc.† . . . . . . . . . . . . . 13,500 95,040

Medical Instruments — 3.4%AngioDynamics, Inc.† . . . . . . . . . . 2,125 22,164Intuitive Surgical, Inc.† . . . . . . . . . 2,482 1,229,111Natus Medical, Inc.† . . . . . . . . . . . 1,250 28,913NuVasive, Inc.† . . . . . . . . . . . . . . . 975 49,393

1,329,581Medical Labs & Testing Services — 0.1%

Medpace Holdings, Inc.† . . . . . . . . 625 45,863Personalis, Inc.† . . . . . . . . . . . . . . . 475 3,833

49,696Medical Laser Systems — 0.1%

Cutera, Inc.† . . . . . . . . . . . . . . . . . 1,996 26,068Medical Products — 0.3%

Accuray, Inc.† . . . . . . . . . . . . . . . . 4,695 8,921Integer Holdings Corp.† . . . . . . . . 975 61,288Invacare Corp. . . . . . . . . . . . . . . . . 2,150 15,975Orthofix Medical, Inc.† . . . . . . . . . 350 9,804SeaSpine Holdings Corp.† . . . . . . . 2,550 20,833Sientra, Inc.† . . . . . . . . . . . . . . . . . 7,863 15,647

132,468


Medical-Biomedical/Gene — 1.1%ACADIA Pharmaceuticals, Inc.† . . . 1,175 $ 49,644Alder Biopharmaceuticals, Inc.

CVR†(1) . . . . . . . . . . . . . . . . . . 1,325 1,166AMAG Pharmaceuticals, Inc.† . . . . 175 1,082Amicus Therapeutics, Inc.† . . . . . . . 2,425 22,407Arena Pharmaceuticals, Inc.† . . . . . 735 30,870Atara Biotherapeutics, Inc.† . . . . . . 1,875 15,956Biohaven Pharmaceutical

Holding Co., Ltd.† . . . . . . . . . . . 750 25,522Black Diamond Therapeutics, Inc.† . . 675 16,841Bluebird Bio, Inc.† . . . . . . . . . . . . . 125 5,745Bridgebio Pharma, Inc.† . . . . . . . . 600 17,400CytomX Therapeutics, Inc.† . . . . . . 825 6,328Eiger BioPharmaceuticals, Inc.† . . . 1,975 13,430Esperion Therapeutics, Inc.† . . . . . . 250 7,883Forty Seven, Inc.† . . . . . . . . . . . . . 300 28,626Homology Medicines, Inc.† . . . . . . 500 7,770Intercept Pharmaceuticals, Inc.† . . . 350 22,036LogicBio Therapeutics, Inc.† . . . . . 3,325 16,426Menlo Therapeutics, Inc.† . . . . . . . 625 1,675Mersana Therapeutics, Inc.† . . . . . . 3,675 21,425Myriad Genetics, Inc.† . . . . . . . . . . 1,450 20,749Puma Biotechnology, Inc.† . . . . . . . 575 4,853REGENXBIO, Inc.† . . . . . . . . . . . 825 26,713resTORbio, Inc.† . . . . . . . . . . . . . . 475 489REVOLUTION Medicines, Inc.† . . 350 7,669Sangamo Therapeutics, Inc.† . . . . . . 500 3,185Solid Biosciences, Inc.† . . . . . . . . . 775 1,852Synlogic, Inc.† . . . . . . . . . . . . . . . . 1,600 2,752TCR2 Therapeutics, Inc.† . . . . . . . 625 4,838Viela Bio, Inc.† . . . . . . . . . . . . . . . 725 27,550Xencor, Inc.† . . . . . . . . . . . . . . . . . 950 28,386Y-mAbs Therapeutics, Inc.† . . . . . . 100 2,610

443,878Medical-Drugs — 2.7%

Aimmune Therapeutics, Inc.† . . . . . 750 10,815Alector, Inc.† . . . . . . . . . . . . . . . . . 300 7,239Athenex, Inc.† . . . . . . . . . . . . . . . . 1,825 14,126Clovis Oncology, Inc.† . . . . . . . . . . 2,400 15,264Eagle Pharmaceuticals, Inc.† . . . . . . 200 9,200Global Blood Therapeutics, Inc.† . . 625 31,931Gritstone Oncology, Inc.† . . . . . . . 325 1,892Horizon Therapeutics PLC† . . . . . . 1,550 45,911Lannett Co., Inc.† . . . . . . . . . . . . . 4,375 30,406Marinus Pharmaceuticals, Inc.† . . . . 8,300 16,849MyoKardia, Inc.† . . . . . . . . . . . . . . 850 39,848Prestige Consumer

Healthcare, Inc.† . . . . . . . . . . . . 1,350 49,518Principia Biopharma, Inc.† . . . . . . . 575 34,143Protagonist Therapeutics, Inc.† . . . . 1,925 13,591Reata Pharmaceuticals, Inc.,

Class A† . . . . . . . . . . . . . . . . . . 285 41,137Seres Therapeutics, Inc.† . . . . . . . . . 8,725 31,148Sutro Biopharma, Inc.† . . . . . . . . . 300 3,060TG Therapeutics, Inc.† . . . . . . . . . . 1,475 14,514UroGen Pharma, Ltd.† . . . . . . . . . 1,050 18,732


12


COMMON STOCKS (continued)Medical-Drugs (continued)

Vanda Pharmaceuticals, Inc.† . . . . . 1,225 $ 12,691Voyager Therapeutics, Inc.† . . . . . . 1,325 12,124Zoetis, Inc. . . . . . . . . . . . . . . . . . . 5,196 611,517

1,065,656Medical-Generic Drugs — 0.1%

Arvinas, Inc.† . . . . . . . . . . . . . . . . 25 1,008Endo International PLC† . . . . . . . . 5,975 22,107

23,115Medical-HMO — 0.4%

Magellan Health, Inc.† . . . . . . . . . . 2,025 97,423Triple-S Management Corp.,

Class B† . . . . . . . . . . . . . . . . . . 3,175 44,767

142,190Medical-Hospitals — 0.1%

Community Health Systems, Inc.† . 10,275 34,318Tenet Healthcare Corp.† . . . . . . . . 1,500 21,600

55,918Medical-Outpatient/Home Medical — 0.0%

Providence Service Corp.† . . . . . . . 325 17,836Medical-Wholesale Drug Distribution — 0.1%

Owens & Minor, Inc. . . . . . . . . . . . 3,475 31,796Metal Processors & Fabrication — 0.0%

LB Foster Co., Class A† . . . . . . . . . 175 2,163Metal Products-Distribution — 0.1%

Worthington Industries, Inc. . . . . . . 1,775 46,594Metal-Aluminum — 0.0%

Century Aluminum Co.† . . . . . . . . 300 1,086Kaiser Aluminum Corp. . . . . . . . . . 100 6,928

8,014Motion Pictures & Services — 0.0%

Eros International PLC† . . . . . . . . 8,075 13,324Multimedia — 0.8%

Walt Disney Co. . . . . . . . . . . . . . . 3,411 329,503Networking Products — 0.1%

Extreme Networks, Inc.† . . . . . . . . 2,025 6,257NeoPhotonics Corp.† . . . . . . . . . . 1,850 13,413

19,670Office Furnishings-Original — 0.1%

HNI Corp. . . . . . . . . . . . . . . . . . . 1,425 35,896Steelcase, Inc., Class A . . . . . . . . . . 1,475 14,558

50,454Office Supplies & Forms — 0.1%

ACCO Brands Corp. . . . . . . . . . . . 6,725 33,961Oil Companies-Exploration & Production — 0.0%

W&T Offshore, Inc.† . . . . . . . . . . . 8,500 14,450Oil Refining & Marketing — 0.2%

CVR Energy, Inc. . . . . . . . . . . . . . 125 2,066Delek US Holdings, Inc. . . . . . . . . 2,200 34,672Murphy USA, Inc.† . . . . . . . . . . . . 400 33,744

70,482


Oil-Field Services — 0.2%Matrix Service Co.† . . . . . . . . . . . 3,550 $ 33,618MRC Global, Inc.† . . . . . . . . . . . . 2,550 10,863NexTier Oilfield Solutions, Inc.† . . 9,075 10,618NOW, Inc.† . . . . . . . . . . . . . . . . . . 7,900 40,764

95,863Paper & Related Products — 0.1%

Domtar Corp. . . . . . . . . . . . . . . . . 275 5,951P.H. Glatfelter Co. . . . . . . . . . . . . . 275 3,361Verso Corp., Class A† . . . . . . . . . . 1,775 20,022

29,334Pastoral & Agricultural — 0.2%

Darling Ingredients, Inc.† . . . . . . . . 4,975 95,371Poultry — 0.1%

Sanderson Farms, Inc. . . . . . . . . . . 275 33,913Power Converter/Supply Equipment — 0.2%

Generac Holdings, Inc.† . . . . . . . . . 475 44,256Powell Industries, Inc. . . . . . . . . . . 651 16,711

60,967Printing-Commercial — 0.2%

Deluxe Corp. . . . . . . . . . . . . . . . . 750 19,447Ennis, Inc. . . . . . . . . . . . . . . . . . . . 2,100 39,438Quad/Graphics, Inc. . . . . . . . . . . . 2,875 7,245

66,130Publishing-Books — 0.0%

Gannett Co, Inc. . . . . . . . . . . . . . . 900 1,332Houghton Mifflin Harcourt Co.† . . 3,875 7,285

8,617Real Estate Investment Trusts — 1.6%

Acadia Realty Trust . . . . . . . . . . . . 700 8,673Agree Realty Corp. . . . . . . . . . . . . 175 10,832Alexander & Baldwin, Inc. . . . . . . . 309 3,467American Assets Trust, Inc. . . . . . . . 1,925 48,125Americold Realty Trust . . . . . . . . . 1,500 51,060Ashford Hospitality Trust, Inc. . . . . . 2,800 2,070Blackstone Mtg. Trust, Inc., Class A . . 2,150 40,033Cherry Hill Mtg. Investment Corp. . 50 310CorEnergy Infrastructure

Trust, Inc. . . . . . . . . . . . . . . . . . 200 3,676CoreSite Realty Corp. . . . . . . . . . . 500 57,950DiamondRock Hospitality Co. . . . . 5,225 26,543Easterly Government Properties, Inc. . 425 10,472EastGroup Properties, Inc. . . . . . . . 200 20,896Equity LifeStyle Properties, Inc. . . . 375 21,555First Industrial Realty Trust, Inc. . . . 1,400 46,522Four Corners Property Trust, Inc. . . 200 3,742GEO Group, Inc. . . . . . . . . . . . . . . 2,350 28,576Getty Realty Corp. . . . . . . . . . . . . 725 17,211Gladstone Commercial Corp. . . . . . 725 10,411Hersha Hospitality Trust . . . . . . . . . 600 2,148Highwoods Properties, Inc. . . . . . . . 275 9,740Invesco Mtg. Capital, Inc. . . . . . . . . 800 2,728KKR Real Estate Finance

Trust, Inc. . . . . . . . . . . . . . . . . . 725 10,882Ladder Capital Corp. . . . . . . . . . . . 625 2,963


13


COMMON STOCKS (continued)Real Estate Investment Trusts (continued)

Lexington Realty Trust . . . . . . . . . 1,800 $ 17,874Mack-Cali Realty Corp. . . . . . . . . 650 9,899Monmouth Real Estate

Investment Corp. . . . . . . . . . . . . 150 1,808New Senior Investment

Group, Inc. . . . . . . . . . . . . . . . . 1,425 3,648Pebblebrook Hotel Trust . . . . . . . . 1,175 12,796PennyMac Mtg. Investment Trust . . 575 6,107Physicians Realty Trust . . . . . . . . . . 1,075 14,985Piedmont Office Realty Trust, Inc.,

Class A . . . . . . . . . . . . . . . . . . . 1,175 20,750PS Business Parks, Inc. . . . . . . . . . . 25 3,388Redwood Trust, Inc. . . . . . . . . . . . 475 2,404Retail Opportunity Investments

Corp. . . . . . . . . . . . . . . . . . . . . 1,300 10,777RLJ Lodging Trust . . . . . . . . . . . . . 825 6,369Ryman Hospitality Properties, Inc. . 250 8,963Saul Centers, Inc. . . . . . . . . . . . . . . 350 11,459STAG Industrial, Inc. . . . . . . . . . . . 375 8,445Sunstone Hotel Investors, Inc. . . . . . 4,800 41,808TPG RE Finance Trust, Inc. . . . . . . 425 2,333Two Harbors Investment Corp. . . . 1,138 4,336UMH Properties, Inc. . . . . . . . . . . 250 2,715Xenia Hotels & Resorts, Inc. . . . . . 950 9,785

641,234Rental Auto/Equipment — 0.0%

Rent-A-Center, Inc. . . . . . . . . . . . 500 7,070Resort/Theme Parks — 0.0%

Marriott Vacations Worldwide Corp. . . . . . . . . . . . . 250 13,895

Retail-Apparel/Shoe — 0.1%Cato Corp., Class A . . . . . . . . . . . . 1,400 14,938Genesco, Inc.† . . . . . . . . . . . . . . . . 325 4,336Winmark Corp. . . . . . . . . . . . . . . . 75 9,556

28,830Retail-Bookstores — 0.0%

Barnes & Noble Education, Inc.† . . 5,075 6,902Retail-Building Products — 0.1%

BMC Stock Holdings, Inc.† . . . . . . 1,875 33,244Retail-Home Furnishings — 0.0%

Haverty Furniture Cos., Inc. . . . . . . 600 7,134Retail-Office Supplies — 0.0%

Office Depot, Inc. . . . . . . . . . . . . . 10,225 16,769Retail-Pawn Shops — 0.1%

FirstCash, Inc. . . . . . . . . . . . . . . . . 375 26,903Retail-Regional Department Stores — 0.0%

Dillard’s, Inc., Class A . . . . . . . . . . . 200 7,390Retail-Restaurants — 1.6%

Bloomin’ Brands, Inc. . . . . . . . . . . . 3,750 26,775Brinker International, Inc. . . . . . . . 975 11,710Starbucks Corp. . . . . . . . . . . . . . . . 8,878 583,639

622,124


Retail-Sporting Goods — 0.1%Hibbett Sports, Inc.† . . . . . . . . . . . 1,650 $ 18,043Zumiez, Inc.† . . . . . . . . . . . . . . . . 1,675 29,011

47,054Rubber/Plastic Products — 0.1%

Myers Industries, Inc. . . . . . . . . . . . 750 8,063Trinseo SA . . . . . . . . . . . . . . . . . . 850 15,393

23,456Satellite Telecom — 0.0%

Gogo, Inc.† . . . . . . . . . . . . . . . . . . 2,675 5,671KVH Industries, Inc.† . . . . . . . . . . 200 1,886

7,557Savings & Loans/Thrifts — 0.6%

BankFinancial Corp. . . . . . . . . . . . 425 3,744Brookline Bancorp, Inc. . . . . . . . . . 1,525 17,202Capitol Federal Financial, Inc. . . . . . 125 1,451First Defiance Financial Corp. . . . . 275 4,054Flushing Financial Corp. . . . . . . . . 500 6,680Investors Bancorp, Inc. . . . . . . . . . . 1,700 13,583Meridian Bancorp, Inc. . . . . . . . . . 3,700 41,514Northfield Bancorp, Inc. . . . . . . . . 3,475 38,885People’s United Financial, Inc. . . . . 848 9,371Washington Federal, Inc. . . . . . . . . 3,175 82,423

218,907Schools — 0.1%

K12, Inc.† . . . . . . . . . . . . . . . . . . . 2,300 43,378Semiconductor Components-Integrated Circuits — 0.1%

Cirrus Logic, Inc.† . . . . . . . . . . . . . 325 21,330Semiconductor Equipment — 0.0%

Veeco Instruments, Inc.† . . . . . . . . 1,875 17,944Steel-Producers — 0.0%

Commercial Metals Co. . . . . . . . . . 925 14,606Telecom Services — 0.1%

Documents

SEASONS SERIES TRUSTfile... · 2020-05-29 · Dear Seasons Series Trust Investor: We are pleased to present the annual report for Seasons Series Trust, the underlying investment for